NEWPORT BEACH, Calif., Oct. 23, 2003 (PRIMEZONE) -- PIMCO Strategic Global Government Fund, Inc. (NYSE:RCS) today released its investment performance results and statistical portfolio information for the period July 1, 2003 through September 30, 2003 (third 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 more than $356 billion of assets under management as of September 30, 2003, 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 9/30/03
3 6 1 3 5
Mos Mos Year Years(1) Years(1)
RCS Based on Net
Asset Value (%) -0.01 3.43 11.87 11.30 9.39
RCS Based on NYSE
Share Price (%) 2.23 6.83 7.63 17.66 14.03
Lehman Intermediate
Aggregate Index (%) 0.18 2.08 4.96 8.50 6.67
(1) 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
------------ ---------------- ---------------
9/30/2003 $11.82 $11.36
6/30/2003 $11.79 $11.59
9/30/2002 $12.00 $11.10
Date Premium/(Discount) to Net Asset Value
---- -------------------------------------
9/30/2003 4.05%
6/30/2003 1.73%
9/30/2002 8.11%
Dividend Information
Regular monthly dividend per share: $0.074
Total dividends declared in the quarter: $0.222
Annualized dividend yield at 9/30/03 based
on NYSE share price: 7.51%
Annualized dividend yield at 9/30/03 based
on net asset value: 7.82%
Portfolio Statistics
The Fund's investment portfolio had the following characteristics
as of September 30, 2003:
Net Assets: $402.3 million
Average Duration: 3.6 years
Average Maturity: 5.1 years
Quality Ratings: 80% AAA, 0% AA, 1% A, 5% BBB, 8% BB, 4% B,
2% less than B
Average Quality: AAA
Sector Weightings: 70.2% Mortgage-Backed (45.0% FNMA, 7.5%
GNMA, 16.9% FHLMC, 0.8% Other), 9.9%
Emerging Markets (2.3% Brazil, 2.0% Mexico,
1.6% Russia, 1.4% Peru, 0.9% Ecuador, 0.8%
Panama, 0.3% Chile, 0.3% Malaysia, 0.3%
Tunisia), 14.4% Cash and Equivalents, -7.7%
U.S. Treasury/ Agency, Non-U.S. 13.2%
% Leverage (9/30/03): 29.5% (The Fund's leverage is subject to
change at any time.)
Market Commentary
The mortgage market rebounded in August and September after a dramatic sell-off in July. Following Federal Reserve comments on unconventional monetary policy, yields on mortgage securities rose over 1.5% early in the quarter.
Higher mortgage yields in July and August led to reduced incentives for homeowners to refinance their mortgages. As a result, refinancing volumes declined dramatically during the quarter, with the MBA Refinance Index falling by over 70% from peak summer levels and ending the quarter at 2605. Declining refinancing activity caused mortgage prepayment expectations to fall and durations on mortgage securities to extend rapidly in July, with the duration of the Lehman Brothers Mortgage Index rising almost 200% in July from 1.02 to 3.05 years.
Rising mortgage durations created selling pressure within the bond market. U.S. banks were forced to sell their positions to lower the durations of fixed income portfolios, as mortgage spreads rose to near historic amounts by the end of July. Within the mortgage market, lower coupon issues tended to underperform, as these securities have the longest durations within the mortgage sector, and became sale candidates for investors looking to reduce portfolio duration.
Contrasting sharply with July, the mortgage market rebounded in August and September, as attractive yield premiums and diminished volatility in the fixed income markets lured investors back into the sector. Toward the end of the quarter, strong demand from banks and other financial institutions helped to sustain the rebound. From July 31 through September 30, the yield on the mortgage index fell steadily from 5.44% to 4.85%, while mortgages outperformed intermediate duration Treasury bonds.
After the initial disruptions in July, the market for emerging market debt normalized for the balance of the quarter gaining strength in September as favorable economic and financial fundamentals, including balanced fiscal accounts, sizeable international reserves and favorable debt profiles, overwhelmed volatility in developed markets. This process was reinforced by continued inflows into the asset class, particularly from longer-term, dedicated emerging markets investors.
Solid anchor credits, those countries that represent the highest credit quality portion of the emerging markets such as Mexico and Chile, delivered returns for the quarter consistent with those of developed fixed income markets. With credit spreads that represent a smaller portion of the overall yield than other segments of the emerging market universe, these countries responded the most to the interest rate volatility emanating predominantly from the U.S. Treasury market.
The high beta portion of the emerging markets universe includes those countries that demonstrate improving fundamentals and tend to serve as the engine for return in the asset class through a combination of attractive credit spreads over Treasuries and the potential for capital appreciation. This segment of the market drove performance for both the quarter and the year to date.
Brazil was the key driver among high beta sovereign credits and delivered solid returns of 6.4% for the quarter and 49.6% year-to-date. These results reflect not only the further normalization of global credit markets from last year's spike in investor risk aversion, but also the prudent policy management, the economic resiliency, and the accumulation of significant international reserves.
Ecuador also posted strong returns for both the quarter at 5.9% and year-to-date at 62.3%. This performance also reflects the stabilization of global credit markets and is further supported by reform efforts and continued strength in energy prices.
Finally, Peru delivered the best quarterly returns in this segment of the market at 8.8%, reflecting important progress on its tax reform.
For further information, please contact Jeff Sargent, PIMCO Strategic Global Government Fund, Inc., at (949) 720-4712.
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.