PMF - PIMCO May Update - The Bottom Falls Out

• Not much has changed in the last month since our April update except that coverage ratios plummeted during the month. A lot of that is due to currency moves.
• The dollar fell significantly against the euro and the pound - also the fund is closing out currency loss positions that are an immediate hit to NII "income."
• We do NOT think the lower coverage ratios mean that a cut is imminent, although we still are in the camp that they cut this year.
• In this report, we run through what we think a cut to PDI looks like (we use PDI because we think the cut is likely upon the successful completion of the merger with PCI/PKO).
• We still favor PDO here as we side-step the distribution cut risk and the premium risk at the same time. I still hold some RCS and PHK - though I've trimmed those positions.

For further details see: