N-CSR 1 d932669dncsr.htm N-CSR N-CSR

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)

Bradley Todd

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

Registrant’s telephone number, including area code: (844) 337-4626

Date of fiscal year end: June 30

Date of reporting period: June 30, 2020

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).


LOGO

 

PIMCO CLOSED-END FUNDS

Annual Report

 

June 30, 2020

 

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

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Fund’s website, pimco.com/literature, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

 

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by visiting pimco.com/edelivery or by contacting your financial intermediary, such as a broker-dealer or bank.

 

You may elect to receive all future reports in paper free of charge. If you own these shares through a financial intermediary, such as a broker-dealer or bank, you may contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 844.337.4626. Your election to receive reports in paper will apply to all funds held with the fund complex if you invest directly with the Fund or to all funds held in your account if you invest through a financial intermediary, such as a broker-dealer or bank.


Table of Contents

 

            Page  
     

Letter from the Chair of the Board & President

        2  

Important Information About the Funds

        4  

Financial Highlights

        14  

Statements of Assets and Liabilities

        16  

Consolidated Statements of Assets and Liabilities

        17  

Statements of Operations

        18  

Consolidated Statements of Operations

        19  

Statements of Changes in Net Assets

        20  

Consolidated Statements of Changes in Net Assets

        22  

Statements of Cash Flows

        23  

Consolidated Statements of Cash Flows

        24  

Notes to Financial Statements

        107  

Report of Independent Registered Public Accounting Firm

        135  

Glossary

        136  

Federal Income Tax Information

        137  

Distribution Information

        138  

Shareholder Meeting Results

        140  

Changes to Boards of Trustees/Changes to Portfolio Managers

        142  

Dividend Reinvestment Plan

        143  

Additional Information Regarding the Funds

        145  

Principal Investment Strategies

        146  

Principal Risks of the Funds

        166  

Risk Management Strategies

        188  

Effects of Leverage

        189  

Fundamental Investment Restrictions

        190  

Management of the Funds

        194  

Approval of Investment Management Agreement

        197  

Privacy Policy

        204  
     
Fund    Fund
Summary
     Schedule of
Investments
 
     

PCM Fund, Inc.

     7        25  

PIMCO Global StocksPLUS® & Income Fund

     8        35  

PIMCO Income Opportunity Fund

     9        48  

PIMCO Strategic Income Fund, Inc.

     10        64  

PIMCO Dynamic Credit and Mortgage Income Fund(1)

     11        76  

PIMCO Dynamic Income Fund(1)

     12        92  

 

  (1)  

Consolidated Schedule of Investments


Letter from the Chair of the Board & President

 

Dear Shareholder,

 

We hope that you and your family are staying safe and healthy during these challenging times. We continue to work tirelessly to navigate markets and manage the assets that you have entrusted with us. Following this letter is the PIMCO Closed-End Funds Annual Report, which covers the 12-month reporting period ended June 30, 2020. On the subsequent pages, you will find specific details regarding investment results and discussion of the factors that most affected performance during the reporting period.

 

For the 12-month reporting period ended June 30, 2020

 

The coronavirus took its toll on the U.S. economy, as it entered its first recession since the 2008 financial crisis. Looking back, U.S. gross domestic product (“GDP”) grew at a revised annual pace of 2.6% and 2.4% during the third and fourth quarters of 2019, respectively. The pandemic then caused the economy to significantly weaken, as annualized GDP growth in the first quarter of 2020 was -5.0%. The Commerce Department’s initial estimate for second quarter annualized GDP growth — released after the reporting period ended — was -32.9%. This represented the sharpest quarterly decline on record.

 

The Federal Reserve (the “Fed”) took unprecedented actions to support the economy and keep markets functioning properly. In early March 2020, the Fed lowered the federal funds rate to a range between 1.00% and 1.25%. Later in the month, the Fed lowered the rate to a range between 0.00% and 0.25%. On March 23, the Fed announced, “It has become clear that our economy will face severe disruptions. Aggressive efforts must be taken across the public and private sectors to limit the losses to jobs and incomes and to promote a swift recovery once the disruptions abate.” The Fed’s efforts included the ability to make unlimited purchases of Treasury and mortgage securities. It also announced that, for the first time, it would purchase existing corporate bonds on the open market. In addition, the U.S. government passed a $2 trillion fiscal stimulus bill to aid the economy in March.

 

In its June 2020 World Economic Outlook Update, the International Monetary Fund (“IMF”) stated that it expects the U.S. economy to contract 8.0% in 2020, compared to the 2.3% GDP expansion in 2019. Elsewhere, the IMF has also stated that it anticipates that 2020 GDP growth in the eurozone, U.K. and Japan will be -10.2%, -10.2% and -5.8%, respectively. For comparison purposes, the GDP of these economies expanded 1.3%, 1.4% and 0.7%, respectively, in 2019.

 

Against this backdrop, central banks around the world took a number of aggressive actions. In Europe, the European Central Bank (the “ECB”) unveiled a new 750 billion bond-buying program, which was subsequently expanded by another 600 billion in June 2020. Finally, in July — after the reporting period ended — the European Union agreed on a $2.06 trillion spending package to bolster its economy. In March, the Bank of England reduced its key lending rate to 0.10% — a record low. Elsewhere, the Bank of Japan maintained its short-term interest rates at -0.1%, while increasing the target for its holdings of corporate bonds to ¥4.2 trillion from ¥3.2 trillion. Japan’s central bank also doubled its purchases of exchange-traded stock funds. Meanwhile, in May 2020, the Japanese government doubled its stimulus measures with a ¥117 trillion package.

 

Both short- and long-term U.S. Treasury yields fell sharply during the reporting period. In our view, this was due to a combination of declining global growth given the coronavirus, the Fed’s accommodative monetary policy and periods of extreme investor risk aversion. The yield on the benchmark 10-year U.S. Treasury note was 0.66% at the end of the reporting period, versus 2.00% on June 30, 2019. The Bloomberg Barclays Global Treasury Index (USD Hedged), which tracks fixed-rate, local currency government debt of investment grade countries, including both developed and emerging markets, returned 6.01%. Meanwhile, the Bloomberg Barclays Global Aggregate Credit Index (USD Hedged), a widely used index of global investment grade credit bonds, returned 6.90%. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, generated weaker results. The ICE BofAML Developed Markets High Yield Constrained Index (USD Hedged), a widely used index of below investment grade bonds, returned -0.75%, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets

 

2   PIMCO CLOSED-END FUNDS     


Bond Index (EMBI) Global (USD Hedged), returned 1.52%. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned -2.82%.

 

After initially rising, global equities experienced a sharp decline in February and March 2020. We believe this was largely due to concerns over the impact of the coronavirus. In March 2020, the U.S. equity market ended its 11-year bull market run, and then posted the fastest fall on record from its all-time high to bear market territory. However, global equities rallied sharply in April, May and June 2020, in our view because investor sentiment improved given significant stimulus efforts from central banks around the world. All told, during the 12-months ended June 30, 2020, U.S. equities, as represented by the S&P 500 Index, returned 7.51% and global equities, as represented by the MSCI World Index, returned 2.84%. Meanwhile, Japanese equities, as represented by the Nikkei 225 Index (in JPY), returned 6.98% and European equities, as represented by the MSCI Europe Index (in EUR), returned -5.48%. Finally, emerging market equities, as measured by the MSCI Emerging Markets Index, returned -3.39%.

 

Commodity prices were extremely volatile and generated mixed results. When the reporting period began, Brent crude oil was approximately $67 a barrel. It ended the reporting period at roughly $41 a barrel after briefly trading below $15. Elsewhere, copper prices were relatively flat, whereas gold prices moved higher.

 

Finally, there were periods of volatility in the foreign exchange markets, due in part, in our view, to signs of moderating global growth, trade conflicts and changing central bank monetary policies, along with a number of geopolitical events. The U.S. dollar strengthened against a number of other major currencies. For example, the U.S. dollar returned 1.22%, 2.32% and 0.07% versus the euro, the British pound and the Japanese yen, respectively.

 

Thank you for the assets you have placed with us. We deeply value your trust, and we 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,

 

LOGO   LOGO
LOGO   LOGO
Deborah A. DeCotis   Eric D. Johnson
Chair of the Board of Trustees   President

 

Past performance is no guarantee of future results. Unless otherwise noted, index returns reflect the reinvestment of income distributions and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an unmanaged index.

 

  ANNUAL REPORT   JUNE 30, 2020   3


Important Information About the Funds

 

 

Information regarding each Fund’s principal investment strategies, principal risks and risk management strategies, the effects of each Fund’s leverage, and each Fund’s fundamental investment restrictions, including a summary of certain changes thereto during the most recent fiscal year, can be found within the relevant sections of this report. Please refer to the Table of Contents for further information.

 

We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates may trend upward, rising rates would negatively impact the performance of most bond funds, and fixed-income securities and other instruments held by a Fund are likely to decrease in value. A wide variety of factors can cause interest rates

or yield of U.S. Treasury securities (or yields of other types of bonds) to rise (e.g., central bank monetary policies, inflation rates, general economic conditions). In addition, changes in interest rates can be sudden and unpredictable, and there is no guarantee that Fund management will anticipate such movement accurately. A Fund may lose money as a result of movement in interest rates.

 

As of the date of this report, interest rates in the U.S. and many parts of the world, including certain European countries, are near historically low levels. Thus, the Funds currently face a heightened level of risk associated with rising interest rates and/or bond yields. This could be driven by a variety of factors, including but not limited to central bank monetary policies, changing inflation or real growth rates, general economic conditions, increasing bond issuances or reduced market demand for low yielding investments. Further, while bond markets have steadily grown over the past three decades, dealer inventories of corporate bonds are near historic lows in relation to market size. As a result, there has been a significant reduction in the ability of dealers to “make markets.”

 

Bond funds and individual bonds with a longer duration (a measure used to determine the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. In addition, in the current low interest rate environment, the market price of the Funds’ common shares may be particularly sensitive to changes in interest rates or the perception that there will be a change in interest rates. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets or negatively impact a Fund’s performance or cause a Fund to incur losses.

 

A Fund may enter into opposite sides of multiple interest rate swaps or other derivatives with respect to the same underlying reference instrument (e.g., a 10-year U.S. treasury) that have different effective dates with respect to interest accrual time periods for the principal

purpose of generating distributable gains (characterized as ordinary income for tax purposes) that are not part of the Fund’s duration or yield curve management strategies. In such a “paired swap transaction”, a Fund would generally enter into one or more interest rate swap agreements whereby the Fund agrees to make regular payments starting at the time the Fund enters into the agreements equal to a floating interest rate in return for payments equal to a fixed interest rate (the “initial leg”). The Fund would also enter into one or more interest rate swap agreements on the same underlying instrument, but take the opposite position (i.e., in this example, the Fund would make regular payments equal to a fixed interest rate in return for receiving payments equal to a floating interest rate) with respect to a contract whereby the payment obligations do not commence until a date following the commencement of the initial leg (the “forward leg”).

 

A Fund may engage in investment strategies, including those that employ the use of derivatives, to, among other things, seek to generate current, distributable income, even if such strategies could potentially result in declines in the Fund’s net asset value (“NAV”). A Fund’s income and gain-generating strategies, including certain derivatives strategies, may generate current income and gains taxable as ordinary income sufficient to support monthly distributions even in situations when the Fund has experienced a decline in net assets due to, for example, adverse changes in the broad U.S. or non-U.S. equity markets or the Fund’s debt investments, or arising from its use of derivatives. Because some or all of these transactions may generate capital losses without corresponding offsetting capital gains, portions of a Fund’s distributions recognized as ordinary income for tax purposes (such as from paired swap transactions) may be economically similar to a taxable return of capital when considered together with such capital losses.

 

Classifications of the Funds’ portfolio holdings in this report are made according to financial reporting standards. The classification of a particular portfolio holding as shown in the Allocation Breakdown and Schedule of Investments or Consolidated Schedule of Investments, as applicable, sections of this report may differ from the classification used for the Funds’ compliance calculations, including those used in the Funds’ prospectus, investment objectives, regulatory, and other investment limitations and policies, which may be based on different asset class, sector or geographical classifications. Each Fund is separately monitored for compliance with respect to prospectus and regulatory requirements.

 

The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure.

 

 

4   PIMCO CLOSED-END FUNDS     


 

Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Funds’ performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds’ service providers and disrupt the Funds’ operations.

 

The United States presidential administration’s enforcement of tariffs on goods from other countries, with a focus on China, has contributed to international trade tensions and may impact portfolio securities.

 

The United Kingdom’s withdrawal from the European Union may impact Fund returns. The withdrawal may cause substantial volatility in foreign exchange markets, lead to weakness in the exchange rate of the British pound, result in a sustained period of market uncertainty, and destabilize some or all of the other European Union member countries and/or the Eurozone.

 

The Funds may invest in certain instruments that rely in some fashion upon the London Interbank Offered Rate (“LIBOR”). LIBOR is an average interest rate, determined by the ICE Benchmark Administration, that banks charge one another for the use of short-term money. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has announced plans to phase out the use of LIBOR by the end of 2021. The transition may result in a reduction in the value of certain instruments held by a Fund or a reduction in the effectiveness of related Fund transactions such as hedges. There remains uncertainty regarding future utilization of LIBOR and the nature of any replacement rate (e.g., the Secured Overnight Financing Rate, which is intended to replace U.S. dollar LIBOR and measures the cost of overnight borrowings through repurchase agreement transactions collateralized with U.S. Treasury securities), and any potential effects of the transition away from LIBOR on a Fund or on certain instruments in which a Fund invests are not known and could result in losses to a Fund.

 

The common shares of the Funds trade on the New York Stock Exchange. As with any stock, the price of a Fund’s common shares will fluctuate with market conditions and other factors. If you sell your common shares of a Fund, the price received may be more or less than your original investment. Shares of closed-end management investment companies, such as the Funds, frequently trade at a discount from their NAV and may trade at a price that is less than the initial offering price and/or the NAV of such shares. Further, if a Fund’s shares trade at a

price that is more than the initial offering price and/or the NAV of such shares, including at a substantial premium and/or for an extended period of time, there is no assurance that any such premium will be sustained for any period of time and will not decrease, or that the shares will not trade at a discount to NAV thereafter.

 

On each Fund Summary page in this Shareholder Report, the Average Annual Total Return table measures performance assuming that all dividend and capital gain distributions were reinvested. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total return for a period of more than one year represents the average annual total return. Performance at market price will differ from results at NAV. Although market price returns tend to reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about a Fund, market conditions, supply and demand for the Fund’s shares, or changes in the Fund’s dividends. Performance shown is net of fees and expenses. Historical NAV performance for a Fund may have been positively impacted by fee waivers or expense limitations in place during some or all of the periods shown, if applicable. Future performance (including total return or yield) and distributions may be negatively impacted by the expiration or reduction of any such fee waivers or expense limitations.

 

The dividend rate that a Fund pays on its common shares may vary as portfolio and market conditions change, and will depend on a number of factors, including without limit the amount of a Fund’s undistributed net investment income and net short- and long-term capital gains, as well as the costs of any leverage obtained by a Fund. As portfolio and market conditions change, the rate of distributions on the common shares and a Fund’s dividend policy could change. There can be no assurance that a change in market conditions or other factors will not result in a change in a Fund distribution rate or that the rate will be sustainable in the future.

 

The following table discloses the commencement of operations and diversification status of each Fund:

 

Fund Name         Commencement
of Operations
    Diversification
Status
 

PCM Fund, Inc.

      09/02/93       Diversified  

PIMCO Global StocksPLUS® & Income Fund

      05/31/05       Diversified  

PIMCO Income Opportunity Fund

      11/30/07       Diversified  

PIMCO Strategic Income Fund, Inc.

      02/24/94       Diversified  

PIMCO Dynamic Credit and Mortgage Income Fund

      01/31/13       Diversified  

PIMCO Dynamic Income Fund

      05/30/12       Diversified  

 

An investment in a Fund is not a deposit of a bank and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the Funds.

 

 

  ANNUAL REPORT   JUNE 30, 2020   5


Important Information About the Funds (Cont.)

 

The Trustees/Directors1 are responsible generally for overseeing the management of the Funds. The Trustees authorize the Funds to enter into service agreements with the Manager and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Funds. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund’s original or any subsequent prospectus or Statement of Additional Information (“SAI”), any press release or shareholder report, any contracts filed as exhibits to a Fund’s registration statement, nor any other communications, disclosure documents or regulatory filings from or on behalf of a Fund creates a contract between or among any shareholders of a Fund, on the one hand, and the Fund, a service provider to the Fund, and/or the Trustees or officers of the Fund, on the other hand.

 

The Trustees (or the Funds and their officers, service providers or other delegates acting under authority of the Trustees) may amend its most recent or use a new prospectus or SAI with respect to a Fund, adopt and disclose new or amended policies and other changes in press releases and shareholder reports and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and may amend or enter into any contracts to which a Fund is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to any Fund, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement was specifically disclosed in a Fund’s prospectus, SAI or shareholder report and is otherwise still in effect.

 

PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940. The Proxy Policy has been adopted by the Funds as the policies and procedures that PIMCO will use when voting proxies on behalf of the Funds. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Funds at (844) 33-PIMCO, on the Funds’ website at www.pimco.com, and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.

 

The Funds file portfolio holdings information with the SEC on Form N-PORT within 60 days of the end of each fiscal quarter. The Funds’ complete schedules of securities holdings as of the end of each fiscal quarter will be made available to the public on the SEC’s website

at www.sec.gov and on PIMCO’s website at www.pimco.com, and will be made available, upon request, by calling PIMCO at (844) 33-PIMCO. Prior to its use of Form N-PORT, each Fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.

 

The SEC adopted a rule that, beginning in 2021, generally will allow shareholder reports to be delivered to investors by providing access to such reports online free of charge and by mailing a notice that the report is electronically available. Pursuant to the rule, investors may still elect to receive a complete shareholder report in the mail. Instructions for electing to receive paper copies of a Fund’s shareholder reports going forward may be found on the front cover of this report.

 

In November 2019, the SEC published a proposed rulemaking related to the use of derivatives and certain other transactions by registered investment companies. If the proposal is adopted in substantially the same form as it was proposed, these requirements could limit the ability of a Fund to use derivatives and reverse repurchase agreements and similar financing transactions as part of its investment strategies. Any new requirements, if adopted, may increase the cost of the Funds’ investments and cost of doing business, which could adversely affect investors.

 

In April 2020, the SEC issued a proposed rulemaking setting forth a proposed framework for fair valuation of fund investments. If the proposal is adopted in substantially the same form as it was proposed, the rule would set forth requirements for good faith determinations of fair value, establish conditions under which a market quotation is considered readily available for purposes of the definition of “value” under the Investment Company Act of 1940, and address the roles and responsibilities of a fund’s board of trustees and investment adviser with respect to fair valuation of fund investments. The impact that any such requirements may have on the Funds is uncertain.

 

On April 8, 2020, the SEC adopted amended rules modifying the registration, communications, and offering processes for registered closed-end funds and interval funds. Among other things, the amendments will: (1) permit qualifying closed-end funds to use a short-form registration statement to offer securities in eligible transactions and certain funds to qualify as Well Known Seasoned Issuers; (2) permit interval funds to pay registration fees based on net issuance of shares in a manner similar to mutual funds; (3) require closed-end funds and interval funds to include additional disclosures in their annual reports; and (4) require certain information to be filed in interactive data format. The new rules have phased compliance and effective dates, with some requirements requiring compliance starting August 1, 2020 and others requiring compliance as late as February 1, 2023.

 

 

6   PIMCO CLOSED-END FUNDS     

 

1  

Hereinafter, the terms “Trustee” or “Trustees” used herein shall refer to a Director or Directors of applicable Funds.


PCM Fund, Inc.

 

  Symbol on NYSE -  PCM

 

Allocation Breakdown as of June 30, 2020§

 

Asset-Backed Securities

    40.7%  

Non-Agency Mortgage-Backed Securities

    23.1%  

Corporate Bonds & Notes

    16.1%  

U.S. Government Agencies

    8.2%  

Loan Participations and Assignments

    6.6%  

Preferred Securities

    1.2%  

Common Stocks

    1.2%  

Real Estate Investment Trusts

    1.2%  

Short-Term Instruments

    1.1%  

Other

    0.6%  
    

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information (as of June 30, 2020)(1)

 

Market Price

    $9.42  

NAV

    $8.46  

Premium/(Discount) to NAV

    11.35%  

Market Price Distribution Rate(2)

    10.19%  

NAV Distribution Rate(2)

    11.35%  

Total Effective Leverage(3)

    46.06%  
 

 

Average Annual Total Return(1) for the period ended June 30, 2020  
    1 Year     5 Year     10 Year     Commencement
of Operations
(09/02/93)
 
Market Price     (8.33)%       9.62%       10.33%       8.51%  
NAV     (8.10)%       6.26%       10.14%       8.64%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

(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 Fund’s 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 distribution’s 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 gain from the disposition of investments is a secondary objective of the Fund. The Fund cannot change its investment objectives without the approval of the holders of a “majority of the outstanding*” shares of the Fund. There have not been any material changes to the Fund’s investment objectives during the most recent fiscal year.

 

Information regarding the Fund’s principal investment strategies, principal risks and risk management strategies, the effects of the Fund’s leverage, and the Fund’s fundamental investment restrictions, including a summary of certain changes thereto during the most recent fiscal year, can be found within the relevant sections of this report. Please refer to the Table of Contents for further information.

 

*

References herein to “majority of the outstanding,” when used with respect to particular shares of the Fund (whether voting together as a single class or voting as separate classes), has the meaning set forth in the Investment Company Act of 1940, as amended.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»  

U.S. interest rate positioning contributed to absolute performance, as rates declined.

 

»  

Exposure to investment grade corporate credit contributed to absolute performance, as the asset class posted positive returns.

 

»  

Exposure to bank loans detracted from absolute performance, as the asset class posted negative returns.

 

»  

Exposure to high yield corporate credit detracted from absolute performance, as the asset class posted negative returns.

 

»  

Exposure to U.S. commercial real estate credit detracted from absolute performance, as spreads widened.

 

  ANNUAL REPORT   JUNE 30, 2020   7


PIMCO Global StocksPLUS® & Income Fund

 

  Symbol on NYSE -  PGP

 

Allocation Breakdown as of June 30, 2020§

 

U.S. Government Agencies

    30.8%  

Corporate Bonds & Notes

    23.8%  

Non-Agency Mortgage-Backed Securities

    15.5%  

Short-Term Instruments

    8.6%  

Asset-Backed Securities

    8.5%  

Loan Participations and Assignments

    5.0%  

Sovereign Issues

    2.2%  

Preferred Securities

    2.1%  

Municipal Bonds & Notes

    1.3%  

Common Stocks

    1.1%  

Other

    1.1%  
    

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

 

Fund Information (as of June 30, 2020)(1)

 

Market Price

    $8.19  

NAV

    $7.46  

Premium/(Discount) to NAV

    9.79%  

Market Price Distribution Rate(2)

    10.11%  

NAV Distribution Rate(2)

    11.10%  

Total Effective Leverage(3)

    35.76%  
 

 

Average Annual Total Return(1) for the period ended June 30, 2020  
    1 Year     5 Year     10 Year     Commencement
of Operations
(05/31/05)
 
Market Price     (26.51)%       (3.08)%       2.86%       6.06%  
NAV     (14.42)%       5.18%       12.69%       10.16%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

(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 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 Fund’s 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 distribution’s 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 Fund’s investment objective is to seek total return comprised of current income, current gains and long-term capital appreciation. The Fund cannot change its investment objective without the approval of the holders of a “majority of the outstanding*” shares of the Fund. There have not been any material changes to the Fund’s investment objective during the most recent fiscal year.

 

Information regarding the Fund’s principal investment strategies, principal risks and risk management strategies, the effects of the Fund’s leverage, and the Fund’s fundamental investment restrictions, including a summary of certain changes thereto during the most recent fiscal year, can be found within the relevant sections of this report. Please refer to the Table of Contents for further information.

 

*

References herein to “majority of the outstanding,” when used with respect to particular shares of the Fund (whether voting together as a single class or voting as separate classes), has the meaning set forth in the Investment Company Act of 1940, as amended.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»  

Exposure to Agency mortgage-backed securities contributed to absolute performance, as the asset class posted positive returns.

 

»  

The Fund’s exposure to equity index derivatives linked to the S&P 500 Index contributed to absolute performance, as the S&P 500 Index returned 7.51%

 

»  

Exposure to investment grade corporate credit contributed to absolute performance, as the asset class posted positive returns.

 

»  

The Fund’s exposure to equity index derivatives linked to the MSCI EAFE Index detracted from absolute performance, as the MSCI EAFE Index returned -5.13%.

 

»  

Exposure to high yield corporate credit detracted from absolute performance, as the asset class posted negative returns.

 

»  

Exposure to select emerging market debt including Argentinian debt detracted from absolute performance, as the asset class posted negative returns.

 

8   PIMCO CLOSED-END FUNDS     


PIMCO Income Opportunity Fund

 

  Symbol on NYSE -  PKO

 

Allocation Breakdown as of June 30, 2020§

 

Corporate Bonds & Notes

    39.3%  

Non-Agency Mortgage-Backed Securities

    18.2%  

Asset-Backed Securities

    16.1%  

Loan Participations and Assignments

    12.9%  

Sovereign Issues

    4.1%  

Short-Term Instruments

    2.9%  

Preferred Securities

    2.1%  

U.S. Government Agencies

    2.0%  

Other

    2.4%  
    

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information (as of June 30, 2020)(1)

 

Market Price

    $22.56  

NAV

    $21.09  

Premium/(Discount) to NAV

    6.97%  

Market Price Distribution Rate(2)

    10.11%  

NAV Distribution Rate(2)

    10.81%  

Total Effective Leverage(3)

    44.30%  
 

 

Average Annual Total Return(1) for the period ended June 30, 2020  
    1 Year     5 Year     10 Year     Commencement
of Operations
(11/30/07)
 
Market Price     (7.88)%       9.68%       10.88%       10.77%  
NAV     (5.59)%       6.76%       10.40%       10.64%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

(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 Fund’s 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 distribution’s 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 Fund’s investment objective is to seek current income as a primary focus and also capital appreciation. The Fund cannot change its investment objectives without the approval of the holders of a “majority of the outstanding*” shares of the Fund. There have not been any material changes to the Fund’s investment objective during the most recent fiscal year.

 

Information regarding the Fund’s principal investment strategies, principal risks and risk management strategies, the effects of the Fund’s leverage, and the Fund’s fundamental investment restrictions, including a summary of certain changes thereto during the most recent fiscal year, can be found within the relevant sections of this report. Please refer to the Table of Contents for further information.

 

*

References herein to “majority of the outstanding,” when used with respect to particular shares of the Fund (whether voting together as a single class or voting as separate classes), has the meaning set forth in the Investment Company Act of 1940, as amended.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»  

Issuance of additional shares through at-the-market offerings at a premium to net asset value contributed to absolute performance.

 

»  

Exposure to investment grade corporate credit contributed to absolute performance, as the asset class posted positive returns.

 

»  

U.S. interest rate positioning contributed to absolute performance, as interest rates declined.

 

»  

Exposure to bank loans detracted from absolute performance, as the asset class posted negative returns.

 

»  

Exposure to high yield corporate credit detracted from absolute performance, as the asset class posted negative returns.

 

»  

Exposure to select emerging market debt including Argentinian debt detracted from absolute performance, as the asset class posted negative returns.

 

  ANNUAL REPORT   JUNE 30, 2020   9


PIMCO Strategic Income Fund, Inc.

 

  Symbol on NYSE -  RCS

 

Allocation Breakdown as of June 30, 2020§

 

U.S. Government Agencies

    65.6%  

Corporate Bonds & Notes

    13.0%  

Non-Agency Mortgage-Backed Securities

    9.3%  

Asset-Backed Securities

    4.8%  

Loan Participations and Assignments

    3.6%  

Preferred Securities

    1.1%  

Short-Term Instruments

    1.0%  

Others

    1.6%  
    

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information (as of June 30, 2020)(1)

 

Market Price

    $6.37  

NAV

    $5.94  

Premium/(Discount) to NAV

    7.24%  

Market Price Distribution Rate(2)

    9.61%  

NAV Distribution Rate(2)

    10.30%  

Total Effective Leverage(3)

    40.49%  
 

 

Average Annual Total Return(1) for the period ended June 30, 2020  
    1 Year     5 Year     10 Year     Commencement
of Operations
(02/24/94)
 
Market Price     (27.94)%       3.73%       6.25%       7.73%  
NAV     (6.79)%       4.42%       8.05%       7.99%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

(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 Fund’s 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 distribution’s 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. The Fund’s investment objectives are considered non-fundamental and may be changed by the Board without shareholder approval. There have not been any material changes to the Fund’s investment objectives during the most recent fiscal year.

 

Information regarding the Fund’s principal investment strategies, principal risks and risk management strategies, the effects of the Fund’s leverage, and the Fund’s fundamental investment restrictions, including a summary of certain changes thereto during the most recent fiscal year, can be found within the relevant sections of this report. Please refer to the Table of Contents for further information.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»  

Exposure to Agency mortgage-backed securities contributed to absolute performance, as the asset class posted positive returns.

 

»  

Exposure to investment grade corporate credit contributed to absolute performance, as the asset class posted positive returns.

 

»  

Interest rate hedges detracted from absolute performance, as rates declined.

 

»  

Exposure to bank loans detracted from absolute performance, as the asset class posted negative returns.

 

»  

Exposure to select emerging market debt including Argentinian debt detracted from absolute performance, as the asset class posted negative returns.

 

10   PIMCO CLOSED-END FUNDS     


PIMCO Dynamic Credit and Mortgage Income Fund

 

  Symbol on NYSE -  PCI

 

Allocation Breakdown as of June 30, 2020§

 

Asset-Backed Securities

    35.3%  

Non-Agency Mortgage-Backed Securities

    22.3%  

Corporate Bonds & Notes

    21.0%  

Short-Term Instruments

    6.9%  

Loan Participations and Assignments

    5.9%  

U.S. Government Agencies

    2.8%  

Preferred Securities

    1.9%  

Sovereign Issues

    1.6%  

Common Stocks

    1.3%  

Other

    1.0%  
    

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information (as of June 30, 2020)(1)

 

Market Price

    $18.43  

NAV

    $18.13  

Premium/(Discount) to NAV

    1.65%  

Market Price Distribution Rate(2)

    11.33%  

NAV Distribution Rate(2)

    11.52%  

Total Effective Leverage(3)

    45.05%  
 

 

Average Annual Total Return(1) for the period ended June 30, 2020  
    1 Year     5 Year     Commencement
of Operations
(01/31/13)
 
Market Price     (13.22)%       9.56%       6.64%  
NAV     (13.43)%       5.96%       6.61%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

(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 Fund’s 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 distribution’s 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 Fund’s primary investment objective is to seek current income and capital appreciation as a secondary objective. The Fund cannot change its investment objectives without the approval of the holders of a “majority of the outstanding*” shares of the Fund. There have not been any material changes to the Fund’s investment objectives during the most recent fiscal year.

 

Information regarding the Fund’s principal investment strategies, principal risks and risk management strategies, the effects of the Fund’s leverage, and the Fund’s fundamental investment restrictions, including a summary of certain changes thereto during the most recent fiscal year, can be found within the relevant sections of this report. Please refer to the Table of Contents for further information.

 

*

References herein to “majority of the outstanding,” when used with respect to particular shares of the Fund (whether voting together as a single class or voting as separate classes), has the meaning set forth in the Investment Company Act of 1940, as amended.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»  

Exposure to investment grade corporate credit contributed to absolute performance, as the asset class posted positive returns.

 

»  

U.S. interest rate positioning contributed to absolute performance, as interest rates declined.

 

»  

Select exposure to non-Agency residential mortgage-backed securities contributed to absolute performance, as certain segments of the market posted positive returns.

 

»  

Exposure to bank loans detracted from absolute performance, as the asset class posted negative returns.

 

»  

Exposure to high yield corporate credit detracted from absolute performance, as the asset class posted negative returns.

 

»  

Exposure to select emerging market debt including Argentinian debt detracted from absolute performance, as the asset class posted negative returns.

 

  ANNUAL REPORT   JUNE 30, 2020   11


PIMCO Dynamic Income Fund

 

  Symbol on NYSE -  PDI

 

Allocation Breakdown as of June 30, 2020§

 

Non-Agency Mortgage-Backed Securities

    31.3%  

Asset-Backed Securities

    26.3%  

Corporate Bonds & Notes

    22.8%  

Loan Participations and Assignments

    7.5%  

Short-Term Instruments

    5.1%  

Sovereign Issues

    2.4%  

U.S. Government Agencies

    2.1%  

Other

    2.5%  
    

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information (as of June 30, 2020)(1)

 

Market Price

    $24.72  

NAV

    $22.56  

Premium/(Discount) to NAV

    9.57%  

Market Price Distribution Rate(2)

    10.70%  

NAV Distribution Rate(2)

    11.73%  

Total Effective Leverage(3)

    43.80%  
 

 

Average Annual Total Return(1) for the period ended June 30, 2020  
    1 Year     5 Year     Commencement
of Operations
(05/30/12)
 
Market Price     (14.18)%       9.93%       12.76%  
NAV     (10.14)%       6.83%       12.49%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

(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 Fund’s 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 distribution’s 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 Fund’s primary investment objective is to seek current income, and capital appreciation is a secondary objective. The Fund cannot change its investment objectives without the approval of the holders of a “majority of the outstanding*” shares of the Fund. There have not been any material changes to the Fund’s investment objectives during the most recent fiscal year.

 

Information regarding the Fund’s principal investment strategies, principal risks and risk management strategies, the effects of the Fund’s leverage, and the Fund’s fundamental investment restrictions, including a summary of certain changes thereto during the most recent fiscal year, can be found within the relevant sections of this report. Please refer to the Table of Contents for further information.

 

*

References herein to “majority of the outstanding,” when used with respect to particular shares of the Fund (whether voting together as a single class or voting as separate classes), has the meaning set forth in the Investment Company Act of 1940, as amended.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»  

Issuance of additional shares through at-the-market offerings at a premium to net asset value contributed to absolute performance.

 

»  

Exposure to investment grade corporate credit contributed to absolute performance, as the asset class posted positive returns.

 

»  

Exposure to bank loans detracted from absolute performance, as the asset class posted negative returns.

 

»  

Exposure to high yield corporate credit detracted from absolute performance, as the asset class posted negative returns.

 

»  

Exposure to select emerging market debt including Argentinian debt detracted from absolute performance, as the select emerging market debt posted negative returns.

 

12   PIMCO CLOSED-END FUNDS     


 

 

 

(THIS PAGE INTENTIONALLY LEFT BLANK)

 

  ANNUAL REPORT   JUNE 30, 2020   13


Financial Highlights

 

          Investment Operations     Less Distributions(c)  
                                                 
Selected Per Share Data for the Year Ended^:       
    
Net Asset
Value
Beginning
of Year(a)
    Net
Investment
Income
(Loss)(b)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From Net
Investment
Income
    From Net
Realized
Capital
Gains
    Tax Basis
Return of
Capital
    Total  

PCM Fund, Inc.

               

06/30/2020

  $ 10.19     $ 0.86     $ (1.62   $ (0.76   $ (0.95   $ 0.00     $ (0.01   $ (0.96

06/30/2019

    10.23       0.69       0.23       0.92       (0.96     0.00       0.00       (0.96

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

PIMCO Global StocksPLUS® & Income Fund

               

06/30/2020

  $ 9.89     $ 1.10     $ (2.42   $ (1.32   $ (0.85   $ 0.00     $ (0.25   $ (1.10

06/30/2019

    10.50       1.11       (0.34     0.77       (1.20     0.00       (0.18     (1.38

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

PIMCO Income Opportunity Fund

               

06/30/2020

  $   24.83     $   2.26     $ (3.87   $ (1.61   $ (2.28   $ (0.16   $ 0.00     $ (2.44

06/30/2019

    25.06       1.99       0.28       2.27       (2.65     0.00       0.00       (2.65

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

PIMCO Strategic Income Fund, Inc.

               

06/30/2020

  $ 7.12     $ 0.74     $   (1.20   $   (0.46   $   (0.49   $ 0.00     $ (0.23   $   (0.72

06/30/2019

    7.32       0.60       0.03       0.63       (0.61     0.00       (0.22     (0.83

06/30/2018(f)

    7.75       0.77       (0.34     0.43       (0.86     0.00       0.00       (0.86

06/30/2017(f)

    7.89       0.70       0.08       0.78       (0.80     0.00         (0.12     (0.92

06/30/2016(f)

    8.58       0.76       (0.45     0.31       (1.00     0.00       0.00       (1.00

PIMCO Dynamic Credit and Mortgage Income Fund (Consolidated)

               

06/30/2020

  $ 23.58     $ 2.11     $ (5.06   $ (2.95   $ (2.39   $ 0.00     $ (0.15   $ (2.54

06/30/2019

    23.74       1.88       0.28       2.16       (2.32     0.00       0.00       (2.32

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

PIMCO Dynamic Income Fund (Consolidated)

               

06/30/2020

  $ 28.29     $ 2.92     $ (5.80   $ (2.88   $ (3.07   $ 0.00     $ 0.00     $ (3.07

06/30/2019

    28.98       2.73       (0.37     2.36       (3.15     0.00       0.00       (3.15

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

 

^

A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%.

(a) 

Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds.

(b) 

Per share amounts based on average number of shares outstanding during the year.

(c) 

The tax characterization of distributions is determined in accordance with Federal income tax regulations. See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information.

(d) 

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.

(e) 

Ratio includes 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.

(f) 

See Note 2, Distributions — Common Shares, in the Notes to Financial Statements for more information regarding certain prior year values.

 

14   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


            Common Share     Ratios/Supplemental Data  
                                            Ratios to Average Net Assets Applicable to Common  Shareholders          
Increase
resulting  from
at-the-market
offering
    Offering Cost
Charged to
Paid in Capital
    Net Asset
Value End of
Year(a)
    Market Price
End of Year
    Total
Investment
Return(d)
   

Net Assets
Applicable
to Common
Shareholders
End of Year
(000s)

    Expenses(e)     Expenses
Excluding
Waivers(e)
    Expenses
Excluding
Interest
Expense
    Expenses
Excluding
Interest
Expense and
Waivers
    Net
Investment
Income (Loss)
    Portfolio
Turnover Rate
 
                     
$   N/A     $   N/A     $ 8.47     $ 9.42       (8.33 )%    $ 98,539       3.39     3.39     1.54     1.54     9.09     15
  N/A       N/A       10.19       11.32       8.26       118,181       3.35       3.35       1.41       1.41       6.89       8  
  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     $ 7.47     $ 8.19       (26.51 )%    $ 82,109       2.78     2.78     1.65     1.65     12.56     395
  N/A       N/A       9.89       12.47       (7.41     107,562       2.64       2.64       1.53       1.53       11.37       381  
  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  
                     
$ 0.34     $   (0.00   $   21.12     $ 22.56       (7.88 )%    $ 401,790       2.73     2.73     1.62     1.62     9.85     20
  0.15       (0.00     24.83       27.11       10.30       410,077       2.92       2.92       1.55       1.55       8.13       18  
  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     $ 5.94     $ 6.37       (27.94 )%    $ 261,163       2.61     2.61     0.98     0.98     11.28     679
  N/A       N/A       7.12       9.71       9.57       309,287       3.20       3.20       0.97       0.97       8.52       655  
  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  
                     
$ 0.07     $ 0.00     $ 18.16     $ 18.43       (13.22 )%    $ 2,630,705       4.18     4.18     2.14     2.14     9.97     26
  N/A       N/A       23.58       23.89       12.21       3,244,970       4.63       4.63       2.11       2.11       8.11       13  
  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  
                     
$   0.25     $ 0.00     $ 22.59     $   24.72       (14.18 )%    $   1,375,107       3.72     3.72     1.99     1.99     11.44     21
  0.10       (0.00     28.29       32.15       12.03       1,603,368       3.96       3.96       1.89       1.89       9.70       12  
  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  

 

  ANNUAL REPORT   JUNE 30, 2020   15


Statements of Assets and Liabilities

 

June 30, 2020

 

(Amounts in thousands, except per share amounts)   PCM Fund,
Inc.
   

PIMCO

Global
StocksPLUS® &
Income
Fund

   

PIMCO

Income
Opportunity
Fund

    PIMCO
Strategic
Income Fund,
Inc.
 

Assets:

       

Investments, at value

                               

Investments in securities*

  $ 183,099     $ 155,868     $ 693,538     $ 817,674  

Financial Derivative Instruments

                               

Exchange-traded or centrally cleared

    48       964       103       274  

Over the counter

    0       1,449       424       95  

Cash

    24       845       55       3,536  

Deposits with counterparty

    1,514       3,309       8,001       6,271  

Foreign currency, at value

    0       404       1,320       1,697  

Receivable for investments sold

    4,427       10,848       34,432       13,634  

Receivable for TBA investments sold

    9,737       37,697       9,193       515,671  

Interest and/or dividends receivable

    1,210       1,115       6,574       3,512  

Other assets

    11       2       284       2  

Total Assets

    200,070       212,501       753,924       1,362,366  

Liabilities:

       

Borrowings & Other Financing Transactions

                               

Payable for reverse repurchase agreements

  $ 79,038     $ 42,895     $ 300,519     $ 177,403  

Payable for short sales

    2,411       1,051       526       526  

Financial Derivative Instruments

                               

Exchange-traded or centrally cleared

    25       853       221       209  

Over the counter

    436       1,411       2,298       565  

Payable for investments purchased

    1,921       3,672       20,441       5,314  

Payable for unfunded loan commitments

    205       1,232       865       513  

Payable for TBA investments purchased

    15,629       76,432       14,036       912,996  

Deposits from counterparty

    800       1,980       9,036       1,213  

Distributions payable to common shareholders

    930       758       3,595       2,241  

Accrued management fees

    129       101       570       204  

Other liabilities

    7       7       27       19  

Total Liabilities

    101,531       130,392       352,134         1,101,203  

Net Assets Applicable to Common Shareholders

  $ 98,539     $ 82,109     $ 401,790     $ 261,163  

Net Assets Applicable to Common Shareholders Consist of:

       

Par value^

  $ 12     $ 0     $ 0     $ 0  

Paid in capital in excess of par

      111,212         132,780       448,110       344,362  

Distributable earnings (accumulated loss)

    (12,685     (50,671     (46,320     (83,199

Net Assets Applicable to Common Shareholders

  $ 98,539     $ 82,109     $   401,790     $ 261,163  

Common Shares Outstanding

    11,628       10,990       19,026       43,936  

Net Asset Value Per Common Share(a)

  $ 8.47     $ 7.47     $ 21.12     $ 5.94  

Cost of investments in securities

  $ 190,610     $ 173,468     $ 737,484     $ 850,842  

Cost of foreign currency held

  $ 0     $ 393     $ 1,294     $ 1,630  

Proceeds received on short sales

  $ 2,406     $ 1,049     $ 525     $ 525  

Cost or premiums of financial derivative instruments, net

  $ 455     $ (986   $ (5,579   $ 4,492  

* Includes repurchase agreements of:

  $ 1,547     $ 3,459     $ 15,454     $ 7,600  

 

  

A zero balance may reflect actual amounts rounding to less than one thousand.

^

($0.001 per share), ($0.00001 per share), ($0.00001 per share), ($0.00001 per share)

(a) 

Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds.

 

16   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Consolidated Statements of Assets and Liabilities

 

June 30, 2020

 

(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*

  $   4,853,330     $   2,352,124  

Investments in Affiliates

    301       0  

Financial Derivative Instruments

               

Exchange-traded or centrally cleared

    990       1,128  

Over the counter

    1,178       1,088  

Cash

    7,043       32,554  

Deposits with counterparty

    44,772       21,574  

Foreign currency, at value

    4,238       2,590  

Receivable for investments sold

    130,798       93,625  

Receivable for TBA investments sold

    49,224       0  

Interest and/or dividends receivable

    35,421       18,377  

Other assets

    413       529  

Total Assets

    5,127,708       2,523,589  

Liabilities:

   

Borrowings & Other Financing Transactions

               

Payable for reverse repurchase agreements

  $ 2,134,868     $ 1,039,779  

Payable for short sales

    8,085       0  

Financial Derivative Instruments

               

Exchange-traded or centrally cleared

    1,527       914  

Over the counter

    7,463       10,040  

Payable for investments purchased

    178,885       47,911  

Payable for unfunded loan commitments

    8,769       2,899  

Payable for TBA investments purchased

    76,168       0  

Deposits from counterparty

    51,472       31,238  

Distributions payable to common shareholders

    25,174       13,404  

Accrued management fees

    4,395       2,200  

Other liabilities

    197       97  

Total Liabilities

    2,497,003       1,148,482  

Net Assets Applicable to Common Shareholders

  $ 2,630,705     $ 1,375,107  

Net Assets Applicable to Common Shareholders Consist of:

   

Par value^

  $ 1     $ 1  

Paid in capital in excess of par

    3,425,148       1,544,891  

Distributable earnings (accumulated loss)

    (794,444     (169,785

Net Assets Applicable to Common Shareholders

  $ 2,630,705     $ 1,375,107  

Common Shares Outstanding

    144,875       60,860  

Net Asset Value Per Common Share(a)

  $ 18.16     $ 22.59  

Cost of investments in securities

  $ 5,237,544     $ 2,463,321  

Cost of investments in Affiliates

  $ 7,639     $ 0  

Cost of foreign currency held

  $ 4,191     $ 2,544  

Proceeds received on short sales

  $ 8,071     $ 0  

Cost or premiums of financial derivative instruments, net

  $ (5,896   $ (17,679

* Includes repurchase agreements of:

  $ 296,898     $ 102,683  

 

  

A zero balance may reflect actual amounts rounding to less than one thousand.

^

($0.00001 per share)

(a) 

Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds.

 

  ANNUAL REPORT   JUNE 30, 2020   17


Statements of Operations

 

Year Ended June 30, 2020                        
(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*

  $ 13,461     $ 14,404     $ 50,541     $ 39,035  

Dividends

    241       319       1,042       530  

Total Income

    13,702       14,723       51,583       39,565  

Expenses:

       

Management fees

    1,667       1,564       6,558       2,723  

Trustee fees and related expenses

    14       12       53       37  

Interest expense

    2,034       1,087       4,564       4,634  

Miscellaneous expense

    14       11       37       22  

Total Expenses

    3,729       2,674       11,212       7,416  

Net Investment Income (Loss)

    9,973       12,049       40,371       32,149  

Net Realized Gain (Loss):

       

Investments in securities

    (1,817     (1,924     (1,447     16,866  

Exchange-traded or centrally cleared financial derivative instruments

    (2,651     (4,783     (14,621     (29,043

Over the counter financial derivative instruments

    168       (2,892     1,681       3,699  

Short sales

    (10     0       0       (22

Foreign currency

    0       (501     (695     (1,392

Net Realized Gain (Loss)

    (4,310     (10,100     (15,082     (9,892

Net Change in Unrealized Appreciation (Depreciation):

       

Investments in securities

    (17,445     (17,795     (72,258     (46,647

Exchange-traded or centrally cleared financial derivative instruments

    3,207       2,888       17,516       4,948  

Over the counter financial derivative instruments

    (224     (1,492     (916     (1,313

Foreign currency assets and liabilities

    0       (66     142       360  

Net Change in Unrealized Appreciation (Depreciation)

      (14,462     (16,465     (55,516     (42,652

Net Increase (Decrease) in Net Assets Resulting from Operations

  $ (8,799   $   (14,516   $   (30,227   $   (20,395

* Foreign tax withholdings

  $ 0     $ 0     $ 0     $ 3  

 

  

A zero balance may reflect actual amounts rounding to less than one thousand.

 

18   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


Consolidated Statements of Operations

 

Year Ended June 30, 2020            
(Amounts in thousands)   PIMCO
Dynamic
Credit and
Mortgage
Income Fund
    PIMCO
Dynamic
Income Fund
 

Investment Income:

   

Interest

  $ 413,128     $ 221,438  

Dividends

    7,214       3,028  

Total Income

    420,342       224,466  

Expenses:

   

Management fees

    63,064       29,127  

Trustee fees and related expenses

    405       197  

Interest expense

    60,506       25,554  

Miscellaneous expense

    248       144  

Total Expenses

    124,223       55,022  

Net Investment Income (Loss)

    296,119         169,444  

Net Realized Gain (Loss):

   

Investments in securities

      (142,097     (12,634

Exchange-traded or centrally cleared financial derivative instruments

    (114,186     (64,664

Over the counter financial derivative instruments

    9,737       8,405  

Short sales

    0       (1

Foreign currency

    (15,190     (3,522

Net Realized Gain (Loss)

    (261,736     (72,416

Net Change in Unrealized Appreciation (Depreciation):

   

Investments in securities

    (557,399     (305,887

Investments in Affiliates

    (8,260     0  

Exchange-traded or centrally cleared financial derivative instruments

    110,344       44,528  

Over the counter financial derivative instruments

    (2,663     (6,476

Foreign currency assets and liabilities

    2,548       (280

Net Change in Unrealized Appreciation (Depreciation)

    (455,430     (268,115

Net Increase (Decrease) in Net Assets Resulting from Operations

  $ (421,047   $   (171,087

 

 

A zero balance may reflect actual amounts rounding to less than one thousand.

 

  ANNUAL REPORT   JUNE 30, 2020   19


Statements of Changes in Net Assets

 

   

PCM Fund, Inc.

   

PIMCO

Global StocksPLUS® &

Income Fund

 
(Amounts in thousands)   Year Ended
June 30, 2020
    Year Ended
June 30, 2019
    Year Ended
June 30, 2020
    Year Ended
June 30, 2019
 

Increase (Decrease) in Net Assets from:

       

Operations:

       

Net investment income (loss)

  $ 9,973     $ 7,998     $ 12,049     $ 12,052  

Net realized gain (loss)

    (4,310     924       (10,100     (2,142

Net change in unrealized appreciation (depreciation)

    (14,462     1,682       (16,465     (1,921

Net Increase (Decrease) in Net Assets Resulting from Operations

    (8,799     10,604       (14,516     7,989  

Distributions to Common Shareholders:

       

From net investment income and/or net realized capital gains

    (11,065     (11,126     (9,331     (12,972

Tax basis return of capital

    (84     0       (2,722     (1,969

Total Distributions to Common Shareholders(a)

    (11,149     (11,126     (12,053     (14,941

Common Share Transactions*:

       

Net proceeds from at-the-market offering

    0       0       0       0  

At-the-market offering costs

    0       0       0       0  

Issued as reinvestment of distributions

    306       191       1,116       1,310  

Net increase (decrease) resulting from common share transactions

    306       191       1,116       1,310  

Total increase (decrease) in net assets applicable to common shareholders

    (19,642     (331     (25,453     (5,642

Net Assets Applicable to Common Shareholders:

       

Beginning of year

      118,181       118,512         107,562         113,204  

End of year

  $ 98,539     $   118,181     $ 82,109     $ 107,562  

* Common Share Transactions:

       

Shares sold

    0       0       0       0  

Shares issued as reinvestment of distributions

    30       18       111       100  

Net increase (decrease) in common shares outstanding

    30       18       111       100  

 

  

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, Distributions — Common Shares, in the Notes to Financial Statements for more information.

 

20   PIMCO CLOSED-END FUNDS        See Accompanying Notes  


    
PIMCO

Income Opportunity Fund

   

PIMCO

Strategic Income Fund, Inc.

 
Year Ended
June 30, 2020
    Year Ended
June 30, 2019
    Year Ended
June 30, 2020
    Year Ended
June 30, 2019
 
     
     
$ 40,371     $ 31,333     $ 32,149     $ 26,023  
  (15,082     14,169       (9,892     (18,762
  (55,516     (9,270     (42,652     19,148  
  (30,227     36,232       (20,395     26,409  
     
  (43,598     (41,656     (21,580     (26,420
  0       0       (10,058     (9,531
  (43,598     (41,656     (31,638     (35,951
     
  62,012       33,003       0       0  
  (49     (21     0       0  
  3,575       3,141       3,909       4,289  
  65,538       36,123       3,909       4,289  
  (8,287     30,699       (48,124     (5,253
     
  410,077       379,378       309,287       314,540  
$   401,790     $   410,077     $   261,163     $   309,287  
     
  2,364       1,250       0       0  
  147       125       492       458  
  2,511       1,375       492       458  

 

  ANNUAL REPORT   JUNE 30, 2020   21


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, 2020
    Year Ended
June 30, 2019
    Year Ended
June 30, 2020
    Year Ended
June 30, 2019
 

Increase (Decrease) in Net Assets from:

       

Operations:

       

Net investment income (loss)

  $ 296,119     $ 258,622     $ 169,444     $ 153,563  

Net realized gain (loss)

    (261,736     83,423       (72,416     40,430  

Net change in unrealized appreciation (depreciation)

    (455,430     (44,936     (268,115     (62,612

Net Increase (Decrease) in Net Assets Resulting from Operations

    (421,047     297,109       (171,087     131,381  

Distributions to Common Shareholders:

       

From net investment income and/or net realized capital gains

    (334,731     (318,577     (177,934     (176,938

Tax basis return of capital

    (20,510     0       0       0  

Total Distributions to Common Shareholders(a)

    (355,241     (318,577     (177,934     (176,938

Common Share Transactions*:

       

Net proceeds from at-the-market offering

    128,637       0       98,000       54,997  

At-the-market offering costs

    64       0       59       (39

Issued as reinvestment of distributions

    33,322       9,243       22,701       18,444  

Net increase (decrease) resulting from common share transactions

    162,023       9,243       120,760       73,402  

Total increase (decrease) in net assets applicable to common shareholders

    (614,265     (12,225     (228,261     27,845  

Net Assets Applicable to Common Shareholders:

       

Beginning of year

    3,244,970       3,257,195       1,603,368       1,575,523  

End of year

  $   2,630,705     $   3,244,970     $   1,375,107     $   1,603,368