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
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: August 1, 2004 - October 31, 2004
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.
October 31, 2004 (Unaudited)
| Principal Amount (000s) |
Value (000s) | |||||
| CORPORATE BONDS & NOTES 0.7% |
||||||
| Industrials 0.7% | ||||||
| Petroliam Nasional Bhd. |
||||||
| 7.625% due 10/15/2026 |
$ | 2,300 | $ | 2,752 | ||
| Total Corporate Bonds & Notes (Cost $2,093) |
2,752 | |||||
| U.S. GOVERNMENT AGENCIES 161.7% |
||||||
| Fannie Mae |
||||||
| 3.310% due 12/01/2028 (a) |
515 | 536 | ||||
| 3.380% due 04/01/2030 (a) |
171 | 175 | ||||
| 3.462% due 11/01/2030 (a) |
54 | 56 | ||||
| 3.660% due 02/01/2028 (a) |
270 | 281 | ||||
| 3.870% due 11/01/2027 (a) |
215 | 222 | ||||
| 3.883% due 11/01/2033 (a) |
1,852 | 1,855 | ||||
| 3.900% due 02/01/2027 (a) |
185 | 190 | ||||
| 3.940% due 09/01/2028 (a) |
153 | 157 | ||||
| 4.740% due 03/01/2032 (a) |
647 | 661 | ||||
| 4.800% due 08/01/2031 - 2/01/2032 (a)(b) |
709 | 737 | ||||
| 4.900% due 10/01/2031 (a) |
76 | 78 | ||||
| 5.000% due 03/18/2019 - 08/12/2034 (b) |
171,500 | 174,591 | ||||
| 5.076% due 12/01/2032 (a) |
11,975 | 12,111 | ||||
| 5.131% due 09/01/2034 (a) |
24,591 | 25,137 | ||||
| 5.230% due 10/01/2031 (a) |
137 | 140 | ||||
| 5.310% due 08/25/2033 |
8,200 | 8,358 | ||||
| 5.500% due 02/16/2019 - 10/19/2019 (a)(b) |
30,400 | 31,483 | ||||
| 6.000% due 10/14/2034 |
90,500 | 93,583 | ||||
| 6.110% due 12/01/2028 (a) |
142 | 146 | ||||
| 6.500% due 12/01/2023 - 06/25/2044 (b) |
28,826 | 30,453 | ||||
| 7.000% due 02/01/2015 - 03/25/2045 (b) |
38,154 | 40,665 | ||||
| 7.040% due 03/01/2032 (a) |
328 | 330 | ||||
| 7.060% due 02/01/2030 (a) |
280 | 289 | ||||
| 7.332% due 12/01/2025 (a) |
301 | 310 | ||||
| 7.500% due 07/01/2026 - 06/25/2044 (b) |
17,948 | 19,422 | ||||
| 7.565% due 10/01/2030 (a) |
277 | 288 | ||||
| 7.760% due 03/01/2031 (a) |
253 | 262 | ||||
| 7.820% due 12/01/2030 (a) |
260 | 269 | ||||
| 8.000% due 07/19/2030 |
7,098 | 7,711 | ||||
| Federal Housing Administration |
||||||
| 7.430% due 06/01/2024 (j) |
2,804 | 2,836 | ||||
| Freddie Mac |
||||||
| 3.387% due 12/01/2026 (a) |
87 | 89 | ||||
| 3.675% due 04/01/2033 (a) |
244 | 248 | ||||
| 4.500% due 09/15/2021 |
1,000 | 1,008 | ||||
| 5.000% due 09/20/2019 |
21,500 | 21,440 | ||||
| 5.500% due 03/15/2034 |
60,000 | 61,125 | ||||
2
Schedule of Investments
PIMCO Strategic Global Government Fund, Inc.
October 31, 2004 (Unaudited)
| Principal Amount (000s) |
Value (000s) | |||
| 6.000% due 04/01/2017 - 04/01/2033 (b) |
4,888 | 5,131 | ||
| 6.500% due 04/15/2018 - 09/25/2043 (b) |
1,996 | 2,110 | ||
| 7.000% due 06/01/2008 - 10/25/2043 (b) |
10,492 | 11,196 | ||
| 7.500% due 06/01/2025 - 10/25/2043 (b) |
22,835 | 24,860 | ||
| 8.000% due 08/15/2022 - 08/01/2024 (b) |
511 | 543 | ||
| 8.250% due 10/01/2007 |
59 | 61 | ||
| 8.500% due 10/01/2030 |
1,405 | 1,508 | ||
| Government National Mortgage Association |
||||
| 5.500% due 03/23/2034 |
45,000 | 46,041 | ||
| 7.000% due 02/15/2024 - 03/20/2031 (b) |
9,568 | 10,161 | ||
| 7.500% due 02/15/2006 - 02/15/2028 (b) |
3,874 | 4,175 | ||
| 8.000% due 06/15/2016 - 11/15/2022 (b) |
437 | 482 | ||
| 8.500% due 10/15/2016 - 02/15/2031 (b) |
100 | 110 | ||
| Small Business Administration |
||||
| 4.754% due 08/01/2014 |
2,000 | 2,023 | ||
| 6.300% due 07/01/2013 - 06/01/2018 (b) |
2,184 | 2,328 | ||
| 6.400% due 08/01/2013 |
560 | 589 | ||
| 7.449% due 08/01/2010 |
585 | 651 | ||
| 7.540% due 08/10/2009 |
1,217 | 1,351 | ||
| Total U.S. Government Agencies (Cost $647,890) |
650,562 | |||
| MORTGAGE-BACKED SECURITIES 12.7% |
||||
| DLJ Commercial Mortgage Corp. |
||||
| 7.340% due 10/10/2032 |
1,500 | 1,724 | ||
| GSMPS Mortgage Loan Trust |
||||
| 7.500% due 06/19/2027 |
394 | 420 | ||
| 8.000% due 09/20/2027 |
5,577 | 6,053 | ||
| Nomura Asset Acceptance Corp. |
||||
| 7.000% due 10/25/2034 |
9,394 | 10,048 | ||
| 7.500% due 03/25/2034 |
1,609 | 1,737 | ||
| 7.500% due 10/25/2034 (j) |
29,060 | 31,226 | ||
| Total Mortgage-Backed Securities (Cost $51,430) |
51,208 | |||
| ASSET-BACKED SECURITIES 6.9% |
||||
| Chase Funding Mortgage Loan Asset-Backed Certificates |
||||
| 1.960% due 09/25/2017 (a) |
2,008 | 2,009 | ||
| Residential Asset Mortgage Products, Inc. |
||||
| 7.000% due 10/25/2016 |
12,256 | 12,712 | ||
| 8.500% due 10/25/2031 |
5,148 | 5,468 | ||
| 8.500% due 11/25/2031 |
5,065 | 5,427 | ||
| SLM Student Loan Trust |
||||
| 2.350% due 10/25/2010 |
2,028 | 2,038 | ||
| Total Asset-Backed Securities (Cost $27,775) |
27,654 | |||
3
Schedule of Investments
PIMCO Strategic Global Government Fund, Inc.
October 31, 2004 (Unaudited)
| Principal Amount (000s) |
Value (000s) | ||||
| SOVEREIGN ISSUES 17.7% |
|||||
| Banque Centrale De Tunisie |
|||||
| 7.375% due 04/25/2012 |
2,000 | 2,300 | |||
| Republic of Brazil |
|||||
| 11.500% due 03/12/2008 |
2,500 | 2,904 | |||
| 8.000% due 04/15/2014 |
3,064 | 3,055 | |||
| 10.125% due 05/15/2027 |
3,038 | 3,249 | |||
| 12.250% due 03/06/2030 |
9,580 | 11,879 | |||
| Republic of Chile |
|||||
| 7.125% due 01/11/2012 |
2,000 | 2,309 | |||
| Republic of Ecuador |
|||||
| 12.000% due 11/15/2012 |
8,000 | 8,000 | |||
| 8.000% due 08/15/2030 |
212 | 180 | |||
| Republic of Panama |
|||||
| 8.250% due 04/22/2008 |
2,000 | 2,205 | |||
| 9.375% due 07/23/2012 |
3,325 | 3,741 | |||
| Republic of Peru |
|||||
| 9.125% due 02/21/2012 |
10,000 | 11,250 | |||
| Russian Federation |
|||||
| 11.000% due 07/24/2018 |
2,680 | 3,653 | |||
| 12.750% due 06/24/2028 |
3,227 | 5,147 | |||
| 5.000% due 03/31/2030 (a) |
4,437 | 4,465 | |||
| United Mexican States |
|||||
| 8.625% due 03/12/2008 |
395 | 453 | |||
| 9.875% due 02/01/2010 |
5,180 | 6,431 | |||
| Total Sovereign Issues (Cost $54,154) |
71,221 | ||||
| FOREIGN CURRENCY-DENOMINATED ISSUES (g)(h) 4.4% |
|||||
| Republic of Germany |
|||||
| 4.750% due 07/04/2008 |
EC 6,500 | 8,803 | |||
| United Mexican States |
|||||
| 8.000% due 07/23/2008 |
DM 12,100 | 9,031 | |||
| Total Foreign Currency-Denominated Issues (Cost $16,786) |
17,834 | ||||
| PURCHASED CALL OPTIONS 0.0% |
|||||
| # of Contracts |
|||||
| U.S. Treasury Bond 30-Year Note (CBOT) |
|||||
| 6.000% due 12/31/2004 |
|||||
| Strike @ 121.000 Exp. 11/26/2004 |
$ | 170 | 3 | ||
| Total Purchased Call Options (Cost $3) |
3 | ||||
4
Schedule of Investments
PIMCO Strategic Global Government Fund, Inc.
October 31, 2004 (Unaudited)
| # of Contracts |
Value (000s) |
||||||
| PURCHASED PUT OPTIONS 0.0% |
|||||||
| Fannie Mae (OTC) |
|||||||
| 5.000% due 12/13/2034 |
|||||||
| Strike @ 87.344 Exp. 12/13/2004 |
8,000,000 | 0 | |||||
| 6.000% due 01/14/2034 |
|||||||
| Strike @ 95.469 Exp. 01/06/2005 |
35,000,000 | 1 | |||||
| Government National Mortgage Association (OTC) |
|||||||
| 5.000% due 12/20/2034 |
|||||||
| Strike @ 89.813 Exp. 12/20/2004 |
45,000,000 | 0 | |||||
| U.S. Treasury Bond 30-Year Note (CBOT) |
|||||||
| 6.000% due 12/31/2004 |
|||||||
| Strike @ 96.000 Exp. 11/26/2004 |
400 | 6 | |||||
| Total Purchased Put Options (Cost $18) |
7 | ||||||
| SHORT-TERM INSTRUMENTS 6.3% |
|||||||
| Principal Amount (000s |
) |
||||||
| Certificates of Deposit 2.0% |
|||||||
| Citibank New York N.A. |
|||||||
| 1.750% due 12/07/2004 |
8,000 | 8,000 | |||||
| Commercial Paper 0.5% |
|||||||
| General Motors Acceptance Corp. |
|||||||
| 2.404% due 03/22/2005 |
2,000 | 1,983 | |||||
| Repurchase Agreement 3.4% |
|||||||
| Credit Suisse First Boston |
|||||||
| 1.770% due 11/01/2004 |
6,600 | 6,600 | |||||
| (Dated 10/29/2004. Collateralized by Treasury Inflation Protected Securities 1.875% due 07/15/2013 valued at $6,772. Repurchase proceeds are $6,601.) |
|||||||
| State Street Bank |
|||||||
| 1.400% due 11/01/2004 |
6,865 | 6,865 | |||||
| (Dated 10/29/2004. Collateralized by Freddie Mac 2.875% due 09/15/2005 valued at $7,007. Repurchase proceeds are $6,866.) |
|||||||
| 13,465 | |||||||
| U.S. Treasury Bills 0.4% |
|||||||
| 1.595% due 12/02/2004-12/16/2004 (b)(c)(d) |
1,700 | 1,697 | |||||
| Total Short-Term Instruments (Cost $25,143) |
25,145 | ||||||
| Total Investments 210.4% (Cost $825,292) |
$ | 846,386 | |||||
| Other Assets and Liabilities (Net) (110.4%) |
(444,100 | ) | |||||
| Net Assets 100.0% |
$ | 402,286 | |||||
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) Securities with an aggregate market value of $250 have been pledged as collateral for swap and swaption contracts at October 31, 2004.
(d) Securities with an aggregate market value of $1,198 have been segregated with the custodian to cover margin requirements for the following open futures contracts at October 31, 2004:
| Type | Expiration Month | # of Contracts | Unrealized (Depreciation) |
|||||
| U.S. Treasury 30-Year Bond Long Futures |
12/2004 | 565 | $ | (2,193 | ) | |||
(e) Swap agreements outstanding at October 31, 2004:
| Counterparty | Floating Rate Index |
Pay/Receive Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||||
| Goldman Sachs & Co. |
3-month LIBOR | Receive | 4.000 | % | 12/15/2006 | $ | 8,300 | $ | (130 | ) | ||||||
| Lehman Brothers, Inc. |
3-month LIBOR | Pay | 3.000 | % | 06/15/2006 | 101,000 | 4 | |||||||||
| $ | (126 | ) | ||||||||||||||
(f) Short sales open at October 31, 2004 were as follows:
| Type | Coupon (%) | Maturity | Par | Value | Proceeds | ||||||||
| U.S. Treasury Note |
4.250 | 08/15/2013 | $ | 52,000 | $ | 53,164 | $ | 52,175 | |||||
(g) Forward foreign currency contracts outstanding at October 31, 2004:
| Type | Currency | Principal Amount Covered by Contract |
Settlement Month |
Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation/ (Depreciation) |
|||||||||||
| Sell |
EC | 14,123 | 12/2004 | $ | 0 | $ | (186 | ) | $ | (186 | ) | ||||||
| Buy |
JY | 422,122 | 01/2005 | 48 | 0 | 48 | |||||||||||
| $ | 48 | $ | (186 | ) | $ | (138 | ) | ||||||||||
(h) Principal amount denoted in indicated currency:
| EC | – | Euro | ||
| DM | – | German Mark | ||
| JY | – | Japanese Yen |
(i) At October 31, 2004, 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 | ||
| $23,887 |
($2,793) | $21,094 |
| (j) | The aggregate value of fair valued securities is $34,062, which is 8.47% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees. |
6
Item 2. Controls and Procedures.
| (a) | The registrant’s principal executive officer and principal 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: |
December 22, 2004 | |
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 22, 2004 | |
| By: |
/s/ JOHN P. HARDAWAY | |
| John P. Hardaway | ||
| Treasurer/Principal Financial Officer | ||
| Date: |
December 22, 2004 | |
8