The Fund declares dividends from net investment income monthly to shareholders. Distributions of net realized capital gains, if any, are paid at least annually. The Fund records dividends and distributions to its shareholders on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles. These “book-tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal income tax treatment. Temporary differences do not require reclassification. To the extent dividends and/or distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as dividends and/or distributions of paid-in-capital in excess of par.
The Fund’s accounting records are maintained in U.S. dollars as follows: (1) the foreign currency market value of investments and other assets and liabilities denominated in foreign currency are translated at the prevailing exchange rate at the end of the period; and (2) purchases and sales, income and expenses are translated at the prevailing exchange rate on the respective dates of such transactions. The resulting net foreign currency gain (loss) is included in the Fund’s Statement of Operations.
The Fund does not generally isolate that portion of the results of operations arising as a result of changes in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of securities. Accordingly, such foreign currency gain (loss) is included in net realized and unrealized gain (loss) on investments. However, the Fund does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. federal income tax regulations; such amount is categorized as foreign currency gain (loss) for both financial and income tax reporting purposes.
The Fund purchases assignments of, and participations in, Senior Loans originated, negotiated and structured by a U.S. or foreign commercial bank, insurance company, finance company or other financial institution (the “Agent”) for a lending syndicate of financial institutions (the “Lender”). When purchasing an assignment, the Fund succeeds to all the rights and obligations under the loan agreement with the same rights and obligations as the assigning Lender. Assignments may, however, be arranged through private negotiations between potential assignees and potential assignors, and the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than, those held by the assigning Lender.
The Fund may enter into transactions with its custodian bank or securities brokerage firms whereby it purchases securities under agreements to resell such securities at an agreed upon price and date (“repurchase agreements”). The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. Such agreements are carried at the contract amount in the financial statements, which is considered to represent fair-value. Collateral pledged (the securities received), which consists primarily of U.S. government obligations and asset-backed securities, are held by the custodian bank until maturity of the repurchase agreement. Provisions of the repurchase agreements and the procedures adopted by the Fund require that the market value of the collateral, including accrued interest thereon, be sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines or if the counterparty enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.
In a reverse repurchase agreement, the Fund sells securities to a bank or broker-dealer and agrees to repurchase the securities at a mutually agreed date and price. Generally, the effect of such a transaction is that the Fund can recover and reinvest all or most of the cash invested in portfolio securities involved during the term of the reverse repurchase agreement and still be entitled to the returns associated with those portfolio securities. Such transactions are advantageous if the interest cost to the Fund of the reverse repurchase transaction is less than the returns it obtains on investments purchased with the cash. Unless the Fund covers its positions in reverse repurchase agreements (by segregating liquid assets at least equal in amount to the forward purchase commitment), its obligations under the agreements will be subject to the Fund’s limitations on borrowings. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Fund is obligated to repurchase under the agreement may decline below the repurchase price.
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
| |
1. Organization and Significant Accounting Policies (continued)
(i) Reverse Repurchase Agreements (continued)
In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the agreement may be restricted pending determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.
(j) Mortgage-Related and Other Asset-Backed Securities
Investments in mortgage-related or other asset-backed securities include mortgage pass-through securities, collateralized mortgage obligations (“CMOs”), commercial mortgage-backed securities, mortgage dollar rolls, CMO residuals, stripped mortgage-backed securities (“SMBSs”) and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. The value of some mortgage-related or asset backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
(k) U.S. Government Agencies or Government-Sponsored Enterprises
Securities issued by U.S. Government agencies or government-sponsored enterprises may not be guaranteed by the U.S. Treasury. The Government National Mortgage Association (“GNMA” or “Ginnie Mae”), a wholly-owned U.S. Government corporation, is authorized to guarantee, with the full faith and credit of the U.S. Government, the timely payment of principal and interest on securities issued by institutions approved by GNMA and backed by pools of mortgages insured by the Federal Housing Administration or guaranteed by the Department of Veterans Affairs. Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include the Federal National Mortgage Association (“FNMA” or “Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA but are not backed by the full faith and credit of the U.S. Government. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but its participation certificates are not backed by the full faith and credit of the U.S. Government.
(l) When-Issued/Delayed-Delivery Transactions
When-issued or delayed-delivery transactions involve a commitment to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Fund will set aside and maintain until the settlement date in a designated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed-delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations; consequently, such fluctuations are taken into account when determining the net asset value. The Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a realized gain or loss. When a security is sold on a delayed-delivery basis, the Fund does not participate in future gains and losses with respect to the security.
(m) Interest Expense
Interest expense relates primarily to the Fund’s liability in connection with reverse repurchase agreements. Interest expense is recorded as it is incurred.
(n) Custody Credits on Cash Balances
The Fund benefits from an expense offset arrangement with its custodian bank, whereby uninvested cash balances earn credits which reduce monthly custodian and accounting agent expenses. Had these cash balances been invested in income-producing securities, they would have generated income for the Fund.
2. Principal Risk
In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to, among other things, changes in the market (market risk) or failure of the other party to a transaction to perform (credit/counterparty risk). The main risks from derivative instruments are interest rate, foreign currency, market price and credit/counterparty risks.
| 9.30.09 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 19
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
| |
2. Principal Risk (continued)
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by the Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is used primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e. yield) movements.
If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, the Fund’s investments in foreign currency-denominated securities may reduce the returns of the Fund.
The Fund may be subject to elements of risk not typically associated with investments in the U.S., due to concentrated investments in specific industries or investments in foreign issuers located in a specific country or region. Such concentrations may subject the Fund to additional risks resulting from future political or economic conditions in such country or region and the possible imposition of adverse governmental laws of currency exchange restrictions affecting such country or region, which could cause the securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies.
The market values of equity securities, such as common stock and preferred stock or equity-related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity-related investments generally have greater market price volatility than fixed income securities.
The Fund may be exposed to credit risk on parties with whom it trades and will also bear the risk of settlement default. The Fund seeks to minimize concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges. The Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.
Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss to the Fund could exceed the value of the financial assets recorded in the Fund’s financial statements. Financial assets, which potentially expose the Fund to counterparty risk, consist principally of cash due from counterparties and investments. The Fund’s sub-adviser, Pacific Investment Management Company LLC (the “Sub-Adviser”), an affiliate of the Investment Manager, seeks to minimize the Fund’s counterparty risks by performing reviews of each counterparty. Delivery of securities sold is only made once the Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.
The Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) with select counterparties that govern transactions, over-the-counter derivative and foreign exchange contracts, entered into by the Fund and those counterparties. The ISDA Master Agreements contain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements of the Fund.
20 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.09 |
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PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
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2. Principal Risk (continued)
The considerations and factors surrounding the settlement of certain purchases and sales made on a delayed-delivery basis are governed by Master Securities Forward Transaction Agreements (“Master Forward Agreements”) between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral.
The Fund is also a party to Master Repurchase Agreements (“Master Repo Agreements”) with select counterparties. The Master Repo Agreements maintain provision for, initiation, income payments, events of default, and maintenance of collateral.
The credit risk associated with certain contracts may be reduced by master netting arrangements to the extent that if an event of default occurs, all amounts with the counterparty are terminated and settled on a net basis. The Fund’s overall exposure to credit risk with respect to transactions subject to master netting arrangements can change substantially within a short period, as it is affected by each transaction subject to the arrangement.
3. Market and Credit Risk
On September 15, 2008, Lehman Brothers Holdings Inc. filed for protection under Chapter 11 of the United States Bankruptcy Code. On September 19, 2008, a proceeding under the Securities Investor Protection Act (“SIPA”) was commenced with respect to Lehman Brothers Inc., a broker-dealer. A trustee appointed under SIPA is administering the bankruptcy estate of Lehman Brothers Inc. Lehman Brothers International (Europe) was placed in administration under the UK Insolvency Act on September 15, 2008. Lehman Brothers Special Financing Inc. filed for protection under Chapter 11 of the United States Bankruptcy Code on October 3, 2008. In connection with these filings, the Lehman Brothers group of companies (collectively “Lehman Brothers”) will be reorganized and/or liquidated in an orderly fashion, subject to court approval. Each Lehman Brothers entity is a separate legal entity that is subject to its own bankruptcy proceeding.
The Fund had select holdings, credit default swap agreements, foreign currency transactions, securities and derivatives transactions outstanding with Lehman Brothers entities as issuer, referenced entity, counterparty or guarantor at the time the relevant Lehman Brothers entity filed for protection or was placed in administration. The security holdings, credit default swap agreements, foreign currency transactions, securities and derivatives transactions associated with Lehman Brothers as counterparty have been written down to their estimated recoverable values. Anticipated losses for securities and derivatives transactions associated with Lehman Brothers have been incorporated as receivable from broker and payable to broker on the Statement of Assets and Liabilities and net realized gain (loss) on the Statement of Operations. A facilitated auction occurred on October 10, 2008 comprising multiple pre-approved brokerage agencies to determine the estimated recovery rate for holdings and credit default swap agreements with Lehman Brothers Holdings Inc. as the referenced entity. These recovery rates have been utilized in determining estimated recovery values for certain holdings. Financial assets and liabilities may be offset and the net amount may be reported in the Statement of Assets and Liabilities of the Fund where there is a legally enforceable right to set off the recognized amounts and the provisions of offsetting of amounts related to certain contracts have been met.
The Sub-Adviser has delivered notices of default and in some cases, claim notices, to certain entities of Lehman Brothers in accordance with the terms of the applicable agreements. For transactions with Lehman Brothers counterparties, the Sub-Adviser has terminated the trades and has obtained quotations from brokers for replacement trades.
4. Financial Derivative Instruments
Disclosure about derivative instruments and hedging activities require qualitative disclosure regarding objectives and strategies for using derivatives, quantitative disclosure about fair value amounts of and gains and losses on derivative instruments, and disclosure about credit-risk-related contingent features in derivative agreements. The disclosure requirements distinguish between derivatives which are accounted for as “hedges” and those that do not qualify for such accounting. Although the Fund may sometimes use derivatives for hedging purposes, the Fund reflects derivatives at fair value and recognizes changes in fair value through the Fund’s Statement of Operations, and such derivatives do not qualify for hedge accounting treatment. The derivative instruments outstanding as of September 30, 2009, as disclosed in the Notes to Financial Statements and the amounts of realized gain (loss) and changes in appreciation/depreciation on derivative instruments during the period as disclosed in the Fund’s Statement of Operations serve as indicators of the Fund’s volume of derivative activity.
| 9.30.09 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 21
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PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
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4. Financial Derivative Instruments (continued)
(a) Forward Foreign Currency Contracts
A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. The Fund may enter into forward foreign currency contracts for the purpose of hedging against foreign currency risk arising from the investment or anticipated investment in securities denominated in foreign currencies. The Fund may also enter these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. All commitments are marked to market daily at the applicable exchange rates and any resulting unrealized appreciation or depreciation is recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In addition, these contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund’s Statement of Assets and Liabilities.
(b) Futures Contracts
The Fund may use futures contracts to manage its exposure to the securities markets or the movements in interest rates and currency values. A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into such a contract, the Fund is required to pledge to the broker an amount of cash or securities equal to the minimum ‘‘initial margin’’ requirements of the exchange. Pursuant to the contracts, the Fund agrees to receive from or pay to the broker an amount of cash or securities equal to the daily fluctuation in the value of the contracts. Such receipts or payments are known as ‘‘variation margin’’ and are recorded by the Fund as unrealized appreciation or depreciation. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the value of the contracts at the time they were opened and the value at the time they were closed. Any unrealized appreciation or depreciation recorded is simultaneously reversed. The use of futures transactions involves the risk of an imperfect correlation in the movements in the price of futures contracts, interest rates and underlying hedged assets, and the possible inability or unwillingness of counterparties to meet the terms of their contracts.
(c) Option Transactions
The Fund may purchase and write (sell) put and call options on securities for hedging purposes, risk management purposes or otherwise as part of its investment strategies. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options is decreased by the premiums paid.
When an option is written, the premium received is recorded as an asset with an equal liability which is subsequently marked to market to reflect the market value of the option written. These liabilities are reflected as options written in the Fund’s Statement of Assets and Liabilities. Premiums received from writing options which expire unexercised are recorded on the expiration date as a realized gain. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchased transactions, as a realized loss. If a call option written is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether there has been a realized gain or loss. If a put option written is exercised, the premium reduces the cost basis of the security. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security underlying the written option. Exercise of a written option could result in the Fund purchasing a security at a price different from its current market value.
(d) Swap Agreements
Swap agreements are privately negotiated agreements between the Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. The Fund may enter into credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements in order to manage its exposure to credit, currency and interest rate risk. In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
22 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.09 |
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
| |
4. Financial Derivative Instruments (continued)
(d) Swap Agreements (continued)
Payments received or made at the beginning of the measurement period are reflected as such on the Fund’s Statement of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Fund’s Statement of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statement of Operations. Net periodic payments received or paid by the Fund are included as part of realized gains or losses on the Fund’s Statement of Operations.
Entering into these agreements involves, to varying degrees, elements of credit, legal, market and documentation risk in excess of the amounts recognized on the Fund’s Statement of Assets and Liabilities. Such risks include the possibility that there will be no liquid market for these agreements, that the counterparties to the agreements may default on their obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
Credit Default Swap Agreements — Credit default swap agreements involve one party (referred to as the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the swap.
If a 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, other deliverable obligations 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. If a 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, other deliverable obligations 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. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Total return swap agreements involve commitments to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.
Credit default swap agreements on corporate issues or sovereign issues of an emerging country involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). The Fund may use credit default swaps on corporate issues or sovereign issues of an emerging country to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where the Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.
Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit events. Unlike credit default swaps on corporate issues or sovereign issues of an emerging country, deliverable obligations in most instances
| 9.30.09 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 23
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
| |
4. Financial Derivative Instruments (continued)
(d) Swap Agreements (continued)
would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. The Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default.
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. The Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds with a credit default swap on indices which is less expensive than it would be to buy many credit default swap to achieve a similar effect. Credit-default swaps on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end are disclosed later in the Notes (see 6(c)) and 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. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and 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.
The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of September 30, 2009 for which the Fund is the seller of protection are disclosed later in the Notes (see 6(c)). These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.
Interest Rate Swap Agreements — Interest rate swap agreements involve the exchange by the Fund with a counterparty of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments, with respect to the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the counterparty may terminate the swap transaction in whole at zero cost by a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swap, under which two parties can exchange variable interest rates based on different money markets.
24 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.09 |
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PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
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4. Financial Derivative Instruments (continued)
Fair Value of Derivative Instruments at September 30, 2009
The following is a summary of the fair valuation of the Fund’s derivatives instruments categorized by risk exposure.
The effect of derivative instruments on the Fund’s Statement of Assets and Liabilities at September 30, 2009:
| | | | | | | | | | | | | | | | |
Location | | Equity
Contracts | | Interest
Rate
Contracts | | Credit
Contracts | | Foreign
Exchange
Contracts | | Total | |
| | | | | | | | | | | | | | | | | |
Asset Derivatives: | | | | | | | | | | | | | | | | |
Unrealized appreciation on swaps | | | $12,500,910 | | | $10,773,437 | | | $4,720,213 | | | — | | | $27,994,560 | |
Receivable for variation margin on futures contracts* | | | 1,110,115 | | | — | | | — | | | — | | | 1,110,115 | |
Unrealized appreciation of forward foreign currency contracts | | | — | | | — | | | — | | | $26,213 | | | 26,213 | |
| | | | | | | | | | | | | | | | | |
Total Asset Derivatives | | | $13,611,025 | | | $10,773,437 | | | $4,720,213 | | | $26,213 | | | $29,130,888 | |
| | | | | | | | | | | | | | | | | |
Liability Derivatives: | | | | | | | | | | | | | | | | |
Unrealized depreciation on swaps | | | $(2,089,232 | ) | | $(11,990,645 | ) | | $(3,938,276 | ) | | — | | | $(18,018,153 | ) |
Options written, at value | | | (716,450 | ) | | — | | | — | | | — | | | (716,450 | ) |
Unrealized depreciation of forward foreign currency contracts | | | — | | | — | | | — | | | $(147,148 | ) | | (147,148 | ) |
| | | | | | | | | | | | | | | | | |
Total Liability Derivatives | | | $(2,805,682 | ) | | $(11,990,645 | ) | | $(3,938,276 | ) | | $(147,148 | ) | | $(18,881,751 | ) |
| | | | | | | | | | | | | | | | | |
| |
* | Includes cumulative appreciation/depreciation on futures contracts. Only unsettled receivable/payable for variation margin is reported within the Statement of Assets and Liabilities. |
| 9.30.09 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 25
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
| |
4. Financial Derivative Instruments (continued)
(d) Swap Agreements (continued)
The effect of derivative instruments on the Fund’s Statement of Operations for the six months ended September 30, 2009:
| | | | | | | | | | | | | | | | |
Location | | Equity
Contracts | | Interest
Rate
Contracts | | Credit
Contracts | | Foreign
Exchange
Contracts | | Total | |
| | | | | | | | | | | | | | | | | |
Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Futures contracts | | | $12,389,675 | | | $623,363 | | | — | | | — | | | $13,013,038 | |
Options written | | | (5,767,417 | ) | | — | | | — | | | — | | | (5,767,417 | ) |
Swaps | | | 572,254 | | | (744,475 | ) | | $(3,172,183 | ) | | — | | | (3,344,404 | ) |
Foreign currency transactions | | | — | | | — | | | — | | | $(809,514 | ) | | (809,514 | ) |
| | | | | | | | | | | | | | | | | |
Total Realized Gain (Loss) | | | $7,194,512 | | | $(121,112 | ) | | $(3,172,183 | ) | | $(809,514 | ) | | $3,091,703 | |
| | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation/Depreciation of: | | | | | | | | | | | | | | | | |
Futures contracts | | | $(477,410 | ) | | $(480,375 | ) | | — | | | — | | | $(957,785 | ) |
Options written | | | 870,588 | | | — | | | — | | | — | | | 870,588 | |
Swaps | | | 15,716,308 | | | (1,217,208 | ) | | $6,589,674 | | | — | | | 21,088,774 | |
Foreign currency transactions | | | — | | | — | | | — | | | $122,322 | | | 122,322 | |
| | | | | | | | | | | | | | | | | |
Total Change in Unrealized Appreciation/Depreciation | | | $16,109,486 | | | $(1,697,583 | ) | | $6,589,674 | | | $122,322 | | | $21,123,899 | |
| | | | | | | | | | | | | | | | | |
5. Investment Manager/Sub-Adviser
The Fund has an Investment Management Agreement (the “Agreement”) with the Investment Manager. Subject to the supervision of the Fund’s Board of Trustees, the Investment Manager is responsible for managing, either directly or through others selected by it, the Fund’s investment activities, business affairs and administrative matters. Pursuant to the Agreement, the Investment Manager receives an annual fee, payable monthly, at an annual rate of 1.00% of the Fund’s average daily total managed assets. Total managed assets means the total assets of the Fund (including any assets attributable to any borrowings that may be outstanding, minus accrued liabilities (other than liabilities representing borrowings)).
The Investment Manager has retained the Sub-Adviser to manage the Fund’s investments. Subject to the supervision of the Investment Manager, the Sub-Adviser is responsible for making all of the Fund’s investment decisions. The Investment Manager, not the Fund, pays a portion of the fees it receives as Investment Manager to the Sub-Adviser in return for its services.
6. Investments in Securities
Purchases and sales of investments, other than short-term securities and U.S. government obligations for the six months ended September 30, 2009, were $118,977,033 and $71,161,127, respectively. Purchases and sales in U.S. Government obligations were $189,737,648 and $127,587,265, respectively.
(a) Futures contracts outstanding at September 30, 2009:
| | | | | | | | | | | | | |
Type | | Contracts | | Market
Value
(000) | | Expiration
Date | | Unrealized
Appreciation | |
| | | | | | | | | | | | | |
Long: E-mini S&P 500 Index | | 638 | | | | $ 33,588 | | 12/18/09 | | $ | 693,590 | |
S&P 500 Index | | 82 | | | | 21,584 | | 12/17/09 | | | 416,525 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | $ | 1,110,115 | |
| | | | | | | | | | | | | |
26 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.09 |
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
| |
6. Investments in Securities (continued)
(b) Transactions in options written for the six months ended September 30, 2009:
| | | | | | | |
| | Contracts | | Premiums | |
| | | | | | | | |
Options outstanding, March 31, 2009 | | | 155 | | $ | 1,239,419 | |
Options written | | | 1,045 | | | 7,288,680 | |
Options terminated in closing transactions | | | (1,022 | ) | | (7,371,767 | ) |
| | | | | | | |
Options outstanding, September 30, 2009 | | | 178 | | $ | 1,156,332 | |
| | | | | | | |
(c) Credit default swap agreements:
Buy protection swap agreements outstanding at September 30, 2009(1):
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Counterparty/
Referenced Debt Issuer | | Notional
Amount
Payable on
Default
(000)(4) | | Credit
Spread(3) | | Termination
Date | | Payments
Paid
by Fund | | Market
Value(5) | | Upfront
Premiums
Paid | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Citigroup: | | | | | | | | | | | | | | | | | | | | | | | | | | |
CIFC | | | $ | 1,000 | | | † | | | 10/20/20 | | | (2.15 | )% | | $ | 722,331 | | | — | | | $ | 722,331 | | |
Goldman Sachs: | | | | | | | | | | | | | | | | | | | | | | | | | | |
CIFC | | | | 488 | | | 20.71 | % | | 10/20/20 | | | (4.50 | )% | | | 336,754 | | | — | | | | 336,754 | | |
TELOS | | | | 1,500 | | | 29.41 | % | | 10/11/21 | | | (5.00 | )% | | | 1,011,635 | | | — | | | | 1,011,635 | | |
JPMorgan Chase: | | | | | | | | | | | | | | | | | | | | | | | | | | |
CIT Group | | | | 800 | | | 30.01 | % | | 12/20/13 | | | (5.00 | )% | | | 281,589 | | $ | 360,000 | | | | (78,411 | ) | |
Indymac Home Equity Loan | | | | 1,427 | | | 13.00 | % | | 6/25/30 | | | (0.45 | )% | | | 636,264 | | | — | | | | 636,264 | | |
Morgan Stanley: | | | | | | | | | | | | | | | | | | | | | | | | | | |
ABS Home Equity Index | | | | 1,272 | | | 204.30 | % | | 6/25/34 | | | (1.15 | )% | | | 1,220,748 | | | — | | | | 1,220,748 | | |
CIT Group | | | | 1,800 | | | 30.01 | % | | 12/20/13 | | | (5.00 | )% | | | 633,575 | | | 810,000 | | | | (176,425 | ) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 4,842,896 | | $ | 1,170,000 | | | $ | 3,672,896 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| 9.30.09 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 27
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
| |
6. Investments in Securities (continued)
Sell protection swap agreements outstanding at September 30, 2009(2):
| | | | | | | | | | | | | | | | | | | | | | |
Swap Counterparty/
Referenced Debt Issuer | | Notional
Amount
Payable on
Default
(000)(4) | | Credit
Spread(3) | | Termination
Date | | Payments
Received
by Fund | | Market
Value(5) | | Upfront
Premiums
Received | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | | | | | | | | | |
Bank of America: | | | | | | | | | | | | | | | | | | | | | | |
Long Beach Mortgage | | | | | | | | | | | | | | | | | | | | | | |
Loan Trust | | | $738 | | | 60.25 | % | | 7/25/33 | | | 6.25 | % | | $(619,631 | ) | | — | | | $(619,631 | ) |
SLM | | | 5,000 | | | 9.80 | % | | 12/20/10 | | | 5.00 | % | | (262,139 | ) | | $(437,500 | ) | | 175,361 | |
Barclays Bank: | | | | | | | | | | | | | | | | | | | | | | |
Dow Jones CDX HY-8 | | | | | | | | | | | | | | | | | | | | | | |
Index 35-100% | | | 2,407 | | | 1.36 | % | | 6/20/12 | | | 0.79 | % | | (35,507 | ) | | — | | | (35,507 | ) |
Federation of Russia | | | 4,900 | | | 2.12 | % | | 7/20/11 | | | 1.65 | % | | (24,025 | ) | | — | | | (24,025 | ) |
Citigroup: | | | | | | | | | | | | | | | | | | | | | | |
Dow Jones CDX HY-8 | | | | | | | | | | | | | | | | | | | | | | |
Index 35-100% | | | 1,444 | | | 1.36 | % | | 6/20/12 | | | 0.63 | % | | (27,312 | ) | | — | | | (27,312 | ) |
General Electric | | | 2,100 | | | 2.02 | % | | 12/20/13 | | | 4.65 | % | | 215,844 | | | — | | | 215,844 | |
SLM | | | 2,000 | | | 8.73 | % | | 12/20/13 | | | 5.00 | % | | (229,939 | ) | | (315,000 | ) | | 85,061 | |
Deutsche Bank: | | | | | | | | | | | | | | | | | | | | | | |
American International Group | | | 2,000 | | | 8.11 | % | | 3/20/13 | | | 2.10 | % | | (336,609 | ) | | — | | | (336,609 | ) |
CIT Group | | | 2,000 | | | 27.48 | % | | 12/20/13 | | | 5.00 | % | | (674,810 | ) | | (530,000 | ) | | (144,810 | ) |
General Electric | | | 1,300 | | | 2.02 | % | | 12/20/13 | | | 4.70 | % | | 136,145 | | | — | | | 136,145 | |
SLM | | | 1,200 | | | 8.73 | % | | 12/20/13 | | | 5.00 | % | | (137,964 | ) | | (168,000 | ) | | 30,036 | |
Merrill Lynch & Co.: | | | | | | | | | | | | | | | | | | | | | | |
ABS Home Equity Index | | | 995 | | | 37.26 | % | | 5/25/46 | | | 0.11 | % | | (578,559 | ) | | (179,009 | ) | | (399,550 | ) |
American Express | | | 1,000 | | | 1.27 | % | | 12/20/13 | | | 4.40 | % | | 125,004 | | | — | | | 125,004 | |
Dow Jones CDX HY-8 | | | | | | | | | | | | | | | | | | | | | | |
Index 35-100% | | | 2,407 | | | 1.36 | % | | 6/20/12 | | | 0.91 | % | | (27,662 | ) | | — | | | (27,662 | ) |
SLM | | | 1,000 | | | 8.73 | % | | 12/20/13 | | | 5.00 | % | | (114,970 | ) | | (140,000 | ) | | 25,030 | |
Morgan Stanley: | | | | | | | | | | | | | | | | | | | | | | |
Indymac Home Equity Loan | | | 1,427 | | | 13.00 | % | | 6/25/30 | | | 1.82 | % | | (565,033 | ) | | — | | | (565,033 | ) |
Morgan Stanley Dean Witter | | | 301 | | | 237.80 | % | | 8/25/32 | | | 3.23 | % | | (290,777 | ) | | (5,660 | ) | | (285,117 | ) |
UBS: | | | | | | | | | | | | | | | | | | | | | | |
ABS Home Equity Index | | | 1,272 | | | 204.30 | % | | 6/25/34 | | | 1.50 | % | | (1,218,184 | ) | | — | | | (1,218,184 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $(4,666,128 | ) | | $(1,775,169 | ) | | $(2,890,959 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| |
† | 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. |
28 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.09 |
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
| |
6. Investments in Securities (continued)
| |
(3) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of year end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| |
(4) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| |
(5) | The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at September 30, 2009 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(d) Interest rate swap agreements outstanding at September 30, 2009:
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Rate Type | | | | | | | |
| | | | | | | | | | | | | |
Swap
Counterparty | | Notional
Amount
(000 | | Termination
Date | | Payments
Made
by Fund | | Payments
Received
by Fund | | Market
Value | | Upfront
Premiums
Paid
(Received) | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | | | | | | | | | |
Credit Suisse | | | | | | | | | | | | | | | | | | | | | | |
First Boston | | $80,000 | | | 6/17/29 | | | 3-Month USD-LIBOR | | | 4.60% | | $ | 9,267,110 | | $ | (360,000 | ) | $ | 9,627,110 | |
Credit Suisse | | | | | | | | | | | | | | | | | | | | | | |
First Boston | | | 80,000 | | | 12/16/29 | | | 4.00% | | | 3-Month USD-LIBOR | | | (910,649 | ) | | 8,160,000 | | | (9,070,649 | ) |
Deutsche Bank | | | 50,000 | | | 9/22/16 | | | 3-Month USD-LIBOR | | | 3.30% | | | 700,119 | | | — | | | 700,119 | |
Deutsche Bank | | | 50,000 | | | 12/16/16 | | | 4.00% | | | 3-Month USD-LIBOR | | | (30,019 | ) | | 568,000 | | | (598,019 | ) |
Morgan Stanley | | | 69,000 | | | 6/16/12 | | | 3-Month USD-LIBOR | | | 3.00% | | | 1,108,608 | | | 662,400 | | | 446,208 | |
Royal Bank | | | | | | | | | | | | | | | | | | | | | | |
of Scotland | | | 20,300 | | | 12/16/29 | | | 4.00% | | | 3-Month USD-LIBOR | | | (231,077 | ) | | 2,090,900 | | | (2,321,977 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 9,904,092 | | $ | 11,121,300 | | $ | (1,217,208 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
(e) Total return swap contracts outstanding at September 30, 2009:
| | | | | | | | | | | | | | | | |
Pay/Receive
Total Return
on Referenced
Index | | Index | | # of
Shares
or Units | | Floating
Rate(6) | | Notional
Amount | | Maturity
Date | | Counterparty | | | Unrealized
Appreciation/
Depreciation | |
| | | | | | | | | | | | | | | | | |
Pay | | MSCI Daily | | | | 3-Month USD-LIBOR | | | | | | | | | | |
| | Total Return EAFE | | 2,596 | | minus 0.41% | $ | 7,450,588 | | 11/30/09 | | Merrill Lynch & Co. | | $ | (2,089,232 | ) |
Receive | | MSCI Daily | | | | 3-Month USD-LIBOR | | | | | | | | | | |
| | Total Return EAFE | | 15,523 | | minus 0.41% | | 44,535,520 | | 11/30/09 | | Merrill Lynch & Co. | | | 12,500,910 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 10,411,678 | |
| | | | | | | | | | | | | | | | |
| |
(6) | Floating rate is based upon predetermined notional amounts, which may be a multiple of the number of shares or units disclosed. |
EAFE – Europe and Australasia, Far East Equity Index
LIBOR – London Inter-Bank Offered Rate
MSCI – Morgan Stanley Capital International
| 9.30.09 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 29
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
| |
6. Investments in Securities (continued)
(f) Forward foreign currency contracts outstanding at September 30, 2009:
| | | | | | | | | | | | | |
| | Counterparty | | U.S. $ Value on
Origination Date | | U.S. $ Value
September 30, 2009 | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | | | |
Sold: | | | | | | | | | | | | | |
371,000 British Pound settling 10/28/09 | | | BNP Paribas Bank | | | $619,507 | | | $593,294 | | | $26,213 | |
1,660,000 Euro settling 10/8/09 | | | Barclays Bank | | | 2,377,958 | | | 2,426,412 | | | (48,454 | ) |
1,985,000 Euro settling 10/8/09 | | | BNP Paribas Bank | | | 2,842,528 | | | 2,901,463 | | | (58,935 | ) |
109,934,000 Japanese Yen settling | | | | | | | | | | | | | |
10/20/09 | | | BNP Paribas Bank | | | 1,188,215 | | | 1,227,974 | | | (39,759 | ) |
| | | | | | | | | | | | | |
| | | | | | | | | | | | $ (120,935 | ) |
| | | | | | | | | | | | | |
The Fund received $22,980,000 in cash as collateral for derivative contracts. Cash collateral received may be invested in accordance with the Fund’s investment strategy.
(g) Open reverse repurchase agreements at September 30, 2009 were:
| | | | | | | | | | | | | | | | |
Counterparty | | Rate | | Trade
Date | | Maturity
Date | | Principal &
Interest | | Principal | |
| | | | | | | | | | | | |
Barclays: | | | 0.21 | % | | 9/14/09 | | | 10/14/09 | | | $126,013 | | $126,000 | |
| | | 0.21 | % | | 9/24/09 | | | 10/14/09 | | | 3,000,123 | | | 3,000,000 | |
| | | 0.28 | % | | 9/14/09 | | | 10/14/09 | | | 1,537,203 | | | 1,537,000 | |
| | | 0.75 | % | | 9/14/09 | | | 10/14/09 | | | 3,729,788 | | | 3,728,468 | |
| | | 0.75 | % | | 9/24/09 | | | 10/23/09 | | | 3,105,453 | | | 3,105,000 | |
Bank of America: | | | 1.25 | % | | 9/29/09 | | | 10/28/09 | | | 5,260,365 | | | 5,260,000 | |
Credit Suisse First Boston: | | | 0.75 | % | | 9/10/09 | | | 10/9/09 | | | 2,538,110 | | | 2,537,000 | |
| | | 0.75 | % | | 9/14/09 | | | 10/14/09 | | | 2,881,020 | | | 2,880,000 | |
Greenwich Capital: | | | 1.25 | % | | 9/22/09 | | | 10/22/09 | | | 3,094,964 | | | 3,094,000 | |
| | | 1.26 | % | | 9/1/09 | | | 10/1/09 | | | 1,317,381 | | | 1,316,000 | |
| | | 1.51 | % | | 9/1/09 | | | 10/1/09 | | | 2,530,178 | | | 2,527,000 | |
| | | 1.76 | % | | 9/1/09 | | | 10/1/09 | | | 1,850,709 | | | 1,848,000 | |
Goldman Sachs & Co.: | | | 0.19 | % | | 9/28/09 | | | 10/14/09 | | | 5,276,084 | | | 5,276,000 | |
| | | 0.21 | % | | 9/22/09 | | | 10/14/09 | | | 7,133,374 | | | 7,133,000 | |
| | | 0.21 | % | | 9/25/09 | | | 10/14/09 | | | 6,678,234 | | | 6,678,000 | |
JPMorgan Chase: | | | 1.10 | % | | 9/2/09 | | | 10/2/09 | | | 7,724,839 | | | 7,718,000 | |
| | | 1.25 | % | | 9/4/09 | | | 10/5/09 | | | 3,060,867 | | | 3,058,000 | |
| | | 1.50 | % | | 9/4/09 | | | 10/5/09 | | | 1,275,433 | | | 1,274,000 | |
Morgan Stanley: | | | 0.70 | % | | 9/14/09 | | | 10/15/09 | | | 3,257,076 | | | 3,256,000 | |
| | | 0.70 | % | | 9/22/09 | | | 10/22/09 | | | 2,717,475 | | | 2,717,000 | |
| | | 1.25 | % | | 9/22/09 | | | 10/22/09 | | | 5,517,723 | | | 5,516,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $73,584,468 | |
| | | | | | | | | | | | | | | | |
The weighted average daily balance of reverse repurchase agreements outstanding during the six months ended September 30, 2009 was $60,583,436, at a weighted average interest rate of 0.48%. The total market value of underlying collateral (refer to the Schedule of Investments for positions segregated as collateral for reverse repurchase agreements) for open reverse repurchase agreements at September 30, 2009 was $89,849,032.
The Fund received $275,000 in U.S Treasury Bills and $1,420,000 in cash as collateral for reverse repurchase agreements. Cash collateral received may be invested in accordance with the Fund’s investment strategy. Collateral received as securities cannot be pledged.
30 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.09 |
|
PIMCO Global StocksPLUS & Income Fund Notes to Financial Statements |
September 30, 2009 (unaudited) (continued) |
| |
7. Income Tax Information
The cost basis of portfolio securities of $221,239,640 is substantially the same for both federal income tax purposes and financial reporting purposes. Aggregate gross unrealized appreciation for securities in which there is an excess of value over tax cost is $7,285,155; aggregate gross unrealized depreciation for securities in which there is an excess of tax cost over value is $5,195,023 and net unrealized appreciation for federal income tax purposes is $2,090,132.
8. Legal Proceedings
In June and September 2004, the Investment Manager and certain of its affiliates (including PEA Capital LLC (“PEA”), Allianz Global Investors Distributors LLC and Allianz Global), agreed to settle, without admitting or denying the allegations, claims brought by the Securities and Exchange Commission (“SEC”) and the New Jersey Attorney General alleging violations of federal and state securities laws with respect to certain open-end funds for which the Investment Manager serves as investment adviser. The settlements related to an alleged “market timing” arrangement in certain open-end funds formerly sub-advised by PEA. The Investment Manager and its affiliates agreed to pay a total of $68 million to settle the claims. In addition to monetary payments, the settling parties agreed to undertake certain corporate governance, compliance and disclosure reforms related to market timing, and consented to cease and desist orders and censures. Subsequent to these events, PEA deregistered as an investment adviser and dissolved. None of the settlements alleged that any inappropriate activity took place with respect to the Fund.
Since February 2004, the Investment Manager and certain of their affiliates and their employees have been named as defendants in a number of pending lawsuits concerning “market timing” which allege the same or similar conduct underlying the regulatory settlements discussed above. The market timing lawsuits have been consolidated in a multi-district litigation proceeding in the U.S. District Court for the District of Maryland. Any potential resolution of these matters may include, but not be limited to judgments or settlements for damages against the Investment Manager, Sub-Adviser, or its affiliates or related injunctions.
In addition, the Sub-Adviser is the subject of a lawsuit in the Northern District of Illinois Eastern Division in which the complaint alleges that plaintiffs each purchased and sold a 10-year Treasury note futures contract and suffered damages from an alleged shortage when the Sub-Adviser held both physical and futures positions in 10-year Treasury notes for its client accounts. In July 2007, the court granted class certification of a class consisting of those persons who purchased futures contracts to offset short positions between May 9, 2005 and June 30, 2005. The Sub-Adviser currently believes that the complaint is without merit and the Sub-Adviser intends to vigorously defend against this action.
The Investment Manager and the Sub-Adviser believe that these matters are not likely to have a material adverse effect on the Fund or on their ability to perform their respective investment advisory activities relating to the Fund.
9. Resignation of Trustee
Diana L. Taylor resigned as a Trustee of the Fund on September 10, 2009.
10. Subsequent Events
Fund management has evaluated subsequent events following the six months ended September 30, 2009 through November 24, 2009, which is the date the financial statements were issued. The subsequent events were as follows:
On October 1, 2009, a dividend of $0.18335 per share was declared to shareholders payable November 2, 2009 to shareholders of record on October 13, 2009.
On November 2, 2009, a dividend of $0.18335 per share was declared to shareholders payable December 1, 2009 to shareholders of record on November 12, 2009.
| 9.30.09 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 31
| |
PIMCO Global StocksPLUS & Income Fund Financial Highlights |
For a share of stock outstanding throughout each period: | |
| | |
| | | | | | | | | | | | | | | | |
| | Six Months
ended
September 30,
2009
(unaudited) | | | | | | | | | | | | | |
| | | | | | | | | | | | For the period
May 31, 2005*
through
March 31, 2006 | |
| | | Year ended March 31, | | |
| | | | | |
| | | 2009 | | 2008 | | 2007 | | |
| | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.59 | | | $22.88 | | | $27.56 | | | $26.04 | | | $23.88 | ** |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Investment Operations: | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net investment income | | | 0.40 | | | 0.63 | | | 1.22 | | | 1.04 | | | 0.80 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net realized and change in unrealized gain (loss) on investments, futures contracts, options written, swaps, unfunded loan commitments and foreign currency transactions | | �� | 4.52 | | | (12.03 | ) | | (2.88 | ) | | 2.92 | | | 3.52 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total from investment operations | | | 4.92 | | | (11.40 | ) | | (1.66 | ) | | 3.96 | | | 4.32 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Dividends and Distributions to Shareholders from: | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net investment income | | | (1.10 | ) | | (2.82 | ) | | (2.61 | ) | | (2.24 | ) | | (2.11 | ) |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net realized gains | | | — | | | (2.07 | ) | | (0.41 | ) | | (0.20 | ) | | — | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total dividends and distributions to common shareholders | | | (1.10 | ) | | (4.89 | ) | | (3.02 | ) | | (2.44 | ) | | (2.11 | ) |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | |
|
Offering costs charged to paid-in capital in excess of par | | | — | | | — | | | — | | | — | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $10.41 | | | $6.59 | | | $22.88 | | | $27.56 | | | $26.04 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Market price, end of period | | | $16.30 | | | $8.64 | | | $22.20 | | | $27.36 | | | $24.49 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total Investment Return (1) | | | 105.37 | % | | (40.72 | )% | | (8.02 | )% | | 22.51 | % | | 6.80 | % |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
RATIOS/SUPPLEMENTAL DATA: | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net assets end of period (000) | | | $103,335 | | | $64,444 | | | $214,858 | | | $258,779 | | | $242,981 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Ratio of expenses to average net assets, including interest expense | | | 2.45 | %(3) | | 3.25 | %(2) | | 3.14 | %(2) | | 2.66 | %(2) | | 1.99 | %(2)(3) |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Ratio of expenses to average net assets, excluding interest expense | | | 2.09 | %(3) | | 1.88 | %(2) | | 1.51 | %(2) | | 1.42 | %(2) | | 1.31 | %(2)(3) |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Ratio of net investment income to average net assets | | | 9.24 | %(3) | | 3.43 | % | | 4.62 | % | | 3.91 | % | | 3.82 | %(3) |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Portfolio turnover | | | 152 | % | | 214 | % | | 156 | % | | 86 | % | | 105 | % |
| | | | | | | | | | | | | | | | | |
| |
* | Commencement of operations. |
| |
** | Initial public offering price of $25.00 per share less underwriting discount of $1.125 per share. |
| |
(1) | Total investment return is calculated assuming a purchase of a share of stock at the current market price on the first day of each period and a sale of a share of stock at the current market price on the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions or sales charges. Total investment return for a period of less than one year is not annualized. |
| |
(2) | Inclusive of expenses offset by custody credits earned on cash balances at the custodian bank. (See note 1(n) in Notes to Financial Statements). |
| |
(3) | Annualized. |
| |
32 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.09 | |
| |
PIMCO Global StocksPLUS & Income Fund | Matters Relating to the Trustees’
Consideration of the Investment
Management & Portfolio
Management Agreements (unaudited) |
| | |
The Investment Company Act of 1940, as amended, requires that both the full Board of Trustees (the “Trustees”) and a majority of the non-interested Trustees (the “Independent Trustees”), voting separately, approve the Fund’s Management Agreement with the Investment Manager (the “Advisory Agreement”) and Portfolio Management Agreement (the “Sub-Advisory Agreement”, and together with the Advisory Agreement, the “Agreements”) between the Investment Manager and the Sub-Adviser. The Trustees met in person on June 16-17, 2009 (the “contract review meeting”) for the specific purpose of considering whether to approve the continuation of the Advisory Agreement and the Sub-Advisory Agreement. The Independent Trustees were assisted in their evaluation of the Agreements by independent legal counsel, from whom they received separate legal advice and with whom they met separately from Fund management during the contract review meeting.
Based on their evaluation of factors that they deemed to be material, including those factors described below, the Board of Trustees, including a majority of the Independent Trustees, concluded that the continuation of the Fund’s Advisory Agreement and the Sub-Advisory Agreement should be approved for a one-year period commencing July 1, 2009.
In connection with their deliberations regarding the continuation of the Agreements, the Trustees, including the Independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. As described below, the Trustees considered the nature, quality, and extent of the various investment management, administrative and other services performed by the Investment Manager or the Sub-Adviser under the applicable Agreements.
In connection with their contract review meeting, the Trustees received and relied upon materials provided by the Investment Manager which included, among other items: (i) information provided by Lipper Inc. (“Lipper”) on the total return investment performance (based on net assets) of the Fund for various time periods, the investment performance of a group of funds with substantially similar investment classifications/objectives as the Fund identified by Lipper and the performance of applicable benchmark indices, (ii) information provided by Lipper on the Fund’s management fees and other expenses and the management fees and other expenses of comparable funds identified by Lipper, (iii) the profitability to the Investment Manager and the Sub-Adviser from their relationship with the Fund for the one year period ended March 31, 2009, (iv) descriptions of various functions performed by the Investment Manager and the Sub-Adviser for the Fund, such as portfolio management, compliance monitoring and portfolio trading practices, and (v) information regarding the overall organization of the Investment Manager and the Sub-Adviser, including information regarding senior management, portfolio managers and other personnel providing investment management, administrative and other services to the Fund.
The Trustees’ conclusions as to the continuation of the Agreements were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors.
As part of their review, the Trustees examined the Investment Manager’s and the Sub-Adviser’s abilities to provide high quality investment management and other services to the Fund. The Trustees considered the investment philosophy and research and decision-making processes of the Sub-Adviser; the experience of key advisory personnel of the Sub-Adviser responsible for portfolio management of the Fund; the ability of the Investment Manager and the Sub-Adviser to attract and retain capable personnel; the capability and integrity of the senior management and staff of the Investment Manager and the Sub-Adviser; and the level of skill required to manage the Fund. In addition, the Trustees reviewed the quality of the Investment Manager’s and the Sub-Adviser’s services with respect to regulatory compliance and compliance with the investment policies of the Fund; the nature and quality of certain administrative services the Investment Manager is responsible for providing to the Fund; and conditions that might affect the Investment Manager’s or the Sub-Adviser’s ability to provide high quality services to the Fund in the future under the Agreements, including each organization’s respective business reputation, financial condition and operational stability. Based on the foregoing, the Trustees concluded that the Sub-Adviser’s investment process, research capabilities and philosophy were well suited to the Fund given its investment objective and policies, and that the Investment Manager and the Sub-Adviser would be able to continue to meet any reasonably foreseeable obligations under the Agreements.
Based on information provided by Lipper, the Trustees also reviewed the Fund’s total return investment performance as well as the performance of comparable funds identified by Lipper. In the course of their deliberations, the Trustees took into account information provided by the Investment Manager in connection with the contract review meeting, as well as during investment review meetings conducted with portfolio management personnel during the course of the year regarding the Fund’s performance.
| |
| 9.30.09 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 33 |
| |
PIMCO Global StocksPLUS & Income Fund | Matters Relating to the Trustees’
Consideration of the Investment
Management & Portfolio
Management Agreements (unaudited) |
| | |
In assessing the reasonableness of the Fund’s fees under the Agreements, the Trustees considered, among other information, the Fund’s management fee and the total expense ratio as a percentage of average net assets attributable to common shares and the management fee and total expense ratios of comparable funds identified by Lipper.
The Trustees specifically took note of how the Fund compared to its Lipper peers as to performance, management fee expense and total expenses. The Trustees noted that the Investment Manager had provided a memorandum containing comparative information on the performance and expenses information of the Fund compared to its Lipper peer categories. The Trustees noted that while the Fund is not charged a separate administration fee, it was not clear whether the peer funds in the Lipper categories were charged such a fee by their investment managers.
The Trustees noted that the expense group for the Fund is small consisting of six funds. The Trustees also noted that the actual management fees and total actual expenses were both worse than the median and that the Fund had bottom quintile performance for the one-year and three-year periods ended March 31, 2009. However, the Trustees noted that more recently, the Fund’s performance moved into the first and second quintiles for the 3-months and year-to-date as of May 31, 2009, respectively. At the request of the Trustees, the Investment Manager and Sub-Adviser agreed to provide performance information related to the Fund on a monthly basis.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that they were satisfied with the Investment Manager’s and the Sub-Adviser’s responses and efforts to continue to improve the Fund’s investment performance. The Trustees agreed to reassess the services provided by the Investment Manager and Sub-Adviser under the Agreements in light of the Fund’s ongoing performance at each quarterly Board meeting.
Because the Sub-Adviser does not manage any funds or institutional separate accounts with investment strategies similar to the Fund, the Trustees did not consider the management fees charged by the Sub-Adviser to other clients.
Based on a profitability analysis provided by the Investment Manager, the Trustees also considered the profitability of the Investment Manager and the Sub-Adviser from their relationship with the Fund and determined that such profitability was not excessive.
The Trustees also took into account that, as a closed-end investment company, the Fund does not currently intend to raise additional assets, so the assets of the Fund will grow (if at all) only through the investment performance of the Fund. Therefore, the Trustees did not consider potential economies of scale as a principal factor in assessing the fee rates payable under the Agreements.
Additionally, the Trustees considered so-called “fall-out benefits” to the Investment Manager and the Sub-Adviser, such as reputational value derived from serving as Investment Manager and Sub-Adviser to the Fund.
After reviewing these and other factors described herein, the Trustees concluded with respect to the Fund, within the context of their overall conclusions regarding the Agreements, that the fees payable under the Agreements represent reasonable compensation in light of the nature and quality of the services being provided by the Investment Manager and Sub-Adviser.
| |
34 PIMCO Global StocksPLUS & Income Fund Semi-Annual Report | 9.30.09 | |
| |
PIMCO Global StocksPLUS & Income Fund | Annual Shareholder Meeting |
| Results/Proxy Voting |
| Policies & Procedures (unaudited) |
| | |
Annual Shareholder Meeting Results:
The Fund held its annual meeting of shareholders on July 14, 2009. Shareholders voted as indicated below:
| | | | | | | |
| | Affirmative | | Withheld
Authority | |
| | | | | | |
Re-election of Paul Belica — Class I to serve until 2012 | | | 8,806,829 | | | 242,039 | |
Re-election of Hans W. Kertess — Class I to serve until 2012 | | | 8,799,764 | | | 249,104 | |
Re-election of William B. Ogden, IV — Class I to serve until 2012 | | | 8,820,213 | | | 228,655 | |
| |
| | |
|
Messrs. Robert E. Connor, John C. Maney* and R. Peter Sullivan III continue to serve as Trustees of the Fund. |
|
Diana L. Taylor resigned as Trustee of the Fund on September 10, 2009. |
* Interested Trustee. |
|
| |
|
Proxy Voting Policies & Procedures: |
A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities and information about how the Fund voted proxies relating to portfolio securities held during the most recent twelve month period ended June 30 is available (i) without charge, upon request, by calling the Fund’s shareholder servicing agent at (800) 254-5197; (ii) on the Fund’s website at www.allianzinvestors.com/closedendfunds; and (iii) on the Securities and Exchange Commission website at www.sec.gov.
| 9.30.09 | PIMCO Global StocksPLUS & Income Fund Semi-Annual Report 35
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| |
Board of Trustees | Fund Officers |
Hans W. Kertess | Brian S. Shlissel |
Chairman of the Board of Trustees | President & Chief Executive Officer |
Paul Belica | Lawrence G. Altadonna |
Robert E. Connor | Treasurer, Principal Financial & Accounting Officer |
John C. Maney | Thomas J. Fuccillo |
William B. Ogden, IV | Vice President, Secretary & Chief Legal Officer |
R. Peter Sullivan III | Scott Whisten |
| Assistant Treasurer |
| Richard J. Cochran |
| Assistant Treasurer |
| Youse E. Guia |
| Chief Compliance Officer |
| Kathleen A. Chapman |
| Assistant Secretary |
| Lagan Srivastava |
| Assistant Secretary |
Investment Manager
Allianz Global Investors Fund Management LLC
1345 Avenue of the Americas
New York, NY 10105
Sub-Adviser
Pacific Investment Management Company LLC
840 Newport Center Drive
Newport Beach, CA 92660
Custodian & Accounting Agent
State Street Bank & Trust Co.
801 Pennsylvania Avenue
Kansas City, MO 64105-1307
Transfer Agent, Dividend Paying Agent and Registrar
PNC Global Investment Servicing
P.O. Box 43027
Providence, RI 02940-3027
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
300 Madison Avenue
New York, NY 10017
Legal Counsel
Ropes & Gray LLP
One International Place
Boston, MA 02110-2624
This report, including the financial information herein, is transmitted to the shareholders of PIMCO Global StocksPLUS & Income Fund for their information. It is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
The financial information included herein is taken from the records of the Fund without examination by an independent registered public accounting firm, who did not express an opinion herein.
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase shares of its common stock in the open market.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of its fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The information on Form N-Q is also available on the Fund’s website at www.allianzinvestors.com/closedendfunds.
On July 22, 2009, the Fund submitted CEO annual certification to the New York Stock Exchange (“NYSE”) on which the Fund’s principal executive officer certified that he was not aware, as of the date, of any violation by the Fund of the NYSE’s Corporate Governance listing standards. In addition, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and related SEC rules, the Fund’s principal executive and principal financial officer made quarterly certifications, included in filings with the SEC on Forms N-CSR and N-Q relating to, among other things, the Fund’s disclosure controls and procedures and internal control over financial reporting, as applicable.
Information on the Fund is available at www.allianzinvestors.com/closedendfunds or by calling the Fund’s shareholder servicing agent at (800) 254-5197.
ITEM 2. CODE OF ETHICS
Not required in this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Not required in this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not required in this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANT
Not required in this filing.
ITEM 6. SCHEDULE OF INVESTMENTS
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not required in this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not required in this filing.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED COMPANIES.
None.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES
(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Act (17 CFR 270.30a-3(c))), as amended are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes over financial reporting (as defined in rule 30a-3(d) under the Act (17 CFR 270.30a -3(d))) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS
(a) (1) Exhibit 99.302 CERT – Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
(b) Exhibit 99.906 Cert. – Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
Signature
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) PIMCO Global StocksPLUS ® & Income Fund
| | |
By: | /s/ Brian S. Shlissel | |
| | |
| Brian S. Shlissel | |
| President & Chief Executive Officer | |
| | |
Date: December 4, 2009 | |
| | |
By: | /s/ Lawrence G. Altadonna | |
| | |
| Lawrence G. Altadonna | |
| Treasurer, Principal Financial & | |
| Accounting Officer | |
| |
Date: December 4, 2009 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
By: | /s/ Brian S. Shlissel | |
| | |
| Brian S. Shlissel | |
| President & Chief Executive Officer | |
| | |
Date: December 4, 2009 | |
| | |
By: | /s/ Lawrence G. Altadonna | |
| | |
| Lawrence G. Altadonna | |
| Treasurer, Principal Financial & | |
| Accounting Officer | |
| | |
Date: December 4, 2009 | |
| | |
