PIMCO Strategic Global Government Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q Amendment

to

FORM N-Q

filed on June 17, 2005

 

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 Funds

840 Newport Center Drive

Newport Beach, California 92660

 

 

Copies to:

 

Joseph B. Kittredge, Jr., Esq.

Ropes & Gray LLP

One International Place

Boston, Massachusetts 02110

 

Registrant’s telephone number, including area code: (800) 427-4648

 

Date of fiscal year end: January 31

 

Date of reporting period: Februrary 1, 2005 - April 30, 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.

 

 

1

Schedule of Investments

PIMCO Strategic Global Government Fund, Inc.

April 30, 2005 (Unaudited)

 

     Principal
Amount
(000s)		    Value
(000s)

CORPORATE BONDS & NOTES 1.3%

              

Banking & Finance 0.6%

              

Banque Centrale de Tunisie

              

7.375% due 04/25/2012

    $ 2,000    $ 2,275
           

Industrials 0.7%

              

Petroliam Nasional Bhd.

              

7.625% due 10/15/2026

      2,300      2,831
           
Total Corporate Bonds & Notes
(Cost $4,186)		             5,106
           

U.S. GOVERNMENT AGENCIES 164.0%

              

Fannie Mae

              

3.380% due 04/01/2030 (a)

      110      112

3.452% due 12/01/2028 (a)

      336      343

3.883% due 11/01/2033 (a)

      1,835      1,822

3.900% due 02/01/2027 (a)

      176      182

3.903% due 09/01/2028 (a)

      136      140

4.006% due 02/01/2028 (a)

      225      230

4.212% due 11/01/2030 (a)

      54      55

4.217% due 11/01/2027 (a)

      206      213

4.235% due 10/01/2031 (a)

      41      42

4.275% due 10/01/2031 (a)

      121      124

4.758% due 02/01/2032 (a)

      110      114

4.806% due 08/01/2031 (a)

      344      357

4.809% due 03/01/2032 (a)

      434      448

5.000% due 05/25/2016 - 08/11/2035 (b)

      181,700      182,529

5.063% due 12/01/2032 (a)

      10,191      10,254

5.131% due 09/01/2034 (a)

      22,685      22,984

5.310% due 08/25/2033

      8,200      8,180

5.500% due 08/25/2014 - 08/11/2035 (b)

      67,659      68,343

5.750% due 06/25/2033

      100      104

5.807% due 08/25/2043

      2,500      2,600

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

      57,536      58,972

6.110% due 12/01/2028 (a)

      140      143

6.500% due 05/01/2013 - 06/25/2044 (b)

      24,754      25,775

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

      33,215      35,044

7.040% due 03/01/2032 (a)

      328      327

7.062% due 02/01/2030 (a)

      189      194

7.315% due 12/01/2025 (a)

      295      303

7.500% due 10/25/2022 - 06/25/2044 (b)

      14,745      15,705

7.750% due 03/01/2031 (a)

      91      93

7.815% due 12/01/2030 (a)

      258      263

8.000% due 07/19/2030

      6,066      6,425

 

2

Schedule of Investments

PIMCO Strategic Global Government Fund, Inc.

April 30, 2005 (Unaudited)

 

 

     Principal
Amount
(000s)		      Value
(000s)

Federal Housing Administration

            

7.430% due 06/01/2024

    1,954      1,976

Freddie Mac

            

3.671% due 04/01/2033 (a)

    193      195

3.998% due 12/01/2026 (a)

    79      81

4.500% due 09/15/2021

    543      544

5.000% due 10/15/2016 - 08/11/2035 (b)

    22,027      21,829

5.100% due 03/01/2035

    9,760      9,882

5.500% due 03/14/2035

    60,000      60,675

6.000% due 10/15/2012 - 03/15/2035 (b)

    5,431      5,641

6.500% due 04/15/2018 - 10/25/2043 (b)

    3,505      3,658

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

    8,357      8,838

7.500% due 06/01/2025 - 10/25/2043 (b)

    19,065      20,543

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

    426      453

8.250% due 10/01/2007

    40      41

8.500% due 10/01/2030

    1,293      1,388

Government National Mortgage Association

            

5.500% due 03/22/2035

    45,000      45,773

6.500% due 06/20/2032

    150      159

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

    9,713      10,447

7.500% due 02/15/2006 - 02/15/2028 (b)

    3,171      3,410

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

    367      397

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

    77      85

Small Business Administration

            

4.754% due 08/01/2014

    1,998      2,005

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

    2,036      2,126

6.400% due 08/01/2013

    510      528

7.449% due 08/01/2010

    483      518

7.540% due 08/10/2009

    904      967
           

Total U.S. Government Agencies

(Cost $648,216)

           644,579
           
             

MORTGAGE-BACKED SECURITIES 28.3%

            

Countrywide Home Loan

            

6.000% due 11/25/2026

    10,000      10,163

7.500% due 11/25/2034 (c)

    8,696      9,347

CS First Boston Mortgage Securities Corp.

            

7.000% due 02/25/2034 (c)

    6,519      6,741

DLJ Commercial Mortgage Corp.

            

7.340% due 10/10/2032

    1,500      1,670

GSMPS Mortgage Loan Trust

            

 

3

Schedule of Investments

PIMCO Strategic Global Government Fund, Inc.

April 30, 2005 (Unaudited)

 

     Principal
Amount
(000s)		      Value
(000s)

7.000% due 06/25/2043

    9,716      10,035

7.500% due 06/19/2027

    338      357

7.500% due 06/25/2043

    5,020      5,378

8.000% due 09/20/2027

    4,611      4,963

MASTR Alternative Loans Trust

            

6.500% due 03/25/2034

    7,468      7,692

Nomura Asset Acceptance Corp.

            

7.000% due 10/25/2034

    7,971      8,329

7.500% due 03/25/2034 (c)

    1,333      1,430

7.500% due 10/25/2034

    23,913      25,729

Residential Asset Mortgage Products, Inc.

            

7.000% due 10/25/2016 (c)

    9,520      9,849

8.500% due 10/25/2031 (c)

    4,026      4,223

8.500% due 11/25/2031

    3,885      4,086

Washington Mutual MSC Mortgage Pass-Through Certificates

            

7.000% due 03/25/2034

    1,362      1,409
           

Total Mortgage-Backed Securities

(Cost $112,210)

           111,401
           

ASSET-BACKED SECURITIES 1.1%

            

Long Beach Mortgage Loan Trust

            

4.670% due 03/25/2032 (a)

    3,248      3,173

Small Business Administration

            

5.038% due 03/10/2015

    1,000      1,010
           

Total Asset-Backed Securities

(Cost $4,211)

           4,183
           

SOVEREIGN ISSUES 17.8%

            

Republic of Brazil

            

8.000% due 04/15/2014

    2,903      2,899

10.125% due 05/15/2027

    3,038      3,288

11.500% due 03/12/2008

    2,500      2,844

12.250% due 03/06/2030

    9,580      11,951

Republic of Chile

            

7.125% due 01/11/2012

    2,000      2,270

Republic of Ecuador

            

8.000% due 08/15/2030 (a)

    212      173

12.000% due 11/15/2012

    8,000      7,516

Republic of Panama

            

8.250% due 04/22/2008

    2,000      2,175

9.375% due 07/23/2012

    3,325      3,907

Republic of Peru

            

9.125% due 02/21/2012

    10,000      11,500

Republic of Ukraine

            

7.650% due 06/11/2013

    500      539

 

4

Schedule of Investments

PIMCO Strategic Global Government Fund, Inc.

April 30, 2005 (Unaudited)

    

Principal
Amount

(000s)

     Value
(000s)		  

Russian Federation

                 

5.000% due 03/31/2030 (a)

      4,437       4,734  

11.000% due 07/24/2018

      2,680       3,842  

12.750% due 06/24/2028

      3,227       5,518  

United Mexican States

                 

8.625% due 03/12/2008

      395       437  

9.875% due 02/01/2010

      5,180       6,192  
            

Total Sovereign Issues

(Cost $52,563)

              69,785  
            

FOREIGN CURRENCY-DENOMINATED ISSUES (g)(h) 4.6%

                 

Republic of Germany

                 

4.750% due 07/04/2008

      EC    6,500       8,962  

United Mexican States

                 

8.000% due 07/23/2008

      DM 12,100       9,100  
            

Total Foreign Currency-Denominated Issues

(Cost $16,604)

              18,062  
            
     # of
Contracts		        

PURCHASED CALL OPTIONS 0.0%

                 

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

                 

6.00% due 06/30/2005

                 

Strike @ 115.000 Exp. 05/20/2005

      192       3  
            

Total Purchased Call Options

(Cost $4)

              3  
            
    

Principal
Amount

(000s)

        

SHORT-TERM INSTRUMENTS 3.0%

                 

Commercial Paper 0.8%

                 

Fannie Mae

                 

2.970% due 07/18/2005

    $ 900       894  

General Electric Capital Corp.

                 

3.090% due 07/25/2005

      2,400       2,382  
            
               3,276  
            

Repurchase Agreement 0.4%

                 

State Street Bank

                 

2.400% due 05/02/2005

      1,638       1,638  

(Dated 04/29/2005. Collateralized by Federal Home Loan Bank 3.250% due 08/15/2005 valued at $1,671. Repurchase proceeds are $1,638.)

                 
            

U.S. Treasury Bills 1.8%

                 

2.713% due 05/12/2005-06/16/2005 (b)(d)(e)

      6,835       6,813  
            

Total Short-Term Instruments

(Cost $11,728)

              11,727  
            

Total Investments (j)

(Cost $849,722)

      220.1 %   $ 864,846  

Other Assets and Liabilities (Net)

      (120.1 %)     (471,912 )
    
 

Net Assets

      100.0 %   $ 392,934  
    
 

 

See accompanying notes

 

5

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

 

(a) Variable rate security.

 

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

 

(c) The average amount of borrowings outstanding during the period ended April 29, 2005 was $25,414 at a weighted average interest rate of 2.95%. On April 30, 2005, securities valued at $31,589 were pledged as collateral for reverse repurchase agreements.

 

(d) Securities with an aggregate market value of $3,490 have been pledged as collateral for swap contracts at April 30, 2005.

 

(e) Securities with an aggregate market value of $1,231 have been segregated with the custodian to cover margin requirements for the following open futures contracts at April 30, 2005:

 

Type    Expiration
Month		    # of
Contracts		    Unrealized
(Depreciation)		  

U.S. Treasury 10-Year Note Short Futures

    06/2005    314    $ (505 )

U.S. Treasury 30-Year Bond Short Futures

    06/2005    428      (1,734 )
              
               $ (2,239 )
              

 

(f) Swap agreements outstanding at April 30, 2005:

Interest Rate Swaps

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    $ (8 )

Goldman Sachs & Co.

    3-month USD-LIBOR    Receive    4.000 %   06/15/2007      8,300      66  

Lehman Brothers, Inc.

    3-month USD-LIBOR    Receive    6.000 %   06/15/2025      25,000      (783 )
                                
                                 $ (725 )
                                

 

(g) Forward foreign currency contracts outstanding at April 30, 2005:

 

Type    Currency    Amount
Covered by
Contract		    Settlement
Month		    Unrealized
Appreciation		    Unrealized
(Depreciation)		    Net Unrealized
Appreciation

Sell

    EC    14,152    05/2005    $ 19    $ 0    $ 19

Buy

    JY    422,122    06/2005      122      0      122
                   
  
  
                    $ 141    $ 0    $ 141
                   
  
  

 

(h) Principal amount denoted in indicated currency:

 

EC    –    Euro
DM    –    German Mark
JY    –    Japanese Yen

 

(i) At April 30, 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 (amounts in thousands):

 

Aggregate Gross

Unrealized Appreciation

  

Aggregate Gross

Unrealized (Depreciation)

  

Net Unrealized

Appreciation

$21,993

   ($6,869)   $15,124

 

(j) As of April 30, 2005, portfolio securities with an aggregate market value of $11,323 were valued with reference to securities whose prices are more readily obtainable.

 

6

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.

 

7

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:

   June 17, 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

   June 17, 2005

By:

  

/s/    JOHN P. HARDAWAY        

   

John P. Hardaway

   

Treasurer/Principal Financial Officer

Date:

   June 17, 2005

 

 

 

 

8