NEWPORT BEACH, Calif., Aug. 1, 2002 (PRIMEZONE) -- PIMCO Strategic Global Government Fund, Inc. (NYSE:RCS) today released its investment performance results and statistical portfolio information for the period April 1, 2002, through June 30, 2002 (second quarter).
PIMCO Strategic Global Government Fund, Inc. ("RCS" or the "Fund") is a closed-end, intermediate-term bond fund that invests principally in investment-grade government securities of the United States and other countries. The primary investment objective of the Fund is to generate over time 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 $274.4 billion of assets under management as of June 30, 2002, 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:
Total Return Investment Performance
Periods Ended Based on Based on
6/30/02 NYSE Share Price Net Asset Value
Second quarter 7.03% 1.74%
One year 17.97% 10.85%
Three years (annualized) 16.90% 10.78%
Five years (annualized) 11.58% 8.68%
The Fund's total return investment performance is net of all fees and expenses and assumes the reinvestment of dividends. For comparison purposes, the Lehman Brothers Intermediate Aggregate Index, a broad market measure of domestic fixed income performance, rose 3.58%, 8.65%, 8.10% and 7.41% for the three months, one year, three years and five years ended June 30, 2002, respectively (3 and 5 year numbers are annualized).
Price Information
Pricing Date NYSE Share Price Net Asset Value
June 30, 2002 $11.51 $11.20
March 31, 2002 $10.97 $11.23
June 30, 2001 $10.68 $11.06
Premium/(Discount) to Net Asset Value
June 30, 2002 2.77%
March 31, 2002 -2.32%
June 30, 2001 -3.44%
Dividend Information
Regular monthly dividend per share: $ 0.074
Total dividends declared in the quarter: $ 0.222
Annualized dividend yield at 6/30/02
based on NYSE share price: 7.72%
Annualized dividend yield at 6/30/02
based on net asset value: 7.93%
Portfolio Statistics
The Fund's investment portfolio had the following characteristics
as of June 30, 2002:
Net Assets: $383.6mm
Average Duration: 3.14 years
Average Maturity: 3.67 years
Quality Ratings: 80% AAA, 0% AA, 0% A, 4% BBB, 15% BB,
0% B, 1% is less than B
Average Quality: AAA
Sector Weightings: 99% Mortgage-Backed (79% FNMA, 8% GNMA,
11% FHLMC, 1% Other), 1% Corporate, 10%
Emerging Markets (3% Brazil, 2% Russia,
1% Ecuador, 1% Mexico, 1% Bulgaria, 1%
Panama, 1% Peru) 8% Cash and
Equivalents, -18% U.S. Treasury/Agency
Market Commentary
Mortgage-Backed Securities (MBS) gained during the second quarter as investors sought a safe haven amid turbulent financial markets. However, U.S. Treasuries performed the best during a quarter in which worried investors sought refuge in safe, stable and liquid assets. The broad U.S. bond market, as represented by the Lehman Aggregate Bond Index, returned 3.69% during the quarter, while the MBS sector, as represented by the Lehman Fixed Rate MBS Index, returned 3.48%. Mortgage spreads were volatile, tightening dramatically into May, and then widening back to near 2002 nominal spreads by the end of June. However, given the first quarter's strong performance, if MBS merely track Treasuries during the second half of 2002, MBS would tie 1997 for their best performance year ever.
During the second quarter financial markets were unsettled despite positive indicators about the health of the U.S. economy, the engine of global growth over the past several years. Markets were also shaken by a growing loss of investor confidence. Outrage about the expanding list of companies caught up in accounting scandals and corporate governance abuses cast a pall over the stock market and also hurt performance of corporate bonds, especially in the telecom and energy/utility sectors. The crossover bid from the corporate sector into the mortgage sector continued in earnest through the second quarter, as negative headlines hit every week and into the quarter's close.
The flight to quality bid resulted in mortgages trailing Treasuries nominally but outperforming modestly on a like-duration basis. Bolstered by strong credit quality and a yield advantage vs. Treasuries, the mortgage sector brushed off the risk that lower mortgage rates, returning to 2001 record lows, will spark a wave of prepayments. Evidence for this lack of concern was that discount (lower-coupon) mortgages remained a bargain versus fuller coupons despite the refinancing risk posed by lower rates. By the end of the quarter, par priced Fannie Mae's had hit 5.98%, one of the lowest levels ever.
Strong financial institution demand continued throughout the quarter. However, departing from first quarter trends, the GSE demand diminished, raising concerns over the increasing supply of MBS in the market. The second quarter supply was not an issue as financial institution demand continued its strong pace. The primary fear in the near-term is the possibility of bank related selling if rates begin to rise.
Within the MBS sector, both maturities and coupons jockeyed respectively for the best performing positions. For example, 30-years outperformed 15-years in June, while 15-years outperformed 30-years in April. Premiums outperformed discounts in June, while in May and April it was discounts outperforming premiums. Ginnie Mae performance was the most notable, as spreads on these securities tightened dramatically when compared with Agencies earlier in the quarter, mainly due to the cheapening of Agencies. Ginnie Mae's then performed in line with conventionals in June.
Emerging market bonds returned a negative 4.88% for the second quarter, as measured by the JP Morgan EMBI+ Index, mostly erasing gains posted during the first quarter of the year. The second quarter saw a dramatic shift in investor perceptions. Expectations for a sharp rebound in growth were replaced by concerns that growth in the components of aggregate demand, particularly investment spending, would be insufficient in the period ahead. Against the backdrop of escalating concerns about U.S. corporate disclosure, investors became substantially more risk averse globally, challenging the effectiveness of capitalism.
With several countries contending with domestic challenges, returns in Latin America lagged those for other regions within the asset class. Poor performance was dominated by the diminished growth outlook for the U.S. and mounting concerns about the political situations in Brazil and Venezuela.
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.