NEWPORT BEACH, Calif., April 20, 2005 (PRIMEZONE) -- PIMCO Strategic Global Government Fund, Inc. (NYSE:RCS) today released its investment performance results and statistical portfolio information for the period January 1, 2005 through March 31, 2005 (first quarter).
PIMCO Strategic Global Government Fund, Inc. ("RCS" or the "Fund") is a closed-end, intermediate-term bond fund whose primary objective is to generate a level of income higher than that generated by high-quality, intermediate-term U.S. debt securities. Pacific Investment Management Company LLC ("PIMCO"), an investment adviser with $464 billion of assets under management as of March 31, 2005, is responsible for managing the Fund's investment portfolio.
Investment Performance, Price and Dividend Information
The Fund's valuation and investment performance information are as follows:
Performance for the periods ended 3/31/05
3 6 1 3 5 10
Mos Mos Year Years(a) Years(a) Years(a)
RCS Based on Net
Asset Value (%) -1.17 1.10 2.50 7.57 9.80 8.87
RCS Based on NYSE
Share Price (%) -2.90 1.34 -1.26 10.65 15.45 11.46
Lehman Intermediate
Aggregate Index (%) -0.56 0.21 0.88 5.34 6.80 6.78
(a) Annualized
The Fund's total return investment performance is net of all fees and expenses and assumes the reinvestment of dividends.
Price Information
Pricing Date NYSE Share Price Net Asset Value
------------ ---------------- ---------------
3/31/2005 $11.50 $10.72
12/31/2004 $12.07 $11.07
3/31/2004 $12.72 $11.44
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Date Premium/(Discount) to Net Asset Value
---- -------------------------------------
3/31/2005 7.28%
12/31/2004 9.03%
3/31/2004 11.19%
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Dividend Information
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Regular monthly dividend per share: $ 0.074
Total dividends declared in the quarter: $ 0.222
Annualized dividend yield at 3/31/2005 based
on NYSE share price: 7.72%
Annualized dividend yield at 3/31/2005 based
on net asset value: 8.28%
Portfolio Statistics
The Fund's investment portfolio had the following characteristics
as of March 31, 2005:
Net Assets: $389.6 million
Average Duration: 4.5 years
Average Maturity: 3.6 years
Quality Ratings: 78% AAA, 0% AA, 1% A, 9% BAA, 10% BA,
2% B, 0% less than B
Average Quality: AAA
Sector Weightings: 75.0% Mortgage-Backed (51.0% FNMA, 7.0%
GNMA, 1.0% FHLMC, 16.0% Other
Mortgages), 27.0% Cash and Equivalents,
11.0% Emerging Markets (2.5% Brazil,
2.2% Mexico, 1.9% Russia, 1.6% Peru,
1.2% Ecuador, 0.8% Panama, 0.4%
Malaysia, 0.3% Chile, 0.1% Ukraine,
0.0% Tunisia), 1.0% Non-U.S., -14.0%
U.S. Treasury/Agency.
% Leverage (3/31/05): 32.2% (The Fund's use of leverage is
subject to change at any time.)
Fund Commentary
During the first quarter, the Fund's investment portfolio of mortgage-backed securities and emerging market bonds returned -1.17% based on the Fund's net asset value and -2.90% based on its NYSE share price. In comparison, the Lehman Brothers Intermediate Aggregate Bond Index (which includes Treasury, investment-grade corporate, and residential mortgage-backed securities) returned -0.56% during the quarter. The Fund maintained an uninterrupted and constant dividend throughout the first quarter, holding the monthly per share rate steady at $0.074. These dividend payouts equate to an annualized dividend yield of 7.72% based on the Fund's March 31, 2005 NYSE share price.
As the economy responded to the recent Federal Reserve tightening cycle, the Fund maintained neutral to slightly higher interest rate exposure. Further, the Fund continued to maintain a high quality bias in U.S. holdings, given the recent signs of weakness in credit sensitive sectors. The Fund continued to overweight agency mortgage backed securities to generate yield. Within the mortgage sector, the Fund continued to hold a variety of prepay-protected securities. Finally, the Fund continued to maintain its allocation to emerging market securities, which positively impacted performance overall.
Market Commentary
Mortgage-backed securities ("MBS") modestly outpaced like-duration Treasuries during the first quarter. Heightened interest rate volatility late in the quarter caused yield premiums to widen slightly, which was a detriment to mortgage returns. Nevertheless, low net issuance and continued demand for mortgages' relatively high yields were positives for the mortgage sector.
Performance within the sector remained strong in January, as interest rates remained relatively range bound which benefited mortgage investors. During this time, the sector received modest support from non-U.S. investors, who were purchasing mortgages as higher yielding alternatives to U.S. Treasury bonds. As a result of a favorable rate environment combined with positive demand factors, mortgages performed well relative to Treasuries. January's returns capped one of the strongest periods of relative performance in the history of the mortgage market, as the sector outperformed Treasuries for 10 consecutive months and by a total of 1.34%.
Interest rates became more volatile in February and March, and the mortgage market became less attractive to investors late in the quarter. In addition, demand from non-U.S. investors weakened significantly. As a result, MBS yield premiums, which were near historic tight levels at the end of January, widened significantly in February and March, and the sector underperformed during that time.
Even as rates moved higher, refinancing levels remained relatively stable. The MBA refinance index, which started the year at 1701, moved as high as 2532 during the quarter, and then fell to 1857 by March 31. Mortgage durations lengthened, as higher rates resulted in longer durations for most mortgage securities. The duration of the sector, as estimated by the Lehman Brothers Mortgage Index, began the quarter at 2.86 years and extended to 3.42 years by the end of March.
The Fund's emerging markets holdings included bonds in Russia, Brazil, and Ecuador. Russia's bonds as a whole returned 0.9% during the quarter amid rising foreign currency reserves, indications that the government was moving closer to striking a deal with the Paris Club, and following the rating upgrade to investment grade by S&P. Brazil underperformed during the quarter, as its bonds as a whole returned -3.4%. The negative return came despite positive economic data, which reflected the concentration of hedge fund selling in the largest, most liquid credits. In Ecuador, bonds as a whole returned 3.3% for the quarter in reaction to strong oil prices, an upgrade to B- by S&P, and indications that the government secured its funding needs for the year.
For further information, please contact Erik Velicer, PIMCO Strategic Global Government Fund, Inc., at (949) 720-4733.
Past performance is no guarantee of future results. Investment return, dividend rate and share price will fluctuate so that shares, when sold, may be worth more or less than their original cost.