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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 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)
1633 Broadway,
New York, New York 10019
(Address of principal executive offices) (Zip code)
Lawrence G. Altadonna
1633 Broadway,
New York, New York 10019
(Name and address of agent for service)
Registrant’s telephone number, including area code: 212-739-3371
Date of fiscal year end: January 31, 2012
Date of reporting period: October 31, 2011
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 274.5 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 policymaking roles.
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, 100 F Street, NE, Washington, DC 20549-2001. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)
| Principal Amount (000s) |
Value* | |||||||||
| U.S. GOVERNMENT AGENCY SECURITIES—180.7% |
| |||||||||
| Fannie Mae—141.2% |
||||||||||
| $223 | 2.19%, 12/1/30, FRN, MBS (k) |
$224,202 | ||||||||
| 20 | 2.308%, 9/1/28, FRN, MBS |
21,050 | ||||||||
| 2 | 2.325%, 4/1/30, FRN, MBS |
2,137 | ||||||||
| 29 | 2.515%, 2/1/27, FRN, MBS (k) |
31,113 | ||||||||
| 140 | 2.525%, 3/1/32, FRN, MBS (k) |
139,748 | ||||||||
| 89 | 2.534%, 12/1/28, FRN, MBS (k) |
94,081 | ||||||||
| 70 | 2.536%, 11/1/27, FRN, MBS (k) |
73,666 | ||||||||
| 9 | 2.54%, 2/1/32, FRN, MBS |
9,201 | ||||||||
| 81 | 2.75%, 3/1/31, FRN, MBS (k) |
85,069 | ||||||||
| 105 | 2.847%, 12/1/25, FRN, MBS (k) |
110,481 | ||||||||
| 64,000 | 4.00%, MBS, TBA (e) |
66,549,997 | ||||||||
| 442 | 4.25%, 11/25/24, CMO (k) |
499,930 | ||||||||
| 11 | 4.25%, 3/25/33, CMO |
11,495 | ||||||||
| 4,443 | 4.50%, 7/25/40, CMO (k) |
4,657,993 | ||||||||
| 153,000 | 4.50%, MBS, TBA (e) |
161,797,500 | ||||||||
| 11 | 5.00%, 12/1/18, MBS |
11,691 | ||||||||
| 29,974 | 5.00%, 1/25/38, CMO (k) |
33,055,249 | ||||||||
| 26 | 5.50%, 8/25/14, CMO |
25,763 | ||||||||
| 16 | 5.50%, 12/25/16, CMO |
17,455 | ||||||||
| 108 | 5.50%, 7/25/24, CMO (k) |
114,619 | ||||||||
| 15,578 | 5.50%, 11/25/32, CMO (k) |
17,559,946 | ||||||||
| 2,492 | 5.50%, 6/1/33, MBS (k) |
2,721,108 | ||||||||
| 685 | 5.50%, 7/1/33, MBS (k) |
747,715 | ||||||||
| 8 | 5.50%, 9/1/33, MBS |
9,128 | ||||||||
| 985 | 5.50%, 10/1/33, MBS (k) |
1,075,877 | ||||||||
| 34 | 5.50%, 12/1/33, MBS (k) |
36,713 | ||||||||
| 565 | 5.50%, 1/1/34, MBS (k) |
619,164 | ||||||||
| 5,724 | 5.50%, 2/1/34, MBS (k) |
6,273,559 | ||||||||
| 73 | 5.50%, 7/1/34, MBS (k) |
79,461 | ||||||||
| 475 | 5.50%, 8/1/34, MBS (k) |
520,439 | ||||||||
| 153 | 5.50%, 10/1/34, MBS (k) |
167,630 | ||||||||
| 887 | 5.50%, 12/25/34, CMO (k) |
1,037,296 | ||||||||
| 1,370 | 5.50%, 4/25/35, CMO (k) |
1,612,340 | ||||||||
| 131 | 5.50%, 9/1/35, MBS (k) |
144,093 | ||||||||
| 33 | 5.50%, 1/1/36, MBS (k) |
35,932 | ||||||||
| 77 | 5.50%, 8/1/37, MBS (k) |
84,037 | ||||||||
| 368 | 5.50%, 6/1/38, MBS (k) |
403,054 | ||||||||
| 789 | 5.50%, 7/1/38, MBS (k) |
864,492 | ||||||||
| 343 | 5.50%, 3/1/39, MBS (k) |
376,026 | ||||||||
| 101,000 | 5.50%, MBS, TBA (e) |
109,569,244 | ||||||||
| 100 | 5.75%, 6/25/33, CMO (k) |
115,254 | ||||||||
| 2,500 | 5.807%, 8/25/43, CMO (k) |
2,898,446 | ||||||||
| 38 | 6.00%, 2/25/17, CMO |
40,514 | ||||||||
| 206 | 6.00%, 4/25/17, CMO (k) |
224,268 | ||||||||
| 1,215 | 6.00%, 9/25/31, CMO (k) |
1,378,303 | ||||||||
| 1,533 | 6.00%, 12/1/32, MBS (k) |
1,702,027 | ||||||||
| 1,460 | 6.00%, 1/1/33, MBS (k) |
1,620,546 | ||||||||
| 310 | 6.00%, 2/1/33, MBS (k) |
343,722 | ||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
|
Value* | ||||||||
| Fannie Mae (continued) |
||||||||||
| $3,217 | 6.00%, 4/1/35, MBS (k) |
$3,571,733 | ||||||||
| 4,371 | 6.00%, 1/1/36, MBS (k) |
4,820,819 | ||||||||
| 1,336 | 6.00%, 10/1/36, MBS (k) |
1,483,825 | ||||||||
| 6,437 | 6.00%, 9/1/37, MBS (k) |
7,080,701 | ||||||||
| 11,566 | 6.00%, 4/1/39, MBS (k) |
12,755,014 | ||||||||
| 4,067 | 6.00%, 1/25/44, CMO (k) |
4,652,906 | ||||||||
| 74 | 6.313%, 12/25/42, CMO, VRN (k) |
88,340 | ||||||||
| 10 | 6.50%, 5/1/13, MBS |
10,588 | ||||||||
| 10 | 6.50%, 10/1/13, MBS |
10,673 | ||||||||
| 59 | 6.50%, 2/1/14, MBS (k) |
60,695 | ||||||||
| 65 | 6.50%, 10/1/18, MBS (k) |
71,397 | ||||||||
| 123 | 6.50%, 9/1/19, MBS (k) |
134,589 | ||||||||
| 95 | 6.50%, 1/1/20, MBS (k) |
103,856 | ||||||||
| 181 | 6.50%, 6/25/23, CMO (k) |
205,841 | ||||||||
| — | (g) | 6.50%, 3/1/24, MBS |
80 | |||||||
| 21 | 6.50%, 4/1/27, MBS |
22,984 | ||||||||
| 106 | 6.50%, 11/18/27, CMO |
121,707 | ||||||||
| 10 | 6.50%, 1/1/28, MBS |
11,126 | ||||||||
| 446 | 6.50%, 2/1/28, MBS (k) |
504,084 | ||||||||
| 12 | 6.50%, 4/1/28, MBS |
13,325 | ||||||||
| 53 | 6.50%, 9/1/28, MBS (k) |
59,646 | ||||||||
| 16 | 6.50%, 11/1/28, MBS |
18,355 | ||||||||
| 45 | 6.50%, 1/1/29, MBS (k) |
51,320 | ||||||||
| 3 | 6.50%, 3/1/29, MBS |
2,927 | ||||||||
| 37 | 6.50%, 4/1/29, MBS (k) |
41,761 | ||||||||
| 18 | 6.50%, 5/1/29, MBS |
20,294 | ||||||||
| 43 | 6.50%, 6/1/29, MBS (k) |
48,497 | ||||||||
| 594 | 6.50%, 7/1/29, MBS (k) |
672,956 | ||||||||
| 2 | 6.50%, 9/1/29, MBS |
2,682 | ||||||||
| 8 | 6.50%, 12/1/29, MBS |
8,950 | ||||||||
| 196 | 6.50%, 4/1/31, MBS (k) |
217,690 | ||||||||
| 102 | 6.50%, 5/1/31, MBS (k) |
111,505 | ||||||||
| 130 | 6.50%, 8/1/31, MBS (k) |
142,049 | ||||||||
| 1,086 | 6.50%, 9/25/31, CMO (k) |
1,257,475 | ||||||||
| 46 | 6.50%, 10/1/31, MBS (k) |
50,703 | ||||||||
| 25 | 6.50%, 11/1/31, MBS (k) |
27,166 | ||||||||
| 1,893 | 6.50%, 3/25/32, CMO (k) |
2,094,685 | ||||||||
| 30 | 6.50%, 6/1/32, MBS (k) |
33,408 | ||||||||
| 103 | 6.50%, 8/1/32, MBS (k) |
113,108 | ||||||||
| 46 | 6.50%, 9/1/32, MBS (k) |
50,587 | ||||||||
| 342 | 6.50%, 10/1/32, MBS (k) |
387,633 | ||||||||
| 248 | 6.50%, 5/1/33, MBS (k) |
278,340 | ||||||||
| 73 | 6.50%, 6/1/33, MBS (k) |
81,431 | ||||||||
| 123 | 6.50%, 7/1/33, MBS (k) |
138,425 | ||||||||
| 144 | 6.50%, 8/1/33, MBS (k) |
161,217 | ||||||||
| 420 | 6.50%, 9/1/33, MBS (k) |
473,705 | ||||||||
| 1,114 | 6.50%, 10/1/33, MBS (k) |
1,251,250 | ||||||||
| 776 | 6.50%, 11/1/33, MBS (k) |
872,195 | ||||||||
| 137 | 6.50%, 12/1/33, MBS (k) |
153,123 | ||||||||
| 408 | 6.50%, 1/1/34, MBS (k) |
458,511 | ||||||||
| 60 | 6.50%, 2/1/34, MBS (k) |
66,804 | ||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| Fannie Mae (continued) |
||||||||||
| $24 | 6.50%, 3/1/34, MBS |
$26,323 | ||||||||
| 60 | 6.50%, 4/1/34, MBS (k) |
66,894 | ||||||||
| 66 | 6.50%, 5/1/34, MBS (k) |
73,308 | ||||||||
| 587 | 6.50%, 7/1/34, MBS (k) |
657,729 | ||||||||
| 460 | 6.50%, 8/1/34, MBS (k) |
515,506 | ||||||||
| 515 | 6.50%, 9/1/34, MBS (k) |
577,323 | ||||||||
| 13 | 6.50%, 10/1/34, MBS |
15,067 | ||||||||
| 280 | 6.50%, 11/1/34, MBS (k) |
313,383 | ||||||||
| 238 | 6.50%, 12/1/34, MBS (k) |
266,568 | ||||||||
| 153 | 6.50%, 2/1/35, MBS (k) |
171,850 | ||||||||
| 102 | 6.50%, 4/1/35, MBS (k) |
114,674 | ||||||||
| 46 | 6.50%, 7/1/35, MBS (k) |
51,272 | ||||||||
| 165 | 6.50%, 10/1/35, MBS (k) |
185,525 | ||||||||
| 859 | 6.50%, 6/1/36, MBS (k) |
963,470 | ||||||||
| 2,929 | 6.50%, 12/1/36, MBS (k) |
3,266,464 | ||||||||
| 389 | 6.50%, 4/1/37, MBS (k) |
427,916 | ||||||||
| 215 | 6.50%, 2/1/38, MBS (k) |
243,028 | ||||||||
| 1,066 | 6.50%, 7/1/39, MBS (k) |
1,185,225 | ||||||||
| 1,105 | 6.50%, 12/25/41, CMO (k) |
1,306,070 | ||||||||
| 3,245 | 6.50%, 7/25/42, CMO (k) |
3,775,148 | ||||||||
| 275 | 6.50%, 8/25/42, CMO (k) |
315,424 | ||||||||
| 2,658 | 6.50%, 9/25/42, CMO (k) |
3,056,427 | ||||||||
| 46 | 6.50%, 10/25/42, CMO, VRN (k) |
50,718 | ||||||||
| 1,190 | 6.50%, 6/25/44, CMO (k) |
1,357,522 | ||||||||
| 195 | 6.50%, 11/1/47, MBS (k) |
212,607 | ||||||||
| 1,000 | 6.50%, MBS, TBA (e) |
1,102,188 | ||||||||
| 49 | 6.85%, 12/18/27, CMO |
56,777 | ||||||||
| 17 | 7.00%, 1/1/13, MBS |
17,187 | ||||||||
| 14 | 7.00%, 2/1/15, MBS |
15,350 | ||||||||
| 135 | 7.00%, 3/1/16, MBS (k) |
147,250 | ||||||||
| 76 | 7.00%, 5/1/16, MBS (k) |
83,637 | ||||||||
| 67 | 7.00%, 11/1/16, MBS (k) |
70,173 | ||||||||
| 196 | 7.00%, 5/1/17, MBS (k) |
216,392 | ||||||||
| 56 | 7.00%, 11/1/17, MBS (k) |
60,926 | ||||||||
| 612 | 7.00%, 7/1/21, MBS (k) |
671,941 | ||||||||
| 123 | 7.00%, 11/1/24, MBS (k) |
139,651 | ||||||||
| 8 | 7.00%, 10/1/25, MBS |
9,358 | ||||||||
| 39 | 7.00%, 6/18/27, CMO |
45,062 | ||||||||
| 4 | 7.00%, 9/1/27, MBS |
5,108 | ||||||||
| 8 | 7.00%, 11/1/27, MBS |
9,362 | ||||||||
| 33 | 7.00%, 12/1/27, MBS (k) |
38,207 | ||||||||
| 3 | 7.00%, 5/1/28, MBS |
3,232 | ||||||||
| 17 | 7.00%, 6/1/28, MBS |
19,910 | ||||||||
| 34 | 7.00%, 2/1/29, MBS (k) |
39,665 | ||||||||
| 129 | 7.00%, 3/1/29, MBS (k) |
148,263 | ||||||||
| 78 | 7.00%, 4/1/29, MBS (k) |
89,261 | ||||||||
| 52 | 7.00%, 5/1/29, MBS (k) |
60,748 | ||||||||
| 47 | 7.00%, 6/1/29, MBS (k) |
54,511 | ||||||||
| 21 | 7.00%, 7/1/29, MBS |
24,092 | ||||||||
| 68 | 7.00%, 9/1/29, MBS (k) |
78,751 | ||||||||
| 22 | 7.00%, 10/1/29, MBS |
25,128 | ||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| Fannie Mae (continued) |
||||||||||
| $1 | 7.00%, 11/1/29, MBS |
$940 | ||||||||
| 13 | 7.00%, 3/1/30, MBS |
14,827 | ||||||||
| 4,953 | 7.00%, 4/1/30, MBS (k) |
5,694,424 | ||||||||
| 134 | 7.00%, 5/1/30, MBS (k) |
154,980 | ||||||||
| 11 | 7.00%, 4/1/31, MBS |
12,565 | ||||||||
| 9 | 7.00%, 6/1/31, MBS |
10,496 | ||||||||
| 35 | 7.00%, 7/1/31, MBS |
40,819 | ||||||||
| 100 | 7.00%, 8/1/31, MBS (k) |
115,029 | ||||||||
| 83 | 7.00%, 9/1/31, MBS (k) |
95,808 | ||||||||
| 10 | 7.00%, 11/1/31, MBS |
11,512 | ||||||||
| 123 | 7.00%, 12/1/31, MBS (k) |
142,232 | ||||||||
| 69 | 7.00%, 1/1/32, MBS (k) |
76,055 | ||||||||
| 125 | 7.00%, 2/1/32, MBS (k) |
144,411 | ||||||||
| 45 | 7.00%, 4/1/32, MBS (k) |
52,445 | ||||||||
| 132 | 7.00%, 5/1/32, MBS (k) |
151,888 | ||||||||
| 106 | 7.00%, 6/1/32, MBS (k) |
122,068 | ||||||||
| 61 | 7.00%, 7/1/32, MBS (k) |
69,691 | ||||||||
| 25 | 7.00%, 8/1/32, MBS |
28,355 | ||||||||
| 300 | 7.00%, 9/25/32, CMO |
351,235 | ||||||||
| 183 | 7.00%, 9/1/33, MBS (k) |
210,815 | ||||||||
| 270 | 7.00%, 11/1/33, MBS (k) |
310,310 | ||||||||
| 570 | 7.00%, 1/1/34, MBS (k) |
653,410 | ||||||||
| 113 | 7.00%, 7/1/34, MBS (k) |
126,942 | ||||||||
| 159 | 7.00%, 2/25/35, CMO |
203,909 | ||||||||
| 132 | 7.00%, 3/1/35, MBS (k) |
151,547 | ||||||||
| 1,670 | 7.00%, 7/1/36, MBS (k) |
1,899,709 | ||||||||
| 1,469 | 7.00%, 9/25/41, CMO, VRN (k) |
1,740,686 | ||||||||
| 148 | 7.00%, 10/25/41, CMO (k) |
170,434 | ||||||||
| 71 | 7.00%, 7/25/42, CMO (k) |
81,887 | ||||||||
| 372 | 7.00%, 11/25/43, CMO (k) |
423,560 | ||||||||
| 325 | 7.00%, 2/25/44, CMO (k) |
383,264 | ||||||||
| 1,979 | 7.00%, 3/25/45, CMO (k) |
2,299,419 | ||||||||
| 208 | 7.00%, 12/1/46, MBS (k) |
235,830 | ||||||||
| 382 | 7.00%, 1/1/47, MBS (k) |
433,724 | ||||||||
| 1,220 | 7.129%, 2/25/42, CMO, VRN (k) |
1,444,873 | ||||||||
| 1,095 | 7.281%, 10/25/42, CMO, VRN (k) |
1,302,175 | ||||||||
| 328 | 7.50%, 6/1/17, MBS (k) |
356,458 | ||||||||
| 36 | 7.50%, 12/1/17, MBS (k) |
40,557 | ||||||||
| 333 | 7.50%, 5/1/22, MBS (k) |
387,329 | ||||||||
| 49 | 7.50%, 10/25/22, CMO |
55,850 | ||||||||
| 297 | 7.50%, 4/1/24, MBS (k) |
340,575 | ||||||||
| 48 | 7.50%, 11/25/26, CMO |
54,022 | ||||||||
| 192 | 7.50%, 6/19/30, CMO, VRN (k) |
219,252 | ||||||||
| 190 | 7.50%, 6/25/30, CMO (k) |
220,269 | ||||||||
| 46 | 7.50%, 7/1/31, MBS (k) |
53,810 | ||||||||
| 103 | 7.50%, 5/1/32, MBS (k) |
120,994 | ||||||||
| 997 | 7.50%, 7/25/41, CMO (k) |
1,128,436 | ||||||||
| 69 | 7.50%, 7/25/42, CMO (k) |
82,361 | ||||||||
| 7 | 7.50%, 8/25/42, CMO |
8,662 | ||||||||
| 586 | 7.50%, 3/25/44, CMO (k) |
695,348 | ||||||||
| 2,323 | 7.50%, 6/25/44, CMO (k) |
2,679,168 | ||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| Fannie Mae (continued) |
||||||||||
| $74 | 7.70%, 3/25/23, CMO |
$84,149 | ||||||||
| 6 | 8.00%, 4/1/19, MBS |
6,441 | ||||||||
| 278 | 8.00%, 9/25/21, CMO |
319,064 | ||||||||
| 2 | 8.00%, 1/1/22, MBS |
2,252 | ||||||||
| 4 | 8.00%, 12/1/22, MBS |
4,399 | ||||||||
| 6 | 8.00%, 6/1/24, MBS |
7,536 | ||||||||
| 284 | 8.00%, 9/1/24, MBS (k) |
328,251 | ||||||||
| 1 | 8.00%, 12/1/24, MBS |
1,117 | ||||||||
| 2 | 8.00%, 9/1/27, MBS |
2,841 | ||||||||
| 16 | 8.00%, 4/1/30, MBS |
19,122 | ||||||||
| 68 | 8.00%, 5/1/30, MBS (k) |
80,029 | ||||||||
| 1,727 | 8.00%, 7/19/30, CMO, VRN (k) |
1,958,844 | ||||||||
| 30 | 8.00%, 8/1/30, MBS (k) |
35,456 | ||||||||
| — | (g) | 8.00%, 9/1/30, MBS |
513 | |||||||
| 1 | 8.00%, 10/1/30, MBS |
1,214 | ||||||||
| 13 | 8.00%, 1/1/31, MBS |
15,258 | ||||||||
| 10 | 8.00%, 3/1/31, MBS |
11,739 | ||||||||
| 73 | 8.00%, 5/1/31, MBS (k) |
85,221 | ||||||||
| 240 | 8.00%, 7/1/31, MBS (k) |
279,403 | ||||||||
| 30 | 8.00%, 8/1/31, MBS |
34,925 | ||||||||
| 318 | 8.00%, 10/1/31, MBS (k) |
371,867 | ||||||||
| 49 | 8.00%, 11/1/31, MBS (k) |
56,533 | ||||||||
| 22 | 8.00%, 1/1/32, MBS |
26,018 | ||||||||
| 12 | 8.00%, 6/1/32, MBS |
13,930 | ||||||||
| 66 | 8.00%, 1/1/35, MBS (k) |
76,170 | ||||||||
| 35 | 8.50%, 4/1/16, MBS (k) |
37,393 | ||||||||
| 470 | 8.50%, 9/25/21, CMO (k) |
523,479 | ||||||||
| 471 | 8.50%, 10/25/21, CMO |
539,295 | ||||||||
| 307 | 8.50%, 12/25/21, CMO (k) |
351,745 | ||||||||
| 1,154 | 8.50%, 6/18/27, CMO (k) |
1,366,462 | ||||||||
| 229 | 8.50%, 6/25/30, CMO |
272,351 | ||||||||
| 338 | 8.50%, 6/1/36, MBS (k) |
388,848 | ||||||||
| 715 | 9.428%, 5/15/21, MBS (k) |
833,997 | ||||||||
| 227 | 10.027%, 7/15/27, MBS (k) |
259,060 | ||||||||
| 3 | 10.30%, 4/25/19, CMO |
2,625 | ||||||||
|
|
|
|||||||||
| 521,495,938 | ||||||||||
|
|
|
|||||||||
| Federal Housing Administration—0.8% |
||||||||||
| 3,117 | 7.25%, 8/1/31 (f) |
3,080,659 | ||||||||
|
|
|
|||||||||
| Freddie Mac—28.9% |
||||||||||
| 73 | 2.374%, 9/1/31, FRN, MBS (k) |
72,929 | ||||||||
| 9 | 2.387%, 12/1/26, FRN, MBS |
9,373 | ||||||||
| 8 | 2.533%, 4/1/33, FRN, MBS |
8,259 | ||||||||
| 3,000 | 4.00%, MBS, TBA (e) |
3,112,969 | ||||||||
| 14 | 5.00%, 10/15/16, CMO |
13,896 | ||||||||
| 1 | 5.00%, 11/15/16, CMO |
622 | ||||||||
| 45 | 5.00%, 2/15/24, CMO (k) |
49,049 | ||||||||
| 6,000 | 5.50%, 6/15/41, CMO (k) |
6,871,963 | ||||||||
| 174 | 6.00%, 9/15/16, CMO (k) |
182,849 | ||||||||
| 1,782 | 6.00%, 12/15/16, CMO (k) |
1,911,821 | ||||||||
| 24 | 6.00%, 3/15/17, CMO |
25,712 | ||||||||
| 686 | 6.00%, 4/1/17, MBS (k) |
736,224 | ||||||||
| 595 | 6.00%, 12/15/28, CMO (k) |
644,685 | ||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| Freddie Mac (continued) |
||||||||||
| $952 | 6.00%, 2/15/31, CMO (k) |
$1,028,987 | ||||||||
| 582 | 6.00%, 4/15/31, CMO (k) |
643,670 | ||||||||
| 11,402 | 6.00%, 2/15/32, CMO (k) |
12,722,750 | ||||||||
| 5 | 6.00%, 2/1/33, MBS |
5,202 | ||||||||
| 1,271 | 6.00%, 3/1/33, MBS (k) |
1,380,997 | ||||||||
| 36 | 6.00%, 2/1/34, MBS (k) |
39,518 | ||||||||
| 133 | 6.00%, 3/15/35, CMO |
165,758 | ||||||||
| 601 | 6.50%, 11/1/16, MBS (k) |
627,781 | ||||||||
| 14 | 6.50%, 8/1/21, MBS |
15,831 | ||||||||
| 124 | 6.50%, 9/15/23, CMO (k) |
141,267 | ||||||||
| 2,142 | 6.50%, 10/15/23, CMO (k) |
2,185,458 | ||||||||
| 280 | 6.50%, 12/15/23, CMO (k) |
302,853 | ||||||||
| 316 | 6.50%, 3/15/26, CMO |
347,929 | ||||||||
| 862 | 6.50%, 2/15/28, CMO (k) |
955,072 | ||||||||
| 1,689 | 6.50%, 5/15/29, CMO (k) |
1,843,424 | ||||||||
| 8 | 6.50%, 6/1/29, MBS |
9,613 | ||||||||
| 199 | 6.50%, 7/15/29, CMO |
228,210 | ||||||||
| 7,636 | 6.50%, 6/15/31, CMO (k) |
8,856,975 | ||||||||
| 4,013 | 6.50%, 9/15/31, CMO (k) |
4,608,581 | ||||||||
| 65 | 6.50%, 12/15/31, CMO (k) |
67,391 | ||||||||
| 351 | 6.50%, 2/15/32, CMO |
407,559 | ||||||||
| 779 | 6.50%, 6/15/32, CMO (k) |
893,785 | ||||||||
| 4,167 | 6.50%, 7/15/32, CMO (k) |
4,783,229 | ||||||||
| 1,755 | 6.50%, 7/1/37, MBS (k) |
1,933,966 | ||||||||
| 107 | 6.50%, 2/25/43, CMO (k) |
120,363 | ||||||||
| 102 | 6.50%, 9/25/43, CMO, VRN (k) |
117,917 | ||||||||
| 567 | 6.50%, 10/25/43, CMO (k) |
662,746 | ||||||||
| 4,962 | 6.50%, 3/25/44, CMO (k) |
5,882,876 | ||||||||
| 327 | 6.50%, 9/1/47, MBS (k) |
359,600 | ||||||||
| 491 | 6.50%, 9/1/48, MBS (k) |
539,751 | ||||||||
| 953 | 6.624%, 7/25/32, CMO, VRN (k) |
1,102,891 | ||||||||
| 1,140 | 6.90%, 9/15/23, CMO (k) |
1,292,255 | ||||||||
| 586 | 6.95%, 7/15/21, CMO (k) |
650,748 | ||||||||
| 5 | 7.00%, 11/1/12, MBS |
5,259 | ||||||||
| 131 | 7.00%, 7/1/13, MBS (k) |
135,624 | ||||||||
| 5 | 7.00%, 1/1/14, MBS |
5,346 | ||||||||
| 192 | 7.00%, 9/1/14, MBS (k) |
204,748 | ||||||||
| 34 | 7.00%, 11/1/14, MBS (k) |
36,413 | ||||||||
| 20 | 7.00%, 7/1/15, MBS |
21,735 | ||||||||
| 4 | 7.00%, 8/1/15, MBS |
3,995 | ||||||||
| 22 | 7.00%, 4/1/16, MBS |
24,483 | ||||||||
| 3 | 7.00%, 6/1/16, MBS |
2,950 | ||||||||
| 25 | 7.00%, 7/1/16, MBS (k) |
26,989 | ||||||||
| 7 | 7.00%, 11/1/16, MBS |
8,005 | ||||||||
| 8 | 7.00%, 3/1/17, MBS |
8,437 | ||||||||
| 387 | 7.00%, 6/1/17, MBS (k) |
407,215 | ||||||||
| 181 | 7.00%, 8/1/21, MBS (k) |
197,665 | ||||||||
| 649 | 7.00%, 9/1/21, MBS (k) |
709,033 | ||||||||
| 417 | 7.00%, 5/15/23, CMO (k) |
473,426 | ||||||||
| 1,118 | 7.00%, 1/15/24, CMO (k) |
1,275,057 | ||||||||
| 59 | 7.00%, 3/15/24, CMO (k) |
67,549 | ||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| Freddie Mac (continued) |
||||||||||
| $60 | 7.00%, 5/15/24, CMO |
$68,588 | ||||||||
| 7 | 7.00%, 7/1/24, MBS |
8,169 | ||||||||
| 479 | 7.00%, 9/15/25, CMO (k) |
561,012 | ||||||||
| 856 | 7.00%, 7/15/27, CMO (k) |
974,232 | ||||||||
| 4,311 | 7.00%, 3/15/29, CMO (k) |
5,410,136 | ||||||||
| 76 | 7.00%, 3/1/31, MBS (k) |
87,653 | ||||||||
| 1,497 | 7.00%, 6/15/31, CMO (k) |
1,716,038 | ||||||||
| 579 | 7.00%, 10/1/31, MBS (k) |
669,081 | ||||||||
| 238 | 7.00%, 1/1/32, MBS (k) |
275,041 | ||||||||
| 21 | 7.00%, 3/1/32, MBS |
23,928 | ||||||||
| 41 | 7.00%, 4/1/32, MBS (k) |
47,017 | ||||||||
| 347 | 7.00%, 1/1/36, MBS (k) |
400,499 | ||||||||
| 1,788 | 7.00%, 6/1/36, MBS (k) |
2,043,558 | ||||||||
| 402 | 7.00%, 7/1/36, MBS (k) |
459,190 | ||||||||
| 3,972 | 7.00%, 8/1/36, MBS (k) |
4,538,537 | ||||||||
| 799 | 7.00%, 9/1/36, MBS (k) |
913,494 | ||||||||
| 1,171 | 7.00%, 11/1/36, MBS (k) |
1,336,711 | ||||||||
| 450 | 7.00%, 12/1/36, MBS (k) |
513,976 | ||||||||
| 1,861 | 7.00%, 1/1/37, MBS (k) |
2,126,891 | ||||||||
| 828 | 7.00%, 2/25/43, CMO (k) |
951,859 | ||||||||
| 355 | 7.00%, 9/25/43, CMO (k) |
419,756 | ||||||||
| 109 | 7.00%, 10/25/43, CMO (k) |
129,341 | ||||||||
| 230 | 7.060%, 7/25/32, CMO, VRN (k) |
262,129 | ||||||||
| 45 | 7.50%, 1/1/16, MBS (k) |
48,650 | ||||||||
| 1,325 | 7.50%, 5/15/24, CMO (k) |
1,546,926 | ||||||||
| 225 | 7.50%, 8/1/24, MBS (k) |
263,712 | ||||||||
| 2 | 7.50%, 6/1/25, MBS |
2,431 | ||||||||
| 18 | 7.50%, 12/1/25, MBS |
20,836 | ||||||||
| 4 | 7.50%, 1/1/26, MBS |
5,302 | ||||||||
| 13 | 7.50%, 2/1/26, MBS |
15,441 | ||||||||
| 21 | 7.50%, 3/1/26, MBS |
23,818 | ||||||||
| 27 | 7.50%, 4/1/26, MBS (k) |
31,574 | ||||||||
| 23 | 7.50%, 5/1/26, MBS |
27,149 | ||||||||
| 209 | 7.50%, 6/1/26, MBS (k) |
243,337 | ||||||||
| 173 | 7.50%, 7/1/26, MBS (k) |
200,370 | ||||||||
| 48 | 7.50%, 8/1/26, MBS |
55,185 | ||||||||
| 14 | 7.50%, 11/1/26, MBS |
15,658 | ||||||||
| 455 | 7.50%, 12/1/26, MBS (k) |
527,311 | ||||||||
| 163 | 7.50%, 3/15/28, CMO (k) |
191,138 | ||||||||
| 3,114 | 7.50%, 4/1/28, MBS (k) |
3,610,723 | ||||||||
| — | (g) | 7.50%, 2/1/30, MBS |
556 | |||||||
| 1 | 7.50%, 4/1/30, MBS |
904 | ||||||||
| — | (g) | 7.50%, 6/1/30, MBS |
71 | |||||||
| 4 | 7.50%, 10/1/30, MBS |
4,586 | ||||||||
| 23 | 7.50%, 11/1/30, MBS |
26,292 | ||||||||
| 905 | 7.50%, 12/1/30, MBS (k) |
1,049,111 | ||||||||
| 617 | 7.50%, 5/1/32, MBS (k) |
713,641 | ||||||||
| 84 | 7.50%, 7/1/34, MBS (k) |
96,625 | ||||||||
| 201 | 7.50%, 3/1/37, MBS (k) |
231,234 | ||||||||
| 67 | 7.50%, 2/25/42, CMO (k) |
81,262 | ||||||||
| 60 | 8.00%, 8/15/22, CMO (k) |
72,973 | ||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| Freddie Mac (continued) |
||||||||||
| $39 | 8.00%, 7/1/24, MBS |
$45,649 | ||||||||
| 55 | 8.00%, 8/1/24, MBS (k) |
65,131 | ||||||||
| 630 | 8.00%, 12/1/26, MBS (k) |
741,317 | ||||||||
| 153 | 8.00%, 4/15/30, CMO |
181,028 | ||||||||
| 108 | 8.50%, 4/15/22, CMO (k) |
111,087 | ||||||||
| 256 | 8.50%, 10/1/30, MBS (k) |
299,673 | ||||||||
|
|
|
|||||||||
| 106,666,770 | ||||||||||
|
|
|
|||||||||
| Ginnie Mae—6.9% |
||||||||||
| 7,000 | 4.50%, MBS, TBA (e) |
7,609,219 | ||||||||
| 195 | 5.50%, 6/20/35, FRN, MBS (k) |
206,471 | ||||||||
| 28 | 6.00%, 4/15/29, MBS (k) |
31,825 | ||||||||
| 3 | 6.00%, 8/15/31, MBS |
3,086 | ||||||||
| 54 | 6.00%, 2/15/36, MBS (k) |
60,594 | ||||||||
| 22 | 6.00%, 6/15/36, MBS |
24,431 | ||||||||
| 10 | 6.00%, 7/15/36, MBS |
11,604 | ||||||||
| 39 | 6.00%, 9/15/36, MBS (k) |
43,268 | ||||||||
| 74 | 6.00%, 10/15/36, MBS (k) |
82,677 | ||||||||
| 64 | 6.00%, 12/15/36, MBS (k) |
72,127 | ||||||||
| 17 | 6.00%, 6/15/37, MBS |
18,565 | ||||||||
| 1,438 | 6.00%, 7/15/37, MBS (k) |
1,612,189 | ||||||||
| 47 | 6.00%, 11/15/37, MBS (k) |
53,068 | ||||||||
| 59 | 6.00%, 12/15/37, MBS (k) |
66,829 | ||||||||
| 124 | 6.00%, 3/15/38, MBS (k) |
139,160 | ||||||||
| 549 | 6.00%, 9/15/38, MBS (k) |
620,254 | ||||||||
| 1,000 | 6.00%, 10/15/38, MBS (k) |
1,121,329 | ||||||||
| 3,733 | 6.00%, 11/15/38, MBS (k) |
4,206,213 | ||||||||
| 28 | 6.00%, 12/15/38, MBS (k) |
31,118 | ||||||||
| 96 | 6.50%, 11/20/24, MBS |
107,805 | ||||||||
| 769 | 6.50%, 4/15/32, MBS (k) |
880,692 | ||||||||
| 927 | 6.50%, 5/15/32, MBS (k) |
1,061,287 | ||||||||
| 53 | 6.50%, 6/20/32, CMO (k) |
61,095 | ||||||||
| 275 | 6.50%, 8/20/38, MBS |
294,654 | ||||||||
| 94 | 6.50%, 10/20/38, MBS |
103,029 | ||||||||
| 3 | 7.00%, 4/15/24, MBS |
3,399 | ||||||||
| 22 | 7.00%, 7/15/25, MBS |
24,775 | ||||||||
| 29 | 7.00%, 9/15/25, MBS |
33,381 | ||||||||
| 16 | 7.00%, 11/15/25, MBS |
18,465 | ||||||||
| 7 | 7.00%, 12/15/25, MBS |
8,204 | ||||||||
| 22 | 7.00%, 3/15/26, MBS |
25,332 | ||||||||
| 7 | 7.00%, 4/15/26, MBS |
7,995 | ||||||||
| 2 | 7.00%, 5/15/26, MBS |
2,276 | ||||||||
| 41 | 7.00%, 6/15/26, MBS (k) |
46,580 | ||||||||
| 3,161 | 7.00%, 3/20/31, CMO (k) |
3,615,108 | ||||||||
| 5 | 7.50%, 1/15/17, MBS |
5,209 | ||||||||
| 2 | 7.50%, 2/15/17, MBS |
2,091 | ||||||||
| 3 | 7.50%, 3/15/17, MBS |
3,515 | ||||||||
| 2 | 7.50%, 4/15/17, MBS |
2,449 | ||||||||
| 4 | 7.50%, 5/15/17, MBS |
4,863 | ||||||||
| 2 | 7.50%, 7/15/17, MBS |
2,119 | ||||||||
| 1 | 7.50%, 6/15/23, MBS |
876 | ||||||||
| 10 | 7.50%, 10/15/25, MBS |
11,955 | ||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| Ginnie Mae (continued) |
||||||||||
| $109 | 7.50%, 3/15/26, MBS (k) |
$127,876 | ||||||||
| 128 | 7.50%, 6/20/26, CMO (k) |
147,798 | ||||||||
| 234 | 7.50%, 9/15/26, MBS (k) |
273,246 | ||||||||
| 8 | 7.50%, 12/15/26, MBS |
9,511 | ||||||||
| 2 | 7.50%, 1/15/27, MBS |
2,574 | ||||||||
| 4 | 7.50%, 2/15/27, MBS |
4,623 | ||||||||
| 49 | 7.50%, 3/15/27, MBS (k) |
56,963 | ||||||||
| 280 | 7.50%, 4/15/27, MBS (k) |
327,420 | ||||||||
| 6 | 7.50%, 5/15/27, MBS |
6,671 | ||||||||
| 107 | 7.50%, 6/15/27, MBS (k) |
125,197 | ||||||||
| 146 | 7.50%, 7/15/27, MBS (k) |
170,752 | ||||||||
| 46 | 7.50%, 8/15/27, MBS (k) |
48,071 | ||||||||
| 49 | 7.50%, 12/15/27, MBS (k) |
56,749 | ||||||||
| 335 | 7.50%, 1/15/28, MBS (k) |
393,098 | ||||||||
| 84 | 7.50%, 2/15/28, MBS (k) |
98,275 | ||||||||
| 160 | 7.50%, 1/15/29, MBS (k) |
186,995 | ||||||||
| 120 | 7.50%, 2/15/29, MBS (k) |
139,462 | ||||||||
| 6 | 7.50%, 3/15/29, MBS |
5,849 | ||||||||
| 3 | 8.00%, 6/15/16, MBS |
3,413 | ||||||||
| — | (g) | 8.00%, 7/15/16, MBS |
150 | |||||||
| 8 | 8.00%, 1/15/17, MBS |
8,514 | ||||||||
| — | (g) | 8.00%, 2/15/17, MBS |
145 | |||||||
| 6 | 8.00%, 3/15/17, MBS |
6,614 | ||||||||
| 14 | 8.00%, 4/15/17, MBS |
14,258 | ||||||||
| 8 | 8.00%, 5/15/17, MBS |
8,621 | ||||||||
| 1 | 8.00%, 6/15/17, MBS |
706 | ||||||||
| 7 | 8.00%, 7/15/17, MBS |
7,551 | ||||||||
| — | (g) | 8.00%, 1/15/20, MBS |
445 | |||||||
| 5 | 8.00%, 11/15/21, MBS |
5,493 | ||||||||
| 4 | 8.00%, 12/15/21, MBS |
4,969 | ||||||||
| 8 | 8.00%, 4/15/22, MBS |
8,909 | ||||||||
| — | (g) | 8.00%, 5/15/22, MBS |
142 | |||||||
| 5 | 8.00%, 11/15/22, MBS |
5,953 | ||||||||
| — | (g) | 8.50%, 10/15/16, MBS |
183 | |||||||
| — | (g) | 8.50%, 5/15/22, MBS |
218 | |||||||
| 1 | 8.50%, 1/15/23, MBS |
1,015 | ||||||||
| 2 | 8.50%, 8/15/30, MBS |
2,244 | ||||||||
| 11 | 8.50%, 2/15/31, MBS |
13,947 | ||||||||
| 12 | 9.00%, 6/15/16, MBS |
12,214 | ||||||||
| 31 | 9.00%, 11/15/16, MBS (k) |
34,360 | ||||||||
| 31 | 9.00%, 12/15/16, MBS (k) |
34,377 | ||||||||
| 19 | 9.00%, 9/15/17, MBS |
19,220 | ||||||||
| 36 | 9.00%, 12/15/17, MBS (k) |
41,248 | ||||||||
| 52 | 9.00%, 3/15/18, MBS (k) |
60,829 | ||||||||
| 40 | 9.00%, 5/15/18, MBS (k) |
46,761 | ||||||||
| 19 | 9.00%, 6/15/18, MBS |
18,806 | ||||||||
| 178 | 9.00%, 10/15/19, MBS (k) |
201,295 | ||||||||
| 90 | 9.00%, 11/15/19, MBS (k) |
101,486 | ||||||||
| 76 | 9.00%, 1/15/20, MBS (k) |
89,013 | ||||||||
|
|
|
|||||||||
| 25,275,410 | ||||||||||
|
|
|
|||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| Small Business Administration Participation Certificates—1.0% |
| |||||||||
| $511 | 4.625%, 2/1/25, ABS |
$554,812 | ||||||||
| 406 | 4.754%, 8/10/14, ABS |
430,896 | ||||||||
| 279 | 5.038%, 3/10/15, ABS |
293,314 | ||||||||
| 1,316 | 5.51%, 11/1/27, ABS |
1,462,809 | ||||||||
| 129 | 5.78%, 8/1/27, ABS |
145,332 | ||||||||
| 126 | 5.82%, 7/1/27, ABS |
142,493 | ||||||||
| 68 | 6.30%, 7/1/13 |
69,533 | ||||||||
| 222 | 6.30%, 6/1/18 |
241,456 | ||||||||
| 65 | 6.40%, 8/1/13 |
66,510 | ||||||||
| 34 | 7.20%, 6/1/17 |
37,479 | ||||||||
| 24 | 7.70%, 7/1/16 |
25,734 | ||||||||
|
|
|
|||||||||
| |
3,470,368 |
| ||||||||
|
|
|
|||||||||
| Vendee Mortgage Trust—1.9% |
| |||||||||
| 420 | 6.50%, 3/15/29, CMO |
494,481 | ||||||||
| 82 | 6.75%, 2/15/26, CMO |
96,955 | ||||||||
| 190 | 6.75%, 6/15/26, CMO |
225,922 | ||||||||
| 5,189 | 7.50%, 9/15/30, CMO |
6,242,764 | ||||||||
|
|
|
|||||||||
| 7,060,122 | ||||||||||
|
|
|
|||||||||
| Total U.S. Government Agency Securities (cost—$637,262,875) |
|
667,049,267 |
| |||||||
|
|
|
|||||||||
| CORPORATE BONDS & NOTES—57.9% |
| |||||||||
| Airlines—2.3% |
| |||||||||
| 749 | Northwest Airlines, Inc., 1.048%, 11/20/15, FRN (MBIA) (k) | 696,348 | ||||||||
| United Air Lines Pass Through Trust, | ||||||||||
| 2,402 | 6.636%, 1/2/24 |
2,318,112 | ||||||||
| 889 | 9.75%, 1/15/17 (k) |
960,490 | ||||||||
| 4,091 | 10.40%, 5/1/18 (k) |
|
4,520,602 |
| ||||||
|
|
|
|||||||||
| |
8,495,552 |
| ||||||||
|
|
|
|||||||||
| Banking—12.0% |
| |||||||||
| £1,300 | Barclays Bank PLC, 14.00%, 6/15/19 (h) | 2,436,211 | ||||||||
| BPCE S.A. (h), | ||||||||||
| €50 | 9.00%, 3/17/15 |
58,115 | ||||||||
| €300 | 9.25%, 4/22/15 |
343,504 | ||||||||
| Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, | ||||||||||
| €2,000 | 6.875%, 3/19/20 |
2,583,327 | ||||||||
| $5,900 | 11.00%, 6/30/19 (a)(d)(h)(k) |
7,158,682 | ||||||||
| 7,700 | Discover Bank, 7.00%, 4/15/20 (k) | 8,074,828 | ||||||||
| £800 | DnB NOR Bank ASA, 6.012%, 3/29/17 (h) | 1,241,299 | ||||||||
| $5,000 | ICICI Bank Ltd., 5.75%, 11/16/20 (a)(d)(k) | 4,978,415 | ||||||||
| 13,000 | Regions Financial Corp., 7.75%, 11/10/14 (k) | 13,552,500 | ||||||||
| Royal Bank of Scotland PLC, FRN, | ||||||||||
| 2,000 | 1.091%, 4/11/16 |
1,463,922 | ||||||||
| 3,000 | 1.105%, 9/29/15 |
|
2,310,153 |
| ||||||
|
|
|
|||||||||
| 44,200,956 | ||||||||||
|
|
|
|||||||||
| Chemicals—1.2% |
| |||||||||
| 4,049 | Lyondell Chemical Co., 8.00%, 11/1/17 | 4,575,370 | ||||||||
|
|
|
|||||||||
| Energy—0.2% |
| |||||||||
| 625 | Consol Energy, Inc., 8.25%, 4/1/20 | 687,500 | ||||||||
|
|
|
|||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| Financial Services—24.4% |
||||||||||
| Ally Financial, Inc., |
||||||||||
| $3,000 | 6.75%, 12/1/14 |
$3,034,032 | ||||||||
| 6,100 | 8.30%, 2/12/15 (k) |
6,420,250 | ||||||||
| 1,800 | C10 Capital SPV Ltd., 6.722%, 12/31/16 (f)(h) |
972,000 | ||||||||
| 3,000 | Cantor Fitzgerald L.P., 6.375%, 6/26/15 (a)(d)(k) |
3,123,732 | ||||||||
| CIT Group, Inc., |
||||||||||
| 3,900 | 5.25%, 4/1/14 (a)(d) |
3,900,000 | ||||||||
| 502 | 7.00%, 5/1/15 |
502,789 | ||||||||
| 837 | 7.00%, 5/1/16 |
839,029 | ||||||||
| 1,172 | 7.00%, 5/1/17 (k) |
1,173,179 | ||||||||
| 9,000 | Citigroup, Inc., 5.00%, 9/15/14 (k) |
9,180,891 | ||||||||
| Credit Agricole S.A. (h), |
||||||||||
| £250 | 5.136%, 2/24/16 |
265,304 | ||||||||
| $2,500 | 6.637%, 5/31/17 (a)(d)(k) |
1,713,750 | ||||||||
| £800 | 8.125%, 10/26/19 |
1,003,330 | ||||||||
| Ford Motor Credit Co. LLC, |
||||||||||
| $1,000 | 6.625%, 8/15/17 |
1,098,738 | ||||||||
| 10,000 | 8.70%, 10/1/14 (k) |
11,216,010 | ||||||||
| £3,000 | General Electric Capital Corp., |
|||||||||
| 6.50%, 9/15/67, (converts to FRN on 9/15/17) |
4,365,450 | |||||||||
| $4,000 | HSBC Finance Corp., 6.676%, 1/15/21 (k) |
4,086,800 | ||||||||
| International Lease Finance Corp. (a)(d)(k), |
||||||||||
| 2,000 | 6.75%, 9/1/16 |
2,067,500 | ||||||||
| 7,000 | 7.125%, 9/1/18 |
7,262,500 | ||||||||
| £300 | LBG Capital No.2 PLC, 15.00%, 12/21/19 |
564,614 | ||||||||
| $4,000 | Merrill Lynch & Co., Inc., 0.863%, 1/15/15, FRN (k) |
3,455,512 | ||||||||
| Morgan Stanley, |
||||||||||
| 8,000 | 0.855%, 10/18/16, FRN (k) |
6,698,904 | ||||||||
| AUD 2,700 | 5.187%, 3/1/13, FRN |
2,726,833 | ||||||||
| $1,000 | 6.625%, 4/1/18 (k) |
1,045,812 | ||||||||
| SLM Corp., |
||||||||||
| 150 | 0.718%, 1/27/14, FRN |
135,822 | ||||||||
| 1,050 | 5.00%, 10/1/13 (k) |
1,050,161 | ||||||||
| 200 | 5.375%, 1/15/13 |
201,076 | ||||||||
| 1,000 | 5.375%, 5/15/14 (k) |
995,954 | ||||||||
| 570 | 5.679%, 2/1/14, FRN |
551,190 | ||||||||
| 1,000 | 8.00%, 3/25/20 |
1,042,500 | ||||||||
| 2,500 | 8.45%, 6/15/18 (k) |
2,658,878 | ||||||||
| 1,800 | UBS AG, 5.875%, 12/20/17 (k) |
1,976,045 | ||||||||
| 4,500 | Waha Aerospace BV, 3.925%, 7/28/20 (a)(d) |
4,662,000 | ||||||||
|
|
|
|||||||||
| 89,990,585 | ||||||||||
|
|
|
|||||||||
| Healthcare & Hospitals—0.4% |
||||||||||
| 1,500 | HCA, Inc., 9.00%, 12/15/14 |
1,556,250 | ||||||||
|
|
|
|||||||||
| Hotels/Gaming—0.0% |
||||||||||
| 100 | MGM Resorts International, 9.00%, 3/15/20 |
111,000 | ||||||||
|
|
|
|||||||||
| Insurance—5.3% |
||||||||||
| American International Group, Inc., |
||||||||||
| 6,300 | 5.85%, 1/16/18 (k) |
6,369,792 | ||||||||
| 3,000 | 6.25%, 5/1/36 (k) |
2,971,413 | ||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| Insurance (continued) |
||||||||||
| $3,900 | 6.40%, 12/15/20 (k) |
$4,103,319 | ||||||||
| 3,400 | 8.25%, 8/15/18 (k) |
3,844,135 | ||||||||
| £1,750 | 8.625%, 5/22/68, (converts to FRN on 5/22/18) |
2,518,374 | ||||||||
|
|
|
|||||||||
| 19,807,033 | ||||||||||
|
|
|
|||||||||
| Oil & Gas—9.0% | ||||||||||
| Anadarko Petroleum Corp., |
||||||||||
| $600 | 6.20%, 3/15/40 |
698,152 | ||||||||
| 3,600 | 6.375%, 9/15/17 |
4,247,716 | ||||||||
| 4,500 | 6.45%, 9/15/36 (k) |
5,271,165 | ||||||||
| 7,000 | BP Capital Markets PLC, 4.75%, 3/10/19 (k) |
7,783,629 | ||||||||
| Gaz Capital S.A. for Gazprom, |
||||||||||
| €1,000 | 5.875%, 6/1/15 (a)(d) |
1,480,559 | ||||||||
| $3,000 | 8.625%, 4/28/34 |
3,750,000 | ||||||||
| 1,250 | Ras Laffan Liquefied Natural Gas Co., Ltd. III, 6.332%, 9/30/27 (b) |
1,391,577 | ||||||||
| 2,000 | Royal Bank of Scotland AG for Gazprom, 9.625%, 3/1/13 |
2,183,000 | ||||||||
| 5,000 | Shell International Finance BV, 5.50%, 3/25/40 (k) |
6,303,610 | ||||||||
|
|
|
|||||||||
| 33,109,408 | ||||||||||
|
|
|
|||||||||
| Real Estate Investment Trust—2.2% |
||||||||||
| 4,500 | SL Green Realty Corp., 7.75%, 3/15/20 (k) |
4,962,159 | ||||||||
| 3,000 | Wells Operating Partnership II L.P., 5.875%, 4/1/18 (k) |
3,058,461 | ||||||||
|
|
|
|||||||||
| 8,020,620 | ||||||||||
|
|
|
|||||||||
| Retail—0.3% | ||||||||||
| 968 | CVS Pass Through Trust, 7.507%, 1/10/32 (a)(d)(k) |
1,126,051 | ||||||||
|
|
|
|||||||||
| Utilities—0.6% | ||||||||||
| 2,000 | Energy Future Holdings Corp., 10.00%, 1/15/20 |
2,100,000 | ||||||||
|
|
|
|||||||||
| Total Corporate Bonds & Notes (cost—$191,601,919) |
213,780,325 | |||||||||
|
|
|
|||||||||
| MORTGAGE-BACKED SECURITIES—45.3% |
||||||||||
| Adjustable Rate Mortgage Trust, CMO, VRN, |
||||||||||
| 1,782 | 2.631%, 7/25/35 |
1,333,772 | ||||||||
| 4,442 | 4.891%, 8/25/35 |
3,589,535 | ||||||||
| 2,833 | Banc of America Large Loan, Inc., 5.686%, 4/24/49, CMO, VRN (a)(d) |
2,704,836 | ||||||||
| 73 | Banc of America Mortgage Securities, Inc., 2.883%, 2/25/35, CMO, FRN |
60,887 | ||||||||
| 574 | BCAP LLC Trust, 5.050%, 3/26/36, CMO, FRN (a)(d) |
506,730 | ||||||||
| 861 | Bear Stearns Alt-A Trust, 5.775%, 8/25/36, CMO, VRN |
470,149 | ||||||||
| 4,279 | Bear Stearns Commercial Mortgage Securities, 7.00%, 5/20/30, CMO, VRN |
4,813,458 | ||||||||
| 17 | Citigroup Mortgage Loan Trust, Inc., 7.00%, 9/25/33, CMO |
17,726 | ||||||||
| 2,500 | Commercial Mortgage Pass Through Certificates, 5.605%, 6/9/28, CMO (a)(d) |
2,466,182 | ||||||||
| Countrywide Alternative Loan Trust, CMO, |
||||||||||
| 353 | 5.50%, 5/25/22 |
304,426 | ||||||||
| 1,651 | 6.25%, 8/25/37 |
998,456 | ||||||||
| 2,453 | 6.50%, 7/25/35 |
1,485,397 | ||||||||
| Countrywide Home Loan Mortgage Pass Through Trust, CMO, |
||||||||||
| 1,399 | 3.783%, 8/25/34, FRN |
860,974 | ||||||||
| 4,561 | 7.50%, 11/25/34 (a)(d) |
4,708,896 | ||||||||
| 610 | 7.50%, 6/25/35 (a)(d) |
610,571 | ||||||||
| Credit Suisse First Boston Mortgage Securities Corp., CMO, |
||||||||||
| 486 | 1.395%, 3/25/34, FRN |
415,064 | ||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| $1,205 | 7.00%, 2/25/34 |
$1,257,566 | ||||||||
| Credit Suisse Mortgage Capital Certificates, CMO, |
||||||||||
| 2,717 | 0.413%, 10/15/21, FRN (a)(d) |
2,513,516 | ||||||||
| 2,306 | 5.695%, 9/15/40, VRN |
2,399,574 | ||||||||
| €2,700 | DECO Series, 1.748%, 10/27/20, CMO, FRN |
3,176,103 | ||||||||
| $6,770 | Deutsche Mortgage Securities, Inc., 5.00%, 6/26/35, CMO, VRN (a)(d) |
4,785,571 | ||||||||
| 511 | GMAC Mortgage Corp. Loan Trust, 5.140%, 8/19/34, CMO, FRN |
390,022 | ||||||||
| 2,994 | GSAA Trust, 6.00%, 4/1/34, CMO |
3,092,184 | ||||||||
| GSMPS Mortgage Loan Trust, CMO (a)(d), |
||||||||||
| 4,076 | 7.00%, 6/25/43 |
4,134,025 | ||||||||
| 102 | 7.50%, 6/19/27, VRN |
104,382 | ||||||||
| 1,580 | 8.00%, 9/19/27, VRN |
1,640,070 | ||||||||
| GSR Mortgage Loan Trust, CMO, |
||||||||||
| 1,097 | 0.575%, 12/25/34, FRN |
878,537 | ||||||||
| 585 | 0.585%, 12/25/34, FRN |
462,069 | ||||||||
| 5,813 | 5.150%, 11/25/35, VRN |
5,334,787 | ||||||||
| 5,000 | 5.50%, 11/25/35 |
4,427,668 | ||||||||
| 1,181 | 6.50%, 1/25/34 |
1,248,419 | ||||||||
| Harborview Mortgage Loan Trust, CMO, |
||||||||||
| 3,059 | 0.614%, 10/19/33, FRN |
2,500,802 | ||||||||
| 3,144 | 5.520%, 6/19/36, VRN |
1,749,916 | ||||||||
| 515 | JPMorgan Alternative Loan Trust, 5.95%, 9/25/36, CMO, VRN |
505,347 | ||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., CMO (a)(d), |
||||||||||
| 5,000 | 0.693%, 7/15/19, FRN |
4,740,318 | ||||||||
| 4,000 | 5.647%, 3/18/51, VRN |
3,839,350 | ||||||||
| JPMorgan Mortgage Trust, CMO, |
||||||||||
| 5,864 | 2.704%, 10/25/36, VRN |
4,440,448 | ||||||||
| 251 | 5.50%, 8/25/22 |
238,991 | ||||||||
| 1,549 | 5.50%, 6/25/37 |
1,365,524 | ||||||||
| 698 | Lehman Mortgage Trust, 5.00%, 8/25/21, CMO |
666,171 | ||||||||
| 4,102 | Luminent Mortgage Trust, 0.415%, 12/25/36, CMO, FRN |
2,291,427 | ||||||||
| 1,694 | MASTR Adjustable Rate Mortgage Trust, 3.020%, 10/25/34, CMO, VRN |
1,198,800 | ||||||||
| MASTR Alternative Loans Trust, CMO, |
||||||||||
| 1,072 | 6.25%, 7/25/36 |
820,366 | ||||||||
| 1,368 | 6.50%, 3/25/34 |
1,417,944 | ||||||||
| 106 | 7.00%, 4/25/34 |
107,238 | ||||||||
| MASTR Reperforming Loan Trust, CMO (a)(d), |
||||||||||
| 3,019 | 7.00%, 5/25/35 |
3,029,721 | ||||||||
| 4,398 | 7.50%, 7/25/35 |
4,453,521 | ||||||||
| 151 | Merrill Lynch Mortgage Investors, Inc., 5.25%, 8/25/36, CMO, VRN |
149,656 | ||||||||
| 2 | Morgan Stanley Dean Witter Capital I, 5.50%, 4/25/17, CMO |
2,083 | ||||||||
| Newgate Fund PLC, CMO, FRN, |
||||||||||
| £4,200 | 1.918%, 12/15/50 |
4,399,698 | ||||||||
| £3,450 | 2.168%, 12/15/50 |
2,662,683 | ||||||||
| €3,050 | 2.778%, 12/15/50 |
2,025,737 | ||||||||
| €3,050 | 3.028%, 12/15/50 |
1,565,226 | ||||||||
| Nomura Asset Acceptance Corp., CMO (a)(d), |
||||||||||
| $2,275 | 7.00%, 10/25/34 |
2,321,605 | ||||||||
| 3,550 | 7.50%, 3/25/34 |
3,780,616 | ||||||||
| 6,825 | 7.50%, 10/25/34 |
7,149,760 | ||||||||
| Residential Accredit Loans, Inc., CMO, |
||||||||||
| 3,398 | 0.425%, 6/25/46, FRN |
1,104,599 | ||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| $4,225 | 6.00%, 8/25/35 |
$3,372,154 | ||||||||
| Residential Asset Mortgage Products, Inc., CMO |
||||||||||
| 51 | 6.50%, 11/25/31 |
51,223 | ||||||||
| 523 | 7.00%, 8/25/16 |
529,174 | ||||||||
| 1,076 | 8.50%, 10/25/31 |
1,153,612 | ||||||||
| 1,642 | 8.50%, 11/25/31 |
1,750,175 | ||||||||
| 1,922 | Sequoia Mortgage Trust, 0.445%, 7/20/36, CMO, FRN |
1,377,772 | ||||||||
| 588 | Structured Adjustable Rate Mortgage Loan Trust, |
|||||||||
| 2.526%, 3/25/34, CMO, VRN |
538,217 | |||||||||
| 6,121 | Structured Asset Mortgage Investments, Inc., |
|||||||||
| 1.730%, 8/25/47, CMO, FRN |
3,019,296 | |||||||||
| 5,410 | Structured Asset Securities Corp., 7.50%, 10/25/36, CMO (a)(d) |
5,092,539 | ||||||||
| 4,107 | Thornburg Mortgage Securities Trust, 0.345%, 3/25/37, CMO, FRN |
3,943,682 | ||||||||
| UBS Commercial Mortgage Trust, |
||||||||||
| 5,600 | 0.818%, 7/15/24, CMO, FRN (a)(d) |
4,720,490 | ||||||||
| 5,000 | Wachovia Bank Commercial Mortgage Trust, 0.363%, 9/15/21, CMO, FRN (a)(d) |
4,413,160 | ||||||||
| 575 | WaMu Mortgage Pass Through Certificates, 2.577%, 5/25/35, CMO, VRN |
431,907 | ||||||||
| Washington Mutual MSC Mortgage Pass Through Certificates, CMO, |
||||||||||
| 1,631 | 6.50%, 8/25/34 |
1,690,738 | ||||||||
| 629 | 7.00%, 3/25/34 |
671,456 | ||||||||
| 1,409 | 7.50%, 4/25/33 |
1,450,719 | ||||||||
| Wells Fargo Mortgage-Backed Securities Trust, CMO, |
||||||||||
| 2,176 | 2.666%, 5/25/35, VRN |
2,029,241 | ||||||||
| 144 | 2.698%, 4/25/36, VRN |
114,041 | ||||||||
| 1,231 | 2.710%, 6/25/35, FRN |
1,124,858 | ||||||||
| 485 | 2.723%, 6/25/35, VRN |
452,062 | ||||||||
| 2,364 | 2.771%, 4/25/36, VRN |
1,831,355 | ||||||||
| 2,800 | 5.671%, 10/25/36, VRN |
2,340,194 | ||||||||
| 5,500 | WFDB Commercial Mortgage Trust, 6.403%, 7/5/24, CMO (a)(d) |
5,471,114 | ||||||||
|
|
|
|||||||||
| Total Mortgage-Backed Securities (cost—$169,422,221) |
167,288,278 | |||||||||
|
|
|
|||||||||
| SENIOR LOANS (a)(c)—5.4% |
||||||||||
| Financial Services—3.9% |
||||||||||
| 1,300 | Delos Aircraft, Inc., 7.00%, 3/17/16, Term B2 |
1,310,833 | ||||||||
| 1,700 | International Lease Finance Corp., 6.75%, 3/17/15, Term B1 |
1,716,470 | ||||||||
| 1,436 | iStar Financial, Inc., 5.00%, 6/28/13, Term A1 |
1,426,827 | ||||||||
| 11,000 | Springleaf Finance Corp., 5.50%, 5/10/17 |
10,131,462 | ||||||||
|
|
|
|||||||||
| 14,585,592 | ||||||||||
|
|
|
|||||||||
| Healthcare & Hospitals—0.5% |
||||||||||
| 1,950 | HCA, Inc., 2.869%, 5/2/16, Term A2 |
1,853,584 | ||||||||
|
|
|
|||||||||
| Oil & Gas—0.6% |
||||||||||
| 2,356 | Petroleum Export, 3.351%, 12/7/12, Term B |
2,345,692 | ||||||||
|
|
|
|||||||||
| Utilities—0.4% | ||||||||||
| Texas Competitive Electric Holdings Co. LLC, |
||||||||||
| 927 | 4.742%, 10/10/17 |
634,132 | ||||||||
| 986 | 4.772%, 10/10/17 |
674,491 | ||||||||
|
|
|
|||||||||
| 1,308,623 | ||||||||||
|
|
|
|||||||||
| Total Senior Loans (cost—$21,128,780) |
20,093,491 | |||||||||
|
|
|
|||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| ASSET-BACKED SECURITIES—3.6% |
||||||||||
| $662 | Access Financial Manufactured Housing Contract Trust, 7.65%, 5/15/21 |
$552,739 | ||||||||
| Advanta Business Card Master Trust, FRN, |
||||||||||
| 485 | 0.495%, 6/20/14 |
414,666 | ||||||||
| 485 | 0.495%, 12/22/14 |
414,666 | ||||||||
| Ameriquest Mortgage Securities, Inc., FRN, |
||||||||||
| 1,515 | 3.770%, 11/25/32 |
142,066 | ||||||||
| 472 | 5.870%, 2/25/33 |
29,073 | ||||||||
| 1,579 | Bear Stearns Asset-Backed Securities Trust, 0.745%, 9/25/34, FRN |
1,164,514 | ||||||||
| Conseco Finance Securitizations Corp., |
||||||||||
| 631 | 7.96%, 2/1/32 |
518,607 | ||||||||
| 323 | 7.97%, 5/1/32 |
240,793 | ||||||||
| Conseco Financial Corp., |
||||||||||
| 260 | 6.53%, 2/1/31, VRN |
257,437 | ||||||||
| 461 | 7.05%, 1/15/27 |
495,156 | ||||||||
| 1,128 | Credit-Based Asset Servicing and Securitization LLC, 6.02%, 12/25/37 (a)(d) |
904,845 | ||||||||
| 5,000 | Green Tree, 8.97%, 4/25/38, VRN (a)(d) |
5,590,020 | ||||||||
| 1,000 | Greenpoint Manufactured Housing, 8.30%, 10/15/26, VRN |
1,133,020 | ||||||||
| 1,404 | Morgan Stanley ABS Capital I, 0.425%, 1/25/36, FRN |
1,235,517 | ||||||||
| 41 | Oakwood Mortgage Investors, Inc., 0.473%, 5/15/13, FRN |
32,516 | ||||||||
| 30 | Residential Asset Mortgage Products, Inc., 8.50%, 12/25/31 |
31,754 | ||||||||
|
|
|
|||||||||
| Total Asset-Backed Securities (cost—$13,508,094) |
13,157,389 | |||||||||
|
|
|
|||||||||
| Shares |
||||||||||
| CONVERTIBLE PREFERRED STOCK—0.4% |
||||||||||
| Utilities—0.4% | ||||||||||
| 27,200 | PPL Corp., 9.50%, 7/1/13 (cost—$1,360,000) |
1,546,320 | ||||||||
|
|
|
|||||||||
| Principal Amount (000s) |
||||||||||
| MUNICIPAL BONDS—0.4% |
||||||||||
| West Virginia—0.4% |
||||||||||
| $1,885 | Tobacco Settlement Finance Auth. Rev., 7.467%, 6/1/47, Ser. A (cost—$1,773,948) |
1,364,947 | ||||||||
|
|
|
|||||||||
| Shares |
||||||||||
| COMMON STOCK—0.0% |
||||||||||
| Oil, Gas & Consumable Fuels—0.0% |
||||||||||
| 3,881 | SemGroup Corp., Class A (j) (cost—$100,913) |
108,598 | ||||||||
|
|
|
|||||||||
| Units |
||||||||||
| WARRANTS—0.0% |
||||||||||
| Oil, Gas & Consumable Fuels—0.0% |
||||||||||
| 4,086 | SemGroup Corp., expires 11/30/14 (j) (cost—$18,385) |
30,437 | ||||||||
|
|
|
|||||||||
| Principal Amount (000s) |
||||||||||
| SHORT-TERM INVESTMENTS—10.2% |
||||||||||
| Corporate Notes—5.5% |
||||||||||
| Airlines—0.8% | ||||||||||
| $3,000 | American Airlines, Inc., 10.50%, 10/15/12 |
2,947,500 | ||||||||
|
|
|
|||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Principal Amount (000s) |
Value* | |||||||||
| Financial Services—4.7% |
| |||||||||
| $10,000 | Citigroup, Inc., 5.625%, 8/27/12 (k) | $10,197,460 | ||||||||
| SLM Corp., | ||||||||||
| €1,000 | 1.785%, 11/15/11, FRN |
1,388,913 | ||||||||
| €1,500 | 3.125%, 9/17/12 |
2,049,776 | ||||||||
| $500 | 5.125%, 8/27/12 |
505,132 | ||||||||
| 3,100 | Springleaf Finance Corp., 0.597%, 12/15/11, FRN | 3,074,809 | ||||||||
|
|
|
|||||||||
| 17,216,090 | ||||||||||
|
|
|
|||||||||
| Total Corporate Notes (cost—$19,425,666) |
20,163,590 | |||||||||
|
|
|
|||||||||
| U.S. Treasury Obligations (i)(l)—3.6% |
| |||||||||
| 13,275 | U.S. Treasury Bills, 0.005%-0.059%, 1/5/12-5/3/12 (cost—$13,273,189) | 13,273,188 | ||||||||
|
|
|
|||||||||
| Sovereign Debt Obligations—0.6% |
| |||||||||
| Tunisia—0.6% |
|
|||||||||
| 2,000 | Banque Centrale de Tunisie S.A., 7.375%, 4/25/12 (cost—$2,007,699) | 2,062,500 | ||||||||
|
|
|
|||||||||
| Asset-Backed Securities—0.0% |
| |||||||||
| CAD 177 | Ford Auto Securitization Trust, 4.817%, 10/15/12 (a)(d) (cost—$154,787) | 178,572 | ||||||||
|
|
|
|||||||||
| U.S. Government Agency Securities—0.0% |
| |||||||||
| $20 | Fannie Mae, 7.00%, 7/18/12, CMO | 20,685 | ||||||||
| Freddie Mac, | ||||||||||
| — | (g) | 7.00%, 7/15/12, CMO |
143 | |||||||
| 27 | 7.00%, 9/1/12, MBS |
27,287 | ||||||||
| 4 | 7.00%, 10/1/12, MBS |
3,497 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency Securities (cost—$50,698) |
51,612 | |||||||||
|
|
|
|||||||||
| Repurchase Agreements—0.5% |
| |||||||||
| 1,000 | Barclays Capital, Inc., dated 10/31/11, 0.10%, due 11/1/11, proceeds $1,000,003; collateralized by U.S. Treasury Bonds, 4.50%, due 5/15/38, valued at $1,061,287 including accrued interest |
1,000,000 | ||||||||
| 828 | State Street Bank & Trust Co., dated 10/31/11, 0.01%, due 11/1/11, proceeds $828,000; collateralized by Federal Home Loan Bank, 0.16%, due 8/17/12, valued at $844,763 including accrued interest |
828,000 | ||||||||
|
|
|
|||||||||
| Total Repurchase Agreements (cost—$1,828,000) |
1,828,000 | |||||||||
|
|
|
|||||||||
| Total Short-Term Investments (cost—$36,740,039) |
37,557,462 | |||||||||
|
|
|
|||||||||
PIMCO Strategic Global Government Fund, Inc. Schedule of Investments
October 31, 2011 (unaudited)(continued)
| Notional Amount (000s) |
Value* | |||||||||
| OPTIONS PURCHASED (j)—0.0% |
||||||||||
| Put Options—0.0% | ||||||||||
| Fannie Mae (OTC), |
||||||||||
| $13,600 | strike price $87, expires 11/7/11 |
$— | (m) | |||||||
| 50,400 | strike price $87, expires 1/5/12 |
106 | ||||||||
| 153,000 | strike price $90, expires 11/7/11 |
2 | ||||||||
| 14,000 | strike price $95, expires 1/5/12 |
— | (m) | |||||||
| 1,000 | strike price $97, expires 1/5/12 |
— | (m) | |||||||
| 87,000 | strike price $99, expires 11/7/11 |
1 | ||||||||
| Freddie Mac (OTC), | ||||||||||
| 3,000 | strike price $92, expires 12/5/11 |
2 | ||||||||
| Ginnie Mae (OTC), | ||||||||||
| 7,000 | strike price $93, expires 12/12/11 |
— | (m) | |||||||
|
|
|
|||||||||
| Total Options Purchased (cost—$38,555) | 111 | |||||||||
|
|
|
|||||||||
| Total Investments (cost—$1,072,955,729) (n)—303.9% | 1,121,976,625 | |||||||||
| Liabilities in excess of other assets—(203.9)% | (752,736,957 | ) | ||||||||
|
|
|
|||||||||
| Net Assets—100.0% | $369,239,668 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services. |
Portfolio securities and other financial instruments for which market quotations are not readily available, or for which a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Directors, or persons acting at their discretion pursuant to procedures established by the Board of Directors, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask price. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Centrally cleared swaps are valued at the price determined by the relevant exchange. Securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. Investments initially valued in currencies other than U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (“NAV”) of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed.
The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold and these differences could be material. The Fund’s NAV is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business.
| (a) | Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $137,427,090, representing 37.2% of net assets. |
| (b) | Illiquid. |
| (c) | These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on October 31, 2011. |
| (d) | 144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. |
| (e) | Delayed-delivery. To be delivered after October 31, 2011. |
| (f) | Fair-Valued—Securities with an aggregate value of $4,052,659, representing 1.1% of net assets. |
| (g) | Principal amount less than $500. |
| (h) | Perpetual maturity. The date shown is the next call date. For Corporate Bonds & Notes, the interest rate is fixed until the first call date and variable thereafter. |
| (i) | All or partial amount segregated for the benefit of the counterparty as collateral for derivatives. |
| (j) | Non-income producing. |
| (k) | All or partial amount segregated for the benefit of the counterparty as collateral for reverse repurchase agreements. |
| (l) | Rates reflect the effective yields at purchase date. |
| (m) | Value less than $1. |
| (n) | At October 31, 2011, the cost basis of portfolio securities for federal income tax purposes was $1,072,955,736. Gross unrealized appreciation was $61,897,687, gross unrealized depreciation was $12,876,798 and net unrealized appreciation was $49,020,889. The difference between book and tax cost basis was attributable to wash sale loss deferrals. |
Glossary:
ABS—Asset-Backed Securities
AUD—Australian Dollar
£—British Pound
CAD—Canadian Dollar
CMO—Collateralized Mortgage Obligation
€—Euro
FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on October 31, 2011.
LIBOR—London Inter-Bank Offered Rate
MBIA—insured by Municipal Bond Investors Assurance
MBS—Mortgage-Backed Securities
OTC—Over the Counter
TBA—To Be Announced
| VRN— | Variable Rate Note. Instruments whose interest rates change on a specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on October 31, 2011. |
Other Investments:
(A) OTC credit default swap agreements:
Sell protection swap agreements outstanding at October 31, 2011 (1):
| Swap Counterparty/ Referenced Debt Issuer |
Notional Amount (000s) (3) |
Credit Spread (2) |
Termination Date |
Payments Received |
Market Value (4) |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| Bank of America: |
||||||||||||||||||||||||||||
| American Express |
$ | 8,000 | 0.72 | % | 12/20/13 | 4.10 | % | $ | 613,366 | — | $ | 613,366 | ||||||||||||||||
| MetLife |
13,400 | 2.59 | % | 9/20/15 | 1.00 | % | (755,846 | ) | $ | (900,456 | ) | 144,610 | ||||||||||||||||
| SLM |
5,000 | 4.23 | % | 12/20/13 | 5.00 | % | 106,337 | (612,500 | ) | 718,837 | ||||||||||||||||||
| BNP Paribas: |
||||||||||||||||||||||||||||
| General Electric |
800 | 2.05 | % | 12/20/13 | 4.60 | % | 46,684 | — | 46,684 | |||||||||||||||||||
| Citigroup: |
||||||||||||||||||||||||||||
| American Express |
500 | 0.72 | % | 12/20/13 | 4.30 | % | 40,580 | — | 40,580 | |||||||||||||||||||
| SLM |
6,000 | 4.23 | % | 12/20/13 | 5.00 | % | 127,604 | 518,648 | (391,044 | ) | ||||||||||||||||||
| SLM |
1,300 | 4.23 | % | 12/20/13 | 5.00 | % | 27,648 | (156,000 | ) | 183,648 | ||||||||||||||||||
| Deutsche Bank: |
||||||||||||||||||||||||||||
| American International Group |
3,000 | 2.60 | % | 3/20/13 | 2.10 | % | (12,790 | ) | — | (12,790 | ) | |||||||||||||||||
| General Electric |
4,100 | 2.05 | % | 12/20/13 | 4.78 | % | 255,029 | — | 255,029 | |||||||||||||||||||
| General Electric |
8,000 | 2.05 | % | 12/20/13 | 4.82 | % | 505,532 | — | 505,532 | |||||||||||||||||||
| SLM |
2,600 | 4.23 | % | 12/20/13 | 5.00 | % | 55,295 | (318,500 | ) | 373,795 | ||||||||||||||||||
| JPMorgan Chase: |
||||||||||||||||||||||||||||
| Markit ABX.HE Index |
6,804 | 16.23 | % | 7/25/45 | 0.18 | % | (959,804 | ) | (986,543 | ) | 26,739 | |||||||||||||||||
| Morgan Stanley: |
||||||||||||||||||||||||||||
| Merrill Lynch & Co. |
5,000 | 3.71 | % | 9/20/16 | 1.00 | % | (557,832 | ) | (741,654 | ) | 183,822 | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (508,197 | ) | $ | (3,197,005 | ) | $ | 2,688,808 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) | This represents the maximum potential amount the Fund could be required to make available as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at October 31, 2011 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (B) | Centrally cleared interest rate swap agreements outstanding at October 31, 2011: |
| Rate Type | Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
| Broker |
Notional Amount (000s) |
Termination Date |
Payments Made |
Payments Received |
Market Value |
|||||||||||||||||||
| Barclays Bank (CME) |
$ | 100,000 | 6/15/21 | 3-Month USD LIBOR | 3.50 | % | $ | (12,102,553 | ) | $ | 3,024,267 | |||||||||||||
| Credit Suisse (CME) |
72,200 | 6/15/21 | 3-Month USD LIBOR | 3.50 | % | (8,771,135 | ) | (1,494,945 | ) | |||||||||||||||
| Morgan Stanley (CME) |
9,500 | 6/15/21 | 3-Month USD LIBOR | 3.50 | % | (1,150,402 | ) | 33,586 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $ | (22,024,090 | ) | $ | 1,562,908 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
At October 31, 2011, the Fund pledged cash collateral of $627,000 for centrally cleared interest rate swaps.
CME—Chicago Mercantile Exchange
LIBOR—London Inter-Bank Offered Rate
| (C) | Forward foreign currency contracts outstanding at October 31, 2011: |
| Counterparty | U.S.$ Value on Origination Date |
U.S.$ Value October 31, 2011 |
Unrealized Appreciation (Depreciation) |
|||||||||||
| Purchased: |
||||||||||||||
| 124,000 British Pound settling 12/8/11 |
Citigroup | $ | 196,186 | $ | 199,306 | $ | 3,120 | |||||||
| 6,159,000 Euro settling 11/2/11 |
Citigroup | 8,733,462 | 8,522,209 | (211,253 | ) | |||||||||
| 380,000 Euro settling 1/17/12 |
Deutsche Bank | 529,416 | 525,534 | (3,882 | ) | |||||||||
| Sold: |
||||||||||||||
| 2,475,000 Australian Dollar settling 11/10/11 |
Citigroup | 2,419,461 | 2,605,860 | (186,399 | ) | |||||||||
| 236,000 British Pound settling 12/8/11 |
Barclays Bank | 364,302 | 379,325 | (15,023 | ) | |||||||||
| 852,000 British Pound settling 12/8/11 |
Citigroup | 1,315,850 | 1,369,428 | (53,578 | ) | |||||||||
| 6,246,000 British Pound settling 12/8/11 |
JPMorgan Chase | 9,957,292 | 10,039,258 | (81,966 | ) | |||||||||
| 5,355,000 British Pound settling 12/8/11 |
UBS | 8,544,856 | 8,607,145 | (62,289 | ) | |||||||||
| 162,000 Canadian Dollar settling 11/17/11 |
Deutsche Bank | 163,093 | 162,469 | 624 | ||||||||||
| 162,000 Canadian Dollar settling 11/17/11 |
Royal Bank of Canada | 163,670 | 162,469 | 1,201 | ||||||||||
| 2,810,000 Euro settling 1/17/12 |
Barclays Bank | 3,859,535 | 3,886,187 | (26,652 | ) | |||||||||
| 6,159,000 Euro settling 11/2/11 |
Citigroup | 8,546,936 | 8,522,208 | 24,728 | ||||||||||
| 6,159,000 Euro settling 12/2/11 |
Citigroup | 8,730,728 | 8,519,622 | 211,106 | ||||||||||
| 2,644,000 Euro settling 1/17/12 |
Deutsche Bank | 3,647,279 | 3,656,611 | (9,332 | ) | |||||||||
| 632,560,000 Japanese Yen settling 1/13/12 |
Deutsche Bank | 8,239,216 | 8,102,532 | 136,684 | ||||||||||
|
|
|
|||||||||||||
| $ | (272,911 | ) | ||||||||||||
|
|
|
|||||||||||||
At October 31, 2011, the Fund held $1,100,000 in cash as collateral for derivative contracts and delayed-delivery securities. Cash collateral received may be invested in accordance with the Fund’s investment strategy.
(D) Open reverse repurchase agreements at October 31, 2011
| Counterparty |
Rate | Trade Date | Maturity Date | Principal & Interest | Principal | |||||||||||||||
| Barclays Bank |
0.27 | % | 10/13/11 | 11/14/11 | $ | 16,989,421 | $ | 16,987,000 | ||||||||||||
| 0.32 | % | 10/13/11 | 11/14/11 | 982,166 | 982,000 | |||||||||||||||
| 0.45 | % | 10/14/11 | 11/10/11 | 628,141 | 628,000 | |||||||||||||||
| 0.45 | % | 10/18/11 | 11/18/11 | 936,164 | 936,000 | |||||||||||||||
| 0.50 | % | 10/13/11 | 11/14/11 | 34,476,095 | 34,467,000 | |||||||||||||||
| 0.653 | % | 8/24/11 | 11/29/11 | 3,493,367 | 3,489,000 | |||||||||||||||
| 0.753 | % | 8/24/11 | 2/17/12 | 3,475,008 | 3,470,000 | |||||||||||||||
| 0.753 | % | 8/24/11 | 2/24/12 | 4,709,788 | 4,703,000 | |||||||||||||||
| 0.753 | % | 8/26/11 | 2/24/12 | 4,875,823 | 4,869,000 | |||||||||||||||
| 0.758 | % | 8/24/11 | 2/14/12 | 3,018,415 | 3,014,000 | |||||||||||||||
| 0.93 | % | 8/30/11 | 3/1/12 | 9,533,491 | 9,518,000 | |||||||||||||||
| 0.95 | % | 10/19/11 | 4/20/12 | 1,507,517 | 1,507,000 | |||||||||||||||
| 1.053 | % | 8/24/11 | 2/24/12 | 14,645,499 | 14,616,000 | |||||||||||||||
| Credit Suisse First Boston |
0.85 | % | 8/24/11 | 11/23/11 | 11,084,028 | 11,066,000 | ||||||||||||||
| Deutsche Bank |
0.255 | % | 10/13/11 | 11/14/11 | 30,512,025 | 30,508,000 | ||||||||||||||
| 0.55 | % | 8/24/11 | 11/10/11 | 3,542,731 | 3,539,000 | |||||||||||||||
| 0.55 | % | 8/24/11 | 11/18/11 | 13,651,376 | 13,637,000 | |||||||||||||||
| 0.55 | % | 8/24/11 | 11/23/11 | 6,950,319 | 6,943,000 | |||||||||||||||
| 0.70 | % | 8/24/11 | 11/23/11 | 4,979,672 | 4,973,000 | |||||||||||||||
| 0.72 | % | 9/26/11 | 12/27/11 | 6,762,866 | 6,758,000 | |||||||||||||||
| Goldman Sachs |
0.24 | % | 10/13/11 | 11/14/11 | 58,058,353 | 58,051,000 | ||||||||||||||
| 0.24 | % | 10/20/11 | 11/21/11 | 12,012,961 | 12,012,000 | |||||||||||||||
| Greenwich Capital Markets |
0.38 | % | 10/13/11 | 11/14/11 | 111,812,420 | 111,790,000 | ||||||||||||||
| 0.60 | % | 8/24/11 | 11/8/11 | 1,625,868 | 1,624,000 | |||||||||||||||
| 0.60 | % | 8/24/11 | 11/14/11 | 11,257,932 | 11,245,000 | |||||||||||||||
| 0.60 | % | 8/24/11 | 11/18/11 | 9,767,219 | 9,756,000 | |||||||||||||||
| JPMorgan Chase |
0.78 | % | 8/24/11 | 2/24/12 | 10,034,980 | 10,020,000 | ||||||||||||||
| Morgan Stanley |
0.215 | % | 9/6/11 | 2/6/12 | 3,171,062 | 3,170,000 | ||||||||||||||
| Royal Bank of Canada |
0.675 | % | 8/30/11 | 12/2/11 | 1,046,234 | 1,045,000 | ||||||||||||||
| 0.775 | % | 8/30/11 | 12/2/11 | 6,243,456 | 6,235,000 | |||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 401,558,000 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
The weighted average daily balance of reverse repurchase agreements outstanding during the nine months ended October 31, 2011 was $431,322,407 at a weighted average interest rate of 0.37%. The total market value of underlying collateral (refer to the Schedule of Investments for positions segregated for the benefit of the counterparty as collateral) for open reverse repurchase agreements at October 31, 2011 was $431,163,051.
At October 31, 2011, the Fund held $371,000 in principal value of Corporate Notes and $640,000 in cash as collateral for reverse repurchase agreements. Cash collateral held may be invested in accordance with the Fund’s investment strategy. Securities held as collateral will not be pledged and are not reflected in the Fund’s Schedule of Investments.
Fair Value Measurements
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:
| • | Level 1 – quoted prices in active markets for identical investments that the Fund has the ability to access |
| • | Level 2 – valuations based on other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) or quotes from inactive exchanges |
| • | Level 3 – valuations based on significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in the aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used.
The valuation techniques used by the Fund to measure fair value during the nine months ended October 31, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs. When fair-valuing securities, the Fund utilized option adjusted spread pricing techniques.
The inputs or methodology used for valuing securities is not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilites for level 2 and level 3, in accordance with the Generally Accepted Accounting Principles.
Equity Securities (Common and Preferred Stock) — Equity securities traded in inactive markets and certain foreign equity securities are valued using inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from independent pricing services that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable, the values of equity securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
U.S. Treasury Obligations — U.S. Treasury obligations are valued by independent pricing services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The models also take into consideration data received from active market makers and broker-dealers, yield curves, and the spread over comparable U.S. Treasury issues. The spreads change daily in response to market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable, the values of U.S. Treasury obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Government Sponsored Enterprise and Mortgage-Backed Securities — Government sponsored enterprise and mortgage-backed securities are valued by independent pricing services using pricing models based on inputs that include issuer type, coupon, cash flows, mortgage prepayment projection tables and Adjustable Rate Mortgage evaluations that incorporate index data, periodic and life caps, the next coupon reset date, and the convertibility of the bond. To the extent that these inputs are observable, the values of Government sponsored enterprise and mortgage-backed securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Municipal Bonds — Municipal bonds are valued by independent pricing services based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond or note, state of issuance, benchmark yield curves, and bond or note insurance. To the extent that these inputs are observable, the values of municipal bonds are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Sovereign Debt Obligations — Sovereign debt obligations are valued by independent pricing services based on discounted cash flow models that incorporate option adjusted spreads along with benchmark curves and credit spreads. In addition, international bond markets are monitored regularly for information pertaining
to the issuer and/or the specific issue. To the extent that these inputs are observable, the values of sovereign debt obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Corporate Bonds & Notes — Corporate bonds and notes are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and option adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are valued by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of corporate bonds and notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Asset-Backed Securities and Collateralized Mortgage Obligations — Asset-backed securities and collateralized mortgage obligations are valued by independent pricing services using pricing models based on a security’s average life volatility. The models also take into account tranche characteristics such as coupon average life, collateral types, ratings, the issuer and tranche type, underlying collateral and performance of the collateral, and discount margin for certain floating rate issues. To the extent that these inputs are observable, the values of asset-backed securities and collateralized mortgage obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Option Contracts — Option contracts traded over the counter (“OTC”) are valued by independent pricing services based on pricing models that incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable, the values of OTC option contracts are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Forward Foreign Currency Contracts — Forward foreign currency contracts are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, actual trading information and foreign currency exchange rates gathered from leading market makers and foreign currency exchange trading centers throughout the world. To the extent that these inputs are observable, the values of forward foreign currency contracts are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Interest Rate Swaps — OTC interest rate swaps are valued by independent pricing services using pricing models that are based on real-time intraday snapshots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps is monitored regularly to ensure that interest rates are properly depicting the current market rate. Centrally cleared swaps are valued at the price determined by the relevant exchange. To the extent that these inputs are observable, the values of interest rate swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Credit Default Swaps — OTC credit default swaps are valued by independent pricing services using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable, the values of credit default swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
Senior Loans — Senior loans are valued by independent pricing services based on the average of quoted prices received from multiple dealers or valued relative to other benchmark securities when broker-dealer quotes are unavailable. To the extent that these inputs are observable, the values of senior loans are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.
The Fund’s policy is to recognize transfers between levels at the end of the reporting period.
A summary of the inputs used at October 31, 2011 in valuing the Fund’s assets and liabilities is listed below:
| Level 2 - | Level 3 - | |||||||||||||||
| Other Significant | Significant | |||||||||||||||
| Level 1 - | Observable | Unobservable | Value at | |||||||||||||
| Quoted Prices | Inputs | Inputs | 10/31/11 | |||||||||||||
| Investments in Securities—Assets |
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| U.S. Government Agency Securities |
— | $ | 663,968,608 | $ | 3,080,659 | $ | 667,049,267 | |||||||||
| Corporate Bonds & Notes: |
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| Airlines |
— | — | 8,495,552 | 8,495,552 | ||||||||||||
| Financial Services |
— | 89,018,585 | 972,000 | 89,990,585 | ||||||||||||
| All Other |
— | 115,294,188 | — | 115,294,188 | ||||||||||||
| Mortgage-Backed Securities |
— | 167,288,278 | — | 167,288,278 | ||||||||||||
| Senior Loans |
— | 20,093,491 | — | 20,093,491 | ||||||||||||
| Asset-Backed Securities |
— | 13,157,389 | — | 13,157,389 | ||||||||||||
| Convertible Preferred Stock |
$ | 1,546,320 | — | — | 1,546,320 | |||||||||||
| Municipal Bonds |
— | 1,364,947 | — | 1,364,947 | ||||||||||||
| Common Stock |
108,598 | — | — | 108,598 | ||||||||||||
| Warrants |
— | 30,437 | — | 30,437 | ||||||||||||
| Short-Term Investments |
— | 37,557,462 | — | 37,557,462 | ||||||||||||
| Options Purchased: |
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| Interest Rate Contracts |
— | 111 | — | 111 | ||||||||||||
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| Total Investments in Securities—Assets |
$ | 1,654,918 | $ | 1,107,773,496 | $ | 12,548,211 | $ | 1,121,976,625 | ||||||||
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| Other Financial Instruments*—Assets |
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| Credit Contracts |
— | $ | 3,092,642 | — | $ | 3,092,642 | ||||||||||
| Interest Rate Contracts |
— | 3,057,853 | — | 3,057,853 | ||||||||||||
| Foreign Exchange Contracts |
— | 377,463 | — | 377,463 | ||||||||||||
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| Total Other Financial Instruments*—Assets |
— | $ | 6,527,958 | — | $ | 6,527,958 | ||||||||||
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| Other Financial Instruments*—Liabilities |
||||||||||||||||
| Credit Contracts |
— | $ | (403,834 | ) | — | $ | (403,834 | ) | ||||||||
| Interest Rate Contracts |
— | (1,494,945 | ) | — | (1,494,945 | ) | ||||||||||
| Foreign Exchange Contracts |
— | (650,374 | ) | — | (650,374 | ) | ||||||||||
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| Total Other Financial Instruments*—Liabilities |
— | $ | (2,549,153 | ) | — | $ | (2,549,153 | ) | ||||||||
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|
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| Total Investments |
$ | 1,654,918 | $ | 1,111,752,301 | $ | 12,548,211 | $ | 1,125,955,430 | ||||||||
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| * | Other financial instruments not reflected in the Schedule of Investments, such as swap agreements and forward foreign currency contracts, are valued at the unrealized appreciation (depreciation) of the instrument. |
There were no significant transfers between Levels 1 and 2 during the nine months ended October 31, 2011.
A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended October 31, 2011, was as follows:
| Beginning Balance 1/31/11 |
Purchases | Sales | Accrued Discounts (Premiums) |
Net Realized Gain (Loss) |
Net Change in Unrealized Appreciation/ Depreciation |
Transfers into Level 3** |
Transfers out of Level 3*** |
Ending Balance 10/31/11 |
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| Investments in Securities—Assets |
||||||||||||||||||||||||||||||||||||
| U.S. Government Agency Securities |
$ | 3,323,718 | — | $ | (234,573 | ) | $ | 1,336 | $ | 3,948 | $ | (13,770 | ) | — | — | $ | 3,080,659 | |||||||||||||||||||
| Corporate Bonds & Notes: |
||||||||||||||||||||||||||||||||||||
| Airlines |
9,471,650 | — | (506,375 | ) | 15,642 | 19,324 | (504,689 | ) | — | — | 8,495,552 | |||||||||||||||||||||||||
| Financial Services |
— | — | — | — | — | — | $ | 972,000 | — | 972,000 | ||||||||||||||||||||||||||
| Mortgage-Backed Securities |
2,851,092 | — | — | 26,623 | — | (172,879 | ) | — | $ | (2,704,836 | ) | — | ||||||||||||||||||||||||
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| Total Investments |
$ | 15,646,460 | — | $ | (740,948 | ) | $ | 43,601 | $ | 23,272 | $ | (691,338 | ) | $ | 972,000 | $ | (2,704,836 | ) | $ | 12,548,211 | ||||||||||||||||
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| ** | Transferred out of Level 2 into Level 3 because sufficient observable inputs were not available. |
| *** | Transferred out of Level 3 into Level 2 because sufficient observable inputs were available. |
The net change in unrealized appreciation/depreciation of Level 3 investments which the Fund held at October 31, 2011 was $(813,582).
Item 2. Controls and Procedures
(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) 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) Exhibit 99.302 Cert. — Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
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.
Registrant: PIMCO Strategic Global Government Fund, Inc.
| By | /s/ Brian S. Shlissel | |
| President & Chief Executive Officer | ||
Date: December 22, 2011
| By | /s/ Lawrence G. Altadonna | |
| Treasurer, Principal Financial & Accounting Officer | ||
Date: December 22, 2011
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/ Brian S. Shlissel | |
| President & Chief Executive Officer | ||
Date: December 22, 2011
| By | /s/ Lawrence G. Altadonna | |
| Treasurer, Principal Financial & Accounting Officer | ||
Date: December 22, 2011