PIMCO Strategic Global Government Fund, Inc.

 

 

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, NY 10019  
  (Address of principal executive offices) (Zip code)  

 

 

Lawrence G. Altadonna

1633 Broadway,

New York, NY 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, 2014

Date of reporting period: October 31, 2013

 

 

 

Item 1. Schedule of Investments

PIMCO Strategic Global Government Fund, Inc. Schedule of Investments

October 31, 2013 (unaudited)

 

 

Principal
Amount
(000s)		           Value*  

 

 

  

 

U.S. GOVERNMENT AGENCY SECURITIES—160.6%

   
   Fannie Mae,   
  $204      

2.065%, 12/1/30, MBS (h)(j)

      $206,202   
  2      

2.20%, 4/1/30, MBS (j)

      1,828   
  13      

2.25%, 9/1/28, MBS (j)

      13,406   
  9      

2.415%, 2/1/32, MBS (j)

      8,497   
  78      

2.445%, 12/1/28, MBS (h)(j)

      83,336   
  91      

2.446%, 3/1/32, MBS (h)(j)

      92,202   
  62      

2.45%, 11/1/27, MBS (h)(j)

      65,980   
  8,996      

2.50%, 12/25/27, CMO, IO (h)

      970,795   
  4      

2.722%, 12/1/25, MBS (j)

      4,333   
  73      

2.75%, 3/1/31, MBS (h)(j)

      77,921   
  137,000      

3.00%, MBS, TBA, 30 Year (e)

      135,116,250   
  10,000      

3.50%, MBS, TBA, 30 Year (e)

      10,256,250   
  129,000      

4.00%, MBS, TBA, 30 Year (e)

      135,913,588   
  406      

4.00%, 6/1/39, MBS (h)

      421,601   
  483      

4.25%, 11/25/24, CMO (h)

      533,619   
  2      

4.25%, 3/25/33, CMO

      2,589   
  50,000      

4.50%, MBS, TBA, 30 Year (e)

      53,456,385   
  1,541      

4.50%, 9/1/23 - 8/1/41, MBS (h)

      1,654,017   
  4,878      

4.50%, 7/25/40, CMO (h)

      5,242,844   
  5      

5.00%, 12/1/18, MBS

      5,723   
  28,129      

5.00%, 1/25/38 - 7/25/38, CMO (h)

      30,736,711   
  2,315      

5.50%, 12/25/16 - 4/25/35, CMO

      2,555,950   
  12,576      

5.50%, 11/25/32, CMO (h)

      13,837,998   
  73      

5.75%, 6/25/33, CMO

      80,960   
  2,500      

5.807%, 8/25/43, CMO

      2,725,194   
  58      

5.981%, 12/25/42, CMO (j)

      66,911   
  100      

6.00%, 2/25/17 - 4/25/17, CMO

      106,510   
  3,492      

6.00%, 9/25/31 - 1/25/44, CMO (h)

      3,754,309   
  23,144      

6.00%, 12/1/32 - 6/1/40, MBS (h)

      25,438,970   
  33      

6.412%, 10/25/42, CMO (j)

      35,604   
  786      

6.50%, 2/1/14 - 11/1/47, MBS

      859,820   
  5,567      

6.50%, 6/25/23 - 6/25/44, CMO

      6,405,047   
  7,548      

6.50%, 2/1/28 - 7/1/39, MBS (h)

      8,514,886   
  3,049      

6.50%, 9/25/31 - 7/25/42, CMO (h)

      3,499,617   
  961      

6.69%, 2/25/42, CMO (h)(j)

      1,147,222   
  33      

6.85%, 12/18/27, CMO

      38,079   
  516      

7.00%, 2/1/15 - 1/1/47, MBS

      576,050   
  6,133      

7.00%, 3/1/16 - 7/1/36, MBS (h)

      6,949,239   
  2,351      

7.00%, 6/18/27 - 3/25/45, CMO

      2,774,007   
  184      

7.00%, 2/25/35, CMO (h)

      212,165   
  1,095      

7.00%, 9/25/41, CMO (j)

      1,276,270   
  790      

7.102%, 10/25/42, CMO (j)

      918,896   
  470      

7.50%, 6/1/17 - 5/1/32, MBS (h)

      513,536   
  97      

7.50%, 12/1/17 - 4/1/24, MBS

      102,897   
  470      

7.50%, 10/25/22 - 3/25/44, CMO (h)

      553,504   
  160      

7.50%, 6/19/30, CMO (j)

      189,758   
  2,631      

7.50%, 6/25/30 - 6/25/44, CMO

      3,119,030   
  46      

7.70%, 3/25/23, CMO

      53,112   
  1,303      

7.91%, 7/19/30, CMO (j)

      1,457,061   
  161      

8.00%, 9/25/21, CMO

      190,344   
  199      

8.00%, 1/1/22 - 1/1/35, MBS

      218,611   
  621      

8.00%, 9/1/24 - 11/1/31, MBS (h)

      718,118   
  17      

8.50%, 4/1/16, MBS

      17,544   

PIMCO Strategic Global Government Fund, Inc. Schedule of Investments

October 31, 2013 (unaudited) (continued)

 

 

Principal
Amount
(000s)		           Value*  

 

 

  
  $1,480      

8.50%, 9/25/21 - 6/18/27, CMO

      $1,706,893   
  112      

8.50%, 6/25/30, CMO (h)

      132,493   
  398      

9.408%, 5/15/21, MBS (h)

      457,284   
  130      

9.983%, 7/15/27, MBS (h)

      141,341   
   Freddie Mac,   
  8      

2.262%, 12/1/26, MBS (j)

      8,174   
  41      

2.374%, 9/1/31, MBS (h)(j)

      41,158   
  6      

2.639%, 4/1/33, MBS (j)

      6,740   
  3,000      

4.00%, MBS, TBA, 30 Year (e)

      3,149,062   
  29,022      

4.50%, 5/1/39, MBS (h)

      30,998,801   
  23      

5.00%, 2/15/24, CMO

      24,606   
  6,716      

5.50%, 4/1/39, MBS (h)

      7,382,858   
  6,000      

5.50%, 6/15/41, CMO (h)

      6,709,542   
  771      

6.00%, 9/15/16 - 3/15/17, CMO

      814,422   
  960      

6.00%, 4/1/17 - 3/1/33, MBS (h)

      1,029,869   
  6,809      

6.00%, 12/15/28 - 3/15/35, CMO (h)

      7,599,250   
  19      

6.00%, 2/1/33 - 2/1/34, MBS

      21,832   
  791      

6.354%, 7/25/32, CMO (j)

      909,528   
  1,594      

6.50%, 11/1/16 - 9/1/48, MBS (h)

      1,738,183   
  86      

6.50%, 8/1/21 - 9/1/47, MBS

      92,595   
  2,470      

6.50%, 9/15/23 - 10/25/43, CMO

      2,828,435   
  14,847      

6.50%, 12/15/23 - 3/25/44, CMO (h)

      16,815,062   
  85      

6.50%, 9/25/43, CMO (j)

      98,491   
  192      

6.681%, 7/25/32, CMO (j)

      226,091   
  717      

6.90%, 9/15/23, CMO

      815,671   
  360      

6.95%, 7/15/21, CMO

      413,996   
  68      

7.00%, 1/1/14 - 3/1/32, MBS

      71,519   
  4,507      

7.00%, 9/1/14 - 1/1/37, MBS (h)

      4,994,032   
  6,194      

7.00%, 5/15/23 - 6/15/31, CMO (h)

      7,229,137   
  2,045      

7.00%, 1/15/24 - 10/25/43, CMO

      2,355,732   
  325      

7.50%, 1/1/16 - 7/1/34, MBS

      354,587   
  1,203      

7.50%, 5/15/24 - 2/25/42, CMO

      1,388,742   
  3,746      

7.50%, 8/1/24 - 3/1/37, MBS (h)

      4,304,933   
  38      

8.00%, 8/15/22, CMO

      45,398   
  26      

8.00%, 7/1/24, MBS

      26,306   
  391      

8.00%, 8/1/24 - 12/1/26, MBS (h)

      447,893   
  113      

8.00%, 4/15/30, CMO (h)

      133,815   
   Ginnie Mae,   
  23,251      

4.00%, 10/15/40, MBS (h)

      24,905,633   
  7,000      

4.50%, MBS, TBA, 30 Year (e)

      7,545,781   
  379      

6.00%, 4/15/29 - 12/15/38, MBS

      419,132   
  4,295      

6.00%, 7/15/37 - 11/15/38, MBS (h)

      4,782,065   
  1,212      

6.50%, 11/20/24 - 8/20/38, MBS (h)

      1,372,950   
  34      

6.50%, 6/20/32, CMO

      39,689   
  27      

6.50%, 10/20/38, MBS

      27,659   
  96      

7.00%, 4/15/24 - 6/15/26, MBS

      104,737   
  2,251      

7.00%, 3/20/31, CMO (h)

      2,645,510   
  785      

7.50%, 1/15/17 - 3/15/29, MBS

      851,577   
  636      

7.50%, 9/15/26 - 1/15/29, MBS (h)

      709,991   
  40      

8.00%, 6/15/16 - 11/15/22, MBS

      42,552   
  14      

8.50%, 10/15/16 - 2/15/31, MBS

      15,441   
  321      

9.00%, 6/15/16 - 1/15/20, MBS

      340,785   
   Small Business Administration Participation Certificates, ABS,   
  340      

4.625%, 2/1/25

      363,955   
  149      

4.754%, 8/10/14

      151,231   
  125      

5.038%, 3/10/15

      130,338   

PIMCO Strategic Global Government Fund, Inc. Schedule of Investments

October 31, 2013 (unaudited) (continued)

 

 

Principal
Amount
(000s)		           Value*  

 

 

  
  $1,014      

5.51%, 11/1/27

      $1,126,873   
  99      

5.78%, 8/1/27

      110,391   
  92      

5.82%, 7/1/27

      104,175   
  115      

6.30%, 6/1/18

      122,927   
  16      

7.20%, 6/1/17

      16,983   
  9      

7.70%, 7/1/16

      9,111   
   Vendee Mortgage Trust, CMO,   
  315      

6.50%, 3/15/29

      367,728   
  211      

6.75%, 2/15/26 - 6/15/26

      245,748   
  4,107      

7.50%, 9/15/30

      4,749,025   
     

 

 

  
   Total U.S. Government Agency Securities (cost—$605,158,246)      620,587,754   
     

 

 

  

 

CORPORATE BONDS & NOTES—52.5%

   

 

Airlines—2.6%

   
  3,000       American Airlines, Inc., 10.50%, 10/15/12 (f)      3,735,000   
  432       Northwest Airlines, Inc., 1.014%, 11/20/15 (MBIA) (j)      431,279   
   United Air Lines Pass-Through Trust,   
  2,149      

6.636%, 1/2/24

      2,256,048   
  659      

9.75%, 7/15/18 (h)

      756,059   
  2,465      

10.40%, 5/1/18 (h)

      2,785,740   
     

 

 

  
        9,964,126   
     

 

 

  

 

Banking—21.6%

   
   Ally Financial, Inc.,   
  3,000      

6.75%, 12/1/14

      3,165,000   
  6,100      

8.30%, 2/12/15

      6,626,125   
  £1,300       Barclays Bank PLC, 14.00%, 6/15/19 (g)      2,865,826   
   BPCE S.A. (g),   
  €50      

9.00%, 3/17/15

      72,534   
  300      

9.25%, 4/22/15

      434,269   
   CIT Group, Inc. (a)(d),   
  $300      

4.75%, 2/15/15

      313,500   
  3,600      

5.25%, 4/1/14

      3,667,500   
  9,000       Citigroup, Inc., 5.00%, 9/15/14 (h)      9,315,414   
   Cooperatieve Centrale Raiffeisen-Boerenleenbank BA,   
  €2,000      

6.875%, 3/19/20

      3,034,570   
  $5,900      

11.00%, 6/30/19 (a)(d)(g)(h)

      7,809,848   
  £800       Credit Agricole S.A., 8.125%, 10/26/19 (g)      1,396,208   
  $7,700       Discover Bank, 7.00%, 4/15/20 (h)      9,099,514   
  £800       DnB NOR Bank ASA, 6.012%, 3/29/17 (g)      1,343,007   
  $5,000       ICICI Bank Ltd., 5.75%, 11/16/20 (a)(d)      5,203,335   
  €300       LBG Capital No. 1 PLC, 7.625%, 10/14/20      438,892   
  £300       LBG Capital No. 2 PLC, 15.00%, 12/21/19      707,099   
   Morgan Stanley,   
  $8,000      

0.696%, 10/18/16 (h)(j)

      7,922,776   
  1,000      

6.625%, 4/1/18

      1,173,660   
  13,000       Regions Financial Corp., 7.75%, 11/10/14 (h)      13,864,682   
   Royal Bank of Scotland PLC (j),   
  2,000      

0.946%, 4/11/16

      1,919,000   
  3,000      

0.988%, 9/29/15

      2,906,400   
     

 

 

  
        83,279,159   
     

 

 

  

 

Coal—0.5%

   
  2,100       Berau Coal Energy Tbk PT, 7.25%, 3/13/17 (a)(d)      2,026,500   
     

 

 

  

PIMCO Strategic Global Government Fund, Inc. Schedule of Investments

October 31, 2013 (unaudited) (continued)

 

 

Principal
Amount
(000s)		           Value*  

 

 

  

 

Diversified Financial Services—13.7%

   
  $1,800       C10 Capital SPV Ltd., 6.722%, 12/31/16      $1,593,000   
  3,000       Cantor Fitzgerald L.P., 6.375%, 6/26/15 (a)(d)(h)      3,112,500   
   Ford Motor Credit Co. LLC,   
  1,000      

6.625%, 8/15/17

      1,167,736   
  10,000      

8.70%, 10/1/14 (h)

      10,730,380   
  £3,000       General Electric Capital Corp., 6.50%, 9/15/67 (converts to FRN on 9/15/17)      5,166,152   
  $4,000       HSBC Finance Corp., 6.676%, 1/15/21 (h)      4,654,004   
   International Lease Finance Corp. (a)(d),   
  2,000      

6.75%, 9/1/16

      2,232,500   
  7,000      

7.125%, 9/1/18

      8,093,750   
  1,417      

Jefferies LoanCore LLC, 6.875%, 6/1/20 (a)(b)(d)(i) (acquisition cost - $1,432,255; purchased 5/16/13 - 5/17/13)

      1,409,915   
  4,000       Merrill Lynch & Co., Inc., 0.704%, 1/15/15 (h)(j)      3,996,240   
   SLM Corp.,   
  150      

0.538%, 1/27/14 (j)

      149,398   
  570      

3.235%, 2/1/14 (j)

      569,128   
  1,000      

5.375%, 5/15/14

      1,022,500   
  1,000      

8.00%, 3/25/20

      1,146,250   
  2,500      

8.45%, 6/15/18

      2,928,125   
   Springleaf Finance Corp.,   
  500      

6.50%, 9/15/17

      532,500   
  500      

6.90%, 12/15/17

      543,750   
  3,500       Waha Aerospace BV, 3.925%, 7/28/20 (a)(d)      3,711,400   
     

 

 

  
        52,759,228   
     

 

 

  

 

Electric Utilities—0.5%

   
  2,000       Energy Future Intermediate Holding Co. LLC, 10.00%, 12/1/20 (a)(d)      2,100,000   
     

 

 

  

 

Engineering & Construction—1.1%

   
  4,115       Alion Science and Technology Corp., 12.00%, 11/1/14, PIK      4,176,842   
     

 

 

  

 

Healthcare-Services—0.4%

   
  1,500       HCA, Inc., 9.00%, 12/15/14      1,627,500   
     

 

 

  

 

Household Products/Wares—0.0%

   
  100       Armored Autogroup, Inc., 9.25%, 11/1/18      90,875   
     

 

 

  

 

Insurance—3.8%

   
   American International Group, Inc.,   
  6,300      

5.85%, 1/16/18 (h)

      7,283,291   
  £819      

6.765%, 11/15/17

      1,543,740   
  $3,400      

8.25%, 8/15/18 (h)

      4,308,861   
  £850      

8.625%, 5/22/68 (converts to FRN on 5/22/18)

      1,608,209   
     

 

 

  
        14,744,101   
     

 

 

  

 

Oil & Gas—4.8%

   
   Anadarko Petroleum Corp.,   
  $600      

6.20%, 3/15/40

      696,492   
  4,500      

6.45%, 9/15/36 (h)

      5,310,666   
  7,000       BP Capital Markets PLC, 4.75%, 3/10/19 (h)      7,860,867   
  2,600       Gaz Capital S.A. for Gazprom, 8.625%, 4/28/34      3,224,000   
  1,250       Ras Laffan Liquefied Natural Gas Co., Ltd. III, 6.332%, 9/30/27 (b)      1,433,455   
     

 

 

  
        18,525,480   
     

 

 

  

 

Paper & Forest Products—0.0%

   
  50       Millar Western Forest Products Ltd., 8.50%, 4/1/21      51,250   
     

 

 

  

PIMCO Strategic Global Government Fund, Inc. Schedule of Investments

October 31, 2013 (unaudited) (continued)

 

 

Principal
Amount
(000s)		           Value*  

 

 

  

 

Pipelines—0.3%

   
  $300       NGPL PipeCo LLC, 7.768%, 12/15/37 (a)(d)      $263,250   
  1,200       Rockies Express Pipeline LLC, 6.875%, 4/15/40 (a)(d)      912,000   
     

 

 

  
        1,175,250   
     

 

 

  

 

Real Estate Investment Trust—2.2%

   
  3,000       Columbia Property Trust Operating Partnership L.P., 5.875%, 4/1/18 (h)      3,166,413   
  4,500       SL Green Realty Corp., 7.75%, 3/15/20      5,318,942   
     

 

 

  
        8,485,355   
     

 

 

  

 

Retail—0.5%

   
  £400       Aston Martin Capital Ltd., 9.25%, 7/15/18      680,803   
  $923       CVS Pass-Through Trust, 7.507%, 1/10/32 (a)(d)      1,120,379   
     

 

 

  
        1,801,182   
     

 

 

  

 

Transportation—0.5%

   
  2,000       Aeropuertos Dominicanos Siglo XXI S.A., 9.25%, 11/13/19 (a)(d)      1,990,000   
  120       Western Express, Inc., 12.50%, 4/15/15 (a)(d)      72,300   
     

 

 

  
        2,062,300   
     

 

 

  
  

Total Corporate Bonds & Notes (cost—$174,772,584)

      202,869,148   
     

 

 

  

 

MORTGAGE-BACKED SECURITIES—43.1%

   
   Adjustable Rate Mortgage Trust, CMO (j),   
  1,360      

2.621%, 7/25/35

      1,249,856   
  3,199      

2.886%, 8/25/35

      2,982,497   
  4,840       Banc of America Large Loan Trust, 2.474%, 11/15/15, CMO (a)(d)(j)      4,842,228   
  50       Banc of America Mortgage Trust, 2.97%, 2/25/35, CMO (j)      49,669   
  2,833       Banc of America Re-Remic Trust, 5.686%, 4/24/49, CMO (a)(d)(j)      3,109,515   
   BCAP LLC Trust, CMO (a)(d)(j),   
  211      

0.371%, 7/26/36

      90,384   
  130      

2.635%, 10/26/33

      89,797   
  43      

2.675%, 6/26/35

      31,061   
  574      

5.023%, 3/26/36

      552,081   
  616       Bear Stearns ALT-A Trust, 2.804%, 8/25/36, CMO (j)      428,558   
  3,064       Bear Stearns Commercial Mortgage Securities Trust, 7.00%, 5/20/30, CMO (j)      3,447,495   
  €7,504       Celtic Residential Irish Mortgage Securitisation No. 9 PLC, 0.368%, 11/13/47, CMO (j)      8,631,216   
  £6,907       Celtic Residential Irish Mortgage Securitisation No. 11 PLC, 0.777%, 12/14/48, CMO (j)      9,291,094   
  $16       Citigroup Mortgage Loan Trust, Inc., 7.00%, 9/25/33, CMO      16,308   
   Countrywide Alternative Loan Trust, CMO,   
  181      

5.50%, 5/25/22

      159,086   
  1,197      

6.25%, 8/25/37

      957,894   
  1,909      

6.50%, 7/25/35

      1,147,237   
   Countrywide Home Loan Mortgage Pass-Through Trust, CMO,   
  1,177      

3.247%, 8/25/34 (j)

      1,059,412   
  2,850      

7.50%, 11/25/34 (a)(d)

      3,088,743   
  447      

7.50%, 6/25/35 (a)(d)

      465,220   
   Credit Suisse First Boston Mortgage Securities Corp., CMO,   
  302      

1.32%, 3/25/34 (j)

      268,664   
  988      

7.00%, 2/25/34

      1,056,346   
   Credit Suisse Mortgage Capital Certificates Mortgage-Backed Trust, CMO,   
  2,218      

0.344%, 10/15/21 (a)(d)(j)

      2,210,083   
  2,306      

5.695%, 9/15/40 (j)

      2,579,972   
  1,954      

6.50%, 3/25/36

      1,305,070   
  €425       DECO 14-Pan Europe 5BV, 0.385%, 10/27/20, CMO (j)      574,162   
  $6,770       Deutsche Mortgage Securities, Inc. Re-Remic Trust Certificates, 5.00%, 6/26/35, CMO (a)(d)(j)      6,381,869   
  €3,992       Emerald Mortgages No. 4 PLC, 0.248%, 7/15/48, CMO (j)      4,403,230   

PIMCO Strategic Global Government Fund, Inc. Schedule of Investments

October 31, 2013 (unaudited) (continued)

 

 

Principal
Amount
(000s)		           Value*  

 

 

  
  $296       GMACM Mortgage Loan Trust, 5.352%, 8/19/34, CMO (j)      $280,489   
  1,821       GSAA Trust, 6.00%, 4/1/34, CMO      1,883,603   
   GSMPS Mortgage Loan Trust, CMO (a)(d),   
  4,885      

7.00%, 6/25/43

      5,001,244   
  77      

7.50%, 6/19/27 (j)

      78,811   
  1,205      

8.00%, 9/19/27 (j)

      1,250,237   
   GSR Mortgage Loan Trust, CMO,   
  1,029      

0.50%, 12/25/34 (j)

      951,881   
  457      

0.51%, 12/25/34 (j)

      431,657   
  3,323      

5.043%, 11/25/35 (j)

      3,269,658   
  3,806      

5.50%, 11/25/35

      3,636,848   
  591      

6.50%, 1/25/34

      621,341   
   Harborview Mortgage Loan Trust, CMO (j),   
  2,584      

0.543%, 10/19/33

      2,411,323   
  2,142      

5.369%, 6/19/36

      1,577,235   
   JPMorgan Chase Commercial Mortgage Securities Trust, CMO (a)(d)(j),   
  4,365      

0.624%, 7/15/19

      4,262,231   
  4,000      

5.636%, 3/18/51

      4,338,640   
   JPMorgan Mortgage Trust, CMO,   
  4,906      

2.673%, 10/25/36 (j)

      4,293,398   
  151      

5.50%, 8/25/22

      149,448   
  1,002      

5.50%, 6/25/37

      931,863   
  358       Lehman Mortgage Trust, 5.00%, 8/25/21, CMO      357,103   
  3,305       Luminent Mortgage Trust, 0.34%, 12/25/36, CMO (j)      2,447,176   
  1,403       MASTR Adjustable Rate Mortgages Trust, 3.05%, 10/25/34, CMO (j)      1,242,563   
   MASTR Alternative Loans Trust, CMO,   
  875      

6.25%, 7/25/36 (h)

      732,907   
  1,169      

6.50%, 3/25/34

      1,228,955   
  87      

7.00%, 4/25/34

      88,149   
   MASTR Reperforming Loan Trust, CMO (a)(d),   
  6,474      

7.00%, 5/25/35

      6,175,717   
  3,482      

7.50%, 7/25/35

      3,516,556   
  26       Merrill Lynch Mortgage Investors Trust, 5.25%, 8/25/36, CMO (j)      25,883   
  1       Morgan Stanley Dean Witter Capital I, Inc. Trust, 5.50%, 4/25/17, CMO      560   
   Newgate Funding, CMO (j),   
  €3,050      

1.474%, 12/15/50

      3,393,936   
  £4,200      

1.517%, 12/15/50

      6,078,678   
  €3,050      

1.724%, 12/15/50

      3,134,839   
  £3,450      

1.767%, 12/15/50

      4,515,272   
   Nomura Asset Acceptance Corp., CMO (a)(d),   
  $1,797      

7.00%, 10/25/34

      1,896,367   
  4,835      

7.50%, 3/25/34

      5,237,001   
  5,391      

7.50%, 10/25/34

      5,830,261   
   Residential Accredit Loans, Inc., CMO,   
  2,897      

0.35%, 6/25/46 (j)

      1,343,282   
  3,393      

6.00%, 8/25/35

      2,983,789   
   Residential Asset Mortgage Products, Inc., CMO,   
  6      

6.50%, 4/25/34

      6,450   
  185      

7.00%, 8/25/16

      186,216   
  864      

8.50%, 10/25/31

      962,109   
  1,458      

8.50%, 11/25/31

      1,522,443   
  453       Structured Adjustable Rate Mortgage Loan Trust, 2.531%, 3/25/34, CMO (j)      449,362   
  4,861       Structured Asset Mortgage Investments II Trust, 1.648%, 8/25/47, CMO (j)      4,129,127   
  4,340       Structured Asset Securities Corp. Mortgage Loan Trust, 7.50%, 10/25/36, CMO (a)(d)      4,080,569   
  1,816       UBS Commercial Mortgage Trust, 0.749%, 7/15/24, CMO (a)(d)(j)      1,760,247   

PIMCO Strategic Global Government Fund, Inc. Schedule of Investments

October 31, 2013 (unaudited) (continued)

 

 

Principal
Amount
(000s)		           Value*  

 

 

  
  $575       WaMu Mortgage Pass-Through Certificates, 2.403%, 5/25/35, CMO (j)      $549,552   
   Washington Mutual MSC Mortgage Pass-Through Certificates Trust, CMO,   
  1,045      

6.50%, 8/25/34

      1,089,738   
  374      

7.00%, 3/25/34

      396,764   
  870      

7.50%, 4/25/33

      962,719   
   Wells Fargo Mortgage-Backed Securities Trust, CMO (j),   
  95      

2.626%, 4/25/36

      87,705   
  773      

2.627%, 6/25/35

      783,195   
  1,665      

2.707%, 4/25/36

      1,614,586   
  2,226      

5.581%, 10/25/36

      2,157,825   
     

 

 

  
  

Total Mortgage-Backed Securities (cost—$146,683,095)

      166,806,255   
     

 

 

  

 

U.S. TREASURY OBLIGATIONS—27.0%

   
   U.S. Treasury Notes,   
  50,000      

0.375%, 6/30/15 (e)(h)

      50,106,450   
  3,000      

1.50%, 8/31/18

      3,033,399   
  51,000      

2.00%, 9/30/20

      51,229,092   
     

 

 

  
  

Total U.S. Treasury Obligations (cost—$103,983,448)

      104,368,941   
     

 

 

  

 

ASSET-BACKED SECURITIES—2.8%

   
  374       Access Financial Manufactured Housing Contract Trust, 7.65%, 5/15/21      376,824   
   Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates (j),   
  926      

3.695%, 11/25/32

      162,181   
  144      

5.795%, 2/25/33

      6,739   
  1,088       Bear Stearns Asset-Backed Securities I Trust, 0.67%, 9/25/34 (j)      985,410   
   Conseco Finance Securitizations Corp.,   
  1,966      

7.96%, 5/1/31

      1,624,237   
  295      

7.97%, 5/1/32

      213,949   
   Conseco Financial Corp.,   
  213      

6.53%, 2/1/31 (j)

      216,591   
  461      

7.05%, 1/15/27

      475,700   
  1,128       Credit-Based Asset Servicing and Securitization LLC, 6.02%, 12/25/37 (a)(d)      1,185,630   
  3,567       Green Tree, 8.97%, 4/25/38 (a)(d)(j)      3,919,530   
  1,000       Greenpoint Manufactured Housing, 8.30%, 10/15/26 (j)      1,094,146   
  663       Morgan Stanley Capital I, Inc. Trust, 0.35%, 1/25/36 (j)      655,009   
  33       Oakwood Mortgage Investors, Inc., 0.404%, 6/15/32 (j)      28,092   
  26       Residential Asset Mortgage Products, Inc., 8.50%, 12/25/31      25,372   
     

 

 

  
   Total Asset-Backed Securities (cost—$10,485,678)      10,969,410   
     

 

 

  

 

SENIOR LOANS—1.3%

   

 

Diversified Financial Services—0.7%

   
  2,700       Springleaf Financial Funding Co., 4.75%, 9/30/19, Term B2 (a)(c)      2,720,250   
     

 

 

  

 

Healthcare-Services—0.5%

   
  1,750       HCA, Inc., 2.668%, 5/2/16, Term A2 (a)(c)      1,751,312   
     

 

 

  

 

Hotels/Gaming—0.1%

   
  417      

Stockbridge SBE Holdings LLC, 13.00%, 5/2/17, Term B (a)(b)(c)(i) (acquisition cost - $413,698; purchased 7/10/12)

      456,250   
     

 

 

  
   Total Senior Loans (cost—$4,847,033)      4,927,812   
     

 

 

  

 

MUNICIPAL BONDS—0.4%

   

 

West Virginia—0.4%

   
  1,780       Tobacco Settlement Finance Auth. Rev., 7.467%, 6/1/47, Ser. A (cost-$1,676,308)      1,409,956   
     

 

 

  

Shares

              

 

COMMON STOCK—0.1%

   

 

Oil, Gas & Consumable Fuels—0.1%

   
  3,881       SemGroup Corp., Class A (cost-$100,912)      234,389   
     

 

 

  

PIMCO Strategic Global Government Fund, Inc. Schedule of Investments

October 31, 2013 (unaudited) (continued)

 

 

Principal
Amount
(000s)		           Value*  

 

 

  

 

SOVEREIGN DEBT OBLIGATIONS—0.1%

   

 

Ireland—0.1%

   
  $200       VEB Finance PLC for Vnesheconombank, 5.375%, 2/13/17 (a)(d) (cost-$200,000)      $214,140   
     

 

 

  

Units

              

 

WARRANTS—0.0%

   

 

Engineering & Construction—0.0%

   
  3,675       Alion Science and Technology Corp., expires 11/1/14 (a)(d)(k)      37   
     

 

 

  

 

Oil, Gas & Consumable Fuels—0.0%

   
  4,086       SemGroup Corp., expires 11/30/14 (k)      156,271   
     

 

 

  
  

Total Warrants (cost—$18,422)

      156,308   
     

 

 

  

Principal
Amount
(000s)

              

 

Repurchase Agreements—0.8%

   
  $700      

Banc of America Securities LLC, dated 10/31/13, 0.13%, due 11/1/13, proceeds $700,003; collateralized by U.S. Treasury Bonds, 4.50%, due 8/15/39, valued at $722,174 including accrued interest

      700,000   
  1,700      

Citigroup Global Markets, Inc., dated 10/31/13, 0.13%, due 11/1/13, proceeds $1,700,006; collateralized by U.S. Treasury Notes, 1.00%, due 8/31/16, valued at $1,739,709 including accrued interest

      1,700,000   
  700      

State Street Bank and Trust Co., dated 10/31/13, zero coupon, due 11/1/13, proceeds $700,000; collateralized by Fannie Mae, 2.20%, due 10/17/22, valued at $714,177 including accrued interest

      700,000   
     

 

 

  
  

Total Repurchase Agreements (cost—$3,100,000)

      3,100,000   
     

 

 

  

Notional
Amount
(000s)

              

 

OPTIONS PURCHASED (k)- 0.0%

   
  

Put Options—0.0%

   
   Fannie Mae, 3.00% - 4.00%, TBA, 30 Year (OTC),   
  114,000      

strike price $81.00, expires 12/4/13

      1   
  97,000      

strike price $90.00, expires 12/4/13

      1   
  3,000       Freddie Mac, 4.00%, TBA, 30 Year (OTC), strike price $89.50, expires 12/4/13      — (l) 
     

 

 

  
  

Total Options Purchased (cost—$25,078)

      2   
     

 

 

  
  

Total Investments, before securities sold short

(cost—$1,051,050,804) (m)—288.7%

      1,115,644,115   
     

 

 

  

Principal
Amount
(000s)

              

 

SECURITIES SOLD SHORT—(26.3)%

   

 

U.S. Government Agency Securities—(26.3)%

   
  $70,000       Fannie Mae, 4.00%, MBS, TBA, 30 Year      (73,751,559)   
  26,000       Fannie Mae, 4.50%, MBS, TBA, 30 Year      (27,840,314)   
     

 

 

  
   Total Securities Sold Short (proceeds received-$101,114,063)      (101,591,873)   
     

 

 

  
   Total Investments, net of securities sold short (cost—$949,936,741)—262.4%      1,014,052,242   
     

 

 

  
   Other liabilities in excess of other assets-(162.4)%      (627,596,193)   
     

 

 

  
  

Net Assets—100.0%

      $386,456,049   
     

 

 

  

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. 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 when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement date.

 

     The Board of Directors (the “Board”) has adopted procedures for valuing portfolio securities and other financial derivative instruments in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to Allianz Global Investors Fund Management LLC (the “Investment Manager”) and Pacific Investment Management Company LLC (the “Sub-Adviser”). The Fund’s Valuation Committee was established by the Board to oversee the implementation of the Fund’s valuation methods and to make fair value determinations on behalf of the Board, as instructed. The Sub-Adviser monitors the continued appropriateness of methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Sub-Adviser determines that a valuation method may no longer be appropriate, another valuation method may be selected, or the Valuation Committee will be convened to consider the matter and take any appropriate action in accordance with procedures set forth by the Board. The Board shall review the appropriateness of the valuation methods and these methods may be amended or supplemented from time to time by the Valuation Committee.

 

     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 the 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 investments may differ from the value that would be realized if the investments 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 $118,574,688, representing 30.7% 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, 2013.

 

(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) When-issued or delayed-delivery. To be settled/delivered after October 31, 2013.

 

(f) In default.

(g) Perpetual maturity. The date shown, if any, is the next call date. For Corporate Bonds & Notes the interest rate is fixed until the first call date and variable thereafter.

 

(h) All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements.

 

(i) Restricted. The aggregate acquisition cost of such securities is $1,845,953. The aggregate value is $1,866,165, representing 0.5% of net assets.

 

(j) Variable or Floating Rate Security—Securities with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on October 31, 2013.

 

(k) Non-income producing.

 

(l) Value less than $1.

 

(m) At October 31, 2013, the cost basis of portfolio securities (before securities sold short) for federal income tax purposes was $1,051,646,505. Gross unrealized appreciation was $69,153,019; gross unrealized depreciation was $5,155,409; and net unrealized appreciation was $63,997,610. The difference between book and tax cost basis was attributable to sale-buyback adjustments, differring treatment of bond amortization/accretion and wash sale loss deferrals.

 

(n) Credit default swap agreements outstanding at October 31, 2013:

OTC sell protection swap agreements(1):

 

Swap Counterparty/
Referenced Debt Issuer

    Notional
Amount
(000s)(3) 		     Credit
Spread(2) 		    Termination
Date		      Payments
Received		     Value(4)      Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  

Bank of America:

                  

American Express

    $ 8,000         0.09 %      12/20/13         4.10 %    $ 82,811       $ —        $ 82,811   

SLM

      5,000         0.34 %      12/20/13         5.00 %      61,466         (612,500 )      673,966   

Citigroup:

                  

American Express

      500         0.09 %      12/20/13         4.30 %      5,431         —          5,431   

SLM

      6,000         0.34 %      12/20/13         5.00 %      73,760         518,648        (444,888 ) 

SLM

      1,300         0.34 %      12/20/13         5.00 %      15,981         (156,000 )      171,981   

Deutsche Bank:

                  

SLM

      2,600         0.34 %      12/20/13         5.00 %      31,963         (318,500 )      350,463   

Morgan Stanley:

                  

Merrill Lynch & Co.

      5,000         0.59 %      9/20/16         1.00 %      64,652         (741,654 )      806,306   
            

 

 

     

 

 

    

 

 

  
             $ 336,064       $ (1,310,006 )    $ 1,646,070   
            

 

 

     

 

 

    

 

 

  

(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, other deliverable obligations 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. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of year/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, 2013 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 have 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.

(o) Interest rate swap agreements outstanding at October 31, 2013:

Centrally cleared swap agreements:

 

                   Rate Type                

Broker (Exchange)

    Notional Amount
(000s)		      Termination
Date		      Payments
Made		     Payments Received      Value      Unrealized
Appreciation		  

Goldman Sachs (CME)

    $ 170,000         12/19/22         1.75 %      3-Month USD-LIBOR       $ 10,524,710       $ 8,243,832   
             

 

 

     

 

 

  

 

(p) Forward foreign currency contracts outstanding at October 31, 2013:

 

     Counterparty    U.S.$ Value  on
Origination
Date		      U.S.$ Value
October 31, 2013		      Unrealized
Appreciation
(Depreciation)		  

Purchased:

            

299,000 British Pound settling 12/12/13

    Morgan Stanley    $ 475,234       $ 479,280       $ 4,046   

303,000 Euro settling 11/4/13

    Bank of America      409,106         411,398         2,292   

1,279,000 Euro settling 11/4/13

    Citigroup      1,742,364         1,736,561         (5,803 ) 

17,946,623 Euro settling 11/4/13

    Goldman Sachs      24,766,340         24,367,015         (399,325 ) 

Sold:

            

47,804 British Pound settling 12/12/13

    Barclays Bank      75,000         76,627         (1,627 ) 

94,728 British Pound settling 12/12/13

    BNP Paribas      152,000         151,843         157   

47,716 British Pound settling 12/12/13

    Goldman Sachs      77,000         76,486         514   

144,009 British Pound settling 12/12/13

    Morgan Stanley      231,000         230,838         162   

22,078,568 British Pound settling 12/12/13

    Royal Bank of Scotland      34,485,620         35,390,669         (905,049 ) 

282,699 Euro settling 11/4/13

    Barclays Bank      383,000         383,834         (834 ) 

19,161,509 Euro settling 11/4/13

    Goldman Sachs      25,931,540         26,016,525         (84,985 ) 

17,946,623 Euro settling 12/3/13

    Goldman Sachs      24,767,955         24,368,576         399,379   

84,415 Euro settling 11/4/13

    Morgan Stanley      113,866         114,615         (749 ) 
           

 

 

  
            $ (991,822 ) 
           

 

 

  

 

(q) At October 31, 2013, the Fund held $4,345,000 in cash as collateral and pledged cash collateral of $4,491,000 for derivative contracts. Cash collateral held may be invested in accordance with the Fund’s investment strategy.

 

(r) Open reverse repurchase agreements at October 31, 2013:

 

Counterparty

    Rate     Trade Date      Due Date      Principal & Interest      Principal  

Barclays Bank

      0.50 %      10/10/13         11/13/13       $ 36,308,090       $ 36,297,000   
     0.625        8/26/13         2/26/14         1,625,889         1,624,000   

Credit Suisse First Boston

      0.45        9/16/13         12/16/13         3,018,734         3,017,000   

Deutsche Bank

      0.20        9/26/13         11/26/13         45,570,111         45,561,000   
     0.22        10/24/13         11/13/13         12,000,587         12,000,000   
     0.22        10/25/13         11/13/13         2,000,086         2,000,000   
     0.33        10/10/13         11/13/13         2,078,419         2,078,000   
     0.36        10/10/13         11/13/13         931,205         931,000   
     0.50        8/20/13         11/21/13         17,834,063         17,816,000   
     0.52        10/7/13         1/7/14         6,941,506         6,939,000   

Goldman Sachs

      0.17        10/21/13         11/21/13         26,001,351         26,000,000   
     0.17        10/24/13         11/26/13         35,001,322         35,000,000   
     0.29        10/10/13         11/7/13         39,748,044         39,741,000   
     0.29        10/15/13         11/7/13         4,000,548         4,000,000   

Morgan Stanley

      0.37        10/24/13         11/26/13         38,503,166         38,500,000   

Royal Bank of Canada

      0.45        8/22/13         11/22/13         4,979,415         4,975,000   
     0.45        9/17/13         12/17/13         9,744,478         9,739,000   
     0.45        9/20/13         12/17/13         1,055,554         1,055,000   
     0.45        9/27/13         12/17/13         4,026,761         4,025,000   
     0.45        10/3/13         1/6/14         6,258,268         6,256,000   

Royal Bank of Scotland

      0.46        8/20/13         11/18/13         10,550,832         10,541,000   

UBS

      0.58        8/22/13         2/21/14         12,606,404         12,592,000   
             

 

 

  
              $ 320,687,000   
             

 

 

  

(s) The weighted average daily balance of reverse repurchase agreements during the nine months ended October 31, 2013 was $420,663,282 at a weighted average interest rate of 0.39%. Total value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at October 31, 2013 was $308,743,592.

 

(t) The weighted average borrowing for sale-buybacks during the nine months ended October 31, 2013 was $55,000,958 at a weighted average interest rate of 0.09%.

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, which may include, but are not limited to, quoted prices for similar assets or liabilities, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates or other market corroborated inputs

  •  

Level 3 – valuations based on significant unobservable inputs (including the Sub-Adviser’s or Valuation Committee’s own assumptions and securities whose price was determined by using a single broker’s quote)

The valuation techniques used by the Fund to measure fair value during the nine months ended October 31, 2013 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.

The Fund’s policy is to recognize transfers between levels at the end of the reporting period. An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to the 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 techniques used. Investments categorized as Level 1 or 2 as of period end may have been transferred between Levels 1 and 2 since the prior period due to changes in the valuation method utilized in valuing the investments.

The inputs or methodology used for valuing securities are 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 liabilities for Level 2 and Level 3, in accordance with Generally Accepted Accounting Principles.

Equity Securities (Common and Preferred Stock) — Equity securities traded in inactive markets 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 and the next coupon reset date. 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, state of issuance, benchmark yield curves, and bond 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 & 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 & 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”) and FLexible EXchange (“FLEX”) options 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 and FLEX 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.

Credit Default Swaps — Credit default swaps traded OTC 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.

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 interest rate 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.

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. These quoted prices are based on interest rates, yield curves, option adjusted spreads and credit spreads. 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.

A summary of the inputs used at October 31, 2013 in valuing the Fund’s assets and liabilities is listed below (refer to the Schedule of Investments and Notes to Schedule of Investments for more detailed information on Investments in Securities and Other Financial Instruments):

 

     Level 1 -
Quoted Prices		      Level 2 -
Other Significant
Observable
Inputs		     Level 3 -
Significant
Unobservable
Inputs		      Value at
10/31/13		  

Investments in Securities — Assets

           

U.S. Government Agency Securities

    $ —         $ 620,587,754      $ —         $ 620,587,754   

Corporate Bonds & Notes:

           

Airlines

      —           4,166,279        5,797,847         9,964,126   

All Other

      —           192,905,022        —           192,905,022   

Mortgage-Backed Securities

      —           166,806,255        —           166,806,255   

U.S. Treasury Obligations

      —           104,368,941        —           104,368,941   

Asset-Backed Securities

      —           10,969,410        —           10,969,410   

Senior Loans:

           

Hotels/Gaming

      —           —          456,250         456,250   

All Other

      —           4,471,562        —           4,471,562   

Municipal Bonds

      —           1,409,956        —           1,409,956   

Common Stock

      234,389         —          —           234,389   

Sovereign Debt Obligations

      —           214,140        —           214,140   

Warrants:

           

Engineering & Construction

      —           37        —           37   

Oil, Gas & Consumable Fuels

      156,271         —          —           156,271   

Repurchase Agreements

      —           3,100,000        —           3,100,000   

Options Purchased:

           

Interest Rate Contracts

      —           2        —           2   
  

 

 

     

 

 

    

 

 

     

 

 

  
     390,660         1,108,999,358        6,254,097         1,115,644,115   
  

 

 

     

 

 

    

 

 

     

 

 

  

Investment in Securities — Liabilities

           

Securities Sold Short, at value

      —           (101,591,873 )      —           (101,591,873 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

Other Financial Instruments* — Assets

           

Credit Contracts

      —           2,090,958        —           2,090,958   

Foreign Exchange Contracts

      —           406,550        —           406,550   

Interest Rate Contracts

      —           8,243,832        —           8,243,832   
  

 

 

     

 

 

    

 

 

     

 

 

  
     —           10,741,340        —           10,741,340   
  

 

 

     

 

 

    

 

 

     

 

 

  

Other Financial Instruments* — Liabilities

           

Credit Contracts

      —           (444,888 )      —           (444,888 ) 

Foreign Exchange Contracts

      —           (1,398,372 )      —           (1,398,372 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  
     —           (1,843,260 )      —           (1,843,260 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

Totals

    $ 390,660       $ 1,016,305,565      $ 6,254,097       $ 1,022,950,322   
  

 

 

     

 

 

    

 

 

     

 

 

  

At October 31, 2013, a security valued at $156,271 was transferred from Level 2 to Level 1 due to the availability of a closing price traded on an exchange.

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended October 31, 2013, was as follows:

 

     Beginning
Balance
1/31/13		      Purchases      Sales     Accrued
Discount
(Premiums)		     Net
Realized
Gain (Loss)		     Net Change
in Unrealized
Appreciation/
Depreciation		     Transfers
into
Level 3		      Transfers
out of
Level 3**		     Ending
Balance
10/31/13		  

Investments in Securities — Assets

  

       

Corporate Bonds & Notes:

                      

Airlines

    $ 6,578,826       $ —         $ (543,314 )    $ (6,715 )    $ (8,518 )    $ (222,432 )    $ —         $ —        $ 5,797,847   

Mortgage-Backed Securities

      4,365,337         —           —          3,467        —          (30,164 )      —           (4,338,640 )      —     

Senior Loans:

                      

Hotels/Gaming

      538,750         —           (83,333 )      647        572        (386 )      —           —          456,250   
  

 

 

     

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Totals

    $ 11,482,913       $ —         $ (626,647 )    $ (2,601 )    $ (7,946 )    $ (252,982 )    $ —         $ (4,338,640 )    $ 6,254,097   
  

 

 

     

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at October 31, 2013:

 

     Ending
Balance
at 10/31/13		      Valuation
Technique Used		    Unobservable
Inputs		    Input Values

Investments in Securities — Assets

            

Corporate Bonds & Notes

    $ 5,797,847       Third-Party pricing vendor    Single Broker Quote    $105.00-$114.75

Senior Loans

    $ 456,250       Third-Party pricing vendor    Single Broker Quote    $109.50

 

* Other financial instruments are derivatives, such as swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.

 

** Transferred out of Level 3 into Level 2 because an evaluated price with observable inputs from a third-party pricing vendor became available

The net change in unrealized appreciation/depreciation of Level 3 investments held at October 31, 2013 was $(113,493).

Glossary:

ABS—Asset-Backed Securities

£—British Pound

CME—Chicago Mercantile Exchange

CMO—Collateralized Mortgage Obligation

€—Euro

FRN—Floating Rate Note

IO—Interest Only

LIBOR—London Inter-Bank Offered Rate

MBIA—insured by MBIA Insurance Corp.

MBS—Mortgage-Backed Securities

OTC—Over-the-Counter

PIK—Payment-in-Kind

TBA—To Be Announced

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 CFR270.30a-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 CFR270.30a-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

Brian S. Shlissel, 
President & Chief Executive Officer
Date: December 23, 2013
By  

/s/ Lawrence G. Altadonna

Lawrence G. Altadonna,
Treasurer, Principal Financial & Accounting Officer
Date: December 23, 2013

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

Brian S. Shlissel, 
President & Chief Executive Officer
Date: December 23, 2013
By  

/s/ Lawrence G. Altadonna

Lawrence G. Altadonna,
Treasurer, Principal Financial & Accounting Officer
Date: December 23, 2013