UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act File Number: 811-21601
Registrant Name: PIMCO FLOATING RATE STRATEGY FUND
Address of Principal Executive Offices: 1345 Avenue of the Americas New York,
New York 10105
Name and Address of Agent for Service: Lawrence G. Altadonna - 1345 Avenue of
the Americas New York, New York 10105
Registrant's telephone number, including area code: 212-739-3371
Date of Fiscal Year End: 8/31
Date of Reporting Period: 11/30
Form N-Q is to be used by the registered management investment company, other
than a small business investment company registered on Form N-5 (ss.ss. 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
30b 1-5 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 the collection of information contained in Form N-Q unless the Form displays
a currently valid Office of Management and Budget ("OMB") control number. Please
direct comments concerning the accuracy of the information collection burden
estimate and any suggestions for reducing the burden to the Secretary,
Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC
20549-0609. The OMB has reviewed this collection of information under the
clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS
PIMCO FLOATING RATE STRATEGY FUND
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
(UNAUDITED)
PRINCIPAL
AMOUNT
(000) VALUE*
------------------------------------------------------------------------------------------------------------------------------------
SENIOR LOANS (a) (b) (c) (g)-36.5%
ADVERTISING-0.8%
$ 7,000 Advert Direct Sol, 4.09%, 11/9/11, Term B .................. $ 7,064,897
-----------
AUTOMOTIVE PRODUCTS-1.4%
5,000 Plastec, 4.73%, 2/15/10 .................................... 5,082,290
5,000 TRW Automotive Inc., 3.88%, 10/29/10, Term E 20 ............ 5,029,165
2,746 Volkswagon AG, 4.58%, 4/7/11 ............................... 2,799,547
-----------
12,911,002
-----------
BUILDING/CONSTRUCTION-0.6%
5,094 Nortek, 4.62%, 8/24/11 ..................................... 5,187,770
392 Nortek, 5.50%, 8/24/11 ..................................... 395,059
-----------
5,582,829
-----------
CHEMICALS-1.8%
2,000 Brenntag AG, 4.73%, 2/28/12, Term B2 ....................... 2,036,250
80 Hercules Inc., 3.73%, 10/8/10, Term B ...................... 81,097
1,311 Hercules Inc., 3.97%, 10/8/10 .............................. 1,322,234
2,000 Huntsman International LLC., 5.38%, 12/30/10 ............... 2,040,500
10,500 Rockwood Sprical, 4.63%, 7/30/12 ........................... 10,581,564
-----------
16,061,645
-----------
DIVERSIFIED MANUFACTURING-1.6%
5,000 Invensys plc, 6.76%, 12/30/09, Term B ...................... 5,150,000
3,555 Kraton Polymers Group, 4.38%, 12/2/09 ...................... 3,602,058
5,985 Lyondell Citgo, 3.59%, 5/30/07, Term B ..................... 6,029,850
15 Lyondell Citgo, 3.87%, 5/30/07 ............................. 15,150
-----------
14,797,058
-----------
COMPUTER SOFTWARE-0.1%
1,000 UGS Corp., 4.46%, 5/26/11, Term B .......................... 1,016,875
-----------
CONSUMER PRODUCTS-1.3%
587 Graham Packaging Co., 4.56%, 9/15/11, Term B ............... 596,282
6,913 Graham Packaging Co., 4.63%, 9/15/11, Term B ............... 7,027,603
4,000 Revlon Inc., 7.86%, 7/31/10, Term B ........................ 4,100,000
-----------
11,723,885
-----------
CONTAINERS-2.2%
3,000 Affinia Group, 11/30/11 (j) ................................ 3,000,000
3,000 Horizon Lines Holding LLC., 4.35%, 7/4/11 .................. 3,054,999
2,500 Intertape Polymer Corp., 4.14%, 7/30/11 .................... 2,543,750
4,363 Smurfit Stone Container Corp., 1.92%, 11/1/09 .............. 4,437,636
5,637 Smurfit Stone Container Corp., 4.06%, 11/1/10 .............. 5,734,755
630 Solo Cup Co., 4.40%, 2/27/11, Term B ....................... 642,675
151 Solo Cup Co., 4.46%, 2/27/11, Term B ....................... 154,088
487 Solo Cup Co., 4.48%, 2/27/11, Term B ....................... 496,868
232 Solo Cup Co., 4.62%, 2/27/11, Term B ....................... 236,604
-----------
20,301,375
-----------
ENERGY-4.5%
12,000 El Paso Corp., 11/22/09 (j) . .............................. 12,102,192
8,000 El Paso Corp., 11/22/09 (j) ................................ 8,048,568
4,000 Foundation Coal Holdings Inc., 4.04%, 7/30/11, Term B ...... 4,064,500
7,183 Headwaters Inc., 5.33%, 4/30/11 . .......................... 7,285,209
317 Headwaters Inc., 7.00%, 4/30/11, Term B .................... 321,043
7,074 Polypore International Inc., 4.53%, 11/12/11, Term B ....... 7,179,603
1,000 Premcor Refining Group Inc., 3.74%,4/26/09 ................ 1,015,625
-----------
40,016,740
-----------
ENTERTAINMENT-0.2%
1,000 Warner Music Group Inc., 4.32%, 2/27/11 .................... 1,017,188
5 Warner Music Group Inc., 4.66%, 2/27/11 .................... 5,111
497 Warner Music Group Inc., 4.66%, 2/27/11 .................... 506,038
497 Warner Music Group Inc., 4.97%, 2/27/11 .................... 506,038
-----------
2,034,375
-----------
FINANCIAL SERVICES-1.3%
1,450 BCP Caylux Holdings Inc., 6.23%, 6/8/11, Term C ........................... 1,484,437
3,800 Nalco Co., 4.42%, 11/1/10, Term B ......................................... 3,843,343
6,000 Refco Group Ltd., 4.89%, 7/30/11 .......................................... 6,072,750
-----------
11,400,530
-----------
HEALTH & HOSPITALS-1.4%
6,000 Ardent Health Inc., 6.00%, 8/15/11 ........................................ 6,022,500
3,000 Community Health Systems Inc., 3.96%, 8/16/11, Term B (d) ................. 3,026,250
877 Davita, Inc. 3.87%, 6/23/09, Term B ....................................... 889,240
309 Davita, Inc. 3.98%, 6/23/09, Term B ....................................... 313,721
877 Davita, Inc. 3.98%, 6/23/09, Term B ....................................... 889,240
522 Davita, Inc. 4.07%, 6/23/09, Term B ....................................... 529,404
866 Davita, Inc. 4.17%, 6/23/09, Term B ....................................... 878,238
522 Davita, Inc. 4.34%, 6/23/09, Term B ....................................... 529,404
-----------
13,077,997
-----------
PIMCO FLOATING RATE STRATEGY FUND
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
(UNAUDITED)
PRINCIPAL
AMOUNT
(000) VALUE*
------------------------------------------------------------------------------------------------------------------------------------
SENIOR LOANS (continued)
HOTELS/GAMING-1.4%
$ 2,500 Ameristar Casinos Inc., 12/20/06 (j) ...................................... $ 2,539,582
5,500 Choctaw Resort Development Enterprise Inc., 11/4/11 (j) ................... 5,606,562
3,333 Host Marriott LP., 9/10/08 (d) (j) ........................................ 3,108,072
1,667 Host Marriott LP., 9/10/08 (d) (j) ........................................ 1,554,036
-----------
12,808,252
-----------
MACHINERY-0.4%
3,153 Agco Corp., 3.95%, 1/31/06 ................................................ 3,211,044
683 Agco Corp., 3.98%, 1/31/06 ................................................ 695,962
-----------
3,907,006
-----------
MEASURING INSTRUMENTS-0.9%
8,000 Dresser, Inc., 10/29/09 (j) ............................................... 8,136,000
-----------
MISCELLANEOUS-0.4%
3,238 Innophos Inc., 4.39%, 8/15/11, Term B ..................................... 3,312,032
-----------
MULTI-MEDIA-1.2%
DirectTV Holdings LLC,
988 3.95%, 3/6/10 ........................................................... 1,004,077
1,012 4.09%, 3/6/10 ........................................................... 1,027,673
4,000 Insight Midwest Holdings LLC., 4.75%, 12/31/09, Term B .................... 4,072,776
2,500 Primedia Inc., 6.69%, 11/10/09, Term C .................................... 2,507,292
2,000 Thompson Media, 11/8/11 (j) ............................................... 2,000,000
-----------
10,611,818
-----------
OFFICE EQUIPMENT-0.4%
4,000 Xerox Corp., 3.73%, 4/30/05, Term B ....................................... 4,032,500
-----------
OIL & GAS-0.3%
2,488 Midwest Generation LLC, 5.26%, 4/27/11 .................................... 2,528,181
-----------
PAPER PRODUCTS-0.3%
2,549 Roseburg Forest Products Co., 3.96%, 1/26/10 .............................. 2,564,859
-----------
PIPELINES-0.4%
2,000 Kinetics Concepts Inc., 3.98%, 7/14/10, Term B ............................ 2,029,584
2,000 Kinetics Concepts Inc., 3.98%, 8/10/11, Term B ............................ 2,029,584
-----------
4,059,168
-----------
PRINTING/PUBLISHING-0.8%
6,851 RH Donnelley Corp., 4.05%, 6/30/11, Term B ................................ 6,927,610
-----------
REAL ESTATE-0.7%
6,000 General Growth Properties Inc.,- REIT, 4.35%, 11/12/08 .................... 6,029,064
-----------
RETAIL-0.8%
3 Jean Coutu Group Inc., 4.25%, 7/30/11 ..................................... 2,543
2,998 Jean Coutu Group Inc., 4.44%, 7/30/11 ..................................... 3,049,276
3,000 Simmons Co., 4.19%, 12/19/11, Term C ...................................... 3,039,999
1,000 Simmons Co., 5.13%, 6/19/12 ............................................... 1,020,000
-----------
7,111,818
-----------
TELECOMMUNICATIONS-7.4%
2,500 Alliance Atlantis Communications Inc., 10/19/11, Term B (j) ............... 2,534,375
5,972 Centennial Cellular Communications Inc., 4.34%-5.15%, 1/20/11, Term B ..... 6,061,537
12,000 Charter Communication Inc. 5.29%-5.38%, 4/26/11 ........................... 11,986,068
2,000 Dex Media East LLC, 4.18%, 5/8/09, Term B ................................. 2,025,000
5,387 Dex Media West LLC, 4.38%, 9/9/10, Term B ................................. 5,443,153
1,000 Inmarsat Ventures PLC., 4.89%-5.39%, 10/10/11, Term C ..................... 1,010,625
Mediacomm Communications Corp.,
1,970 2.99%, 3/31/10, Term A .................................................. 1,950,300
2,000 4.17%, 9/30/10, Term B .................................................. 2,032,876
2,500 New Skies Satellite, 4.88%, 5/2/10 ........................................ 2,541,668
881 Panamsat Corp., 4.63%, 8/20/09 ............................................ 887,157
392 Panamsat Corp., 4.63%, 8/20/09 ............................................ 1,852,841
10,500 Qwest Corp., 6.50%, 6/5/07, Term A ........................................ 10,961,559
5,000 Qwest Corp., 6.95%, 6/5/10 ................................................ 5,113,750
6,000 Valor Telecommnications., 9/23/09, Term B (j) ............................. 6,075,000
1,265 Western Wireless Corp., 4.12%, 5/28/10 .................................... 1,273,451
616 Western Wireless Corp., 4.21%, 5/28/10 .................................... 619,817
887 Western Wireless Corp., 4.60%, 5/28/10 .................................... 903,105
PIMCO FLOATING RATE STRATEGY FUND
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
(UNAUDITED) (CONTINUED)
PRINCIPAL
AMOUNT
(000) VALUE*
------------------------------------------------------------------------------------------------------------------------------------
SENIOR LOANS (CONTINUED)
$ 298 Western Wireless Corp., 4.96%, 5/30/11, Term B ............................ $ 303,198
411 Western Wireless Corp., 5.05%, 6/30/11 .................................... 417,844
1,642 Western Wireless Corp., 5.07%, 5/30/11, Term A ............................ 1,671,376
411 Western Wireless Corp., 5.08%, 5/30/11 .................................... 417,844
411 Western Wireless Corp., 5.12%, 5/30/11 .................................... 417,844
-----------
66,500,388
-----------
RECREATION-0.5%
5 Loews Cineplex Inc., 4.42%, 7/8/11 ........................................ 5,072
1,043 Loews Cineplex Inc., 4.42%, 7/8/11 ........................................ 1,057,688
952 Loews Cineplex Inc., 4.44%, 7/8/11 ........................................ 966,146
2,000 Six Flags Theme Parks, Inc., 4.57%, 6/30/09 ............................... 2,022,500
-----------
4,051,406
-----------
RETAIL - 1.1%
9,429 Boise Cascade LLC, 4.47%, 10/29/11 ........................................ 9,598,440
-----------
UTILITIES-0.2%
AES Corp,
714 4.25%, 4/30/08, Term B .................................................. 726,384
714 4.44%, 4/30/04, Term B .................................................. 727,827
-----------
1,454,211
-----------
WASTE DISPOSAL-2.1%
2,000 Allegheny Energy Inc., 3/8/11 Term B (j) .................................. 2,037,500
9,000 Allegheny Energy Inc., 3/8/11 (j) ......................................... 9,168,750
6,515 Allied Waste North America Inc., 4.62%, 4/30/10 ........................... 6,611,811
97 Allied Waste North America Inc., 4.62%, 4/30/10 ........................... 97,649
322 Allied Waste North America Inc., 4.62%, 4/30/10 ........................... 325,498
322 Allied Waste North America Inc., 4.63%, 4/30/10, Term B ................... 325,498
4 Allied Waste North America Inc., 4.82%, 4/30/12 ........................... 3,733
49 Allied Waste North America Inc., 4.95%, 4/30/10 ........................... 49,381
193 Allied Waste North America Inc., 4.97%, 4/30/10, Term B ................... 195,299
-----------
18,815,119
-----------
Total Senior Loans (cost-$328,180,468) .................................... 328,437,080
-----------
CREDIT RATING
ASSET-BACKED SECURITIES-10.4% (MOODY'S/S&P)
---------------
3,000 Accredited Mortgage Loan Trust, 2.29%, 1/25/35 (d) (f) .................... Aaa/AAA 3,000,000
7,130 Amortizing Residential Collateral Trust, 2.66%, 12/25/32 (f) .............. Aaa/AAA 7,156,480
11,069 Bear Stearns Asset Backed Securities, Inc. 2.63%, 12/25/33 (f) ............ Aaa/AAA 11,112,294
7,000 Asset Backed Securities Corp., 2.53%, 12/25/34 (d) (f) .................... Aaa/AAA 7,000,000
1,087 Credit Based Asset Trust, 2.52%, 2/5/33 (f) ............................... Aaa/AAA 1,088,968
6,046 Chase Funding Mortgage Loan Trust 2.51%, 1/25/33 (f) ...................... Aaa/AAA 6,059,196
8,524 Cit Group Home Equity Loan Trust, 2.45%, 6/25/33 (f) ...................... Aaa/AAA 8,521,957
7,000 CWMBS Inc., 12/30/34 (d) (j) .............................................. Aaa/AAA 6,998,906
7,000 CWMBS Inc., 12/30/34 (d) (j) .............................................. Aaa/AAA 6,996,719
7,000 Fremont Home Loan Trust 2.34%, 12/25/34 (d) (f) ........................... Aaa/AAA 7,000,000
7,662 Indymac Home Equity, 2.34%, 7/25/34 (f) ................................... Aaa/AAA 7,665,754
7,808 Long Beach Mortgage Loan Trust, 2.50%, 7/25/33 (f)......................... Aaa/AAA 7,821,804
3,362 Morgan Stanley Capital I, 2.34%, 1/25/34 (f) .............................. NR/AAA 3,364,121
5,041 Salomon Brothers Mortgage SecuritiesVII, 2.48%, 3/25/32 (f) ............... NR/AAA 5,040,241
4,563 Wells Fargo Bank NA., 2.34%, 6/25/19 (f) .................................. Aaa/AAA 4,565,313
-----------
Total Asset-Backed Securities (cost-$93,344,749) 93,391,753
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS (d) (f)-0.8%
7,000 Master Adjustable Rate Mortgage Trust, 3.787%, 12/21/34 (cost-$7,009,843) Aaa/AAA 7,006,541
-----------
CORPORATE BONDS & NOTES-11.1%
AIRLINES - 0.7%
Jetblue Airways Corp., pass thru certificates,
4,000 5.39%, 11/15/08 Ser. 04-2 (d) (f) ......................................... Ba1/NR 4,009,097
2,300 6.13%, 3/15/08 Ser. 04-1(f) ............................................... Ba1/BB+ 2,380,857
-----------
6,389,954
-----------
PIMCO FLOATING RATE STRATEGY FUND
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
(UNAUDITED) (CONTINUED)
PRINCIPAL
AMOUNT CREDIT RATING
(000) (MOODY'S/S&P) VALUE*
------------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES (continued)
FINANCIAL SERVICES-1.5%
$ 5,750 Borden US Financial Corp., 6.82%, 7/15/10 (a) (e) (f) ..................... B3/B- $ 6,037,500
5,000 General Motors Acceptance Corp., 4.56%, 12/1/14 (f) ....................... Baa1/BBB- 4,955,505
2,343 Indosuez Capital Funding III, 2.27%, 12/31/08 (a) (e) (f) ................. Aa3/NA 2,347,832
-----------
13,340,837
-----------
HEALTH & HOSPITALS-0.6%
5,000 HCA Inc., 5.25%, 11/6/08 .................................................. Ba2/BB+ 5,013,085
-----------
HOTELS/GAMING-0.0%
320 Park Place Entertainment Corp., 7.88%, 12/15/05 ........................... Ba2/BB- 333,600
-----------
MULTI-MEDIA- 0.8%
7,000 Cablevision Systems Corp., 6.67%, 4/1/09 (a) (e) (f) ...................... B3/B+ 7,437,500
-----------
OIL & GAS-0.3%
2,500 Gaz Capital SA, 9.125%, 4/25/07 ........................................... NR/BB- 2,737,750
-----------
PAPER PRODUCTS-1.7%
7,000 Abitibi-Consolidated Inc., 5.38%, 6/15/11 (f) ............................. Ba3/BB 7,197,500
4,000 Boise Cascade LLC, 5.005%, 10/15/12 (a) (e) (f) ........................... B1/B+ 4,120,000
4,000 Bowater Inc., 4.88%, 3/15/10 (f) .......................................... Ba3/BB 4,040,000
-----------
15,357,500
-----------
SEMI-CONDUCTORS-0.3%
2,750 Freescale Semiconductor, 4.82%, 7/15/09 (f) ............................... Ba2/BB+ 2,860,000
-----------
TELECOMMUNICATIONS-5.2%
5,000 Dobson Cellular Systems Inc., 6.96%, 11/1/11(a) (e) (f) ................... B2/B- 5,137,500
5,499 Echostar DBS Corp., 5.26%, 10/1/08 (f) .................................... Ba3/BB- 5,732,708
11,500 MCI Inc., 5.91%-6.69%, 5/1/07-5/1/09 ...................................... NR/NR 11,662,500
2,000 New Skies Satellites NV., 7.44%, 11/1/11 (a) (e) (f) ...................... B3/B- 2,060,000
4,650 Quest Communications International, 5.79%, 2/15/09 (a) (e) (f) ............ B3/B 4,661,625
7,750 Rogers Wireless Inc., 5.53%, 12/15/10 (a) (e) (f) ......................... Ba3/BB 8,060,000
3,500 Rural Cellular Corp., 6.38%, 3/15/10 (f) .................................. B2/B- 3,622,500
5,820 Time Warner Telecom Holdings, 6.29%, 2/15/11 (f) .......................... B1/B 5,834,550
-----------
46,771,383
-----------
Total Corporate Bonds & Notes (cost-$99,942,951) 100,241,609
-----------
SOVEREIGN DEBT OBLIGATIONS (f)-1.5%
BRAZIL-1.5%
14,118 Federal Republic of Brazil, 2.1875%, 4/15/09 (cost-$12,919,578) ........... B2/B+ 13,268,887
-----------
SHORT-TERM INVESTMENTS-39.7%
COMMERCIAL PAPER-11.8%
BANKING-7.0%
17,700 Bank of America NA, 2.26%, 3/9/05 ......................................... Aaa/AAA 17,700,000
17,700 Citigroup, 2.275%, 2/18/05 ................................................ Aaa/AAA 17,700,000
14,900 HSBC Bank USA, 2.335%, 3/23/05 ............................................ Aaa/AAA 14,900,000
12,800 Rabobank USA Financial Corp., 2.03%, 12/1/04 .............................. Aaa/AAA 12,800,000
-----------
63,100,000
-----------
CONGLOMERATES-2.5%
22,600 General Electronic Capital Corp., 2.32%-2.34%, 2/24/05-3/22/05 ............ P-1/AAA 22,437,528
-----------
OIL & GAS-2.3%
20,600 TotalFinaElf SA, 2.05%, 12/1/04 ........................................... B1/B+ 20,600,000
-----------
Total Commercial Paper (cost-$106,140,589) 106,137,528
-----------
PIMCO FLOATING RATE STRATEGY FUND
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
(UNAUDITED) (CONTINUED)
PRINCIPAL
AMOUNT CREDIT RATING
(000) (MOODY'S/S&P) VALUE*
------------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (CONTINUED)
CORPORATE NOTES-1.7%
ENERGY - 0.6%
$ 5,000 CMS Energy Corp., 7.00%, 1/15/05 .......................................... B3/B+ $ 5,035,135
------------
FINANCIAL SERVICES-0.7%
6,000 Ford Motor Credit Co., 7.60%, 8/1/05 ...................................... A3/BBB- 6,162,672
------------
MULTI-MEDIA-0.4%
4,000 Rogers Cable Systems., 10.00%, 3/15/05 Series B ........................... Ba3/BB+ 4,080,000
------------
Total Corporate Notes-(cost-$15,281,373) 15,277,807
------------
U.S. GOVERNMENT & AGENCY SECURITIES - 18.2%
FANNIE MAE-8.3%
75,300 1.98%-2.21%, 1/26/05-3/3/05 ............................................... Aaa/AAA 74,988,753
------------
FEDERAL HOME LOAN BANK - 9.7%
87,800 1.759%-2.26%, 12/8/04-3/14/05 ............................................. Aaa/AAA 87,409,995
------------
U.S. TREASURY BILLS (i)-0.2%
1,450 1.83%-1.915%, 12/16/04 .................................................... Aaa/AAA 1,448,873
------------
Total U.S. Government & Agency Securities (cost-$163,897,134) 163,847,621
------------
REPURCHASE AGREEMENTS-8.0%
20,240 State Street Bank & Trust Co dated 11/30/04, 1.65%, due 12/1/04,
proceeds:$20,240,928; collateralized by Federal Home Loan Bank, 12/15/05,
valued at $20,649,317 (cost-$20,240,000) .................................. 20,240,000
------------
50,000 U.S. Treasury Repo. dated 11/30/04, 1.90%, due 12/1/04,
proceeds:$50,002,639; collateralized by Federal Home Loan Bank, 12/15/05,
valued at $51,308,377 (cost-$50,000,000) .................................. 50,000,000
------------
1,600 U.S. Treasury Repo. dated 11/30/04, 1.90%, due 12/1/04,
proceeds:$1,600,084; collateralized by Federal Home Loan Bank,12/15/05,
valued at $1,642,400 (cost-$1,600,000) .................................... 1,600,000
------------
Total U.S.Government & Agency Securities (cost-$71,840,000) 71,840,000
------------
Total Short-Term Investments (cost-$357,159,096) .......................... 357,102,956
------------
PUT OPTIONS PURCHASED (h)-0.0%
Contracts CME Euro Futures, Chicago Board of Trade:
---------
275 Strike Price $93.75, expires 9/19/05 .................................... 1,719
205 Strike Price $97.375, expires 12/13/05 .................................. 1,281
------------
Total put options purchased (cost-$4,800) 3,000
------------
TOTAL INVESTMENTS, BEFORE CALL OPTIONS WRITTEN
(cost-$898,561,485)-100.0% ................................................ 899,451,826
------------
CALL OPTION WRITTEN (h)-0.0%
U.S. Treasury Notes Futures, Chicago Board of Trade:
(341) Strike Price $114, expires 2/18/05 ...................................... (79,922)
(341) Strike Price $109, expires 2/18/05 ...................................... (218,453)
------------
Total call options written (premiums received-$301,146) (298,375)
------------
TOTAL INVESTMENTS, NET OF CALL OPTIONS WRITTEN
(cost-$898,260,339)-100.0% ................................................ $899,153,451
------------
OTHER INVESTMENTS:
(a) Credit default swaps outstanding at November 30, 2004:
NOTIONAL FIXED
SWAP AMOUNT PAYABLE PAYMENTS UNREALIZED
COUNTERPARTY/REFERENCED ON DEFAULT TERMINATION RECEIVED BY APPRECIATION
DEBT OBLIGATION (000) DATE THE FUND (DEPRECIATION)
----------------------- -------------- ----------- ----------- --------------
Bank of America
CMS Energy Credit $ 5,000 12/20/09 2.15% $ 43,827
Bank of America
Nextel Credit 5,000 12/20/09 0.95% (648)
Bank of America
Royal Carribbean Credit 5,000 12/20/09 1.12% 3,787
Bank of America
Williams Co. Inc. Credit 5,000 12/20/09 1.65% 55,857
Bear Stearns
Dura Operating Credit 4,500 12/20/09 4.15% (16,849)
Bear Stearns
MGM Mirage Credit 5,000 12/20/09 1.54% 41,478
Bear Stearns
Smurfit Stone Credit 5,000 12/20/09 1.87% (28,836)
Citibank
Host Marriott Credit 5,000 12/20/09 1.70% 11,855
Citibank
Reliant Resources Credit 5,000 12/20/09 3.20% 95,778
Credit Suisse
Dow Jones CDX 12,000 12/20/09 3.75% 43,900
Credit Suisse
Equistar Credit 5,000 12/20/09 2.25% 32,062
Credit Suisse
SAMI 10,000 9/20/08 2.45% 111,396
Credit Suisse
SAMI 10,000 12/20/09 2.15% 70,445
NOTIONAL FIXED
SWAP AMOUNT PAYABLE PAYMENTS UNREALIZED
COUNTERPARTY/REFERENCED ON DEFAULT TERMINATION RECEIVED BY APPRECIATION
DEBT OBLIGATION (000) DATE THE FUND (DEPRECIATION)
----------------------- -------------- ----------- ----------- --------------
Credit Suisse
Vintage Petroleum Credit $ 5,000 12/20/09 1.95% $ 274
Goldman Sachs
Georgia Pacific Credit 5,000 12/20/09 1.15% 46,730
JP Morgan Chase Bank
Caesars Entertainment Credit 5,000 12/20/09 0.78% 29,193
JP Morgan Chase Bank
Dow Jones Credit 12,000 12/20/09 3.75% 118,900
JP Morgan Chase Bank
NRG Energy Credit 5,000 12/20/09 2.20% 308
Lehman Brothers
Boyd Credit 5,000 12/20/09 1.65% 66,164
Lehman Brothers
Hayes Lemmerz Credit 5,000 12/20/09 2.50% 20,558
Lehman Brothers
HCA Credit 5,000 12/20/09 1.55% (2,847)
Lehman Brothers, Inc.
Panamsat Credit 3,000 12/20/09 3.00% 109,383
Lehman Brothers
Starwood Credit 5,000 12/20/09 1.15% 10,265
Lehman Brothers
Stations Casinos Credit 5,000 12/20/09 1.45% 9,962
Lehman Brothers
TRW Credit 5,000 12/20/09 2.05% 122,196
Merrill Lynch
AES Credit 3,000 12/20/09 2.60% 24,470
Merrill Lynch
Arvinmeritor Credit $ 4,500 12/20/09 2.25% $ 99,199
Merrill Lynch
Chesapeake Energy Credit 5,000 12/20/09 1.30% 44,347
Merrill Lynch
Delhaize America Credit 5,000 12/20/09 1.07% 61,212
Merrill Lynch
Electronic Data Systems Credit 5,000 12/20/09 1.45% 28,590
Merrill Lynch
Toys R Us Credit 5,000 12/20/09 3.20% 98,167
Merill Lynch
Vintage Petroleum Credit 3,000 12/20/09 1.50% 26,342
Morgan Stanley
Dow Jones Credit 25,000 12/20/09 2.60% 320,417
Wachovia
Ford Motor Credit 5,000 12/20/09 2.14% 14,107
Wachovia
General Motors Credit 5,000 12/20/09 2.26% (7,374)
-----------
$ 1,704,615
===========
b) Options written for the period ended November 30, 2004:
CONTRACTS PREMIUMS
--------- --------
Options outstanding, October 29, 2004 -- --
Options written 682 $301,146
--------- --------
Options outstanding, November 30, 2004 682 301,146
========= ========
c) Futures contracts outstanding at November 30, 2004:
NOTIONAL UNREALIZED
TYPE AMOUNT EXPIRATION DATE DEPRECIATION
---- -------- --------------- ------------
Long: Financial Future Euro-CME 243,806 12/13/04 $ 125,060
d) Forward foreign currency contracts outstanding at November 30, 2004:
U.S. $ VALUE U.S. $ VALUE UNREALIZED
SOLD: ORIGINATION DATE NOVEMBER 30, 2004 DEPRECIATION
----- ---------------- ----------------- ------------
2,808,000 Euro Dollars Settling 12/9/04 $ 3,628,441 $ 3,732,086 $ 103,645
At November 30, 2004, the Fund had an unfunded loan commitment pursuant to the
following loan agreements:
BORROWER UNFUNDED COMMITMENT
-------- -------------------
Innophos Term Loan B $371,318
Innophos Term Loan B 386,650
-----------------------------------
NOTES TO SCHEDULE OF INVESTMENTS:
* Portfolio securities and other financial instruments for which market
quotations are readily available are stated at market value. Portfolio
securities and other financial instruments for which market quotations are
not easily available or if a development/event occurs that may impact the
value of the security, may be fair-valued pursuant to procedures
established by the Board of Trustees, 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 weekly by an
independent pricing service or, are valued at the last sale price on the
exchange that is the primary market for such securities, or the last quoted
bid price for those securities for which the over-the-counter market is the
primary market or for listed securities in which there were no sales. The
independent pricing service uses information provided by market makers or
estimates of market value obtained from yield data relating to investments
or securities with similar characteristics for which a secondary market
exists. Senior Loans for which a secondary market does not exist, are
valued at fair value by the Fund's Sub-Adviser, pursuant to procedures
approved by the Board of Trustees. Such procedures may include
consideration and evaluation of: (1) the creditworthiness of the borrower
and any intermediate participants; (2) the term of the Senior Loan; (3)
recent prices in the market for similar loans, if any; (4) recent prices in
the market for loans of similar quality, coupon rate, and period until next
interest rate reset and maturity; and (5) general economic and market
conditions affecting the fair value of the Senior Loan, Exchange traded
options futures and options on futures are valued at the settlement price
determined by the relevant exchange. Short-term investments maturing in 60
days or less are valued at amortized cost, if their original 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. The prices
used by the Fund to value securities may differ from the value that would
be realized if the securities were sold. The Fund's net asset value is
determined weekly at the close of regular trading (normally, 4:00 p.m.
Eastern time) on the New York Stock Exchange on the last business day of
the week.
(a) Private Placement. Restricted as to resale and may not have a readily
available market.
(b) Remaining maturities of floating rate 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.
(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 London Inter-Bank Offered Rate
("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.
(d) Fair-valued security.
(e) 144A Security- Security 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
investors.
(f) Floating Rate Security. Interest rate shown is the rate in effect at
November 30, 2004.
(g) Illiquid security
(h) Non-income producing security.
(i) All or partial principal amount segregated as initial margin on futures
contracts.
(j) Unsettled security, coupon rate undetermined at November 30, 2004.
GLOSSARY:
NR - Not Rated
REIT - Real Estate Investment Trust
ITEM 2. CONTROLS AND PROCEDURES
(a) The registrant's President and Chief Executive Officer and Principal
Financial Officer have concluded that the registrant's disclosure controls and
procedures (as defined in Rule 30a-2(c) under the Investment Company Act of
1940, as amended 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 controls or
in factors that could affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.
ITEM 3. EXHIBITS
(a) Exhibit 99.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 Floating Rate Strategy Fund
By /s/ Brian S. Shlissel
President & Chief Executive Officer
Date: January 25, 2005
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: January 25, 2005
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
dated indicated.
By /s/ Brian S. Shlissel
President & Chief Executive Officer
Date: January 25, 2005
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: January 25, 2005