UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

OMB APPROVAL

 

OMB Number:    3235-0578
Expires:   
April 30, 2010
Estimated average burden hours per response........10.5

 

 

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-21601

 

 

PIMCO Floating Rate Strategy Fund

(Exact name of registrant as specified in charter)

 

1345 Avenue of the Americas, New York, NY

 

10105

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna

1345 Avenue of the Americas,

New York, NY 10105

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

July 31, 2010

 

 

 

 

Date of reporting period:

October 31, 2009

 

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-2001. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 



 

Item 1. Schedule of Investments

 

PIMCO Floating Rate Strategy Fund Schedule of Investments

October 31, 2009 (unaudited)

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

CORPORATE BONDS & NOTES—56.1%

 

 

 

 

 

Automotive Products—0.0%

 

 

 

 

 

$102

 

Delphi Automotive LLP, 12.00%, 10/6/14

 

NR/NR

 

$101,834

 

 

 

 

 

 

 

 

 

Banking—23.4%

 

 

 

 

 

£2,100

 

BAC Capital Trust VII, 5.25%, 8/10/35

 

Baa3/B

 

2,301,887

 

 

 

Barclays Bank PLC (h),

 

 

 

 

 

$2,600

 

7.375%, 12/15/11 (a)(d)

 

Baa2/BBB+

 

2,379,000

 

3,000

 

7.434%, 12/15/17 (a)(d)

 

Baa2/BBB+

 

2,805,000

 

£8,600

 

14.00%, 6/15/19

 

Baa2/BBB+

 

18,641,199

 

$2,000

 

Den Norske Bank ASA, 7.729%, 6/29/11 (a)(d)(h)

 

A2/BBB+

 

1,860,698

 

1,400

 

HBOS PLC, 6.75%, 5/21/18 (a)(d)

 

Baa2/BBB-

 

1,294,439

 

€4,900

 

Keycorp, 1.051%, 11/22/10, FRN

 

Baa1/BBB+

 

6,704,832

 

$3,400

 

M&I Marshall & Ilsley Bank, 0.471%, 6/1/11, FRN

 

A2/BBB

 

3,032,208

 

22,600

 

National City Preferred Capital Trust I, 12.00%, 12/10/12 (h)(k)

 

Baa2/BBB

 

25,928,234

 

3,500

 

NB Capital Trust II, 7.83%, 12/15/26

 

Baa3/B

 

3,377,500

 

15,000

 

Rabobank Nederland NV, 11.00%, 6/30/19 (a)(d)(h)(k)

 

Aa2/AA-

 

18,878,835

 

14,900

 

Regions Financial Corp., 0.453%, 6/26/12, FRN

 

Baa3/BBB+

 

12,841,744

 

 

 

Royal Bank of Scotland PLC, FRN,

 

 

 

 

 

10,000

 

0.564%, 10/14/16

 

Baa3/BBB

 

8,309,060

 

£3,911

 

5.049%, 4/6/11

 

NR/NR

 

5,302,191

 

$12,000

 

Wachovia Bank N.A., 0.629%, 3/15/16, FRN

 

Aa3/AA-

 

10,752,660

 

6,750

 

Wells Fargo & Co., 7.98%, 3/15/18 (h)

 

Ba3/A-

 

6,353,437

 

9,900

 

Wells Fargo Capital XIII, 7.70%, 3/26/13 (h)

 

Ba3/A-

 

9,256,500

 

 

 

 

 

 

 

140,019,424

 

Financial Services—23.7%

 

 

 

 

 

8,415

 

AIG SunAmerica Global Financing VI, 6.30%, 5/10/11 (a)(d)

 

A1/A+

 

8,277,213

 

 

 

American General Finance Corp., FRN,

 

 

 

 

 

8,450

 

0.549%, 12/15/11

 

Baa3/BB+

 

6,269,004

 

1,625

 

0.72%, 8/17/11

 

Baa3/BB+

 

1,261,026

 

10,100

 

Bank of America Corp., 8.125%, 5/15/18 (h)

 

B3/B

 

9,095,353

 

3,500

 

Chukchansi Economic Dev. Auth., 4.913%, 11/15/12, FRN (a)(d)

 

B3/B+

 

2,187,500

 

 

 

CIT Group, Inc. (l),

 

 

 

 

 

4,000

 

0.512%, 4/27/11, FRN

 

WR/NR

 

2,553,868

 

275

 

5.60%, 4/27/11

 

WR/NR

 

179,110

 

200

 

Citigroup Capital XXI, 8.30%, 12/21/77, (converts to FRN on 12/21/37)

 

Baa3/B+

 

187,000

 

 

 

Citigroup, Inc.,

 

 

 

 

 

15,000

 

0.579%, 6/9/16, FRN

 

Baa1/A-

 

12,519,510

 

100

 

6.50%, 8/19/13

 

A3/A

 

107,271

 

 

 

Ford Motor Credit Co. LLC,

 

 

 

 

 

8,400

 

3.034%, 1/13/12, FRN

 

Caa1/CCC+

 

7,486,500

 

7,000

 

7.25%, 10/25/11

 

Caa1/CCC+

 

6,868,708

 

3,300

 

7.80%, 6/1/12

 

Caa1/CCC+

 

3,233,106

 

1,400

 

General Electric Capital Corp., 0.474%, 10/6/15, FRN

 

Aa2/AA+

 

1,240,054

 

4,800

 

Genworth Global Funding Trusts, 0.58%, 5/15/12, FRN

 

A2/A

 

4,399,526

 

 

 

GMAC, Inc.,

 

 

 

 

 

3,000

 

2.561%, 12/1/14, FRN

 

Ca/CCC

 

2,223,750

 

5,500

 

6.00%, 12/15/11

 

Ca/CCC

 

5,161,887

 

3,000

 

6.75%, 12/1/14

 

Ca/CCC

 

2,722,662

 

3,575

 

6.875%, 9/15/11

 

Ca/CCC

 

3,431,499

 

3,375

 

6.875%, 8/28/12

 

Ca/CCC

 

3,186,027

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

$11,000

 

ILFC E-Capital Trust II, 6.25%, 12/21/65, (converts to FRN on 12/21/15) (a)(b)(d)

 

Ba2/BBB-

 

$5,280,000

 

 

 

International Lease Finance Corp.,

 

 

 

 

 

1,400

 

4.15%, 1/20/15

 

Baa3/BBB+

 

1,315,125

 

1,350

 

4.75%, 1/13/12

 

Baa3/BBB+

 

1,106,849

 

1,350

 

5.125%, 11/1/10

 

Baa3/BBB+

 

1,267,915

 

1,350

 

5.30%, 5/1/12

 

Baa3/BBB+

 

1,120,266

 

1,350

 

5.35%, 3/1/12

 

Baa3/BBB+

 

1,107,412

 

1,350

 

5.45%, 3/24/11

 

Baa3/BBB+

 

1,202,650

 

4,950

 

5.625%, 9/20/13

 

Baa3/BBB+

 

3,762,916

 

5,950

 

6.625%, 11/15/13

 

Baa3/BBB+

 

4,594,888

 

15,900

 

JPMorgan Chase & Co., 7.90%, 4/30/18 (h)

 

A2/BBB+

 

16,038,934

 

2,500

 

Lehman Brothers Holdings, Inc., 7.50%, 5/11/38 (f)

 

WR/NR

 

250

 

 

 

SLM Corp., FRN,

 

 

 

 

 

10,000

 

0.053%, 9/15/15

 

Ba1/BBB-

 

5,164,400

 

19,350

 

0.512%, 10/25/11

 

Ba1/BBB-

 

16,782,642

 

 

 

 

 

 

 

141,334,821

 

Insurance—8.2%

 

 

 

 

 

 

 

American International Group, Inc.,

 

 

 

 

 

3,400

 

0.392%, 3/20/12, FRN

 

A3/NR

 

2,876,954

 

12,600

 

0.394%, 10/18/11, FRN (k)

 

A3/A-

 

11,069,289

 

€2,800

 

0.883%, 4/26/11, FRN

 

A3/A-

 

3,699,372

 

$3,200

 

4.95%, 3/20/12

 

A3/NR

 

2,981,398

 

13,600

 

5.45%, 5/18/17

 

A3/A-

 

10,320,700

 

1,450

 

8.175%, 5/15/68, (converts to FRN on 5/15/38)

 

Ba2/BBB

 

880,875

 

£2,400

 

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

 

Ba2/BBB

 

2,235,164

 

$15,000

 

Metlife Capital Trust IV, 7.875%, 12/15/67 (converts to FRN on 12/15/37) (a)(d)

 

Baa1/BBB

 

14,737,500

 

 

 

 

 

 

 

48,801,252

 

Paper/Paper Products—0.8%

 

 

 

 

 

7,500

 

Verso Paper Holdings LLC, 4.233%, 8/1/14, FRN

 

B2/B-

 

4,950,000

 

 

 

 

 

 

 

 

 

Telecommunications—0.0%

 

 

 

 

 

8,750

 

Hawaiian Telcom Communications, Inc., 8.486%, 5/1/13, FRN (b)(f)

 

WR/NR

 

153,125

 

 

 

Total Corporate Bonds & Notes (cost—$321,000,170)

 

 

 

335,360,456

 

 

 

 

 

 

 

 

 

MORTGAGE-BACKED SECURITIES—11.7%

 

 

 

 

 

147

 

Banc of America Funding Corp., 6.084%, 1/20/47, CMO, VRN

 

NR/CCC

 

102,745

 

1,450

 

Bear Stearns Commercial Mortgage Securities, 5.70%, 6/11/50, CMO

 

NR/AA-

 

1,342,992

 

8,226

 

Citigroup Commercial Mortgage Trust, 5.700%, 12/10/49, CMO, VRN

 

Aaa/AA

 

7,525,783

 

2,900

 

Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 12/11/49, CMO

 

Aaa/A-

 

2,609,926

 

 

 

Commercial Mortgage Pass Through Certificates, CMO,

 

 

 

 

 

4,000

 

5.306%, 12/10/46

 

Aaa/NR

 

3,644,156

 

11,900

 

5.816%, 12/10/49, VRN

 

Aaa/AAA

 

11,042,187

 

3,239

 

Countrywide Alternative Loan Trust, 5.75%, 12/25/36, CMO

 

NR/CC

 

2,257,833

 

1,900

 

Credit Suisse Mortgage Capital Certificates, 6.216%, 2/15/41, CMO, VRN

 

NR/AA

 

1,626,186

 

4,865

 

GS Mortgage Securities Corp. II, 5.56%, 11/10/39, CMO

 

Aaa/NR

 

4,470,460

 

12,712

 

GSR Mortgage Loan Trust, 4.555%, 11/25/35, CMO, FRN

 

NR/BBB+

 

11,041,518

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

$6,001

 

JPMorgan Alternative Loan Trust, 5.902%, 5/25/36, CMO, VRN

 

NR/CCC

 

$3,800,859

 

3,155

 

JPMorgan Chase Commercial Mortgage Securities Corp., 5.44%, 6/12/47, CMO

 

Aaa/A+

 

2,877,122

 

 

 

Morgan Stanley Capital I, CMO, VRN,

 

 

 

 

 

3,360

 

5.447%, 2/12/44

 

Aaa/A

 

3,014,293

 

2,800

 

5.880%, 6/11/49

 

NR/BBB+

 

2,582,152

 

93

 

Nomura Asset Acceptance Corp., 4.976%, 5/25/35, CMO

 

Baa3/B+

 

60,746

 

1,613

 

Sequoia Mortgage Trust, 0.929%, 5/20/34, CMO, FRN

 

A1/AAA

 

1,252,032

 

6,817

 

Thornburg Mortgage Securities Trust, 0.366%, 7/25/36, CMO, FRN

 

Baa1/A

 

6,496,855

 

5,180

 

Wells Fargo Mortgage Backed Securities Trust, 5.591%, 7/25/36, CMO, FRN

 

NR/CCC

 

3,988,616

 

 

 

Total Mortgage-Backed Securities (cost—$61,400,415)

 

 

 

69,736,461

 

 

 

 

 

 

 

 

 

SENIOR LOANS (a)(c)—9.5%

 

 

 

 

 

Automotive—0.1%

 

 

 

 

 

 

 

Ford Motor Corp., Term B,

 

 

 

 

 

48

 

3.25%, 12/16/13

 

 

 

42,980

 

734

 

3.29%, 12/16/13

 

 

 

656,400

 

 

 

 

 

 

 

699,380

 

Banking—1.2%

 

 

 

 

 

 

 

Aster Co., Ltd. (b),

 

 

 

 

 

2,137

 

2.889%, 9/19/13, Term B

 

 

 

1,855,253

 

1,500

 

2.889%, 9/19/14, Term B

 

 

 

1,302,000

 

2,214

 

2.889%, 9/19/14, Term C

 

 

 

1,921,828

 

€1,800

 

3.270%, 9/19/13, Term B

 

 

 

2,303,916

 

 

 

 

 

 

 

7,382,997

 

Chemicals—0.4%

 

 

 

 

 

€287

 

Brenntag AG, 3.214%, 12/23/13, Term B

 

 

 

410,464

 

€1,451

 

MacDermid, Inc., 2.638%, 4/12/14 (b)

 

 

 

1,734,247

 

 

 

 

 

 

 

2,144,711

 

Consumer Products—0.4%

 

 

 

 

 

$3,000

 

National Mentor, Inc., 2.512%, 6/29/12 (b)

 

 

 

2,701,875

 

 

 

 

 

 

 

 

 

Diversified Manufacturing—1.0%

 

 

 

 

 

9,946

 

Grant Forest Products, 10.25%, 9/16/13 (b)

 

 

 

460,023

 

 

 

KION Group GmbH (b),

 

 

 

 

 

3,000

 

2.493%, 12/20/14, Term B

 

 

 

2,066,250

 

3,000

 

2.743%, 12/20/15, Term C

 

 

 

2,066,250

 

 

 

Linpac Mouldings Ltd. (b),

 

 

 

 

 

1,016

 

2.751%, 4/16/12, Term B

 

 

 

487,537

 

1,277

 

3.251%, 4/16/12, Term C

 

 

 

613,030

 

28

 

3.751%, 4/16/12, Term B

 

 

 

13,309

 

39

 

4.251%, 4/16/12, Term C

 

 

 

18,909

 

 

 

 

 

 

 

5,725,308

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

Value*

 

Electronics—0.2%

 

 

 

 

 

€985

 

Sensata Technologies, Inc., 2.728%, 4/27/13 (b)

 

 

 

$1,220,474

 

 

 

 

 

 

 

 

 

Financial Services—1.1%

 

 

 

 

 

$1,814

 

Chrysler Financial Corp., 4.25%, 8/3/12, Term B

 

 

 

1,742,422

 

 

 

One (b),

 

 

 

 

 

€2,000

 

3.176%, 2/4/16, Term B

 

 

 

2,511,955

 

€2,000

 

3.676%, 2/4/17, Term C

 

 

 

2,526,710

 

 

 

 

 

 

 

6,781,087

 

Food & Beverage—0.2%

 

 

 

 

 

 

 

Dole Foods Co.,

 

 

 

 

 

$108

 

7.495%, 4/12/13

 

 

 

109,003

 

188

 

8.00%, 4/12/13, Term B

 

 

 

190,055

 

674

 

8.00%, 4/12/13, Term C

 

 

 

682,618

 

 

 

 

 

 

 

981,676

 

Healthcare & Hospitals—0.6%

 

 

 

 

 

€3,000

 

ISTA, 5.085%, 6/15/16, Term D (b)

 

 

 

3,320,694

 

 

 

 

 

 

 

 

 

Hotels/Gaming—0.8%

 

 

 

 

 

 

 

MotorCity Casino, Term B (b),

 

 

 

 

 

$591

 

8.50%, 7/21/12

 

 

 

563,753

 

4,548

 

8.50%, 7/21/12 (e)

 

 

 

4,335,610

 

 

 

 

 

 

 

4,899,363

 

Manufacturing—0.4%

 

 

 

 

 

3,614

 

Bombardier, Inc., 3.00%, 6/26/13, Term B (b)

 

 

 

2,538,782

 

 

 

 

 

 

 

 

 

Multi-Media—1.7%

 

 

 

 

 

4,328

 

Local Insight, 7.75%, 4/23/15, Term B (b)

 

 

 

3,397,395

 

 

 

Seven Media Group, Term T (b),

 

 

 

 

 

AUD 1,712

 

5.73%, 12/28/12

 

 

 

1,304,586

 

AUD 7,150

 

6.058%, 12/28/12

 

 

 

5,448,570

 

 

 

 

 

 

 

10,150,551

 

Printing/Publishing—0.7%

 

 

 

 

 

 

 

Tribune Co. (b)(f),

 

 

 

 

 

$4,151

 

5.00%, 6/4/24, Term X

 

 

 

1,933,737

 

4,975

 

5.25%, 6/4/24, Term B

 

 

 

2,247,579

 

 

 

 

 

 

 

4,181,316

 

Recreation—0.0%

 

 

 

 

 

 

 

Cedar Fair L.P.,

 

 

 

 

 

1

 

2.243%, 8/30/12

 

 

 

723

 

3

 

4.243%, 8/30/14

 

 

 

2,639

 

 

 

 

 

 

 

3,362

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Telecommunications—0.7%

 

 

 

 

 

$5,709

 

Hawaiian Telcom Communications, Inc., 4.75%, 6/1/14, Term C (b)(f)

 

 

 

$4,110,358

 

 

 

Total Senior Loans (cost—$79,307,295)

 

 

 

56,841,934

 

 

Shares

 

 

 

 

 

 

 

PREFERRED STOCK—1.9%

 

 

 

 

 

Automotive Products—0.0%

 

 

 

 

 

20,275

 

Dura Automotive Systems, Inc., 20.00% (b)(g)(j)

 

NR/NR

 

10,137

 

 

 

 

 

 

 

 

 

Insurance—1.9%

 

 

 

 

 

21,655

 

ABN AMRO North America Capital Funding Trust I,

 

 

 

 

 

 

 

6.968%, (converts to FRN on 9/15/10) (a)(d)

 

B3/B

 

11,423,013

 

 

 

Total Preferred Stock (cost—$11,257,513)

 

 

 

11,433,150

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES—1.8%

 

 

 

 

 

$4,238

 

Asset Backed Funding Certificates, 0.464%, 5/25/37, FRN (a)(d)

 

Ba1/B-

 

3,295,129

 

410

 

CIT Group Home Equity Loan Trust, 0.514%, 6/25/33, FRN

 

Aaa/AAA

 

293,240

 

3,852

 

Lake Country Mortgage Loan Trust, 0.704%, 12/25/32, FRN (a)(d)

 

Aaa/AAA

 

3,396,398

 

6,235

 

Popular ABS Mortgage Pass-Through Trust, 0.524%, 7/25/35, FRN

 

Aaa/AAA

 

3,839,459

 

 

 

Total Asset-Backed Securities (cost—$10,908,112)

 

 

 

10,824,226

 

 

Shares

 

 

 

 

 

 

 

COMMON STOCK—0.8%

 

 

 

 

 

Automotive Products—0.8%

 

 

 

 

 

664

 

Delphi Automotive LLP (j)

 

 

 

4,878,107

 

81,383

 

Dura Automotive Systems, Inc. (g)(j)

 

 

 

81,383

 

 

 

Total Common Stock (cost—$6,195,542)

 

 

 

4,959,490

 

 

 

 

 

 

 

 

 

CONVERTIBLE PREFERRED STOCK—0.5%

 

 

 

 

 

Banking—0.5%

 

 

 

 

 

3,000

 

Wells Fargo & Co., 7.50%, 12/31/49, Ser. L (cost—$2,077,650)

 

Ba3/A-

 

2,700,000

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

 

 

 

 

U.S. GOVERNMENT AGENCY SECURITIES (i)—0.1%

 

 

 

 

 

$274

 

Freddie Mac, 0.141%, 2/1/11, FRN (cost—$273,867)

 

Aaa/AAA

 

273,828

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—17.6%

 

 

 

 

 

Corporate Notes—14.0%

 

 

 

 

 

Financial Services—10.5%

 

 

 

 

 

14,200

 

American General Finance Corp., 0.398%, 3/2/10, FRN

 

Baa3/NR

 

13,545,068

 

 

 

International Lease Finance Corp.,

 

 

 

 

 

3,000

 

0.627%, 5/24/10, FRN

 

Baa3/BBB+

 

2,850,549

 

9,900

 

0.684%, 1/15/10, FRN

 

Baa3/BBB+

 

9,727,700

 

2,785

 

4.875%, 9/1/10

 

Baa3/BBB+

 

2,664,223

 

5,550

 

5.00%, 4/15/10

 

Baa3/BBB+

 

5,476,096

 

17,560

 

5.625%, 9/15/10 (k)

 

Baa3/AA

 

16,622,542

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Financial Services (continued)

 

 

 

 

 

$500

 

Residential Capital LLC, 8.50%, 5/15/10

 

C/CC

 

$442,500

 

1,400

 

SLM Corp., 0.33%, 3/15/10, FRN

 

Ba1/BBB-

 

1,369,939

 

 

 

Universal City Florida Holding Co.,

 

 

 

 

 

9,000

 

5.233%, 5/1/10, FRN

 

Caa2/CCC+

 

9,045,000

 

1,000

 

8.375%, 5/1/10

 

Caa2/CCC+

 

1,005,000

 

 

 

 

 

 

 

62,748,617

 

Insurance—3.5%

 

 

 

 

 

5,000

 

AIG Life Holdings U.S., Inc., 7.50%, 8/11/10

 

A3/A-

 

5,038,115

 

 

 

American International Group, Inc.,

 

 

 

 

 

10,000

 

0.353%, 9/27/10, FRN

 

A3/A-

 

9,091,450

 

2,500

 

4.70%, 10/1/10

 

A3/A-

 

2,446,683

 

 

 

Residential Reinsurance Ltd., FRN (a)(b)(d),

 

 

 

 

 

3,000

 

7.611%, 6/7/10

 

NR/BB

 

3,043,950

 

1,200

 

8.111%, 6/7/10

 

NR/BB-

 

1,221,420

 

 

 

 

 

 

 

20,841,618

 

 

 

Total Corporate Notes (cost—$79,386,598)

 

 

 

83,590,235

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills (i)—1.0%

 

 

 

 

 

6,172

 

0.05%-0.31%, 11/5/09-12/10/09 (cost—$6,171,839)

 

 

 

6,171,839

 

 

 

 

 

 

 

 

 

Repurchase Agreements—2.6%

 

 

 

 

 

2,000

 

Barclays Capital, Inc., dated 10/30/09, 0.06%, due 11/2/09, proceeds $2,000,010; collateralized by U.S. Treasury Inflation Index Notes, 1.25%, due 04/15/14, valued at $2,068,469 including accrued interest

 

 

 

2,000,000

 

11,600

 

Deutsche Bank, dated 10/30/09, 0.07%, due 11/2/09, proceeds $11,600,068; collateralized by Freddie Mac Discount Notes, zero coupon, due 03/08/10, valued at $11,832,857

 

 

 

11,600,000

 

1,897

 

State Street Bank & Trust Co., dated 10/30/09, 0.01%, due 11/2/09, proceeds $1,897,002; collateralized by U.S. Treasury Bills, zero coupon, due 11/27/09, valued at $1,935,000

 

 

 

1,897,000

 

 

 

Total Repurchase Agreements (cost—$15,497,000)

 

 

 

15,497,000

 

 

 

Total Short-Term Investments (cost—$101,055,437)

 

 

 

105,259,074

 

 

 

 

 

 

 

 

 

 

 

Total Investments (cost—$593,476,001)—100.0%

 

 

 

$597,388,619

 

 



 


Notes to Schedule of Investments:

 

*

 

Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services.

 

 

 

 

 

Portfolio securities and other financial instruments for which market quotations are not readily available or for which a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Trustees, or persons acting at their discretion pursuant to procedures established by the Board of Trustees. 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 for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. 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. Exchange-traded futures and options on futures are valued at the settlement 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 value. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. Investments initially valued in currencies other than U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the net asset value (“NAV”) of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed and the NAV may change on days when an investor is not able to purchase or sell shares.

 

 

 

 

 

The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold and these differences could be material. The Fund’s NAV is normally determined, as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business.

 

 

 

(a)

 

Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $136,922,029, representing 22.9% of total investments.

 

 

 

(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, 2009.

 

 

 

(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, 2009.

 

 

 

(f)

 

In default.

 

 

 

(g)

 

Fair-Valued—Securities with an aggregate value of $91,520, representing less than 0.1% of total investments.

 

 

 

(h)

 

Perpetual maturity. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable thereafter.

 

 

 

(i)

 

All or partial amount segregated as collateral for futures contracts, forward foreign currency contracts and swaps.

 

 

 

(j)

 

Non-income producing.

 

 

 

(k)

 

All or partial amount segregated as collateral for reverse repurchase agreements.

 

 

 

(l)

 

Issuer filed for bankruptcy on November 1, 2009.

 

Glossary:

AUD—Australian Dollar

£—British Pound

CMO—Collateralized Mortgage Obligation

€—Euro

FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on October 31, 2009.

LIBOR—London Inter-Bank Offered Rate

NR—Not Rated

VRN—Variable Rate Note. Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on October 31, 2009.

WR—Withdrawn Rating

 



 

Other Investments:

 

(A)  Futures contracts outstanding at October 31, 2009:

 

 

 

 

 

 

 

Market

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Value

 

Expiration

 

Unrealized

 

 

 

 

 

 

Type

 

 

 

Contracts

 

(000)

 

Date

 

Appreciation

 

 

 

 

 

 

Long: Financial Futures Euro—90 day

 

 

 

1,800

 

$446,423

 

6/14/10

 

$315,000

 

 

 

 

 

 

 

(B) Credit default swap agreements:

Buy protection swap agreements outstanding at October 31, 2009 (1):

 

 

 

Notional Amount

 

 

 

 

 

 

 

 

 

Upfront

 

Unrealized

 

Swap Counterparty/

 

Payable on Default

 

Credit

 

Termination

 

Payments

 

Market

 

Premiums

 

Appreciation

 

Referenced Debt Issuer

 

(000) (4)

 

Spread (3)

 

Date

 

Made by Fund

 

Value (5)

 

Paid

 

(Depreciation)

 

Bank of America:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX HY-12 5 Year Index

 

$7,708

 

6.63

%

6/20/14

 

(5.00

)%

$412,552

 

$357,201

 

$55,351

 

Dow Jones CDX HY-13 5 Year Index

 

1,100

 

7.03

%

12/20/14

 

(5.00

)%

80,042

 

81,125

 

(1,083

)

Barclays Bank:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX HY-12 5 Year Index

 

20,210

 

6.63

%

6/20/14

 

(5.00

)%

1,081,690

 

867,267

 

214,423

 

Dow Jones CDX HY-13 5 Year Index

 

3,600

 

7.03

%

12/20/14

 

(5.00

)%

261,955

 

264,062

 

(2,107

)

JPMorgan Chase:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX HY-12 5 Year Index

 

7,990

 

6.63

%

6/20/14

 

(5.00

)%

427,645

 

363,545

 

64,100

 

Morgan Stanley:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX HY-13 5 Year Index

 

1,200

 

7.03

%

12/20/14

 

(5.00

)%

87,318

 

88,500

 

(1,182

)

Royal Bank of Scotland:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX HY-13 5 Year Index

 

3,500

 

7.03

%

12/20/14

 

(5.00

)%

254,678

 

262,437

 

(7,759

)

 

 

 

 

 

 

 

 

 

 

$2,605,880

 

$2,284,137

 

$321,743

 

 

Sell protection swap agreements outstanding at October 31, 2009 (2):

 

 

 

Notional Amount

 

 

 

 

 

 

 

 

 

Upfront

 

Unrealized

 

Swap Counterparty/

 

Payable on Default

 

Credit

 

Termination

 

Payments

 

Market

 

Premiums

 

Appreciation

 

Referenced Debt Issuer

 

(000) (4)

 

Spread (3)

 

Date

 

Received by Fund

 

Value (5)

 

Paid(Received)

 

(Depreciation)

 

Barclays Bank:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIT Group †

 

$3,300

 

66.68

%

12/20/13

 

5.00

%

$(1,122,759

)

$(841,500

)

$(281,259

)

Citigroup:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Chrysler Financial

 

1,000

 

5.50

%

6/20/13

 

5.00

%

(9,927

)

(120,000

)

110,073

 

SLM

 

6,550

 

7.99

%

12/20/13

 

5.00

%

(573,611

)

(807,000

)

233,389

 

Credit Suisse First Boston:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Samis

 

1,400

 

0.23

%

12/20/09

 

2.15

%

3,649

 

17,500

 

(13,851

)

Deutsche Bank:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIT Group †

 

2,550

 

66.68

%

12/20/13

 

5.00

%

(867,586

)

(675,750

)

(191,836

)

Ford Motor

 

1,000

 

7.71

%

6/20/12

 

2.17

%

(102,408

)

 

(102,408

)

SLM

 

5,400

 

7.99

%

12/20/13

 

5.00

%

(472,901

)

(756,000

)

283,099

 

Merrill Lynch & Co.:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SLM

 

3,350

 

7.99

%

12/20/13

 

5.00

%

(293,374

)

(469,000

)

175,626

 

Morgan Stanley:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SLM

 

3,400

 

7.96

%

3/20/14

 

5.00

%

(307,683

)

(374,000

)

66,317

 

 

 

 

 

 

 

 

 

 

 

$(3,746,600

)

$(4,025,750

)

$279,150

 

 


(1) If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities compromising the referenced index or (ii) receive 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 compromising the referenced index.

 

(2) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities compromising 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 compromising the referenced index.

 

(3) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

(4) The maximum potential amount the Fund could be required to make 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.

 

(5) The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at October 31, 2009 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

Issuer filed for bankruptcy on November 1, 2009.

 



 

(C)  Forward foreign currency contracts outstanding at October 31, 2009:

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

 

 

 

 

 

 

 

 

U.S.$ Value on

 

U.S.$ Value

 

Appreciation

 

 

 

 

 

 

 

 

 

Counterparty

 

Origination Date

 

October 31, 2009

 

(Depreciation)

 

 

 

 

 

 

 

Purchased:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

300,000 Australian Dollar settling 11/5/09

 

JPMorgan Chase & Co.

 

$266,345

 

$271,030

 

$4,685

 

 

 

 

 

 

 

Sold:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

5,634,000 Australian Dollar settling 11/5/09

 

Royal Bank of Scotland PLC

 

4,896,904

 

5,089,932

 

(193,028

)

 

 

 

 

 

 

13,536,000 British Pound settling 11/24/09

 

JPMorgan Chase & Co.

 

22,111,462

 

22,309,233

 

(197,771

)

 

 

 

 

 

 

9,263,000 Euro settling 12/8/09

 

Morgan Stanley

 

13,533,243

 

13,665,791

 

(132,548

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$(518,662

)

 

 

 

 

 

 

 

(D)  Open reverse repurchase agreements at October 31, 2009:

 

Counterparty

 

 

 

Rate

 

Trade Date

 

Maturity Date

 

Principal & Interest

 

Principal

 

 

 

 

Barclays Bank

 

 

 

0.65

%

10/7/09

 

11/9/09

 

$5,722,685

 

$5,720,000

 

 

 

 

 

 

 

 

0.65

%

10/19/09

 

11/23/09

 

2,252,569

 

2,252,000

 

 

 

 

 

 

 

 

0.65

%

10/20/09

 

11/24/09

 

3,715,872

 

3,715,000

 

 

 

 

 

 

 

 

0.65

%

10/21/09

 

11/23/09

 

1,122,243

 

1,122,000

 

 

 

 

BNP Paribas

 

 

 

0.60

%

10/2/09

 

11/2/09

 

10,018,174

 

10,013,000

 

 

 

 

Credit Suisse First Boston

 

 

 

0.65

%

10/8/09

 

11/9/09

 

14,275,441

 

14,269,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$37,091,000

 

 

 

 

 

The weighted average daily balance of reverse repurchase agreements outstanding during the three months ended October 31, 2009 was $23,793,329 at a weighted average interest rate of 0.64%.  The total market value of underlying collateral (refer to the Schedule of Investments for positions segregated as collateral for reverse repurchase agreements) for open reverse repurchase agreements at October 31, 2009 was $41,212,558.

 

(E) At October 31, 2009, the Fund had the following unfunded loan commitments which could be extended at the option of the borrower:

 

 

 

Principal

 

Borrower

 

Amount

 

Eastman Kodak

 

$2,500,000

 

DPH Holdings Corp.

 

1,248,121

 

 

 

$3,748,121

 

 



 

Fair Value Measurements—Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:

 

·                       Level 1 — quoted prices in active markets for identical investments that the Fund has the ability to access

·                       Level 2 — valuations based on other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) or quotes from inactive exchanges

·                       Level 3 — valuations based on significant unobservable inputs (including the Fund’s own assumptions in  determining the fair value of investments)

 

An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in the aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used.

 

The valuation techniques used by the Fund to measure fair value during the three months ended October 31, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs. When fair-valuing securities, the Fund utilized the multi-dimensional relational pricing model techniques.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

A summary of the inputs used at October 31, 2009 in valuing the Fund’s assets and liabilities is listed below:

 

 

 

 

 

Level 2 -

 

Level 3 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Significant

 

Significant

 

 

 

 

 

 

 

 

 

 

 

 

Level 1 -

 

Observable

 

Unobservable

 

Value at

 

 

 

 

 

 

 

 

 

 

Quoted Prices

 

Inputs

 

Inputs

 

10/31/09

 

 

 

 

 

 

 

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds & Notes

 

 

$335,360,456

 

 

$335,360,456

 

 

 

 

 

 

 

 

Mortgaged-Backed Securities

 

 

69,736,461

 

 

69,736,461

 

 

 

 

 

 

 

 

Senior Loans

 

 

56,841,934

 

 

56,841,934

 

 

 

 

 

 

 

 

Preferred Stock:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Automotive Products

 

 

 

$10,137

 

10,137

 

 

 

 

 

 

 

 

Insurance

 

$11,423,013

 

 

 

11,423,013

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

10,824,226

 

 

10,824,226

 

 

 

 

 

 

 

 

Common Stock

 

 

4,878,107

 

81,383

 

4,959,490

 

 

 

 

 

 

 

 

Convertible Preferred Stock

 

 

2,700,000

 

 

2,700,000

 

 

 

 

 

 

 

 

U.S. Government Agency Securities

 

 

273,828

 

 

273,828

 

 

 

 

 

 

 

 

Short-Term Investments

 

 

105,259,074

 

 

105,259,074

 

 

 

 

 

 

 

 

Total Investments in Securities - Assets

 

$11,423,013

 

$585,874,086

 

$91,520

 

$597,388,619

 

 

 

 

 

 

 

 

Other Financial Instruments*

 

$315,000

 

$(13,991

)

$96,222

 

$397,231

 

 

 

 

 

 

 

 

Total Investments in Securities

 

$11,738,013

 

$585,860,095

 

$187,742

 

$597,785,850

 

 

 

 

 

 

 

 

 

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the three months ended October 31, 2009, was as follows:

 

 

 

 

 

 

 

 

 

 

 

Total Change

 

 

 

 

 

 

 

Beginning

 

Net

 

 

 

 

 

in Unrealized

 

Transfers in

 

 

 

 

 

Balance

 

Purchases(Sales)

 

Accrued

 

Total Realized

 

Appreciation/

 

and/or out

 

Ending Balance

 

 

 

7/31/09

 

and Settlements

 

Discounts

 

Gain(Loss)

 

Depreciation

 

of Level 3

 

10/31/09

 

Investments in Securities - Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Notes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance

 

$10,841,297

 

 

$543,774

 

 

$1,971,749

 

$(13,356,820

)

 

Preferred Stock:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Automotive Products

 

10,137

 

 

 

 

 

 

$10,137

 

Common Stock

 

81,383

 

 

 

 

 

 

81,383

 

Total Investments in Securities - Assets

 

$10,932,817

 

 

$543,774

 

 

$1,971,749

 

$(13,356,820

)

$91,520

 

Other Financial Instruments*

 

$48,716

 

 

 

 

$47,506

 

 

$96,222

 

Total Investments in Securities

 

$10,981,533

 

 

$543,774

 

 

$2,019,255

 

$(13,356,820

)

$187,742

 

 


*Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments, such as futures contracts, swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.

 

The net change in unrealized appreciation/depreciation of other financial instruments, which the Fund held at October 31, 2009 was $47,506.

 



 

Item 2. Controls and Procedures

 

(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

 

(b) There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits

 

(a) Exhibit 99.302 Cert. — Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

 



 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant: PIMCO Floating Rate Strategy Fund

 

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

 

 

Date: December 18, 2009

 

 

 

By 

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date: December 18, 2009

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

 

 

Date: December 18, 2009

 

 

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date: December 18, 2009