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, 2017
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
Annual Report
June 30, 2017
PCM Fund, Inc.
PIMCO Global StocksPLUS® & Income Fund
PIMCO Income Opportunity Fund
PIMCO Strategic Income Fund, Inc.
PIMCO Dynamic Credit and Mortgage Income Fund
PIMCO Dynamic Income Fund
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Fund | Fund Summary |
Schedule of Investments |
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(1) | Consolidated Schedule of Investments |
Letter from the Chairman of the Board & President
Dear Shareholder,
The global equity markets generated strong results during the reporting period against a backdrop of solid corporate profits and signs of improving global growth. Meanwhile, the global fixed income market generated weak results as U.S. monetary policy tightened, whereas many international central banks maintained accommodative monetary policies.
For the 12-month reporting period ended June 30, 2017
The U.S. economy continued to expand at a relatively modest pace during the reporting period. 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 revised 2.8% annual pace during the third quarter of 2016 the strongest reading since the first quarter of 2015. GDP growth then moderated, growing at a revised annual pace of 1.8% during the fourth quarter of 2016 and 1.2% for the first quarter of 2017, respectively. Finally, the Commerce Departments initial reading released after the reporting period had ended showed that second quarter 2017 GDP grew at an annual pace of 2.6%.
The Federal Reserve (Fed) continued to normalize monetary policy, with three interest rate hikes during the reporting period. The first occurrence was in December 2016, followed by rate hikes at its meetings in March and June 2017. The second move put the federal funds rate between 1.00% and 1.25%. In its official statement following the Feds June meeting, the Fed said, The Committee expects that economic conditions will evolve in a manner that will warrant 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. The Fed also indicated that it expects to begin reducing its balance sheet later this year.
Economic activity outside the U.S. generally improved during the reporting period. Nevertheless, a number of central banks, including the European Central Bank, Bank of England and Bank of Japan, maintained their highly accommodative monetary policies. However, toward the end of the reporting period, several central banks indicated that they may pare back their quantitative easing programs should growth improve and inflation increase.
Commodity prices fluctuated during the 12 months ended June 30, 2017. In June 2016, crude oil was approximately $48 a barrel, and was roughly $54 a barrel at the end of 2016. Prices then declined on elevated supplies and crude oil ended the reporting period at approximately $46. Finally, there were gyrations in foreign exchange markets, possibly due at least in part to changing expectations for global growth, decoupling central bank policy, Brexit, the surprise outcome from the November U.S. elections and a number of geopolitical events.
Outlook
PIMCOs baseline view is that the U.S. economy is likely to grow at about 2% per year, with inflation running close to the Feds target of 2%. PIMCOs forecast for the federal funds rate at the end of it secular horizon is anchored in a New Neutral range of 2% to 3%, but with the risks skewed to the downside on rates. In PIMCOs view, of real concern for the U.S. outlook, as well as the global outlook, is the driving-without-a-spare-tire risk at this late stage of the business cycle. In the next recession, whenever it occurs, PIMCO believes the Fed and other central banks will have less room to cut rates than in past cycles. Some countries for example, the U.S., China, Germany will likely have some fiscal space to deploy in the next downturn, but with sovereign debt levels already elevated, fiscal policy is unlikely to fully offset the constraints on monetary policy in the next global downturn.
For the eurozone, under PIMCOs baseline secular scenario, there would be trend growth of 1.25% on average over the next five years, with inflation hovering between 1% and 2%. PIMCO sees risk to its outlook as roughly balanced for the eurozone in the near term, but with risk increasing and tilting to the downside toward the end of its secular horizon. For Japan, PIMCOs base case secular outlook is for 0% to 1% inflation, with the Bank of Japan only
2 | PIMCO CLOSED-END FUNDS |
gradually being able to raise the 10-year yield target. Finally, for China, PIMCOs baseline scenario is that growth slows gradually to about 5.5%.
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 12 months ended June 30, 2017.
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 |
ANNUAL REPORT | JUNE 30, 2017 | 3 |
Important Information About the Funds
4 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2017 | 5 |
Important Information About the Funds (Cont.)
6 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2017 | 7 |
Important Information About the Funds (Cont.)
8 | PIMCO CLOSED-END FUNDS |
1 | Hereinafter, the terms Trustee or Trustees used herein shall refer to a Director or Directors of applicable Funds. |
ANNUAL REPORT | JUNE 30, 2017 | 9 |
Symbol on NYSE - PCM |
Average Annual Total Return(1) for the period ended June 30, 2017 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (09/02/93) |
|||||||||||||
Market Price | 33.80% | 11.49% | 12.44% | 9.17% | ||||||||||||
NAV | 21.15% | 11.08% | 11.04% | 9.27% |
All Fund returns are net of fees and expenses.
(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 in accordance with its policies and good accounting practices, 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 estimated 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 Fund, Inc.s primary investment objective is to achieve high current income. Capital gains from the disposition of investments is a secondary objective of the Fund.
Fund Insights at NAV
The following affected performance during the reporting period:
» | Exposure to non-agency Residential MBS (mortgage-backed securities) contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to high yield corporate bonds contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to Commercial MBS contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to investment grade corporate bonds contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to asset-backed securities (ABS) contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to USD interest rates detracted from absolute performance, as interest rates rose. |
10 | PIMCO CLOSED-END FUNDS |
PIMCO Global StocksPLUS® & Income Fund
Symbol on NYSE - PGP |
Average Annual Total Return(1) for the period ended June 30, 2017 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (05/31/05) |
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Market Price | 5.06% | 9.55% | 11.67% | 11.97% | ||||||||||||
NAV | 37.48% | 18.07% | 11.59% | 12.78% |
All Fund returns are net of fees and expenses.
(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 in accordance with its policies and good accounting practices, 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 estimated 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 at NAV
The following affected performance during the reporting period:
» | The Funds exposure to equity index derivatives linked to the S&P 500 Index contributed to absolute returns over the twelve months ended June 30, 2017, as the S&P 500 Index returned 17.90% during the period. |
» | The Funds exposure to equity index derivatives linked to the MSCI EAFE Index contributed to absolute returns over the twelve months ended June 30, 2017, as the MSCI EAFE Index returned 20.27% during the period. |
» | The Funds bond alpha strategy added to returns. Drivers of performance included the following: |
» | Holdings of non-agency mortgages added to returns, as this sector generated positive returns. |
» | An allocation to high yield corporate bonds enhanced performance, as these holdings generated positive performance. |
» | A defensive option strategy involving written calls and purchased puts on the S&P 500 index detracted from performance, as the S&P 500 Index returned 17.90% during the period. |
» | The Funds use of paired swap transactions during the reporting period supported the Funds monthly distributions, but generally resulted in a decline in the Funds net asset value. |
ANNUAL REPORT | JUNE 30, 2017 | 11 |
Symbol on NYSE - PKO |
Average Annual Total Return(1) for the period ended June 30, 2017 | ||||||||||||
1 Year | 5 Year | Commencement of Operations (11/30/07) |
||||||||||
Market Price | 30.30% | 12.38% | 12.93% | |||||||||
NAV | 24.48% | 12.35% | 12.70% |
All Fund returns are net of fees and expenses.
(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 in accordance with its policies and good accounting practices, 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 estimated 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 investment objective is to seek current income as a primary focus and also capital appreciation.
Fund Insights at NAV
The following affected performance during the reporting period:
» | Exposure to non-agency Residential mortgage-backed securities (MBS) contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to high yield corporate bonds contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to investment grade corporate bonds contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to structured products contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to emerging market debt contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to Commercial MBS contributed to absolute returns, as the sector generated positive total returns. |
» | Exposure to USD interest rates detracted from absolute performance, as interest rates rose. |
» | Exposure to GBP interest rates detracted from absolute performance, as interest rates rose. |
12 | PIMCO CLOSED-END FUNDS |
PIMCO Strategic Income Fund, Inc.
Symbol on NYSE - RCS |
Average Annual Total Return(1) for the period ended June 30, 2017 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (02/24/94) |
|||||||||||||
Market Price | 17.12% | 9.14% | 12.34% | 9.67% | ||||||||||||
NAV | 10.61% | 9.22% | 11.16% | 8.71% |
All Fund returns are net of fees and expenses.
(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 in accordance with its policies and good accounting practices, 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 estimated 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 at NAV
The following affected performance during the reporting period:
» | Exposure to non-Agency Residential mortgage-backed securities (MBS) contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to 30-year conventional MBS contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to high yield corporate bonds contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to investment grade corporate bonds contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to emerging market debt contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to Commercial MBS contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to USD interest rates detracted from absolute performance, as interest rates rose. |
ANNUAL REPORT | JUNE 30, 2017 | 13 |
PIMCO Dynamic Credit and Mortgage Income Fund
Symbol on NYSE - PCI |
Average Annual Total Return(1) for the period ended June 30, 2017 | ||||||||
1 Year | Commencement of Operations (01/31/13) |
|||||||
Market Price | 32.10% | 8.82% | ||||||
NAV | 26.47% | 8.59% |
All Fund returns are net of fees and expenses.
(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 in accordance with its policies and good accounting practices, 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 estimated 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 and Mortgage Income Funds primary investment objective is to seek current income and capital appreciation as a secondary objective.
Fund Insights at NAV
The following affected performance during the reporting period:
» | Exposure to non-agency Residential mortgage-backed securities (MBS) contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to high yield corporate bonds contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to emerging market debt contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to structured products contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to Commercial MBS contributed to absolute returns, as the sector generated positive total returns. |
» | Exposure to USD interest rates detracted from absolute performance, as interest rates rose. |
» | Exposure to GBP interest rates detracted from absolute performance, as interest rates rose. |
14 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PDI |
Average Annual Total Return(1) for the period ended June 30, 2017 | ||||||||||||
1 Year | 5 Year | Commencement of Operations (05/30/12) |
||||||||||
Market Price | 27.07% | 18.41% | 18.54% | |||||||||
NAV | 24.22% | 17.79% | 18.31% |
All Fund returns are net of fees and expenses.
(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 in accordance with its policies and good accounting practices, 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 estimated 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, and capital appreciation is a secondary objective.
Fund Insights at NAV
The following affected performance during the reporting period:
» | Exposure to non-agency Residential mortgage-backed securities (MBS) contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to high yield corporate bonds contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to structured products contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to Commercial MBS contributed to absolute returns, as the sector generated positive total returns. |
» | Exposure to emerging market debt contributed to absolute performance, as the sector generated positive total returns. |
» | Exposure to USD interest rates detracted from absolute performance, as interest rates rose. |
» | Exposure to GBP interest rates detracted from absolute performance, as interest rates rose. |
ANNUAL REPORT | JUNE 30, 2017 | 15 |
Investment Operations | Less Distributions(b) | |||||||||||||||||||||||||||||||||||
Net Asset Value Beginning of Year or Period |
Net Investment Income(a) |
Net Realized/ Unrealized Gain (Loss) |
Total | From Net Investment Income |
From Net Realized Capital Gains |
Tax Basis Return of Capital |
Total | |||||||||||||||||||||||||||||
PCM Fund, Inc. |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 9.71 | $ | 0.98 | $ | 0.92 | $ | 1.90 | $ | (1.46 | ) | $ | 0.00 | $ | 0.00 | $ | (1.46 | ) | ||||||||||||||||||
06/30/2016 |
10.68 | 1.22 | (1.23 | ) | (0.01 | ) | (0.96 | ) | 0.00 | 0.00 | (0.96 | ) | ||||||||||||||||||||||||
01/01/2015 - 06/30/2015(e) |
10.72 | 0.44 | 0.00 | ^ | 0.44 | (0.48 | ) | 0.00 | 0.00 | (0.48 | )(i) | |||||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
PIMCO Global StocksPLUS® & Income Fund |
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06/30/2017 |
$ | 9.76 | $ | 1.15 | $ | 2.14 | $ | 3.29 | $ | (1.67 | ) | $ | 0.00 | $ | (0.20 | ) | $ | (1.87 | ) | |||||||||||||||||
06/30/2016 |
12.88 | 1.15 | (2.07 | ) | (0.92 | ) | (2.02 | ) | 0.00 | (0.18 | ) | (2.20 | ) | |||||||||||||||||||||||
04/01/2015 - 06/30/2015(f) |
12.82 | 0.34 | 0.27 | 0.61 | (0.55 | ) | 0.00 | 0.00 | (0.55 | )(i) | ||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
PIMCO Income Opportunity Fund |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 22.59 | $ | 2.28 | $ | 2.92 | $ | 5.20 | $ | (2.56 | ) | $ | 0.00 | $ | (0.06 | ) | $ | (2.62 | ) | |||||||||||||||||
06/30/2016 |
25.94 | 2.33 | (2.89 | ) | (0.56 | ) | (2.28 | ) | (0.51 | ) | 0.00 | (2.79 | ) | |||||||||||||||||||||||
11/01/2014 - 06/30/2015(g) |
28.38 | 1.54 | (0.86 | ) | 0.68 | (2.34 | ) | (0.77 | ) | (0.01 | ) | (3.12 | )(i) | |||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
PIMCO Strategic Income Fund, Inc. |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 7.89 | $ | 0.70 | $ | 0.08 | $ | 0.78 | $ | (0.80 | ) | $ | 0.00 | $ | (0.12 | ) | $ | (0.92 | ) | |||||||||||||||||
06/30/2016 |
8.58 | 0.76 | (0.45 | ) | 0.31 | (1.00 | ) | 0.00 | 0.00 | (1.00 | ) | |||||||||||||||||||||||||
02/01/2015 - 06/30/2015(h) |
8.57 | 0.30 | 0.11 | 0.41 | (0.40 | ) | 0.00 | 0.00 | (0.40 | )(i) | ||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund (Consolidated) |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 20.43 | $ | 1.62 | $ | 3.46 | $ | 5.08 | $ | (2.60 | ) | $ | 0.00 | $ | 0.00 | $ | (2.60 | ) | ||||||||||||||||||
06/30/2016 |
23.00 | 2.01 | (2.40 | ) | (0.39 | ) | (2.18 | ) | 0.00 | 0.00 | (2.18 | ) | ||||||||||||||||||||||||
01/01/2015 - 06/30/2015(e) |
22.83 | 0.76 | 0.35 | 1.11 | (0.94 | ) | 0.00 | 0.00 | (0.94 | )(i) | ||||||||||||||||||||||||||
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) |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 26.56 | $ | 2.60 | $ | 3.18 | $ | 5.78 | $ | (4.10 | ) | $ | 0.00 | $ | 0.00 | $ | (4.10 | ) | ||||||||||||||||||
06/30/2016 |
31.38 | 3.87 | (3.45 | ) | 0.42 | (4.25 | ) | (0.99 | ) | 0.00 | (5.24 | ) | ||||||||||||||||||||||||
04/01/2015 - 06/30/2015(f) |
30.74 | 0.80 | 0.47 | 1.27 | (0.63 | ) | 0.00 | 0.00 | (0.63 | ) | ||||||||||||||||||||||||||
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) | The tax characterization of distributions is determined in accordance with federal income tax regulations. See Note 2, DistributionsCommon Shares, 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. |
(d) | Interest expense primarily relates to participation in borrowing and financing transactions. See Note 5, Borrowings and Other Financing Transactions, 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. |
16 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Common Share | Ratios/Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||
Increase resulting from at-the-market offering |
Offering Cost Charged to Paid in Capital |
Net Assets 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 Waivers(d) |
Expenses Excluding Interest Expense(d) |
Expenses Excluding Interest Expense and Waivers(d) |
Net Investment Income (Loss) |
Portfolio Turnover Rate |
|||||||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 10.15 | $ | 11.23 | 33.80 | % | $ | 117,402 | 3.05 | % | 3.05 | % | 1.54 | % | 1.54 | % | 9.81 | % | 13 | % | |||||||||||||||||||||||||||
N/A | N/A | 9.71 | 9.72 | 6.91 | 112,099 | 2.69 | 2.69 | 1.58 | 1.58 | 12.25 | 12 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 10.68 | 10.05 | (1.28 | ) | 123,235 | 2.26 | * | 2.26 | * | 1.54 | * | 1.54 | * | 8.32 | * | 20 | |||||||||||||||||||||||||||||||||
N/A | N/A | 10.72 | 10.65 | 0.34 | 123,633 | 1.89 | 1.89 | 1.40 | 1.40 | 8.38 | 11 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 11.17 | 11.65 | 6.49 | 128,672 | 2.05 | 2.05 | 1.52 | 1.52 | 9.75 | 6 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 11.35 | 12.02 | 23.34 | 130,461 | 2.59 | 2.59 | 1.76 | 1.76 | 10.05 | 13 | |||||||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 11.18 | $ | 18.40 | 5.06 | % | $ | 119,538 | 3.20 | % | 3.20 | % | 1.88 | % | 1.88 | % | 11.09 | % | 25 | % | |||||||||||||||||||||||||||
N/A | N/A | 9.76 | 19.53 | 31.38 | 103,627 | 2.75 | 2.75 | 1.82 | 1.82 | 10.56 | 26 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 12.88 | 16.92 | (21.82 | ) | 135,468 | 2.34 | * | 2.34 | * | 1.72 | * | 1.72 | * | 10.35 | * | 3 | |||||||||||||||||||||||||||||||||
N/A | N/A | 12.82 | 22.27 | 4.05 | 134,594 | 2.30 | 2.30 | 1.78 | 1.78 | 8.29 | 92 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 14.72 | 23.67 | 19.44 | 153,393 | 1.94 | 1.94 | 1.67 | 1.67 | 9.62 | 197 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 14.32 | 21.95 | 21.57 | 148,170 | 2.64 | 2.64 | 2.10 | 2.10 | 10.75 | 33 | |||||||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 25.17 | $ | 26.85 | 30.30 | % | $ | 378,706 | 2.94 | % | 2.94 | % | 1.72 | % | 1.72 | % | 9.57 | % | 28 | % | |||||||||||||||||||||||||||
N/A | N/A | 22.59 | 23.00 | 7.87 | 338,292 | 2.63 | 2.63 | 1.73 | 1.73 | 9.99 | 16 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 25.94 | 24.20 | 0.22 | 388,353 | 2.43 | * | 2.43 | * | 1.79 | * | 1.79 | * | 8.93 | * | 14 | ||||||||||||||||||||||||||||||||||
N/A | N/A | 28.38 | 27.26 | 4.39 | 424,632 | 2.01 | 2.01 | 1.65 | 1.65 | 9.44 | 175 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 28.67 | 28.90 | 6.81 | 426,561 | 1.93 | 1.93 | 1.66 | 1.66 | 10.03 | 65 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 27.86 | 29.85 | 26.98 | 411,976 | 2.29 | 2.29 | 1.86 | 1.86 | 10.38 | 57 | |||||||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 7.75 | $ | 10.19 | 17.12 | % | $ | 329,673 | 1.52 | % | 1.52 | % | 0.97 | % | 0.97 | % | 8.94 | % | 8 | % | |||||||||||||||||||||||||||
N/A | N/A | 7.89 | 9.61 | 24.14 | 332,051 | 1.27 | 1.27 | 0.96 | 0.96 | 9.43 | 39 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 8.58 | 8.69 | (5.81 | ) | 357,692 | 1.16 | * | 1.16 | * | 0.96 | * | 0.96 | * | 8.58 | * | 17 | |||||||||||||||||||||||||||||||||
N/A | N/A | 8.57 | 9.65 | 5.92 | 355,942 | 1.18 | 1.18 | 0.98 | 0.98 | 10.01 | 90 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 9.24 | 10.12 | (4.58 | ) | 379,762 | 1.39 | 1.39 | 1.00 | 1.00 | 10.48 | 208 | ||||||||||||||||||||||||||||||||||||||
N/A | N/A | 9.66 | 11.84 | 12.21 | 392,317 | 1.55 | 1.55 | 1.00 | 1.00 | 11.14 | 293 | |||||||||||||||||||||||||||||||||||||||
$ | N/A | $ | N/A | $ | 22.91 | $ | 22.32 | 32.10 | % | $ | 3,144,154 | 3.80 | % | 3.80 | % | 2.09 | % | 2.09 | % | 7.41 | % | 32 | % | |||||||||||||||||||||||||||
N/A | N/A | 20.43 | 19.13 | 6.69 | 2,804,003 | 3.20 | 3.20 | 2.03 | 2.03 | 9.63 | 26 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 23.00 | 20.18 | 2.23 | 3,155,689 | 2.63 | * | 2.63 | * | 1.97 | * | 1.97 | * | 6.71 | * | 31 | ||||||||||||||||||||||||||||||||||
N/A | (0.00 | )^ | 22.83 | 20.65 | 2.68 | 3,132,146 | 2.36 | 2.36 | 1.91 | 1.91 | 7.29 | 35 | ||||||||||||||||||||||||||||||||||||||
N/A | (0.01 | ) | 24.04 | 22.48 | (2.79 | ) | 3,298,673 | 1.52 | * | 1.52 | * | 1.42 | * | 1.42 | * | 6.06 | * | 76 | ||||||||||||||||||||||||||||||||
$ | 0.08 | $ | 0.00 | ^ | $ | 28.32 | $ | 30.18 | 27.07 | % | $ | 1,372,674 | 4.08 | % | 4.08 | % | 2.14 | % | 2.14 | % | 9.58 | % | 20 | % | ||||||||||||||||||||||||||
N/A | N/A | 26.56 | 27.57 | 13.75 | 1,222,499 | 3.60 | 3.60 | 2.12 | 2.12 | 13.67 | 13 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 31.38 | 29.21 | 2.87 | 1,426,891 | 2.83 | * | 2.83 | * | 2.01 | * | 2.01 | * | 10.23 | * | 5 | ||||||||||||||||||||||||||||||||||
N/A | N/A | 30.74 | 29.00 | 9.04 | 1,397,987 | 3.12 | 3.12 | 2.12 | 2.12 | 9.98 | 10 | |||||||||||||||||||||||||||||||||||||||
N/A | N/A | 32.11 | 30.32 | 9.62 | 1,458,961 | 3.15 | 3.15 | 2.17 | 2.17 | 11.90 | 18 | |||||||||||||||||||||||||||||||||||||||
N/A | (0.03 | ) | 30.69 | 31.10 | 35.21 | 1,393,099 | 2.91 | * | 2.91 | * | 2.04 | * | 2.04 | * | 12.04 | * | 16 |
ANNUAL REPORT | JUNE 30, 2017 | 17 |
Statements of Assets and Liabilities
June 30, 2017
(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* |
$ | 183,505 | $ | 153,842 | $ | 579,240 | $ | 917,690 | ||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
94 | 894 | 476 | 697 | ||||||||||||
Over the counter |
0 | 328 | 743 | 618 | ||||||||||||
Cash |
1 | 3 | 516 | 0 | ||||||||||||
Deposits with counterparty |
1,408 | 23,207 | 7,340 | 579 | ||||||||||||
Receivable for investments sold |
8,369 | 2,934 | 18,127 | 1,099 | ||||||||||||
Receivable for mortgage dollar rolls |
0 | 0 | 0 | 496,724 | ||||||||||||
Interest and/or dividends receivable |
835 | 1,422 | 3,544 | 2,989 | ||||||||||||
Other assets |
1 | 1 | 1 | 2 | ||||||||||||
Total Assets |
194,213 | 182,631 | 609,987 | 1,420,398 | ||||||||||||
Liabilities: |
||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||
Payable for reverse repurchase agreements |
$ | 73,354 | $ | 56,076 | $ | 212,123 | $ | 84,359 | ||||||||
Payable for sale-buyback transactions |
0 | 0 | 0 | 37,170 | ||||||||||||
Payable for mortgage dollar rolls |
0 | 0 | 0 | 496,724 | ||||||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
151 | 1,152 | 567 | 86 | ||||||||||||
Over the counter |
1,811 | 1,688 | 5,136 | 2,864 | ||||||||||||
Payable for investments purchased |
394 | 2,014 | 9,516 | 3,821 | ||||||||||||
Payable for investments purchased on a delayed-delivery basis |
0 | 4 | 12 | 10 | ||||||||||||
Payable for TBA investments purchased |
0 | 0 | 0 | 461,766 | ||||||||||||
Deposits from counterparty |
0 | 260 | 141 | 302 | ||||||||||||
Distributions payable to common shareholders |
925 | 1,569 | 2,859 | 3,063 | ||||||||||||
Overdraft due to custodian |
2 | 143 | 354 | 17 | ||||||||||||
Accrued management fees |
144 | 173 | 540 | 277 | ||||||||||||
Other liabilities |
30 | 14 | 33 | 266 | ||||||||||||
Total Liabilities |
76,811 | 63,093 | 231,281 | 1,090,725 | ||||||||||||
Net Assets |
$ | 117,402 | $ | 119,538 | $ | 378,706 | $ | 329,673 | ||||||||
Net Asset Consist of: |
||||||||||||||||
Shares: |
||||||||||||||||
Par value ($0.001 per share), ($0.00001 per share), ($0.00001 per share), ($0.00001 per share) |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Paid in capital in excess of par |
112,052 | 142,045 | 344,027 | 353,084 | ||||||||||||
Undistributed (overdistributed) net investment income |
1,113 | (2,155 | ) | (2,777 | ) | (3,133 | ) | |||||||||
Accumulated undistributed net realized gain (loss) |
(4,892 | ) | (30,076 | ) | (8,475 | ) | (38,832 | ) | ||||||||
Net unrealized appreciation (depreciation) |
9,129 | 9,724 | 45,931 | 18,554 | ||||||||||||
Net Assets Applicable to Common Shareholders |
$ | 117,402 | $ | 119,538 | $ | 378,706 | $ | 329,673 | ||||||||
Common Shares Issued and Outstanding |
11,563 | 10,694 | 15,045 | 42,535 | ||||||||||||
Net Asset Value Per Common Share |
$ | 10.15 | $ | 11.18 | $ | 25.17 | $ | 7.75 | ||||||||
Cost of investments in securities |
$ | 174,541 | $ | 143,735 | $ | 536,038 | $ | 907,061 | ||||||||
Cost or premiums of financial derivative instruments, net |
$ | (2,041 | ) | $ | (1,509 | ) | $ | (4,955 | ) | $ | (2,276 | ) | ||||
* Includes repurchase agreements of: |
$ | 5,317 | $ | 15,999 | $ | 32,499 | $ | 13,129 |
| 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
June 30, 2017
(Amounts in thousands, except per share amounts) | PIMCO Dynamic Credit and Mortgage Income Fund |
PIMCO Dynamic Income Fund |
||||||
Assets: |
||||||||
Investments, at value |
||||||||
Investments in securities* |
$ | 5,467,274 | $ |
2,520,402 |
| |||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
3,612 | 1,291 | ||||||
Over the counter |
3,966 | 1,429 | ||||||
Cash |
12,594 | 1,311 | ||||||
Deposits with counterparty |
107,709 | 19,920 | ||||||
Receivable for investments sold |
314,976 | 51,149 | ||||||
Receivable for Fund shares sold |
0 | 841 | ||||||
Interest and/or dividends receivable |
25,603 | 12,292 | ||||||
Other assets |
8 | 250 | ||||||
Total Assets |
5,935,742 | 2,608,885 | ||||||
Liabilities: |
||||||||
Borrowings & Other Financing Transactions |
||||||||
Payable for reverse repurchase agreements |
$ | 2,580,482 | $ | 1,137,401 | ||||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
5,173 | 1,676 | ||||||
Over the counter |
27,111 | 19,217 | ||||||
Payable for investments purchased |
130,474 | 53,152 | ||||||
Payable for investments purchased on a delayed-delivery basis |
100 | 44 | ||||||
Deposits from counterparty |
10,472 | 6,844 | ||||||
Distributions payable to common shareholders |
22,513 | 10,617 | ||||||
Overdraft due to custodian |
9,365 | 4,359 | ||||||
Accrued management fees |
5,685 | 2,486 | ||||||
Other liabilities |
213 | 415 | ||||||
Total Liabilities |
2,791,588 | 1,236,211 | ||||||
Net Assets |
$ | 3,144,154 | $ | 1,372,674 | ||||
Net Asset Consist of: |
||||||||
Shares: |
||||||||
Par value ($0.00001 per share) |
$ | 1 | $ | 0 | ||||
Paid in capital in excess of par |
3,274,390 | 1,170,856 | ||||||
Undistributed (overdistributed) net investment income |
(10,953 | ) | (5,329 | ) | ||||
Accumulated undistributed net realized gain (loss) |
(164,458 | ) | (20,044 | ) | ||||
Net unrealized appreciation (depreciation) |
45,174 | 227,191 | ||||||
Net Assets Applicable to Common Shareholders |
$ | 3,144,154 | $ | 1,372,674 | ||||
Common Shares Issued and Outstanding |
137,221 | 48,460 | ||||||
Net Asset Value Per Common Share |
$ | 22.91 | $ | 28.32 | ||||
Cost of investments in securities |
$ | 5,330,504 | $ | 2,283,949 | ||||
Cost or premiums of financial derivative instruments, net |
$ | (16,484 | ) | $ | (33,326 | ) | ||
* Includes repurchase agreements of: |
$ | 142,200 | $ | 136,982 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2017 | 19 |
Year Ended June 30, 2017 | ||||||||||||||||
(Amounts in thousands) | PCM Fund, Inc. |
PIMCO Global StocksPLUS® & Income Fund |
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
||||||||||||
Investment Income: |
||||||||||||||||
Interest, net of foreign taxes* |
$ | 14,822 | $ | 15,731 | $ | 43,711 | $ | 34,451 | ||||||||
Dividends |
5 | 62 | 1,084 | 15 | ||||||||||||
Miscellaneous income |
2 | 0 | 0 | 6 | ||||||||||||
Total Income |
14,829 | 15,793 | 44,795 | 34,472 | ||||||||||||
Expenses: |
||||||||||||||||
Management fees |
1,757 | 2,045 | 6,078 | 3,144 | ||||||||||||
Trustee fees and related expenses |
22 | 18 | 62 | 60 | ||||||||||||
Interest expense |
1,745 | 1,464 | 4,372 | 1,808 | ||||||||||||
Miscellaneous expense |
1 | 13 | 9 | 0 | ||||||||||||
Total Expenses |
3,525 | 3,540 | 10,521 | 5,012 | ||||||||||||
Net Investment Income (Loss) |
11,304 | 12,253 | 34,274 | 29,460 | ||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||
Investments in securities |
(445 | ) | 3,426 | 3,582 | 2,395 | |||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
80 | 9,275 | (2,714 | ) | (1,760 | ) | ||||||||||
Over the counter financial derivative instruments |
76 | 10,065 | 3,588 | 2,127 | ||||||||||||
Foreign currency |
0 | 29 | (17 | ) | 128 | |||||||||||
Net Realized Gain (Loss) |
(289 | ) | 22,795 | 4,439 | 2,890 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||
Investments in securities |
10,906 | 3,158 | 37,288 | (15,808 | ) | |||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(145 | ) | (3,044 | ) | 5,639 | 17,334 | ||||||||||
Over the counter financial derivative instruments |
182 | 13 | (1,897 | ) | (1,111 | ) | ||||||||||
Foreign currency assets and liabilities |
0 | (704 | ) | (1,627 | ) | (37 | ) | |||||||||
Net Change in Unrealized Appreciation (Depreciation) |
10,943 | (577 | ) | 39,403 | 378 | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 21,958 | $ | 34,471 | $ | 78,116 | $ | 32,728 | ||||||||
* 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
Year Ended June 30, 2017 | ||||||||
(Amounts in thousands) | PIMCO Dynamic Credit and Mortgage Income Fund |
PIMCO Dynamic Income Fund |
||||||
Investment Income: |
||||||||
Interest, net of foreign taxes* |
$ | 334,318 | $ | 172,595 | ||||
Dividends |
1,337 | 93 | ||||||
Total Income |
335,655 | 172,688 | ||||||
Expenses: |
||||||||
Management fees |
62,050 | 26,759 | ||||||
Trustee fees and related expenses |
478 | 220 | ||||||
Interest expense |
51,259 | 24,551 | ||||||
Miscellaneous expense |
103 | 36 | ||||||
Total Expenses |
113,890 | 51,566 | ||||||
Net Investment Income (Loss) |
221,765 | 121,122 | ||||||
Net Realized Gain (Loss): |
||||||||
Investments in securities |
35,796 | 375 | ||||||
Exchange-traded or centrally cleared financial derivative instruments |
98,699 | 16,555 | ||||||
Over the counter financial derivative instruments |
17,204 | 11,823 | ||||||
Foreign currency |
1,409 | 2,919 | ||||||
Net Realized Gain (Loss) |
153,108 | 31,672 | ||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||
Investments in securities |
465,468 | 135,753 | ||||||
Exchange-traded or centrally cleared financial derivative instruments |
(92,065 | ) | (8,051 | ) | ||||
Over the counter financial derivative instruments |
(18,910 | ) | (6,374 | ) | ||||
Foreign currency assets and liabilities |
(32,610 | ) | (3,029 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation) |
321,883 | 118,299 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 696,756 | $ | 271,093 | ||||
* Foreign tax withholdings |
$ | 12 | $ | 0 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2017 | 21 |
Statements of Changes in Net Assets
PCM Fund, Inc. | PIMCO Global StocksPLUS® & Income Fund |
|||||||||||||||
(Amounts in thousands) | Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 11,304 | $ | 14,041 | $ | 12,253 | $ | 12,107 | ||||||||
Net realized gain (loss) |
(289 | ) | 4,847 | 22,795 | (4,285 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) |
10,943 | (18,989 | ) | (577 | ) | (18,012 | ) | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
21,958 | (101 | ) | 34,471 | (10,190 | ) | ||||||||||
Distributions to Common Shareholders: |
||||||||||||||||
From net investment income |
(16,862 | ) | (11,077 | ) | (17,812 | ) | (21,340 | ) | ||||||||
From net realized capital gains |
0 | 0 | 0 | 0 | ||||||||||||
Tax basis return of capital |
0 | 0 | (2,117 | ) | (1,918 | ) | ||||||||||
Total Distributions to Common Shareholders(a) |
(16,862 | ) | (11,077 | ) | (19,929 | ) | (23,258 | ) | ||||||||
Common Share Transactions**: |
||||||||||||||||
Issued as reinvestment of distributions |
207 | 42 | 1,369 | 1,607 | ||||||||||||
Total Increase (Decrease) in Net Assets |
5,303 | (11,136 | ) | 15,911 | (31,841 | ) | ||||||||||
Net Assets Applicable to Common Shareholders: |
||||||||||||||||
Beginning of year |
112,099 | 123,235 | 103,627 | 135,468 | ||||||||||||
End of year* |
$ | 117,402 | $ | 112,099 | $ | 119,538 | $ | 103,627 | ||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | 1,113 | $ | 4,244 | $ | (2,155 | ) | $ | (2,326 | ) | ||||||
** Common Share Transactions: |
||||||||||||||||
Shares issued as reinvestment of distributions |
21 | 4 | 80 | 96 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | The tax characterization of distributions is determined in accordance with federal income tax regulations. See Note 2, DistributionsCommon Shares, in the Notes to Financial Statements for more information. |
22 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. | |||||||||||||
Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
|||||||||||
$ | 34,274 | $ | 34,942 | $ | 29,460 | $ | 31,977 | |||||||
4,439 | 5,713 | 2,890 | (14,799 | ) | ||||||||||
39,403 | (49,146 | ) | 378 | (4,489 | ) | |||||||||
78,116 | (8,491 | ) | 32,728 | 12,689 | ||||||||||
(38,429 | ) | (34,129 | ) | (33,902 | ) | (41,907 | ) | |||||||
0 | (7,634 | ) | 0 | 0 | ||||||||||
(899 | ) | 0 | (5,051 | ) | 0 | |||||||||
(39,328 | ) | (41,763 | ) | (38,953 | ) | (41,907 | ) | |||||||
1,626 | 193 | 3,847 | 3,577 | |||||||||||
40,414 | (50,061 | ) | (2,378 | ) | (25,641 | ) | ||||||||
338,292 | 388,353 | 332,051 | 357,692 | |||||||||||
$ | 378,706 | $ | 338,292 | $ | 329,673 | $ | 332,051 | |||||||
$ | (2,777 | ) | $ | (4,500 | ) | $ | (3,133 | ) | $ | (1,926 | ) | |||
68 | 9 | 419 | 416 |
ANNUAL REPORT | JUNE 30, 2017 | 23 |
Consolidated Statements of Changes in Net Assets
PIMCO Dynamic Credit and Mortgage Income Fund |
PIMCO Dynamic Income Fund |
|||||||||||||||
(Amounts in thousands) | Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 221,765 | $ | 276,227 | $ | 121,122 | $ | 176,980 | ||||||||
Net realized gain (loss) |
153,108 | (88,323 | ) | 31,672 | (197 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) |
321,883 | (240,018 | ) | 118,299 |