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, 2007 to April 30, 2007
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, 2007 (Unaudited)
| Principal Amount (000s) |
Value (000s) | |||||
| CORPORATE BONDS & NOTES 23.0% |
||||||
| Banking & Finance 4.6% |
||||||
| ATF Bank JSC |
||||||
| 8.875% due 11/09/2009 |
$ | 1,500 | $ | 1,542 | ||
| Bank Negara Indonesia |
||||||
| 10.000% due 11/15/2012 |
2,000 | 2,023 | ||||
| Desarrolladora Homex S.A. de C.V. |
||||||
| 7.500% due 09/28/2015 |
2,000 | 2,060 | ||||
| GMAC LLC |
||||||
| 6.000% due 12/15/2011 |
3,000 | 2,924 | ||||
| GPB Eurobond Finance PLC for Gazprombank |
||||||
| 6.500% due 09/23/2015 |
5,000 | 5,041 | ||||
| VTB Capital S.A. for Vneshtorgbank |
||||||
| 5.960% due 08/01/2008 |
2,000 | 2,004 | ||||
| Wells Fargo Capital X |
||||||
| 5.950% due 12/15/2036 |
2,000 | 1,965 | ||||
| 17,559 | ||||||
| Industrials 15.2% | ||||||
| Bon-Ton Stores, Inc. |
||||||
| 10.250% due 03/15/2014 |
2,000 | 2,175 | ||||
| Cablemas S.A. de C.V. |
||||||
| 9.375% due 11/15/2015 |
2,000 | 2,260 | ||||
| CSN Islands IX Corp. |
||||||
| 10.500% due 01/15/2015 |
3,700 | 4,412 | ||||
| Dynegy Holdings, Inc. |
||||||
| 7.125% due 05/15/2018 |
1,000 | 972 | ||||
| 8.375% due 05/01/2016 |
2,000 | 2,118 | ||||
| EchoStar DBS Corp. |
||||||
| 7.125% due 02/01/2016 |
1,500 | 1,569 | ||||
| Gaz Capital for Gazprom |
||||||
| 8.625% due 04/28/2034 |
3,000 | 3,922 | ||||
| Georgia-Pacific Corp. |
||||||
| 7.000% due 01/15/2015 |
500 | 505 | ||||
| 7.700% due 06/15/2015 |
1,500 | 1,545 | ||||
| 7.750% due 11/15/2029 |
1,500 | 1,500 | ||||
| HCA, Inc. |
||||||
| 9.000% due 12/15/2014 |
1,500 | 1,538 | ||||
| 9.250% due 11/15/2016 |
700 | 765 | ||||
| Herbst Gaming, Inc. |
||||||
| 8.125% due 06/01/2012 |
2,000 | 2,030 | ||||
| Lyondell Chemical Co. |
||||||
| 8.250% due 09/15/2016 |
1,500 | 1,613 | ||||
| Morgan Stanley Bank AG for OAO Gazprom |
||||||
| 9.625% due 03/01/2013 |
2,000 | 2,391 | ||||
| NAK Naftogaz Ukrainy |
||||||
| 8.125% due 09/30/2009 |
3,000 | 3,045 | ||||
| Pemex Project Funding Master Trust |
||||||
| 5.750% due 12/15/2015 |
7,000 | 7,117 | ||||
| 9.125% due 10/13/2010 |
370 | 416 | ||||
| Petroliam Nasional Bhd. |
||||||
| 7.625% due 10/15/2026 |
2,300 | 2,822 | ||||
| RH Donnelley Corp. |
||||||
| 8.875% due 01/15/2016 |
3,500 | 3,815 | ||||
| SemGroup LP |
||||||
| 8.750% due 11/15/2015 |
1,500 | 1,556 | ||||
| Service Corp. International |
||||||
| 7.625% due 10/01/2018 |
1,500 | 1,596 | ||||
| Sino-Forest Corp. |
||||||
| 9.125% due 08/17/2011 |
2,000 | 2,190 | ||||
| Southern Copper Corp. |
||||||
| 7.500% due 07/27/2035 |
1,000 | 1,113 | ||||
| Supervalu, Inc. |
||||||
| 7.500% due 11/15/2014 |
1,500 | 1,575 | ||||
| Vale Overseas Ltd. |
||||||
| 6.250% due 01/23/2017 |
900 | 925 | ||||
| 6.875% due 11/21/2036 |
1,100 | 1,172 | ||||
| Verso Paper Holdings LLC |
||||||
| 9.125% due 08/01/2014 |
1,500 | 1,586 | ||||
| 58,243 | ||||||
| Utilities 3.2% | ||||||
| Cia Energetica de Sao Paulo |
||||||
| 10.000% due 03/02/2011 |
2,000 | 2,233 | ||||
| Enersis S.A. |
||||||
| 7.375% due 01/15/2014 |
2,000 | 2,174 | ||||
| Nevada Power Co. |
||||||
| 6.500% due 05/15/2018 |
2,500 | 2,631 | ||||
| TECO Energy, Inc. |
||||||
| 6.750% due 05/01/2015 |
5,000 | 5,331 | ||||
| 12,369 | ||||||
| Total Corporate Bonds & Notes (Cost $83,448) |
88,171 | |||||
| U.S. GOVERNMENT AGENCIES 225.3% | ||||||
| Fannie Mae |
||||||
| 4.250% due 11/25/2024 - 03/25/2033 |
404 | 347 | ||||
| 5.000% due 05/25/2016 - 12/01/2018 |
230 | 228 | ||||
| 5.500% due 08/25/2014 - 06/01/2037 |
46,869 | 46,382 | ||||
| 5.750% due 06/25/2033 |
100 | 100 | ||||
| 5.807% due 08/25/2043 |
2,500 | 2,534 | ||||
| 6.000% due 02/25/2017 - 08/01/2037 |
53,052 | 53,474 | ||||
| 6.000% due 01/25/2044 (b) |
9,941 | 10,029 | ||||
| 6.500% due 05/01/2013 - 12/25/2042 |
10,761 | 11,053 | ||||
| 6.500% due 02/01/2028 - 06/25/2044 (b) |
22,725 | 23,227 | ||||
| 6.670% due 12/01/2028 |
124 | 125 | ||||
| 6.850% due 12/18/2027 |
113 | 117 | ||||
| 7.000% due 06/01/2009 - 01/01/2047 |
14,610 | 15,164 | ||||
| 7.000% due 04/01/2030 - 12/01/2046 (b) |
28,696 | 29,668 | ||||
| 7.018% due 02/01/2028 |
35 | 35 | ||||
| 7.065% due 03/01/2032 |
300 | 301 | ||||
| 7.069% due 09/01/2028 |
39 | 39 | ||||
| 7.116% due 04/01/2030 |
76 | 77 | ||||
| 7.253% due 12/01/2028 |
105 | 107 | ||||
| 7.275% due 03/01/2032 |
178 | 181 | ||||
| 7.290% due 02/01/2032 |
19 | 19 | ||||
| 7.343% due 02/01/2027 |
101 | 102 | ||||
| 7.351% due 02/01/2030 |
53 | 54 | ||||
| 7.392% due 11/01/2027 |
103 | 105 | ||||
| 7.400% due 10/01/2031 |
17 | 17 | ||||
| 7.465% due 10/01/2031 |
11 | 11 | ||||
| 7.500% due 06/01/2017 - 06/25/2044 (b) |
7,973 | 8,330 | ||||
| 7.500% due 12/01/2017 - 03/25/2044 |
11,005 | 11,480 | ||||
| 7.598% due 12/01/2025 |
177 | 180 | ||||
| 7.700% due 03/25/2023 |
179 | 189 | ||||
1
| 7.750% due 03/01/2031 |
90 | 92 | ||
| 7.815% due 12/01/2030 |
250 | 256 | ||
| 8.000% due 04/01/2017 - 06/01/2032 |
6,193 | 6,513 | ||
| 8.000% due 08/01/2032 (b) |
4,758 | 5,052 | ||
| 8.500% due 04/01/2016 - 06/25/2030 |
2,636 | 2,852 | ||
| 8.750% due 11/01/2011 - 05/01/2017 |
28 | 28 | ||
| 9.000% due 12/01/2019 (b) |
13,373 | 14,456 | ||
| 9.420% due 05/15/2021 |
1,828 | 1,997 | ||
| 9.975% due 07/15/2027 |
711 | 795 | ||
| 10.300% due 04/25/2019 |
96 | 100 | ||
| Federal Housing Administration |
||||
| 7.430% due 06/01/2024 |
196 | 198 | ||
| Freddie Mac |
||||
| 5.000% due 10/15/2016 (b) |
200 | 198 | ||
| 5.000% due 11/15/2016 - 02/15/2024 |
322 | 321 | ||
| 5.500% due 12/01/2031 - 11/01/2036 |
200,530 | 198,337 | ||
| 5.703% due 04/01/2033 |
40 | 41 | ||
| 6.000% due 10/15/2012 - 03/15/2035 |
1,451 | 1,479 | ||
| 6.000% due 12/15/2016 - 03/1/2033 (b) |
13,584 | 13,801 | ||
| 6.500% due 11/01/2016 - 03/25/2044 (b) |
120,012 | 122,947 | ||
| 6.500% due 04/15/2018 - 10/25/2043 |
4,710 | 4,834 | ||
| 6.900% due 09/15/2023 |
2,784 | 2,879 | ||
| 6.950% due 07/15/2021 |
1,335 | 1,332 | ||
| 7.000% due 11/01/2007 - 10/25/2043 |
62,404 | 64,133 | ||
| 7.000% due 01/15/2024 - 08/01/2036 (b) |
36,414 | 37,544 | ||
| 7.154% due 12/01/2026 |
41 | 41 | ||
| 7.356% due 09/01/2031 |
322 | 325 | ||
| 7.500% due 01/01/2016 - 02/25/2042 |
8,724 | 9,131 | ||
| 8.000% due 02/15/2022 - 04/15/2030 |
1,783 | 1,866 | ||
| 8.250% due 10/01/2007 |
1 | 1 | ||
| 8.500% due 04/15/2022 - 10/01/2030 |
1,544 | 1,600 | ||
| Ginnie Mae |
||||
| 5.500% due 04/20/2035 - 06/20/2035 |
969 | 972 | ||
| 6.000% due 01/01/2037 |
125,000 | 126,719 | ||
| 6.500% due 06/20/2032 |
131 | 136 | ||
| 7.000% due 02/15/2024 - 06/15/2026 |
359 | 377 | ||
| 7.000% due 03/20/2031 (b) |
7,544 | 7,829 | ||
| 7.250% due 07/16/2028 |
400 | 407 | ||
| 7.500% due 01/15/2017 - 03/15/2029 |
3,734 | 3,916 | ||
| 8.000% due 06/15/2016 - 03/20/2030 |
843 | 900 | ||
| 8.500% due 10/15/2016 - 02/15/2031 |
55 | 59 | ||
| 9.000% due 06/15/2016 - 01/15/2020 |
1,651 | 1,777 | ||
| Small Business Administration |
||||
| 4.754% due 08/10/2014 |
1,666 | 1,630 | ||
| 5.038% due 03/10/2015 |
995 | 989 | ||
| 6.300% due 07/01/2013 - 06/01/2018 |
1,232 | 1,264 | ||
| 6.400% due 08/01/2013 |
274 | 280 | ||
| 7.200% due 06/01/2017 |
119 | 124 | ||
| 7.449% due 08/01/2010 |
114 | 117 | ||
| 7.540% due 08/10/2009 |
412 | 425 | ||
| 7.700% due 07/01/2016 |
71 | 75 | ||
| Vendee Mortgage Trust |
||||
| 6.500% due 03/15/2029 |
710 | 737 | ||
| 6.750% due 02/15/2026 - 06/15/2026 |
456 | 473 | ||
| 7.500% due 09/15/2030 (b) |
8,180 | 8,611 | ||
| Total U.S. Government Agencies (Cost $866,265) |
864,641 | |||
| PRIVATE MORTGAGE-BACKED SECURITIES 31.7% | ||||
| Citigroup Mortgage Loan Trust, Inc. |
||||
| 7.000% due 09/25/2033 |
109 | 111 | ||
| Countrywide Alternative Loan Trust |
||||
| 6.500% due 07/25/2035 (b) |
2,453 | 2,475 | ||
| Countrywide Home Loan Mortgage Pass-Through Trust |
||||
| 6.000% due 11/25/2026 (b) |
5,090 | 5,065 | ||
| 6.887% due 08/25/2034 |
3,264 | 3,286 | ||
| 7.500% due 11/25/2034 (b) |
7,054 | 7,357 | ||
| CS First Boston Mortgage Securities Corp. |
||||
| 7.000% due 02/25/2034 (b) |
2,503 | 2,566 | ||
| DLJ Commercial Mortgage Corp. |
||||
| 7.340% due 10/10/2032 |
1,500 | 1,564 | ||
| GMAC Mortgage Corp. Loan Trust |
||||
| 5.216% due 08/19/2034 |
1,253 | 1,237 | ||
| GSAA Trust |
||||
| 6.000% due 04/01/2034 (b) |
6,055 | 6,061 | ||
| GSMPS Mortgage Loan Trust |
||||
| 7.000% due 06/25/2043 (b) |
6,428 | 6,598 | ||
| 7.500% due 06/19/2027 |
197 | 205 | ||
| 8.000% due 09/19/2027 (b) |
2,759 | 2,915 | ||
| GSR Mortgage Loan Trust |
||||
| 5.500% due 11/25/2035 (b) |
5,000 | 4,865 | ||
| 6.500% due 01/25/2034 (b) |
4,968 | 5,040 | ||
| MASTR Alternative Loans Trust |
||||
| 6.500% due 03/25/2034 |
2,237 | 2,262 | ||
| 7.000% due 04/25/2034 |
418 | 422 | ||
| MASTR Reperforming Loan Trust |
||||
| 7.000% due 05/25/2035 (b) |
5,252 | 5,387 | ||
| 7.500% due 07/25/2035 (b) |
7,567 | 7,872 | ||
| Nomura Asset Acceptance Corp. |
||||
| 7.000% due 10/25/2034 (b) |
4,437 | 4,581 | ||
| 7.500% due 03/25/2034 (b) |
5,849 | 6,104 | ||
| 7.500% due 10/25/2034 (b) |
13,311 | 13,980 | ||
| Residential Asset Mortgage Products, Inc. |
||||
| 6.500% due 11/25/2031 |
303 | 306 | ||
| 7.000% due 08/25/2016 (b) |
4,417 | 4,511 | ||
| 8.500% due 10/25/2031 (b) |
2,047 | 2,139 | ||
| 8.500% due 11/25/2031 |
2,394 | 2,546 | ||
| Structured Asset Securities Corp. |
||||
| 7.500% due 10/25/2036 (b) |
9,281 | 9,956 |
2
| Washington Mutual MSC Mortgage Pass-Through Certificates |
|||||||
| 6.500% due 08/25/2034 (b) |
5,271 | 5,379 | |||||
| 7.000% due 03/25/2034 |
969 | 981 | |||||
| 7.500% due 04/25/2033 (b) |
4,009 | 4,130 | |||||
| Wells Fargo Mortgage-Backed Securities Trust |
|||||||
| 4.109% due 06/25/2035 |
1,800 | 1,794 | |||||
| Total Private Mortgage-Backed Securities (Cost $123,128) |
121,695 | ||||||
| ASSET-BACKED SECURITIES 0.0% | |||||||
| Residential Asset Mortgage Products, Inc. |
|||||||
| 8.500% due 12/25/2031 |
55 | 57 | |||||
| Total Asset-Backed Securities (Cost $56) |
57 | ||||||
| SOVEREIGN ISSUES 15.4% | |||||||
| Banque Centrale de Tunisie |
|||||||
| 7.375% due 04/25/2012 |
2,000 | 2,173 | |||||
| Brazilian Government International Bond |
|||||||
| 7.125% due 01/20/2037 |
7,580 | 8,588 | |||||
| 8.000% due 01/15/2018 |
4,002 | 4,552 | |||||
| 8.250% due 01/20/2034 |
4,000 | 5,152 | |||||
| 8.750% due 02/04/2025 |
4,500 | 5,915 | |||||
| 10.125% due 05/15/2027 |
1,538 | 2,285 | |||||
| 10.500% due 07/14/2014 |
700 | 907 | |||||
| Dominican Republic International Bond |
|||||||
| 9.040% due 01/23/2018 |
5,465 | 6,358 | |||||
| Jamaica Government International Bond |
|||||||
| 8.500% due 02/28/2036 |
1,000 | 1,068 | |||||
| 10.625% due 06/20/2017 |
4,000 | 4,890 | |||||
| Pakistan Government International Bond |
|||||||
| 7.125% due 03/31/2016 |
2,000 | 2,066 | |||||
| Panama Government International Bond |
|||||||
| 9.375% due 07/23/2012 |
3,325 | 3,902 | |||||
| Russia Government International Bond |
|||||||
| 7.500% due 03/31/2030 |
932 | 1,062 | |||||
| 11.000% due 07/24/2018 |
1,000 | 1,442 | |||||
| 12.750% due 06/24/2028 |
300 | 547 | |||||
| Ukraine Government International Bond |
|||||||
| 7.650% due 06/11/2013 |
6,200 | 6,729 | |||||
| Venezuela Government International Bond |
|||||||
| 9.375% due 01/13/2034 |
1,000 | 1,256 | |||||
| Total Sovereign Issues (Cost $51,630) |
58,892 | ||||||
| FOREIGN CURRENCY-DENOMINATED ISSUES 2.7% | |||||||
| Gaz Capital for Gazprom |
|||||||
| 5.875% due 06/01/2015 |
EUR 1,000 | 1,414 | |||||
| Mexico Government International Bond |
|||||||
| 8.000% due 07/23/2008 |
DEM 12,100 | 8,816 | |||||
| Total Foreign Currency-Denominated Issues (Cost $9,153) |
10,230 | ||||||
| SHORT-TERM INSTRUMENTS 5.6% | |||||||
| Commercial Paper 0.2% |
|||||||
| TotalFinaElf Capital S.A. |
|||||||
| 5.290% due 05/01/2007 |
$ | 800 | 800 | ||||
| Repurchase Agreements 1.8% | |||||||
| Lehman Brothers, Inc. |
|||||||
| 5.060% due 05/01/2007 |
4,000 | 4,000 | |||||
| (Dated 04/30/2007. Collateralized by U.S. Treasury Inflation Protected Securities 1.875% due 07/15/2015 valued at $4,108. Repurchase proceeds are $4,001.) |
|||||||
| State Street Bank and Trust Co. | |||||||
| 4.900% due 05/01/2007 |
2,851 | 2,851 | |||||
| (Dated 04/30/2007. Collateralized by Fannie Mae 6.000% due 05/15/2008 valued at $2,912. Repurchase proceeds are $2,851.) |
|||||||
| 6,851 | |||||||
| U.S. Treasury Bills 3.6% | |||||||
| 4.918% due 05/31/2007 - 06/14/2007 (a)(c)(e) |
14,090 | 14,008 | |||||
| Total Short-Term Instruments (Cost $21,659) |
21,659 | ||||||
| Purchased Options (g) 0.2% (Cost $2,703) |
818 | ||||||
| Total Investments (d) 303.9% (Cost $1,158,042) |
$ | 1,166,163 | |||||
| Other Assets and Liabilities (Net) (203.9%) |
(782,412 | ) | |||||
| Net Assets 100.0% |
$ | 383,751 | |||||
See accompanying notes
3
Notes to Schedule of Investments (amounts in thousands*, except number of contracts):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (a) | Coupon represents a weighted average rate. |
| (b) | The average amount of borrowings outstanding during the three-months ended April 30, 2007 was $354,625 at a weighted average interest rate of 5.32%. On April 30, 2007, securities valued at $386,462 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 $5,717 have been pledged as collateral for swap and swaption contracts on April 30, 2007. |
| (d) | As of April 30, 2007, portfolio securities with an aggregate value of $198 were valued in good faith and pursuant to the guidelines established by the Board of Trustees. |
| (e) | Securities with an aggregate market value of $5,365 have been segregated with the custodian to cover margin requirements for the following open futures contracts on April 30, 2007: |
| Description | Type | Expiration Month |
# of Contracts |
Unrealized Appreciation/ (Depreciation) |
||||||
| U.S. Treasury 5-Year Note June Futures |
Short | 06/2007 | 801 | $ | (294 | ) | ||||
| U.S. Treasury 10-Year Note June Futures |
Short | 06/2007 | 588 | 9 | ||||||
| U.S. Treasury 30-Year Bond June Futures |
Short | 06/2007 | 244 | 353 | ||||||
| $ | 68 | |||||||||
| (f) | Swap agreements outstanding on April 30, 2007: |
Interest Rate Swaps
| Counterparty | Floating Rate Index | Pay/Receive Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||||
| Deutsche Bank AG |
6-Month GBP-LIBOR | Receive | 4.000 | % | 12/15/2035 | GBP | 4,200 | $ | 130 | |||||||
| HSBC Bank USA |
6-Month GBP-LIBOR | Pay | 5.000 | % | 09/15/2010 | 9,300 | (551 | ) | ||||||||
| Deutsche Bank AG |
6-Month JPY-LIBOR | Pay | 2.500 | % | 12/15/2035 | JPY | 550,000 | 213 | ||||||||
| Goldman Sachs & Co. |
6-Month JPY-LIBOR | Pay | 2.500 | % | 12/15/2035 | 555,000 | 310 | |||||||||
| Bank of America |
3-Month USD-LIBOR | Pay | 4.570 | % | 01/27/2015 | $ | 12,000 | (419 | ) | |||||||
| Barclays Bank PLC |
3-Month USD-LIBOR | Receive | 5.000 | % | 06/20/2009 | 8,300 | 15 | |||||||||
| Barclays Bank PLC |
3-Month USD-LIBOR | Pay | 5.650 | % | 06/21/2026 | 350,000 | 11,896 | |||||||||
| Barclays Bank PLC |
3-Month USD-LIBOR | Receive | 5.000 | % | 12/20/2026 | 26,000 | (933 | ) | ||||||||
| Goldman Sachs & Co. |
3-Month USD-LIBOR | Receive | 4.920 | % | 08/21/2016 | 200,000 | 414 | |||||||||
| Goldman Sachs & Co. |
3-Month USD-LIBOR | Pay | 6.200 | % | 08/21/2016 | 200,000 | 235 | |||||||||
| Royal Bank of Scotland Group PLC |
3-Month USD-LIBOR | Receive | 5.700 | % | 06/21/2025 | 115,000 | (1,442 | ) | ||||||||
| UBS Warburg LLC |
3-Month USD-LIBOR | Receive | 5.700 | % | 06/21/2025 | 623,900 | (7,821 | ) | ||||||||
| UBS Warburg LLC |
3-Month USD-LIBOR | Pay | 5.800 | % | 06/21/2026 | 350,000 | 19,307 | |||||||||
| UBS Warburg LLC |
3-Month USD-LIBOR | Receive | 5.000 | % | 12/20/2026 | 47,400 | (2,271 | ) | ||||||||
| $ | 19,083 | |||||||||||||||
| (g) | Purchased options outstanding on April 30, 2007: |
Options on Exchange-Traded Futures Contracts
| Description | Exercise Price |
Expiration Date |
# of Contracts |
Cost | Value | ||||||||
| Call - CBOT U.S. Treasury 10-Year Note June Futures |
$ | 114.000 | 05/25/2007 | 588 | $ | 11 | $ | 9 | |||||
4
Interest Rate Swaptions
| Description | Counterparty | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Cost | Value | ||||||||||||
| Call - OTC 9-Year Interest Rate Swap |
JPMorgan Chase & Co. | 3-Month USD-LIBOR | Pay | 4.920 | % | 08/17/2007 | $ | 200,000 | $ | 1,840 | $ | 804 | ||||||||
| Put - OTC 9-Year Interest Rate Swap |
JPMorgan Chase & Co. | 3-Month USD-LIBOR | Receive | 6.200 | % | 08/17/2007 | 200,000 | 800 | 5 | |||||||||||
| $ | 2,640 | $ | 809 | |||||||||||||||||
Options on Securities
| Description | Strike Price |
Expiration Date |
Notional Amount |
Cost | Value | |||||||||
| Put - OTC Fannie Mae 5.500% due 05/01/2037 |
$ | 88.125 | 05/07/2007 | $ | 200,000 | $ | 24 | $ | 0 | |||||
| Put - OTC Fannie Mae 5.500% due 06/01/2037 |
90.000 | 06/05/2007 | 52,500 | 6 | 0 | |||||||||
| Put - OTC Freddie Mac 5.500% due 05/01/2037 |
87.188 | 05/07/2007 | 50,000 | 6 | 0 | |||||||||
| Put - OTC Freddie Mac 5.500% due 05/01/2037 |
88.000 | 05/07/2007 | 120,000 | 14 | 0 | |||||||||
| Put - OTC Freddie Mac 5.500% due 06/01/2037 |
88.500 | 06/05/2007 | 20,000 | 2 | 0 | |||||||||
| $ | 52 | $ | 0 | |||||||||||
| (h) | Forward foreign currency contracts outstanding on April 30, 2007: |
| Type | Currency | Principal Amount Covered by Contract |
Settlement Month |
Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation/ (Depreciation) |
|||||||||||
| Sell |
EUR | 7,111 | 05/2007 | $ | 0 | $ | (47 | ) | $ | (47 | ) | ||||||
| Sell |
GBP | 68 | 05/2007 | 0 | (1 | ) | (1 | ) | |||||||||
| Buy |
JPY | 457,381 | 05/2007 | 34 | 0 | 34 | |||||||||||
| $ | 34 | $ | (48 | ) | $ | (14 | ) | ||||||||||
| (i) | Non-U.S. currency symbols utilized throughout the report are defined as follows: |
EUR Euro
GBP Great Britain Pound
JPY Japanese Yen
DEM German Mark
| (j) | On April 30, 2007, 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: |
| Aggregate Gross Unrealized Appreciation |
Aggregate Gross Unrealized (Depreciation) |
Net Unrealized Appreciation | ||
| $ 15,684 |
$ (7,563) | $ 8,121 |
Item 2. Controls and Procedures.
| (a) | The principal executive officer and principal financial officer have concluded that 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”)) provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report. |
| (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 21, 2007 | |
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 21, 2007 | |
| By: |
/s/ JOHN P. HARDAWAY | |
| John P. Hardaway | ||
| Treasurer, Principal Financial Officer | ||
| Date: |
June 21, 2007 | |