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: December 31, 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). |
PIMCO Closed-End Funds
Semiannual Report
December 31, 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
Table of Contents
Page | ||||||||
2 | ||||||||
4 | ||||||||
16 | ||||||||
18 | ||||||||
19 | ||||||||
20 | ||||||||
21 | ||||||||
22 | ||||||||
24 | ||||||||
25 | ||||||||
26 | ||||||||
89 | ||||||||
109 | ||||||||
110 | ||||||||
Fund | Fund Summary |
Schedule of Investments |
||||||
9 | 27 | |||||||
10 | 34 | |||||||
11 | 44 | |||||||
12 | 55 | |||||||
13 | 64 | |||||||
14 | 78 |
Letter from the Chairman of the Board & President
Dear Shareholder:
The financial markets experienced periods of volatility during the reporting period. Investor sentiment was challenged at times given mixed economic data, uncertainties surrounding future global monetary policy, falling commodity prices and geopolitical issues.
For the six-month reporting period ended December 31, 2015
The U.S. economy expanded during the reporting period, but the pace was uneven. 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 3.9% annual pace during the second quarter of 2015. Economic activity then decelerated, as GDP grew at a 2.0% annual pace during the third quarter of 2015. Finally, the Commerce Departments initial reading released after the reporting period had ended showed that fourth quarter 2015 GDP grew at an annual pace of 0.7%.
After nearly a decade of highly accommodative monetary policy, the Federal Reserve (Fed) raised interest rates at its meeting in mid-December 2015. The Feds action pushed rates from a range between 0% and 0.25% to a range between 0.25% and 0.50%. In its official statement following the meeting, the Fed said, The Committee expects that economic conditions will evolve in a manner that will warrant only gradual increases in the federal funds rate; the federal funds rate is likely to remain, for some time, below levels that are expected to prevail in the longer run.
Economic activity outside the U.S. was mixed during the reporting period. 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 was expected to run until at least September 2016. In December 2015, continued economic headwinds prompted the ECB to extend its monthly bond-buying program by six months, until at least March 2017.
Commodities and emerging markets dominated the news over the reporting period. Crude oil declined from $64 to $37 between June and December, as OPEC continued pumping at close to full capacity and even as U.S. production started to contract. In August 2015, China surprised the markets by allowing its currency to depreciate by nearly 2% against the U.S. dollar, and then spent over $180 billion in foreign reserves over the course of the fourth quarter to support its currency. Meanwhile, Chinese equity markets continued their sharp sell-off, casting a shadow on global risk assets. Elsewhere in emerging markets, the Brazilian political and economic situation continued to deteriorate, culminating in Standard & Poors and Fitch downgrading Brazilian foreign currency debt rating to below investment grade.
Outlook
PIMCOs baseline view sees U.S. economic growth in the range of 2.0% - 2.5% over the next four quarters in line with the average growth rate of the U.S. economy during the current expansion and headline CPI (Consumer Price Index) inflation in a range of 1.5% - 2%. In PIMCOs view, given moderate global recovery and the strong U.S. dollar, there will be little if any boost to aggregate demand from international trade. On the positive side of the ledger, PIMCO believes that the recent budget agreement between Congress and President Obama will provide the U.S. economy a modest and unexpected fiscal boost from the increase in federal spending. With respect to the Fed, after Decembers initial rate hike, the market is pricing in two further quarter-point increases in 2016. PIMCO believes there is a risk that the Fed will deliver more rate hikes than the market is currently pricing in.
Overseas, PIMCOs baseline view for the eurozone is economic growth of around 1.5% over the next four quarters, with inflation from roughly zero in 2015 to about 1% in 2016. PIMCO believes that ECB quantitative easing will have a positive impact on loan growth. However, while net exports should benefit from the cumulative weakening of the
euro, it is PIMCOs belief that slower growth from the eurozones major trading partners may limit the contribution to growth from net exports in 2016. PIMCO sees the prospects of a modest pickup in Japanese growth to about 1% in
2 | PIMCO CLOSED-END FUNDS |
2016, versus an estimated 0.6% in 2015. In PIMCOs view, headline inflation will remain positive in 2016, but at around 0.5 - 1% is well below the Bank of Japans target of 2%.
In the following pages of this PIMCO Closed-End Funds Semiannual Report, please find specific details regarding investment performance and a discussion of factors that most affected the Funds performance over the six months ended December 31, 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.
Sincerely,
Hans W. Kertess | Peter G. Strelow | |
Chairman of the Board | President |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 3 |
Important Information About the Funds
4 | PIMCO CLOSED-END FUNDS |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 5 |
Important Information About the Funds (Cont.)
6 | PIMCO CLOSED-END FUNDS |
1 | Hereinafter, the terms Trustee or Trustees used herein shall refer to a Director or Directors of applicable Funds. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 7 |
Important Information About the Funds (Cont.)
8 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PCM |
Average Annual Total Return(1) for the period ended December 31, 2015 | ||||||||||||||||||||
6 Month* | 1 Year | 5 Year | 10 Year | Commencement of Operations (09/02/93) |
||||||||||||||||
Market Price | (3.38)% | (4.62)% | 6.78% | 6.75% | 7.90% | |||||||||||||||
NAV | (3.68)% | 0.37% | 10.23% | 9.52% | 8.79% |
All Fund returns are net of fees and expenses.
* Cumulative return
(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 total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | PCM Funds primary investment objective is to achieve high current income. Capital gains from the disposition of investments are a secondary objective of the Fund. |
Fund Insights
» | For the period from July 1, 2015 through December 31, 2015, the Funds allocation to high yield corporate bonds was the primary detractor from performance. The asset class sold off amid broad commodity weakness and retail fund outflows late in the reporting period. |
» | Within high yield, the Funds exposure to energy, as well as select names in media and telecommunications, were the key detractors. Exposure to utilities, manufacturing and raw materials credits further dampened returns. |
» | The Funds allocation to commercial mortgage-backed securities was a significant contributor to performance, supported by their attractive carry, the rate of interest earned by holding the respective securities. |
» | The Funds exposure to U.S. interest rates was a significant contributor to performance, due mainly to an emphasis on the intermediate portion of the curve, which provided an attractive carry during a period when rates were mostly flat. |
» | The Funds allocation to non-agency mortgage-backed securities was a modest contributor to returns. The sector continued to benefit from an improving U.S. housing market and limited outstanding supply. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 9 |
PIMCO Global StocksPLUS® & Income Fund
Symbol on NYSE - PGP |
Average Annual Total Return(1) for the period ended December 31, 2015 | ||||||||||||||||||||
6 Month* | 1 Year | 5 Year | 10 Year | Commencement of Operations (05/31/05) |
||||||||||||||||
Market Price | 14.55% | 5.41% | 7.65% | 12.92% | 11.79% | |||||||||||||||
NAV | (7.30)% | 0.60% | 11.60% | 10.83% | 11.28% |
All Fund returns are net of fees and expenses.
* Cumulative return
(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 total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | PIMCO Global StocksPLUS® & Income Funds primary investment objective is to seek total return comprised of current income, current gains and long-term capital appreciation. |
Fund Insights
» | Exposure to the S&P 500 Index and the MSCI EAFE Index through equity index derivatives was a primary detractor from absolute returns. During the reporting period, international equities (as represented by the MSCI EAFE Index) declined -6.01% and U.S. equities (as represented by the S&P 500 Index) were basically flat. |
» | The fixed income portfolio that backs the equity index derivatives also detracted from returns, alongside weakness in corporate and emerging market credits. |
» | Exposure to high yield corporate bonds had a major negative impact on performance. High yield spreads widened amid broad commodity weakness and retail fund outflows late in the reporting period. Corporate credits associated with energy and raw materials, as well as select names in manufacturing, media and telecommunications, were among the worst performers. |
» | Exposure to local and hard currency-denominated Brazilian debt was another significant detractor from returns. During the reporting period, Brazil was negatively impacted by its slowing economy, high inflation and a political crisis. |
» | A yield curve-steepening strategy implemented through U.S. dollar interest rate swaps detracted from performance as the swap curve flattened. |
» | Exposure to residential non-agency mortgages added modestly to performance, as these securities benefited from an improving housing market and limited supply. |
» | A defensive option strategy involving written at-the-money calls and purchased out-of-the-money puts on S&P 500 futures contracts had a positive impact on performance. |
10 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PKO |
Average Annual Total Return(1) for the period ended December 31, 2015 | ||||||||||||||||
6 Month* | 1 Year | 5 Year | Commencement of Operations (11/30/07) |
|||||||||||||
Market Price | (5.86)% | (4.91)% | 8.18% | 9.92% | ||||||||||||
NAV | (6.41)% | (1.70)% | 9.42% | 11.49% |
All Fund returns are net of fees and expenses.
* Cumulative return
(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 total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | PIMCO Income Opportunity Funds primary investment objective is to seek current income as a primary focus and also capital appreciation. |
Fund Insights
» | For the period from July 1, 2015 through December 31, 2015, the Funds allocation to high yield corporate bonds was the primary detractor from performance, as the asset class struggled amid broad commodity weakness and retail fund outflows late in the reporting period. |
» | Within high yield, exposure to banking and brokerage, utilities, energy, telecommunications, media, raw materials and manufacturing credits detracted from results. |
» | Exposure to local and hard currency-denominated Brazilian debt was a major detractor from returns. Brazil was negatively impacted by its slowing economy, high inflation and a political crisis. |
» | The Funds exposure to U.S. dollar-denominated Russian quasi-sovereign bonds contributed meaningfully to returns. Spreads on these issues continued to retrace much of the widening that occurred during the second half of 2014 as geopolitical tensions in the region eased and investor sentiment improved. |
» | The Funds exposure to U.S. interest rates was modestly positive for performance given the carry, the rate of interest earned by holding the respective securities, associated with such exposure. This positive impact, however, was partially offset by strategies designed to benefit from rising long-term interest rates, as long-term yields fell during the reporting period. |
» | The Funds allocation to securitized credit was a modest contributor to performance. Positive contributions from commercial mortgage-backed securities, structured credit and lower-beta non-agency residential mortgage-backed securities were partially offset by negative contributions from higher-beta non-agency residential mortgage-backed securities. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 11 |
PIMCO Strategic Income Fund, Inc.
Symbol on NYSE - RCS |
Average Annual Total Return(1) for the period ended December 31, 2015 | ||||||||||||||||||||
6 Month* | 1 Year | 5 Year | 10 Year | Commencement of Operations (02/24/94) |
||||||||||||||||
Market Price | 9.45% | 5.96% | 9.15% | 10.22% | 8.93% | |||||||||||||||
NAV | (0.36)% | 3.89% | 8.97% | 10.37% | 8.62% |
All Fund returns are net of fees and expenses.
* Cumulative return
(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 total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | 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. |
Fund Insights
» | For the period from July 1, 2015 through December 31, 2015, the Funds allocation to securitized credit was a primary contributor to performance. In particular, the positive contribution from exposure to both agency and non-agency residential mortgage-backed securities boosted returns given an improving U.S. housing market. |
» | The Funds exposure to local and hard currency-denominated Brazilian debt was a major detractor from returns. Brazil was negatively impacted by its slowing economy, high inflation and a political crisis. |
» | The Funds exposure to U.S. interest rates was substantially negative for performance. In particular, strategies designed to benefit from rising long-term interest rates hurt performance as long-term yields fell during the reporting period. |
» | The Funds allocation to high yield corporate bonds modestly detracted from performance. The asset class struggled amid broad commodity weakness and retail fund outflows late in the reporting period. |
» | The Funds exposure to U.S. dollar-denominated Russian quasi-sovereign bonds contributed meaningfully to returns. Spreads on these issues continued to retrace much of the widening that occurred during the second half of 2014 as geopolitical tensions in the region eased and investor sentiment improved. |
» | Within investment grade credit, exposure to banking/brokerage and utilities modestly contributed to returns, as balance sheet strengthening and improving profitability in the former and the defensive nature of the latter benefited the Fund. |
12 | PIMCO CLOSED-END FUNDS |
PIMCO Dynamic Credit Income Fund
Symbol on NYSE - PCI |
Average Annual Total Return(1) for the period ended December 31, 2015 | ||||||||||||
6 Month* | 1 Year | Commencement of Operations (01/31/13) |
||||||||||
Market Price | (4.74)% | (2.62)% | (0.97)% | |||||||||
NAV | (6.18)% | (1.53)% | 4.25% |
All Fund returns are net of fees and expenses.
* Cumulative return
(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 total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | PIMCO Dynamic Credit Income Funds primary investment objective is to seek current income, with capital appreciation as a secondary objective. |
Fund Insights
» | For the period July 1, 2015 through December 31, 2015, the Funds allocation to high yield corporate bonds was the primary detractor from performance, as the asset class struggled amid broad commodity weakness and retail fund outflows late in the reporting period. |
» | Exposure to local and hard currency-denominated Brazilian debt was a significant detractor from returns. Brazil was negatively impacted by its slowing economy, high inflation and a political crisis. |
» | The Funds allocation to securitized credit detracted from performance. On the upside, positions in prime and lower-beta non-agency residential mortgage-backed securities and commercial mortgage-back securities contributed to returns. However, this was more than offset by weakness in the Funds higher-beta non-agency residential mortgage-backed securities. |
» | The Funds exposure to dollar-denominated Russian quasi-sovereign bonds had a positive impact on performance. The spreads on these issues continued to retrace much of the widening that occurred during the second half of 2014, as geopolitical tensions in the region eased and investor sentiment improved. |
» | The Funds exposure to U.S. interest rates was modestly positive for performance given the carry, the rate of interest earned by holding the respective securities, associated with such exposure. This positive impact, however, was partially offset by strategies designed to benefit from rising long-term interest rates, as long-term yields fell during the reporting period. |
» | Within investment grade credit, exposure to banking/brokerage and utilities modestly contributed to returns, as balance sheet strengthening and improving profitability in the former and the defensive nature of the latter benefited the Fund. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 13 |
Symbol on NYSE - PDI |
Average Annual Total Return(1) for the period ended December 31, 2015 | ||||||||||||
6 Month* | 1 Year | Commencement of Operations (05/30/12) |
||||||||||
Market Price | 7.31% | 6.16% | 17.12% | |||||||||
NAV | (0.96)% | 4.54% | 18.56% |
All Fund returns are net of fees and expenses.
* Cumulative return
(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 total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | PIMCO Dynamic Income Funds primary investment objective is to seek current income, with capital appreciation as a secondary objective. |
Fund Insights
» | For the period July 1, 2015 through December 31, 2015, exposure to local and hard currency-denominated Brazilian debt was a primary detractor from returns. Brazil was negatively impacted by its slowing economy, high inflation and a political crisis. |
» | The Funds allocation to high yield corporate bonds significantly detracted from performance, as the asset class struggled amid broad commodity weakness and retail fund outflows late in the reporting period. |
» | The Funds allocation to securitized credit contributed to performance. Positions in prime and lower-beta non-agency residential mortgage-backed securities and commercial mortgage-back securities contributed to returns. However, this was partially offset by weakness in the Funds higher-beta non-agency residential mortgage-backed securities. |
» | The Funds exposure to dollar-denominated Russian quasi-sovereign bonds had a positive impact on performance. The spreads on these issues continued to retrace much of the widening that occurred during the second half of 2014, as geopolitical tensions in the region eased and investor sentiment improved. |
» | Within investment grade credit, exposure to banking/brokerage and utilities modestly contributed to returns, as balance sheet strengthening and improving profitability in the former and the defensive nature of the latter benefited the Fund. |
» | The Funds exposure to U.S. interest rates was modestly positive for performance given the carry, the rate of interest earned by holding the respective securities, associated with such exposure. This positive impact, however, was partially offset by strategies designed to benefit from rising long-term interest rates, as long-term yields fell during the reporting period. |
14 | PIMCO CLOSED-END FUNDS |
(THIS PAGE INTENTIONALLY LEFT BLANK)
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 15 |
Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||
Net Asset Value Beginning of Year or Period |
Net Investment Income (a) |
Net Realized/ Unrealized Gain (Loss) |
Total | From
Net Investment Income (b) |
From Net Realized Capital (Loss) (b) |
Tax Basis Return of Capital (b) |
Total | |||||||||||||||||||||||||||
PCM Fund, Inc. |
||||||||||||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 10.68 | $ | 0.42 | $ | (0.80 | ) | $ | (0.38 | ) | $ | (0.48 | ) | $ | 0.00 | $ | 0.00 | $ | (0.48 | ) | ||||||||||||||
01/01/2015 - 06/30/2015(e) |
10.72 | 0.44 | 0.00 | ^ | 0.44 | (0.48 | ) | 0.00 | 0.00 | (0.48 | )(j) | |||||||||||||||||||||||
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 |
||||||||||||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 12.88 | $ | 0.52 | $ | (1.42 | ) | $ | (0.90 | ) | $ | (1.10 | ) | $ | 0.00 | $ | 0.00 | $ | (1.10 | ) | ||||||||||||||
04/01/2015 - 06/30/2015(f) |
12.82 | 0.34 | 0.27 | 0.61 | (0.55 | ) | 0.00 | 0.00 | (0.55 | )(j) | ||||||||||||||||||||||||
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 |
||||||||||||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 25.94 | $ | 1.11 | $ | (2.72 | ) | $ | (1.61 | ) | $ | (1.14 | ) | $ | (0.51 | ) | $ | 0.00 | $ | (1.65 | ) | |||||||||||||
11/01/2014 - 06/30/2015(g) |
28.38 | 1.54 | (0.86 | ) | 0.68 | (2.34 | ) | (0.77 | ) | (0.01 | ) | (3.12 | )(j) | |||||||||||||||||||||
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. |
||||||||||||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 8.58 | $ | 0.35 | $ | (0.38 | ) | $ | (0.03 | ) | $ | (0.52 | ) | $ | 0.00 | $ | 0.00 | $ | (0.52 | ) | ||||||||||||||
02/01/2015 - 06/30/2015(h) |
8.57 | 0.30 | 0.11 | 0.41 | (0.40 | ) | 0.00 | 0.00 | (0.40 | )(j) | ||||||||||||||||||||||||
01/31/2015 |
9.24 | 0.90 | (0.55 | ) | 0.35 | (1.02 | ) | 0.00 | 0.00 | (1.02 | ) | |||||||||||||||||||||||
01/31/2014 |
9.66 | 0.99 | (0.30 | ) | 0.69 | (1.11 | ) | 0.00 | 0.00 | (1.11 | ) | |||||||||||||||||||||||
01/31/2013 |
8.91 | 1.05 | 0.95 | 2.00 | (1.25 | ) | 0.00 | 0.00 | (1.25 | ) | ||||||||||||||||||||||||
01/31/2012 |
9.97 | 1.36 | (1.03 | ) | 0.33 | (1.39 | ) | 0.00 | 0.00 | (1.39 | ) | |||||||||||||||||||||||
01/31/2011 |
9.08 | 1.27 | 1.04 | 2.31 | (1.42 | ) | 0.00 | 0.00 | (1.42 | ) | ||||||||||||||||||||||||
PIMCO Dynamic Credit Income Fund (Consolidated) |
||||||||||||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 23.00 | $ | 0.57 | $ | (1.95 | ) | $ | (1.38 | ) | $ | (1.20 | ) | $ | 0.00 | $ | 0.00 | $ | (1.20 | ) | ||||||||||||||
01/01/2015 - 06/30/2015(e) |
22.83 | 0.76 | 0.35 | 1.11 | (0.94 | ) | 0.00 | 0.00 | (0.94 | )(j) | ||||||||||||||||||||||||
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) |
||||||||||||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 31.38 | $ | 1.44 | $ | (1.74 | ) | $ | (0.30 | ) | $ | (2.92 | ) | $ | (0.99 | ) | $ | 0.00 | $ | (3.91 | ) | |||||||||||||
04/01/2015 - 06/30/2015(f) |
30.74 | 0.80 | 0.47 | 1.27 | (0.63 | ) | 0.00 | 0.00 | (0.63 | )(j) | ||||||||||||||||||||||||
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 | ) |
+ | Unaudited |
* | 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) | Determined in accordance with federal income tax regulations, see Note 2(c) in the Notes to Financial Statements for more information. |
(c) | 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 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. |
16 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Common Share | Ratios/Supplemental Data | |||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||
Offering Cost Charged to Paid in Capital in Excess of Par |
Net Asset Value End of Year or Period |
Market Price End of Year or Period |
Total Investment Return (c) |
Net Assets End of Year or Period (000s) |
Expenses (d) | Expenses Excluding Interest Expense (d) |
Expenses Excluding Interest Expense and Waivers |
Net Investment Income |
Portfolio Turnover Rate |
|||||||||||||||||||||||||||||||
$ | N/A | $ | 9.82 | $ | 9.24 | (3.38 | )% | $ | 113,316 | 2.54 | %* | 1.58 | %* | 1.58 | %* | 8.00 | %* | 9 | % | |||||||||||||||||||||
N/A | 10.68 | 10.05 | (1.28 | ) | 123,235 | 2.26 | * | 1.54 | * | 1.54 | * | 8.32 | * | 20 | ||||||||||||||||||||||||||
N/A | 10.72 | 10.65 | 0.34 | 123,633 | 1.89 | 1.40 | 1.40 | 8.38 | 11 | |||||||||||||||||||||||||||||||
N/A | 11.17 | 11.65 | 6.49 | 128,672 | 2.05 | 1.52 | 1.52 | 9.75 | 6 | |||||||||||||||||||||||||||||||
N/A | 11.35 | 12.02 | 23.34 | 130,461 | 2.59 | 1.76 | 1.76 | 10.05 | 13 | |||||||||||||||||||||||||||||||
N/A | 9.48 | 10.77 | 10.43 | 108,810 | 2.44 | 1.75 | 1.75 | 11.30 | 26 | |||||||||||||||||||||||||||||||
N/A | 9.88 | 10.80 | 54.01 | 113,020 | 2.41 | 1.75 | 1.75 | 11.91 | 28 | |||||||||||||||||||||||||||||||
$ | N/A | $ | 10.88 | $ | 18.12 | 14.55 | % | $ | 115,016 | 2.45 | %* | 1.73 | %* | 1.73 | %* | 8.58 | %* | 9 | % | |||||||||||||||||||||
N/A | 12.88 | 16.92 | (21.82 | ) | 135,468 | 2.34 | * | 1.72 | * | 1.72 | * | 10.35 | * | 3 | ||||||||||||||||||||||||||
N/A | 12.82 | 22.27 | 4.05 | 134,594 | 2.30 | 1.78 | 1.78 | 8.29 | 92 | |||||||||||||||||||||||||||||||
N/A | 14.72 | 23.67 | 19.44 | 153,393 | 1.94 | 1.67 | 1.67 | 9.62 | 197 | |||||||||||||||||||||||||||||||
N/A | 14.32 | 21.95 | 21.57 | 148,170 | 2.64 | 2.10 | 2.10 | 10.75 | 33 | |||||||||||||||||||||||||||||||
N/A | 12.57 | 20.18 | (8.00 | ) | 128,952 | 2.71 | 2.12 | 2.12 | 12.70 | 90 | ||||||||||||||||||||||||||||||
N/A | 14.88 | 24.48 | 43.45 | 150,881 | 2.81 | 2.20 | 2.20 | 13.07 | 80 | |||||||||||||||||||||||||||||||
$ | N/A | $ | 22.68 | $ | 21.17 | (5.86 | )% | $ | 339,424 | 2.50 | %* | 1.72 | %* | 1.72 | %* | 8.78 | %* | 5 | % | |||||||||||||||||||||
N/A | 25.94 | 24.20 | 0.22 | 388,353 | 2.43 | * | 1.79 | * | 1.79 | * | 8.93 | * | 14 | |||||||||||||||||||||||||||
N/A | 28.38 | 27.26 | 4.39 | 424,632 | 2.01 | 1.65 | 1.65 | 9.44 | 175 | |||||||||||||||||||||||||||||||
N/A | 28.67 | 28.90 | 6.81 | 426,561 | 1.93 | 1.66 | 1.66 | 10.03 | 65 | |||||||||||||||||||||||||||||||
N/A | 27.86 | 29.85 | 26.98 | 411,976 | 2.29 | 1.86 | 1.86 | 10.38 | 57 | |||||||||||||||||||||||||||||||
N/A | 24.62 | 26.45 | 11.68 | 359,909 | 2.44 | 1.93 | 1.93 | 12.40 | 194 | |||||||||||||||||||||||||||||||
N/A | 26.97 | 26.92 | 39.51 | 391,730 | 2.36 | 1.86 | 1.86 | 13.07 | 77 | |||||||||||||||||||||||||||||||
$ | N/A | $ | 8.03 | $ | 8.95 | 9.45 | % | $ | 336,374 | 1.24 | %* | 0.96 | %* | 0.96 | %* | 8.31 | %* | 35 | % | |||||||||||||||||||||
N/A | 8.58 | 8.69 | (5.81 | ) | 357,692 | 1.16 | * | 0.96 | * | 0.96 | * | 8.58 | * | 17 | ||||||||||||||||||||||||||
N/A | 8.57 | 9.65 | 5.92 | 355,942 | 1.18 | 0.98 | 0.98 | 10.01 | 90 | |||||||||||||||||||||||||||||||
N/A | 9.24 | 10.12 | (4.58 | ) | 379,762 | 1.39 | 1.00 | 1.00 | 10.48 | 208 | ||||||||||||||||||||||||||||||
N/A | 9.66 | 11.84 | 12.21 | 392,317 | 1.55 | 1.00 | 1.00 | 11.14 | 293 | |||||||||||||||||||||||||||||||
N/A | 8.91 | 11.80 | 28.34 | 357,712 | 1.48 | 1.01 | 1.01 | 14.27 | 147 | |||||||||||||||||||||||||||||||
N/A | 9.97 | 10.44 | 11.82 | 394,695 | 1.43 | 1.04 | 1.04 | 12.98 | 168 | |||||||||||||||||||||||||||||||
$ | N/A | $ | 20.42 | $ | 18.03 | (4.74 | )% | $ | 2,801,620 | 2.95 | %* | 1.99 | %* | 1.99 | %* | 5.12 | %* | 14 | % | |||||||||||||||||||||
N/A | 23.00 | 20.18 | 2.23 | 3,155,689 | 2.63 | * | 1.97 | * | 1.97 | * | 6.71 | * | 31 | |||||||||||||||||||||||||||
(0.00 | )^ | 22.83 | 20.65 | 2.68 | 3,132,146 | 2.36 | 1.91 | 1.91 | 7.29 | 35 | ||||||||||||||||||||||||||||||
(0.01 | ) | 24.04 | 22.48 | (2.79 | ) | 3,298,673 | 1.52 | * | 1.42 | * | 1.42 | * | 6.06 | * | 76 | |||||||||||||||||||||||||
$ | N/A | $ | 27.17 | $ | 27.36 | 7.31 | % | $ | 1,246,052 | 3.34 | %* | 2.07 | %* | 2.07 | %* | 9.29 | %* | 6 | % | |||||||||||||||||||||
N/A | 31.38 | 29.21 | 2.87 | 1,426,891 | 2.83 | * | 2.01 | * | 2.01 | * | 10.23 | * | 5 | |||||||||||||||||||||||||||
N/A | 30.74 | 29.00 | 9.04 | 1,397,987 | 3.12 | 2.12 | 2.12 | 9.97 | 10 | |||||||||||||||||||||||||||||||
N/A | 32.11 | 30.32 | 9.62 | 1,458,961 | 3.15 | 2.17 | 2.17 | 11.90 | 18 | |||||||||||||||||||||||||||||||
(0.03 | ) | 30.69 | 31.10 | 35.21 | 1,393,099 | 2.91 | * | 2.04 | * | 2.04 | * | 12.04 | * | 16 |
(d) | Interest expense primarily relates to participation in borrowing and financing transactions. See Note 5 in the Notes to Financial Statements for more information. |
(e) | Fiscal year end changed from December 31st to June 30th. |
(f) | Fiscal year end changed from March 31st to June 30th. |
(g) | Fiscal year end changed from October 31st to June 30th. |
(h) | Fiscal year end changed from January 31st to June 30th. |
(i) | 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. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 17 |
Statements of Assets and Liabilities
(Unaudited)
December 31, 2015
(Amounts in thousands, except per share amounts) | PIMCO PCM Fund, Inc. |
PIMCO Global StocksPLUS® & Income Fund |
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
||||||||||||
Assets: |
||||||||||||||||
Investments, at value |
||||||||||||||||
Investments in securities* |
$ | 195,235 | $ | 170,159 | $ | 552,769 | $ | 870,919 | ||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
8 | 1,220 | 16 | 92 | ||||||||||||
Over the counter |
0 | 693 | 507 | 1,171 | ||||||||||||
Cash |
12 | 280 | 0 | 439 | ||||||||||||
Deposits with counterparty |
591 | 28,381 | 2,918 | 12,724 | ||||||||||||
Foreign currency, at value |
0 | 69 | 189 | 140 | ||||||||||||
Receivable for investments sold |
2,578 | 7,568 | 10,703 | 2 | ||||||||||||
Receivable for mortgage dollar rolls |
0 | 0 | 0 | 299,865 | ||||||||||||
Interest and dividends receivable |
1,110 | 1,384 | 4,329 | 3,369 | ||||||||||||
Other assets |
2 | 2 | 3 | 9 | ||||||||||||
Total Assets |
199,536 | 209,756 | 571,434 | 1,188,730 | ||||||||||||
Liabilities: |
||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||
Payable for reverse repurchase agreements |
$ | 82,849 | $ | 75,066 | $ | 211,969 | $ | 122,275 | ||||||||
Payable for sale-buyback transactions |
0 | 0 | 0 | 57,103 | ||||||||||||
Payable for mortgage dollar rolls |
0 | 0 | 0 | 299,865 | ||||||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
13 | 2,421 | 248 | 1,062 | ||||||||||||
Over the counter |
1,661 | 6,881 | 12,492 | 2,726 | ||||||||||||
Payable for investments purchased |
582 | 7,840 | 2,850 | 452 | ||||||||||||
Payable for TBA investments purchased |
0 | 0 | 0 | 364,210 | ||||||||||||
Deposits from counterparty |
0 | 399 | 210 | 840 | ||||||||||||
Distributions payable to common shareholders |
923 | 1,938 | 2,844 | 3,350 | ||||||||||||
Overdraft due to custodian |
0 | 0 | 849 | 0 | ||||||||||||
Accrued management fees |
169 | 194 | 548 | 299 | ||||||||||||
Other liabilities |
23 | 1 | 0 | 174 | ||||||||||||
Total Liabilities |
86,220 | 94,740 | 232,010 | 852,356 | ||||||||||||
Net Assets |
$ | 113,316 | $ | 115,016 | $ | 339,424 | $ | 336,374 | ||||||||
Net Assets Consist of: |
||||||||||||||||
Shares: |
||||||||||||||||
Par value ($0.001 per share), ($0.00001 per share), ($0.00001 per share), ($0.00001 per share) |
$ | 12 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Paid in capital in excess of par |
125,541 | 232,983 | 343,103 | 427,496 | ||||||||||||
(Overdistributed) net investment income |
(1,363 | ) | (7,315 | ) | (5,932 | ) | (3,651 | ) | ||||||||
Accumulated undistributed net realized (loss) |
(13,722 | ) | (131,019 | ) | (2,705 | ) | (97,728 | ) | ||||||||
Net unrealized appreciation |
2,848 | 20,367 | 4,958 | 10,257 | ||||||||||||
$ | 113,316 | $ | 115,016 | $ | 339,424 | $ | 336,374 | |||||||||
Common Shares Issued and Outstanding |
11,538 | 10,567 | 14,968 | 41,890 | ||||||||||||
Net Asset Value Per Common Share |
$ | 9.82 | $ | 10.88 | $ | 22.68 | $ | 8.03 | ||||||||
Cost of investments in securities |
$ | 192,280 | $ | 160,925 | $ | 542,704 | $ | 860,061 | ||||||||
Cost of foreign currency held |
$ | 0 | $ | 70 | $ | 195 | $ | 139 | ||||||||
Cost or premiums of financial derivative instruments, net |
$ | (1,676 | ) | $ | (692 | ) | $ | (6,418 | ) | $ | (762 | ) | ||||
* Includes repurchase agreements of: |
$ | 268 | $ | 983 | $ | 0 | $ | 3,612 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
18 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Statements of Assets and Liabilities
(Unaudited)
December 31, 2015
(Amounts in thousands, except per share amounts) | PIMCO Dynamic Credit Income Fund |
PIMCO Dynamic Income Fund |
||||||
Assets: |
||||||||
Investments, at value |
||||||||
Investments in securities* |
$ | 4,880,995 | $ | 2,326,446 | ||||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
3,465 | 1,130 | ||||||
Over the counter |
36,343 | 6,844 | ||||||
Cash |
0 | 5,961 | ||||||
Deposits with counterparty |
46,042 | 20,687 | ||||||
Foreign currency, at value |
23,790 | 189 | ||||||
Receivable for investments sold |
48,394 | 22,968 | ||||||
Interest and dividends receivable |
30,598 | 13,042 | ||||||
Other assets |
12 | 5 | ||||||
Total Assets |
5,069,639 | 2,397,272 | ||||||
Liabilities: |
||||||||
Borrowings & Other Financing Transactions |
||||||||
Payable for reverse repurchase agreements |
$ | 2,134,233 | $ | 1,100,940 | ||||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
4,071 | 1,921 | ||||||
Over the counter |
46,343 | 17,335 | ||||||
Payable for investments purchased |
26,644 | 11,614 | ||||||
Deposits from counterparty |
27,037 | 6,810 | ||||||
Distributions payable to common shareholders |
22,513 | 10,028 | ||||||
Overdraft due to custodian |
1,844 | 0 | ||||||
Accrued management fees |
5,333 | 2,572 | ||||||
Other liabilities |
1 | 0 | ||||||
Total Liabilities |
2,268,019 | 1,151,220 | ||||||
Net Assets Applicable to Common Shareholders |
$ | 2,801,620 | $ | 1,246,052 | ||||
Composition of Net Assets Applicable to Common Shareholders: |
||||||||
Par value ($0.00001 per share) |
$ | 1 | $ | 0 | ||||
Paid in capital in excess of par |
3,274,224 | 1,096,765 | ||||||
(Overdistributed) net investment income |
(94,646 | ) | (32,279 | ) | ||||
Accumulated undistributed net realized gain (loss) |
(68,411 | ) | 11,659 | |||||
Net unrealized appreciation (depreciation) |
(309,548 | ) | 169,907 | |||||
$ | 2,801,620 | $ | 1,246,052 | |||||
Common Shares Issued and Outstanding |
137,221 | 45,851 | ||||||
Net Asset Value Per Common Share |
$ | 20.42 | $ | 27.17 | ||||
Cost of investments in securities |
$ | 5,161,818 | $ | 2,175,482 | ||||
Cost of foreign currency held |
$ | 23,768 | $ | 187 | ||||
Cost or premiums of financial derivative instruments, net |
$ | 1,590 | $ | (27,080 | ) | |||
* Includes repurchase agreements of: |
$ | 49,000 | $ | 62,569 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 19 |
Six Months Ended December 31, 2015 (Unaudited) | ||||||||||||||||
(Amounts in thousands) | PIMCO PCM Fund, Inc. |
PIMCO Global StocksPLUS® & Income Fund |
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
||||||||||||
Investment Income: |
||||||||||||||||
Interest, net of foreign taxes* |
$ | 6,396 | $ | 6,997 | $ | 20,669 | $ | 16,916 | ||||||||
Dividends |
2 | 14 | 592 | 7 | ||||||||||||
Total Income |
6,398 | 7,011 | 21,261 | 16,923 | ||||||||||||
Expenses: |
||||||||||||||||
Management fees |
955 | 1,095 | 3,219 | 1,692 | ||||||||||||
Trustee fees and related expenses |
5 | 5 | 26 | 16 | ||||||||||||
Interest expense |
582 | 455 | 1,465 | 495 | ||||||||||||
Total Expenses |
1,542 | 1,555 | 4,710 | 2,203 | ||||||||||||
Net Investment Income |
4,856 | 5,456 | 16,551 | 14,720 | ||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||
Investments in securities |
1,899 | 989 | 3,346 | 2,529 | ||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(133 | ) | (9,980 | ) | (3,342 | ) | (9,216 | ) | ||||||||
Over the counter financial derivative instruments |
3,324 | 1,835 | 9,659 | 3,176 | ||||||||||||
Foreign currency |
0 | 2 | 271 | (15 | ) | |||||||||||
Net Realized Gain (Loss) |
5,090 | (7,154 | ) | 9,934 | (3,526 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||
Investments in securities |
(10,980 | ) | (10,022 | ) | (36,303 | ) | (12,572 | ) | ||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(95 | ) | 7,155 | 313 | 804 | |||||||||||
Over the counter financial derivative instruments |
(3,252 | ) | (5,436 | ) | (15,782 | ) | (611 | ) | ||||||||
Foreign currency assets and liabilities |
0 | 357 | 1,056 | (29 | ) | |||||||||||
Net Change in Unrealized (Depreciation) |
(14,327 | ) | (7,946 | ) | (50,716 | ) | (12,408 | ) | ||||||||
Net (Decrease) in Net Assets Resulting from Operations |
$ | (4,381 | ) | $ | (9,644 | ) | $ | (24,231 | ) | $ | (1,214 | ) | ||||
* Foreign tax withholdings |
$ | 0 | $ | 0 | $ | 1 | $ | 0 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
20 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Statements of Operations
Six Months Ended December 31, 2015 (Unaudited) | ||||||||
(Amounts in thousands) | PIMCO Dynamic Credit Income Fund |
PIMCO Dynamic Income Fund |
||||||
Investment Income: |
||||||||
Interest, net of foreign taxes* |
$ | 124,287 | $ | 88,732 | ||||
Dividends |
0 | 336 | ||||||
Total Income |
124,287 | 89,068 | ||||||
Expenses: |
||||||||
Management fees |
30,305 | 14,450 | ||||||
Trustee fees and related expenses |
197 | 94 | ||||||
Interest expense |
14,840 | 8,971 | ||||||
Miscellaneous Expense |
91 | 61 | ||||||
Total Expenses |
45,433 | 23,576 | ||||||
Net Investment Income |
78,854 | 65,492 | ||||||
Net Realized Gain (Loss): |
||||||||
Investments in securities |
(46,446 | ) | (9,365 | ) | ||||
Exchange-traded or centrally cleared financial derivative instruments |
17,690 | 2,409 | ||||||
Over the counter financial derivative instruments |
34,869 | 25,445 | ||||||
Foreign currency |
(1,685 | ) | (824 | ) | ||||
Net Realized Gain |
4,428 | 17,665 | ||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||
Investments in securities |
(228,517 | ) | (85,201 | ) | ||||
Exchange-traded or centrally cleared financial derivative instruments |
(29,151 | ) | (10,246 | ) | ||||
Over the counter financial derivative instruments |
(26,922 | ) | (5,918 | ) | ||||
Foreign currency assets and liabilities |
11,733 | 5,153 | ||||||
Net Change in Unrealized (Depreciation) |
(272,857 | ) | (96,212 | ) | ||||
Net (Decrease) in Net Assets Resulting from Operations |
$ | (189,575 | ) | $ | (13,055 | ) | ||
* Foreign tax withholdings |
$ | 12 | $ | 0 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 21 |
Statements of Changes in Net Assets
PCM Fund, Inc. | PIMCO Global StocksPLUS® & Income Fund | |||||||||||||||||||||||||
(Amounts in thousands) | Six Months Ended December 31, 2015 |
Period
from January 1, 2015 to June 30, 2015 (a) |
Year Ended December 31, 2014 |
Six Months Ended December 31, 2015 |
Period from |
Year Ended March 31, 2015 |
||||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||||
Net investment income |
$ | 4,856 | $ | 5,058 | $ | 10,813 | $ | 5,456 | $ | 3,559 | $ | 12,039 | ||||||||||||||
Net realized gain (loss) |
5,090 | 5,586 | 64 | (7,154 | ) | 8,310 | (19,967 | ) | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) |
(14,327 | ) | (5,577 | ) | (4,000 | ) | (7,946 | ) | (5,604 | ) | 10,460 | |||||||||||||||
Net Increase (Decrease) in Net assets Resulting from Operations |
(4,381 | ) | 5,067 | 6,877 | (9,644 | ) | 6,265 | 2,532 | ||||||||||||||||||
Distributions to Common Shareholders: |
||||||||||||||||||||||||||
From net investment income(e) |
(5,538 | ) | (5,537 | ) | (12,094 | ) | (11,602 | ) | (5,782 | ) | (23,021 | ) | ||||||||||||||
From net realized capital gains(e) |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
Tax basis return of capital(e) |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
Total Distributions to Common Shareholders |
(5,538 | ) | (5,537 | )(f) | (12,094 | ) | (11,602 | ) | (5,782 | )(f) | (23,021 | ) | ||||||||||||||
Common Share Transactions**: |
||||||||||||||||||||||||||
Issued as reinvestment of distributions |
0 | 72 | 178 | 794 | 391 | 1,690 | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets |
(9,919 | ) | (398 | ) | (5,039 | ) | (20,452 | ) | 874 | (18,799 | ) | |||||||||||||||
Net Assets Applicable to Common Shareholders: |
||||||||||||||||||||||||||
Beginning of year or period |
123,235 | 123,633 | 128,672 | 135,468 | 134,594 | 153,393 | ||||||||||||||||||||
End of year or period* |
$ | 113,316 | $ | 123,235 | $ | 123,633 | $ | 115,016 | $ | 135,468 | $ | 134,594 | ||||||||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | (1,363 | ) | $ | (681 | ) | $ | (540 | ) | $ | (7,315 | ) | $ | (1,169 | ) | $ | (3,939 | ) | ||||||||
** Common Share Transactions: |
||||||||||||||||||||||||||
Shares issued as reinvestment of distributions |
0 | 7 | 16 | 49 | 18 | 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) | Fiscal year end changed from October 31st to June 30th. |
(d) | Fiscal year end changed from January 31st to June 30th. |
(e) | Determined in accordance with federal income tax regulations, see Note 2(c) in the Notes to Financial Statements for more information. |
(f) | 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 |
PIMCO Income Opportunity Fund | PIMCO Strategic Income Fund, Inc. | |||||||||||||||||||||||
Six Months Ended December 31, 2015 |
Period
from November 1, 2014 to June 30, 2015 (c) |
Year Ended October 31, 2014 |
Six Months Ended December 31, 2015 |
Period from |
Year Ended January 31, 2015 |
|||||||||||||||||||
$ | 16,551 | $ | 23,106 | $ | 40,467 | $ | 14,720 | $ | 12,571 | $ | 37,303 | |||||||||||||
9,934 | (3,967 | ) | 18,425 | (3,526 | ) | 11,358 | 15,398 | |||||||||||||||||
(50,716 | ) | (9,047 | ) | (20,170 | ) | (12,408 | ) | (7,166 | ) | (38,494 | ) | |||||||||||||
(24,231 | ) | 10,092 | 38,722 | (1,214 | ) | 16,763 | 14,207 | |||||||||||||||||
(17,064 | ) | (34,865 | ) | (42,972 | ) | (21,736 | ) | (16,651 | ) | (42,226 | ) | |||||||||||||
(7,634 | ) | (11,498 | ) | 0 | 0 | 0 | 0 | |||||||||||||||||
0 | (224 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||
(24,698 | ) | (46,587 | )(f) | (42,972 | ) | (21,736 | ) | (16,651 | )(f) | (42,226 | ) | |||||||||||||
0 | 216 | 2,321 | 1,632 | 1,638 | 4,199 | |||||||||||||||||||
(48,929 | ) | (36,279 | ) | (1,929 | ) | (21,318 | ) | 1,750 | (23,820 | ) | ||||||||||||||
388,353 | 424,632 | 426,561 | 357,692 | 355,942 | 379,762 | |||||||||||||||||||
$ | 339,424 | $ | 388,353 | $ | 424,632 | $ | 336,374 | $ | 357,692 | $ | 355,942 | |||||||||||||
$ | (5,932 | ) | $ | (5,419 | ) | $ | 6,094 | $ | (3,651 | ) | $ | 3,365 | $ | 2,692 | ||||||||||
0 | 8 | 82 | 190 | 182 | 432 |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 23 |
Consolidated Statements of Changes in Net Assets
PIMCO Dynamic Credit Income Fund | PIMCO Dynamic Income Fund | |||||||||||||||||||||||||
(Amounts in thousands) | Six Months Ended December 31, 2015 |
Period from |
Year Ended December 31, 2014 |
Six Months Ended December 31, 2015 |
Period
from April 1, 2015 to June 30, 2015 (b) |
Year Ended March 31, 2015 |
||||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||||
Net investment income |
$ | 78,854 | $ | 104,043 | $ | 245,912 | $ | 65,492 | $ | 36,172 | $ | 147,564 | ||||||||||||||
Net realized gain (loss) |
4,428 | 29,622 | 12,922 | 17,665 | 37,320 | 76,891 | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) |
(272,857 | ) | 18,523 | (85,852 | ) | (96,212 | ) | (15,937 | ) | (99,042 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(189,575 | ) | 152,188 | 172,982 | (13,055 | ) | 57,555 | 125,413 | ||||||||||||||||||
Distributions to Common Shareholders: |
||||||||||||||||||||||||||
From net investment income(c) |
(164,494 | ) | (128,645 | ) | (339,486 | ) | (132,888 | ) | (28,651 | ) | (187,696 | ) | ||||||||||||||
From net realized capital gains(c) |
0 | 0 | 0 | (45,024 | ) | 0 | 0 | |||||||||||||||||||
Total Distributions to Common Shareholders |
(164,494 | ) | (128,645 | )(d) | (339,486 | ) | (177,912 | ) | (28,651 | )(d) | (187,696 | ) | ||||||||||||||
Common Share Transactions**: |