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