PIMCO Global StocksPlus & Income Fund

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

  
Investment Company Act File Number:    811-21734
Registrant Name:    PIMCO Global StocksPlus® & Income Fund
Address of Principal Executive Offices:    1633 Broadway
   New York, NY 10019
Name and Address of Agent for Service:    William G. Galipeau
   650 Newport Center Drive
   Newport Beach, CA 92660
Registrant’s telephone number, including area code:    (844) 337-4626
Date of Fiscal Year End:   

June 30

Date of Reporting Period:    September 30, 2015


Item 1. Schedule of Investments


Schedule of Investments

PIMCO Global StocksPLUS® & Income Fund

September 30, 2015 (Unaudited)

 

                                         
    PRINCIPAL
AMOUNT
(000s)
    MARKET
VALUE
(000s)
 

INVESTMENTS IN SECURITIES 153.9%

   

BANK LOAN OBLIGATIONS 2.9%

   

Energy Future Intermediate Holding Co. LLC

   

4.250% due 06/19/2016

  $ 2,363      $ 2,359   

iHeartCommunications, Inc.

   

6.944% due 01/30/2019

    200        166   

OGX

   

TBD% - 13.000% due 04/10/2049

    133        156   

Sequa Corp.

   

5.250% due 06/19/2017

    915        778   
   

 

 

 
Total Bank Loan Obligations
(Cost $3,514)
      3,459   
   

 

 

 

CORPORATE BONDS & NOTES 40.7%

   

BANKING & FINANCE 24.8%

   

AGFC Capital Trust

   

6.000% due 01/15/2067 (g)

    1,000        765   

Banco do Brasil S.A.

   

9.000% due 06/18/2024 (e)(g)

    900        533   

Barclays Bank PLC

   

14.000% due 06/15/2019 (e)

  GBP 100        195   

Blackstone CQP Holdco LP

   

9.296% due 03/19/2019

  $ 4,580        4,187   

BNP Paribas S.A.

   

7.375% due 08/19/2025 (e)(g)

    1,100        1,108   

Cantor Fitzgerald LP

   

7.875% due 10/15/2019

    500        550   

Communications Sales & Leasing, Inc.

   

8.250% due 10/15/2023 (g)

    400        344   

ERB Hellas PLC

   

4.250% due 06/26/2018

  EUR 200        85   

Exeter Finance Corp.

   

9.750% due 05/20/2019

  $ 900        902   

Ford Motor Credit Co. LLC

   

8.000% due 12/15/2016 (g)

    3,850        4,141   

Jefferies Finance LLC

   

7.500% due 04/15/2021 (g)

    767        720   

Jefferies LoanCore LLC

   

6.875% due 06/01/2020 (g)

    800        768   

KGH Intermediate Holdco LLC

   

8.500% due 08/08/2019 (f)

      1,852        1,675   

LBG Capital PLC

   

7.588% due 05/12/2020

  GBP 500        798   

15.000% due 12/21/2019 (g)

    800        1,700   

Millennium Offshore Services Superholdings LLC

   

9.500% due 02/15/2018 (g)

  $ 1,000        863   

Navient Corp.

   

5.500% due 01/15/2019 (g)

    1,000        932   

8.450% due 06/15/2018 (g)

    970        1,000   

Novo Banco S.A.

   

4.750% due 01/15/2018

  EUR 100        106   

5.875% due 11/09/2015

    500        557   

OneMain Financial Holdings, Inc.

   

7.250% due 12/15/2021 (g)

  $ 772        785   

Pinnacol Assurance

   

8.625% due 06/25/2034 (f)

    1,100        1,160   

Rabobank Group

   

6.875% due 03/19/2020

  EUR   1,000        1,317   

11.000% due 06/30/2019 (e)(g)

  $ 1,135        1,400   

Springleaf Finance Corp.

   

6.500% due 09/15/2017 (g)

    900        936   

6.900% due 12/15/2017

    200        209   

TIG FinCo PLC

   

8.500% due 03/02/2020

  GBP 132        208   

8.750% due 04/02/2020

    678        946   

Toll Road Investors Partnership LP

   

0.000% due 02/15/2045 (d)

  $ 1,010        210   
   

 

 

 
      29,100   
   

 

 

 

INDUSTRIALS 13.2%

   

Ancestry.com Holdings LLC (9.625% Cash or 10.375% PIK)

   

9.625% due 10/15/2018 (b)(g)

    164        163   

Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK)

   

9.000% due 10/15/2019 (b)(g)

      1,308        934   


                                         

Caesars Entertainment Operating Co., Inc.

   

8.500% due 02/15/2020 ^(g)

    3,667        3,025   

9.000% due 02/15/2020 ^(g)

    183        151   

Chesapeake Energy Corp.

   

3.539% due 04/15/2019

    20        14   

Corp. GEO S.A.B. de C.V.

   

9.250% due 06/30/2020 ^

    470        14   

CVS Pass-Through Trust

   

5.880% due 01/10/2028

    542        624   

Enterprise Inns PLC

   

6.875% due 05/09/2025

  GBP 10        16   

Forbes Energy Services Ltd.

   

9.000% due 06/15/2019

  $ 292        189   

Global Geophysical Services, Inc.

   

10.500% due 05/01/2017 ^

    357        25   

iHeartCommunications, Inc.

   

9.000% due 03/01/2021 (g)

    690        578   

9.000% due 09/15/2022 (g)

    1,000        824   

Intrepid Aviation Group Holdings LLC

   

6.875% due 02/15/2019

    1,890        1,710   

Millar Western Forest Products Ltd.

   

8.500% due 04/01/2021

    30        22   

Numericable-SFR S.A.S.

   

6.250% due 05/15/2024 (g)

    1,900        1,838   

OGX Austria GmbH

   

8.375% due 04/01/2022 ^

      2,050        0   

8.500% due 06/01/2018 ^

    1,400        0   

Rockies Express Pipeline LLC

   

6.875% due 04/15/2040

    71        66   

Scientific Games International, Inc.

   

10.000% due 12/01/2022

    700        613   

Sequa Corp.

   

7.000% due 12/15/2017 (g)

    1,166        606   

Spanish Broadcasting System, Inc.

   

12.500% due 04/15/2017

    500        512   

Tembec Industries, Inc.

   

9.000% due 12/15/2019 (g)

    600        453   

UAL Pass-Through Trust

   

6.636% due 01/02/2024 (g)

    1,545        1,648   

10.400% due 05/01/2018

    251        269   

Westmoreland Coal Co.

   

8.750% due 01/01/2022 (g)

    1,415        1,164   
   

 

 

 
        15,458   
   

 

 

 

UTILITIES 2.7%

   

Frontier Communications Corp.

   

8.875% due 09/15/2020

    90        88   

10.500% due 09/15/2022

    150        146   

11.000% due 09/15/2025

    150        146   

Illinois Power Generating Co.

   

6.300% due 04/01/2020

    480        406   

7.950% due 06/01/2032

    800        692   

Odebrecht Drilling Norbe Ltd.

   

6.350% due 06/30/2022

    820        297   

Odebrecht Offshore Drilling Finance Ltd.

   

6.625% due 10/01/2023

    841        220   

Petrobras Global Finance BV

   

6.750% due 01/27/2041 (g)

    520        335   

6.875% due 01/20/2040

    520        339   

7.875% due 03/15/2019

    440        363   

Sierra Hamilton LLC

   

12.250% due 12/15/2018

    100        66   
   

 

 

 
      3,098   
   

 

 

 
Total Corporate Bonds & Notes
(Cost $54,157)
      47,656   
   

 

 

 

MUNICIPAL BONDS & NOTES 1.4%

   

ILLINOIS 0.1%

   

Chicago, Illinois General Obligation Bonds, Series 2015

  

 

7.375% due 01/01/2033

    40        41   

7.750% due 01/01/2042

    70        70   
   

 

 

 
      111   
   

 

 

 

WEST VIRGINIA 1.3%

   

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds,
Series 2007

   

7.467% due 06/01/2047

    1,720        1,504   
   

 

 

 
Total Municipal Bonds & Notes
(Cost $1,729)
      1,615   
   

 

 

 

 


                                         

U.S. GOVERNMENT AGENCIES 3.0%

   

Fannie Mae

   

5.194% due 07/25/2025

    100        100   

5.856% due 03/25/2037 (a)(g)

    702        117   

5.956% due 11/25/2039 (a)(g)

    630        95   

6.106% due 01/25/2038 (a)(g)

    893        140   

6.186% due 03/25/2037 (a)(g)

    719        117   

6.206% due 12/25/2037 (a)(g)

    1,028        137   

6.216% due 06/25/2037 (a)(g)

    270        39   

6.246% due 04/25/2037 (a)(g)

    636        98   

6.256% due 04/25/2037 (a)(g)

    1,549        313   

6.406% due 11/25/2035 (a)(g)

    282        44   

6.606% due 11/25/2036 (a)(g)

    3,295        625   

7.000% due 12/25/2023 (g)

    175        197   

7.006% due 02/25/2037 (a)(g)

    633        132   

7.500% due 06/01/2032

    46        49   

7.800% due 06/25/2026

    4        4   

9.759% due 12/25/2042

    104        120   

13.929% due 08/25/2022 (g)

    214        288   

Freddie Mac

   

0.872% due 10/25/2020 (a)(g)

      10,717        337   

6.233% due 03/15/2037 (a)(g)

    1,158        186   

6.363% due 09/15/2036 (a)(g)

    696        132   

6.373% due 09/15/2036 (a)(g)

    1,533        277   

7.000% due 08/15/2023

    9        10   
   

 

 

 
Total U.S. Government Agencies
(Cost $3,356)
      3,557   
   

 

 

 

U.S. TREASURY OBLIGATIONS 0.9%

   

U.S. Treasury Notes

   

1.500% due 08/31/2018 (i)(k)

    1,000        1,017   
   

 

 

 
Total U.S. Treasury Obligations
(Cost $1,000)
      1,017   
   

 

 

 

MORTGAGE-BACKED SECURITIES 70.3%

   

Banc of America Alternative Loan Trust

   

16.513% due 09/25/2035 ^(g)

    2,690        3,369   

Banc of America Funding Trust

   

2.614% due 12/20/2034

    631        569   

2.622% due 03/20/2036

    1,001        924   

5.846% due 01/25/2037 ^

    369        311   

Banc of America Mortgage Trust

   

6.000% due 07/25/2046 ^

    4        4   

Banc of America/Merrill Lynch Commercial Mortgage, Inc.

   

5.953% due 03/11/2041 (g)

    2,000          2,194   

BCAP LLC Trust

   

6.250% due 11/26/2036

    756        775   

BCRR Trust

   

5.858% due 07/17/2040 (g)

    3,000        3,171   

Bear Stearns Adjustable Rate Mortgage Trust

   

2.761% due 07/25/2036 ^

    459        389   

Bear Stearns ALT-A Trust

   

2.521% due 04/25/2035

    361        302   

2.655% due 11/25/2035 ^

    157        118   

2.697% due 09/25/2035

    261        223   

Bear Stearns Asset-Backed Securities Trust

   

22.856% due 03/25/2036 ^(g)

    2,208        2,668   

Bear Stearns Commercial Mortgage Securities Trust

   

5.717% due 02/11/2041

    1,000        1,000   

Bear Stearns Structured Products, Inc. Trust

   

2.543% due 01/26/2036 (g)

    1,312        1,086   

2.641% due 12/26/2046

    446        338   

BRAD Resecuritization Trust

   

2.178% due 03/12/2021

    2,154        162   

6.550% due 03/12/2021

    403        401   

CBA Commercial Small Balance Commercial Mortgage

   

5.540% due 01/25/2039 ^

    744        646   

Celtic Residential Irish Mortgage Securitisation PLC

   

0.137% due 11/13/2047 (g)

  EUR 2,195        2,288   

0.849% due 12/14/2048

  GBP 1,920        2,656   

Charlotte Gateway Village LLC

   

6.410% due 12/01/2016

  $ 311        320   

Chevy Chase Funding LLC Mortgage-Backed Certificates

   

0.494% due 08/25/2035

    196        182   

0.534% due 10/25/2034

    14        13   

Citigroup Mortgage Loan Trust, Inc.

   

2.751% due 03/25/2037 ^(g)

    627        497   

Commercial Mortgage Trust

   

0.202% due 10/10/2046 (a)(g)

      77,000        881   

6.188% due 07/10/2046

    760        836   

Countrywide Alternative Loan Trust

   

0.426% due 05/20/2046 ^(g)

    1,203        926   


                                         

0.434% due 12/25/2046 ^

    143        94   

0.524% due 10/25/2035 (g)

      1,388        1,111   

0.544% due 05/25/2036 ^(g)

    2,493        1,485   

2.603% due 02/25/2037 ^

    364        326   

2.675% due 10/25/2035 ^

    293        263   

5.500% due 08/25/2034 (g)

    734        735   

5.500% due 02/25/2036 ^

    41        38   

5.500% due 03/25/2036 ^(g)

    760        650   

6.000% due 05/25/2037 ^(g)

    904        740   

6.250% due 09/25/2034

    116        119   

6.956% due 07/25/2036 (a)

    1,788        596   

19.267% due 07/25/2035 (g)

    1,604        2,187   

Countrywide Home Loan Mortgage Pass-Through Trust

   

0.434% due 03/25/2036

    274        237   

0.514% due 03/25/2035 (g)

    1,563        1,382   

0.584% due 02/25/2035

    185        145   

2.506% due 10/20/2035 ^

    231        195   

2.593% due 02/20/2036 ^

    1,814        693   

2.606% due 10/20/2035 ^

    326        295   

2.683% due 03/25/2037 ^

    500        409   

2.766% due 08/25/2034

    375        345   

2.903% due 10/20/2035

    746        677   

5.500% due 08/25/2035 ^

    52        48   

Credit Suisse Commercial Mortgage Trust

   

6.270% due 02/15/2041 (g)

    2,000          2,141   

Credit Suisse Mortgage Capital Certificates

   

5.467% due 09/16/2039 (g)

    900        921   

Credit Suisse Mortgage Capital Mortgage-Backed Trust

   

6.000% due 11/25/2036

    320        311   

First Horizon Alternative Mortgage Securities Trust

   

2.249% due 11/25/2036 ^

    670        529   

First Horizon Mortgage Pass-Through Trust

   

2.564% due 01/25/2037 ^(g)

    1,368        1,221   

GMAC Mortgage Corp. Loan Trust

   

3.277% due 06/25/2034

    161        158   

GS Mortgage Securities Trust

   

6.224% due 08/10/2043 (g)

    730        792   

GSR Mortgage Loan Trust

   

2.653% due 05/25/2035

    226        208   

2.697% due 04/25/2035

    461        441   

5.500% due 06/25/2036 ^

    142        133   

HarborView Mortgage Loan Trust

   

0.516% due 04/19/2034

    33        30   

2.342% due 11/19/2034

    154        122   

2.695% due 02/25/2036 ^

    65        55   

4.358% due 06/19/2036 ^

    573        398   

4.803% due 08/19/2036 ^

    38        34   

HSI Asset Loan Obligation Trust

   

2.570% due 01/25/2037 ^

    601        475   

IndyMac Mortgage Loan Trust

   

0.464% due 06/25/2037 ^(g)

    2,005        1,356   

0.474% due 03/25/2035

    57        50   

2.580% due 06/25/2037 ^

    815        628   

JPMBB Commercial Mortgage Securities Trust

   

0.324% due 11/15/2045 (a)(g)

    76,047        1,552   

JPMorgan Chase Commercial Mortgage Securities Corp.

   

5.740% due 05/15/2041 (g)

    1,500        1,534   

JPMorgan Mortgage Trust

   

2.592% due 04/25/2037 ^(g)

    1,316        1,033   

5.500% due 01/25/2036 ^

    100        95   

5.500% due 06/25/2037 ^

    87        85   

Luminent Mortgage Trust

   

0.364% due 12/25/2036 (g)

    1,000        808   

0.394% due 10/25/2046 (g)

    926        797   

MASTR Adjustable Rate Mortgages Trust

   

2.611% due 11/25/2035 ^

    1,140        886   

3.077% due 10/25/2034

    328        290   

Merrill Lynch Alternative Note Asset Trust

   

0.264% due 01/25/2037

    333        150   

Merrill Lynch/Countrywide Commercial Mortgage Trust

   

5.378% due 08/12/2048 (g)

    910        945   

Morgan Stanley Capital Trust

   

5.569% due 12/15/2044 (g)

    1,308        1,381   

Opteum Mortgage Acceptance Corp. Trust

   

0.464% due 07/25/2036

    387        268   

Prime Mortgage Trust

   

6.356% due 11/25/2036 (a)

    7,491        908   

Provident Funding Mortgage Loan Trust

   

2.619% due 10/25/2035

    147        146   

RBSSP Resecuritization Trust

   

5.000% due 09/26/2036 (g)

    2,474        1,689   

Residential Accredit Loans, Inc. Trust

   

3.030% due 12/26/2034 ^

    397        328   

3.767% due 01/25/2036 ^(g)

    1,221        994   

6.000% due 09/25/2035

    627        489   

6.000% due 08/25/2036 ^

    446        365   


                                         

Residential Asset Mortgage Products Trust

   

7.500% due 12/25/2031

    123        129   

Royal Bank of Scotland Capital Funding Trust

   

6.068% due 02/17/2051 (g)

    3,000        3,036   

Structured Adjustable Rate Mortgage Loan Trust

   

1.599% due 05/25/2035 ^(g)

    2,939        2,092   

2.769% due 09/25/2036 ^

    457        295   

2.792% due 09/25/2035

    133        113   

4.416% due 11/25/2036 ^

    288        266   

4.541% due 04/25/2036 ^

    615        463   

4.872% due 01/25/2036 ^

    559        434   

Structured Asset Mortgage Investments Trust

   

0.424% due 02/25/2036

    555        449   

0.474% due 02/25/2036

    461        376   

Suntrust Adjustable Rate Mortgage Loan Trust

   

2.705% due 01/25/2037 ^

    218        202   

Theatre Hospitals No. 1 PLC

   

3.584% due 10/15/2031

  GBP 800        1,134   

Theatre Hospitals No. 2 PLC

   

3.584% due 10/15/2031

    290        411   

Wachovia Bank Commercial Mortgage Trust

   

5.342% due 01/15/2041 (g)

  $   1,500        1,530   

6.150% due 02/15/2051 (g)

    2,500        2,685   

WaMu Commercial Mortgage Securities Trust

   

5.882% due 03/23/2045 (g)

    1,000        1,016   

WaMu Mortgage Pass-Through Certificates Trust

   

0.484% due 07/25/2045

    161        152   

0.929% due 01/25/2047

    153        140   

2.290% due 12/25/2036 ^

    698        632   

2.387% due 02/25/2037 ^

    552        491   

4.472% due 07/25/2037 ^

    197        184   

Washington Mutual Mortgage Pass-Through Certificates Trust

   

0.969% due 04/25/2047 ^

    1,398        173   

Wells Fargo Mortgage-Backed Securities Trust

   

6.000% due 03/25/2037 ^

    497        490   

Wells Fargo-RBS Commercial Mortgage Trust

   

0.508% due 12/15/2046 (a)

      30,000        771   
   

 

 

 
Total Mortgage-Backed Securities
(Cost $63,855)
        82,429   
   

 

 

 

ASSET-BACKED SECURITIES 12.3%

   

Apidos CLO

   

0.010% due 07/22/2026

    500        354   

Bayview Financial Asset Trust

   

1.144% due 12/25/2039

    224        217   

Bear Stearns Asset-Backed Securities Trust

   

6.500% due 08/25/2036 ^

    795        533   

Bombardier Capital Mortgage Securitization Corp.

   

7.830% due 06/15/2030

    1,441        799   

Carrington Mortgage Loan Trust

   

0.344% due 08/25/2036

    100        62   

Centex Home Equity Loan Trust

   

0.644% due 06/25/2035

    236        203   

Citigroup Mortgage Loan Trust, Inc.

   

0.354% due 12/25/2036

    2,201        1,456   

0.354% due 01/25/2037

    251        150   

5.972% due 01/25/2037 ^

    779        527   

Conseco Finance Securitizations Corp.

   

7.960% due 05/01/2031

    454        346   

Countrywide Asset-Backed Certificates

   

0.324% due 12/25/2036 ^

    1,980        1,758   

0.344% due 01/25/2037

    161        154   

0.744% due 09/25/2034

    129        124   

EMC Mortgage Loan Trust

   

1.134% due 05/25/2039

    617        593   

Lehman XS Trust

   

5.092% due 05/25/2037 ^

    378        475   

5.420% due 11/25/2035 ^

    388        393   

MASTR Asset-Backed Securities Trust

   

5.233% due 11/25/2035

    172        174   

Morgan Stanley ABS Capital, Inc. Trust

   

0.254% due 05/25/2037

    160        102   

Residential Asset Mortgage Products Trust

   

0.874% due 03/25/2033

    64        58   

5.572% due 06/25/2032

    98        97   

Soundview Home Loan Trust

   

0.254% due 11/25/2036

    218        87   

South Coast Funding Ltd.

   

0.544% due 01/06/2041

    15,594        4,716   

Structured Asset Securities Corp. Mortgage Loan Trust

   

0.344% due 05/25/2036

    439        423   

0.494% due 06/25/2035

    593        526   

Washington Mutual Asset-Backed Certificates Trust

   

0.254% due 10/25/2036

    124        64   
   

 

 

 
Total Asset-Backed Securities
(Cost $12,707)
      14,391   
   

 

 

 

 


                                         

SOVEREIGN ISSUES 0.7%

   

Costa Rica Government International Bond

   

7.000% due 04/04/2044 (g)

    300        267   

Republic of Greece Government International Bond

   

3.000% due 02/24/2023

  EUR 33        26   

3.000% due 02/24/2024

    33        26   

3.000% due 02/24/2025

    33        26   

3.000% due 02/24/2026

    33        25   

3.000% due 02/24/2027

    33        25   

3.000% due 02/24/2028

    33        24   

3.000% due 02/24/2029

    33        24   

3.000% due 02/24/2030

    33        24   

3.000% due 02/24/2031

    33        23   

3.000% due 02/24/2032

    33        23   

3.000% due 02/24/2033

    33        23   

3.000% due 02/24/2034

    33        22   

3.000% due 02/24/2035

    33        22   

3.000% due 02/24/2036

    33        22   

3.000% due 02/24/2037

    33        22   

3.000% due 02/24/2038

    33        21   

3.000% due 02/24/2039

    33        21   

3.000% due 02/24/2040

    33        21   

3.000% due 02/24/2041

    33        21   

3.000% due 02/24/2042

    33        21   

4.750% due 04/17/2019

      100        98   
   

 

 

 
Total Sovereign Issues
(Cost $796)
        827   
   

 

 

 
    SHARES        

COMMON STOCKS 0.1%

   

FINANCIALS 0.1%

   

TIG FinCo PLC (f)

      103,539        105   
   

 

 

 
Total Common Stocks
(Cost $154)
      105   
   

 

 

 

WARRANTS 0.0%

   

INDUSTRIALS 0.0%

   

Global Geophysical Services, Inc. - Exp. 05/01/2049

    1,552        1   
   

 

 

 
Total Warrants
(Cost $15)
      1   
   

 

 

 

PREFERRED SECURITIES 0.4%

   

BANKING & FINANCE 0.4%

   

AgriBank FCB

   

6.875% due 01/01/2024 (e)

    4,000        421   
   

 

 

 
Total Preferred Securities
(Cost $400)
      421   
   

 

 

 
    PRINCIPAL
AMOUNT
(000s)
       

SHORT-TERM INSTRUMENTS 21.2%

   

SHORT-TERM NOTES 6.7%

   

Fannie Mae

   

0.228% due 01/14/2016

  $ 1,200          1,200   

0.264% due 02/08/2016

    1,600        1,599   

Federal Home Loan Bank

   

0.213% due 01/27/2016

    600        600   

0.238% due 01/14/2016

    500        500   

0.254% due 01/11/2016

    1,200        1,199   

0.294% due 02/19/2016

      2,600        2,598   

Freddie Mac

   

0.106% due 12/01/2015

    200        200   
   

 

 

 
      7,896   
   

 

 

 


                                         

U.S. TREASURY BILLS 14.5%

   

0.106% due 11/19/2015 - 02/18/2016 (c)(i)(k)

    16,964        16,963   
   

 

 

 
Total Short-Term Instruments
(Cost $24,851)
      24,859   
   

 

 

 
Total Investments in Securities
(Cost $166,534)
      180,337   
   

 

 

 
Total Investments 153.9%
(Cost $166,534)
    $ 180,337   
Financial Derivative Instruments (h)(j) (6.1%)
(Cost or Premiums, net $(1,307))
      (7,158
Other Assets and Liabilities, net (47.8%)       (55,978
   

 

 

 
Net Assets 100.0%     $   117,201   
   

 

 

 


Notes to Schedule of Investments (amounts in thousands*, except number of contracts and units):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.

 

^ Security is in default.

 

(a) Interest only security.

 

(b) Payment in-kind bond security.

 

(c) Coupon represents a weighted average yield to maturity.

 

(d) Zero coupon bond.

 

(e) Perpetual maturity; date shown, if applicable, represents next contractual call date.

 

(f) Restricted Securities:

 

Issuer Description      Acquisition Date        Cost        Market
Value
       Market Value
as Percentage
of Net Assets
 

KGH Intermediate Holdco LLC

8.500% due 08/08/2019

       08/07/2014         $ 1,822         $ 1,675           1.43%   

Pinnacol Assurance

8.625% due 06/25/2034

       06/23/2014           1,100           1,160           0.99      

TIG FinCo PLC

       04/02/2015           154           105           0.09      
         

 

 

      

 

 

      

 

 

 
     $   3,076         $   2,940           2.51%   
         

 

 

      

 

 

      

 

 

 

Borrowings and Other Financing Transactions

Reverse Repurchase Agreements:

 

Counterparty    Borrowing
Rate
     Borrowing
Date
     Maturity
Date
    Amount
Borrowed (1)
    Payable for
Reverse
Repurchase
Agreements
 

BCY

     0.250      05/06/2015         05/05/2017      $ (2,562   $ (2,565
     0.999         09/08/2015         10/08/2015        (537     (537
     1.000         09/08/2015         10/08/2015        (322     (322
     1.044         07/22/2015         10/22/2015        (1,509     (1,512
     1.400         09/21/2015         12/21/2015        (619     (619
     1.631         06/26/2015         10/01/2015        (1,818     (1,826
     1.644         07/22/2015         10/22/2015        (2,847     (2,856
     1.670         08/17/2015         11/17/2015        (2,294     (2,299
     1.909         04/28/2015         10/28/2015        (868     (875
     2.134         10/01/2015         04/01/2016        (591     (591
     2.176         10/01/2015         10/03/2016        (1,142     (1,142

BOS

     2.131         06/09/2015         12/08/2015        (2,274     (2,289
     2.505         09/21/2015         03/21/2016        (1,475     (1,476

BPG

     1.781         03/23/2015         03/22/2016        (1,254     (1,255

BRC

     0.900         08/03/2015         11/03/2015        (237     (237

DEU

     0.950         07/08/2015         10/08/2015        (613     (614
     0.950         07/14/2015         10/14/2015        (854     (856
     0.950         07/29/2015         10/29/2015        (710     (711
     0.950         08/27/2015         11/30/2015        (1,498     (1,499
     0.950         09/16/2015         12/16/2015        (2,566     (2,567

FOB

     1.986         09/14/2015         12/14/2015        (2,408     (2,410

JPS

     1.354         08/07/2015         02/08/2016        (1,944     (1,948
     1.598         06/16/2015         12/16/2015        (1,278     (1,284

MSC

     1.150         09/21/2015         12/21/2015        (1,930     (1,931
     1.250         08/07/2015         11/09/2015        (2,719     (2,724
     1.250         09/21/2015         12/21/2015        (1,352     (1,353

RDR

     0.600         04/29/2015         10/29/2015        (1,133     (1,136
     0.650         08/25/2015         11/23/2015        (2,919     (2,921
     1.120         05/26/2015         11/30/2015        (3,378     (3,392
     1.400         04/07/2015         10/07/2015        (628     (632
     1.450         07/14/2015         01/14/2016        (1,155     (1,159

RTA

     1.697         07/02/2015         07/01/2016        (1,615     (1,622

SAL

     1.020         08/18/2015         11/18/2015        (633     (634
     1.039         07/15/2015         10/15/2015        (1,474     (1,477

SOG

     0.680         08/17/2015         10/19/2015        (888     (889
     0.790         08/27/2015         11/30/2015        (888     (889
     0.850         08/21/2015         11/23/2015        (564     (565

UBS

     0.800         09/18/2015         12/18/2015        (1,351     (1,351
     0.850         09/18/2015         12/18/2015        (809     (809
     0.900         07/16/2015         10/16/2015      EUR  (1,668     (1,868
     0.900         08/26/2015         11/30/2015      $ (994     (995
     0.900         09/18/2015         12/18/2015        (1,826     (1,827
     0.950         08/26/2015         11/30/2015        (1,362     (1,363
     1.000         08/26/2015         11/30/2015        (1,425     (1,426
     1.050         08/11/2015         11/11/2015      GBP  (976     (1,478
     1.710         03/24/2015         01/04/2016      $ (3,882     (3,917
     1.740         03/24/2015         01/04/2016        (2,268     (2,289
            

 

 

 

Total Reverse Repurchase Agreements

  

       $   (70,937
            

 

 

 

 

(1) The average amount of borrowings outstanding during the period ended September 30, 2015 was $64,967 at a weighted average interest rate of 1.243%.

 

(g) Securities with an aggregate market value of $86,025 and cash of $148 have been pledged as collateral under the terms of master agreements as of September 30, 2015.

 

(h) Financial Derivative Instruments: Exchange-Traded or Centrally Cleared


Purchased Options:

Options on Exchange-Traded Futures Contracts

 

Description    Strike
Price
     Expiration
Date
     # of
Contracts
    Cost     Market
Value
 

Put - CME S&P 500 Index October Futures

     1,910.000         10/16/2015         120      $ 391      $ 1,098   
          

 

 

   

 

 

 

Total Purchased Options

  

  $   391      $   1,098   
          

 

 

   

 

 

 

Written Options:

Options on Exchange-Traded Futures Contracts

 

Description    Strike
Price
     Expiration
Date
     # of
Contracts
    Premiums
(Received)
    Market
Value
 

Call - CME S&P 500 Index October Futures

     2,010.000         10/16/2015         120      $ (990   $ (74
          

 

 

   

 

 

 

Total Written Options

  

  $   (990   $   (74
          

 

 

   

 

 

 

Futures Contracts:

 

      Variation Margin  
Description    Type      Expiration
Month
     # of
Contracts
    Unrealized
(Depreciation)
    Asset     Liability  

E-mini S&P 500 Index December Futures

     Long         12/2015         43      $ (88   $ 89      $ 0   

S&P 500 Index December Futures

     Long         12/2015         115        (964     983        0   
          

 

 

   

 

 

   

 

 

 

Total Futures Contracts

  

  $   (1,052   $   1,072      $   0   
          

 

 

   

 

 

   

 

 

 

Swap Agreements:

Interest Rate Swaps

 

                                           Variation Margin  
Pay/Receive
Floating Rate
   Floating Rate Index    Fixed Rate      Maturity
Date
     Notional
Amount
     Market
Value
    Unrealized
Appreciation/
(Depreciation)
    Asset     Liability  
Pay   

3-Month CAD-Bank Bill

     3.300      06/19/2024       CAD  4,900       $ 510      $ 283      $ 0      $ (1
Receive   

3-Month CAD-Bank Bill

     3.500         06/20/2044         2,100         (376     (302     0        (1
Pay   

3-Month USD-LIBOR

     2.750         06/19/2023       $ 345,000         26,413        23,564        0        (304
Pay   

3-Month USD-LIBOR

     3.000         06/18/2024         19,700         1,933        899        0        (18
Receive   

3-Month USD-LIBOR

     2.500         12/16/2025         333,500         (13,205     (16,637     280        0   
              

 

 

   

 

 

   

 

 

   

 

 

 
               $ 15,275      $ 7,807      $ 280      $ (324
              

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

  

         $ 15,275      $ 7,807      $   280      $   (324
              

 

 

   

 

 

   

 

 

   

 

 

 

 

(i) Securities with an aggregate market value of $6,639 and cash of $14,061 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2015.

 

(j) Financial Derivative Instruments: Over the Counter


Forward Foreign Currency Contracts:

 

       Unrealized Appreciation/(Depreciation)  
Counterparty   Settlement
Month
     Currency to
be Delivered
     Currency to
be Received
     Asset     Liability  

BOA

    10/2015       $ 5,599       GBP  3,683       $ 0      $ (28
    11/2015       GBP  3,683       $  5,598         28        0   
    12/2015       HKD  70         9         0        0   

CBK

    10/2015       EUR  217         246         4        0   
    10/2015       $ 102       EUR  91         0        0   
    10/2015         129       GBP  84         0        (2
    11/2015       AUD  28       $ 20         0        0   
    11/2015       CHF  62         64         0        0   
    11/2015       DKK  285         43         0        0   
    11/2015       ILS  47         12         0        0   
    11/2015       JPY              28,100         226         0        (8

DUB

    10/2015       BRL  1,380         347         0        (1
    10/2015       $ 344       BRL  1,380         4        0   
    11/2015       BRL  1,380       $ 341         0        (3
    11/2015       CHF  99         101         0        (1

GLM

    11/2015       JPY  22,623         184         0        (4
    11/2015       NOK  94         11         0        0   

HUS

    10/2015       EUR  3,307         3,768         73        0   
    11/2015         99         111         0        0   
    12/2015       HKD  333         43         0        0   

JPM

    10/2015       BRL  1,380         383         35        0   
    10/2015       $ 347       BRL  1,380         1        0   
    10/2015         195       EUR  174         0        (1
    11/2015       EUR  21       $ 24         0        0   
    11/2015       GBP  48         73         0        0   
    11/2015       $ 135       JPY  16,300         2        0   

MSB

    10/2015       JPY  10,308       $ 86         0        0   
    10/2015       $ 86       JPY              10,308         0        0   
    11/2015       GBP  29       $ 44         0        0   
    11/2015       JPY  20,958         175         0        0   

SCX

    10/2015       GBP  3,791         5,887         152        0   

SOG

    11/2015       CAD  49         37         0        0   

UAG

    10/2015       GBP  80         123         2        0   
    10/2015       SGD  31         22         0        0   
    10/2015       $ 3,646       EUR  3,259         0        (4
    10/2015         160       GBP  104         0        (3
    11/2015       AUD  127       $ 93         4        0   
    11/2015       EUR  3,259         3,647         4        0   
    11/2015       SEK  423         50         0        (1
          

 

 

   

 

 

 

Total Forward Foreign Currency Contracts

  

   $   309      $   (56
          

 

 

   

 

 

 

Swap Agreements:

Credit Default Swaps on Asset-Backed Securities - Buy Protection (1)

 

      Swap Agreements, at Value  (4)  
Counterparty   Reference Obligation   Fixed Deal
(Pay) Rate
    Maturity
Date
    Notional
Amount (3)
   

Premiums

Paid/

(Received)

    Unrealized
(Depreciation)
    Asset     Liability  
GST  

Commercial Industrial Finance Corp. Ltd. 3-Month USD-LIBOR plus 4.000% due 10/20/2020

    (4.500%     10/20/2020      $ 478      $ 0      $ (4   $ 0      $ (4
 

Telos CLO Ltd. 3-Month USD-LIBOR plus 4.250% due 10/11/2021

    (5.000     10/11/2021        1,500        0        (38     0        (38
         

 

 

   

 

 

   

 

 

   

 

 

 
          $   0      $   (42   $   0      $   (42
         

 

 

   

 

 

   

 

 

   

 

 

 

Credit Default Swaps on Asset-Backed Securities - Sell Protection (2)

 

      Swap Agreements, at Value  (4)  
Counterparty   Reference Obligation   Fixed Deal
Receive Rate
    Maturity
Date
    Notional
Amount (3)
   

Premiums

Paid/

(Received)

    Unrealized
Appreciation/
(Depreciation)
    Asset     Liability  
BOA  

Long Beach Mortgage Loan Trust 1-Month USD-LIBOR plus 5.250% due 07/25/2033

    6.250     07/25/2033      $ 393      $ 0      $ (26   $ 0      $ (26
MYC  

Morgan Stanley Dean Witter Capital 1-Month USD-LIBOR plus 3.225% due 08/25/2032

    3.225        08/25/2032        156        (3     14        11        0   
         

 

 

   

 

 

   

 

 

   

 

 

 
          $   (3   $   (12   $   11      $   (26
         

 

 

   

 

 

   

 

 

   

 

 

 

Credit Default Swaps on Credit Indices - Sell Protection (2)

 

      Swap Agreements, at Value  (4)  
Counterparty   Index/Tranches   Fixed Deal
Receive Rate
    Maturity
Date
   

Notional

Amount (3)

    Premiums
(Received)
    Unrealized
Appreciation
    Asset     Liability  
GST  

ABX.HE.AA.6-1 Index

    0.320     07/25/2045      $   2,927      $ (583   $ 13      $ 0      $ (570
 

ABX.HE.PENAAA.7-1 Index

    0.090        08/25/2037        2,118        (410     14        0        (396
         

 

 

   

 

 

   

 

 

   

 

 

 
          $   (993   $   27      $   0      $   (966
         

 

 

   

 

 

   

 

 

   

 

 

 

 

(1) If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(3) The maximum potential amount the Fund could be required to pay 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.
(4) The prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status 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 be 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 indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.


Interest Rate Swaps

 

                                           Swap Agreements, at Value  
Counterparty   Pay/Receive
Floating Rate
   Floating Rate Index   Fixed Rate     Maturity
Date
    Notional
Amount
    Premiums
Paid
    Unrealized
Appreciation/
(Depreciation)
    Asset     Liability  
BPS  

Pay

  

1-Year BRL-CDI

    12.055     01/04/2021      BR L     3,600      $ 10      $ (93   $ 0      $ (83
GLM  

Pay

  

3-Month USD-LIBOR

    2.350        02/18/2021      $ 42,500        278          105        383        0   
            

 

 

   

 

 

   

 

 

   

 

 

 
             $   288      $ 12      $   383      $   (83
            

 

 

   

 

 

   

 

 

   

 

 

 

Total Return Swaps on Equity Indices

 

      Swap Agreements, at Value  
Counterparty   Pay/Receive (5)   Underlying Reference  

# of

Units

  Financing Rate   Maturity
Date
    Notional
Amount
 

Premiums

Paid/

(Received)

    Unrealized
(Depreciation)
    Asset     Liability  
FBF  

Receive

 

MSCI EAFE Index

  12,995  

1-Month USD-LIBOR plus a specified spread

    05/13/2016      $  68,665     $ (8,740   $ 0      $ (8,740
               

 

 

   

 

 

   

 

 

 

Total Swap Agreements

  $   (708   $   (8,755   $   394      $   (9,857
             

 

 

   

 

 

   

 

 

   

 

 

 

 

(5)  Receive represents that the Fund receives payments for any positive return on the underlying reference. The Fund makes payments for any negative return on such underlying reference. Pay represents that the Fund receives payments for any negative return on the underlying reference. The Fund makes payments for any positive return on such underlying reference.

 

(k) Securities with an aggregate market value of $11,341 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2015.

Fair Value Measurements

The following is a summary of the fair valuations according to the inputs used as of September 30, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory    Level 1        Level 2        Level 3        Fair Value
at 09/30/2015
 

Investments in Securities, at Value

                 

Bank Loan Obligations

   $ 0         $ 3,303         $ 156         $ 3,459   

Corporate Bonds & Notes

                 

Banking & Finance

     0           21,176           7,924           29,100   

Industrials

     0           15,433           25           15,458   

Utilities

     0           3,098           0           3,098   

Municipal Bonds & Notes

                 

Illinois

     0           111           0           111   

West Virginia

     0           1,504           0           1,504   

U.S. Government Agencies

     0           3,557           0           3,557   

U.S. Treasury Obligations

     0           1,017           0           1,017   

Mortgage-Backed Securities

     1,545           79,664           1,220           82,429   

Asset-Backed Securities

     0           14,391           0           14,391   

Sovereign Issues

     0           827           0           827   

Common Stocks

                 

Financials

     0           0           105           105   

Warrants

  

Industrials

     0           0           1           1   

Preferred Securities

  

Banking & Finance

     0           421           0           421   

Short-Term Instruments

  

Short-Term Notes

     0           7,896           0           7,896   

U.S. Treasury Bills

     0           16,963           0           16,963   

Total Investments

   $ 1,545         $ 169,361         $ 9,431         $ 180,337   

Financial Derivative Instruments - Assets

                 

Exchange-traded or centrally cleared

     1,072           1,378           0           2,450   

Over the counter

     0           703           0           703   
   $ 1,072         $ 2,081         $ 0         $ 3,153   

Financial Derivative Instruments - Liabilities

                 

Exchange-traded or centrally cleared

     0           (398        0           (398

Over the counter

     0           (9,913        0           (9,913
     $ 0         $ (10,311      $ 0         $ (10,311

Totals

   $   2,617         $   161,131         $   9,431         $   173,179   

There were no significant transfers between Levels 1 and 2 during the period ended September 30, 2015.


The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2015:

 

Category and Subcategory   Beginning
Balance
at 06/30/2015
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/
(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation) (1)
    Transfers
into
Level 3
    Transfers
out
of Level 3
    Ending
Balance
at 09/30/2015
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
09/30/2015 (1)
 
Investments in Securities, at Value   

Bank Loan Obligations

  $ 150      $ 0      $ 0      $ 0      $ 0      $ 6      $ 0      $ 0      $ 156      $ 6   

Corporate Bonds & Notes

                   

Banking & Finance

    8,489        0        (12     1        0        (554     0        0        7,924        (554

Industrials

    4        0        0        0        0        21        0        0        25        20   

Mortgage-Backed Securities

    1,301        0        (85     1        9        (6     0        0        1,220        1   

Common Stocks

                   

Financials

    104        0        0        0        0        1        0        0        105        1   

Warrants

                   

Industrials

    15        0        0        0        0        (14     0        0        1        (14
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $   10,063      $   0      $   (97   $   2      $   9      $   (546   $   0      $   0      $   9,431      $   (540
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:

 

Category and Subcategory    Ending
Balance
at 09/30/2015
     Valuation Technique   Unobservable Inputs      Input Value(s)
(% Unless Noted Otherwise)

Investments in Securities, at Value

Bank Loan Obligations

   $ 156      

Other Valuation Techniques (2)

      

Corporate Bonds & Notes

            

Banking & Finance

     7,924      

Proxy Pricing

 

Base Price

     100.00 - 103.38

Industrials

     25      

Proxy Pricing

 

Base Price

     7.00

Mortgage-Backed Securities

     883       Proxy Pricing   Base Price      7.50 - 102.56
     337       Third Party Vendor   Broker Quote      75.75

Common Stocks

            

Financials

     105      

Other Valuation Techniques (2)

 

    

Warrants

            

Industrials

     1      

Proxy Pricing

 

Base Price

     0.38
  

 

 

           

Total

   $   9,431             
  

 

 

           

 

(1) Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2015 may be due to an investment no longer held or categorized as Level 3 at period end.
(2) Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund.

See Accompanying Notes


Notes to Financial Statements

1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

(a) Investment Valuation Policies The Net Asset Value (“NAV”) of the Fund is determined by dividing the total value of portfolio investments and other assets attributable to that Fund, less any liabilities, by the total number of shares outstanding of that Fund.

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (“NYSE Close”). Information that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. The Fund reserves the right to change the time its respective NAV is calculated if the Fund closes earlier, or as permitted by the SEC.

For purposes of calculating NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by the manager to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures (which are discussed below), are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services or other pricing sources. With respect to any portion of the Fund’s assets that are invested in one or more open-end management investment companies (other than exchange-traded funds (“ETFs”)), the Fund’s NAV will be calculated based upon the NAVs of such investments.

If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees of the Trust (the “Board”). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. Foreign (non-U.S.) exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Trust is not open for business, which may result in the Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares.

Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree will be valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Trust is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when you cannot purchase, redeem or exchange shares and the value of such investments will be reflected in the Fund’s next calculated NAV.

Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Valuation Oversight Committee of the Board (“Valuation Oversight Committee”), generally based on recommendations provided by the Manager. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the values of the Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

When the Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

(b) Fair Value Hierarchy U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:

 

  Level 1—Inputs using (unadjusted) quoted prices in active markets or exchanges for identical assets and liabilities.


  Level 2—Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

  Level 3—Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

Any assets or liabilities categorized as Level 1 or 2 as of period end that have been transferred between Levels 1 and 2 since the prior period are due to changes in the valuation method utilized in valuing the investments. Transfers from Level 1 to Level 2 are a result of a change, in the normal course of business, from the use of an exchange traded price or a trade price on the initial purchase date (Level 1) to valuation methods used by third-party pricing services including valuation adjustments applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE (Level 2). Transfers from Level 2 to Level 1 are a result of exchange traded products for which quoted prices from an active market were not available (Level 2) and have become available (Level 1). Transfers from Level 1 to Level 3 are a result of a change from the use of an exchange traded price or a trade price on the initial purchase date (Level 1) to the use of a valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market based data (Level 3). Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the valuation method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of valuation methods used by third-party pricing services (Level 2) to the use of a broker quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by third-party pricing services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers in and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers in and out of the Level 3 category during the period. The end of period timing recognition is used for the transfers between Levels of the Fund’s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund.

(c) Valuation Techniques and the Fair Value Hierarchy

Level 1 and Level 2 trading assets and trading liabilities, at fair value The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Investments valued (denominated) in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates (currency spot and forward rates) obtained from Pricing Services. As a result, the NAV of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Trust is not open for business. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Investments in registered open-end investment companies (other than ETFs) will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in unregistered open-end investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted. Investments in privately held investment funds with significant restrictions on redemption where the inputs to the NAVs are observable will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy.

Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instrument is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. Prior to July 31, 2015, short-term investments having a maturity of 60 days or less and repurchase agreements were generally valued at amortized cost which approximates fair value. Short-term debt instruments having a remaining maturity of 60 days or less are categorized as Level 2 of the fair value hierarchy.

Equity exchange-traded options and over the counter financial derivative instruments, such as foreign currency contracts, options contracts, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Other than swap agreements, which are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services or other pricing sources, these contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial


derivative instruments can be valued by a Pricing Services using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange (if available). For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable price levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. These securities are categorized as Level 2 of the fair value hierarchy. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.

Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by the Manager that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:

Investments in privately held investment funds with significant restrictions on redemption where the inputs to the NAVs are unobservable will be calculated based upon the NAVs of such investments and are categorized as Level 3 of the fair value hierarchy.

Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.

Discounted cash flow valuation uses an internal analysis based on the Manager’s expectation of future income and expenses, capital structure, exit multiples of a security, and other unobservable inputs which may include contractual and factual loan factors, estimated future payments and credit rating. Significant changes in the unobservable inputs of the models would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

Market comparable valuation estimates fair value by applying a valuation multiple to a key performance metric of the company, which may include unobservable inputs such as earnings before interest, taxes, depreciation and amortization (“EBITDA”), the Manager’s assumptions regarding comparable companies and non-public statements from the underlying company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The validity of the fair value is reviewed by the Manager on a periodic basis and may be amended in accordance with the Trust’s valuation procedures.

2. FEDERAL INCOME TAX MATTERS

The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.

The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

In accordance with U.S. GAAP, the Manager has reviewed the Fund’s tax positions for all open tax years. As of September 30, 2015, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.

The Fund files U.S. tax returns. While the statute of limitations remains open to examine the Fund’s U.S. tax returns filed for the fiscal years ending in 2012-2014, no examinations are in progress or anticipated at this time. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

As of September 30, 2015, the aggregate cost and the net unrealized appreciation (depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):

 

                                                              

Federal

Tax Cost

   

Aggregate Gross

Unrealized

Appreciation

   

Aggregate Gross

Unrealized

(Depreciation)

   

Net Unrealized

Appreciation

(Depreciation) (1)

 
$   166,538      $ 23,045      $ (9,246   $ 13,799   

 

(1) Primary differences, if any, between book and tax net unrealized appreciation (depreciation) are attributable to wash sale loss deferrals for federal income tax purposes.

 


GLOSSARY: (abbreviations that may be used in the preceding statements)      (Unaudited)
Counterparty Abbreviations:         
BCY    Barclays Capital, Inc.   FBF    Credit Suisse International   MYC    Morgan Stanley Capital Services, Inc.
BOA    Bank of America N.A.   FOB    Credit Suisse Securities (USA) LLC   RDR    RBC Capital Markets
BOS    Banc of America Securities LLC   GLM    Goldman Sachs Bank USA   RTA    Bank of New York Mellon Corp.
BPG    BNP Paribas Securities Corp.   GST    Goldman Sachs International   SAL    Citigroup Global Markets, Inc.
BPS    BNP Paribas S.A.   HUS    HSBC Bank USA N.A.   SCX    Standard Chartered Bank
BRC    Barclays Bank PLC   JPM    JPMorgan Chase Bank N.A.   SOG    Societe Generale
CBK    Citibank N.A.   JPS    JPMorgan Securities, Inc.   UAG    UBS AG Stamford
DEU    Deutsche Bank Securities, Inc.   MSB    Morgan Stanley Bank, N.A   UBS    UBS Securities LLC
DUB    Deutsche Bank AG   MSC    Morgan Stanley & Co., Inc.     
Currency Abbreviations:         
AUD    Australian Dollar   EUR    Euro   NOK    Norwegian Krone
BRL    Brazilian Real   GBP    British Pound   SEK    Swedish Krona
CAD    Canadian Dollar   HKD    Hong Kong Dollar   SGD    Singapore Dollar
CHF    Swiss Franc   ILS    Israeli Shekel   USD (or $)    United States Dollar
DKK    Danish Krone   JPY    Japanese Yen     
Exchange Abbreviations:         
CME    Chicago Mercantile Exchange          
Index/Spread Abbreviations:         
ABX.HE    Asset-Backed Securities Index - Home Equity   EAFE    Europe, Australasia, and Far East Stock Index     
Other Abbreviations:         
ABS    Asset-Backed Security   CLO    Collateralized Loan Obligation   PIK    Payment-in-Kind
ALT    Alternate Loan Trust   LIBOR    London Interbank Offered Rate   TBD %    Interest Rate To Be Determiend When Loan Settles
CDI    Brazil Interbank Deposit Rate   MSCI    Morgan Stanley Capital International     


Item 2. Controls and Procedures

(a) The principal executive officer and principal financial & accounting officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits

A separate certification for each principal executive officer and principal financial & accounting officer of the registrant as required by Rule 30a-2 under the 1940 Act is attached as Exhibit 99.CERT.


Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

PIMCO Global StocksPlus® & Income Fund
By: /s/ Peter G. Strelow                                                         
Peter G. Strelow
President (Principal Executive Officer)
Date: November 24, 2015
By: /s/ William G. Galipeau                                                  
William G. Galipeau
Treasurer (Principal Financial & Accounting Officer)
Date: November 24, 2015

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/ Peter G. Strelow                                                         
Peter G. Strelow
President (Principal Executive Officer)
Date: November 24, 2015
By: /s/ William G. Galipeau                                                  
William G. Galipeau
Treasurer (Principal Financial & Accounting Officer)
Date: November 24, 2015