UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-08216
PIMCO Strategic Income Fund, Inc.
(Exact name of registrant as specified in charter)
1633 Broadway, New York, NY 10019
(Address of principal executive offices)
William G. Galipeau
Treasurer (Principal Financial & Accounting Officer)
650 Newport Center Drive
Newport Beach, CA 92660
(Name and address of agent for service)
Copies to:
David C. Sullivan
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199
Registrants telephone number, including area code: (844) 337-4626
Date of fiscal year end: June 30
Date of reporting period: June 30, 2015
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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. | Reports to Shareholders. |
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30e-1).
Your Global Investment Authority
PIMCO Closed-End Funds
Annual Report
June 30, 2015
PCM Fund, Inc.
PIMCO Global StocksPLUS® & Income Fund
PIMCO Income Opportunity Fund
PIMCO Strategic Income Fund, Inc.
PIMCO Dynamic Credit Income Fund
PIMCO Dynamic Income Fund
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Fund | Fund Summary |
Schedule of Investments |
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13 | 81 |
Letter from the Chairman of the Board & President
Dear Shareholder:
The financial markets experienced periods of volatility starting from the fourth quarter of 2014 through the second quarter of 2015.1 Investor sentiment was challenged at times given mixed economic data, uncertainties surrounding future global monetary policy, geopolitical issues and, most recently, the debt crisis in Greece.
For the periods ended June 30, 2015
After expanding in the fourth quarter of 2014, the U.S. economy hit a soft patch in the first quarter of 2015. Looking back, U.S. gross domestic product (GDP), which represents the value of goods and services produced in the country, the broadest measure of economic activity and the principal indicator of economic performance, expanded at a 2.2% annual pace during the fourth quarter of 2014. According to the Commerce Department, GDP then moderated at an annual pace of 0.6% for the first quarter of 2015. This was attributed to contractions in net exports, nonresidential fixed investment and state and local government spending. In addition, consumer spending decelerated, as it grew a modest 1.8% during the first quarter of 2015 versus 4.4% for the fourth quarter of 2014. However, this appeared to be a temporary setback due to colder than usual weather and labor disputes at West Coast ports, as the Commerce Departments initial estimate showed that GDP released after the reporting periods had ended grew at an annual pace of 2.3% for the second quarter of 2015.
Federal Reserve (Fed) monetary policy remained accommodative. However, the central bank appeared to be moving closer to raising interest rates for the first time since 2006. As expected, following its meeting in October 2014, the Fed announced that it had concluded its asset purchase program. Then, at its March 2015 meeting, the Fed eliminated the word patient from its official statement regarding when it may start raising rates. Finally, at its meeting in June, the Fed said that it currently anticipates that, even after employment and inflation are near mandate-consistent levels, economic conditions may, for some time, warrant keeping the target federal funds rate below levels the Committee views as normal in the longer run.
Economic growth outside the U.S. was mixed over the past few quarters. Anemic growth and concerns of deflation in the eurozone caused the European Central Bank (ECB) to announce that beginning in March 2015, it would start a 60 billion-a-month bond-buying program that is expected to run until September 2016, or longer if needed to achieve an inflation rate consistent with the ECBs longer-term target. The ECB announcement and a still-benign U.S. rates environment were supportive for emerging market asset prices initially, although by the end of the second quarter of 2015, riskier asset classes succumbed to pressures from slower economic growth, geopolitical events, increased uncertainty over the resolution of the Greek crisis and higher volatility in commodity markets.
Outlook
PIMCOs baseline view is that the U.S. is on track for solid growth in the range of 2.5% to 3% in 2015. This outlook reflects the firms expectation for robust consumption growth, supported by a strengthening labor market and a boost to real income from low commodity prices. However, against this positive outlook for consumption, PIMCO is weighing the potential negatives of sluggish export growth held back by the stronger U.S. dollar, as well as the likelihood of reduced capital expenditures due to a slowdown in investment in the energy sector. While PIMCO believes that headline inflation may briefly turn negative due to the year-over-year decline in oil prices, the firm expects core inflation to bottom out near current levels and to rebound later in 2015. These conditions should allow the Fed to begin the process of normalizing short-term interest rates later this year. That said, in PIMCOs view, this interest rate hike cycle will differ from previous cycles both in terms of pace slower and in terms of the destination lower.
1 Please note that each Funds fiscal year end was recently changed to June 30, 2015; therefore, the length of each Funds reporting period will differ depending on its former fiscal year end. Please see Notes to Financial Statements for further detail.
2 | PIMCO CLOSED-END FUNDS |
Overseas, PIMCO expects lower oil prices, a weak euro and the ECBs quantitative easing program to be tailwinds for the eurozone economy, with GDP growth around 1.5% over the next 12 months. The firm believes that inflation in the eurozone will increase to 1% or so in 2015, after testing negative levels in the fourth quarter of 2014 and the first quarter of 2015. As the Feds interest rate tightening cycle moves closer, economic growth across emerging economies may face headwinds. PIMCOs growth forecast for the BRIM economies (Brazil, Russia, India and Mexico) ranges from 1.5% to 2.5%. Country growth projections are highly varied, depending on initial economic conditions, commodity reliance and sensitivity to Fed and U.S. dollar moves. Against this backdrop, PIMCO believes emerging market countries with strong balance sheets should provide attractive investment opportunities, anchored by relatively high yields and supported by a low probability of meaningful reduction in creditworthiness.
In the following pages of this PIMCO Closed-End Funds Annual Report, please find specific details regarding investment performance and a discussion of factors that most affected the Funds performance over the periods ended June 30, 2015.
Thank you for investing with us. We value your trust and will continue to work diligently to meet your investment needs. If you have questions regarding any of your PIMCO Closed-End Funds investments, please contact your financial advisor or call the Funds shareholder servicing agent at (844) 33-PIMCO or (844) 337-4626. We also invite you to visit our website at www.pimco.com to learn more about our views.
We remain dedicated to serving your investment needs.
Sincerely,
Hans W. Kertess | Peter G. Strelow | |
Chairman of the Board | President |
ANNUAL REPORT | JUNE 30, 2015 | 3 |
Important Information About the Funds
4 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2015 | 5 |
Important Information About the Funds (Cont.)
6 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2015 | 7 |
Symbol on NYSE - PCM |
Average Annual Total Return(1) for the period ended June 30, 2015 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (09/02/93) |
|||||||||||||
Market Price | -9.62% | 11.04% | 7.57% | 8.26% | ||||||||||||
NAV | 3.89% | 14.17% | 10.04% | 9.19% |
All Fund returns are net of fees and expenses.
The average annual total returns shown above have been restated from previous reports to shareholders to align with the Funds change from a December 31 to a June 30 fiscal year end. For the period January 1, 2015 through June 30, 2015, the Funds total return was -1.28% and 4.20% on a market price and NAV basis, respectively.
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents regulatory leverage outstanding, as a percentage of total managed assets. Regulatory leverage may include preferred shares, tender option bond transactions, reverse repurchase agreements, and other borrowings (collectively Regulatory Leverage). Total managed assets refer to total assets (including assets attributable to Regulatory Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Regulatory Leverage). |
Investment Objective
» | PCMs primary investment objective is to achieve high current income. Capital gains from the disposition of investments are a secondary objective of the Fund. |
Portfolio Insights
» | For the period from January 1, 2015 through June 30, 2015, the Funds allocation to non-agency mortgage-backed securities was a major contributor to performance, as the sector continued to benefit from an improving U.S. housing market. |
» | The Funds allocation to high yield corporate bonds contributed substantially to results. In particular, the Funds holdings of energy, media, pipelines and utility bonds were beneficial to performance. However, negative security selection in the technology and manufacturing sectors mitigated some of these gains. |
» | The Funds allocation to commercial mortgage-backed securities significantly contributed to performance, supported by attractive yields and positive security selection. |
» | The Funds exposure to U.S. interest rates was beneficial to performance, supported mainly by an attractive yield. |
8 | PIMCO CLOSED-END FUNDS |
PIMCO Global StocksPLUS® & Income Fund
Symbol on NYSE - PGP |
Average Annual Total Return(1) for the period ended June 30, 2015 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (05/31/05) |
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Market Price | -27.19% | 9.17% | 11.02% | 10.91% | ||||||||||||
NAV | 0.73% | 20.74% | 12.77% | 12.72% |
All Fund returns are net of fees and expenses.
The average annual total returns shown above have been restated from previous reports to shareholders to align with the Funds change from a March 31 to a June 30 fiscal year end. For the period April 1, 2015 through June 30, 2015, the Funds total return was -21.82% and 4.80% on a market price and NAV basis, respectively.
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents regulatory leverage outstanding, as a percentage of total managed assets. Regulatory leverage may include preferred shares, tender option bond transactions, reverse repurchase agreements, and other borrowings (collectively Regulatory Leverage). Total managed assets refer to total assets (including assets attributable to Regulatory Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Regulatory Leverage). |
Investment Objective
» | PIMCO Global StocksPLUS® & Income Funds primary investment objective is to seek total return comprised of current income, current gains and long-term capital appreciation. |
Portfolio Insights
» | For the period from April 1, 2015 through June 30, 2015, the Funds exposures to the S&P 500 Index and MSCI EAFE Index, through the use of equity index derivatives, contributed to returns. |
» | The Fund benefited from earning a higher yield on underlying investments than the money market financing rate cost embedded within the S&P 500 and MSCI EAFE Index derivatives, through which the Fund achieves equity exposure. |
» | Holdings of non-agency mortgage-backed securities substantially added to returns as they appreciated in price. The sector continued to benefit from an improving U.S. housing market. |
» | Strategies designed to benefit from rising intermediate interest rates contributed substantially to performance. Intermediate rates increased sharply on renewed optimism regarding U.S. economic outlook. |
» | A defensive option strategy, involving writing at-the-money calls and purchasing out-of-the-money puts on S&P 500 futures contracts was beneficial to performance as the written calls expired out-of-the-money. |
» | An allocation to high yield corporate bonds modestly added to performance despite certain sectors, such as manufacturing and technology, posting negative returns. |
» | There were no material detractors from results during the period. |
ANNUAL REPORT | JUNE 30, 2015 | 9 |
Symbol on NYSE - PKO |
Average Annual Total Return(1) for the period ended June 30, 2015 | ||||||||||||
1 Year | 5 Year | Commencement of Operations (11/30/07) |
||||||||||
Market Price | -4.07% | 12.09% | 11.49% | |||||||||
NAV | 2.82% | 14.16% | 13.28% |
All Fund returns are net of fees and expenses.
The average annual total returns shown above have been restated from previous reports to shareholders to align with the Funds change from a October 31 to a June 30 fiscal year end. For the period November 1, 2014 through June 30, 2015, the Funds total return was 0.22% and 2.79% on a market price and NAV basis, respectively.
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents regulatory leverage outstanding, as a percentage of total managed assets. Regulatory leverage may include preferred shares, tender option bond transactions, reverse repurchase agreements, and other borrowings (collectively Regulatory Leverage). Total managed assets refer to total assets (including assets attributable to Regulatory Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Regulatory Leverage). |
Investment Objective
» | PIMCO Income Opportunity Funds primary investment objective is to seek current income as a primary focus and also capital appreciation. |
Portfolio Insights
» | For the period from November 1, 2014 through June 30, 2015, an allocation to non-agency mortgage-backed securities was a primary contributor to performance, as the sector continued to benefit from an improving U.S. housing market. |
» | Despite widening spreads sending prices lower, the Funds exposure to select high yield corporate bonds contributed significantly to performance. In particular, attractive coupons generated by these investments and security selection in the pipelines and brokerage sectors enhanced the Funds performance. |
» | The Funds allocation to the banking sector within the investment grade corporate bond universe was additive to performance. The banking sector was supported by improvements in sector fundamentals and de-leveraging imposed by regulators. |
» | Overall contribution from U.S. interest rate exposure was positive for performance given the yield generated, despite the negative impact from strategies designed to benefit from rising long-term interest rates, which detracted from performance. |
» | The Funds emerging market hard-currency-denominated holdings detracted from performance as prices declined, including an allocation to Brazilian quasi-sovereign and corporate debt. Although those bonds recovered partially in response to Petrobras long-awaited release of audited financial statements in the second quarter, prices on those bonds experienced volatility due to credit rating downgrades and a weaker economic outlook. |
» | The Funds exposure to Brazilian local debt also weighed on its performance. The central bank of Brazil raised benchmark interest rates several times during the reporting period, moving them from 11.25% to 13.75%. The hawkish tone by monetary authorities negatively impacted investors sentiment for Brazilian local debt. |
10 | PIMCO CLOSED-END FUNDS |
PIMCO Strategic Income Fund, Inc.
Symbol on NYSE - RCS |
Average Annual Total Return(1) for the period ended June 30, 2015 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (02/24/94) |
|||||||||||||
Market Price | -9.30% | 8.83% | 8.09% | 8.69% | ||||||||||||
NAV | 4.84% | 11.81% | 10.44% | 8.85% |
All Fund returns are net of fees and expenses.
The average annual total returns shown above have been restated from previous reports to shareholders to align with the Funds change from a January 31 to a June 30 fiscal year end. For the period February 1, 2015 through June 30, 2015, the Funds total return was -5.81% and 4.87% on a market price and NAV basis, respectively.
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents regulatory leverage outstanding, as a percentage of total managed assets. Regulatory leverage may include preferred shares, tender option bond transactions, reverse repurchase agreements, and other borrowings (collectively Regulatory Leverage). Total managed assets refer to total assets (including assets attributable to Regulatory Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Regulatory Leverage). |
Investment Objective
» | The primary investment objective of PIMCO Strategic Income Fund, Inc. is to generate a level of income that is higher than that generated by high quality, intermediate-term U.S. debt securities. The Fund also seeks capital appreciation to the extent consistent with this objective. |
Portfolio Insights
» | For the period from February 1, 2015 through June 30, 2015, the Funds exposure to external emerging markets debt was a major contributor to performance. Within that sector, Russian quasi-sovereign bonds were the primary driver of positive returns. Improved investor sentiment in the oil market and stabilization in Russias external geopolitical position fueled a sharp rally during the reporting period. |
» | Strategies designed to benefit from rising long-term interest rates contributed substantially to performance. Long-term rates increased sharply on renewed optimism regarding U.S. economic outlook. |
» | The Funds allocation to agency-collateralized mortgage-obligation securities contributed to performance, as these bonds generated attractive yield. |
» | The Funds allocation to non-agency mortgage-backed securities was a contributor to performance, as the sector continued to benefit from the improving U.S. housing market. |
» | The Funds allocation to the banking sector via investments in junior parts of capital structure was positive for performance. It was supported by improvements in sector fundamentals and de-leveraging imposed by regulators. |
» | The Funds allocation to high yield corporate bonds was beneficial to returns, supported by tightening spreads. However, negative security selection in the energy and utilities sectors mitigated some of these gains. |
» | The Funds exposure to Brazilian local debt detracted from performance. The central bank of Brazil raised benchmark interest rates several times during the reporting period, moving them from 12.25% to 13.75%. This negatively impacted the Fund due to its exposure to local Brazilian interest rate risk. |
» | There were no additional material detractors from results during the period. |
ANNUAL REPORT | JUNE 30, 2015 | 11 |
PIMCO Dynamic Credit Income Fund
Symbol on NYSE - PCI |
Average Annual Total Return(1) for the period ended June 30, 2015 | ||||||||
1 Year | Commencement of Operations (01/31/13) |
|||||||
Market Price | -4.85% | 0.84% | ||||||
NAV | 1.86% | 7.98% |
All Fund returns are net of fees and expenses.
The average annual total returns shown above have been restated from previous reports to shareholders to align with the Funds change from a December 31 to a June 30 fiscal year end. For the period January 1, 2015 through June 30, 2015, the Funds total return was 2.23% and 4.95% on a market price and NAV basis, respectively.
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents regulatory leverage outstanding, as a percentage of total managed assets. Regulatory leverage may include preferred shares, tender option bond transactions, reverse repurchase agreements, and other borrowings (collectively Regulatory Leverage). Total managed assets refer to total assets (including assets attributable to Regulatory Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Regulatory Leverage). |
Investment Objective
» | PIMCO Dynamic Credit Income Funds primary investment objective is to seek current income and capital appreciation is a secondary objective. |
Portfolio Insights
» | For the period from January 1, 2015 through June 30, 2015, the Funds allocation to non-agency mortgage-backed securities was a major contributor to performance. The sector continued to benefit from an improving U.S. housing market. |
» | The Funds allocation to high yield corporate bonds was a major positive contributor to results. In particular, the Funds holdings of media/telecommunications, basic materials, pipelines and utility bonds contributed to performance. However, negative security selection in the energy, technology and manufacturing sectors mitigated some of these gains. |
» | The Funds emerging market hard-currency-denominated holdings contributed to performance, as exposure to Russian and Brazilian corporate and quasi-sovereign bonds recovered much of their losses from the second half of 2014 due to stabilizing oil prices and, especially in the case of Russia, stabilization in external geopolitical position. |
» | The Funds allocation to bonds of banks and specialty finance companies contributed to performance. Financial-related credits benefited from improving global economies, especially in the U.S. |
» | The Funds exposure to Brazilian local debt detracted from performance. The central bank of Brazil raised benchmark interest rates several times during the reporting period, moving them from 11.25% to 13.75%. Higher interest rates negatively impacted the Fund due to exposure to local Brazilian interest rate risk. |
12 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PDI |
Average Annual Total Return(1) for the period ended June 30, 2015 | ||||||||
1 Year | Commencement of Operations (05/30/12) |
|||||||
Market Price | -1.95% | 17.46% | ||||||
NAV | 7.13% | 22.28% |
All Fund returns are net of fees and expenses.
The average annual total returns shown above have been restated from previous reports to shareholders to align with the Funds change from a March 31 to a June 30 fiscal year end. For the period April 1, 2015 through June 30, 2015, the Funds total return was 2.87% and 4.17% on a market price and NAV basis, respectively.
(1) | Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO. |
(2) | Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents regulatory leverage outstanding, as a percentage of total managed assets. Regulatory leverage may include preferred shares, tender option bond transactions, reverse repurchase agreements, and other borrowings (collectively Regulatory Leverage). Total managed assets refer to total assets (including assets attributable to Regulatory Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Regulatory Leverage). |
Investment Objective
» | PIMCO Dynamic Income Funds primary investment objective is to seek current income, with capital appreciation as a secondary objective. |
Portfolio Insights
» | For the period from April 1, 2015 through June 30, 2015, the Funds allocation to U.S. non-agency mortgage-backed securities was the primary contributor to performance. The sector continued to benefit from the improving U.S. housing market. |
» | The Funds emerging market holdings contributed substantially to performance, as exposure to Russian and Brazilian corporate and quasi-sovereign bonds recovered much of their losses from the second half of 2014 due to stabilizing oil prices and, especially in the case of Russia, stabilization in external geopolitical position. |
» | Despite widening spreads, the Funds exposure to select high yield corporate bonds contributed to results. In particular, security selection in the retail and entertainment sectors was positive for performance. |
» | The Funds exposure to U.S. interest rates had a modestly positive impact on the portfolio. Substantial gains from strategies designed to benefit from rising long-term U.S. interest rates helped offset the negative impact of higher U.S. intermediate and long rates elsewhere in the portfolio. |
» | The Funds exposure to European residential mortgage-backed securities had a minor negative impact on the Funds portfolio, as these issues were exposed to rising rates in the region and their prices declined. |
» | The Funds tactical interest rate exposure in the United Kingdom was negative for performance, as rates rose in the country given the strength in its economy. |
ANNUAL REPORT | JUNE 30, 2015 | 13 |
Selected Per Share Data for the Year or Period Ended: | Net Asset Value Beginning of Year or Period |
Net Investment Income (a) |
Net Realized/ Unrealized Gain (Loss) |
Total from Investment Operations |
Distribution from Net Investment Income |
Distribution from Net Realized Capital Gain |
Tax Basis Return of Capital |
Total Distributions |
||||||||||||||||||||||||
PCM Fund, Inc. |
||||||||||||||||||||||||||||||||
01/01/2015 - 06/30/2015(d) |
$ | 10.72 | $ | 0.44 | $ | 0.00 | ^ | $ | 0.44 | $ | (0.48 | ) | $ | 0.00 | $ | 0.00 | $ | (0.48 | )(h) | |||||||||||||
12/31/2014 |
11.17 | 0.94 | (0.34 | ) | 0.60 | (1.05 | ) | 0.00 | 0.00 | (1.05 | ) | |||||||||||||||||||||
12/31/2013 |
11.35 | 1.12 | (0.20 | ) | 0.92 | (1.10 | ) | 0.00 | 0.00 | (1.10 | ) | |||||||||||||||||||||
12/31/2012 |
9.48 | 1.06 | 1.93 | 2.99 | (1.12 | ) | 0.00 | 0.00 | (1.12 | ) | ||||||||||||||||||||||
12/31/2011 |
9.88 | 1.13 | (0.47 | ) | 0.66 | (1.06 | ) | 0.00 | 0.00 | (1.06 | ) | |||||||||||||||||||||
12/31/2010 |
7.73 | 1.12 | 2.29 | 3.41 | (1.26 | ) | 0.00 | 0.00 | (1.26 | ) | ||||||||||||||||||||||
PIMCO Global StocksPLUS® & Income Fund |
||||||||||||||||||||||||||||||||
04/01/2015 - 06/30/2015(e) |
$ | 12.82 | $ | 0.34 | $ | 0.27 | $ | 0.61 | $ | (0.55 | ) | $ | 0.00 | $ | 0.00 | $ | (0.55 | )(h) | ||||||||||||||
03/31/2015 |
14.72 | 1.15 | (0.85 | ) | 0.30 | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | |||||||||||||||||||||
03/31/2014 |
14.32 | 1.39 | 1.21 | 2.60 | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | ||||||||||||||||||||||
03/31/2013 |
12.57 | 1.38 | 2.57 | 3.95 | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | ||||||||||||||||||||||
03/31/2012 |
14.88 | 1.61 | (1.72 | ) | (0.11 | ) | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | ||||||||||||||||||||
03/31/2011 |
12.52 | 1.75 | 2.81 | 4.56 | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | ||||||||||||||||||||||
PIMCO Income Opportunity Fund |
||||||||||||||||||||||||||||||||
11/01/2014 - 06/30/2015(f) |
$ | 28.38 | $ | 1.54 | $ | (0.86 | ) | $ | 0.68 | $ | (2.34 | ) | $ | (0.77 | ) | $ | (0.01 | ) | $ | (3.12 | )(h) | |||||||||||
10/31/2014 |
28.67 | 2.71 | (0.12 | ) | 2.59 | (2.88 | ) | 0.00 | 0.00 | (2.88 | ) | |||||||||||||||||||||
10/31/2013 |
27.86 | 2.87 | 0.77 | 3.64 | (2.83 | ) | 0.00 | 0.00 | (2.83 | ) | ||||||||||||||||||||||
10/31/2012 |
24.62 | 2.61 | 3.69 | 6.30 | (3.06 | ) | 0.00 | 0.00 | (3.06 | ) | ||||||||||||||||||||||
10/31/2011 |
26.97 | 3.24 | (2.20 | ) | 1.04 | (3.39 | ) | 0.00 | 0.00 | (3.39 | ) | |||||||||||||||||||||
10/31/2010 |
21.40 | 3.11 | 4.58 | 7.69 | (2.12 | ) | 0.00 | 0.00 | (2.12 | ) | ||||||||||||||||||||||
PIMCO Strategic Income Fund, Inc. |
||||||||||||||||||||||||||||||||
02/01/2015 - 06/30/2015(g) |
$ | 8.57 | $ | 0.30 | $ | 0.11 | $ | 0.41 | $ | (0.40 | ) | $ | 0.00 | $ | 0.00 | $ | (0.40 | )(h) | ||||||||||||||
01/31/2014 |
9.24 | 0.90 | (0.55 | ) | 0.35 | (1.02 | ) | 0.00 | 0.00 | (1.02 | ) | |||||||||||||||||||||
01/31/2013 |
9.66 | 0.99 | (0.30 | ) | 0.69 | (1.11 | ) | 0.00 | 0.00 | (1.11 | ) | |||||||||||||||||||||
01/31/2012 |
8.91 | 1.05 | 0.95 | 2.00 | (1.25 | ) | 0.00 | 0.00 | (1.25 | ) | ||||||||||||||||||||||
01/31/2011 |
9.97 | 1.36 | (1.03 | ) | 0.33 | (1.39 | ) | 0.00 | 0.00 | (1.39 | ) | |||||||||||||||||||||
01/31/2010 |
9.08 | 1.27 | 1.04 | 2.31 | (1.42 | ) | 0.00 | 0.00 | (1.42 | ) | ||||||||||||||||||||||
PIMCO Dynamic Credit Income Fund (Consolidated) |
||||||||||||||||||||||||||||||||
01/01/2015 - 06/30/2015(d) |
$ | 22.83 | $ | 0.76 | $ | 0.35 | $ | 1.11 | $ | (0.94 | ) | $ | 0.00 | $ | 0.00 | $ | (0.94 | )(h) | ||||||||||||||
12/31/2014 |
24.04 | 1.79 | (0.53 | ) | 1.26 | (2.47 | ) | 0.00 | 0.00 | (2.47 | ) | |||||||||||||||||||||
01/31/2013 - 12/31/2013 |
23.88 | 1.33 | 0.76 | 2.09 | (1.68 | ) | (0.24 | ) | 0.00 | (1.92 | ) | |||||||||||||||||||||
PIMCO Dynamic Income Fund (Consolidated) |
||||||||||||||||||||||||||||||||
04/01/2015 - 06/30/2015(e) |
$ | 30.74 | $ | 0.80 | $ | 0.47 | $ | 1.27 | $ | (0.63 | ) | $ | 0.00 | $ | 0.00 | $ | (0.63 | )(h) | ||||||||||||||
03/31/2015 |
32.11 | 3.25 | (0.49 | ) | 2.76 | (4.13 | ) | 0.00 | 0.00 | (4.13 | ) | |||||||||||||||||||||
03/31/2014 |
30.69 | 3.70 | 1.24 | 4.94 | (3.29 | ) | (0.23 | ) | 0.00 | (3.52 | ) | |||||||||||||||||||||
05/30/2012 - 03/31/2013 |
23.88 | 2.79 | 6.50 | 9.29 | (2.18 | ) | (0.27 | ) | 0.00 | (2.45 | ) |
* | Annualized |
^ | Reflects an amount rounding to less than one cent. |
(a) | Per share amounts based on average number of shares outstanding during the year or period. |
(b) | Total investment return is calculated assuming a purchase of a share at the market price on the first day and a sale of a share at the market price on the last day of each year or period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares. |
(c) | Interest expense primarily relates to participation in borrowing and financing transactions, see Note 5 in the Notes to Financial Statements for more information. |
(d) | Fiscal year end changed from December 31st to June 30th. |
(e) | Fiscal year end changed from March 31st to June 30th. |
(f) | Fiscal year end changed from October 31st to June 30th. |
(g) | Fiscal year end changed from January 31st to June 30th. |
(h) | Total distributions for the period ended June 30, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended June 30, 2015. |
14 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Offering Cost Charged to Paid in Capital in Excess of Par |
Net Asset Value End of Year or Period |
Market or Period |
Total Investment Return (b) |
Net Assets End of Year or Period (000s) |
Ratio of Expenses to Average Net Assets |
Ratio of Expenses to Average Net Assets Excluding Interest Expense (c) |
Ratio of Net Investment Income to Average Net Assets |
Portfolio Turnover Rate |
||||||||||||||||||||||||||
$ | N/A | $ | 10.68 | $ | 10.05 | (1.28 | )% | $ | 123,235 | 2.26 | %* | 1.54 | %* | 8.32 | %* | 20 | % | |||||||||||||||||
N/A | 10.72 | 10.65 | 0.34 | 123,633 | 1.89 | 1.40 | 8.38 | 11 | ||||||||||||||||||||||||||
N/A | 11.17 | 11.65 | 6.49 | 128,672 | 2.05 | 1.52 | 9.75 | 6 | ||||||||||||||||||||||||||
N/A | 11.35 | 12.02 | 23.34 | 130,461 | 2.59 | 1.76 | 10.05 | 13 | ||||||||||||||||||||||||||
N/A | 9.48 | 10.77 | 10.43 | 108,810 | 2.44 | 1.75 | 11.30 | 26 | ||||||||||||||||||||||||||
N/A | 9.88 | 10.80 | 54.01 | 113,020 | 2.41 | 1.75 | 11.91 | 28 | ||||||||||||||||||||||||||
$ | N/A | $ | 12.88 | $ | 16.92 | (21.82 | )% | $ | 135,468 | 2.34 | %* | 1.72 | %* | 10.35 | %* | 3 | % | |||||||||||||||||
N/A | 12.82 | 22.27 | 4.05 | 134,594 | 2.30 | 1.78 | 8.29 | 92 | ||||||||||||||||||||||||||
N/A | 14.72 | 23.67 | 19.44 | 153,393 | 1.94 | 1.67 | 9.62 | 197 | ||||||||||||||||||||||||||
N/A | 14.32 | 21.95 | 21.57 | 148,170 | 2.64 | 2.10 | 10.75 | 33 | ||||||||||||||||||||||||||
N/A | 12.57 | 20.18 | (8.00 | ) | 128,952 | 2.71 | 2.12 | 12.70 | 90 | |||||||||||||||||||||||||
N/A | 14.88 | 24.48 | 43.45 | 150,881 | 2.81 | 2.20 | 13.07 | 80 | ||||||||||||||||||||||||||
$ | N/A | $ | 25.94 | $ | 24.20 | 0.22 | % | $ | 388,353 | 2.43 | %* | 1.79 | %* | 8.93 | %* | 14 | % | |||||||||||||||||
N/A | 28.38 | 27.26 | 4.39 | 424,632 | 2.01 | 1.65 | 9.44 | 175 | ||||||||||||||||||||||||||
N/A | 28.67 | 28.90 | 6.81 | 426,561 | 1.93 | 1.66 | 10.03 | 65 | ||||||||||||||||||||||||||
N/A | 27.86 | 29.85 | 26.98 | 411,976 | 2.29 | 1.86 | 10.38 | 57 | ||||||||||||||||||||||||||
N/A | 24.62 | 26.45 | 11.68 | 359,909 | 2.44 | 1.93 | 12.40 | 194 | ||||||||||||||||||||||||||
N/A | 26.97 | 26.92 | 39.51 | 391,730 | 2.36 | 1.86 | 13.07 | 77 | ||||||||||||||||||||||||||
$ | N/A | $ | 8.58 | $ | 8.69 | (5.81 | )% | $ | 357,692 | 1.16 | %* | 0.96 | %* | 8.58 | %* | 17 | % | |||||||||||||||||
N/A | 8.57 | 9.65 | 5.92 | 355,942 | 1.18 | 0.98 | 10.01 | 90 | ||||||||||||||||||||||||||
N/A | 9.24 | 10.12 | (4.58 | ) | 379,762 | 1.39 | 1.00 | 10.48 | 208 | |||||||||||||||||||||||||
N/A | 9.66 | 11.84 | 12.21 | 392,317 | 1.55 | 1.00 | 11.14 | 293 | ||||||||||||||||||||||||||
N/A | 8.91 | 11.80 | 28.34 | 357,712 | 1.48 | 1.01 | 14.27 | 147 | ||||||||||||||||||||||||||
N/A | 9.97 | 10.44 | 11.82 | 394,695 | 1.43 | 1.04 | 12.98 | 168 | ||||||||||||||||||||||||||
$ | N/A | $ | 23.00 | $ | 20.18 | 2.23 | % | $ | 3,155,689 | 2.63 | %* | 1.97 | %* | 6.71 | %* | 31 | % | |||||||||||||||||
(0.00 | )^ | 22.83 | 20.65 | 2.68 | 3,132,146 | 2.36 | 1.91 | 7.29 | 35 | |||||||||||||||||||||||||
(0.01 | ) | 24.04 | 22.48 | (2.79 | ) | 3,298,673 | 1.52 | * | 1.42 | * | 6.06 | * | 76 | |||||||||||||||||||||
$ | N/A | $ | 31.38 | $ | 29.21 | 2.87 | % | $ | 1,426,891 | 2.83 | %* | 2.01 | %* | 10.23 | %* | 5 | % | |||||||||||||||||
N/A | 30.74 | 29.00 | 9.04 | 1,397,987 | 3.12 | 2.12 | 9.97 | 10 | ||||||||||||||||||||||||||
N/A | 32.11 | 30.32 | 9.62 | 1,458,961 | 3.15 | 2.17 | 11.90 | 18 | ||||||||||||||||||||||||||
(0.03 | ) | 30.69 | 31.10 | 35.21 | 1,393,099 | 2.91 | * | 2.04 | * | 12.04 | * | 16 |
ANNUAL REPORT | JUNE 30, 2015 | 15 |
Statements of Assets and Liabilities
June 30, 2015
(Amounts in thousands, except per share amounts) | PCM Fund, Inc. |
PIMCO Global StocksPLUS ® & Income Fund |
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
||||||||||||
Assets: |
||||||||||||||||
Investments, at value |
||||||||||||||||
Investments in securities* |
$ | 209,566 | $ | 189,707 | $ | 648,420 | $ | 911,743 | ||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
11 | 937 | 277 | 339 | ||||||||||||
Over the counter |
125 | 289 | 3,055 | 1,338 | ||||||||||||
Cash |
82 | 746 | 445 | 126 | ||||||||||||
Deposits with counterparty |
622 | 15,542 | 1,816 | 8,962 | ||||||||||||
Foreign currency, at value |
0 | 140 | 864 | 356 | ||||||||||||
Receivable for investments sold |
2,589 | 2,135 | 9,460 | 3,072 | ||||||||||||
Receivable for mortgage dollar rolls |
0 | 0 | 0 | 68,309 | ||||||||||||
Interest and dividends receivable |
1,211 | 1,241 | 4,611 | 3,697 | ||||||||||||
Other assets |
2 | 2 | 2 | 8 | ||||||||||||
Total Assets |
214,208 | 210,739 | 668,950 | 997,950 | ||||||||||||
Liabilities: |
||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||
Payable for reverse repurchase agreements |
$ | 88,045 | $ | 68,847 | $ | 263,384 | $ | 138,200 | ||||||||
Payable for sale-buyback transactions |
0 | 0 | 0 | 103,804 | ||||||||||||
Payable for mortgage dollar rolls |
0 | 0 | 0 | 68,155 | ||||||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
1 | 333 | 163 | 157 | ||||||||||||
Over the counter |
1,749 | 3,208 | 8,621 | 2,261 | ||||||||||||
Payable for investments purchased |
7 | 488 | 1,112 | 321,777 | ||||||||||||
Deposits from counterparty |
0 | 217 | 3,767 | 1,670 | ||||||||||||
Distributions payable to common shareholders |
923 | 1,928 | 2,844 | 3,336 | ||||||||||||
Accrued management fees |
160 | 191 | 612 | 281 | ||||||||||||
Other liabilities |
88 | 59 | 94 | 617 | ||||||||||||
Total Liabilities |
90,973 | 75,271 | 280,597 | 640,258 | ||||||||||||
Net Assets |
$ | 123,235 | $ | 135,468 | $ | 388,353 | $ | 357,692 | ||||||||
Net Assets Consist of: |
||||||||||||||||
Shares: |
||||||||||||||||
Par value ($0.00001 per share) |
$ | 12 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Paid in capital in excess of par |
125,541 | 232,189 | 343,103 | 425,864 | ||||||||||||
Undistributed (overdistributed) net investment income |
(681 | ) | (1,169 | ) | (5,419 | ) | 3,365 | |||||||||
Accumulated undistributed net realized (loss) |
(18,812 | ) | (123,865 | ) | (5,005 | ) | (94,202 | ) | ||||||||
Net unrealized appreciation |
17,175 | 28,313 | 55,674 | 22,665 | ||||||||||||
$ | 123,235 | $ | 135,468 | $ | 388,353 | $ | 357,692 | |||||||||
Shares Issued and Outstanding |
11,538 | 10,518 | 14,968 | 41,700 | ||||||||||||
Net Asset Value Per Share |
$ | 10.68 | $ | 12.88 | $ | 25.94 | $ | 8.58 | ||||||||
Cost of Investments in securities |
$ | 195,631 | $ | 170,452 | $ | 602,052 | $ | 888,310 | ||||||||
Cost of Foreign Currency Held |
$ | 0 | $ | 141 | $ | 868 | $ | 360 | ||||||||
Cost or Premiums of Financial Derivative Instruments, net |
$ | (4,892 | ) | $ | (3,466 | ) | $ | (15,781 | ) | $ | (743 | ) | ||||
* Includes repurchase agreements of: |
$ | 386 | $ | 1,000 | $ | 0 | $ | 764 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
16 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Statements of Assets and Liabilities
June 30, 2015
(Amounts in thousands, except per share amounts) | PIMCO Dynamic Credit Income Fund |
PIMCO Dynamic Income Fund |
||||||
Assets: |
||||||||
Investments, at value |
||||||||
Investments in securities* |
$ | 5,302,019 | $ | 2,337,355 | ||||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
3,648 | 485 | ||||||
Over the counter |
23,956 | 12,687 | ||||||
Cash |
22,751 | 13,506 | ||||||
Deposits with counterparty |
19,858 | 25,687 | ||||||
Foreign currency, at value |
1,336 | 754 | ||||||
Receivable for investments sold |
176,217 | 7,617 | ||||||
Interest and dividends receivable |
36,558 | 14,294 | ||||||
Other assets |
16 | 8 | ||||||
Total Assets |
5,586,359 | 2,412,393 | ||||||
Liabilities: |
||||||||
Borrowings & Other Financing Transactions |
||||||||
Payable for reverse repurchase agreements |
$ | 2,257,227 | $ | 940,158 | ||||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
1,468 | 162 | ||||||
Over the counter |
21,835 | 17,459 | ||||||
Payable for investments purchased |
97,321 | 1,901 | ||||||
Deposits from counterparty |
24,897 | 13,680 | ||||||
Distributions payable to common shareholders |
21,441 | 9,551 | ||||||
Accrued management fees |
6,158 | 2,432 | ||||||
Other liabilities |
323 | 159 | ||||||
Total Liabilities |
2,430,670 | 985,502 | ||||||
Net Assets |
$ | 3,155,689 | $ | 1,426,891 | ||||
Net Assets Consist of: |
||||||||
Shares: |
||||||||
Par value ($0.00001 per share) |
$ | 1 | $ | 0 | ||||
Paid in capital in excess of par |
3,274,224 | 1,086,637 | ||||||
Undistributed (overdistributed) net investment income |
(9,006 | ) | 35,117 | |||||
Accumulated undistributed net realized gain (loss) |
(72,839 | ) | 39,018 | |||||
Net unrealized appreciation (depreciation) |
(36,691 | ) | 266,119 | |||||
$ | 3,155,689 | $ | 1,426,891 | |||||
Shares Issued and Outstanding |
137,221 | 45,479 | ||||||
Net Asset Value Per Common Share |
$ | 23.00 | $ | 31.38 | ||||
Cost of Investments in securities |
$ | 5,354,325 | $ | 2,101,190 | ||||
Cost of Foreign Currency Held |
$ | 1,320 | $ | 745 | ||||
Cost or Premiums of Financial Derivative Instruments, net |
$ | (13,210 | ) | $ | (27,278 | ) | ||
* Includes repurchase agreements of: |
$ | 172,912 | $ | 56,487 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2015 | 17 |
PCM Fund, Inc. | PIMCO Global StocksPLUS® & Income Fund |
|||||||||||||||
(Amounts in thousands) | Period from January 1, 2015 to June 30, 2015 (b) |
Year Ended December 31, 2014 |
Period from April 1, 2015 to June 30, 2015 (c) |
Year Ended March 31, 2015 |
||||||||||||
Investment Income: |
||||||||||||||||
Interest |
$ | 6,432 | $ | 13,243 | $ | 4,354 | $ | 15,288 | ||||||||
Dividends |
2 | 1 | 7 | 93 | ||||||||||||
Total Income |
6,434 | 13,244 | 4,361 | 15,381 | ||||||||||||
Expenses: |
||||||||||||||||
Management fees |
931 | 1,681 | 587 | 2,457 | ||||||||||||
Trustee fees and related expenses |
6 | 8 | 3 | 13 | ||||||||||||
Interest expense |
439 | 630 | 212 | 759 | ||||||||||||
Miscellaneous expense |
0 | 0 | 0 | 0 | ||||||||||||
Operating expenses pre-transition(a) |
||||||||||||||||
Custodian and accounting agent |
0 | 26 | 0 | 33 | ||||||||||||
Audit and tax services |
0 | 31 | 0 | 21 | ||||||||||||
Shareholder communications |
0 | 20 | 0 | 26 | ||||||||||||
New York Stock Exchange listing |
0 | 13 | 0 | 13 | ||||||||||||
Transfer agent |
0 | 17 | 0 | 11 | ||||||||||||
Legal |
0 | 4 | 0 | 2 | ||||||||||||
Insurance |
0 | 1 | 0 | 4 | ||||||||||||
Other expenses |
0 | 0 | 0 | 3 | ||||||||||||
Total Expenses |
1,376 | 2,431 | 802 | 3,342 | ||||||||||||
Net Investment Income |
5,058 | 10,813 | 3,559 | 12,039 | ||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||
Investments in securities |
5,518 | (95 | ) | 803 | 5,838 | |||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
106 | (423 | ) | 5,934 | (26,844 | ) | ||||||||||
Over the counter financial derivative instruments |
(38 | ) | 582 | 1,453 | 1,239 | |||||||||||
Foreign currency |
0 | 0 | 120 | (200 | ) | |||||||||||
Net Realized Gain (Loss) |
5,586 | 64 | 8,310 | (19,967 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||
Investments in securities |
(5,767 | ) | (3,968 | ) | (2,132 | ) | (7,628 | ) | ||||||||
Exchange-traded or centrally cleared financial derivative instruments |
50 | (77 | ) | (1,591 | ) | 17,929 | ||||||||||
Over the counter financial derivative instruments |
140 | 45 | (1,364 | ) | (167 | ) | ||||||||||
Foreign currency assets and liabilities |
0 | 0 | (517 | ) | 326 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) |
(5,577 | ) | (4,000 | ) | (5,604 | ) | 10,460 | |||||||||
Net Increase in Net Assets Resulting from Operations |
$ | 5,067 | $ | 6,877 | $ | 6,265 | $ | 2,532 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | These expenses were incurred by the Fund prior to the close of business on September 5, 2014. Subsequent to the close of business on September 5, 2014, any such operating expenses are borne by PIMCO. |
(b) | Fiscal year end changed from December 31st to June 30th. |
(c) | Fiscal year end changed from March 31st to June 30th. |
(d) | Fiscal year end changed from October 31st to June 30th. |
(e) | Fiscal year end changed from January 31st to June 30th. |
18 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
|||||||||||||
Period from November 1, 2014 to June 30, 2015 (d) |
Year Ended October 31, 2014 |
Period from February 1, 2015 to June 30, 2015 (e) |
Year Ended January 31, 2015 |
|||||||||||
$ | 28,368 | $ | 47,562 | $ | 14,270 | $ | 41,704 | |||||||
1,015 | 1,523 | 6 | 4 | |||||||||||
29,383 | 49,085 | 14,276 | 41,708 | |||||||||||
4,611 | 6,706 | 1,400 | 3,342 | |||||||||||
20 | 29 | 11 | 23 | |||||||||||
1,646 | 1,563 | 294 | 743 | |||||||||||
0 | 1 | 0 | 2 | |||||||||||
0 | 150 | 0 | 110 | |||||||||||
0 | 46 | 0 | 59 | |||||||||||
0 | 53 | 0 | 50 | |||||||||||
0 | 17 | 0 | 21 | |||||||||||
0 | 23 | 0 | 14 | |||||||||||
0 | 14 | 0 | 31 | |||||||||||
0 | 14 | 0 | 9 | |||||||||||
0 | 2 | 0 | 1 | |||||||||||
6,277 | 8,618 | 1,705 | 4,405 | |||||||||||
23,106 | 40,467 | 12,571 | 37,303 | |||||||||||
2,656 | 15,279 | 6,524 | 22,224 | |||||||||||
(10,082 | ) | 3,201 | 1,054 | (12,005 | ) | |||||||||
3,762 | 560 | 3,414 | 4,880 | |||||||||||
(303 | ) | (615 | ) | 366 | 299 | |||||||||
(3,967 | ) | 18,425 | 11,358 | 15,398 | ||||||||||
(13,785 | ) | (14,479 | ) | (15,176 | ) | (19,834 | ) | |||||||
6,966 | (9,815 | ) | 11,385 | (21,462 | ) | |||||||||
(1,296 | ) | 3,839 | (3,395 | ) | 2,829 | |||||||||
(932 | ) | 285 | 20 | (27 | ) | |||||||||
(9,047 | ) | (20,170 | ) | (7,166 | ) | (38,494 | ) | |||||||
$ | 10,092 | $ | 38,722 | $ | 16,763 | $ | 14,207 |
ANNUAL REPORT | JUNE 30, 2015 | 19 |
Consolidated Statements of Operations
PIMCO Dynamic Credit Income Fund |
PIMCO Dynamic Income Fund |
|||||||||||||||
(Amounts in thousands) | Period from January 1, 2015 to June 30, 2015 (b) |
Year Ended December 31, 2014 |
Period from April 1, 2015 to June 30, 2015 (c) |
Year Ended March 31, 2015 |
||||||||||||
Investment Income: |
||||||||||||||||
Interest |
$ | 143,210 | $ | 320,629 | $ | 46,015 | $ | 192,003 | ||||||||
Dividends |
1,486 | 4,810 | 153 | 1,635 | ||||||||||||
Total Income |
144,696 | 325,439 | 46,168 | 193,638 | ||||||||||||
Expenses: |
||||||||||||||||
Management fees |
30,346 | 63,222 | 7,082 | 30,881 | ||||||||||||
Trustee fees and related expenses |
109 | 197 | 21 | 82 | ||||||||||||
Interest expense |
10,198 | 15,058 | 2,893 | 14,742 | ||||||||||||
Operating expenses pre-transition(a) |
||||||||||||||||
Custodian and accounting agent |
0 | 674 | 0 | 189 | ||||||||||||
Audit and tax services |
0 | 62 | 0 | 36 | ||||||||||||
Shareholder communications |
0 | 131 | 0 | 48 | ||||||||||||
New York Stock Exchange listing |
0 | 67 | 0 | 22 | ||||||||||||
Transfer agent |
0 | 17 | 0 | 11 | ||||||||||||
Legal |
0 | 86 | 0 | 30 | ||||||||||||
Insurance |
0 | 13 | 0 | 30 | ||||||||||||
Other expenses |
0 | 0 | 0 | 3 | ||||||||||||
Total Expenses |
40,653 | 79,527 | 9,996 | 46,074 | ||||||||||||
Net Investment Income |
104,043 | 245,912 | 36,172 | 147,564 | ||||||||||||
Net Realized Gain: |
||||||||||||||||
Investments in securities |
3,392 | 74,282 | 47,578 | 59,080 | ||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
8,644 | (61,931 | ) | (5,423 | ) | (9,188 | ) | |||||||||
Over the counter financial derivative instruments |
19,806 | 199 | (155 | ) | 43,219 | |||||||||||
Foreign currency |
(2,220 | ) | 372 | (4,680 | ) | (16,220 | ) | |||||||||
Net Realized Gain |
29,622 | 12,922 | 37,320 | 76,891 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||
Investments in securities |
21,192 | (134,022 | ) | (16,833 | ) | (92,447 | ) | |||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(294 | ) | 25,530 | 22,234 | (39,067 | ) | ||||||||||
Over the counter financial derivative instruments |
7,756 | 12,753 | (16,279 | ) | 28,389 | |||||||||||
Foreign currency assets and liabilities |
(10,131 | ) | 9,887 | (5,059 | ) | 4,083 | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) |
18,523 | (85,852 | ) | (15,937 | ) | (99,042 | ) | |||||||||
Net Increase in Net Assets Resulting from Operations |
$ | 152,188 | $ | 172,982 | $ | 57,555 | $ | 125,413 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | These expenses were incurred by the Fund prior to the close of business on September 5, 2014. Subsequent to the close of business on September 5, 2014, any such operating expenses are borne by PIMCO. |
(b) | Fiscal year end changed from December 31st to June 30th. |
(c) | Fiscal year end changed from March 31st to June 30th. |
20 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Statements of Changes in Net Assets
PCM Fund, Inc. | PIMCO Global StocksPLUS® & Income Fund |
|||||||||||||||||||||||
(Amounts in thousands) | Period from January 1, 2015 to June 30, 2015 (a) |
Year Ended December 31, 2014 |
Year Ended December 31, 2013 |
Period from April 1, 2015 to June 30, 2015 (b) |
Year Ended March 31, 2015 |
Year Ended March 31, 2014 |
||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||
Net investment income |
$ | 5,058 | $ | 10,813 | $ | 12,859 | $ | 3,559 | $ | 12,039 | $ | 14,425 | ||||||||||||
Net realized gain (loss) |
5,586 | 64 | 224 | 8,310 | (19,967 | ) | 25,860 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) |
(5,577 | ) | (4,000 | ) | (2,501 | ) | (5,604 | ) | 10,460 | (13,870 | ) | |||||||||||||
Net Increase in Net Assets Resulting from Operations |
5,067 | 6,877 | 10,582 | 6,265 | 2,532 | 26,415 | ||||||||||||||||||
Distributions to Shareholders: |
||||||||||||||||||||||||
From net investment income |
(5,537 | ) | (12,094 | ) | (12,602 | ) | (5,782 | ) | (23,021 | ) | (22,853 | ) | ||||||||||||
Total Distributions to Shareholders |
(5,537 | )(c) | (12,094 | ) | (12,602 | ) | (5,782 | )(c) | (23,021 | ) | (22,853 | ) | ||||||||||||
Fund Share Transactions**: |
||||||||||||||||||||||||
Issued as reinvestment of distributions |
72 | 178 | 231 | 391 | 1,690 | 1,661 | ||||||||||||||||||
Total Increase (Decrease) in Net Assets |
(398 | ) | (5,039 | ) | (1,789 | ) | 874 | (18,799 | ) | 5,223 | ||||||||||||||
Net Assets: |
||||||||||||||||||||||||
Beginning of year |
123,633 | 128,672 | 130,461 | 134,594 | 153,393 | 148,170 | ||||||||||||||||||
End of year* |
$ | 123,235 | $ | 123,633 | $ | 128,672 | $ | 135,468 | $ | 134,594 | $ | 153,393 | ||||||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | (681 | ) | $ | (540 | ) | $ | 15 | $ | (1,169 | ) | $ | (3,939 | ) | $ | (4,237 | ) | |||||||
** Fund Share Transactions: |
||||||||||||||||||||||||
Shares issued as reinvestment of distributions |
7 | 16 | 20 | 18 | 78 | 78 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Fiscal year end changed from December 31st to June 30th. |
(b) | Fiscal year end changed from March 31st to June 30th. |
(c) | Total distributions for the period ended June 30, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended June 30, 2015. |
ANNUAL REPORT | JUNE 30, 2015 | 21 |
Statements of Changes in Net Assets (Cont.)
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
|||||||||||||||||||||||
(Amounts in thousands) | Period from November 1, 2014 to June 30, 2015 (a) |
Year Ended October 31, 2014 |
Year Ended October 31, 2013 |
Period from February 1, 2015 to |
Year Ended January 31, 2015 |
Year Ended January 31, 2014 |
||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||
Net investment income |
$ | 23,106 | $ | 40,467 | $ | 42,569 | $ | 12,571 | $ | 37,303 | $ | 40,242 | ||||||||||||
Net realized gain (loss) |
(3,967 | ) | 18,425 | 11,347 | 11,358 | 15,398 | (3,220 | ) | ||||||||||||||||
Net change in unrealized appreciation (depreciation) |
(9,047 | ) | (20,170 | ) | 33 | (7,166 | ) | (38,494 | ) | (8,936 | ) | |||||||||||||
Net Increase in Net Assets Resulting from Operations |
10,092 | 38,722 | 53,949 | 16,763 | 14,207 | 28,086 | ||||||||||||||||||
Distributions to Shareholders: |
||||||||||||||||||||||||
From net investment income |
(34,865 | ) | (42,972 | ) | (42,006 | ) | (16,651 | ) | (42,226 | ) | (45,351 | ) | ||||||||||||
From net realized capital gains |
(11,498 | ) | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||
Tax basis return of capital |
(224 | ) | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||
Total Distributions to Shareholders |
(46,587 | )(c) | (42,972 | ) | (42,006 | ) | (16,651 | )(c) | (42,226 | ) | (45,351 | ) | ||||||||||||
Fund Share Transactions**: |
||||||||||||||||||||||||
Issued as reinvestment of distributions |
216 | 2,321 | 2,642 | 1,638 | 4,199 | 4,710 | ||||||||||||||||||
Total Increase (Decrease) in Net Assets |
(36,279 | ) | (1,929 | ) | 14,585 | 1,750 | (23,820 | ) | (12,555 | ) | ||||||||||||||
Net Assets: |
||||||||||||||||||||||||
Beginning of year |
424,632 | 426,561 | 411,976 | 355,942 | 379,762 | 392,317 | ||||||||||||||||||
End of year* |
$ | 388,353 | $ | 424,632 | $ | 426,561 | $ | 357,692 | $ | 355,942 | $ | 379,762 | ||||||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | (5,419 | ) | $ | 6,094 | $ | 7,629 | $ | 3,365 | $ | 2,692 | $ | (542 | ) | ||||||||||
** Fund Share Transactions: |
||||||||||||||||||||||||
Shares issued as reinvestment of distributions |
8 | 82 | 91 | 182 | 432 | 464 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Fiscal year end changed from October 31st to June 30th. |
(b) | Fiscal year end changed from January 31st to June 30th. |
(c) | Total distributions for the period ended June 30, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended June 30, 2015. |
22 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Statements of Changes in Net Assets
PIMCO Dynamic Credit Income Fund |
PIMCO Dynamic Income Fund |
|||||||||||||||||||||||
(Amounts in thousands) | Period from January 1, 2015 to June 30, 2015 (a) |
Year Ended December 31, 2014 |
Period from January 31, 2013 to December 31, 2013 |
Period from April 1, 2015 to June 30, 2015 (b) |
Year Ended March 31, 2015 |
Year Ended March 31, 2014 |
||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||
Net investment income |
$ | 104,043 | $ | 245,912 | $ | 182,615 | $ | 36,172 | $ | 147,564 | $ | 167,667 | ||||||||||||
Net realized gain (loss) |
29,622 | 12,922 | 75,578 | 37,320 | 76,891 | (42,257 | ) | |||||||||||||||||