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: 811-07816
PCM 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, 2016
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, 2016
PCM Fund, Inc.
PIMCO Global StocksPLUS® & Income Fund
PIMCO Income Opportunity Fund
PIMCO Strategic Income Fund, Inc.
PIMCO Dynamic Credit and Mortgage Income Fund
(formerly PIMCO Dynamic Credit 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 financial markets generated mixed results during the reporting period. Investor sentiment fluctuated as investors reacted to incoming economic data, shifting monetary policy, volatile commodity prices and numerous geopolitical issues.
Outside of the reporting period, PIMCO announced on July 19, 2016 that the firms Managing Directors have appointed Emmanuel (Manny) Roman as PIMCOs next Chief Executive Officer. PIMCOs current CEO Douglas Hodge will assume a new role as Managing Director and Senior Advisor when Mr. Roman joins PIMCO on November 1st. The announcement of Mr. Roman as PIMCOs CEO is the culmination of a process undertaken by the firm to hire a senior executive who would add leadership and strategic insights combined with a deep appreciation of PIMCOs diversified global businesses, investment process and focus on superior investment performance and client service. Mr. Romans appointment has the full support of the firms leadership including Mr. Hodge, PIMCOs President Jay Jacobs, the firms Executive Committee and its Managing Directors. Mr. Roman has nearly 30 years of experience in the investment industry, with expertise in fixed income and proven executive leadership, most recently as CEO of Man Group PLC, one of the worlds largest publicly traded alternative asset managers and leader in liquid, high-alpha investment strategies.
For the 12-month reporting period ended June 30, 2016
Despite a number of headwinds, the U.S. economy was resilient and continued to expand during the reporting period. That being said, the pace was far from robust. Looking back, U.S. gross domestic product (GDP), which represents the value of goods and services produced in the country, the broadest measure of economic activity and the principal indicator of economic performance, expanded at a 2.0% annual pace during the third quarter of 2015. Economic activity then decelerated, as GDP grew at a revised 0.9% and 0.8% annual pace during the fourth quarter of 2015 and first quarter of 2016, respectively. Finally, the Commerce Departments initial reading released after the reporting period had ended showed that second quarter 2016 GDP grew at an annual pace of 1.2%.
At its meeting in December 2015, the Federal Reserve (Fed) took its initial step toward normalizing monetary policy. In particular, the Fed raised interest rates from a range between 0% and 0.25% to a range between 0.25% and 0.50%. However, since that time the Fed has remained on hold. In its official statement following the Feds June 2016 meeting it said, The Committee expects that economic conditions will evolve in a manner that will warrant only gradual increases in the federal funds rate; the federal funds rate is likely to remain, for some time, below levels that are expected to prevail in the longer run.
Economic activity outside the U.S. was mixed during the reporting period. In the eurozone, underlying economies gradually improved from low levels due to better domestic demand, while low inflation remained a concern. Against this backdrop, the European Central Bank (ECB) introduced additional easing measures, including the purchase of corporate bonds in an attempt to stimulate growth and spur inflation. The Bank of Japan also continued to pursue highly accommodative monetary policy. While the Bank of England kept rates on hold, British voters decision in June 2016 to leave the European Union (Brexit) led to speculation that the countrys central bank would lower rates in the near future. Elsewhere, economic activity in China moderated, which impacted growth in many emerging market economies.
Commodity prices were highly volatile during the reporting period. Crude oil declined from $59 to $37 during the first half of the period and then rallied to $48 at the end of June 2016. Finally, foreign exchange markets fluctuated given economic data, central bank policy and, most recently, Brexit, which sent the pound sharply lower.
2 | PIMCO CLOSED-END FUNDS |
Outlook
PIMCOs baseline view is for a version of todays status quo to continue and evolve gradually for the next three to five years. More specifically, PIMCO foresees U.S. GDP growth at or slightly above trend of 1.5% to 2% per year, inflation fluctuating around the 2% Feds target, the Fed gradually lifting the federal funds rate to the New Neutral range of 2% to 3% nominal and fiscal policy providing modest positive support to aggregate demand.
Overseas, PIMCOs baseline view for the eurozone is for lackluster, trend-like growth between 1% and 1.5% per year, with inflation remaining somewhat below 2%. In terms of monetary policy, PIMCO sees the ECB continuing to do the heavy lifting and eventually even pursuing an extension of the quantitative easing (QE) program. PIMCOs baseline view sees modest positive support for European growth from fiscal policy, over the next three to five years. Finally, for China, PIMCOs baseline view is that of a managed slowdown, with growth between 5% and 6% and inflation around 2%.
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, 2016.
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, 2016 | 3 |
Important Information About the Funds
4 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2016 | 5 |
Important Information About the Funds (Cont.)
6 | PIMCO CLOSED-END FUNDS |
ANNUAL REPORT | JUNE 30, 2016 | 7 |
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. |
8 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PCM |
Average Annual Total Return(1) for the period ended June 30, 2016 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (09/02/93) |
|||||||||||||
Market Price | 6.91% | 6.82% | 7.68% | 8.20% | ||||||||||||
NAV | 0.14% | 9.20% | 9.80% | 8.78% |
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, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | PCMs primary investment objective is to seek to achieve high current income. Capital gains from the disposition of investments are a secondary objective of the Fund. |
Fund Insights at NAV
Following are key factors impacting the Funds performance during the reporting period:
» | The Funds exposure to U.S. interest rates was the primary contributor to performance, as interest rates rallied significantly. |
» | The Funds allocation to commercial mortgage-backed securities (CMBS) contributed to performance. The sector performed well, with the Barclays Non-Agency Investment Grade CMBS Index outperforming like-duration Treasuries. |
» | The Funds allocation to non-agency mortgage-backed securities contributed to returns. The sector continued to benefit from an improving U.S. housing market and limited outstanding supply. |
» | The Funds allocation to intermediate-term investment grade corporate bonds was a modest contributor to performance. The sector performed well, with the Barclays Intermediate U.S. Corporate Index outperforming like-duration Treasuries. |
» | The Funds allocation to high yield corporate bonds was the primary detractor from performance. The asset class faced headwinds from lower energy prices, financial market volatility and mutual fund withdrawals, while subordinate bonds from financial issuers experienced weakness following the outcome of the U.K.s referendum to leave the European Union. |
ANNUAL REPORT | JUNE 30, 2016 | 9 |
PIMCO Global StocksPLUS® & Income Fund
Symbol on NYSE - PGP |
Average Annual Total Return(1) for the period ended June 30, 2016 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (05/31/05) |
|||||||||||||
Market Price | 31.38% | 7.98% | 13.19% | 12.62% | ||||||||||||
NAV | (7.04)% | 9.97% | 10.14% | 10.78% |
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, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | PIMCO Global StocksPLUS® & Income Funds primary investment objective is to seek total return comprised of current income, current gains and long-term capital appreciation. |
Fund Insights at NAV
Following are key factors impacting the Funds performance during the reporting period:
» | A yield curve steepening strategy, implemented through U.S. dollar interest rate swaps, was the primary detractor from performance, as the swap curve flattened. |
» | Exposure to the MSCI EAFE Index through equity index derivatives detracted from absolute returns. International equities (as represented by the MSCI EAFE Index) declined 10.83% over the 12 months ended June 30, 2016. |
» | The Funds allocation to high yield corporate bonds detracted from performance. The asset class faced headwinds from lower energy prices, financial market volatility and mutual fund withdrawals, while subordinate bonds from financial issuers experienced weakness following the outcome of the U.K.s referendum to leave the European Union. |
» | Exposure to residential non-agency mortgage-backed securities added modestly to performance, as these securities benefited from an improving housing market and limited outstanding supply. |
» | The Funds allocation to commercial mortgage-backed securities (CMBS) contributed to performance. The sector performed well, with the Barclays Investment Grade Non-Agency CMBS Index outperforming like-duration Treasuries. |
» | 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. |
10 | PIMCO CLOSED-END FUNDS |
Symbol on NYSE - PKO |
Average Annual Total Return(1) for the period ended June 30, 2016 | ||||||||||||
1 Year | 5 Year | Commencement of Operations (11/30/07) |
||||||||||
Market Price | 7.87% | 8.30% | 11.06% | |||||||||
NAV | (1.83)% | 9.36% | 11.40% |
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, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | PIMCO Income Opportunity Funds investment objective is to seek current income as a primary focus and also capital appreciation. |
Fund Insights at NAV
Following are key factors impacting the Funds performance during the reporting period:
» | The Funds allocation to high yield corporate bonds was the primary detractor from performance. The asset class faced headwinds from lower energy prices, financial market volatility and mutual fund withdrawals, while subordinate bonds from financial issuers experienced weakness following the outcome of the U.K.s referendum to leave the European Union. |
» | Within the high yield corporate bond market, exposure to financials, industrials, capital goods, telecommunications and utility credits detracted from results. |
» | Exposure to local and hard currency-denominated Brazilian debt was a major detractor from returns. Brazil was negatively impacted by its slowing economy, high inflation and a political crisis. |
» | The Funds exposure to U.S. interest rates benefited performance, as interest rates rallied. This positive impact, however, was partially offset by strategies designed to benefit from rising long-term interest rates, as the yield curve flattened. |
» | The Funds exposure to U.S. dollar-denominated Russian quasi-sovereign bonds contributed to returns. Spreads on these issues continued to retrace much of the widening that occurred in recent years, as geopolitical tensions in the region eased and investor sentiment improved. |
ANNUAL REPORT | JUNE 30, 2016 | 11 |
PIMCO Strategic Income Fund, Inc.
Symbol on NYSE - RCS |
Average Annual Total Return(1) for the period ended June 30, 2016 | ||||||||||||||||
1 Year | 5 Year | 10 Year | Commencement of Operations (02/24/94) |
|||||||||||||
Market Price | 24.14% | 8.41% | 11.23% | 9.34% | ||||||||||||
NAV | 4.06% | 8.55% | 10.85% | 8.63% |
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, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | The primary investment objective of PIMCO Strategic Income Fund, Inc. is to seek 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
Following are key factors impacting the Funds performance during the reporting period:
» | The Funds allocation to agency mortgage-backed securities was the primary contributor to performance, as the sector benefited from continued Federal Reserve reinvestment activity. |
» | The Funds exposure to U.S. dollar-denominated Russian quasi-sovereign bonds contributed to returns. Spreads on these issues continued to retrace much of the widening that occurred in recent years, as geopolitical tensions in the region eased and investor sentiment improved. |
» | The Funds allocation to select high yield energy corporate bonds added to performance despite weakness in broader high yield corporate bond and commodity markets. |
» | The Funds allocation to intermediate-term investment grade corporate bonds was a modest contributor to performance. The sector performed well, with the Barclays Intermediate U.S. Corporate Index outperforming like-duration Treasuries. |
» | The Funds exposure to European residential mortgage-backed securities detracted from performance following the outcome of the U.K.s referendum to leave the European Union. |
12 | 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, 2016 | ||||||||
1 Year | Commencement of Operations (01/31/13) |
|||||||
Market Price | 6.69% | 2.52% | ||||||
NAV | (1.36)% | 5.15% |
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, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | PIMCO Dynamic Credit and Mortgage Income Funds (formerly PIMCO Dynamic Credit Income Fund) primary investment objective is to seek current income and capital appreciation is a secondary objective. |
Fund Insights at NAV
Following are key factors impacting the Funds performance during the reporting period:
» | The Funds allocation to high yield corporate bonds was the primary detractor from performance. The asset class faced headwinds from lower energy prices, financial market volatility and mutual fund withdrawals, while subordinate bonds from financial issuers experienced weakness following the outcome of the U.K.s referendum to leave the European Union. |
» | Exposure to local and hard currency-denominated Brazilian debt was a significant detractor from returns. Brazil was negatively impacted by its slowing economy, high inflation and a political crisis. |
» | The Funds exposure to U.S. interest rates strongly benefited performance, as interest rates rallied. This positive impact, however, was partially offset by strategies designed to benefit from rising long-term interest rates, as the yield curve flattened. |
» | The Funds allocation to commercial mortgage-backed securities (CMBS) contributed to performance. The sector performed well, with the Barclays Investment Grade Non-Agency CMBS Index outperforming like-duration Treasuries. |
» | The Funds allocation to intermediate-term investment grade corporate bonds contributed to performance. The sector performed well, with the Barclays Intermediate U.S. Corporate Index outperforming like-duration Treasuries. |
ANNUAL REPORT | JUNE 30, 2016 | 13 |
Symbol on NYSE - PDI |
Average Annual Total Return(1) for the period ended June 30, 2016 | ||||||||
1 Year | Commencement of Operations (05/30/12) |
|||||||
Market Price | 13.75% | 16.54% | ||||||
NAV | 1.79% | 16.91% |
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, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distributions tax character will be made on Form 1099 DIV sent to shareholders each January. |
(3) | Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively Total Effective Leverage). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage). |
Investment Objective and Strategy Overview
» | PIMCO Dynamic Income Funds primary investment objective is to seek current income, with capital appreciation as a secondary objective. |
Fund Insights at NAV
Following are key factors impacting the Funds performance during the reporting period:
» | The Funds exposure to U.S. interest rates was the primary contributor to performance as interest rates rallied significantly. |
» | The Funds allocation to non-agency mortgage-backed securities contributed to returns. The sector continued to benefit from an improving U.S. housing market and limited outstanding supply. |
» | The Funds allocation to commercial mortgage-backed securities (CMBS) contributed to performance. The sector performed well, with the Barclays Investment Grade Non-Agency CMBS Index outperforming like-duration Treasuries. |
» | The Funds allocation to intermediate-term investment grade corporate bonds was a modest contributor to performance. The sector performed well, with the Barclays Intermediate U.S. Corporate Index outperforming like-duration Treasuries. |
» | The Funds exposure to U.S. dollar-denominated Russian quasi-sovereign bonds contributed to returns. Spreads on these issues continued to retrace much of the widening that occurred in recent years, as geopolitical tensions in the region eased and investor sentiment improved. |
» | The Funds allocation to high yield corporate bonds was the primary detractor from performance. The asset class faced headwinds from lower energy prices, financial market volatility and mutual fund withdrawals, while subordinate bonds from financial issuers experienced weakness following the outcome of the U.K.s referendum to leave the European Union. |
14 | PIMCO CLOSED-END FUNDS |
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ANNUAL REPORT | JUNE 30, 2016 | 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 |
Realized Capital Gain (Loss) |
Tax Basis Return of Capital |
Total | |||||||||||||||||||||||||||||
PCM Fund, Inc. |
||||||||||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
12/31/2011 |
9.88 | 1.13 | (0.47 | ) | 0.66 | (1.06 | ) | 0.00 | 0.00 | (1.06 | ) | |||||||||||||||||||||||||
PIMCO Global StocksPLUS® & Income Fund |
||||||||||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
03/31/2012 |
14.88 | 1.61 | (1.72 | ) | (0.11 | ) | (2.20 | ) | 0.00 | 0.00 | (2.20 | ) | ||||||||||||||||||||||||
PIMCO Income Opportunity Fund |
||||||||||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
10/31/2011 |
26.97 | 3.24 | (2.20 | ) | 1.04 | (3.39 | ) | 0.00 | 0.00 | (3.39 | ) | |||||||||||||||||||||||||
PIMCO Strategic Income Fund, Inc. |
||||||||||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
01/31/2012 |
9.97 | 1.36 | (1.03 | ) | 0.33 | (1.39 | ) | 0.00 | 0.00 | (1.39 | ) | |||||||||||||||||||||||||
PIMCO Dynamic Credit and Mortgage Income Fund (Consolidated) |
||||||||||||||||||||||||||||||||||||
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) |
||||||||||||||||||||||||||||||||||||
06/30/2016 |
$ | 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 | ) | |||||||||||||||||||||||||
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(c) in the Notes to Financial Statements for more information. |
(c) | Total investment return is calculated assuming a purchase of a share at the market price on the first day and a sale of a share at the market price on the last day of each year reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares. |
(d) | Interest expense primarily relates to participation in borrowing and financing transactions. See Note 5 in the Notes to Financial Statements for more information. |
(e) | Fiscal year end changed from December 31st to June 30th. |
(f) | Fiscal year end changed from March 31st to June 30th. |
g) | Fiscal year end changed from October 31st to June 30th. |
(h) | Fiscal year end changed from January 31st to June 30th. |
(i) | Total distributions for the period ended June 30, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended June 30, 2015. |
16 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Common Share | Ratios/Supplemental Data | |||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||||||
Offering Cost Charged to Paid in Capital in Excess of Par |
Net 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 Interest Expense(d) |
Net Investment Income |
Portfolio Turnover Rate |
||||||||||||||||||||||||||||||
$ | N/A | $ | 9.71 | $ | 9.72 | 6.91 | % | $ | 112,099 | 2.69 | % | 1.58 | % | 12.25 | % | 12 | % | |||||||||||||||||||||
N/A | 10.68 | 10.05 | (1.28 | ) | 123,235 | 2.26 | * | 1.54 | * | 8.32 | * | 20 | ||||||||||||||||||||||||||
N/A | 10.72 | 10.65 | 0.34 | 123,633 | 1.89 | 1.40 | 8.38 | 11 | ||||||||||||||||||||||||||||||
N/A | 11.17 | 11.65 | 6.49 | 128,672 | 2.05 | 1.52 | 9.75 | 6 | ||||||||||||||||||||||||||||||
N/A | 11.35 | 12.02 | 23.34 | 130,461 | 2.59 | 1.76 | 10.05 | 13 | ||||||||||||||||||||||||||||||
N/A | 9.48 | 10.77 | 10.43 | 108,810 | 2.44 | 1.75 | 11.30 | 26 | ||||||||||||||||||||||||||||||
$ | N/A | $ | 9.76 | $ | 19.53 | 31.38 | % | $ | 103,627 | 2.75 | % | 1.82 | % | 10.56 | % | 26 | % | |||||||||||||||||||||
N/A | 12.88 | 16.92 | (21.82 | ) | 135,468 | 2.34 | * | 1.72 | * | 10.35 | * | 3 | ||||||||||||||||||||||||||
N/A | 12.82 | 22.27 | 4.05 | 134,594 | 2.30 | 1.78 | 8.29 | 92 | ||||||||||||||||||||||||||||||
N/A | 14.72 | 23.67 | 19.44 | 153,393 | 1.94 | 1.67 | 9.62 | 197 | ||||||||||||||||||||||||||||||
N/A | 14.32 | 21.95 | 21.57 | 148,170 | 2.64 | 2.10 | 10.75 | 33 | ||||||||||||||||||||||||||||||
N/A | 12.57 | 20.18 | (8.00 | ) | 128,952 | 2.71 | 2.12 | 12.70 | 90 | |||||||||||||||||||||||||||||
$ | N/A | $ | 22.59 | $ | 23.00 | 7.87 | % | $ | 338,292 | 2.63 | % | 1.73 | % | 9.99 | % | 16 | % | |||||||||||||||||||||
N/A | 25.94 | 24.20 | 0.22 | 388,353 | 2.43 | * | 1.79 | * | 8.93 | * | 14 | |||||||||||||||||||||||||||
N/A | 28.38 | 27.26 | 4.39 | 424,632 | 2.01 | 1.65 | 9.44 | 175 | ||||||||||||||||||||||||||||||
N/A | 28.67 | 28.90 | 6.81 | 426,561 | 1.93 | 1.66 | 10.03 | 65 | ||||||||||||||||||||||||||||||
N/A | 27.86 | 29.85 | 26.98 | 411,976 | 2.29 | 1.86 | 10.38 | 57 | ||||||||||||||||||||||||||||||
N/A | 24.62 | 26.45 | 11.68 | 359,909 | 2.44 | 1.93 | 12.40 | 194 | ||||||||||||||||||||||||||||||
$ | N/A | $ | 7.89 | $ | 9.61 | 24.14 | % | $ | 332,051 | 1.27 | % | 0.96 | % | 9.43 | % | 39 | % | |||||||||||||||||||||
N/A | 8.58 | 8.69 | (5.81 | ) | 357,692 | 1.16 | * | 0.96 | * | 8.58 | * | 17 | ||||||||||||||||||||||||||
N/A | 8.57 | 9.65 | 5.92 | 355,942 | 1.18 | 0.98 | 10.01 | 90 | ||||||||||||||||||||||||||||||
N/A | 9.24 | 10.12 | (4.58 | ) | 379,762 | 1.39 | 1.00 | 10.48 | 208 | |||||||||||||||||||||||||||||
N/A | 9.66 | 11.84 | 12.21 | 392,317 | 1.55 | 1.00 | 11.14 | 293 | ||||||||||||||||||||||||||||||
N/A | 8.91 | 11.80 | 28.34 | 357,712 | 1.48 | 1.01 | 14.27 | 147 | ||||||||||||||||||||||||||||||
$ | N/A | $ | 20.43 | $ | 19.13 | 6.69 | % | $ | 2,804,003 | 3.20 | % | 2.03 | % | 9.63 | % | 26 | % | |||||||||||||||||||||
N/A | 23.00 | 20.18 | 2.23 | 3,155,689 | 2.63 | * | 1.97 | * | 6.71 | * | 31 | |||||||||||||||||||||||||||
(0.00 | )^ | 22.83 | 20.65 | 2.68 | 3,132,146 | 2.36 | 1.91 | 7.29 | 35 | |||||||||||||||||||||||||||||
(0.01 | ) | 24.04 | 22.48 | (2.79 | ) | 3,298,673 | 1.52 | * | 1.42 | * | 6.06 | * | 76 | |||||||||||||||||||||||||
$ | N/A | $ | 26.56 | $ | 27.57 | 13.75 | % | $ | 1,222,499 | 3.60 | % | 2.12 | % | 13.67 | % | 13 | % | |||||||||||||||||||||
N/A | 31.38 | 29.21 | 2.87 | 1,426,891 | 2.83 | * | 2.01 | * | 10.23 | * | 5 | |||||||||||||||||||||||||||
N/A | 30.74 | 29.00 | 9.04 | 1,397,987 | 3.12 | 2.12 | 9.98 | 10 | ||||||||||||||||||||||||||||||
N/A | 32.11 | 30.32 | 9.62 | 1,458,961 | 3.15 | 2.17 | 11.90 | 18 | ||||||||||||||||||||||||||||||
(0.03 | ) | 30.69 | 31.10 | 35.21 | 1,393,099 | 2.91 | * | 2.04 | * | 12.04 | * | 16 |
ANNUAL REPORT | JUNE 30, 2016 | 17 |
Statements of Assets and Liabilities
June 30, 2016
(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* |
$ | 193,010 | $ | 164,613 | $ | 557,766 | $ | 848,893 | ||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
17 | 1,231 | 220 | 796 | ||||||||||||
Over the counter |
0 | 392 | 2,827 | 2,494 | ||||||||||||
Cash |
422 | 2 | 90 | 79 | ||||||||||||
Deposits with counterparty |
1,596 | 19,201 | 2,479 | 2,154 | ||||||||||||
Foreign currency, at value |
0 | 53 | 344 | 485 | ||||||||||||
Receivable for investments sold |
5,553 | 2,345 | 5,176 | 11 | ||||||||||||
Receivable for mortgage dollar rolls |
0 | 0 | 0 | 268,511 | ||||||||||||
Interest and/or dividends receivable |
1,051 | 1,225 | 3,490 | 2,926 | ||||||||||||
Other assets |
2 | 2 | 3 | 3 | ||||||||||||
Total Assets |
201,651 | 189,064 | 572,395 | 1,126,352 | ||||||||||||
Liabilities: |
||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||
Payable for reverse repurchase agreements |
$ | 86,869 | $ | 78,833 | $ | 220,193 | $ | 103,332 | ||||||||
Payable for sale-buyback transactions |
0 | 0 | 0 | 39,895 | ||||||||||||
Payable for mortgage dollar rolls |
0 | 0 | 0 | 268,511 | ||||||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
6 | 1,211 | 9 | 22 | ||||||||||||
Over the counter |
1,580 | 1,656 | 5,728 | 2,054 | ||||||||||||
Payable for investments purchased |
0 | 1,600 | 2,274 | 14 | ||||||||||||
Payable for TBA investments purchased |
0 | 0 | 0 | 370,541 | ||||||||||||
Deposits from counterparty |
0 | 20 | 2,561 | 6,001 | ||||||||||||
Distributions payable to common shareholders |
924 | 1,946 | 2,846 | 3,369 | ||||||||||||
Accrued management fees |
143 | 165 | 479 | 258 | ||||||||||||
Other liabilities |
30 | 6 | 13 | 304 | ||||||||||||
Total Liabilities |
89,552 | 85,437 | 234,103 | 794,301 | ||||||||||||
Net Assets |
$ | 112,099 | $ | 103,627 | $ | 338,292 | $ | 332,051 | ||||||||
Net Asset Consist of: |
||||||||||||||||
Shares: |
||||||||||||||||
Par value ($0.001 per share), ($0.00001 per share), ($0.00001 per share), ($0.00001 per share) |
$ | 12 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Paid in capital in excess of par |
125,582 | 231,876 | 343,299 | 367,626 | ||||||||||||
Undistributed (overdistributed) net investment income |
4,244 | (2,326 | ) | (4,500 | ) | (1,926 | ) | |||||||||
Accumulated undistributed net realized (loss) |
(15,925 | ) | (136,224 | ) | (7,035 | ) | (51,825 | ) | ||||||||
Net unrealized appreciation (depreciation) |
(1,814 | ) | 10,301 | 6,528 | 18,176 | |||||||||||
Net Assets Applicable to Common Shareholders |
$ | 112,099 | $ | 103,627 | $ | 338,292 | $ | 332,051 | ||||||||
Common Shares Issued and Outstanding |
11,542 | 10,614 | 14,977 | 42,116 | ||||||||||||
Net Asset Value Per Common Share |
$ | 9.71 | $ | 9.76 | $ | 22.59 | $ | 7.89 | ||||||||
Cost of investments in securities |
$ | 194,952 | $ | 157,664 | $ | 551,852 | $ | 822,455 | ||||||||
Cost of foreign currency held |
$ | 0 | $ | 53 | $ | 350 | $ | 469 | ||||||||
Cost or premiums of financial derivative instruments, net |
$ | (1,628 | ) | $ | (1,488 | ) | $ | (5,360 | ) | $ | (701 | ) | ||||
* Includes repurchase agreements of: |
$ | 5,100 | $ | 2,005 | $ | 24,770 | $ | 12,099 |
| 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, 2016
(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* |
$ | 5,055,464 | $ | 2,257,021 | ||||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
4,504 | 2,039 | ||||||
Over the counter |
20,666 | 12,378 | ||||||
Cash |
737 | 153 | ||||||
Deposits with counterparty |
103,212 | 29,710 | ||||||
Receivable for investments sold |
66,882 | 5,464 | ||||||
Interest and/or dividends receivable |
26,606 | 9,888 | ||||||
Other assets |
12 | 5 | ||||||
Total Assets |
5,278,083 | 2,316,658 | ||||||
Liabilities: |
||||||||
Borrowings & Other Financing Transactions |
||||||||
Payable for reverse repurchase agreements |
$ | 2,380,836 | $ | 1,028,000 | ||||
Financial Derivative Instruments |
||||||||
Exchange-traded or centrally cleared |
1,944 | 691 | ||||||
Over the counter |
14,687 | 21,637 | ||||||
Payable for investments purchased |
29,193 | 19,299 | ||||||
Deposits from counterparty |
19,376 | 12,099 | ||||||
Distributions payable to common shareholders |
22,513 | 10,148 | ||||||
Overdraft due to custodian |
593 | 112 | ||||||
Accrued management fees |
4,831 | 2,124 | ||||||
Other liabilities |
107 | 49 | ||||||
Total Liabilities |
2,474,080 | 1,094,159 | ||||||
Net Assets Applicable to Common Shareholders |
$ | 2,804,003 | $ | 1,222,499 | ||||
Composition of Net Assets Applicable to Common Shareholders: |
||||||||
Par value ($0.00001 per share) |
$ | 1 | $ | 0 | ||||
Paid in capital in excess of par |
3,274,226 | 1,101,390 | ||||||
Undistributed (overdistributed) net investment income |
40,338 | 35,233 | ||||||
Accumulated undistributed net realized (loss) |
(233,853 | ) | (23,016 | ) | ||||
Net unrealized appreciation (depreciation) |
(276,709 | ) | 108,892 | |||||
Net Assets Applicable to Common Shareholders |
$ | 2,804,003 | $ | 1,222,499 | ||||
Common Shares Issued and Outstanding |
137,221 | 46,025 | ||||||
Net Asset Value Per Common Share |
$ | 20.43 | $ | 26.56 | ||||
Cost of investments in securities |
$ | 5,384,161 | $ | 2,156,321 | ||||
Cost or premiums of financial derivative instruments, net |
$ | (6,270 | ) | $ | (31,172 | ) | ||
* Includes repurchase agreements of: |
$ | 242,219 | $ | 104,632 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2016 | 19 |
Year Ended June 30, 2016 | ||||||||||||||||
(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* |
$ | 17,127 | $ | 15,237 | $ | 42,980 | $ | 36,295 | ||||||||
Dividends |
5 | 25 | 1,180 | 14 | ||||||||||||
Total Income |
17,132 | 15,262 | 44,160 | 36,309 | ||||||||||||
Expenses: |
||||||||||||||||
Management fees |
1,803 | 2,069 | 5,991 | 3,238 | ||||||||||||
Trustee fees and related expenses |
17 | 18 | 51 | 49 | ||||||||||||
Interest expense |
1,271 | 1,067 | 3,158 | 1,035 | ||||||||||||
Miscellaneous expense |
0 | 1 | 18 | 10 | ||||||||||||
Total Expenses |
3,091 | 3,155 | 9,218 | 4,332 | ||||||||||||
Net Investment Income |
14,041 | 12,107 | 34,942 | 31,977 | ||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||
Investments in securities |
1,799 | 1,107 | 1,587 | 1,374 | ||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
(307 | ) | 241 | (3,674 | ) | (19,203 | ) | |||||||||
Over the counter financial derivative instruments |
3,355 | (5,653 | ) | 7,197 | 3,046 | |||||||||||
Foreign currency |
0 | 20 | 603 | (16 | ) | |||||||||||
Net Realized Gain (Loss) |
4,847 | (4,285 | ) | 5,713 | (14,799 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||
Investments in securities |
(15,877 | ) | (12,306 | ) | (40,454 | ) | 3,003 | |||||||||
Exchange-traded or centrally cleared financial derivative instruments |
108 | (6,122 | ) | (2,667 | ) | (8,868 | ) | |||||||||
Over the counter financial derivative instruments |
(3,220 | ) | (275 | ) | (7,756 | ) | 1,321 | |||||||||
Foreign currency assets and liabilities |
0 | 691 | 1,731 | 55 | ||||||||||||
Net Change in Unrealized (Depreciation) |
(18,989 | ) | (18,012 | ) | (49,146 | ) | (4,489 | ) | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (101 | ) | $ | (10,190 | ) | $ | (8,491 | ) | $ | 12,689 | |||||
* 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, 2016 | ||||||||
(Amounts in thousands) | PIMCO Dynamic Credit and Mortgage Income Fund |
PIMCO Dynamic Income Fund |
||||||
Investment Income: |
||||||||
Interest, net of foreign taxes* |
$ | 368,116 | $ | 222,967 | ||||
Dividends |
7 | 622 | ||||||
Total Income |
368,123 | 223,589 | ||||||
Expenses: |
||||||||
Management fees |
57,918 | 27,247 | ||||||
Trustee fees and related expenses |
427 | 199 | ||||||
Interest expense |
33,458 | 19,102 | ||||||
Miscellaneous expense |
93 | 61 | ||||||
Total Expenses |
91,896 | 46,609 | ||||||
Net Investment Income |
276,227 | 176,980 | ||||||
Net Realized Gain (Loss): |
||||||||
Investments in securities |
(84,858 | ) | (23,907 | ) | ||||
Exchange-traded or centrally cleared financial derivative instruments |
(25,410 | ) | 3,245 | |||||
Over the counter financial derivative instruments |
25,586 | 20,502 | ||||||
Foreign currency |
(3,641 | ) | (37 | ) | ||||
Net Realized (Loss) |
(88,323 | ) | (197 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||
Investments in securities |
(276,391 | ) | (135,465 | ) | ||||
Exchange-traded or centrally cleared financial derivative instruments |
8,980 | (25,040 | ) | |||||
Over the counter financial derivative instruments |
(3,083 | ) | (594 | ) | ||||
Foreign currency assets and liabilities |
30,476 | 3,872 | ||||||
Net Change in Unrealized (Depreciation) |
(240,018 | ) | (157,227 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (52,114 | ) | $ | 19,556 | |||
* Foreign tax withholdings |
$ | 12 | $ | 0 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2016 | 21 |
Statements of Changes in Net Assets
PCM Fund, Inc. | PIMCO Global StocksPLUS® & Income Fund | |||||||||||||||||||||||||||
(Amounts in thousands) | Year Ended June 30, 2016 |
For the Period January 1, 2015 - June 30, 2015(a) |
Year Ended December 31, 2014 |
Year Ended June 30, 2016 |
For the Period April 1, 2015 - June 30, 2015(b) |
Year Ended March 31, 2015 |
||||||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||||||
Net investment income |
$ | 14,041 | $ | 5,058 | $ | 10,813 | $ | 12,107 | $ | 3,559 | $ | 12,039 | ||||||||||||||||
Net realized gain (loss) |
4,847 | 5,586 | 64 | (4,285 | ) | 8,310 | (19,967 | ) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) |
(18,989 | ) | (5,577 | ) | (4,000 | ) | (18,012 | ) | (5,604 | ) | 10,460 | |||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(101 | ) | 5,067 | 6,877 | (10,190 | ) | 6,265 | 2,532 | ||||||||||||||||||||
Distributions to Common Shareholders: |
||||||||||||||||||||||||||||
From net investment income |
(11,077 | ) | (5,537 | ) | (12,094 | ) | (21,340 | ) | (5,782 | ) | (23,021 | ) | ||||||||||||||||
From net realized capital gains |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||
Tax basis return of capital |
0 | 0 | 0 | (1,918 | ) | 0 | 0 | |||||||||||||||||||||
Total Distributions to Common Shareholders(e) |
(11,077 | ) | (5,537 | )(f) | (12,094 | ) | (23,258 | ) | (5,782 | )(f) | (23,021 | ) | ||||||||||||||||
Common Share Transactions**: |
||||||||||||||||||||||||||||
Issued as reinvestment of distributions |
42 | 72 | 178 | 1,607 | 391 | 1,690 | ||||||||||||||||||||||
Total Increase (Decrease) in Net Assets |
(11,136 | ) | (398 | ) | (5,039 | ) | (31,841 | ) | 874 | (18,799 | ) | |||||||||||||||||
Net Assets Applicable to Common Shareholders: |
||||||||||||||||||||||||||||
Beginning of year or period |
123,235 | 123,633 | 128,672 | 135,468 | 134,594 | 153,393 | ||||||||||||||||||||||
End of year or period* |
$ | 112,099 | $ | 123,235 | $ | 123,633 | $ | 103,627 | $ | 135,468 | $ | 134,594 | ||||||||||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | 4,244 | $ | (681 | ) | $ | (540 | ) | $ | (2,326 | ) | $ | (1,169 | ) | $ | (3,939 | ) | |||||||||||
** Common Share Transactions: |
||||||||||||||||||||||||||||
Shares issued as reinvestment of distributions |
4 | 7 | 16 | 96 | 18 | 78 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Fiscal year end changed from December 31st to June 30th. |
(b) | Fiscal year end changed from March 31st to June 30th. |
(c) | Fiscal year end changed from October 31st to June 30th. |
(d) | Fiscal year end changed from January 31st to June 30th. |
(e) | The tax characterization of distributions is determined in accordance with federal income tax regulations. See Note 2(c) in the Notes to Financial Statements for more information. |
(f) | Total distributions for the period ended June 30, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended June 30, 2015. |
22 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
PIMCO Income Opportunity Fund | PIMCO Strategic Income Fund, Inc. | |||||||||||||||||||||||||
Year Ended June 30, 2016 |
For the Period November 1, 2014 - June 30, 2015(c) |
Year Ended October 31, 2014 |
Year Ended June 30, 2016 |
For the Period February 1, 2015 - June 30, 2015(d) |
Year Ended January 31, 2015 |
|||||||||||||||||||||
$ | 34,942 | $ | 23,106 | $ | 40,467 | $ | 31,977 | $ | 12,571 | $ | 37,303 | |||||||||||||||
5,713 | (3,967 | ) | 18,425 | (14,799 | ) | 11,358 | 15,398 | |||||||||||||||||||
(49,146 | ) | (9,047 | ) | (20,170 | ) | (4,489 | ) | (7,166 | ) | (38,494 | ) | |||||||||||||||
|
(8,491 |
) |
10,092 | 38,722 | 12,689 | 16,763 | 14,207 | |||||||||||||||||||
(34,129 | ) | (34,865 | ) | (42,972 | ) | (41,907 | ) | (16,651 | ) | (42,226 | ) | |||||||||||||||
(7,634 | ) | (11,498 | ) | 0 | 0 | 0 | 0 | |||||||||||||||||||
0 | (224 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||
(41,763 | ) | (46,587 | )(f) | (42,972 | ) | (41,907 | ) | (16,651 | )(f) | (42,226 | ) | |||||||||||||||
193 | 216 | 2,321 | 3,577 | 1,638 | 4,199 | |||||||||||||||||||||
(50,061 | ) | (36,279 | ) | (1,929 | ) | (25,641 | ) | 1,750 | (23,820 | ) | ||||||||||||||||
388,353 | 424,632 | 426,561 | 357,692 | 355,942 | 379,762 | |||||||||||||||||||||
$ | 338,292 | $ | 388,353 | $ | 424,632 | $ | 332,051 | $ | 357,692 | $ | 355,942 | |||||||||||||||
$ | (4,500 | ) | $ | (5,419 | ) | $ | 6,094 | $ | (1,926 | ) | $ | 3,365 | $ | 2,692 | ||||||||||||
9 | 8 | 82 | 416 | 182 | 432 |
ANNUAL REPORT | JUNE 30, 2016 | 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, 2016 |
For the Period January 1, 2015 - June 30, 2015(a) |
Year Ended December 31, 2014 |
Year Ended June 30, 2016 |
For the Period April 1, 2015 - June 30, 2015(b) |
Year Ended March 31, 2015 |
||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||
Net investment income |
$ | 276,227 | $ | 104,043 | $ | 245,912 | $ | 176,980 | $ | 36,172 | $ | 147,564 | ||||||||||||
Net realized gain (loss) |
(88,323 | ) | 29,622 | 12,922 | (197 | ) | 37,320 | 76,891 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) |
(240,018 | ) | 18,523 | (85,852 | ) | (157,227 | ) | (15,937 | ) | (99,042 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(52,114 | ) | 152,188 | 172,982 | 19,556 | 57,555 | 125,413 | |||||||||||||||||
Distributions to Common Shareholders: |
||||||||||||||||||||||||
From net investment income |
(299,572 | ) | (128,645 | ) | (339,486 | ) | (193,676 | ) | (28,651 | ) | (187,696 | ) | ||||||||||||
From net realized capital gains |
0 | 0 | 0 | (45,024 | ) | 0 | 0 | |||||||||||||||||
Total Distributions to Common Shareholders(c) |
(299,572 | ) | (128,645 | )(d) | (339,486 | ) | (238,700 | ) | (28,651 | )(d) | (187,696 | ) | ||||||||||||
Common Share Transactions**: |
||||||||||||||||||||||||
Offering costs charged to paid in capital in excess of par |
0 | 0 | (23 | ) | 0 | 0 | 0 | |||||||||||||||||
Issued as reinvestment of distributions |
0 | 0 | 0 | 14,752 | 0 | 1,309 | ||||||||||||||||||
Net increase (decrease) resulting from common share transactions |
0 | 0 | (23 | ) | 14,752 | 0 | 1,309 | |||||||||||||||||
Total Increase (Decrease) in Net Assets |
(351,686 | ) | 23,543 | (166,527 | ) | (204,392 | ) | 28,904 | (60,974 | ) | ||||||||||||||
Net Assets Applicable to Common Shareholders: |
||||||||||||||||||||||||
Beginning of year or period |
3,155,689 | 3,132,146 | 3,298,673 | 1,426,891 | 1,397,987 | 1,458,961 | ||||||||||||||||||
End of year or period* |
$ | 2,804,003 | $ | 3,155,689 | $ | 3,132,146 | $ | 1,222,499 | $ | 1,426,891 | $ | 1,397,987 | ||||||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | 40,338 | $ | (9,006 | ) | $ | (24,101 | ) | $ | 35,233 | $ | 35,117 | $ | 22,795 | ||||||||||
** Common Share Transactions: |
||||||||||||||||||||||||
Shares issued as reinvestment of distributions |
0 | 0 | 0 | 546 | 0 | 41 |
| A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Fiscal year end changed from December 31st to June 30th. |
(b) | Fiscal year end changed from March 31st to June 30th. |
(c) | The tax characterization of distributions is determined in accordance with federal income tax regulations. See Note 2(c) in the Notes to Financial Statements for more information. |
(d) | 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. |
24 | PIMCO CLOSED-END FUNDS | See Accompanying Notes |
Year Ended June 30, 2016 |