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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PIMCO Global StocksPLUS® & Income Fund | ||||||||
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(Exact name of registrant as specified in charter) | ||||||||
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1633 Broadway, |
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10019 | ||||||
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(Address of principal executive offices) |
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(Zip code) | ||||||
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Lawrence G. Altadonna 1633 Broadway, 41st Floor New York, NY 10019 | ||||||||
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(Name and address of agent for service) | ||||||||
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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, 2013 |
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Date of reporting period: |
June 30, 2012 |
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Item 1. Schedule of Investments
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments
June 30, 2012 (unaudited)
|
Principal |
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
(000s) |
|
|
|
Value* |
|
|
MORTGAGE-BACKED SECURITIES—65.7% |
|
|
| ||
|
|
|
Banc of America Funding Corp., CMO (h), |
|
|
|
|
$289 |
|
0.464%, 7/20/36 |
|
$232,399 |
|
|
1,027 |
|
2.816%, 12/20/34 |
|
738,641 |
|
|
2,098 |
|
5.562%, 3/20/36 (k) |
|
1,682,912 |
|
|
591 |
|
5.846%, 1/25/37 |
|
384,920 |
|
|
2,000 |
|
Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.475%, 3/11/41, CMO (a)(d)(h) |
|
1,389,424 |
|
|
9 |
|
Banc of America Mortgage Securities, Inc., 6.00%, 7/25/46, CMO |
|
8,027 |
|
|
756 |
|
BCAP LLC Trust, 6.25%, 11/26/36, CMO (a)(d) |
|
749,880 |
|
|
3,000 |
|
BCRR Trust, 5.858%, 7/17/40, CMO (a)(d)(h)(k) |
|
3,058,782 |
|
|
|
|
Bear Stearns Adjustable Rate Mortgage Trust, CMO (h), |
|
|
|
|
476 |
|
2.884%, 3/25/35 |
|
396,743 |
|
|
1,334 |
|
2.956%, 2/25/34 |
|
1,242,824 |
|
|
2,009 |
|
5.408%, 8/25/47 (k) |
|
1,532,096 |
|
|
937 |
|
5.647%, 7/25/36 |
|
647,072 |
|
|
|
|
Bear Stearns Alt-A Trust, CMO (h), |
|
|
|
|
233 |
|
2.715%, 11/25/35 |
|
145,121 |
|
|
569 |
|
2.728%, 4/25/35 |
|
372,771 |
|
|
355 |
|
2.879%, 9/25/35 |
|
244,450 |
|
|
|
|
Bear Stearns Commercial Mortgage Securities, CMO (h), |
|
|
|
|
1,000 |
|
5.694%, 6/11/50 (k) |
|
1,158,883 |
|
|
1,300 |
|
5.714%, 3/13/40 (a)(d) |
|
1,195,176 |
|
|
1,000 |
|
5.939%, 2/11/41 (a)(d) |
|
792,902 |
|
|
|
|
Bear Stearns Structured Products, Inc., CMO (h), |
|
|
|
|
576 |
|
2.829%, 12/26/46 |
|
323,136 |
|
|
1,678 |
|
2.846%, 1/26/36 |
|
998,854 |
|
|
1,383 |
|
CBA Commercial Small Balance Commercial Mortgage, |
|
|
|
|
|
|
5.54%, 1/25/39, CMO (a)(d) |
|
721,455 |
|
|
|
|
CC Mortgage Funding Corp., CMO (a)(d)(h), |
|
|
|
|
122 |
|
0.545%, 8/25/35 |
|
84,884 |
|
|
20 |
|
0.585%, 10/25/34 |
|
17,169 |
|
|
1,013 |
|
Charlotte Gateway Village LLC, 6.41%, 12/1/16, CMO (a)(d)(f) |
|
1,015,192 |
|
|
1,485 |
|
Citigroup Mortgage Loan Trust, Inc., 3.046%, 3/25/37, CMO (h) |
|
992,385 |
|
|
1,015 |
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, |
|
|
|
|
|
|
5.394%, 7/15/44, CMO (h) |
|
853,187 |
|
|
760 |
|
Commercial Mortgage Pass Through Certificates, 6.106%, 7/10/46, CMO (a)(d)(h) |
|
731,741 |
|
|
|
|
Countrywide Alternative Loan Trust, CMO, |
|
|
|
|
1,634 |
|
0.454%, 5/20/46 (h) |
|
836,222 |
|
|
317 |
|
0.485%, 12/25/46 (h) |
|
87,448 |
|
|
1,975 |
|
0.575%, 10/25/35 (h) |
|
999,721 |
|
|
3,958 |
|
0.595%, 5/25/36 (h) |
|
1,644,277 |
|
|
536 |
|
2.90%, 2/25/37 (h) |
|
354,709 |
|
|
493 |
|
5.272%, 10/25/35 (h) |
|
327,114 |
|
|
1,341 |
|
5.50%, 8/25/34 |
|
1,149,194 |
|
|
69 |
|
5.50%, 2/25/36 |
|
47,997 |
|
|
1,229 |
|
5.50%, 3/25/36 |
|
717,150 |
|
|
189 |
|
6.25%, 9/25/34 |
|
187,276 |
|
|
|
|
Countrywide Home Loan Mortgage Pass Through Trust, CMO, |
|
|
|
|
376 |
|
0.485%, 3/25/36 (h) |
|
241,925 |
|
|
1,633 |
|
0.565%, 3/25/35 (h)(k) |
|
1,024,199 |
|
|
268 |
|
0.635%, 2/25/35 (h) |
|
125,767 |
|
|
301 |
|
2.655%, 10/20/35 (h) |
|
187,931 |
|
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments |
|
June 30, 2012 (unaudited) (continued) |
|
Principal |
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
(000s) |
|
|
|
Value* |
|
|
$677 |
|
2.902%, 8/25/34 (h) |
|
$527,794 |
|
|
658 |
|
3.404%, 3/25/37 (h) |
|
326,024 |
|
|
550 |
|
5.107%, 10/20/35 (h) |
|
424,893 |
|
|
1,470 |
|
5.129%, 10/20/35 (h) |
|
1,092,762 |
|
|
187 |
|
5.50%, 8/25/35 |
|
176,550 |
|
|
219 |
|
6.00%, 3/25/36 |
|
22,170 |
|
|
2,600 |
|
Credit Suisse First Boston Mortgage Securities Corp., |
|
|
|
|
|
|
5.745%, 12/15/36, CMO (a)(d)(h) |
|
1,987,281 |
|
|
|
|
Credit Suisse Mortgage Capital Certificates, CMO, |
|
|
|
|
900 |
|
5.467%, 7/18/16 (a)(d)(h) |
|
910,346 |
|
|
466 |
|
6.00%, 11/25/36 |
|
434,282 |
|
|
2,000 |
|
6.408%, 2/15/41(h) |
|
2,209,686 |
|
|
959 |
|
First Horizon Alternative Mortgage Securities, 2.504%, 11/25/36, CMO (h) |
|
514,814 |
|
|
2,106 |
|
First Horizon Asset Securities, Inc., 2.584%, 1/25/37, CMO (h)(k) |
|
1,549,423 |
|
|
|
|
GE Capital Commercial Mortgage Corp., CMO (h), |
|
|
|
|
1,000 |
|
5.298%, 7/10/45 (a)(d) |
|
745,528 |
|
|
1,000 |
|
5.379%, 5/10/43 |
|
819,916 |
|
|
338 |
|
GMAC Mortgage Corp. Loan Trust, 3.454%, 6/25/34, CMO (h) |
|
313,716 |
|
|
730 |
|
GS Mortgage Securities Corp. II, 6.136%, 8/10/43, CMO (a)(d)(h) |
|
706,640 |
|
|
|
|
GSR Mortgage Loan Trust, CMO, |
|
|
|
|
349 |
|
2.651%, 9/25/35 (h) |
|
341,471 |
|
|
669 |
|
2.943%, 4/25/35 (h) |
|
549,234 |
|
|
390 |
|
3.044%, 5/25/35 (h) |
|
287,747 |
|
|
452 |
|
5.50%, 6/25/36 |
|
406,949 |
|
|
|
|
Harborview Mortgage Loan Trust, CMO (h), |
|
|
|
|
46 |
|
0.543%, 4/19/34 |
|
41,565 |
|
|
221 |
|
2.549%, 11/19/34 |
|
138,489 |
|
|
88 |
|
2.972%, 2/25/36 |
|
49,558 |
|
|
89 |
|
5.304%, 8/19/36 |
|
63,394 |
|
|
1,051 |
|
5.595%, 6/19/36 |
|
663,605 |
|
|
950 |
|
HSBC Asset Loan Obligation, 2.788%, 1/25/37, CMO (h) |
|
551,239 |
|
|
2 |
|
Impac CMB Trust, 0.885%, 10/25/33, CMO (h) |
|
1,991 |
|
|
|
|
Indymac Index Mortgage Loan Trust, CMO (h), |
|
|
|
|
3,085 |
|
0.515%, 6/25/37 |
|
642,054 |
|
|
86 |
|
0.525%, 3/25/35 |
|
57,969 |
|
|
446 |
|
2.912%, 6/25/37 |
|
235,756 |
|
|
423 |
|
JPMorgan Alternative Loan Trust, 7.00%, 12/25/35, CMO |
|
24,959 |
|
|
1,500 |
|
JPMorgan Chase Commercial Mortgage Securities Corp., |
|
|
|
|
|
|
5.443%, 5/15/41, CMO (a)(d)(h)(k) |
|
1,052,655 |
|
|
|
|
JPMorgan Mortgage Trust, CMO, |
|
|
|
|
2,194 |
|
2.889%, 4/25/37 (h)(k) |
|
1,363,610 |
|
|
657 |
|
5.468%, 5/25/36 (h) |
|
507,940 |
|
|
205 |
|
5.50%, 1/25/36 |
|
178,476 |
|
|
250 |
|
5.50%, 6/25/37 |
|
231,209 |
|
|
|
|
Luminent Mortgage Trust, CMO (h), |
|
|
|
|
1,416 |
|
0.415%, 12/25/36 |
|
828,598 |
|
|
1,377 |
|
0.445%, 10/25/46 |
|
863,337 |
|
|
|
|
MASTR Adjustable Rate Mortgage Trust, CMO (h), |
|
|
|
|
1,500 |
|
2.838%, 11/25/35 (a)(d) |
|
822,952 |
|
|
413 |
|
3.32%, 10/25/34 |
|
296,389 |
|
|
442 |
|
Merrill Lynch Alternative Note Asset, 0.315%, 1/25/37, CMO (h) |
|
140,097 |
|
|
1,000 |
|
Merrill Lynch/Countrywide Commercial Mortgage Trust, |
|
|
|
|
|
|
5.378%, 8/12/48, CMO |
|
1,086,460 |
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments
June 30, 2012 (unaudited) (continued)
|
Principal |
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
(000s) |
|
|
|
Value* |
|
|
$315 |
|
MLCC Mortgage Investors, Inc., 1.986%, 10/25/35, CMO (h) |
|
$290,117 |
|
|
|
|
Morgan Stanley Capital I, CMO, |
|
|
|
|
500 |
|
5.369%, 11/14/42 (h) |
|
374,068 |
|
|
100 |
|
5.379%, 8/13/42 (a)(d)(h) |
|
55,451 |
|
|
1,415 |
|
5.569%, 12/15/44 |
|
1,541,395 |
|
|
1,200 |
|
Morgan Stanley Reremic Trust, zero coupon, 7/17/56, CMO, PO (a)(d) |
|
1,044,000 |
|
|
479 |
|
Opteum Mortgage Acceptance Corp., 0.515%, 7/25/36, CMO (h) |
|
225,477 |
|
|
282 |
|
Provident Funding Mortgage Loan Trust, 2.845%, 10/25/35, CMO (h) |
|
250,477 |
|
|
3,000 |
|
RBSCF Trust, 6.068%, 2/17/51, CMO (a)(d)(h)(k) |
|
2,856,987 |
|
|
|
|
Residential Accredit Loans, Inc., CMO, |
|
|
|
|
637 |
|
3.238%, 12/26/34 (h) |
|
440,424 |
|
|
1,612 |
|
3.923%, 1/25/36 (h) |
|
919,362 |
|
|
1,036 |
|
6.00%, 9/25/35 |
|
698,283 |
|
|
732 |
|
6.00%, 8/25/36 |
|
485,830 |
|
|
225 |
|
Residential Asset Mortgage Products, Inc., 7.50%, 12/25/31, CMO |
|
228,439 |
|
|
|
|
Structured Adjustable Rate Mortgage Loan Trust, CMO (h), |
|
|
|
|
1,250 |
|
1.552%, 5/25/35 |
|
668,099 |
|
|
588 |
|
4.752%, 9/25/36 |
|
282,366 |
|
|
219 |
|
5.183%, 9/25/35 |
|
162,405 |
|
|
969 |
|
5.214%, 11/25/36 |
|
802,253 |
|
|
1,224 |
|
5.334%, 4/25/36 |
|
816,527 |
|
|
883 |
|
5.435%, 1/25/36 |
|
603,967 |
|
|
|
|
Structured Asset Mortgage Investments, Inc., CMO (h), |
|
|
|
|
698 |
|
0.475%, 2/25/36 |
|
377,512 |
|
|
608 |
|
0.525%, 2/25/36 |
|
333,805 |
|
|
350 |
|
Suntrust Adjustable Rate Mortgage Loan Trust, 2.956%, 1/25/37, CMO (h) |
|
271,790 |
|
|
|
|
Wachovia Bank Commercial Mortgage Trust, CMO, |
|
|
|
|
1,020 |
|
4.982%, 2/15/35 (a)(d) |
|
945,370 |
|
|
1,500 |
|
5.617%, 1/15/41 (a)(d)(h) |
|
855,552 |
|
|
2,500 |
|
6.097%, 2/15/51 (h)(k) |
|
2,789,195 |
|
|
1,000 |
|
WaMu Commercial Mortgage Securities Trust, 6.303%, 3/23/45, CMO (a)(d)(h) |
|
754,169 |
|
|
|
|
WaMu Mortgage Pass Through Certificates, CMO (h), |
|
|
|
|
238 |
|
0.535%, 7/25/45 |
|
194,146 |
|
|
215 |
|
0.898%, 1/25/47 |
|
143,596 |
|
|
1,091 |
|
2.655%, 12/25/36 |
|
752,815 |
|
|
908 |
|
2.713%, 2/25/37 (k) |
|
666,914 |
|
|
356 |
|
5.238%, 7/25/37 |
|
294,525 |
|
|
1,768 |
|
5.325%, 4/25/37 |
|
320,735 |
|
|
103 |
|
5.424%, 8/25/36 |
|
8,395 |
|
|
3,901 |
|
Washington Mutual Alternative Mortgage Pass Through Certificates, |
|
|
|
|
|
|
0.922%, 4/25/47, CMO (h) |
|
927,811 |
|
|
1,181 |
|
Wells Fargo Mortgage-Backed Securities Trust, 6.00%, 3/25/37, CMO |
|
1,091,965 |
|
|
1,000 |
|
WFDB Commercial Mortgage Trust, 6.403%, 7/5/24, CMO (a)(d) |
|
1,030,814 |
|
|
|
|
Total Mortgage-Backed Securities (cost—$69,122,013) |
|
78,336,520 |
|
|
|
|
|
|
|
|
|
CORPORATE BONDS & NOTES—62.3% |
|
|
| ||
|
Airlines—3.9% |
|
|
| ||
|
1,000 |
|
American Airlines, Inc., 10.50%, 10/15/12 (e) |
|
1,072,500 |
|
|
772 |
|
Northwest Airlines, Inc., 1.217%, 11/20/15, (MBIA) (h)(k) |
|
742,682 |
|
|
|
|
United Air Lines Pass Through Trust (k), |
|
|
|
|
1,948 |
|
6.636%, 1/2/24 |
|
2,035,760 |
|
|
728 |
|
10.40%, 5/1/18 |
|
830,916 |
|
|
|
|
|
|
4,681,858 |
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments
June 30, 2012 (unaudited) (continued)
|
Principal |
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
(000s) |
|
|
|
Value* |
|
|
Banking—9.5% |
|
|
| ||
|
£100 |
|
Barclays Bank PLC, 14.00%, 6/15/19 (g) |
|
$178,541 |
|
|
€150 |
|
BPCE S.A., 9.25%, 4/22/15 (g) |
|
164,673 |
|
|
|
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (k), |
|
|
|
|
€1,000 |
|
6.875%, 3/19/20 |
|
1,237,658 |
|
|
$1,600 |
|
11.00%, 6/30/19 (a)(d)(g) |
|
2,023,280 |
|
|
2,800 |
|
Discover Bank, 7.00%, 4/15/20 (k) |
|
3,265,842 |
|
|
2,000 |
|
Lloyds TSB Bank PLC, 6.375%, 1/21/21 (k) |
|
2,271,882 |
|
|
2,000 |
|
Regions Financial Corp., 7.75%, 11/10/14 (k) |
|
2,165,000 |
|
|
|
|
|
|
11,306,876 |
|
|
Chemicals—0.5% |
|
|
| ||
|
600 |
|
Ineos Finance PLC, 7.50%, 5/1/20 (a)(b)(d)(k)(l) |
|
607,500 |
|
|
|
|
|
|
|
|
|
Commercial Services—1.3% |
|
|
| ||
|
1,500 |
|
PHH Corp., 9.25%, 3/1/16 (k) |
|
1,601,250 |
|
|
|
|
|
|
|
|
|
Construction & Engineering—1.6% |
|
|
| ||
|
2,020 |
|
Alion Science and Technology Corp., 12.00%, 11/1/14, PIK (k) |
|
1,903,850 |
|
|
|
|
|
|
|
|
|
Diversified Manufacturing—0.5% |
|
|
| ||
|
1,000 |
|
Colt Defense LLC, 8.75%, 11/15/17 (k) |
|
626,250 |
|
|
|
|
|
|
|
|
|
Energy—0.7% |
|
|
| ||
|
800 |
|
Berau Coal Energy Tbk PT, 7.25%, 3/13/17 (a)(d)(k) |
|
780,000 |
|
|
|
|
|
|
|
|
|
Financial Services—18.9% |
|
|
| ||
|
1,000 |
|
AGFC Capital Trust I, 6.00%, 1/15/67, (converts to FRN on 1/15/17) (a)(d) |
|
505,000 |
|
|
|
|
Ally Financial, Inc., |
|
|
|
|
31 |
|
6.00%, 3/15/19 |
|
28,695 |
|
|
9 |
|
6.10%, 9/15/19 |
|
8,372 |
|
|
45 |
|
6.15%, 3/15/16 |
|
43,084 |
|
|
60 |
|
6.25%, 4/15/19 |
|
56,095 |
|
|
98 |
|
6.30%, 8/15/19 |
|
92,138 |
|
|
7 |
|
6.35%, 4/15/16 |
|
6,733 |
|
|
10 |
|
6.35%, 4/15/19 |
|
9,362 |
|
|
23 |
|
6.50%, 10/15/16 |
|
22,220 |
|
|
10 |
|
6.55%, 12/15/19 |
|
9,517 |
|
|
12 |
|
6.60%, 8/15/16 |
|
11,734 |
|
|
29 |
|
6.65%, 6/15/18 |
|
27,959 |
|
|
10 |
|
6.65%, 10/15/18 |
|
9,581 |
|
|
29 |
|
6.70%, 6/15/18 |
|
27,707 |
|
|
29 |
|
6.75%, 8/15/16 |
|
28,459 |
|
|
10 |
|
6.75%, 9/15/16 |
|
9,753 |
|
|
3 |
|
6.75%, 6/15/17 |
|
2,903 |
|
|
56 |
|
6.75%, 3/15/18 |
|
53,660 |
|
|
5 |
|
6.75%, 7/15/18 |
|
4,805 |
|
|
20 |
|
6.75%, 9/15/18 |
|
19,173 |
|
|
3 |
|
6.75%, 6/15/19 |
|
2,879 |
|
|
18 |
|
6.85%, 4/15/16 |
|
17,603 |
|
|
19 |
|
6.85%, 7/15/16 |
|
18,464 |
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments
June 30, 2012 (unaudited) (continued)
|
Principal |
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
(000s) |
|
|
|
Value* |
|
|
Financial Services (continued) |
|
|
| ||
|
$37 |
|
6.85%, 5/15/18 |
|
$35,273 |
|
|
2 |
|
6.875%, 8/15/16 |
|
1,953 |
|
|
18 |
|
6.875%, 7/15/18 |
|
17,323 |
|
|
30 |
|
6.90%, 6/15/17 |
|
28,877 |
|
|
50 |
|
6.90%, 7/15/18 |
|
48,668 |
|
|
5 |
|
6.90%, 8/15/18 |
|
4,867 |
|
|
8 |
|
6.95%, 6/15/17 |
|
7,812 |
|
|
18 |
|
7.00%, 1/15/17 |
|
17,709 |
|
|
28 |
|
7.00%, 6/15/17 |
|
26,888 |
|
|
60 |
|
7.00%, 7/15/17 |
|
57,970 |
|
|
129 |
|
7.00%, 2/15/18 |
|
124,403 |
|
|
1 |
|
7.00%, 3/15/18 |
|
975 |
|
|
42 |
|
7.00%, 8/15/18 |
|
40,969 |
|
|
223 |
|
7.05%, 3/15/18 (k) |
|
213,365 |
|
|
4 |
|
7.05%, 4/15/18 |
|
3,875 |
|
|
80 |
|
7.15%, 9/15/18 |
|
78,058 |
|
|
15 |
|
7.20%, 10/15/17 |
|
14,710 |
|
|
109 |
|
7.25%, 9/15/17 |
|
106,817 |
|
|
181 |
|
7.25%, 1/15/18 |
|
176,544 |
|
|
293 |
|
7.25%, 4/15/18 |
|
288,070 |
|
|
5 |
|
7.25%, 8/15/18 |
|
4,863 |
|
|
91 |
|
7.25%, 9/15/18 |
|
89,408 |
|
|
199 |
|
7.30%, 1/15/18 |
|
194,098 |
|
|
57 |
|
7.35%, 4/15/18 |
|
56,240 |
|
|
2 |
|
7.375%, 4/15/18 |
|
1,957 |
|
|
55 |
|
7.40%, 12/15/17 |
|
53,248 |
|
|
12 |
|
7.50%, 6/15/16 |
|
11,829 |
|
|
7 |
|
7.50%, 11/15/16 |
|
6,899 |
|
|
51 |
|
7.50%, 8/15/17 |
|
49,887 |
|
|
18 |
|
7.50%, 11/15/17 |
|
17,481 |
|
|
22 |
|
7.50%, 12/15/17 |
|
21,357 |
|
|
4 |
|
7.55%, 5/15/16 |
|
3,970 |
|
|
12 |
|
7.75%, 10/15/17 |
|
11,837 |
|
|
46 |
|
8.00%, 11/15/17 |
|
45,258 |
|
|
2 |
|
8.125%, 11/15/17 |
|
1,971 |
|
|
326 |
|
9.00%, 7/15/20 (k) |
|
326,178 |
|
|
2,700 |
|
C10 Capital SPV Ltd., 6.722%, 12/31/16 (g)(k) |
|
1,714,500 |
|
|
1,300 |
|
CIT Group, Inc., 5.25%, 4/1/14 (a)(d)(k) |
|
1,352,000 |
|
|
1,200 |
|
Citigroup Capital XXI, 8.30%, 12/21/77, (converts to FRN on 12/21/37) (k) |
|
1,206,000 |
|
|
|
|
Credit Agricole S.A. (g), |
|
|
|
|
£450 |
|
5.136%, 2/24/16 |
|
416,896 |
|
|
£200 |
|
7.589%, 1/30/20 |
|
192,639 |
|
|
£200 |
|
8.125%, 10/26/19 |
|
217,070 |
|
|
|
|
Ford Motor Credit Co. LLC (k), |
|
|
|
|
$400 |
|
8.00%, 6/1/14 |
|
443,956 |
|
|
3,850 |
|
8.00%, 12/15/16 |
|
4,564,976 |
|
|
1,000 |
|
HSBC Finance Corp., 6.676%, 1/15/21 (k) |
|
1,085,198 |
|
|
3,000 |
|
International Lease Finance Corp., 6.625%, 11/15/13 (k) |
|
3,112,500 |
|
|
£100 |
|
LBG Capital No. 2 PLC, 15.00%, 12/21/19 |
|
189,504 |
|
|
$980 |
|
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 6/30/21 (a)(d)(k) |
|
1,031,450 |
|
|
|
|
SLM Corp., |
|
|
|
|
200 |
|
3.754%, 2/1/14 (h) |
|
197,700 |
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments
June 30, 2012 (unaudited) (continued)
|
Principal |
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
(000s) |
|
|
|
Value* |
|
|
Financial Services (continued) |
|
|
| ||
|
$1,000 |
|
8.00%, 3/25/20 (k) |
|
$1,100,000 |
|
|
1,250 |
|
8.45%, 6/15/18 (k) |
|
1,406,250 |
|
|
1,000 |
|
Stone Street Trust, 5.902%, 12/15/15 (a)(d)(k) |
|
1,023,921 |
|
|
|
|
|
|
22,462,063 |
|
|
Healthcare & Hospitals—2.7% |
|
|
| ||
|
3,000 |
|
Biomet, Inc., 11.625%, 10/15/17 (k) |
|
3,251,250 |
|
|
|
|
|
|
|
|
|
Hotels/Gaming—1.0% |
|
|
| ||
|
1,100 |
|
MGM Resorts International, 9.00%, 3/15/20 (k) |
|
1,226,500 |
|
|
|
|
|
|
|
|
|
Insurance—6.5% |
|
|
| ||
|
|
|
American International Group, Inc. (k), |
|
|
|
|
4,565 |
|
5.60%, 10/18/16 |
|
4,970,340 |
|
|
1,350 |
|
6.25%, 5/1/36 |
|
1,569,167 |
|
|
1,100 |
|
6.40%, 12/15/20 |
|
1,247,516 |
|
|
|
|
|
|
7,787,023 |
|
|
Multi-Media—1.3% |
|
|
| ||
|
1,500 |
|
McClatchy Co., 11.50%, 2/15/17 (k) |
|
1,563,750 |
|
|
|
|
|
|
|
|
|
Oil & Gas—6.9% |
|
|
| ||
|
2,900 |
|
BP Capital Markets PLC, 4.75%, 3/10/19 (k) |
|
3,288,565 |
|
|
357 |
|
Global Geophysical Services, Inc., 10.50%, 5/1/17 (k) |
|
341,828 |
|
|
1,500 |
|
NGPL PipeCo LLC, 9.625%, 6/1/19 (a)(b)(d)(k)(l) |
|
1,612,500 |
|
|
3,000 |
|
Quicksilver Resources, Inc., 11.75%, 1/1/16 (k) |
|
2,936,250 |
|
|
|
|
|
|
8,179,143 |
|
|
Real Estate Investment Trust—1.9% |
|
|
| ||
|
2,000 |
|
SL Green Realty Corp., 7.75%, 3/15/20 (k) |
|
2,286,408 |
|
|
|
|
|
|
|
|
|
Retail—2.3% |
|
|
| ||
|
2,482 |
|
CVS Pass Through Trust, 5.88%, 1/10/28 (k) |
|
2,727,805 |
|
|
|
|
|
|
|
|
|
Telecommunications—1.4% |
|
|
| ||
|
2,000 |
|
Wind Acquisition Finance S.A., 11.75%, 7/15/17 (a)(d)(k) |
|
1,625,000 |
|
|
|
|
|
|
|
|
|
Transportation—0.9% |
|
|
| ||
|
1,075 |
|
Navios Maritime Holdings, Inc., 8.875%, 11/1/17 (k) |
|
1,088,437 |
|
|
|
|
|
|
|
|
|
Utilities—0.5% |
|
|
| ||
|
500 |
|
Energy Future Holdings Corp., 10.00%, 1/15/20 (k) |
|
536,250 |
|
|
|
|
Total Corporate Bonds & Notes (cost—$67,518,396) |
|
74,241,213 |
|
|
|
|
|
|
|
|
|
U.S. GOVERNMENT AGENCY SECURITIES—35.0% |
|
|
| ||
|
|
|
Fannie Mae |
|
|
|
|
119 |
|
4.50%, 9/1/25, MBS (k) |
|
129,192 |
|
|
288 |
|
4.50%, 3/1/29, MBS (k) |
|
309,508 |
|
|
1,191 |
|
4.50%, 10/1/33, MBS (k) |
|
1,282,219 |
|
|
198 |
|
4.50%, 6/1/38, MBS (k) |
|
212,418 |
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments
June 30, 2012 (unaudited) (continued)
|
Principal |
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
(000s) |
|
|
|
Value* |
|
|
|
|
Fannie Mae (continued) |
|
|
|
|
$311 |
|
4.50%, 9/1/39, MBS (k) |
|
$333,533 |
|
|
264 |
|
4.50%, 2/1/40, MBS (k) |
|
284,281 |
|
|
435 |
|
4.50%, 9/1/40, MBS (k) |
|
468,925 |
|
|
690 |
|
4.50%, 7/1/41, MBS (k) |
|
744,238 |
|
|
25,281 |
|
5.50%, 6/1/38, MBS (k) |
|
27,591,536 |
|
|
2,068 |
|
5.805%, 3/25/37, CMO, IO (b)(h) |
|
301,244 |
|
|
2,025 |
|
5.905%, 11/25/39, CMO, IO (b)(h) |
|
291,740 |
|
|
2,784 |
|
6.00%, 8/1/34, MBS (k) |
|
3,124,060 |
|
|
972 |
|
6.00%, 12/1/34, MBS (k) |
|
1,085,354 |
|
|
1,445 |
|
6.00%, 11/1/36, MBS (k) |
|
1,610,292 |
|
|
346 |
|
6.00%, 12/1/37, MBS (k) |
|
381,367 |
|
|
502 |
|
6.00%, 3/1/38, MBS (k) |
|
552,071 |
|
|
1,975 |
|
6.135%, 3/25/37, CMO, IO (b)(h) |
|
309,799 |
|
|
1,882 |
|
6.195%, 4/25/37, CMO, IO (b)(h) |
|
296,544 |
|
|
2,072 |
|
6.955%, 2/25/37, CMO, IO (b)(h) |
|
387,461 |
|
|
179 |
|
7.00%, 12/25/23, CMO (k) |
|
218,228 |
|
|
114 |
|
7.50%, 6/1/32, MBS |
|
129,726 |
|
|
16 |
|
7.80%, 6/25/26, ABS (h) |
|
16,210 |
|
|
181 |
|
8.591%, 12/25/42, CMO (h)(k) |
|
209,735 |
|
|
518 |
|
13.85%, 8/25/22, CMO (b)(h) |
|
681,702 |
|
|
|
|
Freddie Mac |
|
|
|
|
3,121 |
|
6.198%, 3/15/37, CMO, IO (b)(h) |
|
449,651 |
|
|
1,880 |
|
6.328%, 9/15/36, CMO, IO (b)(h) |
|
313,024 |
|
|
19 |
|
7.00%, 8/15/23, CMO |
|
22,183 |
|
|
|
|
Total U.S. Government Agency Securities (cost—$40,957,012) |
|
41,736,241 |
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES—6.6% |
|
|
| ||
|
547 |
|
Aircraft Certificate Owner Trust, 6.455%, 9/20/22 (a)(d) |
|
547,417 |
|
|
248 |
|
Ameriquest Mortgage Securities, Inc., 5.87%, 2/25/33 (h) |
|
17,086 |
|
|
448 |
|
Bayview Financial Asset Trust, 1.195%, 12/25/39 (a)(d)(h) |
|
327,953 |
|
|
946 |
|
Bear Stearns Asset Backed Securities Trust, 6.50%, 8/25/36 |
|
616,568 |
|
|
1,558 |
|
Bombardier Capital Mortgage Securitization Corp., 7.83%, 6/15/30 (h) |
|
857,455 |
|
|
100 |
|
Carrington Mortgage Loan Trust, 0.395%, 8/25/36 (h) |
|
34,098 |
|
|
283 |
|
Centex Home Equity, 0.695%, 6/25/35 (h) |
|
184,727 |
|
|
|
|
Citigroup Mortgage Loan Trust, Inc., |
|
|
|
|
325 |
|
0.405%, 1/25/37 (h) |
|
152,308 |
|
|
1,010 |
|
5.972%, 1/25/37 |
|
654,471 |
|
|
|
|
Countrywide Asset-Backed Certificates (h), |
|
|
|
|
260 |
|
0.395%, 1/25/37 |
|
196,207 |
|
|
57 |
|
0.795%, 9/25/34 (a)(d) |
|
42,485 |
|
|
225 |
|
Denver Arena Trust, 6.94%, 11/15/19 (a)(d) |
|
230,538 |
|
|
360 |
|
EMC Mortgage Loan Trust, 0.715%, 5/25/39 (a)(d)(h) |
|
302,954 |
|
|
|
|
Lehman XS Trust, |
|
|
|
|
709 |
|
5.42%, 11/25/35 |
|
672,941 |
|
|
683 |
|
5.72%, 5/25/37 |
|
533,346 |
|
|
485 |
|
MASTR Asset-Backed Securities Trust, 5.233%, 11/25/35 |
|
487,175 |
|
|
218 |
|
Morgan Stanley ABS Capital I, 0.305%, 5/25/37 (h) |
|
170,548 |
|
|
140 |
|
Quest Trust, 0.365%, 8/25/36 (a)(d)(h) |
|
124,662 |
|
|
|
|
Residential Asset Mortgage Products, Inc. (h), |
|
|
|
|
100 |
|
0.925%, 3/25/33 |
|
72,904 |
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments
June 30, 2012 (unaudited) (continued)
|
Principal |
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
(000s) |
|
|
|
Value* |
|
|
$145 |
|
5.572%, 6/25/32 |
|
$114,538 |
|
|
147 |
|
Residential Funding Securities, LLC, 0.695%, 6/25/33 (a)(d)(h) |
|
138,238 |
|
|
254 |
|
Soundview Home Equity Loan Trust, 0.305%, 11/25/36 (a)(d)(h) |
|
69,589 |
|
|
|
|
Structured Asset Securities Corp. (h), |
|
|
|
|
806 |
|
0.395%, 5/25/36 |
|
524,101 |
|
|
915 |
|
0.545%, 6/25/35 |
|
622,409 |
|
|
187 |
|
Washington Mutual Asset-Backed Certificates, 0.305%, 10/25/36 (h) |
|
119,318 |
|
|
|
|
Total Asset-Backed Securities (cost—$7,331,005) |
|
7,814,036 |
|
|
|
|
|
|
|
|
|
SENIOR LOANS (a)(c)—5.0% |
|
|
| ||
|
Financial Services—4.0% |
|
|
| ||
|
5,000 |
|
Springleaf Financial Funding Co., 5.50%, 5/10/17 |
|
4,721,430 |
|
|
|
|
|
|
|
|
|
Hotels / Gaming—0.8% |
|
|
| ||
|
1,000 |
|
Stockbridge SBE Holdings, LLC, 13.00%, 5/2/17, Term B (b)(l) |
|
990,000 |
|
|
|
|
|
|
|
|
|
Utilities—0.2% |
|
|
| ||
|
478 |
|
Texas Competitive Electric Holdings Co. LLC, 4.743%, 10/10/17 |
|
286,933 |
|
|
|
|
Total Senior Loans (cost—$6,045,491) |
|
5,998,363 |
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS—1.2% |
|
|
| ||
|
West Virginia—1.2% |
|
|
| ||
|
1,865 |
|
Tobacco Settlement Finance Auth. Rev., 7.467%, 6/1/47, Ser. A (cost—$1,755,515) |
|
1,406,191 |
|
|
|
|
|
|
|
|
|
U.S. TREASURY OBLIGATIONS (i)—0.8% |
|
|
| ||
|
845 |
|
U.S. Treasury Notes, 2.375%, 8/31/14 (cost—$880,341) |
|
882,035 |
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
CONVERTIBLE PREFERRED STOCK—0.4% |
|
|
| ||
|
Electric Utilities—0.4% |
|
|
| ||
|
8,600 |
|
PPL Corp., 9.50%, 7/1/13 (cost—$430,000) |
|
454,940 |
|
|
|
|
|
|
|
|
|
WARRANTS—0.0% |
|
|
| ||
|
1,975 |
|
Alion Science and Technology Corp., expires 11/01/14 (a)(d)(f)(j) (cost—$20) |
|
20 |
|
|
Principal |
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
(000s) |
|
|
|
|
|
|
SHORT-TERM INVESTMENTS—22.5% |
|
|
| ||
|
U.S. Treasury Obligations (i)(k)(m)—13.9% |
|
|
| ||
|
|
|
U.S. Treasury Bills, |
|
|
|
|
$16,596 |
|
0.119%-0.172%, 8/23/12-5/30/13 (cost—$16,580,589) |
|
16,579,592 |
|
|
|
|
|
|
|
|
|
Corporate Notes—2.1% |
|
|
| ||
|
Financial Services—2.1% |
|
|
| ||
|
193 |
|
Ally Financial, Inc., 7.25%, 8/15/12 |
|
192,734 |
|
|
2,300 |
|
Ford Motor Credit Co. LLC, 7.50%, 8/1/12 (k) |
|
2,309,239 |
|
|
|
|
Total Corporate Notes (cost—$2,487,285) |
|
2,501,973 |
|
|
|
|
|
|
|
|
|
U.S. Government Agency Securities—0.3% |
|
|
| ||
|
400 |
|
Freddie Mac, zero coupon, 12/17/12 (cost—$399,701) |
|
399,776 |
|
PIMCO Global StocksPLUS® & Income Fund Schedule of Investments
June 30, 2012 (unaudited) (continued)
|
Principal |
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
(000s) |
|
|
|
Value* |
|
|
Repurchase Agreements—6.2% |
|
|
| ||
|
$2,200 |
|
Barclays Capital, Inc., dated 6/29/12, 0.16%, due 7/2/12, proceeds $2,200,029; collateralized by U.S. Treasury Bonds, 4.50%, due 8/15/39, valued at $2,240,788 including accrued interest |
|
$2,200,000 |
|
|
3,600 |
|
JPMorgan Securities, Inc., dated 6/29/12, 0.20%, due 7/2/12, proceeds $3,600,060; collateralized by U.S. Treasury Notes, 0.25%, due 4/30/14, valued at $3,679,549 including accrued interest |
|
3,600,000 |
|
|
1,594 |
|
State Street Bank & Trust Co., dated 6/29/12, 0.01%, due 7/2/12, proceeds $1,594,001; collateralized by U.S. Treasury Notes, 2.00%, due 11/15/21, valued at $1,630,753 including accrued interest |
|
1,594,000 |
|
|
|
|
Total Repurchase Agreements (cost—$7,394,000) |
|
7,394,000 |
|
|
|
|
Total Short-Term Investments (cost—$26,861,575) |
|
26,875,341 |
|
|
Contracts |
|
|
|
|
|
|
OPTIONS PURCHASED (j)—0.1% |
|
|
| ||
|
|
|
Put Options—0.1% |
|
|
|
|
|
|
S&P 500 Index Futures (CME), |
|
|
|
|
159 |
|
strike price $1,250, expires 7/20/12 (cost—$676,158) |
|
61,613 |
|
|
|
|
|
|
|
|
|
|
|
Total Investments, before options written |
|
237,806,513 |
|
|
|
|
|
|
|
|
|
OPTIONS WRITTEN (j)—(1.6)% |
|
|
| ||
|
|
|
Call Options—(1.6)% |
|
|
|
|
|
|
S&P 500 Index Futures (CME), |
|
|
|
|
159 |
|
strike price $1,315, expires 7/20/12 (premiums received—$1,450,466) |
|
(1,927,875 |
) |
|
|
|
|
|
|
|
|
|
|
Total Investments, net of options written (cost—$220,127,060)—198.0% |
|
235,878,638 |
|
|
|
|
Other liabilities in excess of other assets—(98.0)% |
|
(116,729,147 |
) |
|
|
|
Net Assets—100.0% |
|
$119,149,491 |
|
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. 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. Centrally cleared swaps and exchange-traded futures and options on futures are valued at the price determined by the relevant exchange. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (“NAV”) of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed.
The prices used by the Fund to value 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 $41,867,220, representing 35.1% 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 are 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 June 30, 2012. |
|
|
|
|
|
(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) |
|
In default. |
|
|
|
|
|
(f) |
|
Fair-Valued—Securities with an aggregate value of $1,015,212, representing 0.9% of net assets. |
|
|
|
|
|
(g) |
|
Perpetual maturity. The date shown is the next call date. For Corporate Bonds & Notes, the interest rate is fixed until the first call date and variable thereafter. |
|
|
|
|
|
(h) |
|
Variable or Floating Rate Security — Security with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on June 30, 2012. |
|
|
|
|
|
(i) |
|
All or partial amount segregated for the benefit of the counterparty as collateral for derivatives. |
|
|
|
|
|
(j) |
|
Non-income producing. |
|
|
|
|
|
(k) |
|
All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements. |
|
|
|
|
|
(l) |
|
Restricted. The aggregate acquisition cost of such securities is $3,050,000 and the aggregate market value is $3,210,000, representing 2.7% of net assets. |
|
|
|
|
|
(m) |
|
Rates reflect the effective yields at purchase date. |
|
|
|
|
|
(n) |
|
At June 30, 2012, the cost basis of portfolio securities (before options written) for federal income tax purposes was $221,989,365. Gross unrealized appreciation was $22,043,454; gross unrealized depreciation was $6,226,306; and net unrealized appreciation was $15,817,148. The difference between book and tax cost basis was attributable to wash sale loss deferrals. |
Glossary:
ABS—Asset-Backed Securities
£—British Pound
CME—Chicago Mercantile Exchange
CMO—Collateralized Mortgage Obligation
€—Euro
FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on June 30, 2012.
IO—Interest Only
LIBOR—London Inter-Bank Offered Rate
MBIA—insured by Municipal Bond Investors Assurance
MBS—Mortgage-Backed Securities
PIK—Payment in Kind
PO—Principal Only
Other Investments:
(a) Futures contracts outstanding at June 30, 2012:
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
|
|
Value |
|
Expiration |
|
Unrealized |
|
|
Type |
|
Contracts |
|
(000s) |
|
Date |
|
Appreciation |
|
|
Long: E-mini S&P 500 Index |
|
243 |
|
$16,480 |
|
9/21/12 |
|
$627,394 |
|
|
S&P 500 Index |
|
131 |
|
44,422 |
|
9/20/12 |
|
1,782,491 |
|
|
|
|
|
|
|
|
|
|
$2,409,885 |
|
At June 30, 2012, the Fund pledged cash collateral of $2,639,000 for futures contracts.
(b) Transactions in options written for the three months ended June 30, 2012:
|
|
|
Contracts |
|
Premiums |
|
|
Options outstanding, March 31, 2012 |
|
181 |
|
$995,035 |
|
|
Options written |
|
507 |
|
3,667,072 |
|
|
Options terminated in closing transactions |
|
(529 |
) |
(3,211,641 |
) |
|
Options outstanding, June 30, 2012 |
|
159 |
|
$1,450,466 |
|
(c) Over-the-Counter (OTC) Credit default swap agreements outstanding at June 30, 2012:
Buy protection swap agreements(1):
|
|
|
|
|
|
|
|
|
|
|
|
|
Upfront |
|
|
|
|
Swap Counterparty/ |
|
Notional Amount |
|
Credit |
|
Termination |
|
Payments |
|
Market |
|
Premiums |
|
Unrealized |
|
|
Referenced Debt Issuer |
|
(000s) (4) |
|
Spread (3) |
|
Date |
|
Made |
|
Value (5) |
|
Paid |
|
Appreciation |
|
|
Citigroup: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CIFC 2006-1A B1L |
|
$1,000 |
|
|
† |
10/20/20 |
|
(2.15 |
)% |
$201,709 |
|
— |
|
$201,709 |
|
|
Goldman Sachs: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CIFC 2006-1A B2L |
|
477 |
|
|
† |
10/20/20 |
|
(4.50 |
)% |
210,536 |
|
— |
|
210,536 |
|
|
TELOS 2006-1A |
|
1,500 |
|
|
† |
10/11/21 |
|
(5.00 |
)% |
633,668 |
|
— |
|
633,668 |
|
|
JPMorgan Chase: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Indymac Home Equity Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2000-B MV1 |
|
1,110 |
|
|
† |
6/25/30 |
|
(0.45 |
)% |
247,446 |
|
— |
|
247,446 |
|
|
Morgan Stanley: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aegis Asset Backed Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2004-2 B1 |
|
1,272 |
|
|
† |
6/25/34 |
|
(1.15 |
)% |
809,400 |
|
— |
|
809,400 |
|
|
|
|
|
|
|
|
|
|
|
|
$2,102,759 |
|
— |
|
$2,102,759 |
|
Sell protection swap agreements(2):
|
|
|
|
|
|
|
|
|
|
|
|
|
Upfront |
|
Unrealized |
|
|
Swap Counterparty/ |
|
Notional Amount |
|
Credit |
|
Termination |
|
Payments |
|
Market |
|
Premiums |
|
Appreciation |
|
|
Referenced Debt Issuer |
|
(000s) (4) |
|
Spread (3) |
|
Date |
|
Received |
|
Value (5) |
|
Paid(Received) |
|
(Depreciation) |
|
|
Bank of America: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Beach Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2003-3 M3 |
|
$564 |
|
|
† |
7/25/33 |
|
6.25 |
% |
$(447,174 |
) |
— |
|
$(447,174 |
) |
|
SLM |
|
500 |
|
2.04 |
% |
12/20/13 |
|
5.00 |
% |
22,346 |
|
$(70,000 |
) |
92,346 |
|
|
Citigroup: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SLM |
|
1,800 |
|
2.04 |
% |
12/20/13 |
|
5.00 |
% |
80,445 |
|
155,595 |
|
(75,150 |
) |
|
SLM |
|
900 |
|
2.04 |
% |
12/20/13 |
|
5.00 |
% |
40,222 |
|
(141,750 |
) |
181,972 |
|
|
Deutsche Bank: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SLM |
|
700 |
|
2.04 |
% |
12/20/13 |
|
5.00 |
% |
31,284 |
|
(98,000 |
) |
129,284 |
|
|
Morgan Stanley: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Indymac Home Equity Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2000-B MV1 |
|
1,110 |
|
|
† |
6/25/30 |
|
1.82 |
% |
(210,378 |
) |
— |
|
(210,378 |
) |
|
Morgan Stanley Dean Witter |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2002-HE2 |
|
156 |
|
|
† |
8/25/32 |
|
3.23 |
% |
(145,759 |
) |
(2,931 |
) |
(142,828 |
) |
|
Royal Bank of Scotland: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Markit ABX.HE |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index 07-1 |
|
2,990 |
|
|
† |
8/25/37 |
|
0.09 |
% |
(1,459,435 |
) |
(1,479,900 |
) |
20,465 |
|
|
Markit ABX.HE |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index 06-1 |
|
3,040 |
|
|
† |
7/25/45 |
|
0.32 |
% |
(1,645,697 |
) |
(1,789,800 |
) |
144,103 |
|
|
UBS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aegis Asset Backed Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2004-2 B1 |
|
1,272 |
|
|
† |
6/25/34 |
|
1.50 |
% |
(776,431 |
) |
— |
|
(776,431 |
) |
|
|
|
|
|
|
|
|
|
|
|
$(4,510,577 |
) |
$(3,426,786 |
) |
$(1,083,791 |
) |
† 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 comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(3) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements 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) This represents the maximum potential amount the Fund could be required to make available as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(5) The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at June 30, 2012 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 June 30, 2012:
OTC swap agreements:
|
|
|
|
|
|
|
Rate Type |
|
|
|
Upfront |
|
|
| ||
|
|
|
Notional Amount |
|
Termination |
|
Payments |
|
Payments |
|
Market |
|
Premiums |
|
Unrealized |
|
|
Swap Counterparty |
|
(000s) |
|
Date |
|
Made |
|
Received |
|
Value |
|
Paid(Received) |
|
Appreciation |
|
|
Credit Suisse First Boston |
|
$25,000 |
|
8/15/17 |
|
3-Month USD-LIBOR |
|
1.55 |
% |
$208,797 |
|
$13,972 |
|
$194,825 |
|
|
Deutsche Bank |
|
25,000 |
|
8/15/17 |
|
3-Month USD-LIBOR |
|
1.55 |
% |
208,797 |
|
(3,119 |
) |
211,916 |
|
|
|
|
|
|
|
|
|
|
|
|
$417,594 |
|
$10,853 |
|
$406,741 |
|
Centrally cleared swap agreements:
|
|
|
|
|
|
|
Rate Type |
|
|
|
Unrealized |
| ||
|
|
|
Notional Amount |
|
Termination |
|
Payments |
|
Payments |
|
Market |
|
Appreciation |
|
|
Broker (Exchange) |
|
(000s) |
|
Date |
|
Made |
|
Received |
|
Value |
|
(Depreciation) |
|
|
Morgan Stanley (CME) |
|
$200,000 |
|
12/21/41 |
|
3-Month USD-LIBOR |
|
2.85% |
|
$15,208,306 |
|
$14,909,136 |
|
|
Morgan Stanley (CME) |
|
220,000 |
|
6/20/42 |
|
2.75% |
|
3-Month USD-LIBOR |
|
(11,804,040 |
) |
(18,249,040 |
) |
|
|
|
|
|
|
|
|
|
|
|
$3,404,266 |
|
$(3,339,904 |
) |
CME—Chicago Mercantile Exchange
LIBOR—London Inter-Bank Offered Rate
At June 30, 2012, the Fund pledged cash collateral of $1,594,000 for centrally cleared interest rate swaps.
(e) OTC total return swap agreement outstanding at June 30, 2012:
|
Pay/Receive |
|
|
|
|
|
|
|
Notional |
|
|
|
|
|
|
|
|
Total Return |
|
|
|
|
|
|
|
Amount |
|
Maturity |
|
|
|
Unrealized |
|
|
on Reference Index |
|
Index |
|
# of Units |
|
Floating Rate* |
|
(000s) |
|
Date |
|
Counterparty |
|
Depreciation |
|
|
Receive |
|
MSCI Daily Total Return EAFE |
|
16,105 |
|
1- Month USD-LIBOR Minus 0.04% |
|
$60,299 |
|
2/28/13 |
|
Bank of America |
|
$(1,432,490 |
) |
* Floating rate based upon predetermined notional amounts, which may be a multiple of the number of units disclosed.
EAFE—Europe and Australia, Far East Equity Index
LIBOR—London Inter-Bank Offered Rate
MSCI—Morgan Stanley Capital International
(f) Forward foreign currency contracts outstanding at June 30, 2012:
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
|
|
U.S.$ Value on |
|
U.S.$ Value |
|
Appreciation |
|
|
|
|
Counterparty |
|
Origination Date |
|
June 30, 2012 |
|
(Depreciation) |
|
|
Purchased: |
|
|
|
|
|
|
|
|
|
|
1,577,000 British Pound settling 7/3/12 |
|
UBS |
|
$2,460,908 |
|
$2,469,820 |
|
$8,912 |
|
|
423,000 Danish Krone settling 8/23/12 |
|
HSBC Bank |
|
72,708 |
|
72,101 |
|
(607 |
) |
|
1,237,000 Euro settling 7/3/12 |
|
BNP Paribas |
|
1,543,776 |
|
1,565,423 |
|
21,647 |
|
|
2,840,000 Euro settling 7/16/12 |
|
BNP Paribas |
|
3,600,825 |
|
3,594,387 |
|
(6,438 |
) |
|
70,000 Euro settling 7/16/12 |
|
Deutsche Bank |
|
87,263 |
|
88,594 |
|
1,331 |
|
|
927,000 Euro settling 7/16/12 |
|
JPMorgan Chase |
|
1,168,272 |
|
1,173,238 |
|
4,966 |
|
|
1,483,000 Hong Kong Dollar settling 8/17/12 |
|
UBS |
|
191,070 |
|
191,186 |
|
116 |
|
|
127,000 Norwegian Krone settling 7/27/12 |
|
BNP Paribas |
|
21,152 |
|
21,331 |
|
179 |
|
|
127,000 Norwegian Krone settling 7/27/12 |
|
HSBC Bank |
|
21,109 |
|
21,331 |
|
222 |
|
|
127,000 Norwegian Krone settling 7/27/12 |
|
UBS |
|
21,067 |
|
21,331 |
|
264 |
|
|
1,659,000 Swedish Krona settling 8/23/12 |
|
Deutsche Bank |
|
231,723 |
|
239,379 |
|
7,656 |
|
|
Sold: |
|
|
|
|
|
|
|
|
|
|
608,000 Australian Dollar settling 7/19/12 |
|
Credit Suisse First Boston |
|
591,706 |
|
621,345 |
|
(29,639 |
) |
|
789,000 British Pound settling 7/3/12 |
|
Goldman Sachs |
|
1,245,141 |
|
1,235,693 |
|
9,448 |
|
|
788,000 British Pound settling 7/3/12 |
|
HSBC Bank |
|
1,242,459 |
|
1,234,127 |
|
8,332 |
|
|
1,577,000 British Pound settling 8/2/12 |
|
UBS |
|
2,460,696 |
|
2,469,637 |
|
(8,941 |
) |
|
619,000 Euro settling 7/3/12 |
|
BNP Paribas |
|
788,521 |
|
783,344 |
|
5,177 |
|
|
1,237,000 Euro settling 8/2/12 |
|
BNP Paribas |
|
1,544,184 |
|
1,565,794 |
|
(21,610 |
) |
|
935,000 Euro settling 7/16/12 |
|
Deutsche Bank |
|
1,168,523 |
|
1,183,363 |
|
(14,840 |
) |
|
618,000 Euro settling 7/3/12 |
|
JPMorgan Chase |
|
788,058 |
|
782,078 |
|
5,980 |
|
|
959,000 Euro settling 7/16/12 |
|
JPMorgan Chase |
|
1,239,747 |
|
1,213,738 |
|
26,009 |
|
|
883,000 Euro settling 7/16/12 |
|
UBS |
|
1,152,571 |
|
1,117,551 |
|
35,020 |
|
|
82,487,000 Japanese Yen settling 9/10/12 |
|
BNP Paribas |
|
1,054,214 |
|
1,032,901 |
|
21,313 |
|
|
489,000 Swiss Franc settling 8/23/12 |
|
HSBC Bank |
|
520,301 |
|
515,837 |
|
4,464 |
|
|
|
|
|
|
|
|
|
|
$78,961 |
|
At June 30, 2012, the Fund held $2,280,000 in cash as collateral for derivatives. Cash collateral held may be invested in accordance with the Fund’s investment strategy.
(g) Open reverse repurchase agreements at June 30, 2012:
|
Counterparty |
|
Rate |
|
Trade Date |
|
Due Date |
|
Principal & Interest |
|
Principal |
|
|
Barclays Bank |
|
0.38 |
% |
6/13/12 |
|
7/12/12 |
|
$3,310,628 |
|
$3,310,000 |
|
|
|
|
0.60 |
% |
6/6/12 |
|
8/27/12 |
|
603,251 |
|
603,000 |
|
|
|
|
0.65 |
% |
6/14/12 |
|
9/14/12 |
|
1,172,236 |
|
1,171,876 |
|
|
|
|
0.67 |
% |
4/11/12 |
|
7/11/12 |
|
1,016,530 |
|
1,015,000 |
|
|
|
|
0.67 |
% |
4/13/12 |
|
7/16/12 |
|
2,936,310 |
|
2,932,000 |
|
|
|
|
0.67 |
% |
4/19/12 |
|
7/20/12 |
|
871,182 |
|
870,000 |
|
|
|
|
0.67 |
% |
4/26/12 |
|
7/20/12 |
|
2,533,108 |
|
2,530,000 |
|
|
|
|
0.67 |
% |
6/21/12 |
|
9/20/12 |
|
3,086,574 |
|
3,086,000 |
|
|
|
|
0.80 |
% |
5/18/12 |
|
8/16/12 |
|
1,024,000 |
|
1,023,000 |
|
|
|
|
0.87 |
% |
4/13/12 |
|
7/16/12 |
|
4,542,657 |
|
4,534,000 |
|
|
|
|
0.87 |
% |
4/16/12 |
|
7/16/12 |
|
3,055,602 |
|
3,050,000 |
|
|
|
|
0.87 |
% |
4/19/12 |
|
7/20/12 |
|
3,950,958 |
|
3,944,000 |
|
|
Credit Suisse First Boston |
|
1.55 |
% |
6/5/12 |
|
8/7/12 |
|
2,661,977 |
|
2,659,000 |
|
|
Deutsche Bank |
|
0.65 |
% |
4/11/12 |
|
7/11/12 |
|
1,019,489 |
|
1,018,000 |
|
|
|
|
0.65 |
% |
5/7/12 |
|
8/10/12 |
|
608,604 |
|
608,000 |
|
|
|
|
0.65 |
% |
5/23/12 |
|
8/22/12 |
|
3,146,214 |
|
3,144,000 |
|
|
|
|
0.65 |
% |
6/6/12 |
|
9/6/12 |
|
1,460,659 |
|
1,460,000 |
|
|
|
|
0.65 |
% |
6/25/12 |
|
7/17/12 |
|
543,059 |
|
543,000 |
|
|
|
|
0.70 |
% |
6/6/12 |
|
8/1/12 |
|
2,260,098 |
|
2,259,000 |
|
|
|
|
0.75 |
% |
5/7/12 |
|
8/9/12 |
|
759,870 |
|
759,000 |
|
|
|
|
0.75 |
% |
5/7/12 |
|
8/10/12 |
|
1,440,649 |
|
1,439,000 |
|
|
|
|
0.75 |
% |
5/8/12 |
|
8/9/12 |
|
483,543 |
|
483,000 |
|
|
|
|
0.75 |
% |
5/11/12 |
|
8/10/12 |
|
1,792,903 |
|
1,791,000 |
|
|
|
|
0.75 |
% |
5/15/12 |
|
7/17/12 |
|
568,556 |
|
568,000 |
|
|
|
|
0.75 |
% |
5/15/12 |
|
8/17/12 |
|
2,924,861 |
|
2,922,000 |
|
|
|
|
0.75 |
% |
6/8/12 |
|
9/10/12 |
|
2,978,426 |
|
2,977,000 |
|
|
|
|
0.80 |
% |
4/3/12 |
|
7/5/12 |
|
2,138,221 |
|
2,134,000 |
|
|
|
|
0.80 |
% |
4/10/12 |
|
7/5/12 |
|
860,565 |
|
859,000 |
|
|
|
|
0.80 |
% |
4/11/12 |
|
7/11/12 |
|
3,204,759 |
|
3,199,000 |
|
|
|
|
0.80 |
% |
4/17/12 |
|
7/20/12 |
|
1,129,880 |
|
1,128,000 |
|
|
|
|
0.80 |
% |
5/11/12 |
|
8/10/12 |
|
1,657,877 |
|
1,656,000 |
|
|
|
|
0.80 |
% |
6/15/12 |
|
9/17/12 |
|
1,436,511 |
|
1,436,000 |
|
|
|
|
0.80 |
% |
6/21/12 |
|
9/17/12 |
|
2,241,498 |
|
2,241,000 |
|
|
|
|
0.80 |
% |
6/30/12 |
|
10/5/12 |
|
2,989,000 |
|
2,989,000 |
|
|
JPMorgan Chase |
|
0.48 |
% |
6/13/12 |
|
7/12/12 |
|
199,048 |
|
199,000 |
|
|
|
|
0.80 |
% |
4/23/12 |
|
7/25/12 |
|
1,138,744 |
|
1,137,000 |
|
|
Morgan Stanley |
|
0.53 |
% |
6/13/12 |
|
7/12/12 |
|
197,052 |
|
197,000 |
|
|
|
|
1.35 |
% |
6/1/12 |
|
8/28/12 |
|
503,566 |
|
503,000 |
|
|
|
|
1.35 |
% |
6/4/12 |
|
8/28/12 |
|
2,016,039 |
|
2,014,000 |
|
|
Royal Bank of Scotland |
|
(0.25 |
)% |
6/1/12 |
|
5/31/14 |
|
1,500,687 |
|
1,501,000 |
|
|
|
|
0.995 |
% |
6/28/12 |
|
7/26/12 |
|
2,851,236 |
|
2,851,000 |
|
|
|
|
1.142 |
% |
6/14/12 |
|
7/16/12 |
|
1,512,815 |
|
1,512,000 |
|
|
|
|
1.239 |
% |
6/4/12 |
|
7/5/12 |
|
1,021,949 |
|
1,021,000 |
|
|
|
|
1.246 |
% |
6/30/12 |
|
7/31/12 |
|
1,031,000 |
|
1,031,000 |
|
|
|
|
1.591 |
% |
6/14/12 |
|
7/11/12 |
|
1,466,101 |
|
1,465,000 |
|
|
|
|
1.591 |
% |
6/15/12 |
|
7/16/12 |
|
1,325,937 |
|
1,325,000 |
|
|
Scotia Capital |
|
0.31 |
% |
6/13/12 |
|
7/12/12 |
|
33,651,214 |
|
33,646,000 |
|
|
UBS |
|
0.55 |
% |
4/19/12 |
|
7/20/12 |
|
1,976,202 |
|
1,974,000 |
|
|
|
|
0.70 |
% |
3/1/12 |
|
8/29/12 |
|
3,119,510 |
|
3,114,000 |
|
|
|
|
0.70 |
% |
3/2/12 |
|
8/29/12 |
|
520,920 |
|
520,000 |
|
|
|
|
0.70 |
% |
3/8/12 |
|
8/29/12 |
|
1,115,971 |
|
1,114,000 |
|
|
|
|
|
|
|
|
|
|
|
|
$121,464,876 |
|
The weighted average daily balance of reverse repurchase agreements outstanding during the three months ended June 30, 2012 was $113,168,369 at a weighted average interest rate of 0.67%. The total market value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at June 30, 2012 was $127,406,000.
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 three months ended June 30, 2012 maximized the use of observable inputs and minimized the use of unobservable inputs. When fair-valuing securities, the Fund utilized multi-dimensional relational pricing model and 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. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with Generally Accepted Accounting Principles.
Equity Securities (Common and Preferred Stock) – Equity securities traded in inactive markets and certain foreign equity securities are valued using inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from independent pricing services that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable, the values of equity securities are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.
U.S. Treasury Obligations – U.S. Treasuries are valued by independent pricing services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The models also take into consideration data received from active market makers and broker-dealers, yield curves, and the spread over comparable U.S. Treasury issues. The spreads change daily in response to market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable, the values of U.S. Treasury obligations are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.
Government Sponsored Enterprise and Mortgage-Backed Securities – Government sponsored enterprise and mortgage-backed securities are valued by independent pricing services using pricing models based on inputs that include issuer type, coupon, cash flows, mortgage prepayment projection tables and Adjustable Rate Mortgage evaluations that incorporate index data, periodic and life caps, the next coupon reset date, and the convertibility of the bond. To the extent that these inputs are observable, the values of Government sponsored enterprise and mortgage-backed securities are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.
Municipal Bonds – Municipal bonds are valued by independent pricing services based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable, the values of municipal bonds are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.
Corporate Bonds & Notes – Corporate bonds and notes are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and option adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are valued by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of corporate bonds and notes are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.
Asset-Backed Securities and Collateralized Mortgage Obligations – Asset-backed securities and collateralized mortgage obligations are valued by independent pricing services using pricing models based on a security’s average life volatility. The models also take into account tranche characteristics such as coupon average life, collateral types, ratings, the issuer and tranche type, underlying collateral and performance of the collateral, and discount margin for certain floating rate issues. To the extent that these inputs are observable, the values of asset-backed securities and collateralized mortgage obligations are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.
Option Contracts – Option contracts traded over the counter (“OTC”) are valued by independent pricing services based on pricing models that incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable, the values of OTC option contracts are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.
Forward Foreign Currency Contracts – Forward foreign currency contracts are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, actual trading information and foreign currency exchange rates gathered from leading market makers and foreign currency exchange trading centers throughout the world. To the extent that these inputs are observable, the values of forward foreign currency contracts are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.
Interest Rate Swaps – OTC interest rate swaps are valued by independent pricing services using pricing models that are based on real-time intraday snapshots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps is monitored regularly to ensure that interest rates are properly depicting the current market rate. Centrally cleared swaps are valued at the price determined by the relevant exchange. To the extent that these inputs are observable, the values of OTC interest rate swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Credit Default Swaps – OTC credit default swaps are valued by independent pricing services using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable, the values of credit default swaps are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.
Total Return Swaps – OTC total Return swaps are valued by independent pricing services using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable, the values of total return swaps are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.
Senior Loans – Senior Loans are valued by independent pricing services based on the average of quoted prices received from multiple dealers or valued relative to other benchmark securities when broker-dealer quotes are unavailable. To the extent that these inputs are observable, the values of Senior Loans are categorized as Level 2 to the extent that these inputs are unobservable the values are categorized as Level 3.
The Fund’s policy is to recognize transfers between levels at the end of the reporting period.
A summary of the inputs used at June 30, 2012 in valuing the Fund’s assets and liabilities is listed below (refer to the Schedule of Investments and Other Investments for more detailed information on Investments in Securities and Other Financial Instruments):
|
|
|
|
|
Level 2 - |
|
Level 3 - |
|
|
|
|
|
|
|
|
Other Significant |
|
Significant |
|
|
|
|
|
|
Level 1 - |
|
Observable |
|
Unobservable |
|
Value at |
|
|
|
|
Quoted Prices |
|
Inputs |
|
Inputs |
|
6/30/12 |
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities |
|
— |
|
$76,277,328 |
|
$2,059,192 |
|
$78,336,520 |
|
|
Corporate Bonds & Notes: |
|
|
|
|
|
|
|
|
|
|
Airlines |
|
— |
|
1,072,500 |
|
3,609,358 |
|
4,681,858 |
|
|
All Other |
|
— |
|
69,559,355 |
|
— |
|
69,559,355 |
|
|
U.S. Government Agency Securities |
|
— |
|
41,736,241 |
|
— |
|
41,736,241 |
|
|
Asset-Backed Securities |
|
— |
|
7,266,619 |
|
547,417 |
|
7,814,036 |
|
|
Senior Loans |
|
— |
|
5,008,363 |
|
990,000 |
|
5,998,363 |
|
|
Municipal Bonds |
|
— |
|
1,406,191 |
|
— |
|
1,406,191 |
|
|
U.S. Treasury Obligations |
|
— |
|
882,035 |
|
— |
|
882,035 |
|
|
Convertible Preferred Stock |
|
$454,940 |
|
— |
|
— |
|
454,940 |
|
|
Warrants |
|
— |
|
— |
|
20 |
|
20 |
|
|
Short-Term Investments |
|
— |
|
26,875,341 |
|
— |
|
26,875,341 |
|
|
Options Purchased: |
|
|
|
|
|
|
|
|
|
|
Market Price |
|
— |
|
61,613 |
|
— |
|
61,613 |
|
|
Total Investments in Securities - Assets |
|
$454,940 |
|
$230,145,586 |
|
$7,205,987 |
|
$237,806,513 |
|
|
Investments in Securities - Liabilities |
|
|
|
|
|
|
|
|
|
|
Options Written, at value: |
|
|
|
|
|
|
|
|
|
|
Market Price |
|
— |
|
$(1,927,875 |
) |
— |
|
$(1,927,875 |
) |
|
Other Financial Instruments* - Assets |
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
— |
|
$2,469,220 |
|
$201,709 |
|
$2,670,929 |
|
|
Foreign Exchange Contracts |
|
— |
|
161,036 |
|
— |
|
161,036 |
|
|
Interest Rate Contracts |
|
— |
|
15,315,877 |
|
— |
|
15,315,877 |
|
|
Market Price |
|
$2,409,885 |
|
— |
|
— |
|
2,409,885 |
|
|
Total Other Financial Instruments* - Assets |
|
$2,409,885 |
|
$17,946,133 |
|
$201,709 |
|
$20,557,727 |
|
|
Other Financial Instruments* - Liabilities |
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
— |
|
$(1,651,961 |
) |
— |
|
$(1,651,961 |
) |
|
Foreign Exchange Contracts |
|
— |
|
(82,075 |
) |
— |
|
(82,075 |
) |
|
Interest Rate Contracts |
|
— |
|
(18,249,040 |
) |
— |
|
(18,249,040 |
) |
|
Market Price |
|
— |
|
(1,432,490 |
) |
— |
|
(1,432,490 |
) |
|
Total Other Financial Instruments* - Liabilities |
|
— |
|
$(21,415,566 |
) |
— |
|
$(21,415,566 |
) |
|
Total Investments |
|
$2,864,825 |
|
$224,748,278 |
|
$7,407,696 |
|
$235,020,799 |
|
*Other financial instruments are derivatives 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.
There were no significant transfers between Levels 1 and 2 during the three months ended June 30, 2012.
A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the three months ended June 30, 2012, was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Change |
|
|
|
|
|
|
|
|
|
|
Beginning |
|
|
|
|
|
Accrued |
|
Net |
|
in Unrealized |
|
Transfers |
|
Transfers |
|
Ending |
|
|
|
|
Balance |
|
|
|
|
|
Discounts |
|
Realized |
|
Appreciation/ |
|
into |
|
out of |
|
Balance |
|
|
|
|
3/31/12 |
|
Purchases |
|
Sales |
|
(Premiums) |
|
Gain (Loss) |
|
Depreciation |
|
Level 3** |
|
Level 3*** |
|
6/30/12 |
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities |
|
$3,275,263 |
|
$18,786 |
|
$(39,264 |
) |
$1,055 |
|
$12,850 |
|
$20,286 |
|
$1,015,192 |
|
$(2,244,976 |
) |
$2,059,192 |
|
|
Corporate Bonds & Notes: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines |
|
3,754,974 |
|
— |
|
(125,707 |
) |
(18,130 |
) |
10,813 |
|
(12,592 |
) |
— |
|
— |
|
3,609,358 |
|
|
Asset-Backed Securities |
|
539,206 |
|
— |
|
— |
|
(14 |
) |
— |
|
8,225 |
|
— |
|
— |
|
547,417 |
|
|
Senior Loans |
|
— |
|
950,000 |
|
— |
|
1,351 |
|
— |
|
38,649 |
|
— |
|
— |
|
990,000 |
|
|
Warrants |
|
— |
|
20 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
20 |
|
|
Total Investments |
|
$7,569,443 |
|
$968,806 |
|
$(164,971 |
) |
$(15,738 |
) |
$23,663 |
|
$54,568 |
|
$1,015,192 |
|
$(2,244,976 |
) |
$7,205,987 |
|
|
Other Financial Instruments* - Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
$1,071,165 |
|
— |
|
— |
|
— |
|
— |
|
$(25,252 |
) |
— |
|
$(844,204 |
) |
$201,709 |
|
|
Other Financial Instruments* - Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
$(441,831 |
) |
— |
|
— |
|
— |
|
— |
|
$(5,343 |
) |
— |
|
$447,174 |
|
— |
|
|
Total Investments |
|
$8,198,777 |
|
$968,806 |
|
$(164,971 |
) |
$(15,738 |
) |
$23,663 |
|
$23,973 |
|
$1,015,192 |
|
(2,642,006 |
) |
$7,407,696 |
|
**Transferred out of Level 2 into Level 3 because sufficient observable inputs were not available.
***Transferred out of Level 3 into Level 2 because sufficient observable inputs were available.
The net change in unrealized appreciation/depreciation of Level 3 investments and other financial instruments which the Fund held at June 30, 2012 was $563 and $(25,740), 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 control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a -3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits
(a) Exhibit 99.302 Cert. — Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: PIMCO Global StocksPLUS® & Income Fund
|
By |
/s/ Brian S. Shlissel |
|
|
|
| |
|
President & Chief Executive Officer |
| |
|
Date: August 28, 2012 |
| |
|
|
| |
|
By |
/s/ Lawrence G. Altadonna |
|
|
|
| |
|
Treasurer, Principal Financial & Accounting Officer |
| |
|
Date: August 28, 2012 |
| |
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: August 28, 2012 |
| |
|
|
| |
|
By |
/s/ Lawrence G. Altadonna |
|
|
|
| |
|
Treasurer, Principal Financial & Accounting Officer |
| |
|
Date: August 28, 2012 |
| |