N-CSR 1 a11-10645_1ncsr.htm CERTIFIED ANNUAL SHAREHOLDER REPORT

 

 

 

OMB APPROVAL

 

 

OMB Number:

3235-0570

 

 

Expires:

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UNITED STATES

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SECURITIES AND EXCHANGE COMMISSION

 

 

Washington, D.C. 20549

 

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number

811-21734

 

PIMCO Global StocksPLUS ® & Income Fund

(Exact name of registrant as specified in charter)

 

1345 Avenue of the Americas, New York, New York

 

10105

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna - 1345 Avenue of the Americas, New York, New York 10105

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

March 31, 2011

 

 

Date of reporting period:

March 31, 2011

 

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e -1).  The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-2001. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 



 

Item 1. Report to Shareholders

 

 

March 31, 2011

 

 

PIMCO Global StocksPLUS® & Income Fund

PIMCO High Income Fund

 

 

 

 


 

Contents

 

Letter to Shareholders

2–3

 

 

Fund Insights/Fund Performance & Statistics

4–9

 

 

Schedules of Investments

10–30

 

 

Statements of Assets and Liabilities

31

 

 

Statements of Operations

32

 

 

Statements of Changes in Net Assets

33–34

 

 

Statements of Cash Flows

35

 

 

Notes to Financial Statements

36–63

 

 

Financial Highlights

64–65

 

 

Report of Independent Registered Public Accounting firm

66

 

 

Tax Information/Changes to Board of Trustees

67

 

 

Annual Shareholder Meetings Results/ Changes in Investment Policy

68

 

 

Privacy Policy/Proxy Voting Policies & Procedures

69

 

 

Dividend Reinvestment Plan

70

 

 

Board of Trustees

71–72

 

 

Fund Officers

73

 

 

PIMCO Global StocksPLUS® & Income Fund

 

3.31.11 | PIMCO High Income Fund Annual Report

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Dear Shareholder:

 

The U.S. and global economy grew throughout the twelve-month reporting period ended March 31, 2011. Financial markets responded by continuing their dramatic rally, now entering its third year. The rally has been so strong that on February 16, 2011, the Standard & Poor’s 500 Index had doubled from its low of March 2009, the fastest such rise since 1936. Hoping to capture this growth, many investors shifted out of U.S. Treasury bonds and into stocks and higher-yielding corporate bonds. This progress came despite a series of global shocks, which seemed as diverse as they were unexpected: a sovereign debt crisis in several European countries, political turmoil throughout the Middle East, a surge in oil prices, and a devastating earthquake, tsunami and nuclear disaster in Japan.

 

 

Hans W. Kertess

Chairman

 

 

Brian S. Shlissel

President & CEO

The Twelve-Month Period in Review

For the twelve-month reporting period ended March 31, 2011:

 

·        PIMCO Global StocksPLUS® & Income Fund increased 40.31% on net asset value (“NAV”) and 43.45% on market price.

 

·        PIMCO High Income Fund advanced 27.27% on NAV and 28.94% on market price.

 

The Standard & Poor’s 500 Index, a proxy for the U.S. stock market, rose 15.65% and the MSCI Europe, Australasia and Far East Index (“EAFE”) advanced 10.42% in U.S. dollar terms. The BofA Merrill Lynch U.S. High Yield Index increased 14.24%. The broad bond market, as measured by the Barclays Capital U.S. Aggregate Index, increased 5.12% for the reporting period while the Barclays Capital U.S. Treasury Bond Index rose 4.06%.

 

The U.S. economy grew throughout the fiscal period. In the first quarter of calendar year 2010, gross domestic product (“GDP”) increased at a 3.7% annualized rate. This eased to 1.7% between April and June 2010, before accelerating to a 2.6% annual pace in the third quarter and to a 3.1% annual rate in the fourth quarter of 2010. During the first three months of 2011, the final three months of the fiscal period, the expansion continued.

 

 

 

PIMCO Global StocksPLUS® & Income Fund

 

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The U.S. recovery was supported by a nimble U.S. Federal Reserve (the “Fed”). In an attempt to stimulate the economy by driving already low interest rates even lower, the Fed initiated a second round of “quantitative easing” (“QE2”) by announcing it would purchase up to $900 billion of U.S. Treasury bonds. QE2, as the Treasury purchase program is known, is due to end in June 2011.

 

The Road Ahead

The U.S. economy is on firmer footing. The declining U.S. dollar is boosting exports across the board, and manufacturing — still approximately one-tenth of the economy — is making a strong rebound. However, headwinds remain. The housing market, a driver of past recoveries, is still troubled. Unemployment remains high, though the labor picture has begun to improve and although, in general,

inflation remains tame, food and energy prices have risen sharply in recent months. There are signs that this is beginning to bite into consumer spending, which accounts for two-thirds of U.S. economic activity. In short, there are reasons for optimism and caution.

 

For specific information on the Funds and their performance, please review the following pages. If you have any questions regarding the information provided, we encourage you to contact your financial advisor or call the Funds’ shareholder servicing agent at (800) 254-5197. In addition, a wide range of information and resources is available on our website, www.allianzinvestors.com/closedendfunds.

 

Together with Allianz Global Investors Fund Management LLC, the Funds’ investment manager, and Pacific Investment Management Company LLC (“PIMCO”), the Funds’ sub-adviser, we thank you for investing with us.

 

We remain dedicated to serving your investment needs.

 

Sincerely,

 

 

Hans W. Kertess

Brian S. Shlissel

Chairman

President & Chief Executive Officer

 

Receive this report electronically and eliminate paper mailings. To enroll, go to www.allianzinvestors.com/edelivery.

 

 

PIMCO Global StocksPLUS® & Income Fund

 

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PIMCO Global StocksPLUS® & Income Fund Fund Insights

March 31, 2011 (unaudited)

 

For the fiscal year ended March 31, 2011, PIMCO Global StocksPLUS & Income Fund (the “Fund”) returned 40.31% on net asset value (“NAV”) and 43.45% on market price.

 

The global financial markets proved their resiliency during the fiscal year. Despite an array of issues and uncertainties, the stock and bond markets in the U.S. and abroad generated positive returns. Investors who assumed greater risk during the period were generally rewarded, as lower quality securities typically outperformed their higher rated counterparts.

 

The global equity markets posted double-digit gains during the 12-months ended March 31, 2011. Stock prices were supported by corporate earnings that often exceeded expectations, accommodative monetary policy and typically robust investor demand. That said, there were periods of heightened volatility and risk aversion that resulted in periodic flights to quality. These were triggered by a number of events, including the European sovereign debt crisis, geopolitical issues in the Middle East and Northern Africa, and the devastating earthquake and tsunami in Japan. However, periods of risk aversion proved to be only temporary, as investor demand for riskier assets quickly resumed.

 

Bond markets also posted positive returns during the fiscal year, but often lagged their equity counterparts. U.S. government bond yields moved sharply lower during the first half of the reporting period. This was triggered by some mixed economic data, including continued elevated unemployment and weakness in the housing market. In addition, yields declined in anticipation of a second round of Federal Reserve (the “Fed”) quantitative easing (“QE2”). This entails a commitment by the Fed to purchase as much as $900 billion of longer-maturity Treasuries through June 2011. Treasury yields started moving higher in the fourth quarter of 2010, as QE2 fueled a strong rally in the equity market as there were increasing concerns regarding future inflation. This trend largely continued during the first quarter of 2011, as oil prices rose higher, food prices increased and there were some signs that the labor market was improving. Overall, the spread sectors (non-Treasuries) generated solid results during the fiscal year and outperformed equal duration Treasuries. While spread sector returns waned during the aforementioned flights to quality, as a whole, they moved higher over the reporting period, given generally robust demand for securities offering incremental yield due to the low interest rate environment.

 

 

 

PIMCO Global StocksPLUS® & Income Fund

 

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Equity exposure boosts returns

The Fund was rewarded for having a 56% average exposure to U.S. equities during the reporting period. This was accomplished by utilizing S&P 500 futures contracts, along with a defensive option strategy that sought to generate income and limit losses. The Fund also benefited from its exposure to foreign stocks. In particular, the Fund used total return swaps to gain access to the MSCI EAFE Index. The Fund had an average 44% exposure to foreign stocks during the reporting period.

 

A portion of U.S. equity gains realized were given back due to the implementation of the Fund’s option strategy. This was primarily the result of having written calls that expired “in-the-money” when the market was rallying. At such times, the option’s strike price was below the current market price.

 

Allocations to spread sectors enhance results

As a review, a small portion of the Fund’s assets are invested in futures contracts and total return swaps. These instruments allow the Fund to participate in the returns of the S&P 500 and MSCI EAFE Indexes without having to hold the individual stocks that comprise the indexes. The majority of the Fund’s assets are then actively managed in a portfolio of fixed income securities to add incremental return.

 

Fixed income securities added significant value to the Fund during the reporting period. For example, both investment grade and high yield corporate bonds contributed positvely to performance, as these securities benefited from tightening credit spreads while also providing a source of incremental income. Within the investment grade space, the Fund’s emphasis on the financial sub-sector was rewarded, as financials outperformed the industrial and utility sub-sectors.

 

The Fund’s allocation to non-Agency mortgages and asset-backed securities enhanced performance. These securities helped boost the Fund’s income and, in general appreciated, as demand for yield remained high and supply in these sectors was limited. Exposure to Agency mortgages contributed modestly to performance as these securities outperformed similar duration U.S. Treasuries.

 

Elsewhere, U.S. interest rate strategies contributed to returns as the yield on 10-year U.S. Treasuries declined during the fiscal year. However, exposure to certain non-U.S. securities detracted from returns as interest rates in core Europe rose.

 

 

PIMCO Global StocksPLUS® & Income Fund

 

3.31.11 | PIMCO High Income Fund Annual Report

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PIMCO High Income Fund Fund Insights

March 31, 2011 (unaudited)

 

For the fiscal year ended March 31, 2011, PIMCO High Income Fund (the “Fund”), returned 27.27% on net asset value (“NAV”) and 28.94% on market price.

 

The global financial markets proved their resiliency during the fiscal year. Despite an array of issues and uncertainties, the U.S. stock and bond markets generated positive returns. Investors who assumed greater risk during the period were generally rewarded, as lower quality securities typically outperformed their higher rated counterparts.

 

U.S. government bond yields moved sharply lower during the first half of the reporting period, triggered by mixed economic data, including continued elevated unemployment and weakness in the housing market. In addition, yields declined in anticipation of a second round of Federal Reserve (the “Fed”) quantitative easing (“QE2”). This entails a commitment by the Fed to purchase as much as $900 billion of longer-maturity Treasuries through June 2011. Treasury yields rose during the fourth quarter of 2010, as QE2 fueled a strong rally in the equity market and concerns regarding future inflation increased. This trend largely continued during the first quarter of 2011, as oil prices rose higher, food prices increased and there were some signs that the labor market was improving.

 

Overall, the spread sectors (non-Treasuries) generated solid results during the fiscal year and outperformed equal duration Treasuries. Among the spread sectors, high yield bonds produced among the best returns. Supporting the asset class was the ongoing economic expansion, corporate earnings that often exceeded expectations, accommodative monetary policy and falling high yield default rates. In addition, there was generally robust demand for securities offering incremental yield given the low interest rate environment. Within the BofA Merrill Lynch U.S. High Yield Index (the “Index”), lower quality securities generally outperformed their higher quality counterparts, with CCC-rated bonds returning 17.1% and BB-rated

 

 

 

PIMCO Global StocksPLUS® & Income Fund

 

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PIMCO High Income Fund Annual Report        | 3.31.11

 


 

securities in the Index returning 13.3%, respectively, during the 12-months ended March 31, 2011.

 

Security selection and sector positioning drive the Fund’s results

The Fund generated strong absolute and relative returns during the fiscal year. Among the largest contributors to performance was an overweighting to financials. Spreads in this sector substantially narrowed as investors were encouraged by financial companies’ recapitalization efforts and balance sheet improvement during the period. In addition, there was some clarification regarding financial reform in the U.S. Strong security selection in a number of sectors also enhanced the Fund’s performance. For example, holdings in the utilities sector performed well, in particular, electricity generator credits. In the consumer cyclical sector, auto-related credits outperformed the Index, as fundamentals in the auto industry improved during the fiscal year. Detracting somewhat from results were holdings in the media sector, as printing and publishing credits lagged the Index. In addition, the Fund’s underweight exposure to the chemicals sector was not rewarded as this sector generated strong results during the fiscal year.

 

Non-high yield holdings produced mixed results. An allocation to collateralized mortgage obligations contributed to performance, as these securities generated strong returns. Overall, Build America Bond exposure was additive for performance, despite a period of turbulence toward the end of 2010. Investment grade bond allocation was a negative for performance, while although these bonds produced positive returns during the reporting period, they significantly underperformed the high yield bond market.

 

 

PIMCO Global StocksPLUS® & Income Fund

 

3.31.11 | PIMCO High Income Fund Annual Report

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PIMCO Global StocksPLUS® & Income Fund
Fund Performance & Statistics

March 31, 2011 (unaudited)

 

Total Return(1):

 

Market Price

 

NAV

1 Year

 

43.45%

 

40.31%

5 Year

 

19.65%

 

9.99%

Commencement of Operations (5/31/05) to 3/31/11

 

17.94%

 

11.72%

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

Commencement of Operations (5/31/05) to 3/31/11

Market Price

 

$24.48

 

NAV

 

$14.88

Premium to NAV

 

64.52%

Market Price Yield(2)

 

8.99%

 

 

Moody’s Ratings

(as a % of total investments, before options written and securities sold short)

 

 

 

 

 

 

 

(1) Past performance is no guarantee of future results. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. The calculation assumes that all income dividends, capital gain and return of capital distributions, if any, have been reinvested. Total return does not reflect broker commissions or sales charges in connection with the purchase or sale of Fund shares. Total return for a period of more than one year represents the average annual total return.

 

Performance at market price will differ from its results at NAV. Although market price returns typically reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund’s shares, or changes in Fund dividends.

 

An investment in the Fund involves risk, including the loss of principal. Total return, market price, market price yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a onetime public offering and once issued, shares of closed-end funds are traded in the open market through a stock exchange. NAV is equal to total assets less total liabilities divided by the number of shares outstanding. Holdings are subject to change daily.

 

(2) Market Price Yield is determined by dividing the annualized current monthly per share dividend (comprised of net investment income) payable to shareholders by the market price per share at March 31, 2011.

 

 

PIMCO Global StocksPLUS® & Income Fund

 

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PIMCO High Income Fund Annual Report        | 3.31.11

 


 

PIMCO High Income Fund
Fund Performance & Statistics

March 31, 2011 (unaudited)

 

Total Return(1):

 

Market Price

 

NAV

1 Year

 

28.94%

 

27.27%

5 Year

 

15.28%

 

9.45%

Commencement of Operations (4/30/03) to 3/31/11

 

13.92%

 

10.71%

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

Commencement of Operations (4/30/03) to 3/31/11

Market Price

 

$14.01

 

NAV

 

$9.42

Premium to NAV

 

48.73%

Market Price Yield(2)

 

10.44%

 

 

Moody’s Ratings

(as a % of total investments)

 

 

 

 

 

 

 

 

 

(1) Past performance is no guarantee of future results. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. The calculation assumes that all income dividends, capital gain and return of capital distributions, if any, have been reinvested. Total return does not reflect broker commissions or sales charges in connection with the purchase or sale of Fund shares. Total return for a period of more than one year represents the average annual total return.

 

Performance at market price will differ from its results at NAV. Although market price returns typically reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund’s shares, or changes in Fund dividends.

 

An investment in the Fund involves risk, including the loss of principal. Total return, market price, market price yield and NAV will fluctuate with changes in market conditions. This data is provided for information purposes only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a onetime public offering and once issued, shares of closed-end funds are traded in the open market through a stock exchange. NAV is equal to total assets attributable to common shareholders less total liabilities divided by the number of common shares outstanding. Holdings are subject to change daily.

 

(2) Market Price Yield is determined by dividing the annualized current monthly per share dividend (comprised of net investment income) payable to common shareholders by the market price per common share at March 31, 2011.

 

PIMCO Global StocksPLUS® & Income Fund

 

3.31.11 | PIMCO High Income Fund Annual Report

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PIMCO Global StocksPLUS® & Income Fund Schedule of Investments

March 31, 2011

Principal
Amount
(000s)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

MORTGAGE-BACKED SECURITIES – 70.9%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Banc of America Commercial Mortgage, Inc., CMO, VRN,

 

 

 

 

 

$2,000

 

5.349%, 3/11/41 (a) (d)

 

NR/CCC+

 

$1,621,739

 

2,600

 

5.889%, 7/10/44 (k)

 

NR/A+

 

2,812,129

 

 

 

Banc of America Funding Corp., CMO,

 

 

 

 

 

358

 

0.474%, 7/20/36, FRN

 

Caa2/AAA

 

306,362

 

1,147

 

3.002%, 12/20/34, VRN

 

NR/A-

 

805,637

 

2,809

 

5.641%, 3/20/36, FRN

 

Caa2/B

 

2,467,399

 

689

 

5.846%, 1/25/37, VRN

 

Caa3/D

 

461,842

 

241

 

Banc of America Mortgage Securities, Inc.,

 

 

 

 

 

 

 

6.00%, 7/25/46, CMO

 

B2/CCC

 

242,370

 

756

 

BCAP LLC Trust, 6.25%, 11/26/36, CMO (a) (d)

 

NR/A

 

685,042

 

3,000

 

BCRR Trust, 5.858%, 7/17/40, CMO, VRN (a) (d) (k)

 

Aa2/NR

 

3,081,215

 

 

 

Bear Stearns Adjustable Rate Mortgage Trust, CMO, VRN,

 

 

 

 

 

564

 

2.783%, 3/25/35

 

Caa2/BB-

 

464,734

 

1,515

 

2.864%, 2/25/34

 

Aa3/AA

 

1,365,124

 

2,461

 

5.638%, 8/25/47

 

NR/CCC

 

2,108,511

 

1,072

 

5.75%, 7/25/36

 

NR/CCC

 

805,455

 

 

 

Bear Stearns Alt-A Trust, CMO, VRN,

 

 

 

 

 

717

 

2.690%, 4/25/35

 

Caa1/BBB+

 

533,122

 

390

 

2.987%, 9/25/35

 

Caa3/CCC

 

305,469

 

 

 

Bear Stearns Commercial Mortgage Securities, CMO, VRN,

 

 

 

 

 

1,000

 

5.58%, 2/11/41 (a) (d)

 

NR/BBB-

 

768,892

 

1,300

 

5.627%, 3/13/40 (a) (d)

 

NR/BBB+

 

1,119,525

 

1,000

 

5.694%, 6/11/50

 

NR/A+

 

1,069,337

 

 

 

Bear Stearns Structured Products, Inc., CMO, VRN,

 

 

 

 

 

631

 

2.683%, 1/26/36

 

B2/A+

 

422,385

 

645

 

5.222%, 12/26/46

 

Caa1/CCC

 

460,703

 

1,587

 

CBA Commercial Small Balance Commercial Mortgage,

 

 

 

 

 

 

 

5.54%, 1/25/39, CMO (a) (d)

 

C/CCC+

 

844,158

 

 

 

CC Mortgage Funding Corp., CMO, FRN (a) (d),

 

 

 

 

 

139

 

0.550%, 8/25/35

 

Baa3/AAA

 

101,182

 

24

 

0.590%, 10/25/34

 

Baa1/AAA

 

21,800

 

1,247

 

Charlotte Gateway Village LLC,

 

 

 

 

 

 

 

6.41%, 12/1/16, CMO (a) (d) (g)

 

NR/A+

 

1,289,298

 

1,600

 

Chase Commercial Mortgage Securities Corp.,
6.65%, 7/15/32, CMO (a) (d)

 

Ba3/NR

 

1,529,355

 

213

 

Citicorp Mortgage Securities, Inc., 6.50%, 2/25/24, CMO

 

WR/BB

 

212,026

 

 

 

Citigroup Mortgage Loan Trust, Inc., CMO,

 

 

 

 

 

544

 

2.56%, 8/25/35, FRN

 

B3/AA

 

484,684

 

1,580

 

2.827%, 3/25/37, VRN

 

NR/CCC

 

1,114,953

 

1,015

 

Citigroup/Deutsche Bank Commercial Mortgage Trust,
5.222%, 7/15/44, CMO, VRN

 

Baa3/BBB

 

918,237

 

 

 

Countrywide Alternative Loan Trust, CMO,

 

 

 

 

 

1,804

 

0.464%, 5/20/46, FRN

 

Ca/CCC

 

1,018,579

 

366

 

0.490%, 12/25/46, FRN

 

C/CCC

 

118,238

 

2,196

 

0.580%, 10/25/35, FRN

 

Caa3/CCC

 

1,395,155

 

4,367

 

0.600%, 5/25/36, FRN

 

Caa3/CCC

 

2,510,423

 

78

 

5.25%, 8/25/35

 

NR/CCC

 

77,144

 

1,530

 

5.50%, 8/25/34

 

NR/AAA

 

1,164,051

 

82

 

5.50%, 2/25/36

 

Caa3/CC

 

59,173

 

1,328

 

5.50%, 3/25/36

 

Caa3/NR

 

966,806

 

595

 

5.542%, 10/25/35, VRN

 

NR/CC

 

415,380

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Global StocksPLUS® & Income Fund

 

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PIMCO Global StocksPLUS® & Income Fund Schedule of Investments

March 31, 2011 (continued)

Principal
Amount
(000s)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

 

 

$662

 

5.663%, 2/25/37, VRN

 

NR/CCC

 

$500,626

 

215

 

6.25%, 9/25/34

 

Ba3/AAA

 

213,665

 

 

 

Countrywide Home Loan Mortgage Pass Through Trust, CMO,

 

 

 

 

 

448

 

0.490%, 3/25/36, FRN

 

Caa3/B

 

306,049

 

1,884

 

0.570%, 3/25/35, FRN

 

Caa2/AAA

 

1,272,351

 

302

 

0.640%, 2/25/35, FRN

 

Ca/BBB

 

102,011

 

332

 

2.689%, 10/20/35, VRN

 

Ca/CCC

 

210,378

 

785

 

2.984%, 8/25/34, VRN

 

Caa1/BB+

 

625,470

 

812

 

3.484%, 3/25/37, VRN

 

Ca/CC

 

415,079

 

1,676

 

5.077%, 10/20/35, VRN

 

Caa2/CCC

 

1,215,655

 

631

 

5.267%, 10/20/35, VRN

 

Caa2/CCC

 

501,743

 

250

 

5.50%, 8/25/35

 

NR/CCC

 

229,377

 

332

 

6.00%, 3/25/36

 

NR/CCC

 

73,697

 

2,600

 

Credit Suisse First Boston Mortgage Securities Corp.,
5.745%, 12/15/36, CMO, VRN (a) (d)

 

NR/BB-

 

2,073,904

 

 

 

Credit Suisse Mortgage Capital Certificates, CMO,

 

 

 

 

 

900

 

5.467%, 7/18/16, VRN (a) (d)

 

NR/NR

 

871,955

 

511

 

6.00%, 11/25/36

 

Caa1/NR

 

462,005

 

2,000

 

6.211%, 2/15/41, VRN (k)

 

NR/AA

 

2,162,663

 

1,573

 

Falcon Franchise Loan LLC, 4.856%, 1/5/25, CMO (a) (d)

 

B1/NR

 

1,497,137

 

 

 

First Horizon Alternative Mortgage Securities, CMO, FRN,

 

 

 

 

 

306

 

2.375%, 2/25/36

 

C/D

 

3,791

 

1,173

 

5.374%, 11/25/36

 

NR/D

 

652,921

 

2,379

 

First Horizon Asset Securities, Inc.,
5.388%, 1/25/37, CMO, FRN

 

NR/CCC

 

1,928,039

 

 

 

GE Capital Commercial Mortgage Corp., CMO, VRN,

 

 

 

 

 

1,000

 

5.131%, 7/10/45 (a) (d)

 

NR/BB

 

764,119

 

1,000

 

5.146%, 5/10/43

 

NR/BB

 

796,363

 

351

 

GMAC Mortgage Corp. Loan Trust, 3.204%, 6/25/34, CMO, FRN

 

NR/AAA

 

313,031

 

 

 

GSR Mortgage Loan Trust, CMO,

 

 

 

 

 

426

 

2.796%, 9/25/35, FRN

 

NR/AAA

 

417,365

 

439

 

2.800%, 5/25/35, VRN

 

Caa1/B+

 

315,105

 

309

 

2.888%, 4/25/35, VRN

 

Caa2/BB-

 

255,374

 

696

 

5.50%, 6/25/36

 

NR/CCC

 

667,574

 

1,422

 

5.50%, 1/25/37

 

Caa1/NR

 

1,231,761

 

 

 

Harborview Mortgage Loan Trust, CMO,

 

 

 

 

 

47

 

0.554%, 4/19/34, FRN

 

Aa3/AAA

 

43,319

 

258

 

2.544%, 11/19/34, FRN

 

Caa2/B+

 

163,784

 

109

 

5.505%, 8/19/36, VRN

 

NR/CCC

 

87,836

 

1,216

 

5.715%, 6/19/36, VRN

 

Ca/D

 

758,423

 

1,264

 

HSBC Asset Loan Obligation, 5.835%, 1/25/37, CMO, VRN

 

NR/D

 

858,906

 

3

 

Impac CMB Trust, 0.890%, 10/25/33, CMO, FRN

 

WR/A

 

2,685

 

 

 

Indymac Index Mortgage Loan Trust, CMO, FRN,

 

 

 

 

 

3,559

 

0.520%, 6/25/37

 

C/CCC

 

721,227

 

99

 

0.530%, 3/25/35

 

B3/BB-

 

72,676

 

618

 

4.742%, 6/25/37

 

Ca/D

 

368,197

 

¥79,648

 

JLOC Ltd., 0.449%, 2/16/16, CMO, FRN (a) (d)

 

Aaa/AAA

 

873,194

 

$1,167

 

JPMorgan Alternative Loan Trust, 7.00%, 12/25/35, CMO

 

NR/CCC

 

308,448

 

 

 

JPMorgan Chase Commercial Mortgage Securities Corp., CMO (a) (d),

 

 

 

 

 

2,000

 

0.705%, 7/15/19, FRN

 

Baa1/NR

 

1,806,762

 

1,500

 

5.278%, 5/15/41, VRN

 

Ba1/NR

 

1,064,900

 

 

 

JPMorgan Mortgage Trust, CMO,

 

 

 

 

 

2,666

 

2.824%, 4/25/37, VRN

 

Caa2/CCC

 

1,901,528

 

2,065

 

3.081%, 8/25/35, FRN

 

NR/CCC

 

1,767,389

 

 

 

 

 

 

 

 

 

 

PIMCO Global StocksPLUS® & Income Fund

 

3.31.11 | PIMCO High Income Fund Annual Report

11

 


 

PIMCO Global StocksPLUS® & Income Fund Schedule of Investments

March 31, 2011 (continued)

Principal
Amount
(000s)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

 

 

$3,228

 

5.444%, 8/25/36, VRN

 

Caa2/NR

 

$2,385,030

 

209

 

5.50%, 1/25/36

 

NR/CCC

 

188,677

 

450

 

5.50%, 6/25/37

 

NR/CC

 

411,844

 

810

 

5.710%, 5/25/36, VRN

 

Caa1/NR

 

693,447

 

 

 

Luminent Mortgage Trust, CMO, FRN,

 

 

 

 

 

1,600

 

0.420%, 12/25/36

 

Caa2/B+

 

1,003,762

 

1,614

 

0.450%, 10/25/46

 

Caa2/A-

 

1,115,357

 

 

 

MASTR Adjustable Rate Mortgage Trust, CMO, VRN,

 

 

 

 

 

1,129

 

2.709%, 11/25/35 (a) (d)

 

Caa1/CCC

 

713,579

 

504

 

3.155%, 10/25/34

 

NR/A

 

399,283

 

136

 

Mellon Residential Funding Corp., 0.735%, 6/15/30, CMO, FRN

 

Aaa/AAA

 

134,414

 

491

 

Merrill Lynch Alternative Note Asset, 0.320%, 1/25/37, CMO, FRN

 

Ca/CCC

 

208,069

 

1,000

 

Merrill Lynch/Countrywide Commercial Mortgage Trust,
5.378%, 8/12/48, CMO

 

Aa2/A

 

1,036,096

 

378

 

MLCC Mortgage Investors, Inc., 1.707%, 10/25/35, CMO, FRN

 

Baa1/AAA

 

347,059

 

 

 

Morgan Stanley Capital I, CMO,

 

 

 

 

 

500

 

5.203%, 11/14/42, VRN

 

Baa3/BB+

 

430,924

 

100

 

5.379%, 8/13/42, VRN (a) (d)

 

NR/BB-

 

66,186

 

1,415

 

5.569%, 12/15/44

 

NR/A+

 

1,484,164

 

539

 

Opteum Mortgage Acceptance Corp., 0.520%, 7/25/36, CMO, FRN

 

Caa3/CCC

 

253,107

 

340

 

Provident Funding Mortgage Loan Trust,
2.808%, 10/25/35, CMO, FRN

 

B1/AAA

 

322,238

 

3,000

 

RBSCF Trust, 6.068%, 2/17/51, CMO, VRN (a) (d)

 

NR/NR

 

3,138,843

 

 

 

Residential Accredit Loans, Inc., CMO,

 

 

 

 

 

690

 

3.166%, 12/26/34, VRN

 

Caa1/BB+

 

527,049

 

1,812

 

3.866%, 1/25/36, VRN

 

Caa3/D

 

1,031,005

 

1,141

 

6.00%, 9/25/35

 

NR/CC

 

886,595

 

858

 

6.00%, 8/25/36

 

Ca/D

 

590,914

 

272

 

Residential Asset Mortgage Products, Inc.,
7.50%, 12/25/31, CMO

 

NR/BB-

 

275,951

 

 

 

Structured Adjustable Rate Mortgage Loan Trust, CMO,

 

 

 

 

 

1,423

 

1.707%, 5/25/35, FRN

 

Caa3/CCC

 

838,493

 

248

 

5.476%, 9/25/35, VRN

 

Caa2/BB-

 

209,111

 

1,340

 

5.586%, 11/25/36, VRN

 

NR/CC

 

1,030,203

 

1,506

 

5.639%, 4/25/36, VRN

 

NR/CC

 

1,181,106

 

975

 

5.790%, 1/25/36, VRN

 

NR/CCC

 

752,840

 

 

 

Structured Asset Mortgage Investments, Inc., CMO, FRN,

 

 

 

 

 

778

 

0.480%, 2/25/36

 

Caa3/CCC

 

442,262

 

693

 

0.530%, 2/25/36

 

Caa3/CCC

 

421,089

 

900

 

Structured Asset Securities Corp., 0.400%, 5/25/36, CMO, FRN

 

Caa1/CCC

 

643,285

 

404

 

Suntrust Adjustable Rate Mortgage Loan Trust,
2.974%, 1/25/37, CMO, VRN

 

NR/CCC

 

319,336

 

 

 

Wachovia Bank Commercial Mortgage Trust, CMO,

 

 

 

 

 

1,020

 

4.982%, 2/15/35 (a) (d)

 

NR/B+

 

812,765

 

1,500

 

5.403%, 1/15/41, VRN (a) (d)

 

Ba1/BBB

 

796,836

 

2,500

 

5.900%, 2/15/51, VRN

 

Aaa/BBB

 

2,653,533

 

1,464

 

Wachovia Mortgage Loan Trust LLC, 2.994%, 10/20/35, CMO, FRN

 

NR/B+

 

1,136,358

 

 

 

WaMu Mortgage Pass Through Certificates, CMO,

 

 

 

 

 

270

 

0.540%, 7/25/45, FRN

 

B1/AAA

 

224,824

 

1,689

 

0.540%, 10/25/45, FRN

 

B2/AAA

 

1,467,105

 

1,675

 

0.570%, 7/25/45, FRN

 

Ba1/AAA

 

1,403,518

 

243

 

1.042%, 1/25/47, FRN

 

Caa2/CCC

 

161,872

 

247

 

2.734%, 7/25/42, FRN

 

Ba3/AAA

 

221,764

 

1,037

 

3.648%, 2/25/37, VRN

 

NR/CCC

 

833,477

 

 

 

 

 

 

 

 

 

 

 

PIMCO Global StocksPLUS® & Income Fund

 

12

 

PIMCO High Income Fund Annual Report        | 3.31.11

 


 

PIMCO Global StocksPLUS® & Income Fund Schedule of Investments

March 31, 2011 (continued)

Principal
Amount
(000s)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

 

 

$1,236

 

4.868%, 12/25/36, VRN

 

NR/CCC

 

$973,084

 

2,577

 

5.686%, 4/25/37, FRN

 

NR/CCC

 

708,495

 

436

 

5.695%, 7/25/37, FRN

 

NR/CCC

 

370,475

 

124

 

6.014%, 8/25/36, FRN

 

NR/CCC

 

25,454

 

4,377

 

Washington Mutual Alternative Mortgage Pass
Through Certificates, 1.082%, 4/25/47, CMO, FRN

 

C/CC

 

1,237,307

 

 

 

Wells Fargo Mortgage-Backed Securities Trust, CMO,

 

 

 

 

 

1,291

 

5.468%, 3/25/36, FRN

 

NR/BB

 

1,144,111

 

900

 

5.713%, 10/25/36, VRN

 

Caa1/NR

 

766,168

 

1,590

 

6.00%, 3/25/37

 

Caa2/NR

 

1,498,859

 

Total Mortgage-Backed Securities (cost-$90,356,825)

 

 

 

106,943,439

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES – 59.9%

 

 

 

 

 

 

 

 

 

 

 

 

 

Airlines – 3.5%

 

 

 

 

 

1,000

 

American Airlines, Inc., 10.50%, 10/15/12 (k)

 

B2/B

 

1,092,500

 

1,086

 

Northwest Airlines, Inc., 1.063%, 11/20/15, FRN (MBIA) (k)

 

Baa2/A-

 

1,026,405

 

 

 

United Air Lines Pass Through Trust (k),

 

 

 

 

 

2,121

 

6.636%, 1/2/24

 

Baa2/BB+

 

2,141,651

 

944

 

10.40%, 5/1/18

 

Baa2/BBB+

 

1,081,231

 

 

 

 

 

 

 

5,341,787

 

 

 

 

 

 

 

 

 

Banking – 8.5%

 

 

 

 

 

 

 

Barclays Bank PLC (h),

 

 

 

 

 

£900

 

6.369%, 12/15/19

 

Baa2/A-

 

1,299,401

 

£100

 

14.00%, 6/15/19

 

Baa2/A-

 

210,150

 

 

 

BPCE S.A. (h),

 

 

 

 

 

€160

 

4.625%, 7/30/15

 

Baa3/BBB-

 

198,408

 

€120

 

5.25%, 7/30/14

 

Baa3/BBB-

 

155,609

 

€150

 

9.25%, 4/22/15

 

Baa3/BBB-

 

220,020

 

 

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (k),

 

 

 

 

 

€1,000

 

6.875%, 3/19/20

 

NR/NR

 

1,436,067

 

$1,600

 

11.00%, 6/30/19 (a) (d) (h)

 

A2/AA-

 

2,090,182

 

2,800

 

Discover Bank, 7.00%, 4/15/20 (k)

 

Ba1/BBB-

 

3,081,610

 

2,000

 

Lloyds TSB Bank PLC, 6.375%, 1/21/21 (k)

 

Aa3/A+

 

2,085,558

 

2,000

 

Regions Financial Corp., 7.75%, 11/10/14 (k)

 

Ba3/BB+

 

2,161,704

 

 

 

 

 

 

 

12,938,709

 

 

 

 

 

 

 

Financial Services – 22.7%

 

 

 

 

 

 

 

Ally Financial, Inc.,

 

 

 

 

 

31

 

6.00%, 3/15/19

 

B1/B

 

27,589

 

9

 

6.10%, 9/15/19

 

B1/B

 

7,979

 

45

 

6.15%, 3/15/16

 

B1/B

 

42,126

 

60

 

6.25%, 4/15/19

 

B1/B

 

54,145

 

98

 

6.30%, 8/15/19

 

B1/B

 

87,907

 

7

 

6.35%, 4/15/16

 

B1/B

 

6,551

 

10

 

6.35%, 4/15/19

 

B1/B

 

9,094

 

23

 

6.50%, 10/15/16

 

B1/B

 

21,624

 

10

 

6.55%, 12/15/19

 

B1/B

 

9,143

 

12

 

6.60%, 8/15/16

 

B1/B

 

11,331

 

29

 

6.65%, 6/15/18

 

B1/B

 

27,080

 

10

 

6.65%, 10/15/18

 

B1/B

 

9,270

 

29

 

6.70%, 6/15/18

 

B1/B

 

27,158

 

29

 

6.75%, 8/15/16

 

B1/B

 

27,570

 

 

 

 

 

 

 

 

 

 

PIMCO Global StocksPLUS® & Income Fund

 

3.31.11 | PIMCO High Income Fund Annual Report

13

 


 

PIMCO Global StocksPLUS® & Income Fund Schedule of Investments

March 31, 2011 (continued)

Principal
Amount
(000s)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

 

 

$10

 

6.75%, 9/15/16

 

B1/B

 

$9,507

 

3

 

6.75%, 6/15/17

 

B1/B

 

2,844

 

56

 

6.75%, 3/15/18

 

B1/B

 

52,783

 

5

 

6.75%, 7/15/18

 

B1/B

 

4,681

 

20

 

6.75%, 9/15/18

 

B1/B

 

18,597

 

3

 

6.75%, 6/15/19

 

B1/B

 

2,776

 

18

 

6.85%, 4/15/16

 

B1/B

 

17,400

 

19

 

6.85%, 7/15/16

 

B1/B

 

18,160

 

37

 

6.85%, 5/15/18

 

B1/B

 

35,064

 

2

 

6.875%, 8/15/16

 

B1/B

 

1,913

 

18

 

6.875%, 7/15/18

 

B1/B

 

16,963

 

30

 

6.90%, 6/15/17

 

B1/B

 

28,667

 

50

 

6.90%, 7/15/18

 

B1/B

 

47,213

 

5

 

6.90%, 8/15/18

 

B1/B

 

4,706

 

8

 

6.95%, 6/15/17

 

B1/B

 

7,664

 

18

 

7.00%, 1/15/17

 

B1/B

 

17,321

 

28

 

7.00%, 6/15/17

 

B1/B

 

26,890

 

60

 

7.00%, 7/15/17

 

B1/B

 

57,600

 

129

 

7.00%, 2/15/18

 

B1/B

 

123,312

 

1

 

7.00%, 3/15/18

 

B1/B

 

956

 

42

 

7.00%, 8/15/18

 

B1/B

 

39,757

 

223

 

7.05%, 3/15/18 (k)

 

B1/B

 

213,680

 

4

 

7.05%, 4/15/18

 

B1/B

 

3,826

 

80

 

7.15%, 9/15/18

 

B1/B

 

76,140

 

15

 

7.20%, 10/15/17

 

B1/B

 

14,540

 

193

 

7.25%, 8/15/12

 

B1/B

 

192,703

 

109

 

7.25%, 9/15/17

 

B1/B

 

106,468

 

181

 

7.25%, 1/15/18

 

B1/B

 

175,358

 

293

 

7.25%, 4/15/18

 

B1/B

 

283,158

 

5

 

7.25%, 8/15/18

 

B1/B

 

4,798

 

91

 

7.25%, 9/15/18

 

B1/B

 

87,096

 

199

 

7.30%, 1/15/18

 

B1/B

 

193,232

 

57

 

7.35%, 4/15/18

 

B1/B

 

55,397

 

2

 

7.375%, 4/15/18

 

B1/B

 

1,946

 

55

 

7.40%, 12/15/17

 

B1/B

 

53,685

 

12

 

7.50%, 6/15/16

 

B1/B

 

11,801

 

7

 

7.50%, 11/15/16

 

B1/B

 

6,892

 

51

 

7.50%, 8/15/17

 

B1/B

 

50,159

 

18

 

7.50%, 11/15/17

 

B1/B

 

17,692

 

22

 

7.50%, 12/15/17

 

B1/B

 

21,579

 

4

 

7.55%, 5/15/16

 

B1/B

 

3,938

 

12

 

7.75%, 10/15/17

 

B1/B

 

11,881

 

46

 

8.00%, 11/15/17

 

B1/B

 

46,123

 

2

 

8.125%, 11/15/17

 

B1/B

 

2,006

 

326

 

9.00%, 7/15/20 (k)

 

B1/B

 

329,551

 

2,700

 

C10 Capital SPV Ltd., 6.722%, 12/31/16 (h) (k)

 

NR/B-

 

2,114,178

 

 

 

CIT Group, Inc.,

 

 

 

 

 

1,300

 

5.25%, 4/1/14 (a) (d)

 

B3/B+

 

1,307,972

 

158

 

7.00%, 5/1/13

 

B3/B+

 

162,049

 

454

 

7.00%, 5/1/14 (k)

 

B3/B+

 

463,247

 

454

 

7.00%, 5/1/15 (k)

 

B3/B+

 

458,711

 

756

 

7.00%, 5/1/16

 

B3/B+

 

758,849

 

1,058

 

7.00%, 5/1/17 (k)

 

B3/B+

 

1,062,391

 

 

 

 

 

 

 

 

 

 

 

PIMCO Global StocksPLUS® & Income Fund

 

14

 

PIMCO High Income Fund Annual Report        | 3.31.11

 


 

PIMCO Global StocksPLUS® & Income Fund Schedule of Investments

March 31, 2011 (continued)

Principal
Amount
(000s)

 

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

 

 

Financial Services (continued)

 

 

 

 

 

$1,200

 

Citigroup Capital XXI, 8.30%, 12/21/77,
(converts to FRN on 12/21/37) (k)

 

Ba1/BB+

 

$1,254,000

 

 

 

Credit Agricole S.A. (h),

 

 

 

 

 

£450

 

5.136%, 2/24/16

 

A3/A-

 

628,405

 

£200

 

7.589%, 1/30/20

 

A3/A-

 

309,610

 

£200

 

8.125%, 10/26/19

 

A3/A-

 

326,936

 

 

 

Ford Motor Credit Co. LLC (k),

 

 

 

 

 

$2,300

 

7.50%, 8/1/12

 

Ba2/BB-

 

2,452,347

 

400

 

8.00%, 6/1/14

 

Ba2/BB-

 

444,809

 

3,850

 

8.00%, 12/15/16

 

Ba2/BB-

 

4,370,293

 

€4,600

 

General Electric Capital Corp.,
4.625%, 9/15/66, (converts to FRN on 9/15/16) (a) (d) (k)

 

Aa3/A+

 

5,792,692

 

$1,000

 

HSBC Finance Corp., 6.676%, 1/15/21 (a) (d) (k)

 

Baa1/BBB+

 

1,038,358

 

3,000

 

International Lease Finance Corp., 6.625%, 11/15/13 (k)

 

B1/BB+

 

3,120,000

 

£100

 

LBG Capital No.2 PLC, 15.00%, 12/21/19

 

Ba2/BB+

 

218,171

 

$1,000

 

Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 6/30/21 (a) (d) (k)

 

Baa3/NR

 

1,058,750

 

 

 

SLM Corp.,

 

 

 

 

 

€200

 

1.503%, 6/17/13, FRN

 

Ba1/BBB-

 

262,443

 

$200

 

3.546%, 2/1/14, FRN

 

Ba1/BBB-

 

195,768

 

1,000

 

8.00%, 3/25/20 (k)

 

Ba1/BBB-

 

1,091,765

 

1,250

 

8.45%, 6/15/18 (k)

 

Ba1/BBB-

 

1,401,917

 

1,000

 

Stone Street Trust, 5.902%, 12/15/15 (a) (d) (k)

 

Baa1/A-

 

1,042,974

 

 

 

 

 

 

 

34,203,625

 

 

 

 

 

 

 

 

 

Healthcare & Hospitals – 3.7%

 

 

 

 

 

3,000

 

Biomet, Inc., 11.625%, 10/15/17 (k)

 

Caa1/B-

 

3,360,000

 

2,000

 

HCA, Inc., 9.25%, 11/15/16 (k)

 

B2/BB-

 

2,162,500

 

 

 

 

 

 

 

5,522,500

 

Hotels/Gaming – 0.8%

 

 

 

 

 

1,100

 

MGM Resorts International, 9.00%, 3/15/20 (k)

 

Ba3/B

 

1,211,375

 

 

 

 

 

 

 

 

 

Insurance – 5.0%

 

 

 

 

 

 

 

American International Group, Inc. (k),

 

 

 

 

 

4,565

 

5.60%, 10/18/16

 

Baa1/A-

 

4,751,859

 

1,350

 

6.25%, 5/1/36

 

Baa1/A-

 

1,342,814

 

1,300

 

6.40%, 12/15/20

 

Baa1/A-

 

1,388,390

 

 

 

 

 

 

 

7,483,063

 

 

 

 

 

 

 

 

 

Materials & Processing – 0.9%

 

 

 

 

 

1,148

 

Teck Resources Ltd., 10.25%, 5/15/16 (k)

 

Baa2/BBB

 

1,381,883

 

 

 

 

 

 

 

 

 

Oil & Gas – 6.6%

 

 

 

 

 

 

 

Anadarko Petroleum Corp.,

 

 

 

 

 

200

 

6.20%, 3/15/40

 

Ba1/BBB-

 

193,854

 

1,200

 

6.375%, 9/15/17 (k)

 

Ba1/BBB-

 

1,320,862

 

1,500

 

6.45%, 9/15/36 (k)

 

Ba1/BBB-

 

1,502,724

 

2,900

 

BP Capital Markets PLC, 4.75%, 3/10/19 (k)

 

A2/A

 

3,018,598

 

357

 

Global Geophysical Services, Inc., 10.50%, 5/1/17

 

B3/B

 

385,560

 

3,000

 

Quicksilver Resources, Inc., 11.75%, 1/1/16 (k)

 

B2/B

 

3,510,000

 

 

 

 

 

 

 

9,931,598

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Global StocksPLUS® & Income Fund

 

3.31.11 | PIMCO High Income Fund Annual Report

15

 


 

PIMCO Global StocksPLUS® & Income Fund Schedule of Investments

March 31, 2011 (continued)

Principal
Amount
(000s)

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

Real Estate Investment Trust – 2.1%

 

 

 

 

$1,000

 

Kilroy Realty L.P., 5.00%, 11/3/15 (k)

Baa3/BBB-

 

$997,332

 

2,000

 

Reckson Operating Partnership L.P., 7.75%, 3/15/20 (k)

Ba1/BB+

 

2,247,548

 

 

 

 

 

 

3,244,880

 

Retail – 3.4%

 

 

 

 

2,599

 

CVS Pass Through Trust, 5.88%, 1/10/28 (k)

Baa2/NR

 

2,637,956

 

3,000

 

New Albertson’s, Inc., 8.00%, 5/1/31 (k)

B2/B

 

2,475,000

 

 

 

 

 

 

5,112,956

 

Telecommunications – 1.5%

 

 

 

 

2,000

 

Wind Acquisition Finance S.A., 11.75%, 7/15/17 (a) (d) (k)

B2/B+

 

2,310,000

 

Transportation – 0.8%

 

 

 

 

1,075

 

Navios Maritime Holdings, Inc., 8.875%, 11/1/17 (k)

Ba3/BB-

 

1,170,406

 

Utilities – 0.4%

 

 

 

 

500

 

Energy Future Holdings Corp., 10.00%, 1/15/20

Caa3/B

 

531,884

 

Total Corporate Bonds & Notes (cost-$80,591,006)

 

 

90,384,666

 

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES – 10.0%

 

 

 

 

 

 

Fannie Mae,

 

 

 

 

2,699

 

4.50%, 8/1/39, MBS (k)

Aaa/AAA

 

2,746,720

 

2,350

 

4.50%, 10/1/39, MBS (k)

Aaa/AAA

 

2,391,856

 

3,445

 

6.00%, 8/1/34, MBS (k)

Aaa/AAA

 

3,785,450

 

1,190

 

6.00%, 12/1/34, MBS (k)

Aaa/AAA

 

1,307,435

 

1,911

 

6.00%, 11/1/36, MBS (k)

Aaa/AAA

 

2,090,255

 

507

 

6.00%, 12/1/37, MBS (k)

Aaa/AAA

 

552,480

 

678

 

6.00%, 3/1/38, MBS (k)

Aaa/AAA

 

737,711

 

179

 

7.00%, 12/25/23, CMO (k)

Aaa/AAA

 

204,012

 

117

 

7.50%, 6/1/32, MBS (k)

Aaa/AAA

 

132,572

 

35

 

7.80%, 6/25/26, ABS, VRN

Aaa/AAA

 

35,283

 

256

 

9.713%, 12/25/42, CMO, VRN (k)

Aaa/AAA

 

292,716

 

690

 

13.806%, 8/25/22, CMO, FRN (b) (k)

Aaa/AAA

 

837,145

 

25

 

Freddie Mac, 7.00%, 8/15/23, CMO

Aaa/AAA

 

27,763

 

Total U.S. Government Agency Securities (cost-$14,565,114)

 

 

15,141,398

 

 

 

 

 

 

ASSET-BACKED SECURITIES – 8.8%

 

 

 

 

879

 

Aircraft Certificate Owner Trust, 6.455%, 9/20/22 (a) (d)

Ba3/BB

 

870,670

 

443

 

Ameriquest Mortgage Securities, Inc., 5.875%, 2/25/33, FRN

C/D

 

31,334

 

552

 

Bayview Financial Asset Trust, 1.200%, 12/25/39, FRN (a) (d)

Caa2/NR

 

325,759

 

100

 

Carrington Mortgage Loan Trust, 0.400%, 8/25/36, FRN

Ca/AA-

 

41,254

 

500

 

Centex Home Equity, 0.700%, 6/25/35, FRN

Caa2/AA

 

418,261

 

 

 

Citigroup Mortgage Loan Trust, Inc.,

 

 

 

 

358

 

0.410%, 1/25/37, FRN

Caa3/CCC

 

163,460

 

1,112

 

5.972%, 1/25/37

Caa3/CCC

 

602,771

 

 

 

Countrywide Asset-Backed Certificates, FRN,

 

 

 

 

313

 

0.400%, 1/25/37

Caa1/CCC

 

222,783

 

78

 

0.800%, 9/25/34 (a) (d)

NR/AAA

 

63,847

 

301

 

Denver Arena Trust, 6.94%, 11/15/19 (a) (d)

NR/NR

 

308,764

 

426

 

EMC Mortgage Loan Trust, 0.720%, 5/25/39, FRN (a) (d)

Aaa/NR

 

364,924

 

654

 

Fifth Third Home Equity Loan Trust, 0.504%, 9/20/23, FRN

Ba1/BBB

 

625,025

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Global StocksPLUS® & Income Fund

16

 

PIMCO High Income Fund Annual Report       | 3.31.11

 


 

PIMCO Global StocksPLUS® & Income Fund Schedule of Investments

March 31, 2011 (continued)

Principal
Amount
(000s)

 

 

 

Credit Rating
(Moody’s/S&P)*

 

Value

 

 

 

 

 

 

 

 

 

 

Lehman XS Trust,

 

 

 

 

$855

 

5.42%, 11/25/35

A3/AAA

 

$849,064

 

744

 

5.72%, 5/25/37

Ca/CC

 

476,966

 

326

 

Long Beach Mortgage Loan Trust, 1.375%, 5/25/32, FRN

B3/AAA

 

259,939

 

727

 

MASTR Asset-Backed Securities Trust, 5.233%, 11/25/35

A1/BBB

 

650,019

 

407

 

Morgan Stanley ABS Capital I, 0.310%, 5/25/37, FRN

Caa3/BB

 

348,924

 

5,000

 

Origen Manufactured Housing, 7.65%, 3/15/32 (k)

B2/NR

 

5,004,622

 

207

 

Quest Trust, 0.370%, 8/25/36, FRN (a) (d)

Caa3/BBB

 

188,941

 

 

 

Residential Asset Mortgage Products, Inc.,

 

 

 

 

119

 

0.930%, 3/25/33, FRN

B2/CCC

 

86,316

 

167

 

5.572%, 6/25/32, VRN

Caa2/BB

 

127,774

 

254

 

Residential Funding Securities LLC, 0.700%, 6/25/33, FRN (a) (d)

Aa1/AAA

 

215,737

 

93

 

Soundview Home Equity Loan Trust, 0.310%, 11/25/36, FRN (a) (d)

Caa3/CCC

 

33,252

 

1,075

 

Structured Asset Securities Corp., 0.550%, 6/25/35, FRN

Caa2/AA+

 

753,814

 

407

 

Washington Mutual Asset Backed Certificates, 0.310%, 10/25/36, FRN

Caa2/CCC

 

282,954

 

Total Asset-Backed Securities (cost-$11,885,781)

 

 

13,317,174

 

 

 

 

 

 

SENIOR LOANS (a) (c) – 4.9%

 

 

 

 

 

 

 

 

 

Automotive Products – 1.0%

 

 

 

 

1,478

 

Ford Motor Corp., 3.01%, 12/15/13, Term B1

 

 

1,479,323

 

Financial Services – 1.3%

 

 

 

 

2,000

 

iStar Financial, Inc., 5.00%, 6/28/13, Term A1 (b) (e) (m),
(acquisition cost-$1,980,000; purchased 3/11/11)

 

 

1,981,806

 

Healthcare & Hospitals – 0.6%

 

 

 

 

1,000

 

HCA, Inc., 2.557%, 11/18/13, Term B1

 

 

996,797

 

Insurance – 1.7%

 

 

 

 

2,500

 

American General Finance Corp., 7.25%, 4/21/15

 

 

2,507,033

 

Utilities – 0.3%

 

 

 

 

 

 

Texas Competitive Electric Holdings Co. LLC,

 

 

 

 

19

 

3.746%, 10/10/14 (b) (m)

 

 

 

 

 

 

(acquisition cost-$14,702; purchased 7/30/10)

 

 

15,946

 

469

 

3.759%, 10/10/14

 

 

396,055

 

9

 

3.803%, 10/10/14

 

 

7,926

 

 

 

 

 

 

419,927

 

Total Senior Loans (cost-$7,310,807)

 

 

7,384,886

 

 

 

 

 

 

U.S. TREASURY OBLIGATIONS (i) – 1.4%

 

 

 

 

2,000

 

U.S. Treasury Notes, 2.375%, 8/31/14 (cost-$2,060,537)

 

 

2,057,032

 

 

 

 

 

 

MUNICIPAL BONDS & NOTES – 0.9%

 

 

 

 

 

 

 

 

 

West Virginia – 0.9%

 

 

 

 

1,895

 

Tobacco Settlement Finance Auth. Rev.,
7.467%, 6/1/47, Ser. A (cost-$1,783,030)

Baa3/BB+

 

1,324,055

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Global StocksPLUS® & Income Fund

 

3.31.11 | PIMCO High Income Fund Annual Report 

17

 


 

PIMCO Global StocksPLUS® & Income Fund Schedule of Investments

March 31, 2011 (continued)

Shares

 

 


Credit Rating
(Moody’s/S&P)*

 

Value

 

CONVERTIBLE PREFERRED STOCK – 0.3%

 

 

 

 

 

 

 

 

 

Electric Utilities – 0.3%

 

 

 

 

8,600

 

PPL Corp., 9.50%, 7/1/13 (h) (cost-$430,000)

NR/NR

 

$457,864

 

 

 

 

 

 

 

 

Principal
Amount
(000s)

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS – 22.6%

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations (i) – 11.8%

 

 

 

 

$17,130

 

U.S. Treasury Bills (l), 0.137%-0.180%, 7/7/11-9/15/11

 

 

17,122,648

 

 

 

U.S. Treasury Notes,

 

 

 

 

176

 

0.875%, 4/30/11

 

 

176,131

 

494

 

0.875%, 5/31/11

 

 

494,694

 

Total U.S. Treasury Obligations (cost-$17,790,384)

 

 

17,793,473

 

 

 

 

 

 

Corporate Notes – 8.1%

 

 

 

 

Financial Services – 5.1%

 

 

 

 

 

 

Ford Motor Credit Co. LLC (k),

 

 

 

 

2,120

 

3.053%, 1/13/12, FRN

Ba2/BB-

 

2,141,221

 

3,000

 

5.560%, 6/15/11, FRN

Ba2/BB-

 

3,026,490

 

1,300

 

7.25%, 10/25/11

Ba2/BB-

 

1,337,987

 

€800

 

Springleaf Finance Corp., 4.625%, 6/22/11

B3/NR

 

1,130,923

 

 

 

 

 

 

7,636,621

 

Insurance – 2.9%

 

 

 

 

$4,500

 

American International Group, Inc., 0.413%, 10/18/11, FRN (k)

Baa1/A-

 

4,480,754

 

Oil & Gas – 0.1%

 

 

 

 

200

 

BP Capital Markets PLC, 0.450%, 4/11/11, FRN

A2/NR

 

200,007

 

Total Corporate Notes (cost-$11,707,626)

 

 

12,317,382

 

 

 

 

 

 

Repurchase Agreements – 2.7%

 

 

 

 

700

 

Credit Suisse Securities (USA) LLC, dated 3/31/11, 0.14%, due 4/1/11, proceeds $700,003 collateralized by U.S. Treasury Notes, 2.625%, due 4/30/16, valued at $713,676 including accrued interest

 

 

700,000

 

3,323

 

State Street Bank & Trust Co., dated 3/31/11, 0.01%, due 4/1/11, proceeds $3,323,001; collateralized by U.S. Treasury Bills, 0.049%, due 4/21/11, valued at $3,389,905 including accrued interest

 

 

3,323,000

 

Total Repurchase Agreements (cost-$4,023,000)

 

 

4,023,000

 

Total Short-Term Investments (cost-$33,521,010)

 

 

34,133,855

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Global StocksPLUS® & Income Fund

18

 

PIMCO High Income Fund Annual Report       | 3.31.11

 


 

PIMCO Global StocksPLUS® & Income Fund Schedule of Investments

March 31, 2011 (continued)



Contracts

 

 

 

 

 

Value

 

OPTIONS PURCHASED (j) – 0.0%

 

 

 

 

 

 

 

 

 

 

 

Put Options – 0.0%

 

 

 

 

 

220

 

S&P 500 Index Futures (CME),
strike price $1,205, expires 4/15/11 (cost-$330,825)

 

 

 

$63,250

 

Total Investments, before options written and securities sold short
(cost-$242,834,935) – 179.7%

 

 

 

271,207,619

 

 

 

 

 

 

 

OPTIONS WRITTEN (j) – (2.0)%

 

 

 

 

 

 

 

 

 

 

 

Call Options – (2.0)%

 

 

 

 

 

220

 

S&P 500 Index Futures (CME),

 

 

 

 

 

 

 

strike price $1,270, expires 4/15/11 (premiums received-$2,144,175)

 

 

 

(3,036,000

)

 

 

 

 

 

 

 

 

Principal
Amount
(000s)

 

 

 

 

 

 

 

 

SECURITIES SOLD SHORT – (1.2)%

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations – (1.2)%

 

 

 

 

 

$2,000

 

U.S. Treasury Note, 2.625%, 11/15/20 (proceeds received-$1,873,044)

 

 

 

(1,863,906

)

Total Investments, net of options written and securities sold short
(cost-$238,817,716) – 176.5%

 

 

 

266,307,713

 

Other liabilities in excess of other assets – (76.5)%

 

 

 

(115,426,312

)

Net Assets – 100%

 

 

 

$150,881,401

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PIMCO Global StocksPLUS® & Income Fund

 

3.31.11 | PIMCO High Income Fund Annual Report 

19