FORM N-CSR
Investment Company Act file number 811-21601
Registrant's telephone number, including area code: 212-739-3371
Date of fiscal year end: August 31, 2005
Date of reporting period: February 28, 2005
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e -1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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. § 3507.
ITEM 1. Report to Shareholder
PIMCO Floating Rate
Strategy Fund
Semi-Annual Report
February 28, 2005
PFN |
Contents | ||
Letter to Shareholders | 1 | ||
Performance Summary & Statistics | 2 | ||
Schedule of Investments | 3-11 | ||
Statement of Assets and Liabilities | 12 | ||
Statement of Operations | 13 | ||
Statement of Changes in Net Assets | 14 | ||
Statement of Cash Flows | 15 | ||
Notes to Financial Statements | 16-24 | ||
Financial Highlights | 25 |
PIMCO Floating Rate Strategy Fund Letter to Shareholders
April 16, 2005
Dear Shareholder:
We are pleased to provide you with the initial financial report of the PIMCO Floating Rate Strategy Fund (the Fund) for the period October 29, 2004 (commencement of operation) through February 28, 2005.
Please refer to the following page for specific Fund information. If you have any questions regarding the information provided, we encourage you to contact your financial advisor or call the Funds Transfer Agent at 1-800-331-1710. Furthermore, note that a wide range of information and resources can be accessed through our Web site, www.allianzinvestors.com.
Together with Allianz Global Investors Fund Management LLC (formerly, PA Fund Management LLC), the Funds investment manager and Pacific Investment Management Company LLC, the Funds sub-adviser, we thank you for investing with us. We remain dedicated to serving your investment needs.
Sincerely,
Robert E. Connor | Brian S. Shlissel | |
Chairman | President & Chief Executive Officer |
| 2.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 1 |
Symbol: | Primary Investments: | Inception Date: | ||
PFN | Floating rate debt instruments, | October 29, 2004 | ||
substantial portion of which | ||||
Objective: | will be senior floating rate | Total Net Assets(1): | ||
Seeks high current income, | loans. |
$1.273
billion |
||
consistent with the | ||||
preservation of capital. | Portfolio Managers: | |||
Raymond G. Kennedy | ||||
Jason R. Rosiak |
Net Asset | ||
Value | ||
Total Return(2) : | Market Price | (NAV) |
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Commencement of Operations (10/29/04) to 2/28/05 | (0.85)% | 1.70% |
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Market Price/Net Asset Value: | |
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Market Price | $19.54 |
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Net Asset Value | $19.14 |
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Premium to NAV | 2.09% |
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Market Price Yield(3) | 5.91% |
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Moody's Ratings as a % of Total Investments
(1) Inclusive of net assets attributable to Preferred Shares outstanding.
(2) Past performance is no guarantee of future results. Total return is calculated by subtracting the value of an investment in the Fund at the beginning of each specified period from the value at the end of the period and dividing the remainder by the value of the investment at the beginning of the period and expressing the result as a percentage. The calculation assumes that all income distributions have been reinvested at prices obtained under the Funds dividend reinvestment plan. Total return does not reflect broker commissions or sales charges. Total return for a period of less than one year is not annualized.
An investment in the Fund involves risk, including the loss of principal. Total return, price, yield and net asset value will fluctuate with changes in market conditions. This data is provided for information only and is not intended for trading purposes. Closed-end funds, unlike open-end funds, are not continuously offered. There is a one-time public offering and once issued, shares of closed-end funds are sold in the open market through a stock exchange. Net asset value is total assets applicable to common shareholders less total liabilities divided by the number of common shares outstanding. Holdings are subject to change daily.
(3) Market Price Yield is determined by dividing the annualized current monthly per share dividend to common shareholders by the market price per common share at February 28, 2005.
2 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 2.28.05 | |
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SENIOR LOANS (a) (b) (c)52.5% | |||||
Advertising0.7% | |||||
$
|
9,500 | Advertising Direct Soutions, 4.72%, 11/9/11, Term B | $ |
9,638,538 | |
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Aerospace0.5% | |||||
6,830 | K & F Industries, Inc., 5.12%-7.75%, 11/18/12, Term B | 6,953,872 | |||
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Apparel & Textiles0.3% | |||||
3,000 | Simmons & Co., 4.75%-7.00%, 12/19/11, Term C | 3,056,250 | |||
1,000 | Simmons & Co., 7.00%, 6/19/12 | 1,022,083 | |||
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4,078,333 | |||||
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Automotive Products3.8% | |||||
3,244 | Cooper Standard Automotive, Inc., 4.75%, 12/23/11, Term B | 3,293,596 | |||
5,218 | Cooper Standard Automotive, Inc., 4.75%, 12/23/11, Term C | 5,298,394 | |||
9,020 | Federal Mogul Corp., 12/8/11, Term B (d) | 9,109,804 | |||
980 | Federal Mogul Corp., 12/8/11, Term C (d) | 995,098 | |||
2,000 | Goodyear Tire & Rubber Co., 3/31/06 (d) | 2,000,000 | |||
3,000 | Goodyear Tire & Rubber Co., 9/30/07, Term B (d) | 3,025,314 | |||
1,947 | Plastech Engineered Products, Inc., 5.31%, 2/12/10, Term B | 1,947,183 | |||
8,510 | Polypore International Inc., 4.92%, 11/12/11, Term B | 8,616,066 | |||
6,000 | TRW Automotive, Inc., 3.88%, 10/31/10, Term E | 6,041,250 | |||
8,500 | TRW Automotive, Inc., 4.38%, 12/17/11, Term B | 8,551,357 | |||
2,746 | Volkswagon International, Inc., 5.17%, 4/7/11, Term B | 2,797,831 | |||
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51,675,893 | |||||
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Building/Construction0.4% | |||||
5,473 | Nortek, 4.62%7.75%, 8/24/11 | 5,571,478 | |||
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Chemicals3.7% | |||||
4,500 | Brenntag AG., 5.88%, 2/27/12, Term B2 | 4,582,499 | |||
7,878 | Celanese AG, 2.56%-2.63%, 4/11/11-7/11/11,Term B | 8,045,081 | |||
1,388 | Hercules, Inc., 3.97%-4.31%, 10/8/10, Term B | 1,406,441 | |||
6,460 | Huntsman International LLC, 5.13%, 12/30/10, Term B | 6,583,968 | |||
3,992 | Innophos Inc., 5.22%, 8/15/11, Term B | 4,061,767 | |||
3,549 | Kraton Polymers Group, 4.63%-5.75%, 12/2/09, Term | 3,610,264 | |||
7,985 | Lyondell Citgo, 3.59%-3.67%, 5/21/07-5/30/07, Term B | 8,074,793 | |||
2,000 | Mosaic Co., 2/18/12, Term B (d) | 2,024,166 | |||
8,800 | Nalco Co., 4.53%-4.92%, 11/1/10, Term B | 8,974,777 | |||
3,000 | PQ Corp., 2/11/12, Term B (d) | 3,054,375 | |||
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50,418,131 | |||||
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Computer Software0.4% | |||||
997 | UGS Solutions, Inc., 6.75%, 5/26/11, Term B | 1,015,573 | |||
4,250 | UGS Solutions, Inc., 5/26/11, Term C (d) | 4,327,031 | |||
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5,342,604 | |||||
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Consumer Products1.8% | |||||
10,500 | Jarden Corp., 6.25%, 1/21/12, Term B | 10,672,809 | |||
6,500 | Rayovac Corp., 4.84%-5.02%, 2/6/12-2/7/12, Term B | 6,631,014 | |||
6,050 | Revlon, Inc., 8.52%-8.84%, 7/9/10-7/31/10, Term | 6,324,773 | |||
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23,628,596 | |||||
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| 2.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 3 |
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Containers2.3% | |||||
$ | 8,500 | Graham Packaging Co., 5.00%-5.13%, 9/15/11-10/7/11, Term B |
$
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8,665,750 | |
3,978 | Horizon Lines Holding LLC, 5.39%, 7/7/11, Term 29Z | 4,027,225 | |||
2,494 | Intertape Polymer Group, Inc., 4.81%-4.96%, 7/28/11, Term B | 2,543,625 | |||
1,492 | Solo Cup Co., 5.05%-5.19%, 2/27/11, Term B | 1,522,779 | |||
1,528 | Stone Container Corp., 2.21%, 11/1/10 | 1,554,129 | |||
9,073 | Stone Container Corp., 4.44%-4.69%, 11/1/10-11/1/11, Term B | 9,228,269 | |||
3,758 | Stone Container Corp., 4.44%-4.625%, 11/1/10-11/1/11, Term C | 3,808,923 | |||
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31,350,700 | |||||
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Diversified Manufacturing0.4% | |||||
5,000 | Invensys plc, 7.34%, 12/30/09 | 5,146,875 | |||
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Drugs & Medical Products0.8% | |||||
265 | Warner Chilcott plc, 6/30/06-1/4/12, Term (d) | 267,833 | |||
1,149 | Warner Chilcott plc, 5.34%, 1/18/12 | 1,161,461 | |||
6,173 | Warner Chilcott plc, 5.34%, 1/18/12, Term B | 6,239,311 | |||
2,487 | Warner Chilcott plc, 5.34%, 1/18/12, Term C | 2,514,138 | |||
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10,182,743 | |||||
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Electronics0.5% | |||||
6,800 | Amphenol Corp., 3.94%-4.27%, 5/6/10, Term B1 | 6,899,878 | |||
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Energy2.1% | |||||
5,734 | Foundation Coal Holdings, Inc., 4.56%-4.78%, 7/30/11, Term B | 5,833,671 | |||
12,177 | Headwaters, Inc., 5.92%-7.75%, 4/30/11, Term B | 12,354,854 | |||
3,063 | NRG Energy, Inc., 12/24/11 (d) | 3,107,672 | |||
6,438 | NRG Energy, Inc., 12/24/11, Term B (d) | 6,532,453 | |||
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27,828,650 | |||||
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Entertainment0.2% | |||||
2,789 | Warner Music Group, Inc., 4.97%-5.37%, 2/27/11, Term B | 2,837,442 | |||
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Finance1.4% | |||||
9,792 | Affinia Group, 5.44%, 11/30/11, Term B | 9,956,281 | |||
8,675 | Refco Group Ltd., 5.37%, 8/05/11, Term B | 8,797,785 | |||
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18,754,066 | |||||
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Food & Beverage0.4% | |||||
2,643 | Commonwealth Brands Inc., 5.94%, 8/28/07, Term B | 2,685,590 | |||
3,000 | Del Monte Corp., 0.00%, 2/8/12, Term B (d) | 3,039,750 | |||
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5,725,340 | |||||
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Funeral Service0.6% | |||||
8,418 | Alderwoods Group, Inc., 3.73%-5.08%, 9/17/08-9/17/09, Term B | 8,570,078 | |||
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Health & Hospitals2.6% | |||||
776 | Advanced Medical Optics Inc., 4.59%, 6/30/09 | 784,943 | |||
7,983 | Ardent Health, Inc., 4.80%, 8/15/11, Term B | 8,094,758 | |||
7,992 | Community Health Systems Inc., 4.64%, 8/19/11, Term B | 8,093,030 | |||
3,962 | Davita, Inc. 3.87%-4.85%, 6/23/09, Term B1 | 3,977,073 | |||
8,100 | PacifiCare Health Inc., 4.06%-4.25%, 12/17/08 | 8,172,139 | |||
2,673 | Triad Hospitals Inc., 4.67%, 3/31/07, Term A | 2,688,575 | |||
3,461 | Triad Hospitals Inc., 4.92%, 9/30/08, Term B | 3,523,487 | |||
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35,334,005 | |||||
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4 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 2.28.05 | |
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Hotels/Gaming1.9% | |||||
$ | 4,573 | Aladdin Gaming, 8/31/10, Term A (d) |
$
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4,550,437 | |
94 | Aladdin Gaming, 8/31/10, Term B (d) | 93,624 | |||
2,500 | Ameristar Casinos Inc., 4.38%, 12/20/06, Term B1 | 2,541,668 | |||
9,318 | Choctaw Resort Development Enterprise Inc., 4.39%-4.89%, 11/4/11, Term B | 9,469,683 | |||
464 | Penn National Gaming, 4.00%, 9/1/07, Term D | 466,320 | |||
829 | Venetian Casino, 2/22/12, Term B (d) | 843,154 | |||
2,761 | Warmu, 5.13%, 2/27/11 | 2,808,925 | |||
5,000 | Wynn Resorts Ltd., 4.75%-4.81%, 12/14/11, Term B | 5,086,720 | |||
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25,860,531 | |||||
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Machinery0.4% | |||||
5,662 | Agco Corp., 4.47%-4.55%, 1/31/06, Term B | 5,766,588 | |||
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Manufacturing0.6% | |||||
3,000 | Hexcel, 3/1/12 (d) | 3,046,875 | |||
1,811 | Reddy Ice Group, Inc., 5.17%, 8/15/09 | 1,823,995 | |||
2,634 | SPX Corp., 4.69%, 9/30/09, Term B1 | 2,650,827 | |||
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7,521,697 | |||||
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Measuring Instruments0.5% | |||||
6,082 | Dresser, Inc., 4.56%, 10/29/09, Term B | 6,195,727 | |||
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Metals & Mining0.8% | |||||
6,822 | Novelis, Inc., 4.50%, 12/30/11, Term B | 6,936,386 | |||
3,928 | Novelis, Inc., 4.50%, 12/30/11, Term B2 | 3,993,677 | |||
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10,930,063 | |||||
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Multi-Media3.6% | |||||
1,250 | Atlantic Broadcast Inc., 5.69%, 7/30/11, Term B | 1,276,562 | |||
15,510 | Charter Communication, Inc. 5.89%-5.98%, 4/27/11, Term B | 15,589,213 | |||
2,826 | DirecTV Holdings LLC, 4.59%, 3/6/10, Term B2 | 2,871,252 | |||
7,926 | Insight Midwest Holdings LLC., 5.44%, 12/31/09, Term B | 8,073,555 | |||
8,000 | Olympus Cable Holdings LLC., 9/30/10, Term B (d) | 7,967,504 | |||
4,773 | Primedia, Inc., 5.38%, 6/30/09,Term B | 4,778,626 | |||
2,488 | Primedia, Inc., 6.88%, 12/31/09, Term C | 2,540,359 | |||
4,600 | Thompson Media, 4.69%, 11/8/11, Term B | 4,663,250 | |||
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47,760,321 | |||||
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Office Equipment0.3% | |||||
4,000 | Xerox Corp., 4.42%, 9/30/08, Term B | 4,046,876 | |||
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Oil & Gas3.2% | |||||
9,500 | El Paso Corp., 4.96%, 11/22/09, Term | 9,664,027 | |||
21,762 | El Paso Corp., 5.44%, 11/22/09, Term B, | 22,170,546 | |||
5,365 | Kinetics Concepts, Inc., 4.31%, 7/14/10, Term B | 5,419,126 | |||
1,000 | Premcor Refining Group, Inc., 4.44%,4/26/09, Term C | 1,014,375 | |||
4,992 | Universal Compression, Inc., 4.34%, 12/8/11, Term B | 5,070,440 | |||
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43,338,514 | |||||
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Paper Products0.8% | |||||
2,000 | Appleton Papers Inc., 4.33%-4.79%, 6/9/10-6/11/10 | 2,023,750 | |||
8,508 | Boise Cascade LLC, 4.94%, 10/29/11, Term B | 8,674,249 | |||
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10,697,999 | |||||
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| 2.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 5 |
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Printing/Publishing1.9% | |||||
$ | 1,966 | Dex Media East LLC, 4.18%-4.38%, 5/8/09-9/9/10, Term A |
$
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1,993,702
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2,243 | Dex Media East LLC, 4.18%, 5/8/09, Term B1 |
2,276,208
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6,186 | Dex Media West LLC, 4.38%, 9/9/10, Term B |
6,278,851
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1,628 | Readers Digest Association, Inc., 4.55%, 5/20/08, Term B |
1,650,846
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12,383 | RH Donnelley Corp., 4.24%-4.69%, 6/30/11, Term D |
12,585,640
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24,785,247
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Real Estate1.2% | |||||
9,957 | General Growth Properties Inc., 4.84%, 11/12/07, Term A |
10,057,460
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6,000 | General Growth Properties Inc., 4.84%, 11/12/08, Term B |
6,100,566
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16,158,026
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Recreation1.2% | |||||
8,982 | Loews Cineplex Inc., 4.81%,-5.00%, 7/8/11-7/22/11 |
9,138,292
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3,995 | Six Flags Theme Parks, Inc., 5.09%, 6/30/09, Term B |
4,066,897
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3,000 | Worldspan LP., 7.25%, 2/16/10, Term B |
3,018,750
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16,223,939
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Retail1.3% | |||||
8,455 | Dominos Inc., 4.31%, 6/25/10, Term B |
8,593,968
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8,970 | Jean Coutu Group, Inc., 5.00%, 7/30/11 |
9,140,248
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17,734,216
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Semi-conductors0.4% | |||||
5,000 | On Semiconductor Corp., 5.56%, 12/3/11, Term G |
5,071,875
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Telecommunications7.4% | |||||
2,500 | Alliance Atlantis Communications Inc., 4.40%, 10/19/11, Term B |
2,540,625
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3,000 | American Towers LP., 4.23%, 8/31/11, Term B |
3,043,827
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5,000 | American Towers LP., 4.52%, 8/28/11, Term A |
5,038,750
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3,383 | Centennial Cellular Communications Corp., 2/9/11, Term B (d) |
3,441,737
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5,547 | Centennial Cellular Communications Corp, 4.42%-5.14%, 1/20/11, Term B |
5,644,448
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2,000 | Consolidated Communication Inc., 10/14/11, Term D (d) |
2,025,000
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2,420 | Inmarsat Ventures plc., 5.50%, 10/10/10, Term B |
2,432,517
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2,425 | Inmarsat Ventures plc., 6.00%, 10/10/11, Term C |
2,446,820
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4,750 | Intelsat Bermuda Ltd., 4.44%, 7/06/11, Term B |
4,827,929
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1,960 | Mediacomm Communications Corp., 4.06%-4.33%, 3/31/10, Term A |
1,941,925
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8,460 | Mediacomm Communications Corp., 4.94%-5.34%, 9/34/10, Term B |
8,589,093
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8,858 | New Skies Satellite NV, 5.125%-5.19%, 5/2/10, Term B |
8,950,669
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5,926 | Panamsat Corp., 5.09%, 8/20/09, Term A1 |
5,970,125
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2,794 | Panamsat Corp. Inc., 5.09%, 8/20/09, Term A2 |
2,814,917
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2,550 | Telewest Global Inc., 4.89%, 11/2/12, Term B2 |
2,583,469
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1,950 | Telewest Global Inc., 5.39%, 11/2/12, Term C2 |
1,977,218
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4,000 | Qwest Corp., 6.95%, 6/30/10, Term B |
4,139,644
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18,500 | Qwest Corp., 7.39%, 6/30/07, Term A |
19,305,046
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5,000 | Valor Telecommnications Inc., 4.60%-6.50%, 2/15/12, Term B |
5,088,540
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1,897 | Western Wireless Corp., 4.72%-5.10%, 5/28/10, Term A |
1,909,053
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4,982 | Western Wireless Corp., 5.57%-5.71%, 5/30/11, Term B |
5,024,536
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99,735,888
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6 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 2.28.05 | |
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Utilities3.0% | |||||
$ 8,938 | AES Corp., 5.25%-5.57%, 4/30/08-8/10/11, Term B |
$
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9,146,153 | ||
8,186 | Allegheny Energy, Inc., 4.76%-7.25%, 3/8/11, Term B1 | 8,367,564 | |||
553 | Edison Midwest Generation, 5.81%, 4/27/11, Term B | 562,334 | |||
1,876 | Midwest Generation LLC, 5.81%, 4/27/11, Term B | 1,906,598 | |||
20,500 | Reliant Resources Inc., 5.00%-5.07%, 12/22/10 | 20,838,619 | |||
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40,821,268 | |||||
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Waste Disposal1.1% | |||||
14,365 | Allied Waste North America Inc., 5.15%-5.52%, | ||||
1/15/10-4/30/10, Term B | 14,414,202 | ||||
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Total Senior Loans (cost$702,926,201) | 707,000,199 | ||||
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Credit Rating | |||||
CORPORATE BONDS & NOTES (g) 14.4% | (Moodys/S&P) | ||||
Air-Conditioning 0.3% | |||||
4,250 | Goodman Global Holdings Inc., 5.76%, 6/15/05 (e) (f) | B3/B- | 4,377,500 | ||
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Airlines0.5% | |||||
4,000 | Jetblue Airways Corp., pass thru certificates, 5.89%, | ||||
5/16/05 Ser. 04-2 (f) | Ba1/NR | 4,007,180 | |||
2,300 | Jetblue Airways Corp., pass thru certificates, 6.74%, | ||||
3/15/05 Ser. 04-1(f) | Ba1/BB+ | 2,367,286 | |||
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6,374,466 | |||||
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Financing1.4% | |||||
5,750 | Borden US Finance Corp., 7.41%, 4/15/05 (f) | B3/B- | 5,972,813 | ||
3,000 | General Motors Acceptance Corp., 3.695%, 5/18/05 (f) | Baa1/BBB- | 3,001,515 | ||
5,000 | General Motors Acceptance Corp., 4.56%, 3/1/05 (f) | Baa1/BBB- | 4,805,940 | ||
812 | Indosuez Capital Funding III, 3.175%, 6/30/05 (e) (f) | Aa3/NR | 813,404 | ||
4,861 | Simsbury CLO Ltd., 2.71%, 3/24/05 (e) (f) (h) | Aaa/AAA | 4,832,919 | ||
|
|
||||
19,426,591 | |||||
|
|
||||
Health & Hospitals0.4% | |||||
5,000 | HCA, Inc., 5.25%, 11/6/08 | Ba2/BB+ | 5,045,315 | ||
|
|
||||
Miscellaneous 0.7% | |||||
10,000 | Dow Jones CDX., 7.75%, 12/29/09, Ser. 3-1 (e) | B3/NR | 10,125,000 | ||
|
|
||||
Multi-Media 2.2% | |||||
7,000 | Cablevision Systems Corp., 6.67%, 4/1/05 (f) | B3/B+ | 7,840,000 | ||
6,000 | CCO Holdings LLC, 6.62%, 3/15/05 (f) | B3/CCC- | 6,000,000 | ||
2,000 | CCO Holdings LLC, 8.75%, 11/15/13 | B3/CCC- | 2,075,000 | ||
8,000 | Charter Communication Holdings II., 10.25%, 9/15/10 | Caa1/CCC- | 8,490,000 | ||
4,500 | Universal City Florida Holdings, 7.492%, 5/13/05 (f) | 4,736,250 | |||
|
|
||||
29,141,250 | |||||
|
|
||||
Oil & Gas0.2% | |||||
2,500 | Gaz Capital SA, 9.125%, 4/25/07 | Baa3/BB- | 2,725,750 | ||
|
|
||||
Paper Products1.2% | |||||
5,000 | Abitibi-Consolidated Inc., 5.99%, 3/15/05 (f) | Ba3/BB- | 5,175,000 | ||
2,000 | Abitibi-Consolidated Inc., 7.875%, 8/1/09 | Ba3/BB- | 2,070,000 | ||
8,000 | Boise Cascade LLC, 5.54%, 4/15/05 (f) | B1/B+ | 4,150,000 | ||
4,000 | Bowater Inc., 5.49%, 3/15/05 (f) | Ba3/BB | 4,150,000 | ||
|
|
||||
15,545,000 | |||||
|
|
| 2.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 7 |
|
|||||
|
Credit Rating | ||||
|
(Moodys/S&P) |
|
|||
|
|
|
|
|
|
Semi-conductors0.6% | |||||
$ 2,750 | Freescale Semiconductor, Inc., 5.41%, 4/15/05 (f) | Ba2/BB+ |
$
|
2,884,063 | |
5,500 | Magnachip Semiconductor Inc., 5.76%, 3/15/05 (e) (f) | Ba3/B+ | 5,692,500 | ||
|
|
||||
8,576,563 | |||||
|
|
||||
Telecommunications6.9% | |||||
5,000 | Dobson Cellular Systems Inc., 7.4925%, 5/3/05 (f) | B2/B- | 5,300,000 | ||
8,499 | Echostar DBS Corp., 5.81%, 4/1/05 (f) | Ba3/BB- | 8,796,465 | ||
5,425 | Intelsat Bermuda Ltd., 7.81%, 7/15/05 (e) (f) | B2/B+ | 5,601,313 | ||
20,500 | MCI, Inc., 5.91%-6.69%, 5/1/07-5/1/09 | B2/B+ | 21,075,000 | ||
2,000 | New Skies Satellites NV, 7.4375%, 5/3/05 (e) (f) | B3/B- | 2,107,500 | ||
5,000 | Quest Capital Funding, Inc., 7.90%, 8/15/10 | Caa2/B | 5,037,500 | ||
25,650 | Quest Communications International, 6.29%, 5/15/05 (f) | B3/B | 26,291,250 | ||
7,750 | Rogers Wireless, Inc., 5.525%, 3/15/05 (f) | Ba3/BB | 8,215,000 | ||
3,500 | Rural Cellular Corp., 6.99%, 3/15/05 (f) | B2/B- | 3,692,500 | ||
5,820 | Time Warner Telecom Holdings Inc., 6.79%, 5/16/05 (f) | B1/B | 6,067,350 | ||
|
|
||||
92,183,878 | |||||
|
|
||||
Total Corporate Bonds & Notes (cost$191,581,347) | 193,521,313 | ||||
|
|
||||
ASSET-BACKED SECURITIES (f) (g)7.3% | |||||
2,712 | Accredited Mortgage Loan Trust, 2.80%, 3/25/05 | Aaa/AAA | 2,715,487 | ||
4,443 | Amortizing Residential Collateral Trust, 2.74%, 3/25/05 | Aaa/AAA | 4,445,036 | ||
3,654 | Amortizing Residential Collateral Trust, 3.13%, 3/25/05 | Aaa/AAA | 3,675,310 | ||
2,487 | Argent Securities Inc. 2.76%, 3/25/05 | Aaa/AAA | 2,488,896 | ||
5,540 | Asset Backed Securities Corp., Home Equity Loan Trust., | ||||
2.81%, 3/25/05 | Aaa/AAA | 5,545,342 | |||
6,606 | Bear Stearns Asset Backed Securities, Inc. 2.82%, 3/25/05 | Aaa/AAA | 6,602,483 | ||
9,872 | Bear Stearns Asset Backed Securities, Inc. 3.10%, 3/25/05 | Aaa/AAA | 9,909,543 | ||
4,254 | Chase Funding Loan Acquisition Trust 2.98%, 3/25/05 | Aaa/AAA | 4,265,956 | ||
6,068 | CIT Group Home Equity Loan Trust, 2.92%, 3/25/05 | Aaa/AAA | 6,080,478 | ||
10,000 | Conseco Finance Securitizations Corp., 6.09%, 9/1/33 | Ba1/B- | 10,207,846 | ||
11,176 | Countrywide Asset-Backed Certificates., 2.80%, 3/25/05 | Aaa/AAA | 11,182,304 | ||
897 | Credit Based Asset Trust, 2.99%, 3/25/04 | Aaa/AAA | 899,694 | ||
6,806 | Fremont Home Loan Trust, 2.81%, 3/25/05 | Aaa/AAA | 6,569,906 | ||
4,056 | GSAMP Trust, 2.80%, 3/25/05 | Aaa/NR | 4,058,444 | ||
5,323 | Indymac Home Equity Asset-Backed Trust, 2.81%, 3/25/05 | Aaa/AAA | 5,326,217 | ||
6,139 | Long Beach Mortgage Loan Trust, 2.97%, 3/25/05 | Aaa/AAA | 6,152,936 | ||
4,371 | Salomon Brothers Mortgage Securities VII, 2.95%, 3/25/05 | NR/AAA | 4,382,304 | ||
3,483 | Wells Fargo Home Equity Trust, 2.81%, 3/25/05 | Aaa/AAA | 3,486,082 | ||
|
|
||||
Total Asset-Backed Securities (cost$97,933,284) | 97,994,264 | ||||
|
|
||||
MORTGAGE-RELATED SECURITIES (f) (g)3.5% | |||||
18,844 | Countrywide Home Loans, 2.94%-2.99%, 3/25/05 | Aaa/AAA | 18,857,401 | ||
6,332 | Master Adjustable Rate Mortgage Trust, 3.79%, 3/1/05 | Aaa/AAA | 6,333,351 | ||
21,900 | Washington Mutual, 2.96%-2.97%, 3/25/05 | Aaa/AAA | 21,908,785 | ||
|
|
||||
Total Mortgage-Related Securities (cost$47,083,375) | 47,099,537 | ||||
|
|
8 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 2.28.05 | |
|
|||||
|
Credit Rating | ||||
|
|
|
|||
|
|
|
|
||
SOVEREIGN DEBT OBLIGATIONS (g)3.4% | |||||
Brazil3.4% | |||||
$17,647 | Federal Republic of Brazil, 3.125%, 4/15/05, (f) | B1/BB+ |
$
|
17,205,014 | |
26,712 | Federal Republic of Brazil, 8.00%-11.00%, 4/15/14-8/17/40 | B1/BB+ | 28,773,875 | ||
|
|
||||
Total Sovereign Debt Obligations (cost$44,889,861) | 45,978,889 | ||||
|
|
||||
PREFERRED STOCK (g)0.1% | |||||
|
|||||
|
|||||
29,485 | Fannie Mae, 7.00%, 3/31/05 (cost$1,474,250) | Aa3/AA- | 1,656,467 | ||
|
|
||||
SHORT-TERM INVESTMENTS18.9% | |||||
|
|||||
|
|||||
|
|||||
|
|||||
CERTIFICATES OF DEPOSIT4.5% | |||||
Banking4.5% | |||||
$31,800 | Bank of America NA, 2.26%-2.48%, 3/9/05-4/6/05 | P-1/A-1+ | 31,800,000 | ||
14,100 | Citigroup, Inc., 2.47%, 3/29/05 | P-1/A-1+ | 14,100,000 | ||
14,900 | HSBC Bank USA, 2.34%, 3/23/05 | P-1/A-1+ | 14,900,000 | ||
|
|
||||
Total Certificates of Deposits (cost$60,800,000) | 60,800,000 | ||||
|
|
||||
COMMERCIAL PAPER (g)6.3% | |||||
Conglomerates1.5% | |||||
20,500 | General Electric Capital Corp., 2.32%-2.34%, 2/24/05-3/22/05 | P-1/A-1+ | 20,472,018 | ||
|
|
||||
Finance2.8% | |||||
38,200 | UBS Finance, Inc., 2.725%-2.79%, 6/1/05-6/15/05 | P-1/A-1+ | 37,881,400 | ||
|
|
||||
Oil & Gas2.0% | |||||
26,800 | TotalFinaElf Capital plc, 2.59%, 3/1/05 | P-1/A-1+ | 26,800,000 | ||
|
|
||||
Total Commercial Paper (cost$85,162,723) | 85,153,418 | ||||
|
|
||||
CORPORATE NOTES (g)1.0% | |||||
Financial Services0.6% | |||||
8,500 | Ford Motor Credit Co., 7.60%, 8/1/05 | A3/BBB- | 8,637,862 | ||
|
|
||||
Hotels/Gaming0.0% | |||||
320 | Park Place Entertainment Corp., 7.875%, 12/15/05 | Ba2/BB- | 330,400 | ||
|
|
||||
Multi-Media0.4% | |||||
4,000 | Rogers Cable Systems Ltd., 10.00%, 3/15/05 Ser. B | Ba3/BB+ | 4,040,000 | ||
775 | Smurfit Capital Funding plc., 6.75%, 11/20/05 | B1/BB- | 790,500 | ||
|
|
||||
4,830,500 | |||||
|
|
||||
Total Corporate Notes (cost$13,786,440) | 13,798,762 | ||||
|
|
||||
SOVEREIGN DEBT OBLIGATIONS (g)0.0% | |||||
Germany0.0% | |||||
300 | Federal Republic of Germany, 2.00%, 6/17/05 (cost$391,096) | Aaa/AAA | 398,067 | ||
|
|
| 2.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 9 |
|
|
|||||
|
|
|||||
|
|
|
|
|||
|
|
|
|
|||
U.S. GOVERNMENT / AGENCY SECURITIES (g) 6.8% |
|
|||||
Fannie Mae6.4% |
|
|||||
$ 86,400 | 2.42%-2.68%, 3/23/05-6/13/05 |
|
$ | 86,038,450 | ||
|
|
|||||
Freddie Mac 0.1% |
|
|||||
1,100 | 2.20%-2.26%, 3/8/05-3/14/05 |
|
1,099,180 | |||
|
|
|||||
U.S. Treasury Bills0.3% |
|
|||||
3,585 | 2.06%-2.56%, 3/3/05-5/5/05 |
|
3,579,372 | |||
|
|
|||||
Total U.S. Government / Agency Securities (cost$90,728,262) | 90,717,002 | |||||
|
||||||
REPURCHASE AGREEMENTS0.3% |
|
|||||
3,414 | State Street Bank & Trust Co. dated 2/28/05, 2.15%, due 3/1/05, | |||||
proceeds: $3,414,204; collateralized by Fannie Mae, 1.875%, 9/15/05, | ||||||
valued at $3,485,620 with accrued interest (cost$3,414,000) |
|
3,414,000 | ||||
|
|
|||||
Total Short-Term Investments (cost$254,282,521) |
|
254,281,249 | ||||
|
||||||
PUT OPTIONS PURCHASED (i)0.0% |
|
|||||
|
|
|||||
405 | CME
Euro Future, Chicago Board of Trade,
|
|
||||
strike price $93.75, expires 9/19/05 (cost$4,050)
|
|
2,531 | ||||
|
|
|||||
Total Investments, before options written |
|
|||||
(cost$1,340,174,889)100.1% |
|
1,347,534,449 | ||||
|
||||||
CALL OPTIONS WRITTEN (i)0.0% |
|
|||||
(24,900,000 | ) | Swap Option 3 Month LIBOR, |
|
|||
Strike rate 4.00%, expires 4/4/05 |
|
(1,519 | ) |
|||
U.S Treasury Notes 10 yr. Futures, Chicago Board of Trade, |
|
|||||
(407 | ) | Strike price $114, expires 5/20/05 |
|
(31,797 | ) |
|
(694 | ) | Strike price $113, expires 5/20/05 |
|
(108,438 | ) |
|
(361 | ) | Strike price $115, expires 5/20/05 |
|
(11,281 | ) |
|
|
|
|||||
Total Call Options Written
(premiums received$461,719)
|
|
(153,035 | ) |
|||
|
||||||
PUT OPTIONS WRITTEN (i)(0.1)% |
|
|||||
(24,900,000 | ) | Swap Option 3 Month LIBOR, |
|
|||
Strike rate 4.75%, expires 4/4/05 |
|
(84,635 | ) |
|||
U.S Treasury Notes 10 yr. Futures, Chicago Board of Trade, |
|
|||||
(293 | ) | Strike price $107, expires 5/20/05 |
|
(82,406 | ) |
|
(293 | ) | Strike price $108, expires 5/20/05 |
|
(146,500 | ) |
|
(347 | ) | Strike price $108, expires 5/20/05 |
|
(162,656 | ) |
|
(708 | ) | Strike price $109, expires 5/20/05 |
|
(542,063 | ) |
|
(18 | ) | Strike price $110, expires 5/20/05 |
|
(21,375 | ) |
|
|
|
|||||
Total Put Options Written (premiums received$625,240) |
|
(1,039,635 | ) |
|||
|
|
|||||
Total Options Written (premiums received$1,086,959) |
|
(1,192,670 | ) |
|||
|
|
|||||
Total Investments, net of options written |
|
|||||
(cost$1,339,087,930)100.0% |
|
$ | 1,346,341,779 | |||
|
|
10 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 2.28.05 | |
(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 Interbank 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) |
Unsettled security, coupon rate undetermined at
February 28, 2005. |
(e) |
144A SecuritySecurity
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 February 28, 2005. |
(g) |
All or partial principal amount segregated as
initial margin on futures contracts. |
(h) |
Fair-valued security. |
(i) |
Non-income producing. |
See accompanying Notes to Financial Statements | 2.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 11 |
Assets: | ||||
Investments, at value (cost$1,340,174,889) | $ | 1,347,534,449 | ||
|
|
|
|
|
Cash (including foreign currency of $2,097 with a cost of $2,077) | 7,144,805 | |||
|
|
|
|
|
Receivable for investments sold | 14,051,574 | |||
|
|
|
|
|
Unrealized appreciation on swaps | 7,426,279 | |||
|
|
|
|
|
Interest receivable | 6,373,886 | |||
|
|
|
|
|
Premium for swaps purchased | 1,643,225 | |||
|
|
|
|
|
Unrealized appreciation on unfunded loan commitments | 333,639 | |||
|
|
|
|
|
Unrealized appreciation of forward foreign currency contracts | 88,042 | |||
|
|
|
|
|
Prepaid expenses | 67,907 | |||
|
|
|
|
|
Total Assets | 1,384,663,806 | |||
|
|
|
|
|
Liabilities: | ||||
Payable for investments purchased | 99,761,098 | |||
|
|
|
|
|
Dividends payable to common and preferred shareholders | 4,145,865 | |||
|
|
|
|
|
Unrealized depreciation on swaps | 2,738,185 | |||
|
|
|
|
|
Premium for swaps sold | 1,676,953 | |||
|
|
|
|
|
Options written, at value (premium received $1,086,959) | 1,192,670 | |||
|
|
|
|
|
Investment management fee payable | 731,085 | |||
|
|
|
|
|
Common stock and preferred shares offering costs payable | 440,802 | |||
|
|
|
|
|
Deferred facility fees | 230,674 | |||
|
|
|
|
|
Payable for variation margin on futures contracts | 221,250 | |||
|
|
|
|
|
Unrealized depreciation on forward foreign currency contracts | 148,715 | |||
|
|
|
|
|
Accrued expenses | 136,796 | |||
|
|
|
|
|
Total Liabilities | 111,424,093 | |||
|
|
|
|
|
Preferred shares ($0.00001 par value; $25,000 net asset and liquidation value per share | ||||
applicable to an aggregate of 19,200 shares issued and outstanding) | 480,000,000 | |||
|
|
|
|
|
Net Assets Applicable to Common Shareholders | $ | 793,239,713 | ||
|
|
|
|
|
Composition of Net Assets Applicable to Common Shareholders: | ||||
Common Stock: | ||||
Par value ($0.00001
per share, applicable to 41,443,993 shares issued and outstanding)
|
$ | 414 | ||
|
|
|
|
|
Paid-in-capital in excess of par | 784,792,773 | |||
|
|
|
|
|
Dividends in excess of net investment income | (4,344,953 | ) | ||
|
|
|
|
|
Net realized gain on investments | 706,087 | |||
|
|
|
|
|
Net unrealized appreciation of investments, futures contracts, options written, swaps, | ||||
unfunded loan commitments and foreign currency transactions | 12,085,392 | |||
|
|
|
|
|
Net Assets Applicable to Common Shareholders | $ | 793,239,713 | ||
|
|
|
|
|
Net Asset Value Per Common Share | $ | 19.14 | ||
|
|
|
|
12 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 2.28.05 | See accompanying Notes to Financial Statements |
Investment Income: | ||||
Interest |
$
|
12,300,072 | ||
|
|
|
|
|
Facility and other fee income | 192,500 | |||
|
|
|
|
|
12,492,572 | ||||
|
|
|
|
|
Expenses: | ||||
Investment management fees | 2,562,496 | |||
|
|
|
|
|
Auction agent fees and commissions | 203,230 | |||
|
|
|
|
|
Custodian and accounting agent fees | 82,837 | |||
|
|
|
|
|
Audit and tax services | 47,375 | |||
|
|
|
|
|
Reports and notices to shareholders | 40,630 | |||
|
|
|
|
|
Trustees fees and expenses | 12,915 | |||
|
|
|
|
|
Transfer agent fees | 8,683 | |||
|
|
|
|
|
New York Stock Exchange listing fees | 7,362 | |||
|
|
|
|
|
Legal fees | 5,062 | |||
|
|
|
|
|
Investor relations | 3,081 | |||
|
|
|
|
|
Miscellaneous | 618 | |||
|
|
|
|
|
Total expenses | 2,974,289 | |||
|
|
|
|
|
Less: custody credits earned on cash balances | (34,553 | ) | ||
|
|
|
|
|
Net expenses | 2,939,736 | |||
|
|
|
|
|
Net Investment Income | 9,552,836 | |||
|
|
|
|
|
Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
|
||||
Investments | 127,376 | |||
|
|
|
|
|
Futures contracts | (445,517 | ) | ||
|
|
|
|
|
Options written | 544,053 | |||
|
|
|
|
|
Swaps | 602,162 | |||
|
|
|
|
|
Foreign currency transactions | (121,987 | ) | ||
|
|
|
|
|
Net unrealized appreciation (depreciation) of: | ||||
|
||||
Investments | 7,359,560 | |||
|
|
|
|
|
Futures contracts | (291,652 | ) | ||
|
|
|
|
|
Options written | (105,711 | ) | ||
|
|
|
|
|
Swaps | 4,688,094 | |||
|
|
|
|
|
Unfunded loan commitments | 333,639 | |||
|
|
|
|
|
Foreign currency transactions | 101,462 | |||
|
|
|
|
|
Net realized and unrealized gain on investments, futures contracts, options written, swaps, | ||||
unfunded loan commitments and foreign currency transactions | 12,791,479 | |||
|
|
|
|
|
Net Increase in Net Assets Resulting from Investment Operations | 22,344,315 | |||
|
|
|
|
|
Dividends on Preferred Shares from Net Investment Income | (2,248,677 | ) | ||
|
|
|
|
|
Net Increase in Net Assets Applicable to Common Shareholders | ||||
Resulting from Investment Operations |
$
|
20,095,638 | ||
|
|
|
|
* Commencement of operations
See accompanying Notes to Financial Statements | 2.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 13 |
PIMCO Floating Rate Strategy Fund | Statement of Changes in Net Assets Applicable to Common Shareholders |
|
||||
|
||||
|
||||
|
||||
|
|
|
||
Investment Operations: | ||||
Net investment income |
$
|
9,552,836 | ||
|
|
|
|
|
Net realized gain on investments, futures contracts, options written, swaps, | ||||
and foreign currency transactions | 706,087 | |||
|
|
|
|
|
Net unrealized appreciation of investments, futures contracts, options written, swaps, | ||||
unfunded loan commitments and foreign currency transactions | 12,085,392 | |||
|
|
|
|
|
Net increase in net assets resulting from investment operations | 22,344,315 | |||
|
|
|
|
|
Dividends on Preferred Shares from Net Investment Income | (2,248,677 | ) | ||
|
|
|
|
|
Net increase in net assets applicable to common shareholders | ||||
resulting from investment operations | 20,095,638 | |||
|
|
|
|
|
Dividends to Common Shareholders from Net Investment Income | (11,649,112 | ) | ||
|
|
|
|
|
Capital Share Transactions: | ||||
Net proceeds from the sale of common stock | 788,830,000 | |||
|
|
|
|
|
Preferred shares underwriting discount charged to paid-in capital in excess of par | (4,800,000 | ) | ||
|
|
|
|
|
Common stock and preferred shares offering costs charged to paid-in capital in excess of par | (1,985,000 | ) | ||
|
|
|
|
|
Reinvestment of dividends | 2,648,179 | |||
|
|
|
|
|
Net increase in capital share transactions | 784,693,179 | |||
|
|
|
|
|
Total increase in net assets applicable to common shareholders | 793,139,705 | |||
|
|
|
|
|
Net Assets Applicable to Common Shareholders: | ||||
Beginning of period | 100,008 | |||
|
|
|
|
|
End of period (including dividends in excess of net investment income of $4,344,953) |
$
|
793,239,713 | ||
|
|
|
|
|
Common Shares Issued and Reinvested: | ||||
Issued | 41,300,000 | |||
|
|
|
|
|
Issued in reinvestment of dividends | 138,757 | |||
|
|
|
|
|
Net Increase | 41,438,757 | |||
|
|
|
|
* Commencement of operations
14 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 2.28.05 | See accompanying Notes to Financial Statements |
Cash Flows used for Operating Activities: | ||||
Purchases of long-term investments |
$
|
(1,088,781,605 | ) | |
|
|
|
|
|
Proceeds from sales of long-term investments | 91,580,598 | |||
|
|
|
|
|
Interest, dividends and facility fee income received | 5,296,603 | |||
|
|
|
|
|
Swap premium paid | 33,728 | |||
|
|
|
|
|
Net realized gain on swaps | 602,162 | |||
|
|
|
|
|
Realized gains and premiums received on options written | 1,631,012 | |||
|
|
|
|
|
Operating expenses paid | (2,139,762 | ) | ||
|
|
|
|
|
Variation margin paid | (515,919 | ) | ||
|
|
|
|
|
Net realized gain/loss on foreign currency transactions | 202,263 | |||
|
|
|
|
|
Net purchases of short-term investments | (256,246,340 | ) | ||
|
|
|
|
|
Net cash used for operating activities | (1,248,337,260 | ) | ||
|
|
|
|
|
Cash Flows From Financing Activities: | ||||
Proceeds from common shares sold | 788,830,000 | |||
|
|
|
|
|
Issuance of preferred shares | 480,000,000 | |||
|
|
|
|
|
Common and preferred shares offering costs and underwriting discount paid
|
(6,344,198 | ) | ||
|
|
|
|
|
Cash dividends paid (excluding reinvestment of $2,648,179) | (7,103,745 | ) | ||
|
|
|
|
|
Net cash from financing activities | 1,255,382,057 | |||
|
|
|
|
|
Net increase in cash | 7,044,797 | |||
|
|
|
|
|
Cash at beginning of period | 100,008 | |||
|
|
|
|
|
Cash at end of period | 7,144,805 | |||
|
|
|
|
|
Reconciliation of Net Increase in Net Assets From Investment Operations | ||||
to Net Cash Used for Operating Activities: | ||||
Net increase in net assets resulting from investment operations | 22,344,315 | |||
|
|
|
|
|
Increase in receivable for investments sold | (14,051,574 | ) | ||
|
|
|
|
|
Increase in interest receivable | (6,373,886 | ) | ||
|
|
|
|
|
Increase in premium for swaps purchased | (1,643,225 | ) | ||
|
|
|
|
|
Increase in premium for swaps sold | 1,676,953 | |||
|
|
|
|
|
Increase in premium of options written | 1,086,959 | |||
|
|
|
|
|
Increase in prepaid expenses | (67,907 | ) | ||
|
|
|
|
|
Increase in payable to Investment Manager | 731,085 | |||
|
|
|
|
|
Increase in net unrealized appreciation on swaps | (4,688,094 | ) | ||
|
|
|
|
|
Increase in unrealized depreciation on forward foreign currency contracts | 148,715 | |||
|
|
|
|
|
Increase in unrealized appreciation on forward foreign currency contracts | (88,042 | ) | ||
|
|
|
|
|
Increase in unrealized appreciation on unfunded loan commitments | (333,639 | ) | ||
|
|
|
|
|
Increase in variation margin on futures contracts | 221,250 | |||
|
|
|
|
|
Increase in unrealized depreciation on options written | 105,711 | |||
|
|
|
|
|
Increase in accrued expenses | 136,796 | |||
|
|
|
|
|
Increase in deferred facility fees | 230,674 | |||
|
|
|
|
|
Increase in payable for investments purchased | 99,761,098 | |||
|
|
|
|
|
Net increase in investments | (1,347,534,449 | ) | ||
|
|
|
|
|
Net cash used for operating activities |
$
|
(1,248,337,260 | ) | |
|
|
|
|
* Commencement of operations
See accompanying Notes to Financial Statements | 2.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 15 |
The Fund issued 37,000,000 shares of common stock in its initial public offering. An additional 4,300,000 shares were issued in connection with the underwriters over-allotment option. These shares were all issued at $20.00 per share before an underwriting discount of $0.90 per share. Common offering costs of $1,400,000 (representing $0.034 per share) were offset against the proceeds of the offering and over-allotment option and have been charged to paid-in capital in excess of par. The Investment Manager has agreed to pay all common share offering costs (other than the sales load) and organizational expenses of approximately $25,000 exceeding $0.04 per common share. In addition, the underwriters commission and offering costs associated with the issuance of Preferred Shares in the amounts of $4,800,000 and $585,000, respectively, have been charged to paid-in capital in excess of par.
The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates. In the normal course of business, the Fund enteres into contracts that contain a variety of representations which provide general indemnifications. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been asserted. However, the Fund expects the risk of any loss to be remote.
The following is a summary of significant accounting policies followed by the Fund:
(a) Valuation 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 significant
development/event occurs that may 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 Funds
investments in senior floating rate loans (Senior Loans) are valued in accordance with guidelines established by the Board of Trustees. Under those guidelines, Senior Loans for which a secondary market exists will be valued by an
independent pricing service. Other Senior Loans are valued at fair value by Pacific Investment Management Company LLC (the Sub-Adviser), an affiliate of the Investment Manager, pursuant to procedures approved by the Board of Trustees. 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. 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 and the difference could be material to the financial statements. The Funds
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.
(b) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Interest income is recorded on an accrual basis. Discounts or premiums
on debt securities purchased are accreted or amortized to interest income over the lives of the respective securities using the effective interest
16 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 2.28.05 | |
method. Facility fees and other fees (such as origination fees) received by the Fund are amortized as income over the expected term of the loan. Commitment fees received by the Fund relating to unfunded purchase commitments are deferred and amortized to facility fee income over the period of the commitment.
(c) Federal Income Taxes
The Fund intends to distribute all of its taxable income and to comply with the other requirements of the U.S. Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no
provision for U.S. federal income taxes is required. In addition, by distributing substantially all of its ordinary income and long-term capital gains, if any, during each calendar year the Fund intends not to be subject to U.S. federal excise
tax.
(d) Dividends and Distributions Common Stock
The
Fund declares dividends from net investment income monthly to common shareholders.
Distributions of net realized capital gains, if any, are paid at least annually.
The Fund records dividends and distributions to its shareholders on the ex-dividend
date. The amount of dividends and distributions from net investment income and
net realized capital gains are determined in accordance with federal income tax
regulations, which may differ from generally accepted accounting principles.
These book-tax differences are either considered temporary or permanent
in nature. To the extent these differences are permanent in nature, such amounts
are reclassified within the capital accounts based on their federal income tax
treatment; temporary differences do not require reclassification. To the extent
dividends and/or distributions exceed current and accumulated earnings and profits
for federal income tax purposes, they are reported as dividends and/or distributions
of paid-in capital in excess of par.
Net investment income differs for financial statement and tax purposes primarily due to $2,842,614 earned from swaps.
(e) Foreign Currency Translation
Accounting records are maintained in U.S. dollars as follows: (1) the foreign currency market value of investments and other assets and liabilities denominated in foreign currency are translated at the prevailing
exchange rate at the end of the period; and (2) purchases and sales, income and expenses are translated at the prevailing exchange rate on the respective dates of such transactions. The resulting net foreign currency gain or loss is included in the
Statement of Operations.
The Fund does not generally isolate that portion of the results of operations arising as a result of changes in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of securities. Accordingly, such foreign currency gain (loss) is included in net realized and unrealized gain (loss) on investments. However, the Fund does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. federal income tax regulations; such amount is categorized as foreign currency gain or loss for both financial reporting and income tax reporting purposes.
(f) Senior Loans
The
Fund purchases assignments of Senior Loans originated, negotiated and structured
by a U.S. or foreign commercial bank, insurance company, finance company or other
financial institution (the Agent) for a
lending syndicate of financial institutions (Lenders). When purchasing
an assignment, the Fund succeeds all the rights and obligations under the loan
agreement with the same rights and obligations as the assigning Lender. Assignments
may, however, be arranged through private negotiations between potential assignees
and potential assignors, and the rights and obligations acquired by the purchaser
of an assignment may differ from, and be more limited than, those held by the
assigning Lender.
(g) Interest Rate/Credit Default Swaps
The
Fund enters into interest rate and credit default swap contracts (swaps)
for investment purposes, to manage its interest rate and credit risk or to add
leverage.
As a seller in a credit default swap contract, the Fund would be required to pay the par or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund would receive from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund would keep the stream of payments and would have no payment obligations. Such periodic payments are accrued daily and recorded as realized gain (loss).
The Fund may also purchase credit default swap contracts in order to hedge against the risk of default of debt securities held, in which case the Fund would function as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund would receive the par or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by a third party, such as a U.S. or foreign corporate issuer on the referenced debt obligation. In return, the Fund would make periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and recorded as realized gain (loss).
| 2.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 17 |
Interest rate swap agreements involve the exchange by the Fund with a counterparty of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Net periodic payments received by the Fund are included as part of net realized gain (loss) on the Statement of Operations.
Swaps are marked to market daily based upon quotations from market makers and the change in value, if any, is recorded as unrealized appreciation or depreciation in the Funds Statement of Operations. For a credit default swap sold by the Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by the Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.
Entering into swaps involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in net interest rates.
(h) Futures Contracts
A
futures contract is an agreement between two parties to buy and sell a financial
instrument at a set price on a future date. Upon entering into such a contract,
the Fund is required to pledge to the broker an amount of cash or securities
equal to the minimum initial margin requirements of the exchange. Pursuant to the contracts, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the
contracts. Such receipts or payments are known as variation margin and
are recorded by the Fund as unrealized appreciation or depreciation. When the
contracts are closed, the Fund records a realized gain or loss equal to the difference
between the value of the contracts at the time they were opened and the value
at the time they were closed. Any unrealized appreciation or depreciation recorded
is simultaneously reversed. The use of futures transactions involves the risk
of an imperfect correlation in the movements in the price of futures contracts,
interest rates and the underlying hedged assets and the possible inability of
counterparties to meet the terms of their contracts.
(i) Option Transactions
The Fund may purchase and write (sell) put and call options for hedging and/or risk management purposes. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is
exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The
cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from the securities sold through the exercise of put options is decreased by the premiums paid.
When an option is written, the premium received is recorded as a liability and is subsequently marked to market to reflect the current market value of the option written. These liabilities are reflected as options written in the Statement of Assets and Liabilities. Premiums received from writing options which expire unexercised are recorded on the expiration date as a realized gain. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transactions, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether there has been a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the security. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security underlying the written option. Exercise of an written option could result in the Fund purchasing a security at a price different from the current market price.
(j) Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts for the purpose of hedging against foreign currency risk arising from the investment or anticipated investment in securities denominated in foreign currencies.
The Fund may also enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. A forward foreign currency contract is an agreement between two
parties to buy and sell a currency at a set exchange rate on a future date. The market value of a forward foreign currency contract fluctuates with changes in forward currency exchange rates. All commitments are marked to market daily at the
applicable exchange rates and any resulting unrealized appreciation or depreciation is recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering these
contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
18 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 2.28.05 | |
1. Organization and Significant Accounting Policies (continued)
(k) Repurchase Agreements
The Fund enters into transactions with its custodian
bank or securities brokerage firms whereby it purchases securities under agreements
to resell at an agreed upon price and date (repurchase agreements).
Such agreements are carried at the contract amount in the financial statements.
Collateral pledged (the securities received), which consists primarily of U.S.
government obligations and asset-backed securities, are held by the custodian
bank until maturity of the repurchase agreement. Provisions of the repurchase
agreements and the procedures adopted by the Fund require that the market value
of the collateral, including accrued interest thereon, is sufficient in the
event of default by the counterparty. If the counterparty defaults and the
value of the collateral declines or if the counterparty enters an insolvency
proceeding, realization of the collateral by the Fund may be delayed or limited.
(l) Custody Credits on Cash Balances
The Fund benefits from an expense offset arrangement with its custodian bank whereby uninvested cash balances earn credits which reduce monthly custodian and accounting agent fees. Had these cash balances been invested
in income producing securities, they would have generated income for the Fund.
2. Investment Manager and Sub-Adviser
The
Fund has entered into an Investment Management Agreement (the Agreement) with the Investment Manager. Subject to the supervision of the Funds Board of Trustees, the Investment Manager is
responsible for managing, either directly or through others selected by it, the Funds investment activities, business affairs and other administrative matters. Pursuant to the Agreement, the Investment Manager receives an annual fee, payable
monthly, at an annual rate of 0.75% of the Funds average weekly total managed
assets. Total managed assets refer to the total assets of the Fund (including
assets attributable to any Preferred Shares or other forms of leverage that may
be outstanding minus accrued liabilities (other than liabilities representing
leverage).
The Investment Manager has retained the Sub-Adviser to manage the Funds investments. Subject to the supervision of the Investment Manager, the Sub-Adviser makes all of the Funds investment decisions. The Investment Manager and not the Fund pays a portion of the fees it receives to the Sub-Adviser in return for its services, at the maximum annual rate of 0.39% of the Funds average weekly total managed assets for the period from commencement of operations through October 31, 2008. Commencing November 1, 2009, the Investment Manager will pay the Sub-Adviser a monthly fee at the annual rate of 0.55% of the Funds average weekly total managed assets. The Investment Manager informed the Fund that it paid the Sub-Adviser $1,332,498 in connection with its sub-advisory services for the period October 29, 2004 (commencement of operations) through February 28, 2005.
3. Investment in Securities
For
the period October 29, 2004 (commencement of operations) through February 28,
2005, purchases and sales of investments, other than short-term securities, were $1,188,536,603 and $73,535,691,
respectively.
(a) Credit default swap contracts outstanding at February 28, 2005:
|
|||||||||||||
|
|
|
|||||||||||
Swap Counterparty/ |
|
Termination |
|
|
|||||||||
Referenced Debt Obligation |
|
Date |
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
||||
Bank of America | |||||||||||||
Bombardier |
$
|
3,000 | 12/20/05 | 2.00 | % | $ | (1,012 | ) | |||||
CMS Energy | 5,000 | 12/20/09 | 2.15 | % | 144,509 | ||||||||
Nextel | 5,000 | 12/20/09 | 0.95 | % | 111,654 | ||||||||
Royal Carribbean | 5,000 | 12/20/09 | 1.12 | % | 104,729 | ||||||||
Williams Co., Inc. | 5,000 | 12/20/09 | 1.65 | % | 163,184 | ||||||||
Bear Stearns | |||||||||||||
Allied Waste North America, Inc. | 1,500 | 12/20/07 | 1.85 | % | 16,964 | ||||||||
Arvin Mentor | 1,500 | 12/20/07 | 1.14 | % | 916 | ||||||||
Dow Jones CDX | 12,000 | 12/20/09 | 3.75 | % | 156,386 | ||||||||
Dow Jones CDX | 12,000 | 12/20/09 | 3.75 | % | (28,614 | ) | |||||||
Dura Operating | 4,500 | 12/20/09 | 4.15 | % | (52,241 | ) | |||||||
Dynegy | 1,500 | 12/20/09 | 2.35 | % | (24,699 | ) | |||||||
MGM Mirage, Inc. | 5,000 | 12/20/09 | 1.54 | % | 96,306 | ||||||||
Stone Container Corp. | 1,500 | 12/20/09 | 1.76 | % | (3,402 | ) | |||||||
Stone Container Corp. | 5,000 | 12/20/09 | 1.87 | % | 9,748 |
| 2.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 19 |
|
|||||||||||||
|
|
|
|||||||||||
Swap Counterparty/ |
|
Termination |
|
|
|||||||||
Referenced Debt Obligation |
|
Date |
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
||||
CitiGroup | |||||||||||||
Dow Jones CDX |
$
|
2,500 | 12/20/09 | 3.75 | % | $ | 12,528 | ||||||
Host Marriott | 5,000 | 12/20/09 | 1.70 | % | 78,113 | ||||||||
Reliant Resources | 5,000 | 12/20/09 | 3.20 | % | 211,310 | ||||||||
Credit Suisse | |||||||||||||
Dow Jones CDX | 12,000 | 12/20/09 | 3.75 | % | 195,135 | ||||||||
Equistar | 5,000 | 12/20/09 | 2.25 | % | 174,924 | ||||||||
Goodyear | 2,000 | 3/20/15 | 3.85 | % | (77,459 | ) | |||||||
Intelsat Bermuda | 7,000 | 3/20/10 | 3.21 | % | 174,019 | ||||||||
SAMI | 5,800 | 9/20/08 | 2.45 | % | 53,920 | ||||||||
SAMI | 10,000 | 12/20/09 | 2.15 | % | 100,441 | ||||||||
Vintage Petroleum, Inc. | 5,000 | 12/20/09 | 1.95 | % | 19,209 | ||||||||
Goldman Sachs | |||||||||||||
Georgia Pacific | 5,000 | 12/20/09 | 1.15 | % | 99,035 | ||||||||
JP Morgan Chase | |||||||||||||
Ceasars | 5,000 | 12/20/09 | 0.78 | % | 61,169 | ||||||||
Dow Jones CDX | 12,000 | 12/20/09 | 3.75 | % | 270,136 | ||||||||
Goodyear | 4,000 | 3/20/10 | 3.40 | % | 101,054 | ||||||||
Goodyear | 2,000 | 3/20/07 | 1.55 | % | (11,699 | ) | |||||||
NRG Energy | 5,000 | 12/20/09 | 2.20 | % | 21,671 | ||||||||
Lehman Securities, Inc.
|
|||||||||||||
Boyd | 5,000 | 12/20/09 | 1.65 | % | 130,002 | ||||||||
General Motors, Inc. | 8,000 | 12/20/05 | 0.92 | % | 12,636 | ||||||||
Hayes Lemmerz | 5,000 | 12/20/09 | 2.50 | % | 5,557 | ||||||||
HCA | 5,000 | 12/20/09 | 1.55 | % | 108,854 | ||||||||
Stone Container Corp. | 3,000 | 12/20/09 | 1.85 | % | 5,076 | ||||||||
Panamsat | 3,000 | 12/20/09 | 3.00 | % | 161,317 | ||||||||
Six Flags | 4,000 | 3/20/10 | 2.70 | % | 85,442 | ||||||||
Starwood | 5,000 | 12/20/09 | 1.15 | % | 79,426 | ||||||||
Stations Casinos | 5,000 | 12/20/09 | 1.45 | % | (21,338 | ) | |||||||
TRW | 5,000 | 12/20/09 | 2.05 | % | 132,096 | ||||||||
Merrill Lynch | |||||||||||||
AES | 3,000 | 12/20/09 | 2.60 | % | 74,193 | ||||||||
Arvinmeritor | 4,500 | 12/20/09 | 2.25 | % | 129,933 | ||||||||
Bombardier | 5,000 | 3/20/06 | 3.25 | % | 23,472 | ||||||||
Chesapeake Energy | 5,000 | 12/20/09 | 1.30 | % | 51,852 | ||||||||
CMS Energy | 1,500 | 12/20/09 | 1.85 | % | 24,379 | ||||||||
Delhaize America | 5,000 | 12/20/09 | 1.07 | % | 108,847 | ||||||||
Electronic Data Systems | 5,000 | 12/20/09 | 1.45 | % | 161,714 | ||||||||
TECO Energy, Inc. | |||||||||||||
Toys R Us | 5,000 | 12/20/09 | 3.20 | % | 166,020 | ||||||||
Toys R Us | 7,000 | 12/20/09 | 2.91 | % | 154,978 | ||||||||
Toys R Us | 3,500 | 12/20/06 | 1.45 | % | (32,348 | ) | |||||||
Toys R Us | 3,500 | 12/20/14 | 3.34 | % | (56,299 | ) | |||||||
Vintage Petroleum | 3,000 | 12/20/09 | 1.50 | % | 35,889 | ||||||||
Morgan Stanley | |||||||||||||
Dow Jones CDX | 32,000 | 12/20/09 | 2.60 | % | 884,441 | ||||||||
Wachovia | |||||||||||||
Ford | 5,000 | 12/20/09 | 2.14 | % | 3,157 | ||||||||
General Motors | 5,000 | 12/20/09 | 2.26 | % | (80,580 | ) | |||||||
|
|
||||||||||||
$ | 4,526,650 | ||||||||||||
|
|
20 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 02.28.05 | |
(b) Interest Rate swap agreements outstanding at February 28, 2005:
Rate Type | |||||||||||||||
|
|||||||||||||||
|
Payments | Payments |
|
||||||||||||
|
Termination | made by | received by |
|
|||||||||||
Swap Counterparty |
|
Date | the Fund | the Fund |
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||
Bank of America |
$
|
4,500 | 6/15/15 | 5.00 | % | 3 month LIBOR |
$
|
43,019 | |||||||
Bank of America | 255,000 | 1/07/25 | 3 month LIBOR | 5.13% | 2,207,559 | ||||||||||
Bank of America | 3,200 | 6/15/15 | 5.00 | % | 3 month LIBOR | 29,554 | |||||||||
Bank of America | 255,000 | 6/15/25 | 5.25 | % | 3 month LIBOR | (2,348,494 | ) | ||||||||
Goldman Sachs | 2,000 | 6/15/15 | 5.00 | % | 3 month LIBOR | 23,011 | |||||||||
Goldman Sachs | 2,200 | 6/15/15 | 5.00 | % | 3 month LIBOR | 16,883 | |||||||||
JP Morgan Chase | 1,600 | 12/20/09 | 5.00 | % | 3 month LIBOR | 11,913 | |||||||||
Lehman Securities | 5,200 | 6/15/15 | 5.00 | % | 3 month LIBOR | 64,541 | |||||||||
Morgan Stanley | 7,000 | 6/15/15 | 5.00 | % | 3 month LIBOR | 82,592 | |||||||||
Morgan Stanley | 3,200 | 6/15/15 | 5.00 | % | 3 month LIBOR | 30,866 | |||||||||
|
|
||||||||||||||
$
|
161,444 | ||||||||||||||
|
|
(c) Futures contracts at February 28, 2005:
|
|
|
|||||||
Type |
|
|
|
||||||
|
|
|
|
|
|
|
|||
Long: U.S. Treasury Notes 10 Year
|
$ | 102 |
|
$
|
113,883 | ||||
U.S.
Treasury Notes 10 Year
|
297 |
|
177,769 | ||||||
|
|
||||||||
$
|
291,652 | ||||||||
|
|
(d) Options written for the period October 29, 2004 (commencement of operations) through February 28, 2005:
|
|||||||
|
|
||||||
|
|
|
|
|
|
||
Options outstanding, October 29, 2004 | | $ | | ||||
Options written | 154,405 | 1,658,241 | |||||
Options expired | (104,601 | ) | (371,887 | ) | |||
Options terminated in closing purchased transactions | (1 | ) | (199,395 | ) | |||
|
|
|
|||||
Options outstanding, February 28, 2005 | 49,803 | $ | 1,086,959 | ||||
|
|
|
(e) Forward foreign currency contracts outstanding at February 28, 2005:
|
|||||||||||||
|
|
|
|||||||||||
|
|
|
|||||||||||
|
|
|
|
|
|
|
|
|
|
||||
Purchased: | GBP settling 2/18/05 | State Street Corp. | $ |
5,332,928
|
$ |
5,420,970
|
$ | 88,042 | |||||
Sold: |
E$ settling 3/17/05
|
JP Morgan Chase |
409,000
|
409,984
|
(984 | ) | |||||||
GBP settling 2/14/05
|
Bank of America |
5,315,557
|
5,420,970
|
(105,413 | ) | ||||||||
GBP settling 2/24/05
|
Barclay Bank |
5,378,652
|
5,420,970
|
(42,318 | ) | ||||||||
|
|
||||||||||||
$ | (60,673 | ) | |||||||||||
|
|
| 02.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 21 |
PIMCO Floating Rate Strategy Fund Notes to Financial Statements
February 28, 2005 (unaudited)
3. Investment in Securities (continued)
(f) At February 28, 2005, the Fund held the following unfunded loan commitments which could be extended at the option of the borrower:
Borrower |
|
|||
|
|
|
||
Advanced Medical Products, Term B | $
|
1,765,313 | ||
Celanese AG | 3,188,669 | |||
Host Marriott, Term A | 3,225,000 | |||
Host Marriott, Term B | 1,612,500 | |||
Venetian Casino, Term D | 2,607,692 | |||
Warner Chilcott plc | 1,440,883 | |||
Wynn Resorts Ltd., Term B | 5,086,719 | |||
|
|
|||
$
|
18,926,776 | |||
|
|
4. Income Tax Information
The
cost basis of portfolio securities for federal income tax purposes is $1,340,174,889. Aggregated gross unrealized appreciation for securities in which there is an excess value over tax cost is $8,687,253,
aggregate gross unrealized depreciation for securities in which there is an excess of tax cost over value is $1,327,693, unrealized appreciation for federal income tax purposes is $7,359,560.
5. Auction Preferred Shares
The
Fund has issued 3,840 shares of Preferred Shares Series M, 3,840 shares of Preferred
Shares Series T, 3,840 shares of Preferred Shares Series W, 3,840 shares of Preferred
Shares Series Th and 3,840 shares of Preferred Shares Series F, each with a net
asset and liquidation value of $25,000 per share plus accrued dividends.
Dividends and distributions of net realized capital gains if any, are accumulated daily at an annual rate set through auction procedures.
For the period October 29, 2004 (commencement of operations) through February 28, 2005, the annualized dividend rate ranged from:
|
|
|
|
|
|||||
|
|
|
|
|
|
|
|||
Series M
|
2.57 | % | 2.22 | % | 2.52 | % | |||
Series T
|
2.57 | % | 2.24 | % | 2.55 | % | |||
Series W
|
2.55 | % | 2.19 | % | 2.55 | % | |||
Series TH
|
2.58 | % | 2.19 | % | 2.58 | % | |||
Series F
|
2.62 | % | 2.22 | % | 2.62 | % |
The Fund is subject to certain limitations and restrictions while Preferred Shares are outstanding. Failure to comply with these limitations and restrictions could preclude the Fund from declaring any dividends or distributions to common shareholders or repurchasing common shares and/or could trigger the mandatory redemption of Preferred Shares at their liquidation value.
Preferred Shares, which are entitled to one vote per share, generally vote with the common stock but vote separately as a class to elect two Trustees and on any matters affecting the rights of the Preferred Shares.
6. Subsequent Common Dividend Declarations
On
March 4, 2005, a dividend of $0.101157 per share was declared to common shareholders
payable April 1, 2005 to shareholders of record on March 18, 2005.
On April 1, 2005, a dividend of $0.101157 per share was declared to common shareholders payable May 6, 2005 to shareholders of record on April 15, 2005.
7. Legal Proceedings
On
September 13, 2004, the Securities and Exchange Commission (the Commission) announced that the Investment Manager and certain of its affiliates had agreed to a settlement of charges that they and certain
of their officers had, among other things, violated various antifraud provisions of the federal securities laws in connection with an alleged market-timing arrangement involving trading of shares of various open-end investment companies
(open-end funds) advised or distributed by the Investment Manager
and certain of its affiliates. In their settlement with the Commission, the Investment
Manager and their affiliates consented to the entry of an order by the Commission
and, without admitting or denying the findings contained in the order, agreed
to implement certain compliance and governance changes and consented to cease-
22 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 02.28.05 | |
and-desist orders and censures. In addition, the Investment Manager and its affiliates agreed to pay civil money penalties in the aggregate amount $40 million and to pay disgorgement in the amount of $10 million, for an aggregate payment of $50 million. In connection with the settlement, the Investment Manager and its affiliates have been dismissed from the related complaint the Commission filed on May 6, 2004 in the U.S. District Court in the Southern District of New York. Neither the complaint nor the order alleges any inappropriate activity took place with respect to the Fund.
In a related action on June 1, 2004, the Attorney General of the State of New Jersey announced that it had entered into a settlement agreement with Allianz Global and certain other affiliates of the Investment Manager, in connection with a complaint filed by the New Jersey Attorney General (NJAG) on February 17, 2004. The NJAG dismissed claims against the Sub-Adviser, which had been part of the same complaint. In the settlement, Allianz Global and other named affiliates neither admitted nor denied the allegations or conclusions of law, but did agree to pay New Jersey a civil fine of $15 million and $3 million for investigative costs and further potential enforcement initiatives against unrelated parties. They also undertook to implement certain governance changes. The complaint relating to the settlement contained allegations arising out of the same matters that were subject of the Commission order regarding market timing described above.
On September 15, 2004, the Commission announced that the Investment Manager and certain of its affiliates agreed to settle an enforcement action in connection with charges that they violated various antifraud and other provisions of federal securities laws as a result of, among other things, their failure to disclose to the board of trustees and shareholders of various open-end funds advised or distributed by the Investment Manager and its affiliates material facts and conflicts of interest that arose from their use of brokerage commissions on portfolio transactions to pay for so-called shelf space arrangements with certain broker-dealers. In the settlement, the Investment Manager and its affiliates consented to the entry of an order by the Commission without admitting or denying the findings contained in the order. In connection with the settlement, the Investment Manager and its affiliates agreed to undertake certain compliance and disclosure reforms and consented to cease-and-desist orders and censures. In addition, the Manager and these affiliates agreed to jointly pay a civil money penalty of $5 million and to pay disgorgement of $6.6 million based upon the amount of brokerage commissions alleged to have been paid by such open-end funds in connection with these arrangements (and related interest). In a related action, the California Attorney General announced on September 15, 2004 that it had entered an agreement with an affiliate of the Investment Manager in resolution of an investigation into matters that are similar to those discussed in the Commissions order. The settlement agreement resolves matters described in the complaint filed by the California Attorney General in the Superior Court of the State of California alleging, among other things, that this affiliate violated certain antifraud provisions of California law by failing to disclose matters related to the shelf-space arrangements described above. In the settlement agreement, the affiliate did not admit to any liability but agreed to pay $5 million in civil penalties and $4 million in recognition of the California Attorney Generals fees and costs associated with the investigation and related matters. Neither the Commissions order nor the California Attorney Generals complaint alleges any inappropriate activity took place with respect to the Fund.
Since February 2004, the Investment Manager, the Sub-Adviser and certain of their affiliates have been named as defendants in 14 lawsuits filed in U.S. District Court in the Southern District of New York, the Central District of California and the Districts of New Jersey and Connecticut. Ten of those lawsuits concern market timing, and they have been transferred to and consolidated for pre-trial proceedings in the U.S. District Court for the District of Maryland; the remaining four lawsuits concern revenue sharing with brokers offering shelf space and have been consolidated into a single action in the U.S. District Court for the District of Connecticut. The lawsuits have been commenced as putative class actions on behalf of investors who purchased, held or redeemed shares of affiliated funds during specified periods or as derivative actions on behalf of the funds. The lawsuits generally relate to the same facts that are the subject of the regulatory proceedings discussed above. The lawsuits seek, among other things, unspecified compensatory damages plus interest and, in some cases, punitive damages, the rescission of investment advisory contracts, the return of fees paid under those contracts and restitution. The Investment Manager and the Sub-Adviser believe that other similar lawsuits may be filed in U.S. federal or state courts naming as defendants the Investment Manager, the Sub-Adviser, Allianz Global, the Fund, other open- and closed-end funds advised or distributed by the Investment Manager, the SubAdviser and/or their affiliates, the boards of trustees of those funds, and/or other affiliates and their employees.
Under Section 9(a) of the Investment Company Act of 1940, if any of the various regulatory proceedings or lawsuits were to result in a court injunction against the Investment Manager, the Sub-Adviser, Allianz Global and/or their affiliates, they and their affiliates would, in the absence of exemptive relief granted by the Commission, be barred from serving as an investment adviser/sub-adviser or principal underwriter for any registered investment company, including the Fund.
In connection with an inquiry from the Commission concerning the status of the New Jersey settlement described above under Section 9(a), the Investment Manager, the Sub-Adviser, and certain of their affiliates (together, the Applicants)
| 02.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 23 |
7. Legal Proceedings (continued)
have sought exemptive relief from the Commission under Section 9(c) of the Investment Company Act of 1940. The Commission has granted the Applicants a temporary exemption from the provisions of Section 9(a) with respect to the New Jersey settlement until the earlier of (i) September 13, 2006 and (ii) the date on which the Commission takes final action on their application for a permanent order. There is no assurance that the Commission will issue a permanent order.
It is possible that these matters and/or other developments resulting from these matters could lead to a decrease in the market price of the Funds shares or other adverse consequences to the Fund and its shareholders. However, the Investment Manager and the Sub-Adviser believe that these matters are not likely to have a material adverse effect on the Fund or on the Investment Managers or the Sub-Advisers ability to perform its respective investment advisory services relating to the Fund.
8. Corporate Changes
On
December 14, 2004, Thomas J. Fuccillo was appointed as the Funds Secretary.
On February 16, 2005, David C. Flattum was appointed to the Board of Trustees.
24 PIMCO Floating Rate Strategy Fund Semi-Annual Report | 02.28.05 | |
|
||||
|
||||
|
||||
|
||||
|
|
|
||
Net asset value, beginning of period |
$
|
19.10 | ||
|
|
|
|
|
Investment Operations: | ||||
Net investment income | 0.23 | |||
|
|
|
|
|
Net realized and unrealized gain on investments, swaps and | ||||
foreign currency transactions | 0.30 | |||
|
|
|
|
|
Total from investment operations | 0.53 | |||
|
|
|
|
|
Dividends on Preferred Shares from Net Investment Income | (0.05 | ) | ||
|
|
|
|
|
Net increase in net assets applicable to common shares resulting from | ||||
investment operations | 0.48 | |||
|
|
|
|
|
Dividends to Common Shareholders from Net Investment Income | (0.28 | ) | ||
|
|
|
|
|
Capital Share Transactions: | ||||
Common stock offering costs charged to paid-in capital in excess of par | (0.03 | ) | ||
|
|
|
|
|
Preferred shares offering costs/underwriting discount charged to paid-in | ||||
capital in excess of par | (0.13 | ) | ||
|
|
|
|
|
Total capital share transactions | (0.16 | ) | ||
|
|
|
|
|
Net asset value, end of period |
$
|
19.14 | ||
|
|
|
|
|
Market price, end of period |
$
|
19.54 | ||
|
|
|
|
|
Total Investment Return (1) | (0.85 | )% | ||
|
|
|
|
|
RATIO/SUPPLEMENTAL DATA: | ||||
Net assets applicable to common shareholders, end of period (000) |
$
|
793,240 | ||
|
|
|
|
|
Ratio of expenses to average net assets (2)(3)(4) | 1.16 | % | ||
|
|
|
|
|
Ratio of net investment income to average net assets (2)(4) | 3.71 | % | ||
|
|
|
|
|
Preferred shares asset coverage per share |
$
|
66,301 | ||
|
|
|
|
|
Portfolio turnover | 11 | % | ||
|
|
|
|
* |
Commencement of operations. |
** |
Initial public offering
price of $20.00 per
share less underwriting discount of $0.90 per share. |
(1) |
Total investment return
is calculated assuming a purchase of common stock at the current market
price on the first day and a sale at the current market price on the
last day of the period reported. Dividends are assumed, for purposes
of this calculation, to be reinvested at prices obtained under the
Funds dividend reinvestment plan. Total investment return does
not reflect brokerage commissions or sales charges. Total investment return
for a period of less than one year is not annualized. |
(2) |
Calculated on the basis of income and expenses
applicable to both common and preferred shares relative to the average net assets
of common shareholders. |
(3) |
Inclusive of expenses offset by custody credits
earned on cash balances at the custodian bank. (See note 1(m) in Notes to Financial
Statements). |
(4) |
Annualized. |
See accompanying Notes to Financial Statements | 02.28.05 | PIMCO Floating Rate Strategy Fund Semi-Annual Report 25 |
(This Page Intentionally Left Blank)
(This Page Intentionally Left Blank)
(This Page Intentionally Left Blank)
This report, including the financial information herein, is transmitted to the shareholders of PIMCO Floating Rate Strategy Fund for their information. It is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase shares of its common stock in the open market.
The financial information included herein is taken from the records of the Fund without examination by an independent registered public accounting firm, who did not express an opinion hereon.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (the Commission) for the first and third quarter of its fiscal year on Form N-Q Form N-Q is available (i) on the Funds website at www.allianzinvestors.com (ii) on the Commissions website at www.sec.gov, and (iii) at the Commissions Public Reference Room which is located at the Commissions headquarters office, 450 5th Street N.W., Room 1200, Washington D.C. 20459, (202) 942-8090.
A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling the Funds transfer agent at (800) 331-1710 and (ii) on the Funds website at www.allianzinvestors.com.
Information on the Fund is available at www.allianzinvestors.com or by calling the Funds transfer agent at 1-800-331-1710.
ITEM 2. CODE OF ETHICS
Not required in this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Not required in this filing
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not required in this filing
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANT
Not required in this filing
ITEM 6. SCHEDULE OF INVESTMENTS Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES
FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not required in this filing
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not effective at the time of this filing
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT
INVESTMENT
COMPANY AND AFFILIATED COMPANIES.
Total Number | ||||||||
of Shares Purchased | Maximum Number of | |||||||
Total Number | Average | as Part of Publicly | Shares that May yet Be | |||||
of Shares | Price Paid | Announced Plans or | Purchased Under the Plans | |||||
Period | Purchased | Per Share | Programs | or Programs | ||||
|
||||||||
November 2004 | N/A | N/A | N/A | N/A | ||||
December 2004 | N/A | N/A | N/A | N/A | ||||
January 2005 | N/A | 19.08 |
|
N/A | ||||
February 2005 | N/A | 19.09 |
|
N/A |
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
In January 2004, the Registrant's Board of Trustees adopted a Nominating Committee Charter governing the affairs of the Nominating Committee of the Board, which is posted on the Allianz Investors website at www.allianzinvestors.com. Appendix B to the Nominating Committee Charter includes Procedures for Shareholders to Submit Nominee Candidates, which sets forth the procedures by which shareholders may recommend nominees to the Registrant's Board of Trustees. Among other requirements, the procedures provide that the recommending shareholder must submit any recommendation in writing to the Registrant to the attention of the Registrant's Secretary, at the address of the principal executive offices of the Registrant and that such submission must be received at such offices not less than 45 days
nor more than 75 days prior to the date of the Board or shareholder meeting at which the nominee would be elected. Any recommendation must include certain biographical and other information regarding the candidate and the recommending shareholder, and must include a written and signed consent of the candidate to be named as a nominee and to serve as a Trustee if elected. The foregoing description of the requirements is only a summary and is qualified in its entirety by reference to Appendix B of the Nominating Committee Charter.
ITEM 11. 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 12. EXHIBITS
(a)(1) | Exhibit 99.CERT - Certification pursuant to Section 302 of the |
Sarbanes-Oxley Act of 2002 | |
(b) | Exhibit 99.906CERT - Certification pursuant to Section 906 of |
the Sarbanes-Oxley Act of 2002 |
Signature
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.
PIMCO Floating Rate Strategy Fund
By /s/ Brian S. Shlissel
Brian S. Shlissel, President & Chief Executive
Officer
Date: May 10, 2005
By /s/ Lawrence G. Altadonna
Lawrence G. Altadonna, Treasurer, Principal Financial & Accounting
Officer
Date: May 10, 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 dates indicated.
By /s/ Brian S. Shlissel
Brian S. Shlissel, President & Chief Executive
Officer
Date: May 10, 2005
By /s/ Lawrence G. Altadonna
Lawrence G. Altadonna, Treasurer, Principal Financial & Accounting
Officer
Date: May 10, 2005