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UNITED STATES |
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SECURITIES AND EXCHANGE COMMISSION |
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Washington, D.C. 20549 |
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OMB APPROVAL |
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OMB Number: 3235-0578 |
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Expires: April 30, 2010 |
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Estimated average burden |
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hours per response: 10.5 |
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FORM N-Q |
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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, 2008 |
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Date of Reporting Period: |
December 31, 2007 |
Form N-Q is to be used by the registered management investment company, other than a small business investment company 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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
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PIMCO Global StocksPLUS & Income Fund Schedule of Investments |
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December 31, 2007 (unaudited) |
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Principal |
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Credit
Rating |
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Value* |
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U.S. GOVERNMENT AGENCY SECURITIES—66.9% |
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Fannie Mae, |
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$1,071 |
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5.50%, 11/1/34, MBS |
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Aaa/AAA |
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$1,070,925 |
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1,166 |
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5.50%, 1/1/35, MBS |
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Aaa/AAA |
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1,165,626 |
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33,500 |
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5.50%, TBA, MBS (e) |
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Aaa/AAA |
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33,463,351 |
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7,981 |
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6.00%, 3/1/30, MBS (j) |
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Aaa/AAA |
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8,136,990 |
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6,846 |
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6.00%, 5/25/31, CMO (j) |
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Aaa/AAA |
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6,936,566 |
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1,712 |
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6.50%, 2/1/30, MBS |
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Aaa/AAA |
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1,771,666 |
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13 |
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6.50%, 6/1/31, MBS |
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Aaa/AAA |
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13,118 |
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176 |
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6.50%, 9/1/31, MBS |
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Aaa/AAA |
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181,227 |
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339 |
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6.50%, 11/1/31, MBS |
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Aaa/AAA |
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348,104 |
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568 |
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6.50%, 7/1/32, MBS |
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Aaa/AAA |
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583,562 |
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739 |
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6.50%, 9/1/32, MBS |
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Aaa/AAA |
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756,392 |
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812 |
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6.50%, 2/25/33, CMO |
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Aaa/AAA |
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851,178 |
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186 |
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6.50%, 10/1/33, MBS |
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Aaa/AAA |
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192,170 |
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547 |
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6.50%, 12/1/33, MBS |
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Aaa/AAA |
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561,896 |
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384 |
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6.692%, 11/1/28, FRN, MBS |
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Aaa/AAA |
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396,123 |
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1,114 |
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6.95%, 8/25/21, CMO |
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Aaa/AAA |
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1,171,993 |
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780 |
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7.00%, 8/25/21, CMO |
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Aaa/AAA |
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829,710 |
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960 |
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7.00%, 9/25/21, CMO |
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Aaa/AAA |
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1,020,942 |
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179 |
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7.00%, 12/25/23, CMO |
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Aaa/AAA |
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195,995 |
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1,120 |
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7.00%, 11/1/24, MBS |
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Aaa/AAA |
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1,175,791 |
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369 |
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7.00%, 2/1/31, MBS |
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Aaa/AAA |
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384,413 |
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197 |
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7.00%, 6/25/32, CMO |
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Aaa/AAA |
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208,350 |
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64 |
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7.00%, 1/25/48, CMO |
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Aaa/AAA |
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68,185 |
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98 |
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7.50%, 7/25/22, CMO |
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Aaa/AAA |
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105,805 |
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123 |
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7.50%, 6/1/32, MBS |
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Aaa/AAA |
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127,871 |
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28 |
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7.50%, 10/1/32, MBS |
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Aaa/AAA |
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29,499 |
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250 |
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8.00%, 3/25/21, CMO |
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Aaa/AAA |
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271,488 |
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4,127 |
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8.00%, 8/1/32, MBS |
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Aaa/AAA |
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4,424,942 |
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47 |
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8.50%, 1/25/25, CMO |
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Aaa/AAA |
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50,364 |
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Fannie Mae Whole Loan, |
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105 |
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6.50%, 6/25/28, CMO |
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Aaa/AAA |
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109,969 |
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1,899 |
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7.50%, 2/25/42, CMO, VRN |
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Aaa/AAA |
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2,013,040 |
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114 |
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7.80%, 6/25/26, ABS, VRN |
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Aaa/AAA |
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120,296 |
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361 |
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10.244%, 12/25/42, CMO, VRN |
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Aaa/AAA |
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396,129 |
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4,000 |
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Federal Home Loan Bank, zero coupon, 2/27/12, FRN |
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Aaa/AAA |
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3,932,520 |
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Freddie Mac, Structured Pass |
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137 |
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6.50%, 7/25/43 |
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Aaa/AAA |
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141,139 |
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1,989 |
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7.00%, 7/25/32, VRN |
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Aaa/AAA |
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2,094,251 |
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Freddie Mac, |
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89 |
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4.50%, 11/15/25, CMO |
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Aaa/AAA |
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88,300 |
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2,000 |
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5.50%, TBA, MBS (e) |
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Aaa/AAA |
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1,995,938 |
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2,806 |
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6.00%, 5/1/30, MBS |
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Aaa/AAA |
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2,866,611 |
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16,000 |
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6.00%, TBA, MBS (e) |
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Aaa/AAA |
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16,237,504 |
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2,000 |
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6.50%, 10/15/23, CMO |
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Aaa/AAA |
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2,090,182 |
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818 |
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6.50%, 4/15/24, CMO |
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Aaa/AAA |
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856,622 |
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3,148 |
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6.50%, 6/15/31, CMO |
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Aaa/AAA |
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3,258,682 |
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3,302 |
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6.50%, 8/15/31, CMO |
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Aaa/AAA |
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3,401,698 |
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PIMCO Global StocksPLUS & Income Fund Schedule of Investments |
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December 31, 2007 (unaudited) |
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Principal |
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Credit
Rating |
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Value* |
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$4,820 |
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6.50%, 2/15/32, CMO |
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Aaa/AAA |
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$5,045,741 |
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949 |
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6.50%, 2/1/34, MBS |
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Aaa/AAA |
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975,633 |
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348 |
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6.50%, 3/1/34, MBS |
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Aaa/AAA |
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356,698 |
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566 |
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6.50%, 5/1/34, MBS |
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Aaa/AAA |
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582,177 |
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3,138 |
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6.50%, 7/1/34, MBS |
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Aaa/AAA |
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3,226,507 |
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284 |
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6.50%, 8/1/34, MBS |
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Aaa/AAA |
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291,032 |
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364 |
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6.50%, 11/1/34, MBS |
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Aaa/AAA |
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372,966 |
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5,458 |
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6.50%, 4/1/35, MBS (j) |
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Aaa/AAA |
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5,636,084 |
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11,019 |
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6.50%, 2/1/36, MBS (j) |
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Aaa/AAA |
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11,358,594 |
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11,000 |
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6.50%, TBA, MBS (e) |
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Aaa/AAA |
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11,307,659 |
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691 |
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6.95%, 7/15/21, CMO |
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Aaa/AAA |
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689,264 |
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273 |
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7.00%, 5/15/21, CMO |
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Aaa/AAA |
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290,545 |
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107 |
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7.00%, 12/15/21, CMO |
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Aaa/AAA |
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112,754 |
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41 |
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7.00%, 8/15/23, CMO |
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Aaa/AAA |
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42,678 |
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100 |
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7.00%, 6/15/29, CMO |
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Aaa/AAA |
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106,678 |
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5,473 |
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7.00%, 6/15/31, CMO (j) |
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Aaa/AAA |
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5,711,022 |
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2,929 |
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7.00%, 8/1/36, MBS |
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Aaa/AAA |
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3,015,734 |
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1,159 |
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7.375%, 8/25/22, CMO, FRN (b) |
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Aaa/AAA |
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1,246,993 |
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37 |
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7.50%, 2/15/23, CMO |
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Aaa/AAA |
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37,360 |
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1,071 |
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7.50%, 9/15/30, CMO |
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Aaa/AAA |
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1,075,152 |
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39 |
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7.50%, 1/15/31, CMO |
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Aaa/AAA |
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40,517 |
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131 |
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8.00%, 3/15/23, CMO |
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Aaa/AAA |
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130,326 |
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574 |
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8.50%, 5/17/10, MBS |
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Aaa/AAA |
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588,965 |
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24 |
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9.50%, 4/15/20, CMO |
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Aaa/AAA |
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25,529 |
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Total U.S. Government Agency Securities (cost—$157,787,818) |
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158,363,731 |
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CORPORATE BONDS & NOTES—23.6% |
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Airlines—3.1% |
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2,500 |
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American Airlines, Inc., |
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Ba1/BB+ |
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2,425,507 |
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1,454 |
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Continental Airlines, Inc., |
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Baa2/BBB+ |
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1,549,069 |
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United Air Lines, Inc., |
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960 |
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6.201%, 3/1/10 |
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Ba2/BBB |
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954,823 |
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2,500 |
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6.636%, 1/2/24 |
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Baa2/BBB |
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2,453,000 |
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7,382,399 |
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Automotive—0.4% |
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1,000 |
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Tenneco Automotive, Inc., 8.625%, 11/15/14 |
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B3/B |
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987,500 |
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Banking—0.7% |
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1,500 |
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UBS AG, 5.875%, 12/20/17 |
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Aaa/AA |
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1,513,393 |
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Financial Services—9.5% |
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100 |
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Ajax Re Ltd., 11.241%, 5/8/09, FRN (a)(b)(d) |
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NR/BB |
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100,455 |
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£1,200 |
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Argon Capital PLC, 8.162%, 10/5/12 (g) |
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Aa3/A |
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2,464,722 |
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$2,700 |
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C10 Capital SPV Ltd., 6.722%, 12/31/16 (g) |
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NR/BBB- |
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2,496,285 |
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€4,600 |
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General Electric Capital Corp., 4.625%, 9/15/66 (a)(d) |
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Aa1/AA+ |
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6,022,032 |
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General Motors Acceptance Corp., |
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$125 |
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4.25%, 3/15/09 |
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Ba3/BB+ |
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114,750 |
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2,000 |
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6.00%, 12/15/11 |
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Ba1/BB+ |
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1,678,764 |
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2,500 |
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6.119%, 5/15/09, FRN |
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Ba1/BB+ |
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2,329,360 |
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PIMCO Global StocksPLUS & Income Fund Schedule of Investments |
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December 31, 2007 (unaudited) |
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Principal |
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Credit
Rating |
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Value* |
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$2,000 |
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Osiris Capital PLC, 10.243%, 1/15/10, FRN (a)(b)(d) |
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Ba1/BB+ |
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$2,025,047 |
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5,000 |
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Teco Finance, Inc., 6.75%, 5/1/15 (a)(b)(d) |
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Baa3/NR |
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5,225,000 |
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22,456,415 |
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Healthcare & Hospitals—0.7% |
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HCA, Inc., |
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1,000 |
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6.375%, 1/15/15 |
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Caa1/B- |
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850,000 |
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|
700 |
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9.25%, 11/15/16 |
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B2/BB- |
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736,750 |
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1,586,750 |
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Insurance—0.4% |
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1,000 |
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Foundation Re II Ltd., 11.655%, 11/26/10, FRN (a)(b)(d) |
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NR/BB+ |
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1,036,692 |
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Metals & Mining—1.3% |
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Vale Overseas Ltd., |
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1,250 |
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6.25%, 1/11/16 |
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Baa3/BBB |
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|
1,258,255 |
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|
|
700 |
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6.25%, 1/23/17 |
|
Baa3/BBB |
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|
705,674 |
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|
|
1,000 |
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6.875%, 11/21/36 |
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Baa3/BBB |
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|
1,016,611 |
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|
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|
|
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|
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2,980,540 |
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|
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Oil & Gas—1.9% |
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|||
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4,000 |
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Gazprom AG, 9.625%, 3/1/13 |
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A3/BBB |
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4,553,376 |
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Paper/Paper Products—1.0% |
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|||
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Georgia-Pacific Corp. (a)(d), |
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|
|
|
500 |
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7.00%, 1/15/15 |
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Ba3/B |
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|
488,750 |
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|
2,000 |
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7.125%, 1/15/17 |
|
Ba3/B |
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|
1,955,000 |
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|
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|
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|
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2,443,750 |
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|
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Printing/Publishing—0.2% |
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|
|
|
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|
|||
|
|
500 |
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RH Donnelley Corp., 8.875%, 1/15/16 |
|
B3/B |
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|
470,000 |
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|
|
|
|
|
|
|
|
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Retail—1.2% |
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|
|
|
|
|
|||
|
|
2,868 |
|
CVS Pass-Through Trust, 5.88%, 1/10/28 (a)(b)(d) |
|
Baa2/BBB+ |
|
|
2,778,851 |
|
|
|
|
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|
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|
|
Utilities—3.2% |
|
|
|
|
|
|
|||
|
|
2,000 |
|
Dynegy Holdings, Inc., 8.375%, 5/1/16 |
|
B2/B- |
|
|
1,965,000 |
|
|
|
|
|
Nevada Power Co., |
|
|
|
|
|
|
|
|
2,500 |
|
6.50%, 5/15/18 |
|
Baa3/BB+ |
|
|
2,572,048 |
|
|
|
3,000 |
|
6.65%, 4/1/36 |
|
Baa3/BB+ |
|
|
3,052,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,589,254 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds & Notes (cost—$56,600,658) |
|
|
|
|
55,778,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES—14.9% |
|
|
|
|
|
|
|||
|
|
227 |
|
Bear Stearns Asset Backed Securities Trust, 5.00%, 1/25/34, CMO |
|
Aaa/AAA |
|
|
226,020 |
|
|
|
1,774 |
|
Charlotte Gateway Village LLC, 6.41%, 12/1/16, CMO (a)(d)(f) |
|
NR/AA+ |
|
|
1,875,880 |
|
|
|
|
PIMCO Global StocksPLUS & Income Fund Schedule of Investments |
|
December 31, 2007 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit
Rating |
|
Value* |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Countrywide Alternative Loan Trust, CMO, |
|
|
|
|
|
|
|
|
$159 |
|
5.265%, 3/25/34, FRN |
|
Aaa/AAA |
|
|
$156,176 |
|
|
|
343 |
|
6.25%, 9/25/34 |
|
Aaa/AAA |
|
|
343,027 |
|
|
|
2,453 |
|
6.50%, 7/25/35 |
|
Aaa/AAA |
|
|
2,231,368 |
|
|
|
|
|
Countrywide Home Loans Mortgage Pass-Through Trust, CMO, FRN, |
|
|
|
|
|
|
|
|
284 |
|
5.265%, 8/25/18 |
|
NR/AAA |
|
|
281,903 |
|
|
|
453 |
|
5.325%, 9/25/34 |
|
Aaa/AAA |
|
|
427,367 |
|
|
|
249 |
|
5.365%, 3/25/34 |
|
Aaa/NR |
|
|
247,900 |
|
|
|
|
|
First Horizon Mortgage Pass-Through Trust, CMO, FRN, |
|
|
|
|
|
|
|
|
526 |
|
5.114%, 10/25/34 |
|
Aaa/NR |
|
|
525,424 |
|
|
|
195 |
|
5.365%, 3/25/18 |
|
NR/AAA |
|
|
194,342 |
|
|
|
2,029 |
|
6.213%, 2/25/36 |
|
Aaa/AAA |
|
|
2,033,133 |
|
|
|
39 |
|
7.020%, 12/27/32 |
|
Aaa/AAA |
|
|
39,050 |
|
|
|
353 |
|
First Republic Mortgage Loan Trust, 5.328%, 8/15/32, CMO, FRN |
|
Aaa/AAA |
|
|
350,448 |
|
|
|
2,910 |
|
GSMPS Mortgage Loan Trust, 7.00%, 6/25/43, CMO (a)(d) |
|
NR/NR |
|
|
3,000,809 |
|
|
|
|
|
Harborview Mortgage Loan Trust, CMO, FRN, |
|
|
|
|
|
|
|
|
44 |
|
5.235%, 3/19/35 |
|
Aaa/AAA |
|
|
41,902 |
|
|
|
437 |
|
7.182%, 11/19/34 |
|
Aaa/AAA |
|
|
432,274 |
|
|
|
¥139,552 |
|
JLOC 36 LLC, 1.188%, 2/16/16, CMO, FRN (a)(d)(f) |
|
Aaa/AAA |
|
|
1,250,595 |
|
|
|
$1,908 |
|
JPMorgan Alternative Loan Trust, 7.00%, 12/25/35, CMO |
|
NR/AAA |
|
|
1,930,005 |
|
|
|
3,371 |
|
MASTR Reperforming Loan Trust, 8.00%, 7/25/35, CMO |
|
Aaa/AAA |
|
|
3,459,463 |
|
|
|
1,000 |
|
Multi-Family Capital Access One, Inc., |
|
|
|
|
|
|
|
|
|
|
8.837%, 1/15/24, CMO, VRN |
|
NR/NR |
|
|
1,047,110 |
|
|
|
|
|
Nomura Asset Acceptance Corp., CMO, |
|
|
|
|
|
|
|
|
92 |
|
5.255%, 10/25/34, FRN |
|
Aaa/AAA |
|
|
91,535 |
|
|
|
1,921 |
|
7.50%, 3/25/34 (a)(d) |
|
Aaa/AAA |
|
|
2,084,802 |
|
|
|
610 |
|
Provident Funding Mortgage Loan Trust, 4.034%, 4/25/34, CMO, VRN |
|
Aaa/AAA |
|
|
605,160 |
|
|
|
625 |
|
Residential Asset Securitization Trust, 5.315%, 2/25/34, CMO, FRN |
|
NR/AAA |
|
|
615,258 |
|
|
|
848 |
|
Residential Funding Mortgage Sec. I, 5.265%, 7/25/18, CMO, FRN |
|
NR/AAA |
|
|
844,596 |
|
|
|
46 |
|
SACO I, Inc., 7.00%, 8/25/36, CMO (a)(d)(f) |
|
Aaa/NR |
|
|
47,737 |
|
|
|
|
|
Sequoia Mortgage Trust, CMO, FRN, |
|
|
|
|
|
|
|
|
162 |
|
5.329%, 10/20/27 |
|
Aaa/AAA |
|
|
154,699 |
|
|
|
171 |
|
5.349%, 10/20/27 |
|
Aaa/AAA |
|
|
160,168 |
|
|
|
571 |
|
6.697%, 8/20/34 |
|
Aaa/AAA |
|
|
560,987 |
|
|
|
39 |
|
6.919%, 9/20/32 |
|
Aaa/AAA |
|
|
38,834 |
|
|
|
|
|
Structured Adjustable Rate Mortgage Loan Trust, CMO, |
|
|
|
|
|
|
|
|
447 |
|
4.26%, 3/25/34, VRN |
|
Aaa/AAA |
|
|
443,849 |
|
|
|
823 |
|
6.062%, 5/25/35, FRN |
|
Aaa/AAA |
|
|
797,930 |
|
|
|
4,050 |
|
Structured Asset Securities Corp., 7.50%, 10/25/36, |
|
Aaa/AAA |
|
|
4,433,583 |
|
|
|
|
|
Washington Mutual, Inc., CMO, |
|
|
|
|
|
|
|
|
570 |
|
3.423%, 5/25/33, VRN |
|
Aaa/AAA |
|
|
569,996 |
|
|
|
525 |
|
4.585%, 4/25/35, VRN |
|
Aaa/AAA |
|
|
520,716 |
|
|
|
20 |
|
6.188%, 6/25/42, FRN |
|
Aaa/AAA |
|
|
19,139 |
|
|
|
63 |
|
6.188%, 8/25/42, FRN |
|
Aaa/AAA |
|
|
60,425 |
|
|
|
100 |
|
6.537%, 1/25/33, VRN |
|
Aaa/AAA |
|
|
98,522 |
|
|
|
2,833 |
|
Washington Mutual, Inc., pass thru certificates, 6.50%, 11/25/18, CMO |
|
NR/AAA |
|
|
2,910,130 |
|
|
|
75 |
|
Wells Fargo MBS Trust, 3.54%, 9/25/34, CMO, FRN |
|
Aaa/AAA |
|
|
74,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage-Backed Securities (cost—$35,344,219) |
|
|
|
|
35,226,552 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES—12.2% |
|
|
|
|
|
|
|||
|
|
650 |
|
ACE Securities Corp., 8.115%, 4/25/35, FRN (a)(d) |
|
Caa1/CCC |
|
|
309,021 |
|
|
|
2,098 |
|
Aircraft Certificate Owner Trust, 6.455%, 9/20/22, (a)(d) |
|
Aaa/AAA |
|
|
2,170,551 |
|
|
|
1,150 |
|
Ameriquest Mortgage Securities, Inc., 8.665%, 2/25/33, FRN |
|
Ba2/CCC |
|
|
366,889 |
|
|
|
|
PIMCO Global StocksPLUS & Income Fund Schedule of Investments |
|
December 31, 2007 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit
Rating |
|
Value* |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
|
Bear Stearns Asset Backed Securities Trust, |
|
|
|
|
|
|
|
|
$2,628 |
|
5.819%, 7/25/36, VRN |
|
Aaa/AAA |
|
|
$2,528,168 |
|
|
|
1,241 |
|
5.865%, 8/25/37, FRN |
|
Aaa/AAA |
|
|
1,193,496 |
|
|
|
|
|
Bear Stearns Second Lien Trust, ABS, FRN (a)(b)(d) |
|
|
|
|
|
|
|
|
1,500 |
|
5.665%, 12/25/36 |
|
Aa1/BB+ |
|
|
852,189 |
|
|
|
1,000 |
|
7.365%, 12/25/36, Ser. B2 |
|
Baa2/B- |
|
|
108,881 |
|
|
|
489 |
|
7.365%, 12/25/36, Ser. B3 |
|
Ba3/B- |
|
|
49,288 |
|
|
|
1,600 |
|
7.365%, 12/25/36, Ser. B4 |
|
B1/CCC |
|
|
124,987 |
|
|
|
33 |
|
Cendant Mortgage Corp., 5.989%, 7/25/43, VRN (a)(d) |
|
NR/NR |
|
|
32,691 |
|
|
|
2,000 |
|
Citibank Omni Master Trust, 5.00%, 12/23/13, |
|
Aaa/AAA |
|
|
1,998,752 |
|
|
|
3 |
|
Countrywide Asset-Backed Certificates, 5.145%, 4/25/34, FRN |
|
Aaa/AAA |
|
|
2,506 |
|
|
|
|
|
Countrywide Home Equity Loan Trust, FRN, |
|
|
|
|
|
|
|
|
130 |
|
5.248%, 4/15/30 |
|
Aaa/AAA |
|
|
127,321 |
|
|
|
77 |
|
5.248%, 1/15/34 |
|
Aaa/AAA |
|
|
74,786 |
|
|
|
319 |
|
CS First Boston Mortgage Securities Corp., 7.215%, 8/25/32, FRN |
|
Baa3/CCC |
|
|
86,150 |
|
|
|
1,521 |
|
Denver Arena Trust, 6.94%, 11/15/19 (a)(d) |
|
NR/NR |
|
|
1,540,310 |
|
|
|
|
|
Green Tree Financial Corp., VRN, |
|
|
|
|
|
|
|
|
4,445 |
|
6.22%, 3/1/30 |
|
NR/BBB |
|
|
4,647,649 |
|
|
|
1,197 |
|
6.53%, 4/1/30 |
|
Ba3/NR |
|
|
1,195,357 |
|
|
|
2,798 |
|
6.53%, 2/1/31 |
|
NR/B- |
|
|
2,452,180 |
|
|
|
2,627 |
|
6.81%, 12/1/27 |
|
Ba1/BBB |
|
|
2,659,979 |
|
|
|
2,000 |
|
GSAMP Trust, 5.015%, 10/25/36, FRN (b) |
|
Aaa/B |
|
|
1,370,018 |
|
|
|
|
|
Long Beach Mortgage Loan Trust, FRN, |
|
|
|
|
|
|
|
|
856 |
|
6.29%, 3/25/32 |
|
Aa2/NR |
|
|
784,044 |
|
|
|
859 |
|
7.258%, 3/25/32 |
|
Ba3/NR |
|
|
285,853 |
|
|
|
350 |
|
Master Asset Backed Securities Trust, 5.293%, 3/25/35, FRN |
|
Aa1/AA+ |
|
|
304,859 |
|
|
|
2,484 |
|
Oakwood Mortgage Investors, Inc., 6.34%, 4/15/29 |
|
Ba1/NR |
|
|
2,313,334 |
|
|
|
1,185 |
|
Residential Asset Mortgage Products, Inc., 4.985%, 10/25/36, FRN |
|
Aaa/AAA |
|
|
1,153,710 |
|
|
|
2,400 |
|
TABS Ltd., 6.632%, 2/12/47, CDO, FRN (a)(d)(f) |
|
Ca/CC |
|
|
96,324 |
|
|
|
84 |
|
Wachovia Asset Securitization, Inc., 5.295%, 12/25/32, FRN |
|
Aaa/AAA |
|
|
82,998 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities (cost—$32,207,109) |
|
|
|
|
28,912,291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SENIOR LOANS (a)(c)—6.7% |
|
|
|
|
|
|
|||
|
Automotive Products—0.8% |
|
|
|
|
|
|
|||
|
|
1,980 |
|
Ford Motor Corp., 8.00%, 12/15/13, Term B |
|
|
|
|
1,837,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Products—0.3% |
|
|
|
|
|
|
|||
|
|
|
|
Hertz Corp., |
|
|
|
|
|
|
|
|
111 |
|
4.91%, 12/21/12 |
|
|
|
|
108,996 |
|
|
|
35 |
|
6.75%, 12/21/12, Term B |
|
|
|
|
33,989 |
|
|
|
340 |
|
6.89%, 12/21/12, Term B |
|
|
|
|
333,417 |
|
|
|
243 |
|
6.92%, 12/21/12, Term B |
|
|
|
|
238,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
714,806 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Services—0.2% |
|
|
|
|
|
|
|||
|
|
489 |
|
SunGard Data Systems, Inc., 6.898%, 2/11/13 |
|
|
|
|
473,149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Entertainment—0.4% |
|
|
|
|
|
|
|||
|
|
493 |
|
MGM Studios, 8.108%, 4/8/12, Term B |
|
|
|
|
457,577 |
|
|
|
|
|
Warner Music Group, Inc., Term B, |
|
|
|
|
|
|
|
|
127 |
|
7.015%, 2/28/11 |
|
|
|
|
121,252 |
|
|
|
90 |
|
7.093%, 2/28/11 |
|
|
|
|
86,649 |
|
|
|
35 |
|
7.151%, 2/28/11 |
|
|
|
|
33,391 |
|
|
|
233 |
|
7.541%, 2/28/11 |
|
|
|
|
223,367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
922,236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PIMCO Global StocksPLUS & Income Fund Schedule of Investments |
|
December 31, 2007 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit
Rating |
|
Value* |
|
||
|
|
|
|
|
|
|
|
|
||
|
Financial Services—1.7% |
|
|
|
|
|
|
|||
|
|
$2,992 |
|
Chrysler Financial Corp., 9.00%, 8/3/12 |
|
|
|
|
$2,885,042 |
|
|
|
1,250 |
|
Shackleton Crean Event Management, 12.875%, 8/1/08 (b) |
|
|
|
|
1,243,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,128,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Healthcare & Hospitals—2.0% |
|
|
|
|
|
|
|||
|
|
|
|
DaVita, Inc., Term B, |
|
|
|
|
|
|
|
|
144 |
|
6.23%, 10/5/12 |
|
|
|
|
139,126 |
|
|
|
156 |
|
6.23%, 10/5/12 (b) |
|
|
|
|
151,029 |
|
|
|
75 |
|
6.35%, 10/5/12 (b) |
|
|
|
|
72,456 |
|
|
|
358 |
|
6.35%, 10/5/12 |
|
|
|
|
345,464 |
|
|
|
29 |
|
6.49%, 10/5/12 |
|
|
|
|
28,318 |
|
|
|
44 |
|
6.52%, 10/5/12 |
|
|
|
|
42,477 |
|
|
|
144 |
|
6.73%, 10/5/12 (b) |
|
|
|
|
139,126 |
|
|
|
50 |
|
6.75%, 10/5/12 |
|
|
|
|
48,140 |
|
|
|
2,970 |
|
HCA, Inc., 7.08%, 11/16/13, Term B |
|
|
|
|
2,865,925 |
|
|
|
|
|
Healthsouth Corp., |
|
|
|
|
|
|
|
|
6 |
|
7.345%, 2/2/13 |
|
|
|
|
5,948 |
|
|
|
838 |
|
7.75%, 3/10/13 |
|
|
|
|
802,082 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,640,091 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper/Paper Products—1.2% |
|
|
|
|
|
|
|||
|
|
|
|
Georgia-Pacific Corp., Term B, |
|
|
|
|
|
|
|
|
233 |
|
6.58%, 12/20/12 |
|
|
|
|
222,595 |
|
|
|
286 |
|
6.831%, 12/20/12 |
|
|
|
|
272,704 |
|
|
|
2,429 |
|
6.896%, 12/20/12 |
|
|
|
|
2,317,984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,813,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Waste Disposal—0.1% |
|
|
|
|
|||||
|
|
|
|
Allied Waste North America, Inc., |
|
|
|
|
|
|
|
|
151 |
|
4.60%, 3/28/14 |
|
|
|
|
144,954 |
|
|
|
17 |
|
6.15%, 3/28/14, Term B |
|
|
|
|
16,199 |
|
|
|
10 |
|
6.36%, 3/28/14, Term B |
|
|
|
|
9,330 |
|
|
|
9 |
|
6.42%, 3/28/14, Term B |
|
|
|
|
8,836 |
|
|
|
55 |
|
6.48%, 3/28/14, Term B |
|
|
|
|
53,015 |
|
|
|
92 |
|
6.50%, 3/28/14, Term B |
|
|
|
|
88,358 |
|
|
|
64 |
|
6.88%, 3/28/14, Term B |
|
|
|
|
61,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
382,542 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Senior Loans (cost—$16,425,449) |
|
|
|
|
15,912,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
SOVEREIGN DEBT OBLIGATIONS—1.8% |
|
|
|
|
|
|
|||
|
Ukraine—1.8% |
|
|
|
|
|
|
|||
|
|
|
|
Republic of Ukraine, |
|
|
|
|
|
|
|
|
2,000 |
|
6.875%, 3/4/11 |
|
B1/BB- |
|
|
2,043,400 |
|
|
|
2,000 |
|
7.65%, 6/11/13 |
|
B1/BB- |
|
|
2,119,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Sovereign Debt Obligations (cost—$4,209,441) |
|
|
|
|
4,163,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PIMCO Global StocksPLUS & Income Fund Schedule of Investments |
|
December 31, 2007 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit
Rating |
|
Value* |
|
||
|
|
|
|
|
|
|
|
|
||
|
MUNICIPAL BONDS & NOTES—1.0% |
|
|
|
|
|
|
|||
|
South Carolina—0.2% |
|
|
|
|
|
|
|||
|
|
$347 |
|
Tobacco Settlement Rev. Management Auth., 7.666%, 5/15/16 |
|
Baa2/BBB |
|
|
$347,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
West Virginia—0.8% |
|
|
|
|
|
|
|||
|
|
2,000 |
|
Tobacco Settlement Finance Auth. Rev., 7.467%, 6/1/47 |
|
Baa3/BBB |
|
|
1,923,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Municipal Bonds & Notes (cost—$2,235,366) |
|
|
|
|
2,271,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS—11.4% |
|
|
|
|
|
|
|||
|
U.S. Treasury Bills(h)—7.7% |
|
|
|
|
|
|
|||
|
|
18,500 |
|
3.10%-3.20%, 2/28/08-3/13/08 (cost—$18,392,356) |
|
|
|
|
18,327,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Notes—3.5% |
|
|
|
|
|
|
|||
|
Financial Services—3.0% |
|
|
|
|
|
|
|||
|
|
2,000 |
|
SLM Corp., 3.625%, 3/17/08 |
|
Baa1/BBB- |
|
|
1,983,356 |
|
|
|
5,000 |
|
VTB Capital S.A., 5.494%, 8/1/08, FRN (a)(d) |
|
A2/BBB+ |
|
|
4,956,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,939,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance—0.5% |
|
|
|
|
|
|
|||
|
|
1,000 |
|
Mystic Re Ltd., 11.381%, 12/5/08, FRN (a)(b)(d) |
|
NR/BB+ |
|
|
1,012,150 |
|
|
|
250 |
|
Shackleton Reinsurance Ltd., 12.96%, 2/7/08, FRN (a)(b)(d) |
|
NR/NR |
|
|
250,947 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,263,097 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Notes (cost—$8,239,578) |
|
|
|
|
8,202,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreement—0.2% |
|
|
|
|
|
|
|||
|
|
521 |
|
State Street Bank & Trust Co., dated 12/31/07, 3.90%, due 1/2/08, proceeds $521,113; collateralized by Fannie Mae, 6.00%, due 2/6/17, valued at $545,653 including accrued interest (cost—$521,000) |
|
|
|
|
521,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments (cost—$27,152,934) |
|
|
|
|
27,051,017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts/ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OPTIONS PURCHASED (i)—2.5% |
|
|
|
|
|
|
|||
|
|
|
|
Call Options—2.2% |
|
|
|
|
|
|
|
|
314,500,000 |
|
9-Year Interest Rate Swap (OTC), |
|
|
|
|
5,046,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put Options—0.3% |
|
|
|
|
|
|
|
|
314,500,000 |
|
9-Year Interest Rate Swap (OTC), |
|
|
|
|
17,864 |
|
|
|
|
PIMCO Global StocksPLUS & Income Fund Schedule of Investments |
|
December 31, 2007 (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
Contracts/ |
|
|
|
|
Value* |
|
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae (OTC), |
|
|
|
|
|
12,000,000 |
|
strike price $86.47, expires 2/5/08 |
|
|
$— |
|
|
3,000,000 |
|
strike price $86.59, expires 2/5/08 |
|
|
— |
|
|
20,500,000 |
|
strike price $88, expires 2/5/08 |
|
|
— |
|
|
|
|
Financial Future Euro—90 day (CME), |
|
|
|
|
|
425 |
|
strike price $93, expires 6/16/08 |
|
|
1 |
|
|
|
|
Freddie Mac (OTC), |
|
|
|
|
|
2,000,000 |
|
strike price $88, expires 3/5/08 |
|
|
9 |
|
|
3,500,000 |
|
strike price $89.50, expires 2/5/08 |
|
|
— |
|
|
12,500,000 |
|
strike price $91, expires 2/5/08 |
|
|
— |
|
|
11,000,000 |
|
strike price $93, expires 2/5/08 |
|
|
— |
|
|
|
|
S&P 500 Index (CBOE), |
|
|
|
|
|
280 |
|
strike price $700, expires 3/20/08 |
|
|
— |
|
|
47 |
|
strike price $750, expires 3/19/08 |
|
|
588 |
|
|
326 |
|
strike price $1,415, expires 1/18/08 |
|
|
749,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
768,262 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Options Purchased (cost—$4,244,148) |
|
|
5,815,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments before options written |
|
|
|
|
|
|
|
(cost—$336,207,142)—141.0% |
|
|
333,493,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OPTIONS WRITTEN (i)—(0.7)% |
|
|
|
|||
|
|
|
|
Call Options—(0.7)% |
|
|
|
|
|
|
|
S&P 500 Index (CBOE), |
|
|
|
|
|
326 |
|
strike price $1,490, expires 1/18/08 |
|
|
|
|
|
|
|
(premium received—$2,393,026) |
|
|
(1,638,150) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments net of options written |
|
|
|
|
|
|
|
(cost—$333,814,116)—140.3% |
|
|
331,855,519 |
|
|
|
|
Other liabilities in excess of other assets—(40.3)% |
|
|
(95,252,405) |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets—100.0% |
|
|
$236,603,114 |
|
|
|
|
|
|
|
|
Notes to Schedule of Investments:
|
|
|
|
|
|
• |
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to guidelines established by the Board of Trustees, or persons acting at their discretion pursuant to guidelines established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The Fund’s investments, including over-the-counter options, are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the last quoted mean price for 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. The Fund’s investments in senior floating rate loans (“Senior Loans”) for which a secondary market exists will be valued at the mean of the last available bid and asked prices in the market for such Senior Loans, as provided by an independent pricing service. Other Senior Loans are valued at fair value pursuant to procedures approved by the Fund’s Board of Trustees, which include consideration and evaluation of: (1) the creditworthiness of the borrower and any intermediate participants; (2) the term of the Senior Loan; (3) recent prices in the market for similar loans, if any;(4) recent prices in the market for loans of similar quality, coupon rate, and period until next interest rate reset and maturity; and (5) general economic and market conditions affecting the fair value of the Senior Loan. Exchange traded options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Securities purchased on a when-issued or delayed delivery basis are marked to market daily until at the settlement 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. The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold and the differences could be material to the financial statements. The Fund’s net asset value is normally determined daily as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“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 $61,739,598, representing 26.09% of net assets. |
|
|
|
|
|
|
(b) |
Illiquid security. |
|
|
|
|
|
|
(c) |
These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the agent bank and/or borrower prior to disposition. Remaining maturities of Senior Loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on December 31, 2007. |
|
|
|
|
|
|
(d) |
144A Security—Security exempt from registration, under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. |
|
|
|
|
|
|
(e) |
When-issued security. To be settled/delivered after December 31, 2007. |
|
|
|
|
|
|
(f) |
Fair-valued security—Securities with an aggregate value of $5,269,288, representing 2.23% of net assets, have been fair-valued. |
|
|
|
|
|
|
(g) |
Perpetual maturity security. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable thereafter. |
|
|
|
|
|
|
(h) |
All or partial amount segregated as collateral for options written and/or swaps. |
|
|
|
|
|
|
(i) |
Non-income producing. |
|
|
|
|
|
|
(j) |
All or partial amount segregated as collateral for reverse repurchase agreements. |
|
|
|
|
|
|
|
|
|
Glossary: |
||
|
|
|
|
|
£ |
— |
British Pound |
|
|
|
|
|
€ |
— |
Euros |
|
|
|
|
|
¥ |
— |
Japanese Yen |
|
|
|
|
|
ABS |
— |
Asset-Backed Security |
|
|
|
|
|
CBOE |
— |
Chicago Board Options Exchange |
|
|
|
|
|
CDO |
— |
Collateralized Debt Obligation |
|
|
|
|
|
CME |
— |
Chicago Mercantile Exchange |
|
|
|
|
|
CMO |
— |
Collateralized Mortgage Obligation |
|
|
|
|
|
FRN |
— |
Floating Rate Note. The interest rate disclosed reflects the rate in effect on December 31, 2007. |
|
|
|
|
|
LIBOR |
— |
London Inter-Bank Offered Rate |
|
|
|
|
|
MBS |
— |
Mortgage-Backed Security |
|
|
|
|
|
NR |
— |
Not Rated |
|
|
|
|
|
OTC |
— |
Over-the-Counter |
|
|
|
TBA |
— |
To Be Announced |
|
|
|
|
|
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, 2007. |
Other Investments:
(1) Futures contracts outstanding at December 31, 2007:
|
|
|
|
|
|
|
|
|
|
|
|
|
_____ |
Type |
|
Contracts |
|
Market |
|
Expiration |
|
Unrealized |
|
|
Long: |
S&P 500 Index |
|
231 |
|
$85,308 |
|
3/19/08 |
|
$613,187 |
|
|
|
S&P 500 Index |
|
477 |
|
35,231 |
|
3/20/08 |
|
254,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$867,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
(2) Transactions in options written for the nine months ended December 31, 2007:
|
|
|
|
|
|
||
|
|
Contracts |
|
Premiums |
|||
Options outstanding, March 31, 2007 |
|
300 |
|
$1,708,881 |
|
||
Options written |
|
2,833 |
|
20,517,084 |
|
||
Options terminated in closing transactions |
|
(1,997 |
) |
(12,516,607 |
) |
||
Options exercised |
|
(484 |
) |
(4,026,620 |
) |
||
Options expired |
|
(326 |
) |
(3,289,712 |
) |
||
|
|
||||||
Options outstanding, December 31, 2007 |
|
326 |
|
$2,393,026 |
|
||
|
|
||||||
(3) Credit default swap contracts outstanding at December 31, 2007:
|
|
|
|
|
|
|
|
|
|
|
|||
|
Swap Counterparty/ |
|
Notional
Amount |
Termination |
|
Payments Received (Paid) by Fund |
Unrealized |
| |||||
|
Bank of America |
|
|
|
|
|
|
|
|
|
|||
|
ABS Home Equity Index |
|
$6,000 |
|
7/25/45 |
|
(1.54 |
)% |
$3,560,503 |
|
|||
|
Long Beach Mortgage Loan Trust |
|
738 |
|
7/25/33 |
|
4.50 |
% |
(271,966 |
) |
|||
|
Barclays Bank |
|
|
|
|
|
|
|
|
|
|||
|
Dow Jones CDX |
|
2,500 |
|
6/20/12 |
|
0.787 |
% |
(5,862 |
) |
|||
|
Federation of Russia |
|
4,900 |
|
7/20/11 |
|
1.65 |
% |
(8,315 |
) |
|||
|
Bear Stearns |
|
|
|
|
|
|
|
|
|
|||
|
ABS Home Equity Index |
|
3,000 |
|
5/25/46 |
|
(2.42 |
)% |
2,208,263 |
|
|||
|
Dow Jones CDX |
|
5,000 |
|
6/20/08 |
|
(0.12 |
)% |
12,017 |
|
|||
|
Indymac Home Equity Loan |
|
1,902 |
|
6/25/30 |
|
(0.45 |
)% |
86,136 |
|
|||
|
Midori CDO |
|
1,000 |
|
2/15/47 |
|
(4.03 |
)% |
894,727 |
|
|||
|
Citigroup |
|
|
|
|
|
|
|
|
|
|||
|
ABS Home Equity Index |
|
2,000 |
|
5/25/46 |
|
1.33 |
% |
(1,496,841 |
) |
|||
|
Commercial Industrial Finance |
|
1,000 |
|
10/20/20 |
|
(2.15 |
)% |
197,200 |
|
|||
|
Dow Jones CDX |
|
5,000 |
|
6/20/12 |
|
0.63 |
% |
(41,635 |
) |
|||
|
Credit Suisse First Boston |
|
|
|
|
|
|
|
|
|
|||
|
ABS Home Equity Index |
|
2,000 |
|
8/25/37 |
|
0.15 |
% |
(349,092 |
) |
|||
|
Samis |
|
960 |
|
3/20/09 |
|
2.30 |
% |
1,511 |
|
|||
|
Deutsche Bank |
|
|
|
|
|
|
|
|
|
|||
|
Dow Jones CDX |
|
5,000 |
|
12/20/10 |
|
(0.65 |
)% |
160,325 |
|
|||
|
Dow Jones CDX |
|
2,000 |
|
6/20/12 |
|
1.035 |
% |
(114,629 |
) |
|||
|
Dow Jones CDX |
|
10,000 |
|
12/20/12 |
|
1.75 |
% |
(163,642 |
) |
|||
|
Goldman Sachs |
|
|
|
|
|
|
|
|
|
|||
|
ABS Home Equity Index |
|
3,000 |
|
5/25/46 |
|
2.42 |
% |
(2,174,088 |
) |
|||
|
Commercial Industrial Finance |
|
500 |
|
10/20/20 |
|
(4.50 |
)% |
70,710 |
|
|||
|
Commercial Industrial Finance |
|
1,500 |
|
10/11/21 |
|
(5.00 |
)% |
154,881 |
|
|||
|
HSBC Bank |
|
|
|
|
|
|
|
|
|
|||
|
Republic of Ukraine |
|
5,000 |
|
4/20/09 |
|
0.70 |
% |
(27,493 |
) |
|||
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
|||
|
ABS Home Equity Index |
|
3,000 |
|
5/25/46 |
|
2.42 |
% |
(2,187,638 |
) |
|||
|
Lennar Corp. |
|
2,000 |
|
12/20/12 |
|
5.40 |
% |
(58,600 |
) |
|||
|
Merrill Lynch |
|
5,000 |
|
3/20/17 |
|
(0.40 |
)% |
219,573 |
|
|||
|
Qwest Holding |
|
1,000 |
|
9/20/10 |
|
4.20 |
% |
47,083 |
|
|||
|
Windstream |
|
3,000 |
|
6/20/12 |
|
1.05 |
% |
(69,016 |
) |
|||
|
|
|
|
|
|
|
|
|
|
|
|||
|
Swap Counterparty/ |
|
Notional
Amount |
Termination |
|
Payments Received (Paid) by Fund |
Unrealized |
| |||||
|
Lehman Brothers |
|
|
|
|
|
|
|
|
|
|||
|
ABS Home Equity Index |
|
$2,000 |
|
5/25/46 |
|
(1.33 |
)% |
$1,574,893 |
|
|||
|
Federal Republic of Brazil |
|
6,000 |
|
6/20/16 |
|
2.68 |
% |
578,214 |
|
|||
|
Morgan Stanley Dean Witter Capital I |
|
5,000 |
|
12/20/16 |
|
(0.34 |
)% |
195,512 |
|
|||
|
Merrill Lynch |
|
|
|
|
|
|
|
|
|
|||
|
Dow Jones CDX |
|
20,000 |
|
12/20/11 |
|
(0.40 |
)% |
375,435 |
|
|||
|
Dow Jones CDX |
|
2,500 |
|
6/20/12 |
|
0.91 |
% |
5,854 |
|
|||
|
Dow Jones CDX |
|
1,000 |
|
6/20/12 |
|
1.058 |
% |
(56,422 |
) |
|||
|
Morgan Stanley |
|
|
|
|
|
|
|
|
|
|||
|
Aegis Asset Backed Securities Trust |
|
2,500 |
|
6/25/34 |
|
(1.15 |
)% |
700,639 |
|
|||
|
Biomet |
|
4,000 |
|
9/20/12 |
|
2.95 |
% |
27,495 |
|
|||
|
Dow Jones CDX |
|
9,000 |
|
6/20/17 |
|
(0.60 |
)% |
234,183 |
|
|||
|
Federal Republic of Brazil |
|
2,000 |
|
6/20/15 |
|
4.23 |
% |
376,264 |
|
|||
|
Federation of Russia |
|
5,000 |
|
6/20/15 |
|
1.52 |
% |
173,641 |
|
|||
Gazprom Capital |
3,000 |
12/20/08 |
1.38 |
% |
3,786 |
|||||||
Indymac Home Equity Loan |
1,903 |
6/25/30 |
1.50 |
% |
(73,874 |
|||||||
Morgan Stanley Dean Witter Capital I |
796 |
8/25/32 |
2.15 |
% |
(438,286 |
|||||||
Republic of Panama |
5,000 |
6/20/15 |
2.75 |
% |
417,217 |
|||||||
Republic of Peru |
5,000 |
6/20/15 |
2.90 |
% |
489,059 |
|||||||
United Mexican States |
5,000 |
6/20/15 |
1.40 |
% |
193,719 |
|||||||
UBS |
|
|
|
|
|
|||||||
Aegis Asset Backed Securities Trust |
2,500 |
6/25/34 |
1.50 |
% |
(689,371 |
|||||||
Wachovia Securities |
|
|
|
|
|
|||||||
ABS Home Equity Index |
6,000 |
7/25/45 |
1.54 |
% |
(3,991,753 |
|||||||
$740,317 |
||||||||||||
(4) Interest rate swap agreements outstanding at December 31, 2007:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rate Type |
|
Unrealized |
|
|||||||
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
Notional Amount |
Termination |
|
|
Payments Made |
|
|
Payments Received |
|
|
|||||
|
Swap Counterparty |
|
|
|
|
|
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
JPMorgan Chase |
|
|
$900 |
|
|
6/18/13 |
|
|
3-Month USD-LIBOR |
|
|
4.00% |
|
|
$223 |
|
|
Royal Bank of Scotland |
|
|
20,100 |
|
|
6/18/13 |
|
|
3-Month USD-LIBOR |
|
|
4.00% |
|
|
169,097 |
|
|
Royal Bank of Scotland |
|
|
421,100 |
|
|
2/25/17 |
|
|
4.66% |
|
|
3-Month USD-LIBOR |
|
|
(5,090,694 |
) |
|
Royal Bank of Scotland |
|
|
421,100 |
|
|
2/25/17 |
|
|
3-Month USD-LIBOR |
|
|
5.84% |
|
|
756,161 |
|
|
UBS |
|
|
571,900 |
|
|
6/18/25 |
|
|
5.70% |
|
|
3-Month USD-LIBOR |
|
|
(21,762,957 |
) |
|
UBS |
|
|
535,000 |
|
|
6/21/25 |
|
|
3-Month USD-LIBOR |
|
|
5.70% |
|
|
48,424,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$22,496,441 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIBOR—London Inter-Bank Offered Rate |
(5) Total return swap contracts outstanding at December 31, 2007:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap Counterparty |
|
Fund |
|
Fund |
|
Termination |
|
Notional |
|
Unrealized |
|
|||||
|
|
||||||||||||||||
|
Barclays Bank |
|
|
MSCI Daily Total Return EAFE |
|
|
3 month LIBOR plus 0.25% |
|
|
10/31/08 |
|
|
$128,999,986 |
|
|
$(3,846,675 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EAFE—Europe, Australasia, and Far East Index |
|
LIBOR—London Inter-Bank Offered Rate |
|
MCSI—Morgan Stanley Capital International |
The Fund received $12,750,000 par value in U.S. Treasury Bills as collateral for swap contracts.
(6) Forward foreign currency contracts outstanding at December 31, 2007:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.$ Value |
U.S.$
Value December 31, 2007 |
Unrealized |
|||
|
Sold: |
|||||||
|
4,387,000 Euro settling 1/17/08 |
|
$6,426,121 |
|
$6,416,011 |
|
$10,110 |
|
|
1,200,000 British Pound settling 1/31/08 |
|
2,416,883 |
|
2,386,596 |
|
30,287 |
|
|
160,000,000 Japanese Yen settling 2/7/08 |
|
1,441,454 |
|
1,438,234 |
|
3,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$43,617 |
|
|
|
|
|
|
|
|
|
|
(6) Open reverse repurchase agreements at December 31, 2007:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Rate |
|
Trade Date |
|
Maturity Date |
|
Principal & Interest |
|
Par |
|
|
Lehman Brothers |
|
5.30% |
12/5/07 |
|
1/14/08 |
|
$34,946,362 |
|
$34,808,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral for open reverse repurchase agreement at December 31, 2007 as reflected in the Schedule of Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Description |
|
Rate |
|
Maturity |
|
Par |
|
Market Value |
||
|
Lehman Brothers |
|
Fannie Mae |
|
6.00% |
3/1/30 |
|
$7,980,698 |
|
$8,178,181 |
|
||
|
|
|
Fannie Mae |
|
6.00% |
5/25/31 |
|
6,845,921 |
|
7,074,589 |
|
||
|
|
|
Freddie Mac |
|
6.50% |
4/1/35 |
|
5,457,660 |
|
5,666,600 |
|
||
|
|
|
Freddie Mac |
|
6.50% |
2/1/36 |
|
11,019,115 |
|
11,420,206 |
|
||
|
|
|
Freddie Mac |
|
7.00% |
6/15/31 |
|
5,472,507 |
|
5,743,975 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$38,083,551 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Item 2. Controls and Procedures
(a) The registrant’s President and Chief Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Act (17CFR270.30a -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 CFR270.30a -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 28, 2008 |
|
|
|
By /s/ Lawrence G. Altadonna |
|
|
|
Treasurer, Principal Financial & Accounting Officer |
|
|
|
Date: February 28, 2008 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dated indicated.
|
|
|
By /s/ Brian S. Shlissel |
|
|
|
President & Chief Executive Officer |
|
|
|
Date: February 28, 2008 |
|
|
|
By /s/ Lawrence G. Altadonna |
|
|
|
Treasurer, Principal Financial & Accounting Officer |
|
|
|
Date: February 28, 2008 |