PIMCO Stragegic Global Governement Fund, Inc. FORM N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-8216

 

PIMCO Strategic Global Government Fund, Inc.

(Exact name of registrant as specified in charter)

 

840 Newport Center Drive, Newport Beach, California 92660

(Address of principal executive offices)

 

 

John P. Hardaway

Treasurer and Principal Financial Officer

PIMCO Strategic Global Government Fund, Inc.

840 Newport Center Drive

Newport Beach, California 92660

 

 

Copies to:

 

Brendan C. Fox

Dechert LLP

1775 I Street, N.W.

Washington, D.C. 20006

 

Registrant’s telephone number, including area code: (866) 746-2606

 

Date of fiscal year end: January 31

 

Date of reporting period: August 1, 2005 - October 31, 2005

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on

Form N-5(§§ 239.24 and 274.9 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first

and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission

may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policy making rules.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information

public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. Schedule of Investments.

 

 

Schedule of Investments

PIMCO Strategic Global Government Fund, Inc.

October 31, 2005 (Unaudited)

 

      
 
 		 Principal
Amount
(000s)		    
 		 Value
(000s)

CORPORATE BONDS & NOTES 2.3%

             

Banking & Finance 0.6%

             

Banque Centrale de Tunisie

             

7.375% due 04/25/2012

    $ 2,000   $ 2,222
          
Industrials 1.7%             

Pemex Project Funding Master Trust

             

5.750% due 12/15/2015

      3,000     2,917

Petroliam Nasional Bhd.

             

7.625% due 10/15/2026

      2,300     2,771

Southern Peru Copper Corp.

             

7.500% due 07/27/2035

      1,000     960
          
             6,648
          

Total Corporate Bonds & Notes

(Cost $8,129)

            8,870
          

U.S. GOVERNMENT AGENCIES 265.0%

            

Fannie Mae

             

4.212% due 11/01/2030 (a)

      53     53

4.241% due 10/01/2031 (a)

      40     41

4.250% due 11/25/2024

      340     288

4.275% due 10/01/2031 (a)

      54     56

4.375% due 11/01/2027 (a)

      163     167

4.776% due 08/01/2031 (a)

      328     342

4.834% due 09/01/2028 (a)

      122     124

4.839% due 02/01/2028 (a)

      215     220

4.884% due 12/01/2028 (a)

      331     336

4.904% due 04/01/2030 (a)

      90     92

4.915% due 02/01/2032 (a)

      74     77

4.940% due 03/01/2032 (a)

      368     379

5.000% due 05/25/2016 - 05/01/2020 (c)

      3,135     3,094

5.027% due 02/01/2027 (a)

      174     178

5.310% due 08/25/2033

      8,200     7,994

5.500% due 08/25/2014 - 03/13/2036 (c)

      353,285     348,591

5.750% due 06/25/2033

      100     100

5.773% due 12/01/2028 (a)

      137     142

5.807% due 08/25/2043

      2,500     2,488

6.000% due 02/25/2017 - 01/25/2044 (c)

      337,911     340,550

6.500% due 05/01/2013 - 07/01/2035 (c)

      10,989     11,315

6.500% due 09/25/2042 - 06/25/2044 (c)(d)

      13,391     13,736

7.000% due 02/01/2015 - 03/25/2045 (c)

      11,829     12,309

7.000% due 03/25/2045 (d)

      6,904     7,141

 

Schedule of Investments

PIMCO Strategic Global Government Fund, Inc.

October 31, 2005 (Unaudited)

 

     Principal
Amount
(000s)		   Value
(000s)

7.044% due 03/01/2032 (a)

    328   328

7.315% due 12/01/2025 (a)

    290   296

7.346% due 02/01/2030 (a)

    163   168

7.500% due 10/25/2022 - 10/25/2042 (c)

    4,922   5,177

7.500% due 06/25/2044 (d)

    7,284   7,673

7.750% due 03/01/2031 (a)

    91   92

7.815% due 12/01/2030 (a)

    256   259

8.000% due 07/19/2030

    5,262   5,478

Federal Housing Administration

         

7.430% due 06/01/2024

    1,407   1,414

Freddie Mac

         

3.678% due 04/01/2033 (a)

    143   143

4.290% due 12/01/2026 (a)

    74   76

5.000% due 10/15/2016 - 02/15/2024 (c)

    526   524

5.072% due 03/01/2035 (a)

    8,208   8,170

5.500% due 07/01/2025 - 03/13/2036 (c)

    86,737   85,656

6.000% due 10/15/2012 - 11/14/2035 (c)

    90,144   91,097

6.500% due 04/15/2018 - 03/25/2044 (c)

    37,831   38,943

7.000% due 06/01/2008 - 10/25/2043 (c)

    11,920   12,450

7.500% due 06/01/2025 - 07/01/2033 (c)

    4,245   4,488

8.000% due 08/15/2022 - 08/01/2024 (c)

    387   404

8.250% due 10/01/2007

    24   25

8.500% due 10/01/2030

    1,210   1,283

Government National Mortgage Association

         

5.500% due 04/20/2035 - 06/20/2035 (a)(c)

    1,172   1,145

6.500% due 06/20/2032

    150   157

7.000% due 02/15/2024 - 03/20/2031 (c)

    9,817   10,240

7.500% due 07/15/2006 - 02/15/2028 (c)

    2,789   2,962

8.000% due 06/15/2016 - 11/15/2022 (c)

    328   348

8.500% due 10/15/2016 - 02/15/2031 (c)

    72   78

Small Business Administration

         

4.754% due 08/10/2014

    1,928   1,897

5.038% due 03/10/2015

    995   994

6.300% due 07/01/2013 - 06/01/2018 (c)

    1,830   1,889

6.400% due 08/01/2013

    411   422

7.449% due 08/01/2010

    296   316

7.540% due 08/10/2009

    691   734
        

Total U.S. Government Agencies

(Cost $1,047,489)

        1,035,139
        

MORTGAGE-BACKED SECURITIES 30.8%

         

Countrywide Alternative Loan Trust

         

 

Schedule of Investments

PIMCO Strategic Global Government Fund, Inc.

October 31, 2005 (Unaudited)

 

     Principal
Amount
(000s)		   Value
(000s)

6.500% due 07/25/2035

    2,453   2,486

Countrywide Home Loan

         

6.000% due 11/25/2026

    10,000   10,003

7.500% due 11/25/2034 (d)

    7,684   8,088

CS First Boston Mortgage Securities Corp.

         

7.000% due 02/25/2034 (d)

    4,811   4,911

DLJ Commercial Mortgage Corp.

         

7.340% due 10/10/2032

    1,500   1,615

GMAC Mortgage Corp. Loan Trust

         

5.236% due 08/19/2034 (a)

    1,623   1,601

GSAA Home Equtiy Trust

         

6.000% due 04/01/2034

    9,652   9,670

GSMPS Mortgage Loan Trust

         

7.500% due 06/19/2027

    290   300

8.000% due 09/19/2027

    3,876   4,101

GSRPM Mortgage Loan Trust

         

7.000% due 06/25/2043 (d)

    11,249   11,457

MASTR Alternative Loans Trust

         

6.500% due 03/25/2034

    4,474   4,548

MASTR Reperforming Loan Trust

         

7.000% due 05/25/2035

    7,803   8,136

Nomura Asset Acceptance Corp.

         

7.500% due 03/25/2034 (d)

    9,036   9,541

7.000% due 10/25/2034

    6,671   6,915

7.500% due 10/25/2034

    20,014   21,227

Residential Asset Mortgage Products, Inc.

         

7.000% due 08/25/2016 (d)

    7,399   7,571

8.500% due 10/25/2031 (d)

    3,126   3,220

8.500% due 11/25/2031

    3,500   3,682

Washington Mutual MSC Mortgage Pass-Through Certificates

         

7.000% due 03/25/2034

    1,080   1,101
        

Total Mortgage-Backed Securities

(Cost $122,436)

        120,173
        

SOVEREIGN ISSUES 21.1%

        

Republic of Brazil

         

11.500% due 03/12/2008

    2,500   2,813

8.000% due 01/15/2018

    2,902   3,005

10.125% due 05/15/2027

    3,038   3,516

12.250% due 03/06/2030

    9,580   12,789

11.000% due 08/17/2040

    5,000   6,014

Republic of Chile

         

 

Schedule of Investments

PIMCO Strategic Global Government Fund, Inc.

October 31, 2005 (Unaudited)

 

    Principal
Amount
(000s)		   Value
(000s)

7.125% due 01/11/2012

   2,000   2,221

Republic of Ecuador

        

12.000% due 11/15/2012

   8,000   7,960

9.000% due 08/15/2030 (a)

   212   190

Republic of Panama

        

8.250% due 04/22/2008

   2,000   2,133

9.375% due 07/23/2012

   3,325   3,890

Republic of Peru

        

9.125% due 02/21/2012

   10,000   11,610

Republic of Ukraine

        

7.650% due 06/11/2013

   500   539

Republic of Venezuela

        

9.375% due 01/13/2034

   1,000   1,166

Russian Federation

        

11.000% due 07/24/2018

   2,680   3,925

12.750% due 06/24/2028

   3,227   5,865

5.000% due 03/31/2030 (a)

   7,437   8,278

United Mexican States

        

8.625% due 03/12/2008

   395   428

9.875% due 02/01/2010

   5,180   6,105
       

Total Sovereign Issues

(Cost $63,117)

       82,447
       

FOREIGN CURRENCY-DENOMINATED ISSUES (i)(j) 4.5%

       

Gaz Capital S.A.

        

5.875% due 06/01/2015

   EC    1,000   1,297

Republic of Germany

        

4.750% due 07/04/2008

   6,500   8,186

United Mexican States

        

8.000% due 07/23/2008

   DM 12,100   8,329
       

Total Foreign Currency-Denominated Issues

(Cost $17,684)

       17,812
       
    # of
Contracts		    

PURCHASED CALL OPTIONS 0.0%

       

U.S. Treasury Bond 30-Year Futures (CBOT)

        

Strike @ 129.000 Exp. 11/22/2005

   255   4

U.S. Treasury Note 10-Year Futures (CBOT)

        

Strike @ 118.000 Exp. 11/22/2005

   246   4
       

Total Purchased Call Options

(Cost $9)

       8
       

 

Schedule of Investments

PIMCO Strategic Global Government Fund, Inc.

October 31, 2005 (Unaudited)

 

      
 
 		 Principal
Amount
(000s)		  
 
 		    
 		 Value
(000s)		  
 

PURCHASED PUT OPTIONS 0.0%

                

Fannie Mae (OTC)

                 

5.500% due 11/14/2035

                 

Strike @ 96.120 Exp. 11/07/2005

    $ 23,500       0  

6.000% due 01/12/2036

                 

Strike @ 96.000 Exp. 01/05/2006

      63,000       7  
            

Total Purchased Put Options

(Cost $10)

              7  
            

SHORT-TERM INSTRUMENTS 4.1%

                
Commercial Paper 1.4%                 

Barclays U.S. Funding Corp.

                 

4.200% due 02/27/2006

      1,600       1,578  

General Electric Capital Corp.

                 

4.140% due 01/27/2006

      3,900       3,860  
            
               5,438  
            
Repurchase Agreement 1.5%                 

State Street Bank

                 

3.400% due 11/01/2005

      5,961       5,961  

(Dated 10/31/2005. Collateralized by Freddie Mac 5.250% due 01/15/2006 valued at $6,083. Repurchase proceeds are $5,962.)

                 
            
U.S. Treasury Bills 1.2%                 

3.446% due 12/15/2005 (e)(f)

      4,725       4,705  
            

Total Short-Term Instruments

(Cost $16,105)

              16,104  
            

Total Investments (b)

(Cost $1,274,979)

      327.8 %   $ 1,280,560  

Other Assets and Liabilities (Net)

      (227.8 %)     (889,924 )
    
 

 

Schedule of Investments

PIMCO Strategic Global Government Fund, Inc.

October 31, 2005 (Unaudited)

 

    Principal
Amount
(000s)		  
 
 		    
 		 Value
(000s)

Net Assets

   100.0 %   $ 390,636
   
 

 

See accompanying notes

Notes to Schedule of Investments (amounts in thousands, except number of contracts):

 

(a) Variable rate security.

 

(b) As of October 31, 2005, portfolio securities with an aggregate market value of $10,628 were valued with reference to securities whose prices are more readily obtainable.

 

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

 

(d) The average amount of borrowings outstanding during the nine-months ended October 31, 2005 was $33,995 at a weighted average interest rate of 4.65 %. On October 31, 2005, securities valued at $73,338 were pledged as collateral for reverse repurchase agreements. The Fund is authorized to borrow funds and utilize leverage in amounts not exceeding thirty-three and one-third percent of its total assets. The Fund’s ability to leverage creates an opportunity for increased net income, but at the same time poses special risks. If the income from the securities purchased with borrowed funds is not sufficient to cover the cost of borrowing, the net income of the Fund will be less than if borrowing had not been used, reducing the amount available for distribution to shareholders.

 

(e) Securities with an aggregate market value of $996 have been pledged as collateral for swap contracts on October 31, 2005.

 

(f) Securities with an aggregate market value of $1,120 have been segregated with the custodian to cover margin requirements for the following open futures contracts on October 31, 2005:

 

Description    Type    Expiration
Month		    # of
Contracts		    Unrealized
Appreciation

U.S. Treasury 10-Year Note Futures

    Short    12/2005    314    $ 909

U.S. Treasury 30-Year Bond Futures

    Short    12/2005    255      1,346

U.S. Treasury 5-Year Note Futures

    Short    12/2005    750      47
                   
                    $ 2,302
                   

 

(g) Interest Rate Swap agreements outstanding on October 31, 2005:

 

Counterparty   

Floating Rate

Index

   

Pay/Receive

Floating Rate

    Fixed
Rate		     Expiration
Date		    Notional
Amount		    Unrealized
Appreciation/
(Depreciation)		  

Bank of America

    3-month USD-LIBOR    Pay    4.570 %   01/27/2015    $ 12,000    $ (369 )

Barclays Bank PLC

    3-month USD-LIBOR    Receive    5.000 %   06/15/2025      165,400      4,947  

Barclays Bank PLC

    3-month USD-LIBOR    Pay    5.000 %   09/30/2025      150,000      (4,542 )

Goldman Sachs & Co.

    3-month USD-LIBOR    Receive    4.000 %   12/15/2007      8,300      97  

Lehman Brothers, Inc.

    3-month USD-LIBOR    Pay    5.025 %   08/11/2025      60,000      (1,183 )

Lehman Brothers, Inc.

    3-month USD-LIBOR    Receive    5.000 %   12/15/2025      87,400      3,281  

UBS Warburg LLC

    3-month USD-LIBOR    Pay    4.955 %   09/28/2025      140,000      (4,194 )

UBS Warburg LLC

    3-month USD-LIBOR    Receive    5.000 %   12/15/2025      140,000      4,223  
                                
                                 $ 2,260  
                                

 

(h) Short sales open on October 31, 2005 were as follows:

 

Type    Coupon     Maturity
Date		    Principal
Amount		    Proceeds    Value

Fannie Mae

    5.500 %   11/14/2035    $     100,000    $     98,750    $     98,656

Fannie Mae

    6.000 %   11/14/2035      150,000      151,424      151,313

Freddie Mac

    5.500 %   11/14/2035      81,500      80,468      80,456
                      
  
                       $ 330,642    $ 330,425
                      
  

 

(i) Forward foreign currency contracts outstanding on October 31, 2005:

 

Type    Currency   

Principal

Amount

Covered by

Contract

    Settlement
Month		   

Gross

Unrealized
Appreciation

   

Gross

Unrealized
(Depreciation)

     Net Unrealized
Appreciation/
(Depreciation)		  

Sell

    EC    14,584    11/2005    $ 88    $ 0     $ 88  

Buy

    JY    422,122    12/2005      0      (74 )     (74 )
                   
  
 
                    $ 88    $ (74 )   $ 14  
                   
  
 

 

(j) Principal amount denoted in indicated currency:

 

DM    –     German Mark
EC    –     Euro
JY    –     Japanese Yen

 

(k) On October 31, 2005, the aggregate cost of investments was the same for federal income tax and financial statement purposes. The net unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:

 

Gross

Unrealized Appreciation

  

Gross

Unrealized (Depreciation)

  

Net Unrealized

Appreciation

$21,069

   $(15,488)   $5,581

Item 2. Controls and Procedures.

 

  (a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing of this report on Form N-Q, that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant in the reports that it files or submits on Form N-Q is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

 

  (b) There has been no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

A separate certification for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act is attached as Exhibit 99.CERT.

Signatures

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

PIMCO Strategic Global Government Fund, Inc.

By:

  

/s/    BRENT R. HARRIS        

   

Brent R. Harris

   

President/Principal Executive Officer

Date:

   December 20, 2005

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:

  

/s/    BRENT R. HARRIS        

   

Brent R. Harris

   

President/Principal Executive Officer

Date

   December 20, 2005

By:

  

/s/    JOHN P. HARDAWAY        

   

John P. Hardaway

   

Treasurer/Principal Financial Officer

Date:

   December 20, 2005