UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number

811-21374

 

PIMCO Floating Rate Income Fund

(Exact name of registrant as specified in charter)

 

1345 Avenue of the Americas, New York, NY

 

10105

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna - 1345 Avenue of the Americas, New York, New York 10105

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

July 31, 2008

 

 

Date of reporting period:

January 31, 2008

 

 

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 SHAREHOLDERS

 

 

 

Contents

 

 

 

Letter to Shareholders

1

 

 

Fund Insights/Performance & Statistics

2-3

 

 

Schedules of Investments

4-25

 

 

Statements of Assets and Liabilities

26

 

 

Statements of Operations

27

 

 

Statements of Changes in Net Assets

28-29

 

 

Statements of Cash Flows

30

 

 

Notes to Financial Statements

31-43

 

 

Financial Highlights

44-45

 

 

Annual Shareholder Meeting Results/Proxy Voting Policies & Procedures

46

 

 

 

 

 

 

 


 

 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Letter to Shareholders

 

March 10, 2008

 

Dear Shareholder:

 

We are pleased to provide you with the semi-annual report for the PIMCO Floating Rate Income Fund and PIMCO Floating Rate Strategy Fund (collectively the “Funds”) for the six months ended January 31, 2008.

 

The Federal Reserve reduced short-term interest rates five times during the period, moving the Federal Funds target from 5.25% at the beginning of the reporting period to 3.00% at the period’s end, as economic weakness and lack of liquidity threatened to extend economic slowing to recession. Bonds advanced during the period in most categories, as stocks weakened. Subsequent to the end of the period, industry-wide developments in the auction-rate preferred markets have caused auctions for preferred shares of both Funds to fail, as described in the accompanying Notes to Financial Statements.

 

Please refer to the following pages for specific information on the Funds. If you have any questions regarding the information provided, we encourage you to contact your financial advisor or call the Funds’ shareholder servicing agent at (800) 331-1710. In addition, a wide range of information and resources are available on our Web site at www.allianzinvestors.com/closedendfunds.

 

Together with Allianz Global Investors Fund Management LLC, the Funds’ investment manager, and Pacific Investment Management Company LLC (“PIMCO”), the Funds’ sub-adviser, we thank you for investing with us.

 

We remain dedicated to serving your investment needs.

 

Sincerely,

 

 

 

Hans W. Kertess

Brian S. Shlissel

 

 

Chairman

President & Chief Executive Officer

 

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 1

 


 

 

PIMCO Floating Rate Income Fund Fund Insights/Performance & Statistics

January 31, 2008 (unaudited)

 

·                  For the six months ended January 31, 2008, PIMCO Floating Rate Income Fund returned (2.99)% on net asset value (NAV) and (1.69)% on market price.

·                  Avoiding the home-construction and housing sectors, which continued to decline alongside the fallout in the sub-prime mortgage sector, was positive for Fund performance.

·                  An emphasis on the telecom sector, which significantly outperformed the overall leveraged-loan market, was a strong contributor to Fund performance during the period.

·                  A relatively minimal allocation to the retail sector, which was among the worst performing sectors during the period, benefited returns.

·                  An emphasis on improving quality over the period benefited performance, as higher rated loans significantly outperformed lower quality issues.

·                  As the auto sector came under pressure, underperforming during the period, a relatively significant allocation to the sector detracted from Fund performance.

·                  A larger-than-market weighting in technology hindered the Fund’s returns, as these loans underperformed during the reporting period.

·                  Security selection in the media sector detracted from Fund performance, as broadcasting and cable underperformed the broader sector.

 

Total Return(1):

 

Market Price

 

  NAV

 

Six months

 

(1.69

)%

 

(2.99

)%

 

1 Year

 

(11.48

)%

 

(7.86

)%

 

3 Year

 

1.08

%

 

2.28

%

 

Commencement of Operations (8/29/03) to 1/31/08

 

3.90

%

 

3.71

%

 

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

 

Commencement of Operations (8/29/03) to 1/31/08

Market Price

 

$16.38

 

 NAV

NAV

 

$15.76

 

 Market Price

Premium to NAV

 

3.93%

 

 

Market Price Yield(2)

 

8.03%

 

Portfolio Composition
(as a % of total investments)

 

 

 

(1) 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 of the Fund’s income dividends and capital gains distributions have been reinvested. Total return does not reflect broker commissions or sales charges. Total return for a period of less than one year is not annualized. Total return for a period of more than one year represents the average annual total return.

 

Returns are calculated by determining the percentage change in net asset value or market share price (as applicable) with all distributions reinvested. The Fund’s performance at market price will differ from its results at NAV. Although market price returns typically reflect investment results over time, during shorter periods, returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund’s shares, or changes in Fund distributions.

 

An investment in the Fund involves risk, including the loss of principal. Total return, market price, market 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 equal to the total assets attributable to common shareholders less total liabilities divided by the number of common shares outstanding. Holdings are subject to change daily.

 

(2) 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 January 31, 2008.

 

2 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Strategy Fund Fund Insights/Performance & Statistics

January 31, 2008 (unaudited)

 

·                  For the six months ended January 31, 2008, PIMCO Floating Rate Strategy Fund returned (4.25)% on net asset value (NAV) and (7.83)% on market price.

·                  An emphasis on the telecom sector, which outperformed the overall leveraged-loan market, was a strong contributor to Fund performance during the period.

·                  Avoiding the home-construction and housing sectors, which continued their decline alongside the fallout in the subprime mortgage sector, was positive for Fund performance.

·                  As the auto sector came under pressure, underperforming during the period, a relatively significant allocation to the sector detracted from Fund performance.

·                  A larger-than-market weighting in utilities hindered the Fund’s returns, as these loans were among the worst performers during the period.

·                  Security selection in the media sector detracted from Fund performance, as broadcasting and cable underperformed the broader sector.

 

Total Return(1):

 

Market Price

 

NAV

 

Six months

 

(7.83

)%

 

(4.25

)%

 

1 Year

 

(13.80

)%

 

(9.62

)%

 

3 Year

 

0.76

%

 

1.95

%

 

Commencement of Operations (10/29/04) to 1/31/08

 

0.36

%

 

1.99

%

 

 

Market Price/NAV Performance:

Market Price/NAV:

 

 

 

Commencement of Operations (10/29/04) to 1/31/08

Market Price

 

$15.10

 

 NAV

NAV

 

$15.26

 

 Market Price

Discount to NAV

 

(1.05)%

 

 

Market Price Yield(2)

 

8.38%

 

 

Portfolio Composition
(as a % of total investments)

 

 

(1) 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 of the Fund’s income dividends and capital gains distributions have been reinvested. Total return does not reflect broker commissions or sales charges. Total return for a period of less than one year is not annualized. Total return for a period of more than one year represents the average annual total return.

 

Returns are calculated by determining the percentage change in net asset value or market share price (as applicable) with all distributions reinvested. The Fund’s performance at market price will differ from its results at NAV. Although market price returns typically reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about the Fund, market conditions, supply and demand for the Fund’s shares, or changes in Fund distributions.

 

An investment in the Fund involves risk, including the loss of principal. Total return, market price, market 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 equal to the total assets attributable to common shareholders less total liabilities divided by the number of common shares outstanding. Holdings are subject to change daily.

 

(2) 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 January 31, 2008.

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 3


 

PIMCO Floating Rate Income Fund Schedule of Investments

January 31, 2008 (unaudited)

Principal
 Amount
      (000)

 

 

 

Value

 

SENIOR LOANS (a)(c) —64.5%

 

 

 

 

 

 

 

Advertising – 0.7%

 

 

 

 

 

West Corp.,

 

 

 

$1,847

 

5.619%, 10/23/13

 

$1,709,036

 

210

 

5.66%, 10/23/13

 

194,559

 

1,852

 

6.093%, 10/23/13

 

1,713,805

 

68

 

7.735%, 10/23/13

 

63,285

 

 

 

 

 

3,680,685

 

Aerospace – 0.1%

 

 

 

750

 

TransDigm Group, Inc., 6.588%, 6/23/13, Term B (b)

 

722,812

 

Airlines – 0.5%

 

 

 

2,970

 

Northwest Airlines Corp., 5.99%, 8/22/08 (b)

 

2,661,862

 

Apparel & Textiles – 0.5%

 

 

 

995

 

Aearo Technologies, Inc., 7.08%, 6/5/14, Term B (b)

 

986,294

 

 

 

Simmons Co., Term C (b),

 

 

 

888

 

4.875%, 12/19/11

 

811,593

 

97

 

5.313%, 12/19/11

 

88,690

 

366

 

6.375%, 12/19/11

 

334,678

 

92

 

6.50%, 12/19/11

 

83,669

 

37

 

6.938%, 12/19/11

 

33,468

 

73

 

7.125%, 12/19/11

 

66,935

 

73

 

7.375%, 12/19/11

 

66,935

 

73

 

7.438%, 12/19/11

 

66,935

 

4

 

8.75%, 12/19/11

 

3,347

 

 

 

 

 

2,542,544

 

Automotive – 1.3%

 

 

 

5,940

 

Ford Motor Corp., 8.00%, 12/15/13, Term B

 

5,216,401

 

1,489

 

General Motors Corp., 7.056%, 11/29/13

 

1,366,089

 

 

 

 

 

6,582,490

 

Automotive Products – 1.2%

 

 

 

 

 

Cooper Standard Automotive, Inc.,

 

 

 

1,346

 

7.375%, 12/31/11, Term B

 

1,281,177

 

3,365

 

7.375%, 12/31/11, Term C

 

3,202,221

 

2,000

 

Goodyear Tire & Rubber Co., 6.43%, 4/20/14, Term B

 

1,832,500

 

 

 

 

 

6,315,898

 

Banking – 0.4%

 

 

 

 

 

Aster Co., Ltd. (b),

 

 

 

1,092

 

7.393%, 9/19/13, Term B

 

1,015,699

 

1,132

 

7.393%, 9/19/14, Term C

 

1,055,543

 

 

 

 

 

2,071,242

 

Building/Construction – 1.5%

 

 

 

4,000

 

Building Materials Corp., 9.563%, 9/14/14 (b)

 

3,245,716

 

 

 

Masonite International Corp., Term B (b),

 

 

 

1,901

 

5.331%, 4/6/13

 

1,646,093

 

513

 

6.83%, 4/6/13

 

443,874

 

2,328

 

Nortek, Inc., 5.53%, 8/27/11 (b)

 

2,153,271

 

 

 

 

 

7,488,954

 

 

4 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Income Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Chemicals – 1.3%

 

 

 

 

 

INEOS Group Ltd.,

 

 

 

$3,840

 

7.357%, 10/7/12, Term A

 

$3,417,941

 

735

 

7.357%, 10/7/13, Term B

 

664,758

 

735

 

7.857%, 10/7/14, Term C

 

681,406

 

1,758

 

KRATON Polymers Group LLC, 6.75%, 5/11/13 (b)

 

1,633,036

 

 

 

 

 

6,397,141

 

Commercial Products – 0.2%

 

 

 

 

 

iPayment, Inc. (b),

 

 

 

194

 

6.081%, 12/27/12

 

170,874

 

782

 

6.83%, 12/27/12

 

688,237

 

 

 

 

 

859,111

 

Computer Services – 1.3%

 

 

 

 

 

PanAmSat Corp.,

 

 

 

2,703

 

5.144%, 7/3/12

 

2,411,170

 

1,000

 

5.144%, 1/3/14 (b)

 

875,714

 

3,422

 

SunGard Data Systems, Inc., 6.898%, 2/11/13

 

3,179,634

 

 

 

 

 

6,466,518

 

Computer Software – 2.5%

 

 

 

 

 

Infor Global Solutions (b),

 

 

 

€1,247

 

7.771%, 8/1/12

 

1,679,940

 

$899

 

8.58%, 8/1/12

 

818,488

 

467

 

8.58%, 8/1/12, Term DD

 

425,064

 

7,481

 

Thomson Learning, Inc., 6.03%, 6/27/14, Term B

 

6,753,908

 

3,000

 

Trilogy International, Inc., 8.33%, 6/22/12 (b)

 

2,745,000

 

 

 

 

 

12,422,400

 

Consumer Products – 1.9%

 

 

 

1,932

 

Education Management Corp., 6.625%, 2/13/14, Term B (b)

 

1,790,687

 

 

 

Jarden Corp., Term B,

 

 

 

2,947

 

6.58%, 1/24/12 (b)

 

2,767,682

 

1,496

 

7.33%, 1/24/12

 

1,428,919

 

 

 

National Mentor, Inc. (b),

 

 

 

56

 

5.32%, 6/30/13

 

51,940

 

613

 

6.73%, 6/30/13, Term B

 

568,500

 

1,000

 

6.904%, 6/30/12

 

927,500

 

317

 

7.32%, 6/30/13, Term B

 

293,927

 

1,995

 

Pinnacle Foods, 7.58%, 3/30/14, Term B (b)

 

1,805,475

 

 

 

 

 

9,634,630

 

Containers & Packaging – 2.4%

 

 

 

 

 

Graham Packaging Holdings Co., Term B,

 

 

 

807

 

6.813%, 10/18/11

 

750,088

 

1,558

 

7.00%, 10/18/11

 

1,449,034

 

14

 

7.125%, 10/18/11

 

12,786

 

733

 

7.188%, 10/18/11

 

681,898

 

1,173

 

7.438%, 10/18/11

 

1,091,037

 

1,173

 

7.75%, 10/18/11

 

1,091,037

 

 

 

Graphic Packaging International Corp.,

 

 

 

1,194

 

5.331%, 5/3/14

 

1,098,877

 

427

 

5.951%, 5/3/14

 

393,433

 

1,251

 

6.729%, 5/3/14

 

1,151,958

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 5

 


 

PIMCO Floating Rate Income Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Containers & Packaging (continued)

 

 

 

 

 

Intertape Polymer Group, Inc., Term B (b),

 

 

 

$663

 

7.90%, 7/28/11

 

$658,856

 

31

 

8.54%, 7/28/11

 

30,558

 

188

 

8.646%, 7/28/11

 

186,328

 

 

 

Smurfit-Stone Container,

 

 

 

368

 

5.313%, 11/1/10, Term C

 

352,395

 

224

 

5.313%, 11/1/11, Term B

 

214,321

 

482

 

5.313%, 11/1/11, Term C

 

461,955

 

742

 

5.393%, 11/1/10

 

710,963

 

608

 

7.125%, 11/1/11, Term B

 

582,757

 

1,217

 

7.125%, 11/1/11, Term C

 

1,165,175

 

 

 

 

 

12,083,456

 

Diversified Manufacturing – 1.3%

 

 

 

3,818

 

Grant Forest Products, 12.75%, 9/16/13 (b)

 

3,236,110

 

 

 

Invensys PLC (b),

 

 

 

521

 

6.604%, 7/17/13

 

517,945

 

479

 

6.898%, 7/17/13

 

477,055

 

 

 

KION Group GmbH (b),

 

 

 

1,250

 

6.751%, 12/20/14, Term B

 

1,135,937

 

1,250

 

7.251%, 12/20/15, Term C

 

1,142,188

 

 

 

 

 

6,509,235

 

Drugs & Medical Products – 2.3%

 

 

 

€1,000

 

Bausch & Lomb, Inc., 8.015%, 4/11/15

 

1,447,457

 

 

 

Mylan Laboratories, Inc., Term B (b),

 

 

 

$1,826

 

6.625%, 10/2/14

 

1,789,765

 

1,174

 

8.125%, 10/2/14

 

1,150,235

 

 

 

Nycomed Holdings (b),

 

 

 

€1,135

 

7.013%, 12/20/15, Term B

 

1,364,736

 

€865

 

7.013%, 12/29/16, Term B

 

1,040,009

 

€2,000

 

7.763%, 12/20/15, Term C

 

2,419,729

 

 

 

Warner Chilcott PLC,

 

 

 

$609

 

5.112%, 1/18/12, Term B

 

581,187

 

85

 

5.271%, 1/18/12, Term B

 

81,003

 

1,141

 

6.83%, 1/18/12, Term B

 

1,089,723

 

633

 

6.83%, 1/18/12, Term C

 

604,134

 

 

 

 

 

11,567,978

 

Energy – 1.3%

 

 

 

 

 

Alon USA Energy, Inc. (b),

 

 

 

1,751

 

5.521%, 6/8/13

 

1,632,911

 

219

 

5.521%, 6/8/13, Term DD

 

204,114

 

2,432

 

Headwaters, Inc., 6.79%, 4/30/11, Term B (b)

 

2,322,841

 

1,500

 

NRG Energy Holding, 6.48%, 2/1/13 (e)

 

1,381,688

 

 

 

Targa Resources, Inc.,

 

 

 

290

 

4.705%, 10/31/11

 

278,855

 

24

 

6.83%, 10/31/12, Term B

 

23,238

 

158

 

6.906%, 10/31/12, Term B

 

151,325

 

339

 

7.36%, 10/5/12, Term B

 

325,331

 

 

 

 

 

6,320,303

 

 

6 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Income Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Entertainment – 3.2%

 

 

 

$10,661

 

MGM Studios, 8.108%, 4/8/12, Term B

 

$9,526,693

 

 

 

Revolution Studios LLC (b),

 

 

 

785

 

5.78%, 12/25/12, Term A

 

743,835

 

1,699

 

7.03%, 12/25/14, Term B

 

1,639,698

 

 

 

Warner Music Group, Inc., Term B,

 

 

 

804

 

5.718%, 2/28/11

 

753,698

 

310

 

5.894%, 2/28/11

 

290,442

 

1,125

 

7.015%, 2/28/11

 

1,054,687

 

2,086

 

7.541%, 2/28/11

 

1,955,162

 

 

 

 

 

15,964,215

 

Financial Services – 4.6%

 

 

 

 

 

Bearingpoint, Inc. (b),

 

 

 

1,125

 

9.07%, 5/18/12

 

990,000

 

375

 

9.281%, 5/18/12

 

330,000

 

6,982

 

Chrysler Financial Corp., 8.99%, 8/3/12

 

6,284,250

 

2,500

 

Delphi Corp., 7.376%, 7/1/08, Term C (b)

 

2,468,750

 

 

 

First Data Corp.,

 

 

 

275

 

7.58%, 9/24/14 (b)

 

249,348

 

3,715

 

7.634%, 9/24/14, Term B

 

3,363,868

 

5,955

 

Nielson Finance, 7.146%, 8/9/13, Term B

 

5,519,952

 

 

 

Nuveen Investments, Term B,

 

 

 

1,927

 

6.285%, 11/1/14

 

1,870,123

 

2,073

 

7.83%, 11/13/14

 

2,012,689

 

 

 

 

 

23,088,980

 

Food Services – 1.8%

 

 

 

 

 

Arby’s Restaurant Group, Inc., Term B,

 

 

 

679

 

5.494%, 7/25/12

 

650,679

 

2,231

 

5.521%, 7/25/12

 

2,137,636

 

670

 

7.08%, 7/25/12

 

641,694

 

1,470

 

Bolthouse Farms, Inc., 7.50%, 11/17/12, Term B (b)

 

1,394,662

 

3,165

 

Michael Foods, Inc., 6.845%, 11/21/10, Term B (b)

 

3,106,829

 

1,492

 

Sturm Foods, Inc., 5.813%, 1/30/14, Term B (b)

 

1,231,312

 

 

 

 

 

9,162,812

 

Healthcare & Hospitals – 6.3%

 

 

 

5,486

 

Biomet, Inc., 7.857%, 3/25/15, Term B

 

5,337,249

 

 

 

Capio AB (b),

 

 

 

€650

 

6.552%, 3/8/15, Term B

 

937,430

 

€650

 

6.677%, 3/8/16, Term C

 

932,618

 

 

 

Community Health Systems, Inc., Term B,

 

 

 

$480

 

7.072%, 7/2/14

 

443,727

 

1,397

 

7.331%, 7/25/14

 

1,292,533

 

 

 

DaVita, Inc., Term B,

 

 

 

681

 

4.78%, 10/5/12

 

647,566

 

75

 

5.76%, 10/5/12

 

71,047

 

420

 

6.23%, 10/5/12

 

398,894

 

44

 

6.49%, 10/5/12

 

41,792

 

66

 

6.52%, 10/5/12

 

62,689

 

214

 

6.73%, 10/5/12

 

203,863

 

10,890

 

HCA, Inc., 7.08%, 11/16/13, Term B

 

10,089,411

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 7


 

PIMCO Floating Rate Income Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Healthcare & Hospitals (continued)

 

 

 

 

 

HealthSouth Corp.,

 

 

 

$12

 

5.78%, 2/2/13

 

$11,380

 

2,513

 

6.92%, 3/10/13

 

2,355,983

 

€1,000

 

ISTA, 8.519%, 6/15/16 (b)

 

1,220,444

 

$902

 

MultiPlan, Inc., 5.771%, 4/12/13, Term B (b)

 

863,346

 

 

 

Psychiatric Solutions, Inc., Term B (b),

 

 

 

784

 

5.021%, 7/7/12

 

756,159

 

516

 

6.568%, 7/7/12

 

497,605

 

695

 

7.178%, 7/7/12

 

671,023

 

4,311

 

Renal Advantage, Inc., 8.098%, 10/6/12, Term B (b)

 

4,041,478

 

 

 

United Surgical (b),

 

 

 

835

 

5.49%, 4/18/14, Term B

 

760,453

 

48

 

6.791%, 4/18/14, Term DD

 

43,358

 

55

 

7.43%, 4/18/14, Term DD

 

49,972

 

 

 

 

 

31,730,020

 

Hotels/Gaming – 1.3%

 

 

 

308

 

CCM Merger, Inc., 7.151%, 7/21/12, Term B (b)

 

288,032

 

 

 

Las Vegas Sands Corp. (e),

 

 

 

600

 

3.00%, 5/23/14

 

533,063

 

2,400

 

6.58%, 5/23/14 (b)

 

2,132,251

 

 

 

MotorCity Casino, Term B (b),

 

 

 

2,838

 

6.843%, 7/21/12

 

2,653,494

 

770

 

7.015%, 7/21/12

 

720,079

 

 

 

 

 

6,326,919

 

Household Products – 0.7%

 

 

 

 

 

Springer S.A. (b),

 

 

 

1,000

 

7.094%, 9/16/11, Term B

 

939,688

 

2,800

 

8.121%, 9/16/12, Term C

 

2,645,126

 

 

 

 

 

3,584,814

 

Leasing – 0.4%

 

 

 

1,194

 

Rental Service Corp., 8.15%, 11/21/13 (b)

 

1,030,613

 

 

 

United Rentals, Inc. (b),

 

 

 

306

 

5.32%, 2/14/11, Term LC

 

293,593

 

727

 

6.09%, 2/14/11, Term B

 

697,959

 

 

 

 

 

2,022,165

 

Manufacturing – 1.9%

 

 

 

2,734

 

Bombardier, Inc., 6.43%, 6/26/13, Term B (b)

 

2,595,191

 

 

 

Dresser-Rand Group, Inc., Term T,

 

 

 

69

 

5.771%, 5/4/14

 

62,221

 

2,877

 

7.449%, 5/4/14

 

2,585,808

 

 

 

Lucite International Ltd. (b),

 

 

 

1,240

 

5.50%, 5/26/13, Term B

 

1,140,705

 

439

 

5.50%, 5/26/13, Term DD

 

403,894

 

2,992

 

Polypore, Inc., 5.52%, 5/15/14 (b)

 

2,820,431

 

 

 

 

 

9,608,250

 

Multi-Media – 5.8%

 

 

 

 

 

American Media Operations, Inc. (b),

 

 

 

1,500

 

8.16%, 1/30/13

 

1,410,000

 

1,500

 

8.34%, 1/30/13

 

1,410,000

 

985

 

Atlantic Broadband, Inc., 7.08%, 8/9/12, Term B (b)

 

937,450

 

3,000

 

Charter Communications, 7.33%, 9/6/14

 

2,622,480

 

 

8 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Income Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Multi-Media (continued)

 

 

 

$4,937

 

CSC Holdings, Inc., 6.896%, 2/24/13, Term B

 

$4,554,288

 

4,665

 

NTL Investment, 6.055%, 1/6/13, Term B

 

4,408,086

 

€1,000

 

ProSieben Sat.1 Media AG, 7.00% 5/9/15 (b)

 

1,291,823

 

 

 

Seven Media Group, Term T (b),

 

 

 

AUD 3,017

 

8.878%, 2/7/13

 

2,537,679

 

AUD 419

 

9.392%, 2/7/13

 

352,455

 

 

 

Univision Communications, Inc.,

 

 

 

$6,107

 

5.494%, 9/15/14, Term B

 

5,039,226

 

174

 

5.521%, 9/15/14, Term B

 

143,978

 

1,000

 

5.771%, 3/15/09

 

946,875

 

 

 

Young Broadcasting, Inc., Term B (b),

 

 

 

2,936

 

7.063%, 11/3/12

 

2,679,182

 

30

 

7.375%, 11/3/12

 

27,401

 

948

 

7.438%, 5/2/12

 

864,645

 

 

 

 

 

29,225,568

 

Oil & Gas – 0.3%

 

 

 

668

 

Big West Oil LLC, 5.50%, 5/2/14, Term B (b)

 

634,125

 

 

 

Oxbow Carbon & Minerals LLC (b),

 

 

 

888

 

6.83%, 5/4/14, Term B

 

801,438

 

80

 

6.83%, 5/4/14, Term DD

 

72,503

 

27

 

7.00%, 5/4/14, Term B

 

24,228

 

 

 

 

 

1,532,294

 

Paper/Paper Products – 0.9%

 

 

 

 

 

Georgia-Pacific Corp., Term B,

 

 

 

397

 

6.58%, 12/20/12

 

367,923

 

503

 

6.831%, 12/20/12

 

465,725

 

4,277

 

6.896%, 12/20/12

 

3,958,664

 

 

 

 

 

4,792,312

 

Printing/Publishing – 2.0%

 

 

 

 

 

Seat Pagine Gialle SpA (b),

 

 

 

€918

 

4.179%, 5/25/12, Term A

 

1,285,691

 

€626

 

4.179%, 6/8/13, Term B

 

886,419

 

 

 

Tribune Co.,

 

 

 

$4,367

 

7.396%, 5/30/09, Term X (e)

 

4,089,658

 

3,980

 

7.91%, 5/30/14, Term B

 

3,001,417

 

1,000

 

Verso Paper Holdings LLC, 9.489%, 2/1/13 (b)

 

925,000

 

 

 

 

 

10,188,185

 

Recreation – 3.0%

 

 

 

 

 

Amadeus Global Travel (b),

 

 

 

2,750

 

6.846%, 4/8/13, Term B

 

2,482,676

 

2,750

 

7.096%, 4/8/14, Term C

 

2,494,633

 

3,940

 

Cedar Fair L.P., 5.271%, 8/30/12

 

3,695,476

 

2,488

 

Six Flags Theme Parks, Inc., 7.25%, 4/30/15, Term B

 

2,156,180

 

 

 

Travelport,

 

 

 

1,780

 

7.08%, 8/23/13

 

1,645,869

 

2,992

 

7.08%, 8/23/13, Term DD

 

2,733,463

 

 

 

 

 

15,208,297

 

Retail – 0.2%

 

 

 

 

 

Neiman Marcus Group, Inc.,

 

 

 

1,280

 

6.90%, 4/6/13

 

1,179,734

 

20

 

7.09%, 4/6/13

 

18,433

 

 

 

 

 

1,198,167

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 9


 

PIMCO Floating Rate Income Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Telecommunications – 6.3%

 

 

 

$2,992

 

Alltel Corp., 6.773%, 5/15/15, Term B

 

$2,733,149

 

 

 

Centennial Cellular Communications Corp. (b),

 

 

 

4,332

 

6.83%, 2/9/11

 

4,199,763

 

335

 

7.081%, 1/20/11

 

324,957

 

 

 

eircom Group PLC (b),

 

 

 

€1,200

 

6.625%, 8/15/14, Term B

 

1,653,140

 

€1,200

 

6.875%, 8/15/15, Term C

 

1,659,989

 

$2,536

 

Hawaiian Telcom Communications, Inc., 7.08%, 6/1/14, Term C

 

2,250,896

 

 

 

Integra Telecom, Inc., Term T (b),

 

 

 

504

 

7.494%, 8/31/13

 

480,252

 

819

 

9.08%, 8/31/13

 

779,649

 

672

 

9.331%, 8/31/13

 

640,336

 

2,500

 

Intelsat Ltd., 5.644%, 2/15/14

 

2,448,958

 

 

 

Nordic Telephone Co. Holdings ApS,

 

 

 

€1,605

 

6.085%, 11/30/13, Term B

 

2,300,714

 

€1,922

 

6.335%, 11/30/14, Term C

 

2,766,489

 

€1,500

 

Telenet Bidco NV, 6.929%, 7/31/15, Term C (b)(g)

 

2,203,458

 

 

 

Telesat (b),

 

 

 

$1,300

 

8.37%, 10/31/08

 

1,241,500

 

1,598

 

9.00%, 10/31/08

 

1,525,807

 

 

 

Telesat Canada, Inc.,

 

 

 

2,213

 

6.25%, 10/22/14, Term B

 

2,099,701

 

945

 

7.84%, 10/22/14, Term B

 

896,457

 

21

 

8.00%, 10/22/14, Term DD (b)

 

19,921

 

527

 

8.09%, 10/22/14, Term B

 

500,024

 

102

 

9.00%, 10/31/08

 

97,693

 

1,000

 

Verizon IDEARC, Inc., 6.83%, 11/17/14, Term B

 

914,091

 

 

 

 

 

31,736,944

 

Transportation – 0.5%

 

 

 

 

 

Fleetpride Corp., Term B (b),

 

 

 

188

 

5.771%, 6/6/13

 

163,125

 

2,531

 

7.33%, 6/6/13

 

2,202,187

 

 

 

 

 

2,365,312

 

Utilities – 1.9%

 

 

 

 

 

AES Corp., Term B (b),

 

 

 

786

 

7.00%, 4/30/08

 

754,777

 

786

 

7.19%, 8/10/11

 

754,777

 

1,600

 

Sandridge Energy, Inc., 8.354%, 4/1/14 (b)

 

1,532,000

 

 

 

Texas Competitive Electric Holdings Co. LLC,

 

 

 

4,000

 

8.396%, 10/10/14

 

3,688,636

 

3,000

 

8.396%, 10/10/14, Term B

 

2,776,365

 

 

 

 

 

9,506,555

 

Waste Disposal – 0.9%

 

 

 

 

 

Allied Waste North America, Inc.,

 

 

 

1,663

 

4.60%, 3/28/14

 

1,561,999

 

853

 

5.43%, 3/28/14, Term B

 

800,882

 

432

 

5.46%, 3/28/14, Term B

 

406,082

 

76

 

6.36%, 3/28/14, Term B

 

71,464

 

72

 

6.42%, 3/28/14, Term B

 

67,680

 

504

 

6.88%, 3/28/14, Term B

 

473,762

 

€1,000

 

AVR-Bedrijven NV, 6.976%, 3/1/14 (b)

 

1,405,333

 

 

 

 

 

4,787,202

 

 

10 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Income Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

Wholesale — 0.7%

 

 

 

 

 

$3,930

 

Roundy’s, Inc., 7.91%, 10/27/11, Term B

 

 

 

$3,785,370

 

Wire & Cable Products – 1.1%

 

 

 

 

 

 

 

UPC Broadband Holding BV,

 

 

 

 

 

€3,143

 

6.193%, 12/31/14, Term M

 

 

 

4,184,158

 

€1,000

 

7.042%, 12/31/14

 

 

 

1,331,348

 

 

 

 

 

 

 

5,515,506

 

Total Senior Loans (cost-$348,307,145)

 

 

 

325,657,146

 

 

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES – 24.9%

 

 

 

 

 

 

 

 

 

 

 

 

 

Apparel & Textiles – 0.6%

 

 

 

 

 

3,500

 

Hanesbrands, Inc., 8.204%, 12/15/14, FRN

 

B2/B-

 

3,185,000

 

Automotive Products – 0.8%

 

 

 

 

 

4,000

 

Goodyear Tire & Rubber Co., 8.663%, 12/1/09, FRN (k)

 

Ba3/B

 

4,010,000

 

Banking – 0.9%

 

 

 

 

 

£2,464

 

Royal Bank of Scotland PLC, 9.370%, 4/6/11, FRN (g)

 

NR/NR

 

4,690,623

 

Building/Construction – 0.8%

 

 

 

 

 

€3,000

 

Grohe Holding GmbH, 7.451%, 1/15/14, FRN

 

B2/B

 

3,897,679

 

Commercial Services – 0.8%

 

 

 

 

 

$4,500

 

ARAMARK Corp., 6.751%, 2/1/15, FRN

 

B3/B-

 

4,050,000

 

Containers & Packaging – 0.2%

 

 

 

 

 

1,000

 

Berry Plastics Holding Corp., 8.866%, 9/15/14, FRN

 

B3/B

 

825,000

 

Drugs & Medical Products – 0.3%

 

 

 

 

 

1,500

 

Universal Hospital Services, Inc., 8.288%, 6/1/15, FRN

 

B3/B+

 

1,432,500

 

Electronics – 0.6%

 

 

 

 

 

1,796

 

Sanmina-SCI Corp., 7.741%, 6/15/10, FRN (a)(d)

 

B1/B+

 

1,796,000

 

1,400

 

Spansion LLC, 8.249%, 6/1/13, FRN (a)(d)

 

B1/BB-

 

1,043,000

 

 

 

 

 

 

 

2,839,000

 

Financial Services – 5.6%

 

 

 

 

 

2,500

 

Chukchansi Economic Dev. Auth., 8.238%, 11/15/12, FRN (a)(d)

 

B2/BB-

 

2,400,000

 

8,150

 

Ford Motor Credit Co. LLC, 7.127%, 1/13/12, FRN

 

B1/B

 

6,870,923

 

7,000

 

General Motors Acceptance Corp. LLC, 7.324%, 12/1/14, FRN

 

B1/B+

 

5,501,055

 

€3,000

 

Hellas Telecommunications Luxembourg V, 8.076%, 10/15/12, FRN

 

B1/B

 

4,080,903

 

$2,000

 

Hexion U.S. Finance Corp., 9.369%, 11/15/14, FRN

 

B3/B

 

1,950,000

 

 

 

LVB Acquisition Merger Sub., Inc. (a)(d),

 

 

 

 

 

600

 

10.00%, 10/15/17

 

B3/B-

 

621,000

 

600

 

10.375%, 10/15/17, PIK

 

B3/B-

 

606,000

 

800

 

11.625%, 10/15/17

 

Caa1/B-

 

785,000

 

 

 

Universal City Florida Holding Co.,

 

 

 

 

 

3,500

 

8.001%, 5/1/10, FRN

 

B3/B-

 

3,395,000

 

2,000

 

8.375%, 5/1/10

 

B3/B-

 

2,015,000

 

 

 

 

 

 

 

28,224,881

 

Hotels/Gaming – 1.4%

 

 

 

 

 

 

 

Harrah’s Operating Co., Inc. (a)(d),

 

 

 

 

 

2,336

 

10.75%, 2/1/16

 

B3/B-

 

2,125,760

 

664

 

10.75%, 2/1/18, PIK

 

B3/B-

 

567,720

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 11

 


 

PIMCO Floating Rate Income Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

Hotels/Gaming (continued)

 

 

 

 

 

$2,000

 

Mandalay Resort Group, 7.625%, 7/15/13

 

B1/B+

 

$1,895,000

 

3,000

 

Seminole Hard Rock Entertainment, Inc., 7.491%, 3/15/14, FRN (a)(d)

 

B1/BB

 

2,715,000

 

 

 

 

 

 

 

7,303,480

 

Insurance – 0.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

1,300

 

12.374%, 6/7/10

 

NR/BB

 

1,335,362

 

500

 

12.874%, 6/7/10

 

NR/BB+

 

514,100

 

 

 

 

 

 

 

1,849,462

 

Manufacturing – 0.9%

 

 

 

 

 

€3,250

 

Bombardier, Inc., 7.70%, 11/15/13, FRN (a)(d)

 

Ba2/BB

 

4,667,590

 

Metals & Mining – 0.4%

 

 

 

 

 

$2,150

 

Freeport-McMoRan Copper & Gold, Inc., 8.394%, 4/1/15, FRN (k)

 

Ba3/BB

 

2,115,062

 

Multi-Media – 2.6%

 

 

 

 

 

 

 

Cablevision Systems Corp.,

 

 

 

 

 

2,000

 

8.00%, 4/15/12

 

B3/B+

 

1,925,000

 

4,000

 

9.644%, 4/1/09, FRN

 

B3/B+

 

4,020,000

 

1,000

 

CCO Holdings LLC, 8.75%, 11/15/13

 

Caa1/CCC

 

935,000

 

4,000

 

Charter Communications Holdings II LLC, 10.25%, 9/15/10

 

Caa1/CCC

 

3,810,000

 

1,800

 

DirecTV Holdings LLC, 8.375%, 3/15/13 (k)

 

Ba3/BB-

 

1,869,750

 

1,000

 

ION Media Networks, Inc., 10.508%, 1/15/13, FRN (a)(d)

 

Caa1/CCC-

 

867,500

 

 

 

 

 

 

 

13,427,250

 

Paper/Paper Products – 1.0%

 

 

 

 

 

1,000

 

Abitibi-Consolidated, Inc., 8.491%, 6/15/11, FRN

 

B3/B

 

731,250

 

4,500

 

Verso Paper Holdings LLC, 7.001%, 8/1/14, FRN

 

B2/B+

 

4,297,500

 

 

 

 

 

 

 

5,028,750

 

Semi-Conductors – 0.9%

 

 

 

 

 

6,000

 

Freescale Semiconductor, Inc., 8.866%, 12/15/14, FRN

 

B2/B-

 

4,350,000

 

Telecommunications – 6.5%

 

 

 

 

 

4,000

 

Cincinnati Bell, Inc., 8.375%, 1/15/14

 

B2/B-

 

3,840,000

 

2,500

 

Hawaiian Telcom Communications, Inc., 10.318%, 5/1/13, FRN

 

Caa1/CCC

 

2,212,500

 

 

 

Intelsat Bermuda Ltd., FRN,

 

 

 

 

 

4,500

 

7.581%, 1/15/15

 

NR/NR

 

4,522,500

 

3,000

 

10.829%, 6/15/13

 

NR/NR

 

3,082,500

 

€2,950

 

Nordic Telephone Co. Holdings ApS, 9.883%, 5/1/16, FRN (a)(d)

 

B2/B

 

4,302,253

 

$5,200

 

Nortel Networks Ltd., 8.508%, 7/15/11, FRN

 

B3/B-

 

4,862,000

 

1,500

 

Qwest Capital Funding, Inc., 7.90%, 8/15/10

 

B1/B+

 

1,515,000

 

4,000

 

Qwest Communications International, Inc., 8.369%, 2/15/09, FRN (k)

 

Ba3/B+

 

4,000,000

 

2,000

 

Rural Cellular Corp., 8.25%, 3/15/12

 

Ba3/B+

 

2,070,000

 

3,000

 

TelCordia Technologies, Inc., 8.008%, 7/15/12, FRN (a)(d)

 

B2/B

 

2,565,000

 

 

 

 

 

 

 

32,971,753

 

Wire & Cable Products – 0.2%

 

 

 

 

 

1,000

 

Superior Essex Communications LLC, 9.00%, 4/15/12

 

B3/B+

 

945,000

 

Total Corporate Bonds & Notes (cost-$133,290,493)

 

 

 

125,813,030

 

 

12 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Income Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

MORTGAGE-BACKED SECURITIES – 0.3%

 

 

 

 

 

$1,527

 

Mellon Residential Funding Corp.,
4.586%, 11/15/31, CMO, FRN (cost-$1,526,624)

 

Aaa/AAA

 

$1,485,114

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES – 0.2%

 

 

 

 

 

 

 

Credit Suisse First Boston Mortgage Securities Corp., FRN,

 

 

 

 

 

12

 

4.076%, 7/25/32

 

Aaa/AAA

 

10,425

 

442

 

5.605%, 8/25/32

 

Aaa/AAA

 

404,860

 

444

 

GSAMP Trust, 3.666%, 3/25/34, FRN

 

Aaa/AAA

 

442,050

 

Total Asset-Backed Securities (cost-$898,204)

 

 

 

857,335

 

 

 

 

 

 

 

PREFERRED STOCK – 0.6%

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Services – 0.6%

 

 

 

 

 

30

 

Richmond Cnty. Capital Corp., 7.508%, FRN (a)(b)(d) (cost-$3,068,306)

 

 

 

3,017,813

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS – 9.5%

 

 

 

 

 

 

 

 

 

 

 

Principal
 Amount
      (000)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills (i) – 9.0%

 

 

 

 

 

$45,400

 

2.00%-3.13%, 2/28/08-3/13/08 (cost-$45,258,290)

 

 

 

45,258,290

 

Corporate Notes – 0.5%

 

 

 

 

 

Airlines – 0.2%

 

 

 

 

 

 

 

JetBlue Airways Corp., FRN,

 

 

 

 

 

819

 

7.969%, 5/15/08

 

B1/BB-

 

813,098

 

325

 

9.241%, 3/17/08

 

B1/BB-

 

325,516

 

 

 

 

 

 

 

1,138,614

 

Insurance – 0.3%

 

 

 

 

 

1,500

 

Parametric Re Ltd., 9.661%, 5/19/08, FRN (a)(d)

 

NR/NR

 

1,500,000

 

Total Corporate Notes (cost-$2,647,609)

 

 

 

2,638,614

 

Total Short-Term Investments (cost-$47,905,899)

 

 

 

47,896,904

 

 

 

 

 

 

 

OPTIONS PURCHASED (j) – 0.0%

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Call Options – 0.0%

 

 

 

 

 

164

 

U.S. Treasury Notes 10 yr. Futures (CBOT),
strike price $126, expires 2/22/08

 

 

 

2,562

 

Put Options – 0.0%

 

 

 

 

 

 

 

Financial Future Euro – 90 day (CME),

 

 

 

 

 

600

 

strike price $91.75, expires 3/17/08

 

 

 

2

 

216

 

strike price $92.25, expires 6/16/08

 

 

 

 

399

 

United Kingdom – 90 day (CME),
strike price $93, expires 3/19/08

 

 

 

 

 

 

 

 

 

 

2

 

Total Options Purchased (cost-$16,341)

 

 

 

2,564

 

Total Investments (cost-$535,013,012) – 100.0%

 

 

 

$504,729,906

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 13

 


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited)

Principal
 Amount
      (000)

 

 

 

 

 

Value

 

SENIOR LOANS (a)(c) – 70.0%

 

 

 

 

 

 

 

 

 

 

 

 

 

Advertising – 1.4%

 

 

 

 

 

 

 

PagesJaunes Groupe S.A. (b),

 

 

 

 

 

€2,250

 

7.177%, 1/11/15, Term B

 

 

 

$3,042,638

 

€2,250

 

7.677%, 1/11/16, Term C

 

 

 

3,049,234

 

 

 

West Corp.,

 

 

 

 

 

$3,694

 

5.619%, 10/23/13

 

 

 

3,418,071

 

6,125

 

6.093%, 10/23/13

 

 

 

5,667,479

 

137

 

7.735%, 10/23/13

 

 

 

126,570

 

 

 

 

 

 

 

15,303,992

 

Aerospace – 0.1%

 

 

 

 

 

1,250

 

TransDigm Group, Inc., 6.588%, 6/23/13, Term B (b)

 

 

 

1,204,687

 

Airlines – 0.5%

 

 

 

 

 

6,930

 

Northwest Airlines Corp., 5.99%, 8/22/08 (b)

 

 

 

6,211,012

 

Apparel & Textiles – 0.4%

 

 

 

 

 

995

 

Aearo Technologies, Inc., 7.08%, 6/5/14, Term B (b)

 

 

 

986,294

 

 

 

Hanesbrands, Inc., Term B,

 

 

 

 

 

571

 

4.994%, 10/15/13

 

 

 

552,589

 

126

 

5.016%, 10/15/13 (b)

 

 

 

121,742

 

 

 

Simmons Co., Term C (b),

 

 

 

 

 

1,305

 

4.875%, 12/19/11

 

 

 

1,192,369

 

143

 

5.313%, 12/19/11

 

 

 

130,300

 

538

 

6.375%, 12/19/11

 

 

 

491,698

 

135

 

6.50%, 12/19/11

 

 

 

122,924

 

54

 

6.938%, 12/19/11

 

 

 

49,170

 

108

 

7.125%, 12/19/11

 

 

 

98,340

 

5

 

7.375%, 12/19/11

 

 

 

4,917

 

108

 

7.375%, 12/19/11

 

 

 

98,340

 

108

 

7.438%, 12/19/11

 

 

 

98,340

 

 

 

 

 

 

 

3,947,023

 

Automotive – 1.7%

 

 

 

 

 

2,000

 

Dura Operating Corp., 7.894%, 4/28/11 (b)

 

 

 

1,995,000

 

11,910

 

Ford Motor Corp., 8.00%, 12/15/13, Term B

 

 

 

10,459,148

 

2,481

 

General Motors Corp., 7.056%, 11/29/13

 

 

 

2,276,814

 

 

 

Hertz Corp.,

 

 

 

 

 

321

 

4.91%, 12/21/12

 

 

 

307,353

 

208

 

6.75%, 12/21/12, Term B

 

 

 

198,794

 

2,130

 

6.89%, 12/21/12, Term B

 

 

 

2,041,459

 

1,523

 

6.92%, 12/21/12, Term B

 

 

 

1,459,708

 

 

 

 

 

 

 

18,738,276

 

Automotive Products – 1.6%

 

 

 

 

 

8,302

 

Affinia Group, 6.244%, 11/30/11, Term B (b)

 

 

 

8,115,634

 

 

 

Cooper Standard Automotive, Inc.,

 

 

 

 

 

2,345

 

7.375%, 12/31/11, Term B

 

 

 

2,231,190

 

5,860

 

7.375%, 12/31/11, Term C

 

 

 

5,576,716

 

3,000

 

Goodyear Tire & Rubber Co., 6.43%, 4/20/14, Term B

 

 

 

2,748,750

 

 

 

 

 

 

 

18,672,290

 

 

14 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

Banking – 0.7%

 

 

 

 

 

Aster Co., Ltd. (b),

 

 

 

€2,800

 

7.00%, 9/19/13, Term B

 

$3,876,210

 

$2,137

 

7.393%, 9/19/13, Term B

 

1,987,237

 

2,214

 

7.393%, 9/19/14, Term C

 

2,065,190

 

 

 

 

 

7,928,637

 

Building/Construction – 1.5%

 

 

 

8,500

 

Building Materials Corp., 9.563%, 9/14/14 (b)

 

6,897,147

 

 

 

Masonite International Corp., Term B (b),

 

 

 

5,108

 

5.331%, 4/6/13

 

4,421,899

 

1,377

 

6.83%, 4/6/13

 

1,192,377

 

 

 

Nortek, Inc. (b),

 

 

 

4,737

 

5.53%, 8/27/11

 

4,381,989

 

12

 

7.25%, 8/27/11

 

11,323

 

 

 

 

 

16,904,735

 

Chemicals – 2.1%

 

 

 

 

 

Brenntag AG (b),

 

 

 

€1,660

 

6.517%, 12/23/13

 

2,294,892

 

€340

 

6.517%, 12/23/13, Term B

 

470,586

 

 

 

Chart Industries, Term B (b),

 

 

 

$333

 

6.875%, 10/14/12

 

329,167

 

2,333

 

7.188%, 10/14/12

 

2,304,167

 

1,591

 

Georgia Gulf Corp., 5.681%, 10/3/13

 

1,482,399

 

 

 

INEOS Group Ltd.,

 

 

 

3,903

 

7.357%, 10/7/12, Term A

 

3,473,384

 

1,960

 

7.357%, 10/7/13, Term B

 

1,772,687

 

233

 

7.451%, 10/7/12, Term A

 

207,476

 

1,960

 

7.857%, 10/7/14, Term C

 

1,817,083

 

2,337

 

Innophos, Inc., 7.08%, 8/13/10, Term B (b)

 

2,242,909

 

4,848

 

KRATON Polymers Group LLC, 6.75%, 5/11/13 (b)

 

4,502,132

 

€1,668

 

MacDermid, Inc., 6.976%, 4/12/14 (b)

 

2,395,918

 

 

 

 

 

23,292,800

 

Commercial Products – 0.4%

 

 

 

 

 

Alliance Laundry Holdings LLC, Term B,

 

 

 

$2,791

 

5.85%, 1/27/12 (b)

 

2,693,600

 

30

 

7.61%, 1/27/12

 

28,655

 

 

 

iPayment, Inc. (b),

 

 

 

550

 

5.264%, 12/27/12

 

483,530

 

388

 

6.081%, 12/27/12

 

341,747

 

1,010

 

6.83%, 12/27/12

 

888,544

 

 

 

 

 

4,436,076

 

Commercial Services – 0.4%

 

 

 

 

 

ARAMARK Corp.,

 

 

 

774

 

5.198%, 1/26/14, Term LC (e)

 

714,660

 

4,145

 

6.83%, 1/26/14, Term B

 

3,829,454

 

 

 

 

 

4,544,114

 

Computer Services – 1.6%

 

 

 

 

 

PanAmSat Corp.,

 

 

 

5,042

 

5.144%, 7/3/12

 

4,497,393

 

3,000

 

5.144%, 1/3/14 (b)

 

2,627,142

 

11,702

 

SunGard Data Systems, Inc., 6.898%, 2/11/13

 

10,874,143

 

 

 

 

 

17,998,678

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 15

 


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Computer Software – 2.5%

 

 

 

 

 

Infor Global Solutions (b),

 

 

 

$1,494

 

7.58%, 7/28/12

 

$1,359,248

 

€3,097

 

7.771%, 8/1/12

 

4,172,988

 

$1,273

 

8.58%, 8/1/12

 

1,158,820

 

667

 

8.58%, 8/1/12, Term DD

 

606,580

 

15,960

 

Thomson Learning, Inc., 6.03%, 6/27/14, Term B

 

14,408,337

 

7,000

 

Trilogy International, Inc., 8.33%, 6/22/12 (b)

 

6,405,000

 

 

 

 

 

28,110,973

 

Consumer Products – 2.0%

 

 

 

6,528

 

Education Management Corp., 6.625%, 2/13/14, Term B (b)

 

6,051,677

 

 

 

Jarden Corp., Term B,

 

 

 

5,998

 

6.58%, 1/24/12 (b)

 

5,633,675

 

2,985

 

7.33%, 1/24/12

 

2,850,675

 

 

 

National Mentor, Inc. (b),

 

 

 

1,307

 

6.73%, 6/30/13, Term B

 

1,212,116

 

3,000

 

6.904%, 6/30/12

 

2,782,500

 

673

 

7.32%, 6/30/13, Term B

 

624,287

 

3,491

 

Pinnacle Foods, 7.58%, 3/30/14, Term B (b)

 

3,159,581

 

 

 

 

 

22,314,511

 

Containers & Packaging – 1.8%

 

 

 

 

 

Graham Packaging Holdings Co., Term B,

 

 

 

1,467

 

6.813%, 10/18/11

 

1,363,796

 

2,133

 

7.00%, 10/18/11

 

1,983,703

 

25

 

7.125%, 10/18/11

 

23,247

 

1,333

 

7.188%, 10/18/11

 

1,239,815

 

2,133

 

7.438%, 10/18/11

 

1,983,703

 

700

 

7.50%, 10/18/11

 

650,903

 

2,133

 

7.75%, 10/18/11

 

1,983,703

 

 

 

Graphic Packaging International Corp.,

 

 

 

1,180

 

5.331%, 5/3/14

 

1,086,506

 

540

 

5.951%, 5/3/14

 

497,437

 

1,251

 

6.729%, 5/3/14

 

1,151,958

 

 

 

Intertape Polymer Group, Inc., Term B (b),

 

 

 

1,543

 

7.90%, 7/28/11

 

1,532,920

 

72

 

8.54%, 7/28/11

 

71,097

 

436

 

8.646%, 7/28/11

 

433,518

 

 

 

Smurfit-Stone Container,

 

 

 

$758

 

5.313%, 11/1/10, Term C

 

725,542

 

342

 

5.313%, 11/1/11, Term B

 

327,628

 

746

 

5.313%, 11/1/11, Term C

 

713,931

 

1,528

 

5.393%, 11/1/10

 

1,463,510

 

931

 

7.125%, 11/1/11, Term B

 

891,302

 

2,506

 

7.125%, 11/1/11, Term C

 

2,398,928

 

 

 

 

 

20,523,147

 

Diversified Manufacturing – 1.5%

 

 

 

8,183

 

Grant Forest Products, 12.75%, 9/16/13 (b)

 

6,934,893

 

 

 

Invensys PLC (b),

 

 

 

1,041

 

6.604%, 7/17/13

 

1,035,890

 

959

 

6.898%, 7/17/13

 

954,110

 

 

 

KION Group GmbH (b),

 

 

 

3,000

 

6.751%, 12/20/14, Term B

 

2,726,250

 

3,000

 

7.251%, 12/20/15, Term C

 

2,741,250

 

 

16 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Diversified Manufacturing (continued)

 

 

 

 

 

Linpac Mouldings Ltd. (b),

 

 

 

$1,016

 

7.218%, 4/16/12, Term B

 

$911,594

 

1,277

 

7.718%, 4/16/12, Term C

 

1,152,623

 

 

 

 

 

16,456,610

 

Drugs & Medical Products – 2.3%

 

 

 

 

 

Bausch & Lomb, Inc.,

 

 

 

650

 

6.511%, 10/26/15 (b)

 

635,375

 

650

 

7.00%, 4/11/15, Term B

 

650,000

 

5,200

 

8.08%, 10/26/15, Term T

 

5,083,000

 

 

 

Mylan Laboratories, Inc., Term B (b),

 

 

 

3,957

 

6.625%, 10/2/14

 

3,877,825

 

2,543

 

8.125%, 10/2/14

 

2,492,175

 

 

 

Nycomed Holdings (b),

 

 

 

€2,270

 

7.013%, 12/20/15, Term B

 

2,729,473

 

€1,730

 

7.013%, 12/29/16, Term B

 

2,080,018

 

€4,000

 

7.763%, 12/20/15, Term C

 

4,839,459

 

 

 

Warner Chilcott PLC,

 

 

 

$969

 

5.112%, 1/18/12, Term B

 

925,912

 

135

 

5.271%, 1/18/12, Term B

 

129,050

 

1,818

 

6.83%, 1/18/12, Term B

 

1,736,084

 

1,008

 

6.83%, 1/18/12, Term C

 

962,472

 

 

 

 

 

26,140,843

 

Energy – 1.5%

 

 

 

 

 

Alon USA Energy, Inc. (b),

 

 

 

5,147

 

5.521%, 6/8/13

 

4,799,267

 

458

 

5.521%, 6/8/13, Term DD

 

427,396

 

107

 

7.072%, 6/8/13

 

99,467

 

198

 

7.072%, 6/8/13, Term DD

 

184,946

 

51

 

Edison Midwest, 6.82%, 4/27/11, Term B

 

49,340

 

5,141

 

Headwaters, Inc., 6.79%, 4/30/11, Term B (b)

 

4,909,890

 

 

 

Longview Power (b),

 

 

 

101

 

5.563%, 2/27/14, Term DD

 

95,000

 

141

 

7.063%, 2/27/14, Term DD

 

132,500

 

243

 

7.125%, 2/27/14, Term DD

 

227,500

 

267

 

7.125%, 2/27/14, Term LC

 

250,000

 

107

 

7.126%, 2/27/14, Term DD

 

100,000

 

800

 

7.25%, 2/27/14, Term B

 

750,000

 

120

 

7.813%, 2/27/14, Term DD

 

112,500

 

2,500

 

NRG Energy Holding, 6.48%, 2/1/13 (e)

 

2,302,812

 

260

 

Ruhrgas Industries, 6.91%, 7/15/13, Term B (b)

 

252,824

 

 

 

Targa Resources, Inc.,

 

 

 

774

 

4.705%, 10/31/11

 

743,516

 

56

 

6.83%, 10/31/12, Term B

 

54,215

 

420

 

6.906%, 10/31/12, Term B

 

403,481

 

903

 

7.541%, 10/5/12, Term B

 

867,435

 

 

 

 

 

16,762,089

 

Entertainment – 2.5%

 

 

 

17,715

 

MGM Studios, 8.108%, 4/8/12, Term B

 

15,830,457

 

 

 

Revolution Studios LLC (b),

 

 

 

785

 

5.78%, 12/25/12, Term A

 

743,835

 

4,758

 

7.03%, 12/25/14, Term B

 

4,591,154

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 17

 


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Entertainment (continued)

 

 

 

 

 

Warner Music Group, Inc., Term B,

 

 

 

$1,441

 

5.718%, 2/28/11

 

$1,351,107

 

555

 

5.894%, 2/28/11

 

520,658

 

2,017

 

7.015%, 2/28/11

 

1,890,672

 

3,739

 

7.541%, 2/28/11

 

3,504,895

 

 

 

 

 

28,432,778

 

Financial Services – 5.0%

 

 

 

 

 

Bearingpoint, Inc. (b),

 

 

 

875

 

9.07%, 5/18/12

 

770,000

 

2,625

 

9.07%, 5/18/12

 

2,310,000

 

15,492

 

Chrysler Financial Corp., 8.99%, 8/3/12

 

13,943,250

 

 

 

Delphi Corp. (b),

 

 

 

500

 

6.876%, 7/1/08, Term B

 

494,500

 

8,000

 

7.376%, 7/1/08, Term C

 

7,900,000

 

9,000

 

First Data Corp., 7.634%, 9/24/14, Term B

 

8,150,112

 

 

 

Nielson Finance, Term B,

 

 

 

4,448

 

6.661%, 8/9/13

 

4,122,757

 

7,402

 

7.146%, 8/9/13

 

6,861,562

 

 

 

Nuveen Investments, Term B,

 

 

 

3,521

 

6.285%, 11/1/14

 

3,417,378

 

5,184

 

7.83%, 11/13/14

 

5,031,722

 

1,296

 

7.858%, 11/1/14

 

1,257,930

 

2,000

 

Wind Finance SL S.A., 11.319%, 10/26/14 (b)

 

2,095,000

 

 

 

 

 

56,354,211

 

Food Services – 1.4%

 

 

 

 

 

Arby’s Restaurant Group, Inc., Term B,

 

 

 

1,948

 

5.494%, 7/25/12

 

1,866,026

 

6,398

 

5.521%, 7/25/12

 

6,130,339

 

1,921

 

7.08%, 7/25/12

 

1,840,257

 

3,059

 

Michael Foods, Inc., 6.845%, 11/21/10, Term B (b)

 

3,002,571

 

3,474

 

Sturm Foods, Inc., 5.813%, 1/30/14, Term B (b)

 

2,865,844

 

 

 

 

 

15,705,037

 

Healthcare & Hospitals – 6.4%

 

 

 

13,000

 

Biomet, Inc., 7.857%, 3/25/15, Term B

 

12,646,933

 

 

 

Capio AB (b),

 

 

 

€356

 

6.552%, 3/8/15, Term B

 

513,218

 

€1,209

 

6.552%, 3/8/16, Term C

 

1,734,943

 

€1,209

 

6.677%, 3/8/15, Term B

 

1,734,943

 

€356

 

6.677%, 3/8/16, Term C

 

510,584

 

$4,152

 

Community Health Systems, Inc., 7.331%, 7/25/14, Term B

 

3,842,173

 

 

 

DaVita, Inc., Term B,

 

 

 

1,631

 

4.78%, 10/5/12

 

1,549,774

 

179

 

5.76%, 10/5/12

 

170,032

 

1,004

 

6.23%, 10/5/12

 

954,647

 

105

 

6.49%, 10/5/12

 

100,019

 

158

 

6.52%, 10/5/12

 

150,028

 

513

 

6.73%, 10/5/12

 

487,891

 

24,750

 

HCA, Inc., 7.08%, 11/16/13, Term B

 

22,930,479

 

 

 

HealthSouth Corp.,

 

 

 

22

 

5.78%, 2/2/13

 

20,864

 

4,607

 

6.92%, 3/10/13

 

4,319,303

 

 

18 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Healthcare & Hospitals (continued)

 

 

 

€3,000

 

ISTA, 8.519%, 6/15/16 (b)

 

$3,661,331

 

$2,633

 

MultiPlan, Inc., 5.771%, 4/12/13, Term B (b)

 

2,521,417

 

 

 

Psychiatric Solutions, Inc., Term B (b),

 

 

 

1,640

 

5.021%, 7/7/12

 

1,582,388

 

1,074

 

6.568%, 7/7/12

 

1,036,464

 

1,458

 

7.178%, 7/7/12

 

1,406,567

 

9,778

 

Renal Advantage, Inc., 8.098%, 10/6/12, Term B (b)

 

9,167,048

 

 

 

United Surgical (b),

 

 

 

1,665

 

5.49%, 4/18/14, Term B

 

1,517,084

 

95

 

6.791%, 4/18/14, Term DD

 

86,716

 

110

 

7.43%, 4/18/14, Term DD

 

99,943

 

 

 

 

 

72,744,789

 

Hotels/Gaming – 1.6%

 

 

 

693

 

CCM Merger, Inc., 7.151%, 7/21/12, Term B (b)

 

647,869

 

 

 

Las Vegas Sands Corp. (e),

 

 

 

1,189

 

3.00%, 5/23/14

 

1,056,123

 

5,011

 

6.58%, 5/23/14 (b)

 

4,452,192

 

 

 

MotorCity Casino, Term B (b),

 

 

 

6,383

 

6.843%, 7/21/12

 

5,968,494

 

1,732

 

7.015%, 7/21/12

 

1,619,672

 

4,851

 

Wimar OPCO LLC, 9.75%, 1/3/12, Term B

 

4,809,337

 

 

 

 

 

18,553,687

 

Leasing – 0.3%

 

 

 

 

 

Rental Service Corp.,

 

 

 

3,990

 

8.15%, 11/21/13 (b)

 

3,444,355

 

Manufacturing – 2.4%

 

 

 

1,000

 

Boc Group, Inc., 10.831%, 11/30/14 (b)

 

730,000

 

 

 

Bombardier, Inc., Term B (b),

 

 

 

7,277

 

6.43%, 6/26/13

 

6,907,326

 

102

 

7.63%, 6/26/13

 

97,286

 

 

 

Dresser-Rand Group, Inc., Term T,

 

 

 

139

 

5.771%, 5/4/14

 

124,442

 

5,754

 

7.449%, 5/4/14

 

5,171,615

 

 

 

Lucite International Ltd. (b),

 

 

 

2,194

 

5.50%, 5/26/13, Term B

 

2,018,118

 

137

 

5.50%, 5/26/13, Term DD

 

126,412

 

641

 

7.61%, 5/26/13, Term DD

 

589,924

 

5,970

 

Polypore, Inc., 5.52%, 5/15/14 (b)

 

5,626,164

 

313

 

TPF Generation, 7.098%, 12/15/13 (b)(e)

 

282,452

 

6,134

 

Xerium Technologies, Inc., 7.58%, 5/18/12, Term B (b)

 

5,566,654

 

 

 

 

 

27,240,393

 

Multi-Media – 6.7%

 

 

 

 

 

American Media Operations, Inc. (b),

 

 

 

3,735

 

8.16%, 1/30/13

 

3,510,900

 

500

 

8.34%, 1/30/13

 

470,000

 

3,235

 

8.59%, 1/30/13

 

3,040,900

 

1,231

 

Atlantic Broadband, Inc., 7.08%, 8/9/12, Term B (b)

 

1,171,813

 

7,000

 

Charter Communications, 7.33%, 9/6/14

 

6,119,120

 

 

 

CMP Susqhuhanna Corp., Term B (b),

 

 

 

1,365

 

5.301%, 5/5/13

 

1,206,540

 

540

 

5.989%, 5/5/13

 

476,893

 

964

 

6.441%, 5/5/13

 

851,731

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 19

 


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Multi-Media (continued)

 

 

 

$13,842

 

CSC Holdings, Inc., 6.896%, 2/24/13, Term B

 

$12,768,066

 

4,975

 

Metro-Goldwyn Mayer, Inc., 8.108%, 4/8/12, Term B

 

4,445,839

 

6,025

 

NTL Investment, 6.055%, 1/6/13, Term B

 

5,693,538

 

€2,000

 

ProSieben Sat.1 Media AG, 7.00%, 5/9/15 (b)

 

2,583,646

 

 

 

Seven Media Group (b),

 

 

 

AUD 6,933

 

8.878%, 2/7/13, Term T

 

5,831,535

 

AUD 1,733

 

9.392%, 2/7/13, Term T

 

1,457,884

 

AUD 217

 

9.418%, 2/7/13

 

182,236

 

$2,018

 

Source Media, Inc., 7.08%, 11/8/11, Term B

 

1,916,825

 

1,474

 

Thomas Media, 7.08%, 11/8/11, Term B

 

1,400,736

 

 

 

Univision Communications, Inc.,

 

 

 

14,564

 

5.494%, 9/15/14, Term B

 

12,016,615

 

416

 

5.521%, 9/15/14, Term B

 

343,332

 

2,000

 

5.771%, 3/15/09

 

1,893,750

 

 

 

Young Broadcasting, Inc., Term B (b),

 

 

 

6,973

 

7.063%, 11/3/12

 

6,362,937

 

48

 

7.375%, 11/3/12

 

43,384

 

2,250

 

7.438%, 5/2/12

 

2,053,493

 

 

 

 

 

75,841,713

 

Oil & Gas – 0.4%

 

 

 

1,113

 

Big West Oil LLC, 5.50%, 5/2/14, Term B (b)

 

1,056,875

 

 

 

Oxbow Carbon & Minerals LLC (b),

 

 

 

3,637

 

6.83%, 5/4/14, Term B

 

3,282,317

 

329

 

6.83%, 5/4/14, Term DD

 

296,969

 

38

 

7.00%, 5/4/14, Term B

 

34,729

 

 

 

 

 

4,670,890

 

Paper/Paper Products – 0.9%

 

 

 

 

 

Georgia-Pacific Corp., Term B,

 

 

 

883

 

6.58%, 12/20/12

 

817,934

 

1,089

 

6.831%, 12/20/12

 

1,007,835

 

9,255

 

6.896%, 12/20/12

 

8,566,596

 

 

 

 

 

10,392,365

 

Printing/Publishing – 2.0%

 

 

 

€3,838

 

Seat Pagine Gialle SpA, 4.179%, 5/25/12, Term A (b)

 

5,375,250

 

 

 

Tribune Co.,

 

 

 

$11,351

 

7.396%, 5/30/09, Term X (e)

 

10,630,710

 

8,977

 

7.91%, 5/30/14, Term B

 

6,770,157

 

 

 

 

 

22,776,117

 

Recreation – 2.6%

 

 

 

 

 

Amadeus Global Travel (b),

 

 

 

5,200

 

6.846%, 4/8/13, Term B

 

4,694,315

 

5,200

 

7.096%, 4/8/14, Term C

 

4,717,192

 

6,903

 

Cedar Fair L.P., 5.271%, 8/30/12

 

6,474,141

 

5,970

 

Six Flags Theme Parks, Inc., 7.25%, 4/30/15, Term B

 

5,174,832

 

 

 

Travelport,

 

 

 

3,559

 

7.08%, 8/23/13

 

3,291,738

 

5,970

 

7.08%, 8/23/13, Term DD

 

5,453,225

 

 

 

 

 

29,805,443

 

 

20 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Value

 

 

 

 

 

Retail – 0.2%

 

 

 

 

 

Neiman Marcus Group, Inc.,

 

 

 

$2,673

 

6.90%, 4/6/13

 

$2,464,001

 

42

 

7.09%, 4/6/13

 

38,500

 

 

 

 

 

2,502,501

 

Telecommunications – 7.8%

 

 

 

6,484

 

Alltel Corp., 6.773%, 5/15/15, Term B

 

5,921,823

 

 

 

Centennial Cellular Communications Corp. (b),

 

 

 

8,603

 

6.83%, 2/9/11

 

8,341,124

 

666

 

7.081%, 1/20/11

 

645,395

 

 

 

eircom Group PLC (b),

 

 

 

€3,700

 

6.625%, 8/15/14, Term B

 

5,097,181

 

€3,700

 

6.875%, 8/15/15, Term C

 

5,118,300

 

€2,000

 

9.00%, 2/15/16

 

2,750,599

 

$5,631

 

Hawaiian Telcom Communications, Inc., 7.08%, 6/1/14, Term C

 

4,997,791

 

 

 

Integra Telecom, Inc., Term T (b),

 

 

 

1,886

 

7.494%, 8/31/13

 

1,796,533

 

3,062

 

9.08%, 8/31/13

 

2,916,521

 

2,515

 

9.331%, 8/31/13

 

2,395,377

 

5,500

 

Intelsat Ltd., 5.644%, 2/15/14

 

5,387,706

 

 

 

Nordic Telephone Co. Holdings ApS,

 

 

 

€4,414

 

6.085%, 11/30/13, Term B

 

6,326,962

 

€5,285

 

6.335%, 11/30/14, Term C

 

7,607,846

 

$7,500

 

Qwest Corp., 6.95%, 6/30/10, Term B

 

7,656,248

 

€3,000

 

Telenet Bidco NV, 6.929%, 7/31/15, Term C (b)(g)

 

4,406,915

 

 

 

Telesat (b),

 

 

 

$3,000

 

8.37%, 10/31/08

 

2,865,000

 

3,759

 

9.00%, 10/31/08

 

3,590,133

 

 

 

Telesat Canada, Inc.,

 

 

 

4,979

 

6.25%, 10/22/14, Term B

 

4,724,327

 

2,126

 

7.84%, 10/22/14, Term B

 

2,017,028

 

1,186

 

8.09%, 10/22/14, Term B

 

1,125,053

 

241

 

9.00%, 10/31/08 (b)

 

229,867

 

2,000

 

Verizon IDEARC, Inc., 6.83%, 11/17/14, Term B

 

1,828,182

 

 

 

 

 

87,745,911

 

Transportation – 0.4%

 

 

 

 

 

Fleetpride Corp., Term B (b),

 

 

 

375

 

5.771%, 6/6/13

 

326,250

 

5,062

 

7.33%, 6/6/13

 

4,404,375

 

 

 

 

 

4,730,625

 

Utilities – 2.6%

 

 

 

 

 

AES Corp., Term B (b),

 

 

 

3,720

 

7.00%, 4/30/08

 

3,573,251

 

3,720

 

7.19%, 8/10/11

 

3,573,251

 

4,170

 

Midwest Generation LLC, 5.676%, 12/31/11, Term B (b)

 

4,144,332

 

3,625

 

Sandridge Energy, Inc., 8.354%, 4/1/14 (b)

 

3,470,938

 

 

 

Texas Competitive Electric Holdings Co. LLC,

 

 

 

9,975

 

8.396%, 10/10/14

 

9,198,536

 

5,985

 

8.396%, 10/10/14, Term B

 

5,538,848

 

 

 

 

 

29,499,156

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 21

 


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

Waste Disposal – 0.9%

 

 

 

 

 

 

 

Allied Waste North America, Inc.,

 

 

 

 

 

$2,418

 

4.60%, 3/28/14

 

 

 

$2,271,999

 

1,474

 

5.43%, 3/28/14, Term B

 

 

 

1,384,914

 

885

 

5.46%, 3/28/14, Term B

 

 

 

830,948

 

270

 

6.349%, 3/28/14, Term B

 

 

 

253,898

 

156

 

6.36%, 3/28/14, Term B

 

 

 

146,234

 

147

 

6.42%, 3/28/14, Term B

 

 

 

138,491

 

1,032

 

6.88%, 3/28/14, Term B

 

 

 

969,440

 

€3,000

 

AVR-Bedrijven NV, 6.976%, 3/1/14 (b)

 

 

 

4,216,000

 

 

 

 

 

 

 

10,211,924

 

Wholesale – 0.8%

 

 

 

 

 

$9,801

 

Roundy’s, Inc., 7.91%, 10/27/11, Term B

 

 

 

9,439,588

 

Wire & Cable Products – 1.1%

 

 

 

 

 

 

 

UPC Broadband Holding BV,

 

 

 

 

 

€4,345

 

6.193%, 12/31/14, Term M

 

 

 

5,784,566

 

€5,000

 

7.042%, 12/31/14

 

 

 

6,656,739

 

 

 

 

 

 

 

12,441,305

 

Total Senior Loans (cost-$841,642,864)

 

 

 

792,023,281

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES – 23.5%

 

 

 

 

 

 

 

 

 

 

 

Apparel & Textiles – 0.7%

 

 

 

 

 

8,600

 

Hanesbrands, Inc., 8.204%, 12/15/14, FRN

 

B2/B-

 

7,826,000

 

Automotive Products – 0.9%

 

 

 

 

 

4,500

 

Dura Operating Corp., 8.625%, 4/15/12 (b)(f)

 

NR/NR

 

562,500

 

9,000

 

Goodyear Tire & Rubber Co., 8.663%, 12/1/09, FRN

 

Ba3/B

 

9,022,500

 

 

 

 

 

 

 

9,585,000

 

Banking – 1.3%

 

 

 

 

 

5,000

 

Bank of America Corp., 8.00%, 1/30/18 (h)

 

Aa3/A+

 

5,202,680

 

£4,928

 

Royal Bank of Scotland PLC, 9.370%, 4/6/11, FRN (g)

 

NR/NR

 

9,381,246

 

 

 

 

 

 

 

14,583,926

 

Building/Construction – 0.8%

 

 

 

 

 

€7,000

 

Grohe Holding GmbH, 7.451%, 1/15/14, FRN

 

B2/B

 

9,094,584

 

Chemicals – 0.2%

 

 

 

 

 

€2,000

 

Rhodia S.A., 7.326%, 10/15/13, FRN (a)(d)

 

B1/B

 

2,694,691

 

Commercial Services – 0.8%

 

 

 

 

 

$10,000

 

ARAMARK Corp., 6.751%, 2/1/15, FRN

 

B3/B-

 

9,000,000

 

Computer Services – 0.2%

 

 

 

 

 

2,000

 

SunGard Data Systems, Inc., 9.125%, 8/15/13

 

Caa1/B-

 

2,040,000

 

Containers & Packaging – 0.2%

 

 

 

 

 

3,000

 

Berry Plastics Holding Corp., 8.866%, 9/15/14, FRN

 

B3/B

 

2,475,000

 

Drugs & Medical Products – 0.3%

 

 

 

 

 

3,500

 

Universal Hospital Services, Inc., 8.288%, 6/1/15, FRN

 

B3/B+

 

3,342,500

 

Electronics – 0.2%

 

 

 

 

 

3,300

 

Spansion LLC, 8.249%, 6/1/13, FRN (a)(d)

 

B1/BB-

 

2,458,500

 

 

22 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

Financial Services – 5.0%

 

 

 

 

 

$3,500

 

Chukchansi Economic Dev. Auth., 8.238%, 11/15/12, FRN (a)(d)

 

B2/BB-

 

$3,360,000

 

 

 

Ford Motor Credit Co. LLC, FRN,

 

 

 

 

 

5,715

 

5.828%, 1/15/10

 

B1/B

 

5,098,157

 

12,350

 

7.127%, 1/13/12

 

B1/B

 

10,411,766

 

10,000

 

General Motors Acceptance Corp. LLC, 7.324%, 12/1/14, FRN

 

B1/B+

 

7,858,650

 

€6,000

 

Hellas Telecommunications Luxembourg V, 8.076%, 10/15/12, FRN

 

B1/B

 

8,161,806

 

$4,000

 

Hexion U.S. Finance Corp., 9.369%, 11/15/14, FRN

 

B3/B

 

3,900,000

 

 

 

LVB Acquisition Merger Sub., Inc. (a)(d),

 

 

 

 

 

2,100

 

10.00%, 10/15/17

 

B3/B-

 

2,173,500

 

2,100

 

10.375%, 10/15/17, PIK

 

B3/B-

 

2,121,000

 

2,800

 

11.625%, 10/15/17

 

Caa1/B-

 

2,747,500

 

 

 

Universal City Florida Holding Co.,

 

 

 

 

 

2,000

 

8.001%, 5/1/10

 

B3/B-

 

2,015,000

 

9,000

 

9.661%, 5/1/10, FRN

 

B3/B-

 

8,730,000

 

 

 

 

 

 

 

56,577,379

 

Hotels/Gaming – 1.0%

 

 

 

 

 

 

 

Harrah’s Operating Co., Inc. (a)(d),

 

 

 

 

 

4,672

 

10.75%, 2/1/16

 

B3/B-

 

4,251,520

 

1,328

 

10.75%, 2/1/18, PIK

 

B3/B-

 

1,135,440

 

7,000

 

Seminole Hard Rock Entertainment, Inc.,

 

 

 

 

 

 

 

7.491%, 3/15/14, FRN (a)(d)

 

B1/BB

 

6,335,000

 

 

 

 

 

 

 

11,721,960

 

Insurance – 0.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

3,000

 

12.374%, 6/7/10

 

NR/BB

 

3,081,605

 

1,200

 

12.874%, 6/7/10

 

NR/BB+

 

1,233,840

 

 

 

 

 

 

 

4,315,445

 

Manufacturing – 0.8%

 

 

 

 

 

€6,500

 

Bombardier, Inc., 7.70%, 11/15/13, FRN (a)(d)

 

Ba2/BB

 

9,335,181

 

Metals & Mining – 0.4%

 

 

 

 

 

$5,050

 

Freeport-McMoRan Copper & Gold, Inc., 8.394%, 4/1/15, FRN

 

Ba3/BB

 

4,967,938

 

Multi-Media – 2.5%

 

 

 

 

 

13,000

 

Cablevision Systems Corp., 9.644%, 4/1/09, FRN

 

B3/B+

 

13,065,000

 

2,000

 

CCO Holdings LLC, 8.75%, 11/15/13

 

Caa1/CCC

 

1,870,000

 

8,000

 

Charter Communications Holdings II LLC, 10.25%, 9/15/10

 

Caa1/CCC

 

7,620,000

 

3,200

 

DirecTV Holdings LLC, 8.375%, 3/15/13

 

Ba3/BB-

 

3,324,000

 

2,000

 

ION Media Networks, Inc., 10.508%, 1/15/13, FRN (a)(d)

 

Caa1/CCC-

 

1,735,000

 

 

 

 

 

 

 

27,614,000

 

Paper/Paper Products – 1.2%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc.,

 

 

 

 

 

2,800

 

8.491%, 6/15/11, FRN

 

B3/B

 

2,047,500

 

1,500

 

Bowater, Inc., 7.991%, 3/15/10, FRN

 

B3/B

 

1,192,500

 

10,500

 

Verso Paper Holdings LLC, 7.001%, 8/1/14, FRN

 

B2/B+

 

10,027,500

 

 

 

 

 

 

 

13,267,500

 

Semi-Conductors – 0.8%

 

 

 

 

 

12,000

 

Freescale Semiconductor, Inc., 8.866%, 12/15/14, FRN

 

B2/B-

 

8,700,000

 

Telecommunications – 5.8%

 

 

 

 

 

2,000

 

Cincinnati Bell, Inc., 8.375%, 1/15/14

 

B2/B-

 

1,920,000

 

8,750

 

Hawaiian Telcom Communications, Inc., 10.318%, 5/1/13, FRN

 

Caa1/CCC

 

7,743,750

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 23

 


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

Principal
 Amount
      (000)

 

 

 

Credit Rating
(Moody’s/S&P)

 

Value

 

 

 

 

 

 

 

 

 

Telecommunications (continued)

 

 

 

 

 

 

 

Intelsat Bermuda Ltd., FRN,

 

 

 

 

 

$9,500

 

7.581%, 1/15/15

 

NR/NR

 

$9,547,500

 

6,000

 

10.829%, 6/15/13

 

NR/NR

 

6,165,000

 

€6,350

 

Nordic Telephone Co. Holdings ApS, 9.883%, 5/1/16, FRN (a)(d)

 

B2/B

 

9,260,781

 

$12,150

 

Nortel Networks Ltd., 9.493%, 7/15/11, FRN

 

B3/B-

 

11,360,250

 

8,550

 

Qwest Communications International, Inc.,

 

 

 

 

 

 

 

8.369%, 2/15/09, FRN

 

Ba3/B+

 

8,550,000

 

6,000

 

Qwest Corp., 8.241%, 6/15/13, FRN

 

Ba1/BBB-

 

5,880,000

 

6,500

 

TelCordia Technologies, Inc., 8.008%, 7/15/12, FRN (a)(d)

 

B2/B

 

5,557,500

 

 

 

 

 

 

 

65,984,781

 

Total Corporate Bonds & Notes (cost-$282,396,007)

 

 

 

265,584,385

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES – 0.1%

 

 

 

 

 

822

 

CIT Group Home Equity Loan Trust, 3.646%, 6/25/33, FRN

 

Aaa/AAA

 

740,403

 

830

 

Salomon Brothers Mortgage Securities VII, Inc.,

 

 

 

 

 

 

 

3.676%, 3/25/32, FRN

 

NR/AAA

 

821,763

 

Total Asset-Backed Securities (cost-$1,648,919)

 

 

 

1,562,166

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS – 6.4%

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills (i) – 5.2%

 

 

 

 

 

$59,425

 

3.13%-3.19%, 2/28/08-3/13/08 (cost-$59,239,549)

 

 

 

59,239,549

 

Commercial Paper – 1.0%

 

 

 

 

 

Financial Services – 1.0%

 

 

 

 

 

10,800

 

Rabobank USA Financial Corp.,

 

 

 

 

 

 

 

3.01%, 2/1/08 (cost-$10,800,000)

 

P-1/A-1+

 

10,800,000

 

Corporate Notes – 0.2%

 

 

 

 

 

Airlines – 0.2%

 

 

 

 

 

 

 

JetBlue Airways Corp., FRN,

 

 

 

 

 

1,673

 

7.969%, 5/15/08

 

B1/BB-

 

1,660,542

 

840

 

9.241%, 3/15/08

 

B1/BB-

 

842,372

 

 

 

 

 

 

 

2,502,914

 

Energy – 0.0%

 

 

 

 

 

250

 

Transcontinental Gas Pipe Line Corp.,

 

 

 

 

 

 

 

5.538%, 4/15/08, FRN (a)(d)

 

Baa2/BBB-

 

250,625

 

Total Corporate Notes (cost-$2,762,909)

 

 

 

2,753,539

 

 

 

 

 

 

 

Repurchase Agreement – 0.0%

 

 

 

 

 

123

 

State Street Bank & Trust Co., dated 1/31/08, 2.65%, due 2/1/08, proceeds $123,009; collateralized by Fannie Mae, 5.00% due 2/27/08, valued at $127,969 including accrued interest (cost-$123,000)

 

 

 

123,000

 

Total Short-Term Investments (cost-$72,925,458)

 

 

 

72,916,088

 

 

24 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Strategy Fund Schedule of Investments

January 31, 2008 (unaudited) (continued)

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

 

Value

 

OPTIONS PURCHASED (j) – 0.0%

 

 

 

 

 

 

 

Call Options – 0.0%

 

 

 

550

 

U.S. Treasury Notes 5 yr. Futures (CBOT), strike price $126, expires 2/22/08

 

$8,594

 

271

 

U.S. Treasury Notes 10 yr. Futures (CBOT), strike price $138, expires 2/22/08

 

4,234

 

 

 

 

 

12,828

 

Put Options – 0.0%

 

 

 

 

 

Financial Future Euro – 90 day (CME),

 

 

 

2,900

 

strike price $91.75, expires 3/17/08

 

7

 

390

 

strike price $92, expires 3/17/08

 

1

 

1,751

 

United Kingdom – 90 day (CME), strike price $93, expires 3/19/08

 

 

 

 

 

 

8

 

Total Options Purchased (cost-$71,401)

 

12,836

 

Total Investments (cost-$1,198,684,649) – 100.0%

 

$1,132,098,756

 

 

 

 

 

 

 

 

Notes to Schedules of Investments:

(a)

 

Private Placement–Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $357,086,244, representing 70.75% of total investments in Floating Rate Income. Securities with an aggregate value of $849,754,964, representing 75.06% of total investments in Floating Rate Strategy.

(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 “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 Funds are ordinarily contractually obligated to receive approval from the agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on January 31, 2008.

(d)

 

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 buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

(e)

 

When-issued or delayed-delivery security. To be settled/delivered after January 31, 2008.

(f)

 

Security in default.

(g)

 

Fair-valued security–Securities with an aggregate value of $6,894,081, representing 1.37% of total investments, have been fair-valued for Floating Rate Income. Securities with an aggregate value of $13,788,161, representing 1.22% of total investments, have been fair-valued for Floating Rate Strategy.

(h)

 

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

(i)

 

All or partial amount segregated as collateral for futures contracts, swaps, and/or when-issued or delayed-delivery securities.

(j)

 

Non-income producing.

(k)

 

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

 

 

Glossary:

AUD

-

Australian Dollar

£

-

British Pound

-

Euro

CBOT

-

Chicago Board of Trade

CME

-

Chicago Mercantile Exchange

CMO

-

Collateralized Mortgage Obligation

FRN

-

Floating Rate Note. The interest rate disclosed reflects the rate in effect on January 31, 2008.

LIBOR

-

London Inter-Bank Offered Rate

NR

-

Not Rated

PIK

-

Payment-in-Kind

 

See accompanying Notes to Financial Statements | 1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 25


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Statements of Assets and Liabilities

January 31, 2008 (unaudited)

 

 

 

 

 

 

 

 

Floating Rate
Income

 

Floating Rate
Strategy

Assets:

 

 

 

 

 

Investments, at value (cost-$535,013,012 and
$1,198,684,649, respectively)

 

$504,729,906

 

 

$1,132,098,756

 

Cash (including foreign currency of $847,918 and $2,852,496
with a cost of $832,740 and $2,851,767, respectively)

 

932,260

 

 

3,818,201

 

Deposits with brokers for futures contracts collateral

 

530,100

 

 

1,495,000

 

Unrealized appreciation of swaps

 

75,045,358

 

 

153,041,118

 

Premium for swaps purchased

 

8,764,015

 

 

23,205,636

 

Interest receivable

 

8,496,776

 

 

17,680,349

 

Receivable for investments sold

 

4,670,300

 

 

9,644,614

 

Unrealized appreciation of forward foreign currency contracts

 

198,142

 

 

518,888

 

Prepaid expenses

 

4,357

 

 

9,602

 

Receivable for terminated swaps

 

 

 

40,437

 

Total Assets

 

603,371,214

 

 

1,341,552,601

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

Premium for swaps sold

 

41,015,531

 

 

35,994,701

 

Unrealized depreciation of swaps

 

38,324,724

 

 

144,826,862

 

Payable for investments purchased

 

13,699,274

 

 

23,015,236

 

Payable for reverse repurchase agreements

 

9,591,000

 

 

 

Dividends payable to common and preferred shareholders

 

2,715,475

 

 

6,172,947

 

Investment management fees payable

 

324,427

 

 

738,210

 

Unrealized depreciation of forward foreign currency contracts

 

112,008

 

 

277,153

 

Unrealized depreciation of unfunded loan commitments

 

79,506

 

 

179,030

 

Payable for variation margin on futures contracts

 

69,399

 

 

35,551

 

Interest payable for reverse repurchase agreements

 

7,088

 

 

 

Accrued expenses

 

123,206

 

 

180,788

 

Total Liabilities

 

106,061,638

 

 

211,420,478

 

Preferred shares ($0.00001 par value and $25,000 net asset and
liquidation value per share applicable to an aggregate of
8,400 and 19,200 shares issued and outstanding, respectively)

 

210,000,000

 

 

480,000,000

 

Net Assets Applicable to Common Shareholders

 

$287,309,576

 

 

$650,132,123

 

 

 

 

 

 

 

 

Composition of Net Assets Applicable to Common Shareholders:

 

 

 

 

 

 

Common Stock:

 

 

 

 

 

 

Par value ($0.00001 per share)

 

$182

 

 

$426

 

Paid-in-capital in excess of par

 

349,587,041

 

 

806,377,297

 

Dividends in excess of net investment income

 

(6,278,656

)

 

(17,065,067

)

Accumulated net realized loss

 

(63,335,927

)

 

(84,102,792

)

Net unrealized appreciation (depreciation) of investments,
futures contracts, swaps, unfunded loan commitments
and foreign currency transactions

 

7,336,936

 

 

(55,077,741

)

Net Assets Applicable to Common Shareholders

 

$287,309,576

 

 

$650,132,123

 

Common Shares Issued and Outstanding

 

18,235,492

 

 

42,604,834

 

Net Asset Value Per Common Share

 

$15.76

 

 

$15.26

 

 

26 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08 | See accompanying Notes to Financial Statements.

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds

Statements of Operations

Six months ended January 31, 2008 (unaudited)

 

 

 

 

 

 

 

 

Floating Rate
Income

 

Floating Rate
Strategy

Investment Income:

 

 

 

 

 

 

Interest

 

$20,840,178

 

 

$47,530,869

 

Facility and other fee income

 

215,079

 

 

521,549

 

Dividends

 

66,010

 

 

 

Total Investment Income

 

21,121,267

 

 

48,052,418

 


Expenses:

 

 

 

 

 

 

Investment management fees

 

1,984,626

 

 

4,507,819

 

Auction agent fees and commissions

 

269,703

 

 

616,259

 

Custodian and accounting agent fees

 

84,230

 

 

140,413

 

Audit and tax services

 

72,645

 

 

68,623

 

Shareholder communications

 

44,240

 

 

74,153

 

Trustees’ fees and expenses

 

20,109

 

 

38,208

 

Legal fees

 

18,350

 

 

22,622

 

Transfer agent fees

 

18,097

 

 

17,596

 

New York Stock Exchange listing fees

 

10,317

 

 

16,480

 

Interest expense

 

9,220

 

 

4,809

 

Insurance expense

 

5,278

 

 

11,630

 

Miscellaneous

 

7,540

 

 

11,563

 

Total expenses

 

2,544,355

 

 

5,530,175

 

Less: custody credits earned on cash balances

 

(13,846

)

 

(38,358

)

Net expenses

 

2,530,509

 

 

5,491,817

 


Net Investment Income

 

18,590,758

 

 

42,560,601

 

 

Realized and Change in Unrealized Gain (Loss):

 

 

 

 

 

 

Net realized gain (loss) on:
Investments

 

133,358

 

 

(1,392,462

)

Futures contracts

 

(3,819,072

)

 

(8,216,622

)

Swaps

 

(60,546,358

)

 

(51,227,920

)

Foreign currency transactions

 

(3,391,585

)

 

(9,724,645

)

Net change in unrealized appreciation/depreciation of:
Investments

 

(20,206,469

)

 

(44,616,904

)

Futures contracts

 

2,268,023

 

 

6,942,228

 

Swaps

 

64,375,334

 

 

52,182,490

 

Unfunded loan commitments

 

108,662

 

 

294,622

 

Foreign currency transactions

 

(151,237

)

 

(662,225

)

Net realized and change in unrealized loss on investments,
futures contracts, swaps, unfunded loan commitments
and foreign currency transactions

 

(21,229,344

)

 

(56,421,438

)

Net Decrease in Net Assets Resulting from
Investment Operations

 

(2,638,586

)

 

(13,860,837

)

Dividends on Preferred Shares from Net Investment Income

 

(5,651,460

)

 

(12,944,244

)

 

Net Decrease in Net Assets Applicable to Common
Shareholders Resulting from Investment Operations

 

$(8,290,046

)

 

$(26,805,081

)

 

See accompanying Notes to Financial Statements. | 1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 27

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Statements of Changes in Net Assets Applicable to Common Shareholders

 

 


Floating Rate Income

 

 

Six months
ended
January 31, 2008
(unaudited)

 

Year ended
July 31, 2007

Investment Operations:

 

 

 

 

 

 

Net investment income

 

$18,590,758

 

 

$38,505,179

 

Net realized gain (loss) on investments, futures contracts,
options written, swaps and foreign currency transactions

 

(67,623,657

)

 

17,503,653

 

Net change in unrealized appreciation/depreciation of investments,
futures contracts, options written, swaps, unfunded loan
commitments and foreign currency transactions

 

46,394,313

 

 

(40,980,501

)

Net increase (decrease) in net assets resulting from
investment operations

 

(2,638,586

)

 

15,028,331

 


Dividends and Distributions on Preferred Shares from:

 

 

 

 

 

 

Net investment income

 

(5,651,460

)

 

(10,623,545

)

Net realized gains

 

 

 

(14,659

)

Total dividends and distributions on Preferred Shares

 

(5,651,460

)

 

(10,638,204

)

Net increase (decrease) in net assets applicable to common
shareholders resulting from investment operations

 

(8,290,046

)

 

4,390,127

 


Dividends and Distributions to Common Shareholders from:

 

 

 

 

 

 

Net investment income

 

(15,784,512

)

 

(32,063,817

)

Net realized gains

 

(5,488,696

)

 

(4,410,852

)

Total dividends and distributions to common shareholders

 

(21,273,208

)

 

(36,474,669

)


Capital Share Transactions:

 

 

 

 

 

 

Reinvestment of dividends and distributions

 

583,604

 

 

2,624,141

 

Total decrease in net assets applicable to common shareholders

 

(28,979,650

)

 

(29,460,401

)


Net Assets Applicable to Common Shareholders:

 

 

 

 

 

 

Beginning of period

 

316,289,226

 

 

345,749,627

 

End of period (including dividends in excess of net investment income
of $6,278,656 and $3,433,442, respectively)

 

$287,309,576

 

 

$316,289,226

 

 

 

 

 

 

 

 

Common shares issued in reinvestment of Dividends
and Distributions

 

34,037

 

 

134,684

 

 

28 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08 | See accompanying Notes to Financial Statements.

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Statements of Changes in Net Assets Applicable to Common Shareholders
(continued)

 

 


Floating Rate Strategy

 

 

Six months
ended
January 31, 2008
(unaudited)

 

Year ended
July 31, 2007

Investment Operations:

 

 

 

 

 

 

Net investment income

 

$42,560,601

 

 

$86,345,791

 

Net realized gain (loss) on investments, futures contracts,
options written, swaps and foreign currency transactions

 

(70,561,649

)

 

2,533,112

 

Net change in unrealized appreciation/depreciation of investments,
futures contracts, options written, swaps, unfunded loan
commitments and foreign currency transactions

 

14,140,211

 

 

(59,121,679

)

Net increase (decrease) in net assets resulting from
investment operations

 

(13,860,837

)

 

29,757,224

 


Dividends and Distributions on Preferred Shares from:

 

 

 

 

 

 

Net investment income

 

(12,944,244

)

 

(24,278,975

)

Net realized gains

 

 

 

(133,242

)

Total dividends and distributions on Preferred Shares

 

(12,944,244

)

 

(24,412,217

)

Net increase (decrease) in net assets applicable to common
shareholders resulting from investment operations

 

(26,805,081

)

 

5,345,007

 


Dividends and Distributions to Common Shareholders from:

 

 

 

 

 

 

Net investment income

 

(37,027,853

)

 

(72,379,805

)

Net realized gains

 

 

 

(17,803,004

)

Total dividends and distributions to common shareholders

 

(37,027,853

)

 

(90,182,809

)


Capital Share Transactions:

 

 

 

 

 

 

Reinvestment of dividends and distributions

 

1,812,902

 

 

14,619,026

 

Total decrease in net assets applicable to common shareholders

 

(62,020,032

)

 

(70,218,776

)


Net Assets Applicable to Common Shareholders:

 

 

 

 

 

 

Beginning of period

 

712,152,155

 

 

782,370,931

 

End of period (including dividends in excess of net investment income
of $17,065,067 and $13,541,143, respectively)

 

$650,132,123

 

 

$712,152,155

 

 

 

 

 

 

 

 

Common shares issued in reinvestment of Dividends
and Distributions

 

107,686

 

 

783,996

 

 

See accompanying Notes to Financial Statements. | 1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 29

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Statements of Cash Flows

Six months ended January 31, 2008 (unaudited)

 

 

 

 

 

 

 

 

Floating Rate
Income

 

Floating Rate
Strategy

Cash Flows provided by Operating Activities:

 

 

 

 

 

 

Purchases of long-term investments

 

$(92,589,987

)

 

$(265,159,782

)

Proceeds from sales of long-term investments

 

94,663,196

 

 

222,226,770

 

Increase in deposits with brokers for futures collateral

 

(530,100

)

 

(1,495,000

)

Interest, dividends and facility and other fee income received

 

17,459,009

 

 

40,930,770

 

Net cash used for swap transactions

 

(8,637,959

)

 

(23,680,898

)

Operating expenses paid

 

(2,634,728

)

 

(5,607,635

)

Net cash used for futures transactions

 

(1,605,906

)

 

(1,483,878

)

Net realized loss on foreign currency transactions

 

(3,392,942

)

 

(9,795,318

)

Net decrease in short-term investments

 

6,168,667

 

 

70,336,622

 

Net cash provided by operating activities*

 

8,899,250

 

 

26,271,651

 


Cash Flows used for Financing Activities:

 

 

 

 

 

 

Increase in reverse repurchase agreements

 

9,591,000

 

 

 

Cash dividends paid (excluding reinvestment of dividends and
distributions of $583,604 and $1,812,902, respectively)

 

(26,341,064

)

 

(48,159,195

)

Decrease in dividends payable

 

(140,917

)

 

(196,394

)

Net cash used for financing activities

 

(16,890,981

)

 

(48,355,589

)

Net decrease in cash

 

(7,991,731

)

 

(22,083,938

)

Cash at beginning of period

 

8,923,991

 

 

25,902,139

 

Cash at end of period

 

932,260

 

 

3,818,201

 


Reconciliation of Net Decrease in Net Assets Resulting
from Investment Operations to Net Cash provided by
Operating Activities:

 

 

 

 

 

 

Net decrease in net assets resulting from investment operations

 

(2,638,586

)

 

(13,860,837

)

Decrease in payable for investments purchased

 

(24,983,294

)

 

(71,374,387

)

Increase in deposits with brokers for futures collateral

 

(530,100

)

 

(1,495,000

)

Increase in receivable for investments sold

 

(3,668,738

)

 

(6,678,053

)

Increase in interest receivable

 

(2,748,378

)

 

(5,263,177

)

(Increase) decrease in premium for swaps purchased

 

11,572,780

 

 

(4,611,214

)

Decrease in receivable for terminated swaps

 

76,000

 

 

119,613

 

Decrease in premium for swaps sold

 

40,259,619

 

 

32,038,623

 

Decrease in prepaid expenses

 

11,374

 

 

17,382

 

Decrease in investment management fees payable

 

(28,677

)

 

(55,286

)

Increase in net unrealized appreciation of swaps

 

(64,375,334

)

 

(52,182,490

)

Decrease in net unrealized appreciation of forward foreign currency
contracts

 

203,663

 

 

748,173

 

Decrease in net unrealized depreciation of unfunded loan commitments

 

(108,662

)

 

(294,622

)

Decrease in net payable for variation margin on futures contracts

 

(54,857

)

 

(209,484

)

Decrease in accrued expenses

 

(94,004

)

 

(77,914

)

Increase in payable for reverse repurchase agreements

 

7,088

 

 

 

Decrease in deferred facility fees

 

(116,026

)

 

(232,051

)

Net decrease in investments

 

56,115,382

 

 

149,682,375

 

Net cash provided by operating activities

 

$8,899,250

 

 

$26,271,651

 

 

*                 Included in operating expenses is cash paid by Floating Rate Income and Floating Rate Strategy for interest on reverse repurchase agreements of $2,132 and $4,809, respectively.

 

30 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08 | See accompanying Notes to Financial Statements.

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

1. Organization and Significant Accounting Policies

PIMCO Floating Rate Income Fund (“Floating Rate Income”) and PIMCO Floating Rate Strategy Fund (“Floating Rate Strategy”), collectively referred to as the “Funds”, were organized as Massachusetts business trusts on June 19, 2003 and June 30, 2004, respectively. Prior to commencing operations on August 29, 2003 and October 29, 2004, respectively, Floating Rate Income and Floating Rate Strategy had no operations other than matters relating to their organization and registration as diversified, closed-end management investment companies registered under the Investment Company Act of 1940 and the rules and regulations there under, as amended. Allianz Global Investors Fund Management LLC (the “Investment Manager”), serves as the Funds’ Investment Manager and is an indirect, wholly-owned subsidiary of Allianz Global Investors of America L.P. (“Allianz Global”). Allianz Global is an indirect, majority-owned subsidiary of Allianz SE, a publicly traded European insurance and financial services company. The Funds have an unlimited amount of $0.0001 par value common stock authorized.

 

Each Fund’s investment objective is to seek high current income, consistent with the preservation of capital. Under normal market conditions, each Fund seeks to achieve its investment objective by investing at least 80% of its net assets (plus any borrowings for investment purposes) in a diversified portfolio of floating rate debt instruments, a substantial portion of which will be senior floating rate loans. The ability of the issuers of the Funds’ investments to meet their obligations may be affected by economic developments in a specific industry.

 

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 Funds enter 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 Funds that have not yet been asserted. However, the Funds expect the risk of any loss to be remote.

 

In July 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation establishes for all entities, including pass-through entities such as the Funds, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. The Funds’ management has determined that its evaluation of the Interpretation has resulted in no impact to the Funds’ financial statements at January 31, 2008.

 

In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards (“SFAS”) 157, Fair Value Measurements, which clarifies the definition of fair value and requires companies to expand their disclosure about the use of fair value to measure assets and liabilities in interim and annual periods subsequent to initial recognition. Adoption of SFAS 157 requires the use of the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. SFAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. At this time, the Funds are in the process of reviewing the Standard against their current valuation policies to determine future applicability.

 

The following is a summary of significant accounting policies followed by the Funds:

 

(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 development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to guidelines established by the Board of Trustees, or persons acting in their discretion pursuant to guidelines 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 Funds’ investments are valued on the last business day of each week using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the last quoted mean price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The Funds’ investments in senior floating rate loans (“Senior Loans”) for which a secondary market exists will be valued at the mean of the last available bid and asked

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 31

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

1. Organization and Significant Accounting Policies (continued)

 

prices in the market for such Senior Loans, as provided by an independent pricing service. Other Senior Loans are valued at fair-value pursuant to procedures approved by the Funds’ Board of Trustees, which 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. At January 31, 2008, Floating Rate Income and Floating Rate Strategy held Senior Loans with an aggregate value of $2,203,458, and $4,406,915, representing 0.44% and 0.39% of total investments, respectively, that were fair-valued. Exchange traded options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement value. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. The prices used by the Funds to value securities may differ from the value that would be realized if the securities were sold and the differences could be material to the financial statements. The Funds’ net asset value is normally determined weekly on the last business day of the week as of close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“NYSE”) on each day the NYSE is open for business.

 

(b) Investment Transactions and Investment Income

Investment transactions are accounted for on trade date. Securities purchased and sold on a when-issued or delayed-delivery basis may be settled a month or more after 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 method. Dividend income is recorded on the ex-dividend date. Facility and other fee income (such as origination fees) received by the Funds are amortized as income over the expected term of the loan. Commitment fees received by the Funds relating to unfunded purchase commitments are deferred and amortized to facility fee income over the period of the commitment.

 

(c) Federal Income Taxes

The Funds intend to distribute all of their 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.

 

(d) Dividends and Distributions – Common Stock

The Funds declare dividends from net investment income monthly to common shareholders. Distributions of net realized capital gains, if any, are paid at least annually. The Funds record dividends and distributions to their 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 considered either 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.

 

(e) Foreign Currency Translation

The Funds’ 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 Statements of Operations.

 

The Funds do 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 Funds do 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

 

32 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

1. Organization and Significant Accounting Policies (continued)

 

regulations; such amount is categorized as foreign currency gain or loss for both financial reporting and income tax reporting purposes.

 

(f) Senior Loans

The Funds purchase 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 (the “Lender”). When purchasing an assignment, the Funds succeed to 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) Option Transactions

The Funds may purchase and write (sell) put and call options for hedging purposes, risk management purposes or as a part of their investment strategies. The risk associated with purchasing an option is that the Funds pay a premium whether or not the option is exercised. Additionally, the Funds bear 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 an asset with an equal liability and is subsequently marked to market to reflect the current market value of the option written. These liabilities, if any, are reflected as options written in the Statements 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 written by the Funds 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 written by the Funds is exercised, the premium reduces the cost basis of the security. In writing an option, the Funds bear the market risk of an unfavorable change in the price of the security underlying the written option. Exercise of a written option could result in the Funds purchasing a security at a price different from its current market value.

 

(h) Interest Rate/Credit Default Swaps

The Funds may enter 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 the credit default swap contract, the Funds would be required to pay the notional amount 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 Funds 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 Funds 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 Funds may also purchase credit default swap contracts in order to hedge against the risk of default of debt securities held, in which case the Funds would function as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Funds would receive the notional amount 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 Funds 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).

 

Interest rate swap agreements involve the exchange by the Funds 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 (paid) by the Funds are included as part of realized gain

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 33

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

1. Organization and Significant Accounting Policies (continued)

 

(loss) and net periodic payments accrued, but not yet received (paid) are included in change in the unrealized appreciation/depreciation on the Statements of Operations.

 

Swaps are marked to market daily based upon quotations from brokers or market makers and the change in value, if any, is recorded as unrealized appreciation or depreciation in the Funds’ Statements of Operations. For a credit default swap sold by the Funds, payment of the agreed upon amount made by the Funds 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 Funds, the agreed upon amount received by the Funds 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 Funds.

 

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.

 

(i) 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 Funds are 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 Funds agree 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 Funds as unrealized appreciation or depreciation. When the contracts are closed, the Funds record 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.

 

(j) Forward Foreign Currency Contracts

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 Funds 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 Funds may also enter these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. 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.

 

(k) Repurchase Agreements

A Fund may enter 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 Funds 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 Funds may be delayed or limited.

 

(l) Reverse Repurchase Agreements

In a reverse repurchase agreement, a Fund sells securities to a bank or broker-dealer and agrees to repurchase the securities at a mutually agreed date and price. Generally, the effect of such a transaction is that the Fund can recover and reinvest all or most of the cash invested in the portfolio securities involved during the term of the reverse

 

34 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

1. Organization and Significant Accounting Policies (continued)

 

repurchase agreement and still be entitled to the returns associated with those portfolio securities. Such transactions are advantageous if the interest cost to the Fund of the reverse repurchase transaction is less than the returns it obtains on investments purchased with the cash. Unless the Fund covers its positions in reverse repurchase agreements (by segregating liquid assets at least equal in amount to the forward purchase commitment), its obligations under the agreements will be subject to the Fund’s limitations on borrowings. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Fund is obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the agreement may be restricted pending determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.

 

(m) When-Issued/Delayed-Delivery Transactions

The Funds may purchase or sell securities on a when-issued or delayed-delivery basis. The transactions involve a commitment to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Funds will set aside and maintain until the settlement date in a designated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed-delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and take such fluctuations into account when determining its net asset value. The Funds may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a realized gain or loss. When a security on a delayed-delivery basis is sold, the Funds do not participate in future gains and losses with respect to the security.

 

(n) Custody Credits on Cash Balances

The Funds benefit from an expense offset arrangement with its custodian bank whereby uninvested cash balances earn credits which reduce monthly custodian and accounting agent expenses. Had these cash balances been invested in income producing securities, they would have generated income for the Funds.

 

2. Investment Manager/Sub-Adviser

Each 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 administrative matters. Pursuant to the each Agreement, the Investment Manager receives an annual fee, payable monthly, at an annual rate of 0.75% of each Funds’ average weekly total managed assets. Total managed assets refer to the total assets of each 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 its affiliate, Pacific Investment Management Company LLC (the “Sub-Adviser”), to manage the Funds’ investments. Subject to the supervision of the Investment Manager, the Sub-Adviser is responsible for making all of the Funds’ investment decisions. The Investment Manager, and not the Funds, pays a portion of the fees it receives to the Sub-Adviser in return for its services.

 

3. Investments in Securities

For the six months ended January 31, 2008, purchases and sales of investments, other than short-term securities and U.S. government obligations, were:

 

 

 

Floating Rate
Income

 

Floating Rate
Strategy

 

Purchases

 

$64,013,994

 

 

$192,183,441

 

 

Sales

 

78,806,738

 

 

220,600,577

 

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 35


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

3. Investments in Securities (continued)

 

(a) Futures contracts outstanding at January 31, 2008:

 

Floating Rate Income:

 

 

 

 

 

Market

 

 

 

Unrealized

 

 

 

 

 

Value

 

Expiration

 

Appreciation

 

Type

 

Contracts

 

 

(000)

 

Date

 

(Depreciation)

 

Long:

Financial Future British Pound—90 day

 

416

 

 

$97,773

 

 

3/19/08

 

$240,308

 

 

 

Financial Future Euro—90 day

 

456

 

 

110,688

 

 

3/17/08

 

2,162,726

 

 

Short:

U.S. Treasury Notes 10 yr. Futures

 

(164

)

 

(19,142

)

 

3/19/08

 

(677,781

)

 

 

U.S. Treasury Notes 5 yr. Futures

 

(250

)

 

(28,250

)

 

3/31/08

 

(875,000

)

 

 

 

 

 

 

 

 

 

 

 

 

 

$850,253

 

 

 

Floating Rate Strategy:

 

 

 

 

 

Market

 

 

 

Unrealized

 

 

 

 

 

Value

 

Expiration

 

Appreciation

 

Type

 

Contracts

 

 

(000)

 

Date

 

(Depreciation)

 

Long:

Financial Future British Pound—90 day

 

1,061

 

 

$249,368

 

 

3/19/08

 

$613,003

 

 

 

Financial Future Euro—90 day

 

1,163

 

 

282,304

 

 

3/17/08

 

5,515,900

 

 

Short:

U.S. Treasury Notes 10 yr. Futures

 

(271

)

 

(31,631

)

 

3/19/08

 

(1,075,495

)

 

 

U.S. Treasury Notes 5 yr. Futures

 

(550

)

 

(62,150

)

 

3/31/08

 

(1,846,683

)

 

 

 

 

 

 

 

 

 

 

 

 

 

$3,206,725

 

 

 

Floating Rate Income and Floating Rate Strategy received $400,000 and $675,000 par value, respectively, in U.S. Treasury Bills and $530,100 and $1,495,000 in cash, respectively, as collateral for futures contracts.

 

(b) Credit default swaps contracts outstanding at January 31, 2008:

 

Floating Rate Income:

 

 

 

Notional

 

 

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

 

 

Payable on

 

 

 

Payments

 

Unrealized

 

Swap Counterparty/

 

Default

 

Termination

 

Received

 

Appreciation

 

Referenced Debt Issuer

 

(000)

 

Date

 

by Fund

 

(Depreciation)

 

Bank of America

 

 

 

 

 

 

 

 

 

Abitibi-Consolidated

 

$2,000

 

 

6/20/08

 

 

2.95%

 

 

$(86,239

)

 

Allied Waste North America

 

600

 

 

9/20/09

 

 

2.75%

 

 

8,599

 

 

Bombardier

 

1,400

 

 

6/20/10

 

 

3.80%

 

 

83,251

 

 

Las Vegas Sands

 

1,500

 

 

12/20/12

 

 

2.55%

 

 

(66,862

)

 

Dow Jones CDX

 

1,470

 

 

6/20/12

 

 

1.20%

 

 

(76,640

)

 

Williams Cos.

 

875

 

 

9/20/09

 

 

2.05%

 

 

24,605

 

 

Bear Stearns

 

 

 

 

 

 

 

 

 

 

 

 

 

Georgia-Pacific

 

700

 

 

9/20/09

 

 

1.24%

 

 

(15,862

)

 

Host Marriott

 

700

 

 

9/20/09

 

 

1.95%

 

 

(3,638

)

 

MGM

 

1,500

 

 

9/20/09

 

 

1.92%

 

 

(8,496

)

 

Citigroup

 

 

 

 

 

 

 

 

 

 

 

 

 

AES

 

5,000

 

 

6/20/08

 

 

1.17%

 

 

7,482

 

 

Las Vegas Sands

 

1,000

 

 

12/20/12

 

 

2.55%

 

 

(44,575

)

 

Univision Communications

 

2,000

 

 

3/20/12

 

 

0.97%

 

 

(257,756

)

 

Credit Suisse First Boston

 

 

 

 

 

 

 

 

 

 

 

 

 

AES

 

900

 

 

9/20/09

 

 

3.85%

 

 

33,148

 

 

Allied Waste North America

 

875

 

 

9/20/09

 

 

2.46%

 

 

8,200

 

 

Delhaize America

 

875

 

 

9/20/09

 

 

1.40%

 

 

12,785

 

 

Intelsat Bermuda

 

3,000

 

 

3/20/10

 

 

3.21%

 

 

(320,970

)

 

Samis

 

2,200

 

 

9/20/08

 

 

2.45%

 

 

28,319

 

 

 

36 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

3. Investments in Securities (continued)

 

 

 

Notional

 

 

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

 

 

Payable on

 

 

 

Payments

 

Unrealized

 

Swap Counterparty/

 

Default

 

Termination

 

Received

 

Appreciation

 

Referenced Debt Issuer

 

(000)

 

Date

 

by Fund

 

(Depreciation)

 

Deutsche Bank

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX

 

$4,365

 

 

6/20/12

 

 

1.20%

 

 

$(237,632

)

 

Goldman Sachs

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX

 

3,000

 

 

12/20/12

 

 

3.01%

 

 

(241,173

)

 

TRW Automotive

 

875

 

 

9/20/09

 

 

2.15%

 

 

(13,733

)

 

JPMorgan Chase

 

 

 

 

 

 

 

 

 

 

 

 

 

SLM

 

3,000

 

 

3/20/09

 

 

4.40%

 

 

12,387

 

 

Lehman Brothers

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX

 

3,000

 

 

12/20/12

 

 

2.85%

 

 

(263,164

)

 

Dow Jones CDX

 

3,000

 

 

12/20/12

 

 

3.23%

 

 

(215,202

)

 

Six Flags

 

2,000

 

 

6/20/12

 

 

1.75%

 

 

(258,247

)

 

Merrill Lynch & Co.

 

 

 

 

 

 

 

 

 

 

 

 

 

Aramark

 

1,000

 

 

9/20/12

 

 

2.60%

 

 

(10,095

)

 

Dow Jones CDX

 

3,000

 

 

12/20/12

 

 

3.13%

 

 

(226,697

)

 

Dow Jones CDX

 

5,200

 

 

12/20/12

 

 

3.23%

 

 

(374,417

)

 

Dow Jones CDX

 

6,000

 

 

12/20/12

 

 

3.51%

 

 

(366,634

)

 

Dow Jones CDX

 

6,000

 

 

12/20/12

 

 

3.81%

 

 

(291,620

)

 

Georgia-Pacific

 

3,500

 

 

3/20/13

 

 

3.75%

 

 

(108,193

)

 

Royal Caribbean Cruises

 

3,500

 

 

3/20/13

 

 

2.05%

 

 

(158,379

)

 

Williams Cos.

 

700

 

 

9/20/09

 

 

1.71%

 

 

15,560

 

 

Morgan Stanley

 

 

 

 

 

 

 

 

 

 

 

 

 

Biomet

 

1,000

 

 

9/20/12

 

 

3.05%

 

 

4,232

 

 

Georgia-Pacific

 

900

 

 

9/20/09

 

 

1.63%

 

 

(14,443

)

 

Russian Federation

 

300

 

 

6/20/08

 

 

0.245%

 

 

(326

)

 

 

 

 

 

 

 

 

 

 

 

 

 

$(3,422,425

)

 

 

Floating Rate Strategy:

 

 

 

Notional

 

 

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

 

 

Payable on

 

 

 

Payments

 

Unrealized

 

Swap Counterparty/

 

Default

 

Termination

 

Received

 

Appreciation

 

Referenced Debt Issuer

 

(000)

 

Date

 

by Fund

 

(Depreciation)

 

Bank of America

 

 

 

 

 

 

 

 

 

 

 

 

 

Abitibi-Consolidated

 

$5,000

 

 

6/20/08

 

 

2.95%

 

 

$(215,598

)

 

Bombardier

 

3,500

 

 

6/20/10

 

 

3.80%

 

 

208,128

 

 

Dynegy Holdings

 

6,000

 

 

3/20/13

 

 

4.30%

 

 

(872

)

 

Las Vegas Sands

 

3,500

 

 

12/20/12

 

 

2.55%

 

 

(156,012

)

 

Dow Jones CDX

 

3,395

 

 

6/20/12

 

 

1.20%

 

 

(178,827

)

 

NRG Energy

 

6,000

 

 

3/20/13

 

 

3.88%

 

 

(71,077

)

 

Williams Cos.

 

5,000

 

 

12/20/09

 

 

1.65%

 

 

118,373

 

 

Bear Stearns

 

 

 

 

 

 

 

 

 

 

 

 

 

Dynegy Holdings

 

1,500

 

 

12/20/09

 

 

2.35%

 

 

(5,768

)

 

MGM

 

5,000

 

 

12/20/09

 

 

1.54%

 

 

(77,889

)

 

Roundy’s Supermarket

 

2,000

 

 

3/20/12

 

 

1.10%

 

 

(89,819

)

 

Smurfit-Stone Container

 

1,500

 

 

12/20/09

 

 

1.76%

 

 

(56,483

)

 

Smurfit-Stone Container

 

5,000

 

 

12/20/09

 

 

1.87%

 

 

(177,886

)

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 37

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

3. Investments in Securities (continued)

 

 

 

Notional

 

 

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

 

 

Payable on

 

 

 

Payments

 

Unrealized

 

Swap Counterparty/

 

Default

 

Termination

 

Received

 

Appreciation

 

Referenced Debt Issuer

 

(000)

 

Date

 

by Fund

 

(Depreciation)

 

Citigroup

 

 

 

 

 

 

 

 

 

 

 

 

 

Ford Motor Credit

 

$19,000

 

 

3/20/13

 

 

6.85%

 

 

$(102,264

)

 

Host Marriott

 

5,000

 

 

12/20/09

 

 

1.70%

 

 

(69,407

)

 

Las Vegas Sands

 

2,000

 

 

12/20/12

 

 

2.55%

 

 

(89,150

)

 

Qwest Capital Funding

 

18,000

 

 

3/20/13

 

 

3.40%

 

 

(464,818

)

 

R.H. Donnelley

 

6,000

 

 

3/20/13

 

 

5.20%

 

 

(242,900

)

 

Reliant Energy

 

5,000

 

 

12/20/09

 

 

3.20%

 

 

51,907

 

 

Univision Communications

 

4,000

 

 

3/20/12

 

 

0.97%

 

 

(515,512

)

 

Credit Suisse First Boston

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX

 

€7,400

 

 

6/20/11

 

 

2.90%

 

 

(303,951

)

 

Equistar

 

$5,000

 

 

12/20/09

 

 

2.25%

 

 

(105,370

)

 

Freescale Semiconductor

 

4,000

 

 

3/20/13

 

 

7.20%

 

 

(379,378

)

 

Intelsat Bermuda

 

7,000

 

 

3/20/10

 

 

3.21%

 

 

(748,929

)

 

Samis

 

1,000

 

 

9/20/08

 

 

2.45%

 

 

7,909

 

 

Samis

 

1,800

 

 

12/20/09

 

 

2.15%

 

 

(7,416

)

 

Deutsche Bank

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX

 

10,185

 

 

6/20/12

 

 

1.20%

 

 

(554,473

)

 

Ford Motor

 

1,000

 

 

6/20/12

 

 

2.17%

 

 

(74,222

)

 

Goldman Sachs

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX

 

97

 

 

6/20/12

 

 

1.20%

 

 

524

 

 

Dow Jones CDX

 

10,000

 

 

12/20/12

 

 

3.01%

 

 

(803,910

)

 

JPMorgan Chase

 

 

 

 

 

 

 

 

 

 

 

 

 

NRG Energy

 

5,000

 

 

12/20/09

 

 

2.20%

 

 

(8,524

)

 

Owens Brockway

 

5,000

 

 

12/20/11

 

 

2.09%

 

 

42,051

 

 

SLM Corp.

 

7,000

 

 

3/20/09

 

 

4.40%

 

 

28,904

 

 

Lehman Brothers

 

 

 

 

 

 

 

 

 

 

 

 

 

Aramark

 

1,000

 

 

9/20/12

 

 

3.90%

 

 

(35,781

)

 

Bon-Ton

 

4,000

 

 

3/20/12

 

 

4.05%

 

 

(1,258,276

)

 

Celestica

 

5,000

 

 

3/20/13

 

 

5.30%

 

 

(8,985

)

 

Dow Jones CDX

 

10,000

 

 

12/20/12

 

 

2.85%

 

 

(877,214

)

 

Dow Jones CDX

 

10,000

 

 

12/20/12

 

 

3.23%

 

 

(717,342

)

 

GMAC

 

5,000

 

 

12/20/08

 

 

5.00%

 

 

(105,060

)

 

HCA

 

5,000

 

 

3/20/13

 

 

4.50%

 

 

(85,711

)

 

PanAmSat

 

3,000

 

 

12/20/09

 

 

3.00%

 

 

(11,222

)

 

Six Flags

 

3,000

 

 

6/20/12

 

 

1.75%

 

 

(387,371

)

 

Smurfit-Stone Container

 

3,000

 

 

12/20/09

 

 

1.85%

 

 

(107,865

)

 

Station Casinos

 

5,000

 

 

12/20/09

 

 

1.45%

 

 

(338,355

)

 

TRW Automotive

 

5,000

 

 

12/20/09

 

 

2.05%

 

 

(107,621

)

 

Merrill Lynch & Co.

 

 

 

 

 

 

 

 

 

 

 

 

 

AES

 

3,000

 

 

12/20/09

 

 

2.60%

 

 

44,968

 

 

Aramark

 

1,000

 

 

9/20/12

 

 

2.60%

 

 

(10,095

)

 

ArvinMeritor

 

4,500

 

 

12/20/09

 

 

2.25%

 

 

(279,735

)

 

Chesapeake Energy

 

5,000

 

 

12/20/09

 

 

1.30%

 

 

(17,931

)

 

CMS Energy

 

1,500

 

 

12/20/09

 

 

1.85%

 

 

27,517

 

 

Delhaize America

 

5,000

 

 

12/20/09

 

 

1.07%

 

 

47,324

 

 

Dow Jones CDX

 

10,000

 

 

12/20/12

 

 

3.13%

 

 

(755,655

)

 

Dow Jones CDX

 

11,800

 

 

12/20/12

 

 

3.23%

 

 

(849,639

)

 

Dow Jones CDX

 

29,000

 

 

12/20/12

 

 

3.51%

 

 

(1,772,066

)

 

Dow Jones CDX

 

24,000

 

 

12/20/12

 

 

3.81%

 

 

(1,166,481

)

 

 

38 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

3. Investments in Securities (continued)

 

 

 

Notional

 

 

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

 

 

Payable on

 

 

 

Payments

 

Unrealized

 

Swap Counterparty/

 

Default

 

Termination

 

Received

 

Appreciation

 

Referenced Debt Issuer

 

(000)

 

Date

 

by Fund

 

(Depreciation)

 

Ford Motor

 

$5,000

 

 

3/20/13

 

 

7.70%

 

 

$(85,873

)

 

General Motors

 

5,000

 

 

3/20/13

 

 

7.00%

 

 

(110,725

)

 

Georgia-Pacific

 

6,500

 

 

3/20/13

 

 

3.75%

 

 

(200,930

)

 

Royal Caribbean Cruises

 

6,500

 

 

3/20/13

 

 

2.05%

 

 

(294,133

)

 

Morgan Stanley

 

 

 

 

 

 

 

 

 

 

 

 

 

Biomet

 

3,000

 

 

9/20/12

 

 

3.05%

 

 

12,697

 

 

Hanes Brands

 

2,000

 

 

3/20/12

 

 

0.90%

 

 

(132,484

)

 

Russian Federation

 

700

 

 

6/20/08

 

 

0.245%

 

 

(762

)

 

 

 

 

 

 

 

 

 

 

 

 

 

$(14,627,465

)

 

 

(c) Interest rate swap agreements outstanding at January 31, 2008:

 

Floating Rate Income:

 

 

 

 

 

 

 

Rate Type

 

 

 

 

 

Notional

 

 

 

Payments

 

Payments

 

Unrealized

 

 

 

Amount

 

Termination

 

Made

 

Received

 

Appreciation

 

Swap Counterparty

 

(000)

 

Date

 

by Fund

 

by Fund

 

(Depreciation)

 

Bank of America

 

$195,600

 

 

2/15/17

 

4.785%

 

3-Month USD-LIBOR

 

$(8,599,020

)

 

Bank of America

 

195,600

 

 

2/15/17

 

3-Month USD-LIBOR

 

5.91%

 

504,968

 

 

Barclays Bank

 

290,000

 

 

6/21/25

 

3-Month USD-LIBOR

 

5.70%

 

34,845,979

 

 

Barclays Bank

 

569,800

 

 

6/21/25

 

5.70%

 

3-Month USD-LIBOR

 

(25,666,914

)

 

Deutsche Bank

 

116,900

 

 

6/18/09

 

3-Month USD-LIBOR

 

4.00%

 

1,449,526

 

 

Deutsche Bank

 

38,000

 

 

6/18/13

 

3-Month USD-LIBOR

 

4.00%

 

922,278

 

 

Goldman Sachs

 

68,000

 

 

6/18/15

 

3-Month USD-LIBOR

 

5.00%

 

112,791

 

 

Goldman Sachs

 

8,500

 

 

6/18/18

 

5.00%

 

3-Month USD-LIBOR

 

(397,797

)

 

JPMorgan Chase

 

34,000

 

 

6/18/13

 

3-Month USD-LIBOR

 

4.00%

 

706,196

 

 

Morgan Stanley

 

27,200

 

 

6/18/09

 

3-Month USD-LIBOR

 

4.00%

 

334,503

 

 

Morgan Stanley

 

54,000

 

 

6/18/15

 

3-Month USD-LIBOR

 

5.00%

 

1,259,749

 

 

Morgan Stanley

 

145,000

 

 

6/21/25

 

3-Month USD-LIBOR

 

5.70%

 

17,835,692

 

 

Royal Bank of Scotland

 

21,000

 

 

6/18/13

 

3-Month USD-LIBOR

 

4.00%

 

716,530

 

 

UBS

 

140,000

 

 

6/21/25

 

3-Month USD-LIBOR

 

5.70%

 

16,118,578

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$40,143,059

 

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 39

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

3. Investments in Securities (continued)

 

Floating Rate Strategy:

 

 

 

 

 

 

 

Rate Type

 

 

 

 

 

Notional

 

 

 

Payments

 

Payments

 

Unrealized

 

 

 

Amount

 

Termination

 

Made

 

Received

 

Appreciation

 

Swap Counterparty

 

(000)

 

Date

 

by Fund

 

by Fund

 

(Depreciation)

 

Bank of America

 

$340,000

 

 

6/18/09

 

 

3-Month USD-LIBOR

 

4.00%

 

$2,634,902

 

 

Bank of America

 

444,400

 

 

2/15/17

 

 

4.785%

 

3-Month USD-LIBOR

 

(19,501,427

)

 

Bank of America

 

444,400

 

 

2/15/17

 

 

3-Month USD-LIBOR

 

5.91%

 

1,111,864

 

 

Barclays Bank

 

82,000

 

 

6/18/13

 

 

3-Month USD-LIBOR

 

4.00%

 

1,990,179

 

 

Barclays Bank

 

265,000

 

 

6/21/25

 

 

3-Month USD-LIBOR

 

5.70%

 

31,842,016

 

 

Barclays Bank

 

489,200

 

 

6/21/25

 

 

5.70%

 

3-Month USD-LIBOR

 

(22,036,249

)

 

Deutsche Bank

 

189,600

 

 

6/18/09

 

 

3-Month USD-LIBOR

 

4.00%

 

2,339,543

 

 

Goldman Sachs

 

157,000

 

 

6/18/15

 

 

3-Month USD-LIBOR

 

5.00%

 

260,414

 

 

Goldman Sachs

 

59,300

 

 

6/18/18

 

 

5.00%

 

3-Month USD-LIBOR

 

(2,775,220

)

 

JPMorgan Chase

 

85,100

 

 

6/18/13

 

 

3-Month USD-LIBOR

 

4.00%

 

1,794,010

 

 

Lehman Brothers

 

613,000

 

 

12/18/24

 

 

3-Month USD-LIBOR

 

5.70%

 

74,348,434

 

 

Lehman Brothers

 

630,000

 

 

12/18/24

 

 

5.77%

 

3-Month USD-LIBOR

 

(85,296,199

)

 

Morgan Stanley

 

36,300

 

 

6/18/09

 

 

3-Month USD-LIBOR

 

4.00%

 

446,414

 

 

Morgan Stanley

 

181,000

 

 

6/18/15

 

 

3-Month USD-LIBOR

 

5.00%

 

4,222,493

 

 

Morgan Stanley

 

255,000

 

 

6/21/25

 

 

3-Month USD-LIBOR

 

5.70%

 

31,366,216

 

 

Royal Bank of Scotland

 

3,700

 

 

6/18/09

 

 

3-Month USD-LIBOR

 

5.00%

 

35,414

 

 

Royal Bank of Scotland

 

200

 

 

6/18/13

 

 

3-Month USD-LIBOR

 

4.00%

 

6,824

 

 

UBS

 

5,500

 

 

6/18/09

 

 

3-Month USD-LIBOR

 

5.00%

 

52,093

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$22,841,721

 

 

 


€—Euro

LIBOR—London Inter-Bank Offered Rate

 

Floating Rate Income and Floating Rate Strategy received $44,750,000 and $58,750,000 par value, respectively, in U.S. Treasury Bills as collateral for swap contracts.

 

(d) Forward foreign currency contracts outstanding at January 31, 2008:

 

 

 

 

 

 

 

Unrealized

 

 

 

U.S.$ Value

 

U.S.$ Value

 

Appreciation

 

Floating Rate Income:

 

 

Origination Date

 

January 31, 2008

 

(Depreciation)

 

 

 

 

 

 

 

 

 

 

 

 

Purchased:

 

 

 

 

 

 

 

 

 

 

521,000 Australian Dollar settling 2/7/08

 

$445,637

 

 

$464,596

 

 

$18,959

 

 

147,000 Australian Dollar settling 2/21/08

 

128,856

 

 

130,892

 

 

2,036

 

 

900,000 Euro settling 2/26/08

 

1,315,485

 

 

1,331,620

 

 

16,135

 

 

 

 

 

 

 

 

 

 

 

 

 

Sold:

 

 

 

 

 

 

 

 

 

 

3,987,813 Australian Dollar settling 2/21/08

 

3,451,053

 

 

3,550,833

 

 

(99,780

)

 

34,240,000 Euro settling 2/26/08

 

50,821,747

 

 

50,660,735

 

 

161,012

 

 

2,750,000 British Pounds settling 3/6/08

 

5,443,212

 

 

5,455,440

 

 

(12,228

)

 

 

 

 

 

 

 

 

 

 

$86,134

 

 

 

40 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

3. Investments in Securities (continued)

 

 

 

 

 

 

 

 

Unrealized

 

 

 

U.S.$ Value

 

U.S.$ Value

 

Appreciation

 

Floating Rate Strategy:

 

 

Origination Date

 

January 31, 2008

 

(Depreciation)

 

 

 

 

 

 

 

 

 

Purchased:

 

 

 

 

 

 

 

 

 

 

1,143,000 Australian Dollar settling 2/7/08

 

$977,665

 

 

$1,019,258

 

 

$41,593

 

 

360,000 Australian Dollar settling 2/21/08

 

315,565

 

 

320,551

 

 

4,986

 

 

3,000,000 Euro settling 2/26/08

 

4,428,030

 

 

4,438,733

 

 

10,703

 

 

 

 

 

 

 

 

 

 

 

 

 

Sold:

 

 

 

 

 

 

 

 

 

 

10,065,250 Australian Dollar settling 2/21/08

 

8,710,467

 

 

8,962,312

 

 

(251,845

)

 

98,163,000 Euro settling 2/26/08

 

145,701,377

 

 

145,239,771

 

 

461,606

 

 

5,692,000 British Pound settling 3/6/08

 

11,266,461

 

 

11,291,769

 

 

(25,308

)

 

 

 

 

 

 

 

 

 

 

$241,735

 

 

 

(e) The weighted average daily balances of reverse repurchase agreements outstanding during the six months ended January 31, 2008 for Floating Rate Income and Floating Rate Strategy were $9,455,889 and $7,398,125, respectively, at a weighted average interest rate of 3.90% for both Funds.

 

Floating Rate Income had open reverse repurchase agreements at January 31, 2008 of:

 

Counterparty

 

Rate

 

Trade Date

 

Maturity Date

 

Principal & Interest

 

Par

 

Lehman Brothers

 

3.90%

 

1/24/08

 

2/1/08

 

$7,982,913

 

 

$7,976,000

 

 

 

 

3.90%

 

1/31/08

 

2/1/08

 

1,615,175

 

 

1,615,000

 

 

 

 

 

 

 

 

 

 

 

 

 

$9,591,000

 

 

 

Collateral for open reverse repurchase agreements for Floating Rate Income at January 31, 2008 as reflected in the schedule of investments:

 

Counterparty

 

Description

 

Rate

 

Maturity Date

 

Par

 

Value

 

Lehman Brothers

 

DirecTV Holdings LLC

 

8.375%

 

3/15/13

 

 

$1,800,000

 

 

$1,869,750

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.

 

8.394%

 

4/1/15

 

 

2,150,000

 

 

2,115,062

 

 

 

 

Goodyear Tire & Rubber Co.

 

8.663%

 

12/1/09

 

 

4,000,000

 

 

4,010,000

 

 

 

 

Qwest Communications International, Inc.

 

8.369%

 

2/15/09

 

 

4,000,000

 

 

4,000,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$11,994,812

 

 

 

(f) At January 31, 2008, the Funds had the following unfunded loan commitments which could be extended at the option of the borrower:

 

Borrower

 

Floating Rate
Income

 

Floating Rate
Strategy

 

Big West Oil

 

$825,000

 

 

$1,375,000

 

 

Community Health

 

92,807

 

 

208,817

 

 

Eastman Kodak

 

2,500,000

 

 

5,000,000

 

 

Longview Power

 

 

 

221,333

 

 

Telesat Canada

 

293,963

 

 

708,661

 

 

United Surgical

 

58,871

 

 

117,742

 

 

Univision

 

218,121

 

 

520,134

 

 

 

 

 

$3,988,762

 

 

 

$8,151,687

 

 

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 41


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

4. Income Tax Information

 

Net investment income and net realized gains differ for federal income tax and financial statement purposes primarily due to the treatment of amounts received under swap agreements. For the six months ended January 31, 2008, Floating Rate Income and Floating Rate Strategy received $3,509,869 and $8,765,162 from swap agreements which are treated as net realized gain for financial statement purposes and as net income for federal income tax purposes.

 

The cost basis of investments is substantially the same for both federal income tax and financial statement purposes. Gross unrealized appreciation and gross unrealized depreciation of investments at January 31, 2008 were:

 

 

 

 

 

Gross

 

Gross

 

Net

 

 

 

Cost of

 

Unrealized

 

Unrealized

 

Unrealized

 

 

 

Investments

 

Appreciation

 

Depreciation

 

Depreciation

 

Floating Rate Income

 

$535,013,012

 

 

$3,081,186

 

 

$(33,364,292

)

 

$(30,283,106

)

 

Floating Rate Strategy

 

1,198,684,649

 

 

8,787,484

 

 

(75,373,377

)

 

(66,585,893

)

 

 

5. Auction Preferred Shares

Floating Rate Income has issued 2,800 shares of Preferred Shares Series T, 2,800 shares of Preferred Shares Series W, 2,800 shares of Preferred Shares Series TH, each with a net asset and liquidation value of $25,000 per share plus accrued dividends.

 

Floating Rate Strategy 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 are accumulated daily at an annual rate (typically re-set every seven days) through auction procedures. Distributions of net realized capital gains, if any, are paid annually. Additional information regarding recent developments with regard to Preferred Shares auctions is provided in Note 8.

 

For the six months ended January 31, 2008, the annualized dividend rates ranged from:

 

 

 

High

 

Low

 

At January 31, 2008

 

Floating Rate Income

 

 

 

 

 

 

 

Series T

 

6.20%

 

4.10%

 

 

4.10%

 

 

Series W

 

6.30%

 

4.00%

 

 

4.00%

 

 

Series TH

 

6.30%

 

4.50%

 

 

4.50%

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Strategy

 

 

 

 

 

 

 

 

 

Series M

 

6.35%

 

4.20%

 

 

4.35%

 

 

Series T

 

6.35%

 

4.049%

 

 

4.049%

 

 

Series W

 

6.50%

 

4.099%

 

 

4.35%

 

 

Series TH

 

6.30%

 

4.388%

 

 

4.50%

 

 

Series F

 

6.35%

 

4.45%

 

 

4.45%

 

 

 

The Funds are subject to certain limitations and restrictions while Preferred Shares are outstanding. Failure to comply with these limitations and restrictions could preclude the Funds 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 together 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 February 1, 2008, the following dividends were declared to common shareholders payable March 7, 2008 to shareholders of record on February 11, 2008:

 

 

Floating Rate Income

$0.14443 per common share

 

 

Floating Rate Strategy

$0.14027 per common share

 

 

42 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Notes to Financial Statements

January 31, 2008 (unaudited)

 

6. Subsequent Common Dividend Declarations (continued)

 

On March 7, 2008, the following dividends were declared to common shareholders payable April 4, 2008 to shareholders of record on March 17, 2008:

 

 

Floating Rate Income

$0.10959 per common share

 

 

Floating Rate Strategy

$0.10543 per common share

 

 

7. Legal Proceedings

In June and September 2004, the Investment Manager and certain of its affiliates (including PEA Capital LLC (“PEA”), Allianz Global Investors Distributors LLC (“AGID”) and Allianz Global Investors of America, L.P.) agreed to settle, without admitting or denying the allegations, claims brought by the SEC and the New Jersey Attorney General alleging violations of federal and state securities laws with respect to certain open-end funds for which the Investment Manager serves as investment adviser. The settlements related to an alleged “market timing” arrangement in certain open-end funds formerly sub-advised by PEA. The Investment Manager and its affiliates agreed to pay a total of $68 million to settle the claims. In addition to monetary payments, the settling parties agreed to undertake certain corporate governance, compliance and disclosure reforms related to market timing and consented to cease and desist orders and censures. Subsequent to these events, PEA deregistered and dissolved. None of the settlements alleged that any inappropriate activity took place with respect to the Funds.

 

Since February 2004, the Investment Manager and certain of its affiliates and their employees have been named as defendants in a number of pending lawsuits concerning “market timing”, which allege the same or similar conduct underlying the regulatory settlements discussed above. The market timing lawsuits have been consolidated in a multi-district litigation proceeding in the U.S. District Court for the District of Maryland. Any potential resolution of these matters may include, but not be limited to judgments or settlements for damages against the Investment Manager or its affiliates or related injunctions.

 

The Investment Manager and the Sub-Adviser believe that these matters are not likely to have a material adverse effect on the Funds or on their ability to perform their respective investment advisory activities relating to the Funds.

 

The foregoing speaks only as of the date hereof.

 

8. Subsequent Event – Auction-Rate Preferred Shares

Subsequent to the close of the six-month period ended January 31, 2008, holders of auction-rate preferred shares (“ARPS”) issued by the Funds have been directly impacted by an unprecedented lack of liquidity, which has similarly affected ARPS holders in many of the nation’s closed-end funds. Since February 2008, regularly scheduled auctions for ARPS issued by the Funds have consistently “failed” because of insufficient demand (bids to buy shares) to meet the supply (shares offered for sale) at each auction. In a failed auction, ARPS holders cannot sell all, and may not be able to sell any, of their shares tendered for sale. While repeated auction failures have affected the liquidity for ARPS, they do not constitute a default or automatically alter the credit quality of the ARPS, and ARPS holders have continued to receive dividends at a previously defined “maximum rate” (which is a function of short-term interest rates and typically higher than the rate that would have otherwise been set through a successful auction).

 

These developments with respect to ARPS have not affected the management or investment policies of the Funds, and the Funds’ outstanding common shares continue to trade on the NYSE without any change. If the Funds’ ARPS auctions continue to fail and the “maximum rate” payable on the ARPS rises as a result of changes in short-term interest rates, returns for the Funds’ common shareholders could be adversely affected.

 

At the time this report is being prepared, it is not possible to predict how and when full or partial liquidity will return, if at all, to the closed-end fund ARPS market. Additional information regarding ARPS, failed auctions and potential solutions to address the unprecedented lack of liquidity of the ARPS due to recent failed auctions can be accessed at http://www.allianzinvestors.com.

 

1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 43

 


 

PIMCO Floating Rate Income Fund Financial Highlights

For a share of common stock outstanding throughout each period:

 

 

 

 

Six months
ended

 

 

Year ended July31,

 

 

For the period
August 29, 2003*

 

 

 

 

January 31, 2008
(unaudited)

 

 

2007

 

 

2006

 

 

2005

 

 

through
July 31, 2004

 

 

Net asset value, beginning of period

 

$17.38

 

 

 

$19.14

 

 

 

$19.51

 

 

 

$19.38

 

 

 

$19.35

**

 

 

Investment Operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

1.02

 

 

 

2.13

 

 

 

1.91

 

 

 

1.36

 

 

 

0.71

 

 

 

Net realized and unrealized gain (loss) on investments, futures contracts, options written, swaps, unfunded loan commitments and foreign currency transactions

 

(1.16

)

 

 

(1.29

)

 

 

(0.14

)

 

 

0.39

 

 

 

0.39

 

 

 

Total from investment operations

 

(0.14

)

 

 

0.84

 

 

 

1.77

 

 

 

1.75

 

 

 

1.10

 

 

 

Dividends and Distributions on Preferred Shares from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

(0.31

)

 

 

(0.59

)

 

 

(0.48

)

 

 

(0.29

)

 

 

(0.11

)

 

 

Net realized gains

 

 

 

 

(0.00

)†

 

 

 

 

 

 

 

 

 

 

 

Total dividends and distributions on preferred shares

 

(0.31

)

 

 

(0.59

)

 

 

(0.48

)

 

 

(0.29

)

 

 

(0.11

)

 

 

Net increase (decrease) in net assets applicable to common shareholders resulting from investment operations

 

(0.45

)

 

 

0.25

 

 

 

1.29

 

 

 

1.46

 

 

 

0.99

 

 

 

Dividends and Distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

(0.87

)

 

 

(1.77

)

 

 

(1.63

)

 

 

(1.19

)

 

 

(0.78

)

 

 

Net realized gains

 

(0.30

)

 

 

(0.24

)

 

 

(0.03

)

 

 

(0.14

)

 

 

 

 

 

Total dividends and distributions to common shareholders

 

(1.17

)

 

 

(2.01

)

 

 

(1.66

)

 

 

(1.33

)

 

 

(0.78

)

 

 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common stock offering costs charged to paid-in capital in excess of par

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.04

)

 

 

Preferred shares offering costs/ underwriting discounts charged to paid-in capital in excess of par

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.14

)

 

 

Total capital share transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.18

)

 

 

Net asset value, end of period

 

$15.76

 

 

 

$17.38

 

 

 

$19.14

 

 

 

$19.51

 

 

 

$19.38

 

 

 

Market price, end of period

 

$16.38

 

 

 

$17.88

 

 

 

$20.02

 

 

 

$18.75

 

 

 

$20.47

 

 

 

Total Investment Return (1)

 

(1.69

)%

 

 

(0.93

)%

 

 

16.53

%

 

 

(2.05

)%

 

 

6.55

%

 

 

RATIOS/SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to common shareholders, end of period (000)

 

$287,310

 

 

 

$316,289

 

 

 

$345,750

 

 

 

$351,708

 

 

 

$346,749

 

 

 

Ratio of expenses to average net assets (2)(3)

 

1.60

%(4)

 

 

1.68

%

 

 

1.53

%

 

 

1.52

%

 

 

1.36

%(4)

 

 

Ratio of expenses to average net assets excluding interest expense (2)(3)

 

1.60

%(4)

 

 

1.55

%

 

 

1.53

%

 

 

1.52

%

 

 

1.36

%(4)

 

 

Ratio of net investment income to average net assets (2)

 

11.70

%(4)

 

 

11.14

%

 

 

9.91

%

 

 

6.93

%

 

 

4.04

%(4)

 

 

Preferred shares asset coverage per share

 

$59,190

 

 

 

$62,622

 

 

 

$66,133

 

 

 

$66,856

 

 

 

$66,274

 

 

 

Portfolio turnover

 

13

%

 

 

62

%

 

 

64

%

 

 

83

%

 

 

94

%

 

 

 

*

 

Commencement of operations.

**

 

Initial public offering price of $20.00 per share less underwriting discount of $0.65 per share.

 

Amount less than $0.005 per share.

(1)

 

Total investment return is calculated assuming a purchase of common stock at the current market price on the first day of each period and a sale at the current market price on the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s 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(n) in Notes to Financial Statements).

(4)

 

Annualized.

 

44 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08 | See accompanying Notes to Financial Statements.

 


 

PIMCO Floating Rate Strategy Fund Financial Highlights

For a share of common stock outstanding throughout each period:

 

 

 

 

Six months

 

 

 

 

 

For the period

 

 

 

 

ended

 

 

 

Eleven months

 

October 29, 2004*

 

 

 

 

January 31, 2008

 

Year ended

 

ended

 

through

 

 

 

 

(unaudited)

 

July 31, 2007

 

July 31, 2006†

 

August 31, 2005

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

 

$16.76

 

 

 

$18.76

 

 

 

$18.98

 

 

 

$19.10

**

 

 

Investment Operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

1.00

 

 

 

2.06

 

 

 

1.64

 

 

 

0.88

 

 

 

Net realized and unrealized gain (loss) on investments, futures contracts, options written, swaps, unfunded loan commitments and foreign currency transactions

 

 

(1.33

)

 

 

(1.34

)

 

 

 

 

 

0.31

 

 

 

Total from investment operations

 

 

(0.33

)

 

 

0.72

 

 

 

1.64

 

 

 

1.19

 

 

 

Dividends and Distributions on Preferred Shares from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.30

)

 

 

(0.58

)

 

 

(0.45

)

 

 

(0.24

)

 

 

Net realized gains

 

 

 

 

 

(0.00

)††

 

 

 

 

 

 

 

 

Total dividends and distributions on preferred shares

 

 

(0.30

)

 

 

(0.58

)

 

 

(0.45

)

 

 

(0.24

)

 

 

Net increase (decrease) in net assets applicable to common shareholders resulting from investment operations

 

 

(0.63

)

 

 

0.14

 

 

 

1.19

 

 

 

0.95

 

 

 

Dividends and Distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.87

)

 

 

(1.72

)

 

 

(1.41

)

 

 

(0.91

)

 

 

Net realized gains

 

 

 

 

 

(0.42

)

 

 

 

 

 

 

 

 

Total dividends and distributions to common shareholders

 

 

(0.87

)

 

 

(2.14

)

 

 

(1.41

)

 

 

(0.91

)

 

 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common stock offering costs charged to paid-in capital in excess of par

 

 

 

 

 

 

 

 

 

 

 

(0.03

)

 

 

Preferred shares offering costs/underwriting discounts charged to paid-in capital in excess of par

 

 

 

 

 

 

 

 

 

 

 

(0.13

)

 

 

Total capital share transactions

 

 

 

 

 

 

 

 

 

 

 

(0.16

)

 

 

Net asset value, end of period

 

 

$15.26

 

 

 

$16.76

 

 

 

$18.76

 

 

 

$18.98

 

 

 

Market price, end of period

 

 

$15.10

 

 

 

$17.28

 

 

 

$18.87

 

 

 

$18.21

 

 

 

Total Investment Return (1)

 

 

(7.83

)%

 

 

2.73

%

 

 

11.77

%

 

 

(4.39

)%

 

 

RATIOS/SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to common shareholders, end of period (000)

 

 

$650,132

 

 

 

$712,152

 

 

 

$782,371

 

 

 

$789,094

 

 

 

Ratio of expenses to average net assets (2)(3)

 

 

1.54

%(4)

 

 

1.48

%

 

 

1.47

%(4)

 

 

1.35

%(4)

 

 

Ratio of expenses to average net assets excluding interest expense (2)(3)

 

 

1.54

%(4)

 

 

1.48

%

 

 

1.47

%(4)

 

 

1.35

%(4)

 

 

Ratio of net investment income to average net assets (2)

 

 

11.83

%(4)

 

 

11.03

%

 

 

9.51

%(4)

 

 

5.57

%(4)

 

 

Preferred shares asset coverage per share

 

 

$58,847

 

 

 

$62,069

 

 

 

$65,722

 

 

 

$66,084

 

 

 

Portfolio turnover

 

 

17

%

 

 

65

%

 

 

60

%

 

 

47

%

 

 

 

*

 

Commencement of operations.

**

 

Initial public offering price of $20.00 per share less underwriting discount of $0.90 per share.

 

Fiscal year-end changed from August 31 to July 31.

††

 

Amount less than $0.005 per share.

(1)

 

Total investment return is calculated assuming a purchase of common stock at the current market price on the first day of each period and a sale at the current market price on the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s 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(n) in Notes to Financial Statements).

(4)

 

Annualized.

 

See accompanying Notes to Financial Statements. | 1.31.08 | PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report 45

 


 

PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds
Annual Shareholder Meeting Results/Proxy Voting Policies & Procedures
(unaudited)

Annual Shareholder Meeting Results:

The Funds held their annual meeting of shareholders on December 18, 2007. Common/Preferred shareholders voted as indicated below:

 

Floating Rate Income:

 

 

 

 

 

Withheld

 

 

 

Affirmative

 

Authority

 

Re-election of Robert E. Connor* – Class I to serve until 2010

 

7,845

 

 

81

 

 

 

 

 

 

 

 

 

 

Re-election of Hans W. Kertess – Class I to serve until 2010

 

15,679,192

 

 

276,524

 

 

 

 

 

 

 

 

 

 

Re-election of William B. Ogden, IV – Class I to serve until 2010

 

15,687,365

 

 

268,351

 

 

 

 

 

 

 

 

 

 

Election of John C. Maney – Class III to serve until 2009

 

15,615,473

 

 

340,243

 

 

 

 

 

Messrs. Paul Belica, John J. Dalessandro II*, and R. Peter Sullivan III continue to serve as Trustees.

 

*      Preferred Shares Trustee

 

Floating Rate Strategy:

 

 

 

 

 

Withheld

 

 

 

Affirmative

 

Authority

 

Re-election of Hans W. Kertess – Class III to serve until 2010

 

35,559,178

 

 

829,072

 

 

 

 

 

 

 

 

 

 

Election of John C. Maney – Class III to serve until 2010

 

35,587,343

 

 

800,907

 

 

 

 

 

Messrs. Paul Belica, Robert E. Connor*, John J. Dalessandro II*, William B. Ogden, IV and R. Peter Sullivan III continue to serve as Trustees.

 

*      Preferred Shares Trustee

 

Proxy Voting Policies & Procedures:

A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to portfolio securities held during the twelve month period ended June 30 is available (i) without charge, upon request, by calling the Funds’ shareholder servicing agent at (800) 331-1710; (ii) on the Funds’ website at www.allianzinvestors.com/closedendfunds; and (iii) on the Securities and Exchange Commission website at www.sec.gov.

 

46 PIMCO Floating Rate Income/PIMCO Floating Rate Strategy Funds Semi-Annual Report | 1.31.08


 

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Trustees and Principal Officers

 

Hans W. Kertess

 

Brian S. Shlissel

Trustee, Chairman of the Board of Trustees

 

President & Chief Executive Officer

Paul Belica

 

Lawrence G. Altadonna

Trustee

 

Treasurer, Principal Financial & Accounting Officer

Robert E. Connor

 

Thomas J. Fuccillo

Trustee

 

Vice President, Secretary & Chief Legal Officer

John J. Dalessandro II

 

Scott Whisten

Trustee

 

Assistant Treasurer

John C. Maney

 

Youse E. Guia

Trustee

 

Chief Compliance Officer

William B. Ogden, IV

 

William V. Healey

Trustee

 

Assistant Secretary

R. Peter Sullivan III

 

Richard H. Kirk

Trustee

 

Assistant Secretary

 

 

Kathleen A. Chapman

 

 

Assistant Secretary

 

 

Lagan Srivastava

 

 

Assistant Secretary

 

Investment Manager

Allianz Global Investors Fund Management LLC

1345 Avenue of the Americas

New York, NY 10105

 

Sub-Adviser

Pacific Investment Management Company LLC

840 Newport Center Drive

Newport Beach, CA 92660

 

Custodian & Accounting Agent

State Street Bank & Trust Co.

801 Pennsylvania

Kansas City, MO 64105-1307

 

Transfer Agent, Dividend Paying Agent and Registrar

PFPC Inc.

P.O. Box 43027

Providence, RI 02940-3027

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

300 Madison Avenue

New York, NY 10017

 

Legal Counsel

Ropes & Gray LLP

One International Place

Boston, MA 02110-2624

 

This report, including the financial information herein, is transmitted to the shareholders of PIMCO Floating Rate Income Fund and 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 Funds or any securities mentioned in this report.

 

The financial information included herein is taken from the records of the Funds without examination by an independent registered public accounting firm, who did not express an opinion hereon.

 

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 Funds may purchase shares of its common stock in the open market.

 

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarter of its fiscal year on Form N-Q. The Funds’ Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The information on Form N-Q is also available on the Funds’ website at www.allianzinvestors.com/closedendfunds.

 

On December 26, 2007, the Funds submitted a CEO annual certification to the New York Stock Exchange (“NYSE”) on which the Funds’ principal executive officer certified that he was not aware, as of the date, of any violation by the Funds of the NYSE’s Corporate Governance listing standards. In addition, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and related SEC rules, each Funds’ principal executive and principal financial officer made quarterly certifications, included in filings with the SEC on Forms N-CSR and N-Q relating to, among other things, the Funds’ disclosure controls and procedures and internal control over financial reporting, as applicable.

 

Information on the Funds is available at www.allianzinvestors.com/closedendfunds or by calling the Funds’ shareholder servicing agent at (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 required in 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

 

 

 

OF SHARES

 

PRICE PAID

 

ANNOUNCED PLANS

 

BE PURCHASED UNDER THE

 

PERIOD

 

PURCHASED

 

PER SHARE

 

OR PROGRAMS

 

PLANS OR PROGRAMS

 

August 2007

 

N/A

 

$

17.35

 

10,147

 

N/A

 

September 2007

 

N/A

 

$

18.04

 

9,340

 

N/A

 

October 2007

 

N/A

 

N/A

 

N/A

 

N/A

 

November 2007

 

N/A

 

N/A

 

N/A

 

N/A

 

December 2007

 

N/A

 

N/A

 

N/A

 

N/A

 

January 2008

 

N/A

 

$

16.43

 

14,550

 

N/A

 

 



 

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

 

There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.

 

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 Act (17 CFR 270.30a-3(c))), 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 (over financial reporting as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants control over financial reporting.

 

ITEM 12. EXHIBITS

 

(a) (1) Exhibit 99.302 Cert. - Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

 

(b) Exhibit 99.906 Cert. - 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.

 

(Registrant)

PIMCO Floating Rate Income Fund

 

 

 

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

 

 

Date

April  8, 2008

 

 

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date

April 8, 2008

 

 

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

 

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

 

 

Date

April 8, 2008

 

 

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

 

 

Date

April 8, 2008