PIMCO Strategic Global Government Fund, Inc.

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: 811-08216

 

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

(Name and address of agent for service)

 

 

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: February 1, 2006 - April 30, 2006

 

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.

April 30, 2006 (Unaudited)

 

     Principal
Amount
(000s)		    Value
(000s)

CORPORATE BONDS & NOTES 2.4%

             

Banking & Finance 0.6%

              

Banque Centrale de Tunisie

              

7.375% due 04/25/2012

    $ 2,000    $ 2,135
           

Industrials 1.8%

              

Pemex Project Funding Master Trust

              

9.125% due 10/13/2010

      370      413

5.750% due 12/15/2015

      3,000      2,848

Petroliam Nasional Bhd.

              

7.625% due 10/15/2026

      2,300      2,645

Southern Copper Corp.

              

7.500% due 07/27/2035

      1,000      973
           
              6,879
           

Total Corporate Bonds & Notes

(Cost $8,549)

             9,014
           

U.S. GOVERNMENT AGENCIES 180.4%

             

Fannie Mae

              

4.000% due 04/25/2019

      2,297      2,513

4.250% due 11/25/2024

      350      280

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

      3,017      2,940

5.310% due 08/25/2033

      8,200      7,883

5.402% due 09/01/2028

      85      87

5.416% due 12/01/2028

      220      224

5.500% due 08/25/2014 - 09/13/2036 (a)

      96,709      93,963

5.685% due 02/01/2027

      103      107

5.705% due 02/01/2028

      175      178

5.735% due 04/01/2030

      88      90

5.750% due 10/01/2031 - 06/25/2033 (a)

      119      115

5.807% due 08/25/2043

      2,500      2,481

5.950% due 12/01/2028

      136      139

5.963% due 11/01/2027

      156      160

6.000% due 02/25/2017 - 08/14/2036 (a)

      23,096      23,004

6.000% due 01/25/2044 (b)

      12,656      12,661

6.150% due 10/01/2031

      53      54

6.220% due 03/01/2032

      218      223

6.435% due 12/01/2025

      284      290

6.500% due 05/01/2013 - 09/25/2042 (a)

      11,061      11,294

6.500% due 11/01/2028 - 06/25/2044 (a)(b)

      12,918      13,140

6.665% due 02/01/2032

      63      64

7.000% due 02/01/2015 - 11/25/2043 (a)

      9,922      10,191

7.000% due 04/01/2030 - 03/25/2045 (a)(b)

      19,528      20,057

7.065% due 03/01/2032

      300      295

7.261% due 02/01/2030

      102      105

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

      6,811      7,064

7.500% due 06/25/2044 (b)

      6,306      6,564

7.750% due 03/01/2031

      91      91

7.815% due 12/01/2030

      254      254

8.000% due 07/19/2030

      4,357      4,491

Federal Housing Administration

              

7.430% due 06/01/2024

      204      205

 

     Principal
Amount
(000s)		    Value
(000s)

Freddie Mac

          

4.320% due 04/01/2033

    90    90

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

    525    515

5.500% due 07/01/2025 - 12/01/2031 (a)

    4,822    4,716

6.000% due 12/15/2016 - 03/01/2033 (a)(b)

    14,437    14,542

6.000% due 10/15/2012 - 12/12/2036 (a)

    295,238    294,234

6.004% due 12/01/2026

    57    58

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

    54,373    55,363

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

    10,139    10,448

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

    3,651    3,808

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

    346    360

8.250% due 10/01/2007

    12    12

8.500% due 10/01/2030

    1,077    1,136

Government National Mortgage Association

          

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

    1,164    1,128

6.500% due 06/20/2032 - 04/20/2036 (a)

    50,150    51,591

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

    10,215    10,558

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

    2,451    2,577

8.000% due 06/15/2016 - 03/20/2030 (a)

    1,119    1,168

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

    63    67

Small Business Administration Participation Certificates

          

4.754% due 08/10/2014

    1,816    1,717

5.038% due 03/10/2015

    995    953

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

    1,610    1,644

6.400% due 08/01/2013

    372    380

7.449% due 08/01/2010

    204    214

7.540% due 08/10/2009

    470    491
         

Total U.S. Government Agencies

(Cost $691,344)

         678,977
         

MORTGAGE-BACKED SECURITIES 35.5%

         

Countrywide Alternative Loan Trust

          

6.500% due 07/25/2035

    2,453    2,409

Countrywide Home Loan Mortgage Pass-Through Trust

          

6.000% due 11/25/2026

    10,000    9,945

7.500% due 11/25/2034 (b)

    6,622    6,857

CS First Boston Mortgage Securities Corp.

          

7.000% due 02/25/2034 (b)

    3,734    3,780

DLJ Commercial Mortgage Corp.

          

7.340% due 10/10/2032

    1,500    1,586

GMAC Mortgage Corp. Loan Trust

          

5.237% due 08/19/2034

    1,510    1,473

GSAA Trust

          

6.000% due 04/01/2034

    7,973    7,886

GSMPS Mortgage Loan Trust

          

7.500% due 06/19/2027

    256    263

8.000% due 09/19/2027

    3,375    3,531

7.000% due 06/25/2043 (b)

    8,746    8,821

GSR Mortgage Loan Trust

          

6.500% due 01/25/2034 (b)

    5,927    5,989

5.500% due 11/25/2035

    5,000    4,647

 

     Principal
Amount
(000s)		    Value
(000s)

MASTR Alternative Loans Trust

          

6.500% due 03/25/2034

    3,221    3,244

MASTR Reperforming Loan Trust

          

7.000% due 05/25/2035

    6,529    6,567

7.500% due 07/25/2035

    9,435    9,831

Nomura Asset Acceptance Corp.

          

7.500% due 03/25/2034 (b)

    7,721    8,018

7.000% due 10/25/2034

    5,610    5,748

7.500% due 10/25/2034

    16,830    17,630

Residential Asset Mortgage Products, Inc.

          

7.000% due 08/25/2016 (b)

    6,529    6,677

8.500% due 10/25/2031 (b)

    2,597    2,695

8.500% due 11/25/2031

    2,996    3,115

Washington Mutual Mortgage Securities Corp. Pass-Through Certificates

          

7.500% due 12/25/2033

    4,872    4,938

7.000% due 03/25/2034

    914    924

6.500% due 08/25/2034

    7,052    7,101
         

Total Mortgage-Backed Securities

(Cost $137,353)

         133,675
         

SOVEREIGN ISSUES 14.8%

         

Brazilian Government International Bond

          

10.500% due 07/14/2014

    700    870

8.000% due 01/15/2018

    2,902    3,158

10.125% due 05/15/2027

    1,538    1,976

12.250% due 03/06/2030

    7,580    11,359

11.000% due 08/17/2040

    2,500    3,222

Chile Government International Bond

          

7.125% due 01/11/2012

    2,000    2,149

Ecuador Government International Bond

          

12.000% due 11/15/2012

    8,000    8,152

9.000% due 08/15/2030

    212    220

Mexico Government International Bond

          

9.875% due 02/01/2010

    3,980    4,529

Panama Government International Bond

          

9.375% due 07/23/2012

    3,325    3,840

Peru Government International Bond

          

9.125% due 02/21/2012

    700    781

Russia Government International Bond

          

11.000% due 07/24/2018

    1,000    1,421

12.750% due 06/24/2028

    3,227    5,647

5.000% due 03/31/2030

    5,937    6,454

Ukraine Government International Bond

          

7.650% due 06/11/2013

    500    522

Venezuela Government International Bond

          

9.375% due 01/13/2034

    1,000    1,271
         

Total Sovereign Issues

(Cost $40,344)

         55,571
         

 

     Principal
Amount
(000s)		   Value
(000s)

FOREIGN CURRENCY-DENOMINATED ISSUES (g) 4.8%

          

Gaz Capital for Gazprom

           

5.875% due 06/01/2015

      EC 1,000   1,319

Mexico Government International Bond

           

8.000% due 07/23/2008

      12,100   8,484

Republic of Germany

           

4.750% due 07/04/2008

      6,500   8,411
          

Total Foreign Currency-Denominated Issues

(Cost $17,512)

          18,214
          
      
 		 # of
Contracts		    

PURCHASED CALL OPTIONS 0.0%

          

U.S. Treasury 5-Year Notes June Futures (CBOT)

           

Strike @ $108.000 Exp. 05/26/2006

      203   3
          

Total Purchased Call Options

(Cost $4)

          3
          
      
 
 		 Notional
Amount
(000s)		    

PURCHASED PUT OPTIONS 0.0%

          

Fannie Mae (OTC)

5.500% due 06/13/2036

           

Strike @ $88.000 Exp. 06/06/2006

      140,000   0
          

Total Purchased Put Options

(Cost $16)

          0
          
      
 
 		 Principal
Amount
(000s)		    

SHORT-TERM INSTRUMENTS 8.4%

          

Commercial Paper 5.8%

           

Fannie Mae

           

4.669% due 05/01/2006

    $ 10,400   10,400

General Electric Capital Corp.

           

4.790% due 06/12/2006

      9,300   9,247

4.870% due 06/29/2006

      2,200   2,182
          
           21,830
          

Repurchase Agreements 1.1%

           

Credit Suisse First Boston

           

4.650% due 05/01/2006

      300   300

(Dated 04/28/2006. Collateralized by U.S. Treasury Notes 4.500% due 02/15/2009 valued at $308. Repurchase proceeds are $300.)

           

State Street Bank

           

4.400% due 05/01/2006

      4,019   4,019
          

(Dated 04/28/2006. Collateralized by Fannie Mae 5.000% due 08/11/2006 valued at $4,101. Repurchase proceeds are $4,020.)

          4,319
          

 

     Principal
Amount
(000s)		    Value
(000s)		  

U.S. Treasury Bills 1.5%

              

4.508% due 06/01/2006-06/15/2006 (a)(c)(d)

    5,540      5,513  
         

Total Short-Term Instruments

(Cost $31,662)

           31,661  
         

Total Investments 246.3%

(Cost $926,784)

         $ 927,115  

Other Assets and Liabilities (Net) (146.3%)

           (550,726 )
         

Net Assets 100.0%

         $ 376,390  
         

See accompanying notes

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

 

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

 

(b) The average amount of borrowings outstanding during the three-months ended April 30, 2006 was $111,154 at a weighted average interest rate of 4.67%. On April 30, 2006, securities valued at $109,801 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.

 

(c) Securities with an aggregate market value of $747 have been pledged as collateral for swap contracts on April 30, 2006.

 

(d) Securities with an aggregate market value of $885 have been segregated with the custodian to cover margin requirements for the following open futures contracts on April 30, 2006:

 

Description    Type    Expiration
Month		    # of
Contracts		    Unrealized
Appreciation

U.S. Treasury 10-Year Note June Futures

    Short    06/2006    314    $ 653

U.S. Treasury 30-Year Bond June Futures

    Short    06/2006    255      1,444

U.S. Treasury 5-Year Note June Futures

    Short    06/2006    483      438
                   
                    $ 2,535
                   

 

(e) Swap agreements outstanding on April 30, 2006:

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    $ (802 )

Barclays Bank PLC

    3-month USD-LIBOR    Receive    5.000 %   06/21/2008      8,300      54  

Barclays Bank PLC

    3-month USD-LIBOR    Pay    5.650 %   06/21/2026      350,000      (3,339 )

Barclays Bank PLC

    3-month USD-LIBOR    Receive    5.650 %   06/21/2026      350,000      3,313  

Deutsche Bank AG

    6-month BP-LIBOR    Receive    5.000 %   06/18/2034      3,400      281  

HSBC Bank USA

    6-month BP-LIBOR    Pay    5.000 %   09/15/2010      9,300      (166 )

UBS Warburg LLC

    3-month USD-LIBOR    Receive    5.000 %   06/21/2026      47,400      2,438  
                                
                                 $ 1,779  
                                

 

(f) Short sales open on April 30, 2006 were as follows:

 

Description    Coupon     Maturity
Date		    Principal
Amount		    Proceeds    Value

Freddie Mac

    6.000 %   06/13/2036    $ 35,000    $ 34,848    $ 34,847
                      
  

 

(g) Forward foreign currency contracts outstanding on April 30, 2006:

 

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

Buy

    BP 215    05/2006    $ 14    $ 0     $ 14  

Sell

      215    05/2006      0      (3 )     (3 )

Buy

      215    06/2006      4      0       4  

Sell

    EC 14,584    05/2006      0      (391 )     (391 )

Buy

    JY 422,122    05/2006      107      (1 )     106  
                
  
 
                 $ 125    $ (395 )   $ (270 )
                
  
 

 

(h) Principal amount denoted in indicated currency:

 

BP    –    British Pound
EC    –     Euro
JY    –     Japanese Yen

 

(i) On April 30, 2006, 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

$19,067

   $(16,736)   $331

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 amended (the “1940 Act”)) 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 Securities and Exchange 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 1940 Act) 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 1940 Act is attached as Exhibit 99.CERT.

Signatures

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the 1940 Act, 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/    ERNEST L. SCHMIDER        

   

Ernest L. Schmider

   

President, Principal Executive Officer

Date:

   June 27, 2006

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the 1940 Act, 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/    ERNEST L. SCHMIDER        

   

Ernest L. Schmider

   

President, Principal Executive Officer

Date:

   June 27, 2006

By:

  

/s/    JOHN P. HARDAWAY        

   

John P. Hardaway

   

Treasurer, Principal Financial Officer

Date:

   June 27, 2006