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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: August 31, 2005
Date of Reporting Period: May 31, 2005
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
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Principal
Amount
(000) Value*
==================================================================================================================================
SENIOR LOANS (a) (b) (c)--58.7%
AEROSPACE--0.5%
K & F Industries, Inc.,
$ 4,534 5.59%, 11/18/12, Term B $ 4,584,159
2,223 5.67%, 11/18/12, Term B 2,247,136
--------------
6,831,295
--------------
APPAREL & TEXTILES--0.3%
Simmons & Co.,
227 5.438%, 12/19/11, Term C 227,922
227 5.625%, 12/19/11, Term C 227,922
2,458 5.75%, 12/19/11, Term C 2,469,152
60 5.938%, 12/19/11, Term C 60,361
1,000 7.00%, 6/19/12 976,875
--------------
3,962,232
--------------
AUTOMOTIVE--0.1%
2,000 Dura Operating Corp., 6.59%, 4/28/11 2,014,584
--------------
AUTOMOTIVE PRODUCTS--4.2%
9,768 Affinia Group, Inc., 5.44%, 11/30/11, Term B 9,645,683
Cooper Standard Automotive, Inc.,
4,002 5.125%, 12/31/11, Term B 4,017,155
6,438 5.125%, 12/31/11, Term C 6,462,381
Goodyear Tire & Rubber Co.,
2,000 3/31/06 (d) (e) 2,045,829
5,000 5.89%, 4/7/10 4,991,665
2,000 6.64%, 4/1/11 2,003,126
926 Plastech Engineered Products, Inc., 7.85%, 2/12/10, Term B 891,192
6,510 Polypore International, Inc., 5.35%, 11/12/11, Term B 6,591,066
Tenneco Automotive, Inc.,
1,217 5.12%, 12/12/10, Term B (f) 1,222,802
2,000 5.54%, 12/12/10, Term B (f) 2,010,000
621 5.40%, 12/12/10, Term B1 (f) 623,793
TRW Automotive, Inc.,
8,479 4.375%, 12/17/11, Term B 8,446,955
5,985 4.938%, 10/31/10, Term E 5,998,095
2,746 Volkswagon International, Inc., 5.62%, 4/7/11, Term B 2,764,879
--------------
57,714,621
--------------
BUILDING/CONSTRUCTION--1.4%
Masonite International Corp.,
128 5.14%, 4/6/13, Term B 127,600
9,872 5.21%, 4/6/13, Term B 9,867,710
9,429 Nortek, Inc., 5.34%, 8/27/11 9,480,608
--------------
19,475,918
--------------
CHEMICALS--4.0%
4,500 Brenntag AG, 5.88%, 2/27/12, Term B2 4,556,061
7,871 Celanese Holdings LLC, 5.625%, 4/6/11, Term B 7,993,026
4,000 Cognis Deutschland GmbH and Co., 5.44%, 5/12/12, Term B1 (f) 4,031,332
Hercules, Inc.,
73 4.843%, 10/8/10, Term B 74,270
1,311 4.873%, 10/8/10, Term B 1,326,250
6,090 Huntsman International LLC, 5.375%, 12/30/10, Term B 6,194,351
PIMCO FLOATING RATE STRATEGY FUND SCHEDULE OF INVESTMENTS
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Principal
Amount
(000) Value*
==================================================================================================================================
CHEMICALS (CONTINUED)
Innophos, Inc.,
$ 763 5.22%, 8/15/11, Term B $ 765,068
2,000 5.30%, 8/15/11, Term B 2,003,836
1,218 5.55%, 8/15/11, Term B 1,220,466
Kraton Polymers Group LLC,
952 5.563%, 12/2/09, Term 963,728
67 5.75%, 12/2/09, Term 67,649
2,138 5.813%, 12/2/09, Term 2,164,764
380 6.125%, 12/2/09, Term 384,824
7,965 Lyondell Citgo, 3.59%, 5/21/07, Term B 8,089,351
Mosaic Co.,
857 4.625%, 2/18/12, Term B 863,214
571 4.688%, 2/18/12, Term B 575,476
571 5.063%, 2/18/12, Term B 575,476
Nalco Co.,
2,442 4.92%, 11/1/10, Term B 2,470,001
2,768 5.00%, 11/1/10, Term B 2,799,334
3,589 5.05%, 11/4/10, Term B 3,630,448
3,000 Niagara Holdings, Inc., 5.125%, 2/11/12, Term B 3,010,314
--------------
53,759,239
--------------
COMMERCIAL PRODUCTS--0.2%
2,238 Alliance Holdings LLC, 5.34%, 1/27/12, Term B 2,253,348
--------------
COMPUTER SOFTWARE--0.6%
848 Spectrum Brands, Inc., 5.09%, 2/6/12, Term B 854,483
7,247 UGS Solutions, Inc., 4.87%, 2/28/12, Term B 7,392,444
--------------
8,246,927
--------------
CONSUMER PRODUCTS--1.9%
Jarden Corp.,
1,105 5.05%, 1/21/12, Term B 1,111,763
9,369 5.093%, 1/21/12, Term B 9,426,359
Rayovac Corp.,
1,204 4.77%, 2/7/12, Term B 1,212,982
1,204 5.09%, 2/6/12, Term B 1,212,982
481 5.10%, 2/6/12, Term B 485,193
843 5.13%, 2/7/12, Term B 849,087
1,921 5.16%, 2/6/12, Term B 1,935,375
Revlon, Inc.,
1,512 8.84%, 7/31/10 1,560,947
756 9.00%, 7/9/10 780,473
1,512 9.38%, 7/31/10 1,560,947
1,512 9.49%, 7/31/10 1,560,947
Sealy Mattress Co.,
652 4.94%, 4/1/13, Term D 654,445
3,935 5.08%, 4/14/13, Term D (f) 3,950,149
76 6.75%, 4/1/13, Term D 76,352
--------------
26,378,001
--------------
CONTAINERS--3.3%
Graham Packaging Co.,
3,845 5.50%, 10/7/11, Term B 3,884,237
64 5.625%, 9/15/11, Term B 64,403
6,070 5.688%, 9/15/11, Term B 6,132,392
7,415 Horizon Lines Holding LLC, 5.62%, 7/7/11, Term 29Z 7,489,163
PIMCO FLOATING RATE STRATEGY FUND SCHEDULE OF INVESTMENTS
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Principal
Amount
(000) Value*
==================================================================================================================================
CONTAINERS (CONTINUED)
IPG, Inc.,
$ 625 4.96%, 7/28/11, Term B $ 635,156
2,841 5.435%, 7/28/11, Term B (f) 2,887,426
6 7.25%, 7/28/11, Term B 6,352
Stone Container Corp.,
1,528 2.812%, 11/1/10 1,546,888
4,420 4.688%, 11/1/11, Term B 4,474,800
2,792 4.938%, 11/1/10, Term B 2,815,712
2,505 4.938%, 11/1/11, Term C 2,536,334
3,082 5.125%, 11/1/10, Term B 3,119,819
Solo Cup Co.,
4,016 5.093%, 2/27/11, Term B 4,047,542
5,168 5.32%, 2/27/11, Term B 5,207,878
--------------
44,848,102
--------------
DIVERSIFIED MANUFACTURING--0.5%
5,000 Invensys plc, 7.874%, 12/30/09 5,056,250
Linpac Mouldings Ltd.,
1,037 4/16/12, Term B1 (d) 1,033,759
1,322 4/16/12, Term C1 (d) 1,322,992
--------------
7,413,001
--------------
DRUGS & MEDICAL PRODUCTS--0.7%
Warner Chilcott plc,
2,670 5.72%, 1/18/12, Term B 2,679,585
1,149 5.84%, 1/18/12 1,153,417
2,487 5.84%, 1/18/12, Term C 2,496,726
3,153 5.96%, 1/18/12 3,164,864
350 7.50%, 1/18/12, Term B 351,651
--------------
9,846,243
--------------
ELECTRONICS--0.5%
Amphenol Corp.,
850 4.45%, 5/6/10, Term B1 855,578
1,700 4.59%, 5/6/10, Term B1 1,711,157
4,250 4.729%, 5/6/10, Term B1 4,277,893
--------------
6,844,628
--------------
ENERGY--2.3%
3,000 Covanta Energy Corp., 4/6/13 (d) (e) 3,007,057
4,981 Dynergy, Inc., 6.72%, 5/28/10 5,006,779
Foundation Coal Holdings, Inc.,
3,059 4.78%, 7/30/11, Term B 3,107,287
2,175 5.38%, 7/30/11, Term B 2,209,626
Headwaters, Inc.,
7,137 5.40%, 4/30/11, Term B 7,237,618
1,000 8.65%, 4/30/11, Term C 1,014,167
NRG Energy, Inc.,
4,156 2.993%, 12/24/11 4,190,019
34 4.968%, 12/24/11, Term B 34,418
5,296 5.255%, 12/24/11, Term B 5,339,282
--------------
31,146,253
--------------
ENTERTAINMENT--1.2%
11,000 MGM Studios, 5.38%, 3/15/12, Term B 11,024,068
Warner Music Group, Inc.,
1,402 5.29%, 2/27/11, Term B 1,404,970
PIMCO FLOATING RATE STRATEGY FUND SCHEDULE OF INVESTMENTS
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Principal
Amount
(000) Value*
==================================================================================================================================
ENTERTAINMENT (CONTINUED)
$ 2,761 5.52%, 2/28/11, Term B $ 2,767,790
1,388 5.65%, 2/27/11, Term B 1,390,920
--------------
16,587,748
--------------
FINANCE--1.9%
10,514 Refco Group Ltd., 5.09%, 8/5/11, Term B 10,526,004
Satbirds SAS,
(euro) 1,500 4.397%, 4/4/12, Term A 1,800,264
3,500 4.897%, 4/4/13, Term B 4,231,590
1,000 6.397%, 10/4/13 (e) 1,228,856
$ 8,500 UPC Financing Partnership, 5.752%, 9/15/12, Term H2 8,481,411
--------------
26,268,125
--------------
FINANCIAL SERVICES--0.7%
2,775 Fidelity National Information Solutions, Inc., 4.84%, 3/8/13, Term B 2,759,043
6,711 Global Cash Access Holdings, Inc., 5.351%, 3/10/10, Term B (f) 6,809,846
--------------
9,568,889
--------------
FOOD & BEVERAGE--0.2%
2,223 Commonwealth Brands, Inc., 6.375%, 8/28/07, Term B 2,247,567
--------------
FUNERAL SERVICE--0.5%
Alderwoods Group, Inc.,
3,255 4.54%, 9/17/08, Term B 3,293,189
1,816 5.08%, 9/17/08, Term B 1,837,252
264 5.116%, 9/17/09, Term B 267,165
1,713 5.296%, 9/17/08, Term B 1,733,257
--------------
7,130,863
--------------
HEALTHCARE & HOSPITALS--2.7%
774 Advanced Medical Optics, Inc., 5.214%, 9/29/09 784,310
7,962 Ardent Health, Inc., 5.35%, 8/15/11, Term B 7,972,447
Community Health Systems, Inc.,
20 4.85%, 8/19/11, Term B 20,240
7,952 5.07%, 8/19/11, Term B 8,035,278
Healthsouth Corp.,
1,275 2.85%, 3/31/10 1,277,391
4,725 5.59%, 3/31/10 4,733,860
PacifiCare Health, Inc.,
4,288 4.25%, 12/17/08 4,307,532
933 4.625%, 12/17/08 936,888
2,859 4.938%, 12/17/08 2,871,688
Triad Hospitals, Inc.,
1,782 5.11%, 3/31/07, Term A 1,790,899
3,449 5.36%, 9/30/08, Term B 3,484,295
--------------
36,214,828
--------------
HOTELS/GAMING--2.8%
Aladdin Gaming LLC,
4,572 5.56%, 8/31/10, Term A 4,588,330
95 7.10%, 8/31/10, Term B 94,866
2,395 Ameristar Casinos, Inc., 5.063%, 12/20/06, Term B1 2,424,194
Choctaw Resort Development Enterprise, Inc.,
9,137 5.343%, 11/4/11, Term B 9,210,756
157 5.63%, 11/4/11, Term B 158,232
3,500 Penn National Gaming, Inc., 5/26/12, Term B (d) 3,523,517
7,500 Resorts International Holdings, LLC, 5.61%, 3/22/12, Term B 7,551,562
PIMCO FLOATING RATE STRATEGY FUND SCHEDULE OF INVESTMENTS
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Principal
Amount
(000) Value*
==================================================================================================================================
HOTELS/GAMING (CONTINUED)
$ 829 Venetian Casino, Inc., 4.81%, 2/22/12, Term B $ 835,278
10,000 Wynn Resorts Ltd., 5.245%, 12/14/11, Term B 10,037,500
--------------
38,424,235
--------------
MACHINERY--0.8%
Agco Corp.,
4,666 4.82%, 1/31/06, Term B 4,712,906
981 4.843%, 1/31/06, Term B 990,333
4,500 Rexnord Corp., 12/31/11, Term B (d) 4,518,284
--------------
10,221,523
--------------
MANUFACTURING--0.1%
Reddy Ice Group, Inc.,
985 5.564%, 8/15/09 993,927
821 5.601%, 8/15/09 828,273
--------------
1,822,200
--------------
MEASURING INSTRUMENTS--0.4%
Dresser, Inc.,
173 5.125%, 10/29/09, Term B 174,700
1,085 5.125%, 10/29/11, Term B 1,097,763
4,398 Dresser-Rand Group, Inc., 5.438%, 10/29/11, Term B 4,450,311
--------------
5,722,774
--------------
METALS & MINING--0.7%
Novelis, Inc.,
6,376 4.96%, 1/7/12, Term B 6,434,943
3,671 4.96%, 1/7/12, Term B2 3,704,968
--------------
10,139,911
--------------
MULTI-MEDIA--3.4%
1,250 Atlantic Broadcast, Inc., 5.70%, 7/30/11, Term B 1,258,594
Charter Communication, Inc.,
39 6.37%, 4/27/11, Term B 38,788
15,439 6.44%, 4/27/11, Term B 15,359,868
3,500 DirecTV Holdings LLC, 4.59%, 4/13/13, Term B 3,509,845
7,900 Insight Midwest Holdings LLC, 5.70%, 12/31/09, Term B 7,994,234
Primedia, Inc.,
4,113 5.875%, 6/30/09, Term B 4,117,948
2,488 7.50%, 12/31/09, Term C 2,507,711
4,465 Source Media, Inc., 5.343%, 11/8/11, Term B 4,523,305
7,000 Telecordia Technologies, Inc., 5.829%, 9/9/12, Term B 6,870,941
--------------
46,181,234
--------------
OFFICE EQUIPMENT--0.3%
4,000 Xerox Corp., 4.85%, 9/30/08, Term B 4,039,168
--------------
OIL & GAS--4.0%
El Paso Corp.,
9,500 5.55%, 11/23/09 9,536,280
21,675 5.875%, 11/23/09, Term B 21,807,557
Kerr-McGee Corp.,
4,000 4/19/07 (d) 4,029,500
8,000 5/1/11, Term B (d) 8,106,872
4,534 Kinetics Concepts, Inc., 4.85%, 7/14/10, Term B 4,563,629
1,000 Premcor Refining Group, Inc., 4.825%, 4/14/09, Term C 1,006,875
PIMCO FLOATING RATE STRATEGY FUND SCHEDULE OF INVESTMENTS
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Principal
Amount
(000) Value*
==================================================================================================================================
OIL & GAS (CONTINUED)
$ 4,992 Universal Compression, Inc., 4.85%, 12/8/11, Term B $ 5,055,041
--------------
54,105,754
--------------
PAPER PRODUCTS--0.9%
Appleton Papers, Inc.,
1,000 4.79%, 6/11/10 1,007,813
995 5.55%, 6/9/10 1,002,749
6,218 Boise Cascade Holdings LLC, 4.969%, 10/29/11, Term D 6,285,377
3,500 Xerium Technologies, Inc., 5/1/12, Term B (d) 3,509,846
--------------
11,805,785
--------------
PRINTING/PUBLISHING--1.8%
Dex Media East LLC,
373 4.14%, 11/8/08, Term A 375,516
585 4.62%, 11/8/08, Term A 589,176
496 4.62%, 5/8/09, Term B1 500,205
801 4.62%, 9/9/10, Term B 807,605
524 4.66%, 9/9/10, Term B 528,895
242 4.75%, 5/8/09, Term B1 244,361
1,089 4.75%, 9/9/10, Term B 1,098,239
171 4.80%, 11/8/08, Term A 171,888
266 4.80%, 5/8/09, Term B 268,347
170 4.80%, 9/9/10, Term B 171,351
140 4.83%, 11/8/08, Term A 140,601
269 4.83%, 5/8/09, Term B1 271,877
676 4.83%, 9/9/10, Term B 682,314
245 4.84%, 11/8/08, Term A 246,295
188 4.84%, 5/8/09, Term B1 189,471
1,243 4.84%, 9/9/10, Term B 1,253,556
96 4.87%, 9/9/09, Term A 96,239
127 4.91%, 9/9/09, Term A 127,771
288 4.98%, 11/8/08, Term A 289,759
1,728 4.98%, 5/8/09, Term B1 1,743,138
97 5.00%, 9/9/09, Term A 97,867
212 5.03%, 9/9/09, Term A 212,938
248 5.05%, 11/8/08, Term A 249,609
277 5.05%, 5/8/09, Term B1 279,073
137 5.05%, 9/9/09, Term A 138,096
410 5.05%, 9/9/10, Term B 413,684
169 5.08%, 9/9/09, Term A 169,841
143 5.09%, 9/9/09, Term A 143,935
161 5.30%, 9/9/09, Term A 162,009
R.H. Donnelley Corp.,
1,719 4.70%, 6/30/11, Term D 1,733,249
2,149 4.76%, 6/30/11, Term D 2,166,561
1,289 4.78%, 6/30/11, Term D 1,299,936
430 4.80%, 6/30/11, Term D 433,312
1,719 4.81%, 6/30/11, Term D 1,733,249
430 4.84%, 6/30/11, Term D 433,312
2,897 4.85%, 6/30/11, Term D 2,920,864
430 4.87%, 6/30/11, Term D 433,312
1,289 4.88%, 6/30/11, Term D 1,299,936
--------------
24,117,387
--------------
REAL ESTATE--1.2%
General Growth Properties, Inc.,
9,957 5.37%, 11/12/07, Term A 10,011,728
PIMCO FLOATING RATE STRATEGY FUND SCHEDULE OF INVESTMENTS
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Principal
Amount
(000) Value*
==================================================================================================================================
REAL ESTATE (CONTINUED)
$ 5,987 5.37%, 11/12/08, Term B $ 6,031,134
--------------
16,042,862
--------------
RECREATION--1.4%
Loews Cineplex, Inc.,
6,194 5.373%, 7/22/11 (f) 6,281,021
4,174 5.46%, 7/8/11 4,232,118
Six Flags Theme Parks, Inc.,
2,462 5.59%, 6/30/09, Term B 2,478,910
1,523 5.72%, 6/30/09 1,533,436
Worldspan LP.,
1,667 5.75%, 2/11/10, Term B 1,600,000
1,656 5.875%, 2/11/10, Term B 1,589,333
1,667 6.00%, 2/11/10, Term B 1,600,000
--------------
19,314,818
--------------
RETAIL--1.3%
8,407 Dominos, Inc., 4.875%, 6/25/10, Term B 8,522,431
Jean Coutu Group, Inc.,
23 5.375%, 7/30/11 22,745
8,947 5.50%, 7/30/11 9,029,705
--------------
17,574,881
--------------
SEMI-CONDUCTORS--0.4%
4,988 On Semiconductor Corp., 6.125%, 12/3/11, Term G 5,036,338
--------------
TELECOMMUNICATIONS--7.2%
2,324 Alliance Atlantis Communications, Inc., 4.76%, 10/19/11, Term B 2,337,471
5,000 American Towers, LP., 4.52%, 2/28/11, Term A 5,020,000
Centennial Cellular Operating Co. LLC,
3,758 5.343%, 1/20/11, Term B 3,791,266
263 5.57%, 1/20/11, Term B 265,389
1,128 5.63%, 1/20/11, Term B 1,137,380
3,382 5.63%, 2/9/11, Term B 3,412,140
376 5.77%, 1/20/11, Term B 379,127
5,471 Consolidated Communication, Inc., 10/14/11, Term D (d) 5,508,851
Inmarsat Ventures plc,
2,420 5.502%, 10/10/10, Term B 2,431,482
2,425 6.531%, 10/10/11, Term C 2,447,339
4,738 Intelsat Bermuda Ltd., 4.875%, 7/28/11, Term B 4,770,107
Mediacomm Communications Corp.,
243 4.06%, 3/31/10, Term A 235,881
600 4.33%, 3/31/10, Term A 590,250
533 4.44%, 3/31/10, Term A 529,000
8,000 5.09%, 2/28/14, Term B 8,021,112
533 5.34%, 3/31/10, Term A 529,000
5,217 New Skies Satellite N.V., 5.688%, 5/4/11, Term B 5,254,303
Panamsat Corp.,
3,390 5.59%, 8/20/09, Term A1 3,417,715
1,580 5.59%, 8/20/09, Term A2 1,593,395
Qwest Corp.,
4,000 6.95%, 6/30/10, Term B 3,924,168
18,500 7.39%, 6/30/07, Term A 19,044,881
Telewest Global, Inc.,
2,550 5.392%, 11/2/12, Term B2 2,570,188
1,950 5.892%, 11/2/12, Term C2 1,959,479
PIMCO FLOATING RATE STRATEGY FUND SCHEDULE OF INVESTMENTS
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Credit Rating
(000) (Moody's/S&P) Value*
==================================================================================================================================
TELECOMMUNICATIONS (CONTINUED)
Valor Telecommunications, Inc.,
$ 4,000 5.10%, 2/14/12, Term B $ 4,029,168
1,900 5.101%, 2/15/12, Term B 1,913,855
Western Wireless Corp.,
1,242 5.10%, 5/28/10, Term A 1,247,267
393 5.23%, 5/28/10, Term A 393,956
1,026 5.87%, 5/30/11, Term B 1,030,814
5,104 5.91%, 5/31/11, Term B (f) 5,128,049
694 6.11%, 5/30/11, Term B 697,732
2,052 6.12%, 5/30/11, Term B 2,061,628
1,026 6.15%, 5/30/11, Term B 1,030,814
1,026 6.19%, 5/30/11, Term B 1,030,814
--------------
97,734,021
--------------
UTILITIES--3.2%
AES Corp.,
4,470 5.25%, 8/10/11, Term B 4,507,148
4,470 5.57%, 4/30/08, Term B 4,507,148
Allegheny Energy, Inc.,
735 5.15%, 3/8/11, Term B1 743,284
4,943 5.62%, 3/8/11, Term B1 4,997,295
2,167 5.88%, 3/8/11, Term B1 2,190,779
Edison Midwest Generation LLC,
86 5.12%, 4/27/11, Term B 87,444
467 5.809%, 4/27/11, Term B 472,966
Midwest Generation LLC,
5,712 5.41%, 4/27/11, Term B (f) 5,785,454
110 5.55%, 4/27/11, Term B 111,318
Reliant Resources, Inc.,
18,923 5.068%, 4/30/10 18,992,354
1,526 5.465%, 4/30/10 1,531,259
--------------
43,926,449
--------------
WASTE DISPOSAL--1.1%
Allied Waste North America, Inc.,
3,634 5.09%, 1/15/12 3,638,818
4,038 5.10%, 1/15/12 4,043,062
2,019 5.17%, 1/15/12 2,021,565
1,615 5.19%, 1/15/12 1,617,253
1,615 5.37%, 1/15/12 1,617,253
1,696 5.52%, 1/15/12 1,697,858
--------------
14,635,809
--------------
Total Senior Loans (cost--$801,333,340) 799,597,561
--------------
CORPORATE BONDS & NOTES--15.1%
AIR-CONDITIONING--0.3%
4,250 Goodman Global Holdings, Inc., 5.76%, 6/15/12 (g) (h) B3/B- 4,080,000
--------------
AIRLINES--0.5%
Jetblue Airways Corp., pass thru certificates,
4,000 6.368%, 5/15/10, Ser. 04-2 (h) Ba1/BB+ 4,000,420
2,226 7.26%, 9/15/09, Ser. 04-1 (h) Ba1/BB+ 2,281,786
--------------
6,282,206
--------------
FINANCING--1.8%
5,750 Borden US Finance Corp., 7.891%, 7/15/10 (g) (h) B3/B- 5,750,000
PIMCO FLOATING RATE STRATEGY FUND SCHEDULE OF INVESTMENTS
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Credit Rating
(000) (Moody's/S&P) Value*
==================================================================================================================================
FINANCING (CONTINUED)
$ 2,000 Ford Motor Credit Co., 4.00%, 3/21/07 (h) Baa2/BB+ $ 1,944,796
General Motors Acceptance Corp.,
5,000 5.11%, 12/1/14 (h) Baa2/BB 4,067,495
4,000 6.125%, 9/15/06 (h) Baa2/BB 3,987,252
813 Indosuez Capital Funding III, 3.175%, 12/31/08 (g) (h) Aa3/NR 813,898
3,098 Simsbury CLO Ltd., 3.92%, 9/24/11 (e) (g) (h) Aaa/AAA 3,071,927
4,500 Universal City Florida Holding Co. I/II, 7.96%, 5/1/10 (h) B3/B- 4,702,500
--------------
24,337,868
--------------
HEALTH & HOSPITALS--0.4%
5,000 HCA, Inc., 5.25%, 11/6/08 Ba2/BB+ 5,025,095
--------------
MISCELLANEOUS--0.7%
10,000 Dow Jones CDX US High Yield, 8.25%, 6/29/10, Ser. 4-T1 (g) (i) B3/NR 9,937,500
--------------
MULTI-MEDIA--2.1%
(euro) 4,000 Cablecom Luxembourg SCA, 4.898%, 4/15/12 (e) (g) (h) B2/B 5,033,937
$ 7,000 Cablevision Systems Corp., 7.88%, 4/1/09 (g) (h) B3/B+ 7,385,000
CCO Holdings LLC,
6,000 7.135%, 12/15/10 (g) (h) B3/CCC- 5,925,000
2,000 8.75%, 11/15/13 B3/CCC- 2,000,000
8,000 Charter Communications Holdings II, 10.25%, 9/15/10 Caa1/CCC- 8,160,000
--------------
28,503,937
--------------
OIL & GAS--0.2%
2,500 Gaz Capital SA, 9.125%, 4/25/07 Baa3/BB- 2,692,500
--------------
PAPER/PAPER PRODUCTS--1.1%
2,000 Abitibi-Consolidated Finance LP, 7.875%, 8/1/09 Ba3/BB- 1,990,000
5,000 Abitibi-Consolidated, Inc., 6.51%, 6/15/11 (h) Ba3/BB- 4,875,000
4,000 Boise Cascade LLC, 6.016%, 10/15/12 (g) (h) B1/B+ 4,020,000
4,000 Bowater, Inc., 6.01%, 3/15/10 (h) Ba3/BB 3,960,000
--------------
14,845,000
--------------
SEMI-CONDUCTORS--0.5%
2,750 Freescale Semiconductor, Inc., 5.891%, 7/15/09 (h) Ba2/BB+ 2,860,000
5,500 Magnachip Semiconductor, Inc., 6.26%, 12/15/11 (g) (h) Ba3/B+ 5,142,500
--------------
8,002,500
--------------
TELECOMMUNICATIONS--7.1%
5,000 Dobson Cellular Systems, Inc., 7.96%, 11/1/11 (g) (h) B2/B- 5,137,500
8,499 Echostar DBS Corp., 6.35%, 10/1/08 (h) Ba3/BB- 8,753,970
5,000 Hawaiian Telcom Communications, Inc., 8.914%, 5/1/13 (g) (h) B3e/B- 5,087,500
5,425 Intelsat Bermuda Ltd., 7.805%, 1/15/12 (g) (h) B2/B+ 5,533,500
MCI, Inc.,
15,400 6.908%, 5/1/07 B2/B+ 15,688,750
2,000 7.688%, 5/1/09 B2/B+ 2,100,000
2,000 New Skies Satellites N.V., 8.539%, 11/1/11 (g) (h) B3/B- 2,030,000
Qwest Capital Funding, Inc.,
5,000 7.75%, 8/15/06 Caa2/B 5,087,500
5,000 7.90%, 8/15/10 Caa2/B 4,825,000
25,650 Qwest Communications International, Inc., 7.268%, 2/15/09 (g) (h) B3/B 25,457,625
7,750 Rogers Wireless, Inc., 6.135%, 12/15/10 (h) Ba3/BB 8,118,125
3,500 Rural Cellular Corp., 7.51%, 3/15/10 (h) B2/B- 3,561,250
PIMCO FLOATING RATE STRATEGY FUND SCHEDULE OF INVESTMENTS
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Credit Rating
(000) (Moody's/S&P) Value*
==================================================================================================================================
TELECOMMUNICATIONS (CONTINUED)
$ 5,820 Time Warner Telecom Holdings, Inc., 7.268%, 2/15/11 (h) B1/B $ 5,936,400
--------------
97,317,120
--------------
UTILITIES--0.4%
5,000 NorthWestern Corp., 7.30%, 12/1/06 (g) Ba1/BB 5,185,340
--------------
Total Corporate Bonds & Notes (cost--$208,712,821) 206,209,066
--------------
ASSET-BACKED SECURITIES --5.2%
2,168 Accredited Mortgage Loan Trust, 3.24%, 1/25/35 (h) Aaa/AAA 2,170,588
2,028 Amortizing Residential Collateral Trust, 3.57%, 12/25/32 (h) Aaa/AAA 2,037,494
478 Argent Securities, Inc., 3.20%, 5/25/34 (h) Aaa/AAA 477,755
3,704 Asset Backed Securities Corp., Home Equity Loan Trust,
3.25%, 9/25/34 (h) Aaa/AAA 3,706,830
Bear Stearns Asset Backed Securities, Inc.,
5,556 3.26%, 12/25/42 (h) Aaa/AAA 5,554,054
8,840 3.54%, 12/25/33 (h) Aaae/AAA 8,870,054
2,843 Chase Funding Loan Acquisition Trust, 3.42%, 1/25/33 (h) Aaa/AAA 2,849,826
3,784 CIT Group Home Equity Loan Trust, 3.36%, 6/25/33 (h) Aaa/AAA 3,795,282
10,000 Conseco Finance Securitizations Corp., 6.09%, 9/1/33 Ba1/B- 10,158,669
8,860 Countrywide Asset-Backed Certificates, 3.24%, 10/25/23 (h) Aaa/AAA 8,866,485
297 Credit Based Asset Trust, 3.43%, 2/25/33 (h) Aaa/AAA 297,282
5,131 Fremont Home Loan Trust, 3.25%, 3/25/35 (h) Aaa/AAA 5,135,852
2,212 GSAMP Trust, 3.24%, 8/25/34 (h) Aaa/NR 2,213,089
2,965 Indymac Home Equity Asset-Backed Trust, 3.25%, 7/25/34 (h) Aaa/AAA 2,966,780
4,068 Long Beach Mortgage Loan Trust, 3.41%, 7/25/33 (h) Aaa/AAA 4,076,782
2,029 Residential Asset Securities Corp., 3.18%, 11/25/20 (h) Aaa/AAA 2,030,377
3,382 Salomon Brothers Mortgage Securities VII, 3.39%, 3/25/32 (h) NR/AAA 3,392,939
2,351 Wells Fargo Home Equity Trust, 3.25%, 6/25/19 (h) Aaa/AAA 2,352,793
--------------
Total Asset-Backed Securities (cost--$70,965,073) 70,952,931
--------------
MORTGAGE-BACKED SECURITIES (h)--3.3%
Countrywide Home Loans,
6,483 3.42%, 2/25/35 Aaa/AAA 6,496,572
6,685 3.43%, 2/25/35 Aaa/AAA 6,684,167
4,758 3.38%, 4/25/35 Aaa/AAA 4,758,565
5,383 Master Adjustable Rate Mortgage Trust, 3.787%, 11/21/34 Aaa/AAA 5,378,178
Washington Mutual, Inc.,
11,620 3.373%, 1/25/45 Aaa/AAA 11,637,185
9,763 3.383%, 1/25/45 Aaa/AAA 9,767,859
--------------
Total Mortgage-Backed Securities (cost--$44,697,709) 44,722,526
--------------
SOVEREIGN DEBT OBLIGATIONS--3.2%
BRAZIL--3.2%
Federal Republic of Brazil,
16,471 4.313%, 4/15/12 (h) NR/NR 15,905,061
15,832 8.00%, 4/15/14 B1/BB- 16,251,199
10,000 11.00%, 8/17/40 B1/BB- 11,887,500
--------------
Total Sovereign Debt Obligations (cost--$42,914,963) 44,043,760
--------------
PREFERRED STOCK (g) (h)--0.1%
GOVERNMENT--0.1%
Shares
------
23,085 Fannie Mae, 7.00% (cost--$1,154,250) Aa3/AA- 1,296,368
--------------
PIMCO FLOATING RATE STRATEGY FUND SCHEDULE OF INVESTMENTS
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Credit Rating
(000) (Moody's/S&P) Value*
==================================================================================================================================
SHORT-TERM INVESTMENTS -- 14.5%
COMMERCIAL PAPER--6.9%
BANKING--4.1%
$ 18,800 Rabobank USA Financial Corp., 3.02%, 6/1/05 P-1/A-1+ $ 18,800,000
37,600 Skandinaviska Enskilda Banken AB, 3.07%-3.17%, 7/14/05-8/16/05 P-1/A-1 37,452,754
--------------
56,252,754
--------------
FINANCE--2.8%
38,000 UBS Finance, Inc., 2.785%-3.285%, 6/15/05-10/3/05 P-1/A-1+ 37,720,394
--------------
Total Commercial Paper (cost--$93,975,545) 93,973,148
--------------
SOVEREIGN DEBT OBLIGATIONS--4.1%
FRANCE--4.1%
(euro) 45,000 French Treasury Note BTAN, 5.00%, 7/12/05 Aaa/AAA 55,733,966
--------------
GERMANY--0.0%
300 Federal Republic of Germany, 2.00%, 6/17/05 Aaa/AAA 370,413
--------------
Total Sovereign Debt Obligations (cost--$56,109,332) 56,104,379
--------------
CONVERTIBLE BONDS--1.6%
MULTI-MEDIA--1.6%
$ 20,280 Rogers Communications, Inc., 2.00%, 11/26/05 (cost--$20,027,376) B3/B+ 21,446,100
--------------
U.S. TREASURY BILLS--0.8%
10,905 2.58%-2.99%,6/2/05-9/15/05 (cost--$10,851,517) Aaa/AAA 10,847,403
--------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES--0.4%
5,600 Federal National Mortgage Association, 2.98%, 7/1/05 (cost--$5,586,070) Aaa/AAA 5,586,070
--------------
CORPORATE NOTES--0.3%
FINANCING--0.2%
3,000 General Motors Acceptance Corp., 4.145%, 5/18/06 Baa2/BB 2,956,575
--------------
HOTELS/GAMING--0.0%
320 Park Place Entertainment Corp., 7.875%, 12/15/05 Ba2/BB- 326,400
--------------
PAPER/PAPER PRODUCTS--0.1%
775 Smurfit Capital Funding plc, 6.75%, 11/20/05 B1/BB- 778,875
--------------
Total Corporate Notes (cost--$4,107,011) 4,061,850
--------------
REPURCHASE AGREEMENTS--0.4%
5,557 State Street Bank & Trust Co.,
dated 5/31/05, 2.65%, due 6/1/05,
proceeds $5,670,409; collateralized by
Fannie Mae, 1.875%, 9/15/05,
valued at $5,668,900 with accrued interest (cost--$5,557,000) 5,557,000
--------------
Total Short-Term Investments (cost--$196,213,851) 197,575,950
--------------
PIMCO FLOATING RATE STRATEGY FUND SCHEDULE OF INVESTMENTS
May 31, 2005 (unaudited)
----------------------------------------------------------------------------------------------------------------------------------
Contracts Value*
==================================================================================================================================
CALL OPTIONS PURCHASED (j)--0.0%
U.S. Treasury Bond Futures, Chicago Board of Trade,
940 strike price $130, expires 8/26/05 $ 14,688
U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade,
250 strike price $121, expires 8/26/05 3,906
--------------
Total Call Options Purchased (cost--$22,461) 18,594
--------------
PUT OPTIONS PURCHASED (j)--0.0%
Eurodollar Futures, Chicago Mercantile Exchange,
405 strike price $93.75, expires 9/19/05 2,531
U.S. Treasury Bond Futures, Chicago Board of Trade,
794 strike price $98, expires 8/26/05 12,406
--------------
Total Put Options Purchased (cost--$19,037) 14,937
--------------
Total Options Purchased (cost--$41,498) 33,531
--------------
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN
(cost--$1,366,033,505)--100.1% 1,364,431,693
--------------
CALL OPTIONS WRITTEN (j)--(0.1)%
U.S. Treasury Bond Futures, Chicago Board of Trade,
(944) strike price $118, expires 6/24/05 (663,750)
U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade,
(361) strike price $111, expires 8/26/05 (953,266)
(459) strike price $116, expires 7/22/05 (55,883)
--------------
Total Call Options Written (premiums received--$530,009) (1,672,899)
--------------
PUT OPTIONS WRITTEN (j)--(0.0)%
U.S. Treasury Bond Futures, Chicago Board of Trade,
(944) strike price $110, expires 6/24/05 (14,750)
U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade,
(459) strike price $110, expires 7/22/05 (48,711)
--------------
Total Put Options Written (premiums received--$193,143) (63,461)
--------------
Total Options Written (premiums received--$723,152) (1,736,360)
--------------
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN
(cost--$1,365,310,353)--100.0% $1,362,695,333
--------------
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 readily available or if a development/event occurs that may
significantly impact the value of the security or financial instrument
may be fair-valued, in good faith pursuant to procedures established by
the Board of Trustees. The Fund's investments in senior floating rate
loans ("Senior Loans") for which a secondary market exists will be
valued at the mean of the last available bid and asked prices in the
market for such Senior Loans, as provided by an independent pricing
service. Other Senior Loans are valued at fair-value by Pacific
Investment Management Company LLC (the Sub-Adviser). Such procedures
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. Other portfolio securities and financial instruments are
valued by an independent pricing service, dealer quotations, 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 values obtained from yield data relating to investments or
securities with similar characteristics. Exchange traded options,
futures and options on futures are valued at the settlement price
determined by the relevant exchange. Forward foreign currency contracts
are marked to market daily at the applicable foreign exchange rates.
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 on the last business day of the week at the close of regular
trading (normally 4:00 p.m. Eastern Time) on the New York Stock
Exchange.
(a) Private Placement. Restricted as to resale and may not have a readily
available market.
(b) Illiquid security.
(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. 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.
(d) Unsettled security, coupon rate undetermined at May 31, 2005.
(e) Fair-valued security.
(f) Delayed-delivery security. To be delivered/settled after May 31, 2005.
(g) 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.
(h) Floating Rate Security - Interest rate shown is the rate in effect at
May 31, 2005.
(i) Credit-linked trust certificate.
(j) Non-income producing.
GLOSSARY:
EUR -- Eurodollar
GBP--Great Britian pound
NR -- Not Rated
JPY--Japanese Yen
OTHER INVESTMENTS:
(a) Credit default swap contracts outstanding at May 31, 2005:
Notional Fixed
Amount Payable Payments Unrealized
Swap Counterparty/ on Default Termination Received by Appreciation
Referenced Debt Obligation (000) Date Fund (Depreciation)
===============================================================================================================================
Bank of America N.A
Bombardier Inc. $ 3,000 12/20/2005 2.00% $ 24,565
CMS Energy Corp. 5,000 12/20/2009 2.15% 32,404
Royal Caribbean Cruises Ltd 5,000 12/20/2009 1.12% (17,472)
Williams Cos Inc. 5,000 12/20/2009 1.65% (6,963)
Bear Stearns Company Inc.
Allied Waste North America 1,500 12/20/2007 1.85% 6,987
ArvinMeritor Inc. 1,500 12/20/2007 1.14% (62,659)
Dura Operating Corp. 4,500 12/20/2009 4.15% (478,531)
Dynegy Holdings Inc. 1,500 12/20/2009 2.35% (53,125)
MGM Mirage 5,000 12/20/2009 1.54% (89,264)
Smurfit-Stone Container Enterprises Inc. 1,500 12/20/2009 1.76% (133,526)
Smurfit-Stone Container Enterprises Inc. 5,000 12/20/2009 1.87% (423,525)
CitiBank NA
Host Marriott LP 5,000 12/20/2009 1.70% (118,690)
Reliant Energy Inc. 5,000 12/20/2009 3.20% 21,429
Credit Suisse First Boston Capital LLC
Intelsat Bermuda Ltd 7,000 3/20/2010 3.21% 103,602
First Boston
Delphi Corp. 3,000 3/20/2008 3.80% (497,870)
Equistar Chemicals LP 5,000 12/20/2009 2.25% (112,022)
Goodyear Tire & Rubber Co. (The) 2,000 3/20/2015 3.85% 143,181
SAMI 8,800 12/20/2009 2.15% (62,385)
SAMI 4,000 9/20/2008 2.45% 7,374
Vintage Petroleum Inc. 5,000 12/20/2009 1.95% 103,577
Goldman Sachs Capital Markets, L.P.
Dow Jones CDX 19,800 6/20/2010 3.60% 145,980
HSBC Bank
Ford Motor Credit Co. 2,000 6/20/2006 3.25% 50,729
General Motors Acceptance Corp. 4,000 6/20/2006 4.25% 100,851
J.P. Morgan
Dow Jones CDX 5,800 6/20/2010 3.60% 30,450
Goodyear Tire & Rubber Co. (The) 2,000 3/20/2007 1.55% 54,395
Goodyear Tire & Rubber Co. (The) 4,000 3/20/2010 3.40% (168,094)
NRG Energy Inc. 5,000 12/20/2009 2.20% 22,019
Lehman Brothers Special Financing Inc.
Boyd Gaming Corp. 5,000 12/20/2009 1.65% 147,535
Ford Motor Credit Co. 3,000 6/20/2006 2.90% 63,981
General Motors Acceptance Corp. 3,000 3/20/2006 2.10% 7,689
General Motors Corp. 8,000 12/20/2005 0.92% (75,523)
Hayes Lemmerz International Inc. 5,000 12/20/2009 2.50% (144,933)
HCA Inc. 5,000 12/20/2009 1.55% 82,048
PanAmSat Corp. 3,000 12/20/2009 3.00% 141,467
Six Flags Inc. 4,000 3/20/2010 2.70% 44,059
Smurfit-Stone Container Enterprises Inc. 3,000 12/20/2009 1.85% (256,467)
Starwood Hotels & Resorts Worldwide Inc. 5,000 12/20/2009 1.15% (26,464)
Station Casinos Inc. 5,000 12/20/2009 1.45% (107,957)
TRW Automotive Inc. 5,000 12/20/2009 2.05% (182,969)
Merrill Lynch & Co.
AES Corp. (The) 3,000 12/20/2009 2.60% 100,041
ArvinMeritor Inc. 4,500 12/20/2009 2.25% (232,910)
Bombardier Inc. 5,000 3/20/2006 3.25% 112,977
Chesapeake Energy Corp. 5,000 12/20/2009 1.30% (31,336)
CMS Energy Corp. 1,500 12/20/2009 1.85% (10,806)
Delhaize America Inc. 5,000 12/20/2009 1.07% (61,064)
Toys "R" US Inc. 3,500 12/20/2006 1.45% 41,158
Toys "R" US Inc. 7,000 12/20/2009 2.91% (416,939)
Toys "R" US Inc. 5,000 12/20/2009 3.20% (241,302)
Toys "R" US Inc. 3,500 12/20/2014 3.34% 437,450
Vintage Petroleum Inc. 3,000 12/20/2009 1.50% 5,017
Morgan Stanley Dean Witter
Dow Jones CDX 7,000 12/20/2009 0.00% --
Dow Jones CDX 7,000 12/20/2009 2.60% 80,889
Dow Jones CDX 11,200 12/20/2009 2.60% 458,002
Dow Jones CDX 4,900 6/20/2010 3.60% 31,850
UBS AG
Dow Jones CDX 10,000 6/20/2010 3.60% 51,500
General Motor Acceptance Corp. 6,000 9/20/2006 5.05% 192,418
Wachovia Bank
Dow Jones CDX 6,250 6/20/2010 3.60% 32,813
Ford Motor Co. 5,000 12/20/2009 2.14% (364,094)
General Motors Corp. 5,000 12/20/2009 2.26% (905,939)
-----------
$(2,404,392)
===========
(b) Interest rate swap contracts outstanding at May 31, 2005:
Rate Type
-----------------------------------
Notional
Amount
Payable on Payments Payments Unrealized
Swap Default Termination made Received Appreciation
Counterparty (000) Date by Fund by Fund (Depreciation)
===============================================================================================================
Bank of America
IRS US$ $255,000 1/7/2025 3 Month LIBOR 5.13% $16,425,637
Bank of America
IRS US$ 255,000 6/15/2025 5.25% 3 Month LIBOR (2,669,965)
-----------
$13,755,672
-----------
(c) Options written for the period October 29, 2004 (commencement of operations)
through May 31, 2005:
Contracts
(000) Premiums
===============================================================================================================
Options outstanding, October 29, 2004 ------ ------
Options written 154,409 $3,099,460
Options expired (129,501) (422,932)
Options terminated in closing purchase transactions (24,905) (1,953,376)
--------------------------
Options outstanding, May 31, 2005 3 $723,152
==========================
(d) Forward foreign currency contracts outstanding at May 31, 2005:
Unrealized
U.S.$ Value U.S.$ Value Appreciation
Origination Date May 31, 2005 (Depreciation)
==================================================================================================================================
Purchased: GBP settling 6/9/05 $ 5,369,904 $ 5,135,451 $(234,453)
JPY settling 6/13/05 15,687,597 15,730,919 43,322
Sold: EUR settling 6/20/05 12,940,446 12,687,429 253,017
GBP settling 6/9/05 5,375,438 5,135,451 239,987
---------
$ 536,326
=========
(e) At May 31, 2005, the Fund held the following unfunded loan commitments which
could be extended at the option of the borrower:
Borrower Unfunded Commitments
--------------------------------------------------------------------------------------------
Advanced Medical Products, Term B $ 1,763,125
Celanese AG 3,170,618
Host Marriott, Term A 3,225,000
Host Marriott, Term B 1,612,500
Venetain Casino, Term D 2,581,731
Warner Chilcott plc 1,414,068
Warner Chilcott 282,814
-----------
$14,049,856
===========
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 99.302 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 Floating Rate Strategy Fund
By /s/ Brian S. Shlissel
President & Chief Executive Officer
Date: July 25, 2005
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: July 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: July 25, 2005
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: July 25, 2005