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)
Trent W. Walker
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, 2018
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, 2018
PCM Fund, Inc. | PCM | NYSE
PIMCO Global StocksPLUS® & Income Fund | PGP | NYSE
PIMCO Income Opportunity Fund | PKO | NYSE
PIMCO Strategic Income Fund, Inc. | RCS | NYSE
PIMCO Dynamic Credit and Mortgage Income Fund | PCI | NYSE
PIMCO Dynamic Income Fund | PDI | NYSE
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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,
Following is the PIMCO Closed-End Funds Annual Report, which covers the 12-month reporting period ended June 30, 2018. On the subsequent pages you will find specific details regarding investment results and a discussion of factors that most affected performance over the reporting period.
For the 12-month reporting period ended June 30, 2018
The U.S. economy continued to expand during the reporting period. Looking back, U.S. gross domestic product (GDP) expanded at a revised annual pace of 2.8% and 2.3% during the third and fourth quarters of 2017, respectively. First-quarter 2018 GDP then moderated to a revised annual pace of 2.2%. The Commerce Departments initial reading released after the reporting period had ended showed that second-quarter 2018 GDP grew at an annual pace of 4.1%.
The Federal Reserve (Fed) continued to normalize monetary policy during the reporting period. After raising interest rates in March and June 2017, the Fed again raised rates in December, moving the federal funds rate up to a range between 1.25% and 1.50%. And, in October 2017, the Fed started to reduce its balance sheet. At its March 2018 meeting, the Fed again increased rates to a range between 1.50% and 1.75%. Finally, at its meeting that concluded on June 13, 2018, the Fed raised rates to a range between 1.75% and 2.00%.
Economic activity outside the U.S. initially accelerated during the reporting period, but then moderated somewhat as the reporting period progressed. Against this backdrop, the European Central Bank (ECB) and Bank of Japan largely maintained their highly accommodative monetary policies. Other central banks took a more hawkish stance. In November 2017, the Bank of England instituted its first rate hike since 2007, and the Bank of Canada raised rates twice during the reporting period. Meanwhile, in June 2018, the ECB indicated that it plans to end its quantitative easing program by the end of the year, but it did not expect to raise interest rates at least through the summer of 2019.
The U.S. Treasury yield curve flattened during the reporting period, as short-term rates moved up more than their longer-term counterparts. The increase in rates at the short end of the yield curve was mostly due to Fed interest rate hikes. The yield on the benchmark 10-year U.S. Treasury note was 2.85% at the end of the reporting period, up from 2.31% on June 30, 2017. U.S. Treasuries, as measured by the Bloomberg Barclays U.S. Treasury Index, returned -0.65% over the 12 months ended June 30, 2018. Meanwhile, the Bloomberg Barclays U.S. Aggregate Bond Index, a widely used index of U.S. investment grade bonds, returned -0.40% over the period. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, generated mixed results versus the broad U.S. market. The ICE BofAML U.S. High Yield Index gained 2.53% over the reporting period, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global, returned -2.45% over the reporting period. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned -2.33% over the period.
Global equities generally rose over the first seven months of the period. This rally was driven by a number of factors, including improving global growth, corporate profits that often exceeded expectations and, in the U.S., optimism surrounding the passage of a tax reform bill in December 2017. In the U.S., a portion of those gains were given back in February and March 2018. This was partially due to concerns over less accommodative central bank policies and fears of a trade war. However, U.S. equities then rallied over the last three months of the reporting period. All told, U.S. equities, as represented by the S&P 500 Index, returned 14.37% during the reporting period. Emerging market equities, as measured by the MSCI Emerging Markets Index, returned 8.20% over the period, whereas global equities, as represented by the MSCI World Index, returned 11.09%. Elsewhere, Japanese equities, as represented by the Nikkei 225 Index (in JPY), returned 13.45% over the reporting period and European equities, as represented by the MSCI Europe Index (in EUR), returned 2.85%.
2 | PIMCO CLOSED-END FUNDS |
Commodity prices fluctuated but generally moved higher during the 12 months ended June 30, 2018. When the reporting period began, crude oil was approximately $46 a barrel. By the end of the period, it was roughly $74 a barrel. This ascent was driven in part by planned and observed production cuts by OPEC and the collapse in Venezuelan oil production, as well as global growth maintaining demand. Elsewhere, gold and copper prices moved modestly higher over the reporting period.
Finally, during the reporting period, there were periods of volatility in the foreign exchange markets, due in part to signs of improving global growth, decoupling central bank policies, and a number of geopolitical events. The U.S. dollar generally weakened against other major currencies over the reporting period. For example, the U.S. dollar returned -2.26%, -1.40% and -1.45% versus the euro, British pound and Japanese yen, respectively, during the 12 months ended June 30, 2018.
Thank you for the assets you have placed with us. We deeply value your trust, and will continue to work diligently to meet your broad investment needs. For any questions regarding your PIMCO Closed-End Funds investments, please contact your financial adviser, or call the Funds shareholder servicing agent at (844) 33-PIMCO. We also invite you to visit our website at pimco.com to learn more about our global viewpoints.
Sincerely,
Hans W. Kertess | Peter G. Strelow | |
Chairman of the Board | President |
Past performance is no guarantee of future results.
ANNUAL REPORT | JUNE 30, 2018 | 3 |
Important Information About the Funds
4 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2018 | 5 |
Important Information About the Funds (Cont.)
6 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2018 | 7 |
Important Information About the Funds (Cont.)
8 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2018 | 9 |
Important Information About the Funds (Cont.)
1 | Hereinafter, the terms Trustee or Trustees used herein shall refer to a Director or Directors of applicable Funds. |
10 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PCM |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (09/02/93) |
|||||||||||||
Market Price | 11.48% | 10.62% | 13.72% | 9.26% | ||||||||||||
NAV | 10.85% | 9.06% | 12.91% | 9.33% |
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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Funds dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
(2) | Distribution rates 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 are a secondary objective of the Fund.
Fund Insights at NAV
The following affected performance during the reporting period:
» | Exposure to non-agency residential mortgage-backed securities contributed to absolute performance, as spreads tightened during the period. |
» | Exposure to the U.S. dollar contributed to absolute performance, as the dollar appreciated against most major currencies. |
» | Exposure to non-agency commercial mortgage-backed securities contributed to absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to select asset-backed securities (ABS), specifically student loan ABS, contributed to absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as rates increased during the period. |
» | Exposure to a select gaming and entertainment company detracted from absolute performance. |
ANNUAL REPORT | JUNE 30, 2018 | 11 |
PIMCO Global StocksPLUS® & Income Fund
Symbol on NYSE - PGP |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (05/31/05) |
|||||||||||||
Market Price | (8.96)% | 3.95% | 12.12% | 10.22% | ||||||||||||
NAV | 8.53% | 12.23% | 14.10% | 12.45% |
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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Funds dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
(2) | Distribution rates 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, as the S&P 500 Index returned 14.37%. |
» | The Funds exposure to equity index derivatives linked to the MSCI EAFE Index contributed to absolute returns, as the MSCI EAFE Index returned 6.84%. |
» | A defensive options strategy involving written calls and purchased puts on the S&P 500 Index detracted from absolute performance, as the S&P 500 Index returned 14.37% during the period. |
» | U.S. duration strategies detracted from performance, as U.S. Treasury yields increased. |
» | Holdings of non-agency mortgages added to absolute returns, as this sector generated positive returns. |
» | The Funds use of paired swap transactions supported the Funds monthly distributions, but generally resulted in a decline in the Funds net asset value. |
12 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PKO |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (11/30/07) |
|||||||||||||
Market Price | 11.13% | 11.16% | 14.42% | 12.76% | ||||||||||||
NAV | 8.91% | 9.42% | 13.38% | 12.34% |
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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Funds dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
(2) | Distribution rates 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 contributed to absolute performance, as spreads tightened during the period. |
» | Exposure to high yield corporate debt securities contributed to absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to the U.S. dollar contributed to absolute performance, as the dollar appreciated against most major currencies. |
» | Exposure to a select energy company contributed to absolute performance. |
» | Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as U.S. interest rates increased during the period. |
» | Exposure to Argentine debt and currency detracted from absolute performance. |
ANNUAL REPORT | JUNE 30, 2018 | 13 |
PIMCO Strategic Income Fund, Inc.
Symbol on NYSE - RCS |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (02/24/94) |
|||||||||||||
Market Price | 4.59% | 9.43% | 12.44% | 9.45% | ||||||||||||
NAV | 5.78% | 7.21% | 11.48% | 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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Funds dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
(2) | Distribution rates 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 contributed to absolute performance, as spreads tightened during the period. |
» | Exposure to the U.S. dollar contributed to absolute performance, as the dollar appreciated against most major currencies. |
» | Exposure to non-agency commercial mortgage-backed securities contributed to absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to asset-backed securities (ABS), specifically student loan ABS, contributed to absolute performance, as the asset class outperformed like-duration Treasuries during the period. |
» | Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as U.S. interest rates increased during the period. |
» | Exposure to agency mortgage-backed securities detracted from absolute performance, as the asset class underperformed like-duration Treasuries during the period. |
» | Exposure to Argentine debt and currency detracted from absolute performance. |
14 | PIMCO CLOSED-END FUNDS |
PIMCO Dynamic Credit and Mortgage Income Fund
Symbol on NYSE - PCI |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||
1 Year | 5 Year | Commencement of Operations (01/31/13) |
||||||||||
Market Price | 15.03% | 12.09% | 9.75% | |||||||||
NAV | 12.64% | 10.86% | 10.19% |
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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Funds dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
(2) | Distribution rates 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 benefited absolute performance, as spreads tightened during the period. |
» | Exposure to non-agency commercial mortgage-backed securities benefited absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to the U.S. dollar benefited absolute performance, as the dollar appreciated against most major currencies. |
» | Exposure to high yield corporate debt securities benefited absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as rates rose during the period. |
» | Exposure to Argentine debt and currency detracted from absolute performance. |
ANNUAL REPORT | JUNE 30, 2018 | 15 |
Symbol on NYSE - PDI |
Average Annual Total Return(1) for the period ended June 30, 2018 | ||||||||||||
1 Year | 5 Year | Commencement of Operations (05/30/12) |
||||||||||
Market Price | 15.54% | 16.49% | 18.04% | |||||||||
NAV | 12.16% | 13.22% | 17.28% |
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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Funds dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares. |
(2) | Distribution rates 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 benefited absolute performance, as spreads tightened during the period. |
» | Exposure to the U.S. dollar benefited absolute performance, as the dollar appreciated against most major currencies. |
» | Exposure to non-agency commercial mortgage-backed securities benefited performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to high yield corporate debt securities benefited absolute performance, as the asset class outperformed like-duration Treasuries. |
» | Exposure to the intermediate portion of the U.S. yield curve detracted from absolute performance, as U.S. interest rates increased during the period. |
» | Exposure to Argentine debt and currency detracted from absolute performance. |
16 | PIMCO CLOSED-END FUNDS |
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ANNUAL REPORT | JUNE 30, 2018 | 17 |
Investment Operations | Less Distributions(b) | |||||||||||||||||||||||||||||||||||
Selected Per Share Data for the Year or Period Ended^: | Net Asset Value Beginning of Year or Period |
Net Investment Income(a) |
Net Realized/ Unrealized Gain (Loss) |
Total | From Net Investment Income |
From Net Realized Capital Gains |
Tax Basis Return of Capital |
Total | ||||||||||||||||||||||||||||
PCM Fund, Inc. |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 10.15 | $ | 0.88 | $ | 0.18 | $ | 1.06 | $ | (0.98 | ) | $ | 0.00 | $ | 0.00 | $ | (0.98 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
PIMCO Global StocksPLUS® & Income Fund |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 11.18 | $ | 1.09 | $ | (0.16 | ) | $ | 0.93 | $ | (1.43 | ) | $ | 0.00 | $ | (0.18 | ) | $ | (1.61 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
PIMCO Income Opportunity Fund |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 25.17 | $ | 2.18 | $ | (0.01 | ) | $ | 2.17 | $ | (2.28 | ) | $ | 0.00 | $ | 0.00 | $ | (2.28 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
PIMCO Strategic Income Fund, Inc. |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 7.75 | $ | 0.77 | $ | (0.34 | ) | $ | 0.43 | $ | (0.86 | ) | $ | 0.00 | $ | 0.00 | $ | (0.86 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund (Consolidated) |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 22.91 | $ | 1.95 | $ | 0.85 | $ | 2.80 | $ | (1.97 | ) | $ | 0.00 | $ | 0.00 | $ | (1.97 | ) | ||||||||||||||||||
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) |
||||||||||||||||||||||||||||||||||||
06/30/2018 |
$ | 28.32 | $ | 2.95 | $ | 0.18 | $ | 3.13 | $ | (2.65 | ) | $ | 0.00 | $ | 0.00 | $ | (2.65 | ) | ||||||||||||||||||
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 | )(i) | ||||||||||||||||||||||||||
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 | ) |
^ | A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%. |
* | Annualized |
(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. |
18 | 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 | $ | 10.23 | $ | 11.45 | 11.48 | % | $ | 118,512 | 3.06 | % | 3.06 | % | 1.43 | % | 1.43 | % | 8.55 | % | 9 | % | |||||||||||||||||||||||||||
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 | $ | 10.50 | $ | 14.98 | (8.96 | )% | $ | 113,204 | 2.36 | % | 2.36 | % | 1.48 | % | 1.48 | % | 9.84 | % | 63 | % | |||||||||||||||||||||||||||
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 | $ | 25.06 | $ | 27.31 | 11.13 | % | $ | 379,378 | 2.99 | % | 2.99 | % | 1.64 | % | 1.64 | % | 8.58 | % | 17 | % | |||||||||||||||||||||||||||
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 | $ | 7.32 | $ | 9.68 | 4.59 | % | $ | 314,540 | 1.85 | % | 1.85 | % | 0.97 | % | 0.97 | % | 10.12 | % | 5 | % | |||||||||||||||||||||||||||
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 | $ | 23.74 | $ | 23.57 | 15.03 | % | $ | 3,257,195 | 4.20 | % | 4.20 | % | 2.10 | % | 2.10 | % | 8.30 | % | 22 | % | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
$ | 0.18 | $ | (0.00 | ) | $ | 28.98 | $ | 31.87 | 15.54 | % | $ | 1,575,523 | 4.07 | % | 4.07 | % | 2.01 | % | 2.01 | % | 10.26 | % | 9 | % | ||||||||||||||||||||||||||
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 |
ANNUAL REPORT | JUNE 30, 2018 | 19 |
Statements of Assets and Liabilities
June 30, 2018
(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* |
$ | 181,173 | $ | 171,105 | $ | 540,360 | $ | 1,205,767 | ||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
25 | 513 | 168 | 318 | ||||||||||||
Over the counter |
0 | 2,260 | 646 | 615 | ||||||||||||
Cash |
1 | 0 | 48 | 1,550 | ||||||||||||
Deposits with counterparty |
1,772 | 4,391 | 10,368 | 12,711 | ||||||||||||
Foreign currency, at value |
0 | 411 | 1,731 | 678 | ||||||||||||
Receivable for investments sold |
2,905 | 679 | 11,151 | 1,341 | ||||||||||||
Receivable for mortgage dollar rolls |
0 | 0 | 0 | 552,805 | ||||||||||||
Receivable for TBA investments sold |
0 | 8,495 | 0 | 0 | ||||||||||||
Interest and/or dividends receivable |
860 | 1,578 | 4,640 | 3,274 | ||||||||||||
Other assets |
11 | 1 | 85 | 2 | ||||||||||||
Total Assets |
186,747 | 189,433 | 569,197 | 1,779,061 | ||||||||||||
Liabilities: |
||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||
Payable for reverse repurchase agreements |
$ | 62,464 | $ | 27,001 | $ | 172,762 | $ | 103,189 | ||||||||
Payable for sale-buyback transactions |
0 | 0 | 0 | 47,982 | ||||||||||||
Payable for mortgage dollar rolls |
0 | 0 | 0 | 552,805 | ||||||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
67 | 246 | 327 | 57 | ||||||||||||
Over the counter |
1,050 | 918 | 2,352 | 1,995 | ||||||||||||
Payable for investments purchased |
1,193 | 1,123 | 3,289 | 2,629 | ||||||||||||
Payable for TBA investments purchased |
0 | 41,183 | 0 | 747,867 | ||||||||||||
Payable for unfunded loan commitments |
2,260 | 2,676 | 6,252 | 198 | ||||||||||||
Deposits from counterparty |
133 | 1,462 | 1,446 | 4,101 | ||||||||||||
Distributions payable to common shareholders |
926 | 1,315 | 2,877 | 3,095 | ||||||||||||
Overdraft due to custodian |
0 | 168 | 0 | 0 | ||||||||||||
Accrued management fees |
139 | 135 | 504 | 255 | ||||||||||||
Other liabilities |
3 | 2 | 10 | 348 | ||||||||||||
Total Liabilities |
68,235 | 76,229 | 189,819 | 1,464,521 | ||||||||||||
Net Assets |
$ | 118,512 | $ | 113,204 | $ | 379,378 | $ | 314,540 | ||||||||
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 |
110,813 | 135,810 | 346,449 | 357,111 | ||||||||||||
Undistributed (overdistributed) net investment income |
1,275 | (1,570 | ) | (1,068 | ) | (3,145 | ) | |||||||||
Accumulated undistributed net realized gain (loss) |
(897 | ) | (23,572 | ) | (5,343 | ) | (28,045 | ) | ||||||||
Net unrealized appreciation (depreciation) |
7,321 | 2,536 | 39,340 | (11,381 | ) | |||||||||||
Net Assets Applicable to Common Shareholders |
$ | 118,512 | $ | 113,204 | $ | 379,378 | $ | 314,540 | ||||||||
Common Shares Outstanding |
11,580 | 10,779 | 15,140 | 42,986 | ||||||||||||
Net Asset Value Per Common Share |
$ | 10.23 | $ | 10.50 | $ | 25.06 | $ | 7.32 | ||||||||
Cost of investments in securities |
$ | 170,932 | $ | 167,223 | $ | 502,160 | $ | 1,225,058 | ||||||||
Cost of foreign currency held |
$ | 0 | $ | 418 | $ | 1,749 | $ | 704 | ||||||||
Cost or premiums of financial derivative instruments, net |
$ | (29 | ) | $ | 9,625 | $ | (8,332 | ) | $ | 8,407 | ||||||
* Includes repurchase agreements of: |
$ | 6,388 | $ | 10,183 | $ | 6,163 | $ | 1,992 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
20 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Statements of Assets and Liabilities
June 30, 2018
(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* |
$ | 5,649,102 | $ | 2,608,673 | ||||
Investments in Affiliates |
10,856 | 0 | ||||||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
1,464 | 408 | ||||||
Over the counter |
14,782 | 3,982 | ||||||
Cash |
797 | 0 | ||||||
Deposits with counterparty |
119,446 | 25,606 | ||||||
Foreign currency, at value |
8,423 | 2,997 | ||||||
Receivable for investments sold |
104,809 | 6,263 | ||||||
Receivable for Fund shares sold |
0 | 683 | ||||||
Interest and/or dividends receivable |
38,160 | 15,318 | ||||||
Other assets |
8 | 186 | ||||||
Total Assets |
5,947,847 | 2,664,116 | ||||||
Liabilities: |
||||||||
Borrowings & Other Financing Transactions |
||||||||
Payable for reverse repurchase agreements |
$ | 2,489,155 | $ | 995,864 | ||||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
2,373 | 604 | ||||||
Over the counter |
24,966 | 13,729 | ||||||
Payable for investments purchased |
92,627 | 27,641 | ||||||
Payable for unfunded loan commitments |
34,835 | 32,252 | ||||||
Deposits from counterparty |
18,421 | 4,050 | ||||||
Distributions payable to common shareholders |
22,513 | 11,892 | ||||||
Overdraft due to custodian |
0 | 9 | ||||||
Accrued management fees |
5,707 | 2,523 | ||||||
Other liabilities |
55 | 29 | ||||||
Total Liabilities |
2,690,652 | 1,088,593 | ||||||
Net Assets |
$ | 3,257,195 | $ | 1,575,523 | ||||
Net Asset Consist of: |
||||||||
Shares: |
||||||||
Par value ($0.00001 per share) |
$ | 1 | $ | 1 | ||||
Paid in capital in excess of par |
3,274,390 | 1,350,728 | ||||||
Undistributed (overdistributed) net investment income |
11,191 | 18,239 | ||||||
Accumulated undistributed net realized gain (loss) |
(174,421 | ) | (27,685 | ) | ||||
Net unrealized appreciation (depreciation) |
146,034 | 234,240 | ||||||
Net Assets Applicable to Common Shareholders |
$ | 3,257,195 | $ | 1,575,523 | ||||
Common Shares Outstanding |
137,221 | 54,361 | ||||||
Net Asset Value Per Common Share |
$ | 23.74 | $ | 28.98 | ||||
Cost of investments in securities |
$ | 5,430,022 | $ | 2,367,356 | ||||
Cost of Investments in Affiliates |
$ | 7,639 | $ | 0 | ||||
Cost of foreign currency held |
$ | 8,565 | $ | 3,109 | ||||
Cost or premiums of financial derivative instruments, net |
$ | (2,621 | ) | $ | (46,412 | ) | ||
* Includes repurchase agreements of: |
$ | 97,864 | $ | 97,512 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2018 | 21 |
Year Ended June 30, 2018 | ||||||||||||||||
(Amounts in thousands) | PCM Fund, Inc. |
PIMCO Global StocksPLUS® & Income Fund |
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
||||||||||||
Investment Income: |
||||||||||||||||
Interest |
$ | 13,753 | $ | 14,395 | $ | 43,196 | $ | 38,843 | ||||||||
Dividends |
45 | 152 | 1,111 | 23 | ||||||||||||
Total Income |
13,798 | 14,547 | 44,307 | 38,866 | ||||||||||||
Expenses: |
||||||||||||||||
Management fees |
1,689 | 1,742 | 6,211 | 3,102 | ||||||||||||
Trustee fees and related expenses |
14 | 14 | 46 | 42 | ||||||||||||
Interest expense |
1,936 | 1,055 | 5,174 | 2,843 | ||||||||||||
Miscellaneous expense |
1 | 9 | 24 | 5 | ||||||||||||
Total Expenses |
3,640 | 2,820 | 11,455 | 5,992 | ||||||||||||
Net Investment Income (Loss) |
10,158 | 11,727 | 32,852 | 32,874 | ||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||
Investments in securities |
806 | (50 | ) | 4,737 | 1,644 | |||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
2,823 | 3,269 | 687 | 12,230 | ||||||||||||
Over the counter financial derivative instruments |
293 | 1,877 | 871 | 1,065 | ||||||||||||
Short sales |
(1 | ) | (1 | ) | (1 | ) | (2 | ) | ||||||||
Foreign currency |
0 | 85 | 116 | (104 | ) | |||||||||||
Net Realized Gain (Loss) |
3,921 | 5,180 | 6,410 | 14,833 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||
Investments in securities |
1,277 | (6,226 | ) | (5,003 | ) | (29,921 | ) | |||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(3,634 | ) | (3,836 | ) | (4,364 | ) | (804 | ) | ||||||||
Over the counter financial derivative instruments |
546 | 2,578 | 2,062 | 851 | ||||||||||||
Foreign currency assets and liabilities |
3 | 296 | 714 | (61 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) |
(1,808 | ) | (7,188 | ) | (6,591 | ) | (29,935 | ) | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 12,271 | $ | 9,719 | $ | 32,671 | $ | 17,772 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
22 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Consolidated Statements of Operations
Year Ended June 30, 2018 | ||||||||
(Amounts in thousands) | PIMCO Dynamic Credit and Mortgage Income Fund |
PIMCO Dynamic Income Fund |
||||||
Investment Income: |
||||||||
Interest |
$ | 401,067 | $ | 208,675 | ||||
Dividends |
2,736 | 610 | ||||||
Total Income |
403,803 | 209,285 | ||||||
Expenses: |
||||||||
Management fees |
67,185 | 29,060 | ||||||
Trustee fees and related expenses |
420 | 172 | ||||||
Interest expense |
67,907 | 30,150 | ||||||
Miscellaneous expense |
238 | 78 | ||||||
Total Expenses |
135,750 | 59,460 | ||||||
Net Investment Income (Loss) |
268,053 | 149,825 | ||||||
Net Realized Gain (Loss): |
||||||||
Investments in securities |
44,337 | (733 | ) | |||||
Exchange-traded or centrally cleared financial derivative instruments |
(36,458 | ) | (1,001 | ) | ||||
Over the counter financial derivative instruments |
2,240 | 1,534 | ||||||
Short sales |
(55 | ) | (7 | ) | ||||
Foreign currency |
4,219 | 501 | ||||||
Net Realized Gain (Loss) |
14,283 | 294 | ||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||
Investments in securities |
82,311 | 4,864 | ||||||
Investments in Affiliates |
3,216 | 0 | ||||||
Exchange-traded or centrally cleared financial derivative instruments |
(8,012 | ) | (6,189 | ) | ||||
Over the counter financial derivative instruments |
11,665 | 6,393 | ||||||
Foreign currency assets and liabilities |
11,680 | 1,981 | ||||||
Net Change in Unrealized Appreciation (Depreciation) |
100,860 | 7,049 | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 383,196 | $ | 157,168 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2018 | 23 |
Statements of Changes in Net Assets
PCM Fund, Inc. | PIMCO Global StocksPLUS® & Income Fund |
|||||||||||||||
(Amounts in thousands) | Year Ended June 30, 2018 |
Year Ended June 30, 2017 |
Year Ended June 30, 2018 |
Year Ended June 30, 2017 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 10,158 | $ | 11,304 | $ | 11,727 | $ | 12,253 | ||||||||
Net realized gain (loss) |
3,921 | (289 | ) | 5,180 | 22,795 | |||||||||||
Net change in unrealized appreciation (depreciation) |
(1,808 | ) | 10,943 | (7,188 | ) | (577 | ) | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
12,271 | 21,958 | 9,719 | 34,471 | ||||||||||||
Distributions to Common Shareholders: |
||||||||||||||||
From net investment income |
(11,341 | ) | (16,862 | ) | (15,394 | ) | (17,812 | ) | ||||||||
Tax basis return of capital |
0 | 0 | (1,915 | ) | (2,117 | ) | ||||||||||
Total Distributions to Common Shareholders(a) |
(11,341 | ) | (16,862 | ) | (17,309 | ) | (19,929 | ) | ||||||||
Common Share Transactions**: |
||||||||||||||||
Issued as reinvestment of distributions |
180 | 207 | 1,256 | 1,369 | ||||||||||||
Total increase (decrease) in Net Assets |
1,110 | 5,303 | (6,334 | ) | 15,911 | |||||||||||
Net Assets Applicable to Common Shareholders: |
||||||||||||||||
Beginning of year |
117,402 | 112,099 | 119,538 | 103,627 | ||||||||||||
End of year* |
$ | 118,512 | $ | 117,402 | $ | 113,204 | $ | 119,538 | ||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | 1,275 | $ | 1,113 | $ | (1,570 | ) | $ | (2,155 | ) | ||||||
** Common Share Transactions: |
||||||||||||||||
Shares issued as reinvestment of distributions |
17 | 21 | 85 | 80 |
| 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. |
24 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
PIMCO Income Opportunity Fund |
PIMCO Strategic Income Fund, Inc. |
|||||||||||||
Year Ended June 30, 2018 |
Year Ended June 30, 2017 |
Year Ended June 30, 2018 |
Year Ended June 30, 2017 |
|||||||||||
$ | 32,852 | $ | 34,274 | $ | 32,874 | $ | 29,460 | |||||||
6,410 | 4,439 |