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

OMB APPROVAL

 

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

 

 

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-21601

 

 

PIMCO Floating Rate Strategy Fund

(Exact name of registrant as specified in charter)

 

1345 Avenue of the Americas, New York, NY

 

10105

(Address of principal executive offices)

 

(Zip code)

 

Lawrence G. Altadonna

1345 Avenue of the Americas,

New York, NY 10105

(Name and address of agent for service)

 

Registrant's telephone number, including area code:

212-739-3371

 

 

Date of fiscal year end:

July 31, 2008

 

 

 

 

Date of reporting period:

April 30, 2008

 

 

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

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 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. Schedule of Investments

 

PIMCO Floating Rate Strategy Fund Schedule of Investments

April 30, 2008 (unaudited)

 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000)

 

 

 

Value*

 

SENIOR LOANS (a)(c)—73.8%

 

 

 

Advertising—1.6%

 

 

 

 

PagesJaunes Groupe S.A. (b),

 

 

 

 

€2,000

 

6.113%, 1/11/14, Term A

 

$2,819,935

 

 

€2,250

 

6.613%, 1/11/15, Term B

 

2,881,238

 

 

€2,250

 

7.113%, 1/11/16, Term C

 

2,882,990

 

 

 

West Corp.,

 

 

 

 

$84

 

5.079%, 10/23/13

 

76,795

 

 

2,950

 

5.238%, 10/23/13

 

2,704,303

 

 

3,544

 

5.259%, 10/23/13 (b)

 

3,248,842

 

 

2,849

 

5.295%, 10/24/13

 

2,611,038

 

 

503

 

5.465%, 10/23/13

 

460,772

 

 

 

 

 

 

17,685,913

 

 

 

 

 

 

 

 

Aerospace—0.1%

 

 

 

 

1,250

 

TransDigm Group, Inc., 4.655%, 6/23/13, Term B (b)

 

1,195,312

 

 

 

 

 

Airlines—0.5%

 

 

 

 

 

6,930

 

Northwest Airlines Corp., 4.72%, 8/22/08 (b)

 

6,092,613

 

 

 

 

 

 

Apparel & Textiles—0.3%

 

 

 

 

 

 

Hanesbrands, Inc., Term B,

 

 

 

 

126

 

4.424%, 10/15/13

 

123,847

 

 

571

 

4.657%, 10/15/13

 

562,143

 

 

 

 

Simmons Co., Term C (b),

 

 

 

 

702

 

4.875%, 12/19/11

 

632,011

 

 

369

 

4.938%, 12/19/11

 

331,745

 

 

468

 

5.288%, 12/19/11

 

421,341

 

 

538

 

6.375%, 12/19/11

 

484,299

 

 

156

 

6.50%, 12/19/11

 

140,447

 

 

54

 

6.938%, 12/19/11

 

48,430

 

 

108

 

7.125%, 12/19/11

 

96,860

 

 

108

 

7.25%, 12/19/11

 

96,860

 

 

 

 

 

 

2,937,983

 

 

 

 

 

 

 

 

Automotive—1.6%

 

 

 

 

2,000

 

Dura Operating Corp., 7.491%, 4/28/11 (b)

 

1,100,000

 

 

11,850

 

Ford Motor Corp., 5.80%, 12/15/13, Term B

 

10,918,661

 

 

2,475

 

General Motors Corp., 5.059%, 11/29/13

 

2,331,468

 

 

 

 

Hertz Corp.,

 

 

 

 

321

 

2.599%, 12/21/12

 

308,103

 

 

10

 

4.22%, 12/21/12 (b)

 

9,211

 

 

2,328

 

4.22%, 12/21/12, Term B

 

2,236,510

 

 

1,514

 

4.23%, 12/21/12, Term B

 

1,453,999

 

 

 

 

 

 

18,357,952

 

 

 

 

 

 

 

 

Automotive Products—2.0%

 

 

 

 

8,302

 

Affinia Group, 5.899%, 11/30/11, Term B (b)

 

7,389,170

 

 


 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000)

 

 

 

Value*

 

Automotive Products (continued)

 

 

 

 

 

 

Allison Transmission, Inc.,

 

 

 

 

$2,567

 

5.48%, 8/7/14

 

$2,412,811

 

 

1,423

 

5.74%, 8/7/14 (b)

 

1,337,411

 

 

 

 

 

 

 

 

 

 

 

Cooper Standard Automotive, Inc.,

 

 

 

 

2,333

 

5.25%, 12/31/11, Term B

 

2,251,202

 

 

5,830

 

5.25%, 12/31/11, Term C

 

5,625,794

 

 

3,000

 

Goodyear Tire & Rubber Co., 4.54%, 4/20/14, Term B

 

2,850,000

 

 

 

 

 

 

21,866,388

 

 

 

 

 

 

 

 

Banking—0.7%

 

 

 

 

 

 

Aster Co., Ltd. (b),

 

 

 

 

2,138

 

4.88%, 9/19/13, Term B

 

1,872,352

 

 

2,214

 

4.88%, 9/19/14, Term C

 

1,939,541

 

 

€2,800

 

6.983%, 9/19/13, Term B

 

3,763,553

 

 

 

 

 

 

7,575,446

 

 

 

 

 

 

 

 

Building/Construction—0.9%

 

 

 

 

 

 

Masonite International Corp., Term B,

 

 

 

 

$1,361

 

4.63%, 4/6/13

 

1,232,891

 

 

5,107

 

4.92%, 4/6/13

 

4,628,164

 

 

4,725

 

Nortek, Inc., 5.30%, 8/27/11 (b)

 

4,276,166

 

 

 

 

 

 

10,137,221

 

 

 

 

 

 

 

 

Chemicals—2.0%

 

 

 

 

 

 

Brenntag AG,

 

 

 

 

€1,660

 

6.517%, 12/23/13

 

2,410,598

 

 

€340

 

6.517%, 12/23/13, Term B

 

494,313

 

 

 

 

Chart Industries, Term B (b),

 

 

 

 

$2,333

 

4.75%, 10/14/12

 

2,275,000

 

 

333

 

6.875%, 10/14/12

 

325,000

 

 

 

 

Georgia Gulf Corp.,

 

 

 

 

1,492

 

5.241%, 10/3/13

 

1,411,923

 

 

9

 

5.622%, 11/30/13 (b)

 

8,339

 

 

 

 

INEOS Group Ltd.,

 

 

 

 

2,871

 

4.635%, 10/7/12, Term A

 

2,566,176

 

 

970

 

4.655%, 10/7/12, Term A

 

867,127

 

 

1,960

 

4.885%, 10/7/13, Term B

 

1,727,903

 

 

1,960

 

5.385%, 10/7/14, Term C

 

1,833,213

 

 

2,327

 

Innophos, Inc., 4.70%, 8/13/10, Term B (b)

 

2,205,091

 

 

4,823

 

KRATON Polymers Group LLC, 6.75%, 5/12/13 (b)

 

4,033,160

 

 

€1,619

 

MacDermid, Inc., 6.981%, 4/12/14 (b)

 

2,229,964

 

 

 

 

 

 

22,387,807

 

 

 

 

 

 

 

 

Commercial Products—0.4%

 

 

 

 

 

 

Alliance Laundry Holdings LLC, Term B (b),

 

 

 

 

$45

 

5.22%, 1/27/12

 

43,317

 

 

2,673

 

5.60%, 1/27/12

 

2,599,022

 

 


 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000)

 

 

 

Value*

 

Commercial Products (continued)

 

 

 

 

 

 

iPayment, Inc. (b),

 

 

 

 

$1,010

 

4.696%, 12/27/12

 

$838,059

 

 

388

 

4.716%, 12/27/12

 

322,330

 

 

538

 

4.828%, 12/27/12

 

446,427

 

 

 

 

 

 

4,249,155

 

 

 

 

 

 

 

 

Commercial Services—0.4%

 

 

 

 

 

 

ARAMARK Corp.,

 

 

 

 

4,146

 

4.571%, 1/26/14, Term B

 

3,981,285

 

 

708

 

4.83%, 1/26/14, Term LC

 

679,763

 

 

 

 

 

 

4,661,048

 

 

 

 

 

 

 

 

Computer Services—1.0%

 

 

 

 

11,672

 

SunGard Data Systems, Inc., 5.128%, 2/11/13

 

11,084,657

 

 

 

 

 

 

 

 

Computer Software—2.5%

 

 

 

 

 

 

Infor Global Solutions (b),

 

 

 

 

1,491

 

5.45%, 7/28/12

 

1,239,660

 

 

1,036

 

6.45%, 7/28/12

 

860,870

 

 

231

 

6.45%, 8/1/12

 

192,322

 

 

663

 

6.45%, 8/1/12, Term DD

 

551,289

 

 

€3,090

 

8.481%, 8/1/12, Term EU

 

3,994,656

 

 

 

 

Thomson Learning, Inc., Term B,

 

 

 

 

$1,802

 

5.20%, 6/27/14

 

1,674,979

 

 

14,118

 

5.36%, 6/27/14

 

13,123,982

 

 

7,000

 

Trilogy International, Inc., 6.196%, 6/22/12 (b)

 

5,985,000

 

 

 

 

 

 

27,622,758

 

 

 

 

 

 

 

 

Consumer Products—2.0%

 

 

 

 

6,529

 

Education Management Corp., 4.50%, 2/13/14, Term B (b)

 

5,839,046

 

 

 

 

Jarden Corp., Term B,

 

 

 

 

5,967

 

4.446%, 1/24/12 (b)

 

5,688,833

 

 

2,978

 

5.196%, 1/24/12

 

2,903,062

 

 

 

 

National Mentor, Inc. (b),

 

 

 

 

1,970

 

4.70%, 6/30/13, Term B

 

1,694,135

 

 

3,000

 

6.904%, 6/29/12

 

2,580,000

 

 

 

 

Pinnacle Foods, Term B (b),

 

 

 

 

122

 

5.421%, 3/30/14

 

114,589

 

 

3,351

 

5.438%, 3/30/14

 

3,134,816

 

 

 

 

 

 

21,954,481

 

 

 

 

 

Containers & Packaging—2.3%

 

 

 

 

 

 

Graham Packaging Holdings Co., Term B,

 

 

 

 

1,333

 

4.875%, 10/18/11

 

1,266,759

 

 

100

 

5.00%, 10/18/11 (b)

 

95,007

 

 

6,333

 

5.00%, 10/18/11

 

6,017,104

 

 

2,133

 

5.25%, 10/18/11

 

2,026,814

 

 


 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000)

 

 

 

Value*

 

Containers & Packaging (continued)

 

 

 

 

 

 

Graphic Packaging International Corp.,

 

 

 

 

$1,251

 

4.698%, 5/3/14

 

$1,194,013

 

 

427

 

4.734%, 5/3/14

 

407,796

 

 

1,194

 

4.92%, 5/3/14

 

1,138,994

 

 

 

 

JSG Packaging Ltd.,

 

 

 

 

€30

 

5.853%, 11/29/12, Term A

 

43,356

 

 

€364

 

5.942%, 11/29/12, Term A

 

525,223

 

 

€34

 

6.229%, 1/12/13, Term B

 

50,136

 

 

€117

 

6.229%, 1/12/13, Term B (b)

 

171,006

 

 

€91

 

6.238%, 1/12/13, Term B

 

132,497

 

 

€31

 

6.238%, 11/29/13, Term B (b)

 

45,368

 

 

€208

 

6.249%, 1/12/13, Term B (b)

 

302,630

 

 

€332

 

6.30%, 11/29/12, Term A

 

478,533

 

 

€225

 

6.478%, 1/12/14, Term C

 

320,947

 

 

€225

 

6.482%, 11/29/12, Term A

 

324,776

 

 

€114

 

6.488%, 1/12/14, Term C (b)

 

162,743

 

 

€120

 

6.488%, 1/12/14, Term C

 

171,091

 

 

€461

 

6.488%, 2/18/15, Term C (b)

 

656,081

 

 

€412

 

6.527%, 1/12/13, Term B

 

600,327

 

 

€281

 

6.616%, 1/12/13, Term B

 

409,186

 

 

€109

 

6.616%, 11/29/13, Term B

 

158,907

 

 

€715

 

6.643%, 2/18/14, Term B (b)

 

1,041,345

 

 

€402

 

6.777%, 1/12/14, Term C

 

572,984

 

 

€141

 

6.853%, 11/29/14, Term C (b)

 

201,192

 

 

€91

 

6.866%, 1/12/14, Term C (b)

 

129,342

 

 

€136

 

6.866%, 11/29/14, Term C

 

194,304

 

 

€188

 

6.872%, 1/12/14, Term C

 

267,994

 

 

€121

 

6.893%, 11/29/14, Term C (b)

 

172,450

 

 

 

 

Smurfit-Stone Container,

 

 

 

 

$1,528

 

4.50%, 11/1/10

 

1,490,207

 

 

749

 

4.875%, 11/1/10, Term C

 

730,790

 

 

342

 

4.875%, 11/1/11, Term B

 

333,605

 

 

744

 

4.875%, 11/1/11, Term C

 

725,306

 

 

931

 

5.125%, 11/1/11, Term B

 

907,562

 

 

2,505

 

5.125%, 11/1/11, Term C

 

2,443,399

 

 

 

 

 

 

25,909,774

 

 

 

 

 

 

 

 

Diversified Manufacturing—1.4%

 

 

 

 

8,453

 

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

 

6,149,435

 

 

 

 

Invensys PLC (b),

 

 

 

 

1,041

 

5.039%, 7/17/13

 

1,002,055

 

 

959

 

5.128%, 7/17/13

 

922,945

 

 

 

 

KION Group GmbH (b),

 

 

 

 

3,000

 

6.751%, 12/20/14, Term B

 

2,797,500

 

 

3,000

 

7.251%, 12/20/15, Term C

 

2,797,500

 

 

 

 

Linpac Mouldings Ltd. (b),

 

 

 

 

1,016

 

7.218%, 4/16/12, Term B

 

840,495

 

 

1,277

 

7.718%, 4/16/12, Term C

 

1,063,223

 

 

 

 

 

 

15,573,153

 

 

 

 

 

 

 

 

Drugs & Medical Products—2.6%

 

 

 

 

5,837

 

Bausch & Lomb, Inc., 5.946%, 4/26/15, Term B

 

5,772,851

 

 

 

 

Mylan Laboratories, Inc., Term B,

 

 

 

 

3,326

 

5.938%, 10/2/14

 

3,267,774

 

 

1,663

 

6.00%, 10/2/14 (b)

 

1,633,887

 

 

3,490

 

6.125%, 10/2/14

 

3,429,889

 

 


 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000)

 

 

 

Value*

 

Drugs & Medical Products (continued)

 

 

 

 

 

 

Nycomed Holdings (b),

 

 

 

 

€2,270

 

6.978%, 12/20/15, Term B

 

$2,947,692

 

 

€1,730

 

6.978%, 12/29/16, Term B

 

2,246,314

 

 

€1,730

 

7.728%, 12/20/15, Term C

 

2,277,974

 

 

€2,270

 

7.728%, 12/29/16, Term C

 

2,989,237

 

 

 

 

Stiefel Laboratories, Inc. (b),

 

 

 

 

$432

 

6.693%, 12/31/13

 

417,162

 

 

565

 

6.693%, 1/10/14

 

545,401

 

 

 

 

Warner Chilcott PLC,

 

 

 

 

1,818

 

4.696%, 1/18/12, Term B

 

1,750,477

 

 

848

 

4.696%, 1/18/12, Term C

 

816,889

 

 

970

 

4.761%, 1/18/12, Term B

 

933,588

 

 

128

 

4.884%, 1/18/12, Term B

 

122,940

 

 

154

 

4.884%, 1/18/12, Term C

 

148,585

 

 

 

 

 

 

29,300,660

 

 

 

 

 

 

 

 

Energy—1.5%

 

 

 

 

 

 

Alon USA Energy, Inc. (b),

 

 

 

 

5,189

 

5.113%, 6/8/13

 

4,773,751

 

 

649

 

5.113%, 6/8/13, Term DD

 

596,719

 

 

51

 

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

 

49,214

 

 

5,141

 

Headwaters, Inc., 4.90%, 4/30/11, Term B (b)

 

4,807,065

 

 

 

 

Longview Power (b),

 

 

 

 

933

 

4.938%, 2/28/14, Term DD

 

795,278

 

 

267

 

5.00%, 2/28/13, Term LC

 

227,222

 

 

800

 

5.063%, 2/28/14, Term B

 

681,666

 

 

2,500

 

NRG Energy Holding, 4.346%, 2/1/13

 

2,404,062

 

 

 

 

Targa Resources, Inc.,

 

 

 

 

774

 

2.571%, 10/31/11

 

744,677

 

 

48

 

4.696%, 10/31/12, Term B

 

46,542

 

 

1,323

 

6.906%, 10/31/12, Term B

 

1,272,901

 

 

 

 

 

 

16,399,097

 

 

 

 

 

 

 

 

Entertainment—2.4%

 

 

 

 

17,682

 

MGM Studios, 5.946%, 4/8/12, Term B

 

14,206,432

 

 

 

 

Revolution Studios LLC (b),

 

 

 

 

713

 

5.37%, 12/21/12, Term A

 

646,374

 

 

4,596

 

6.62%, 12/21/14, Term B

 

4,250,997

 

 

 

 

Warner Music Group, Inc., Term B,

 

 

 

 

3,692

 

4.678%, 2/28/11

 

3,412,496

 

 

698

 

4.895%, 2/28/11

 

644,952

 

 

1,649

 

4.92%, 2/28/11

 

1,524,705

 

 

1,666

 

5.093%, 2/28/11 (b)

 

1,540,106

 

 

 

 

 

 

26,226,062

 

 


 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000)

 

 

 

Value*

 

Financial Services—6.5%

 

 

 

$3,500

 

Bearingpoint, Inc., 6.666%, 5/18/12 (b)

 

$2,607,500

 

14,422

 

Chrysler Financial Corp., 6.80%, 8/3/12

 

13,162,536

 

 

 

Delphi Corp. (b),

 

 

 

500

 

6.375%, 7/1/08, Term B

 

498,750

 

8,000

 

6.875%, 7/1/08, Term C

 

8,051,432

 

 

 

First Data Corp., Term B,

 

 

 

247

 

5.349%, 9/24/14 (b)

 

232,611

 

931

 

5.349%, 9/24/14

 

877,194

 

67

 

5.446%, 9/24/14 (b)

 

62,661

 

597

 

5.446%, 9/24/14

 

563,156

 

8,111

 

5.645%, 9/24/14

 

7,651,036

 

11,820

 

Nielson Finance, 5.346%, 8/9/13, Term B

 

11,209,346

 

 

 

Nuveen Investments, Term B,

 

 

 

5,184

 

5.863%, 11/13/14

 

4,951,133

 

4,816

 

5.886%, 11/1/14 (b)

 

4,526,226

 

 

 

One (b),

 

 

 

€1,247

 

7.136%, 10/2/15, Term B

 

1,777,121

 

€1,003

 

7.136%, 2/4/16, Term B

 

1,428,147

 

€1,402

 

7.636%, 9/30/16, Term C

 

2,117,827

 

€848

 

7.636%, 2/4/17, Term C

 

1,280,107

 

€5,300

 

Weather Investments, 10.972%, 12/17/14 (b)

 

8,329,960

 

$3,000

 

Yell Finance BV, 4.863%, 2/10/13

 

2,669,463

 

 

 

 

 

71,996,206

 

 

 

 

 

 

 

Food Services—1.4%

 

 

 

 

 

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

 

 

 

37

 

4.943%, 7/25/12

 

35,138

 

1,855

 

4.954%, 7/25/12

 

1,756,881

 

6,398

 

5.113%, 7/25/12

 

6,060,361

 

1,948

 

5.149%, 7/25/12

 

1,844,725

 

 

 

Michael Foods, Inc., Term B (b),

 

 

 

195

 

4.542%, 11/21/10

 

190,550

 

2,864

 

6.845%, 11/21/10

 

2,791,945

 

3,465

 

Sturm Foods, Inc., 5.438%, 1/30/14, Term B (b)

 

2,581,425

 

 

 

 

 

15,261,025

 

 

 

 

 

 

 

Healthcare & Hospitals—6.5%

 

 

 

12,935

 

Biomet, Inc., 5.696%, 3/25/15, Term B

 

12,711,328

 

 

 

Capio AB (b),

 

 

 

€356

 

7.087%, 3/8/15, Term B

 

528,153

 

€1,209

 

7.087%, 3/8/16, Term C

 

1,786,398

 

€1,209

 

7.212%, 3/8/15, Term B

 

1,786,398

 

€356

 

7.212%, 3/8/16, Term C

 

525,727

 

$4,083

 

Community Health Systems, Inc., 5.335%, 7/25/14, Term B

 

3,917,295

 

 

 

DaVita, Inc., Term B,

 

 

 

1,285

 

4.20%, 10/5/12

 

1,233,223

 

74

 

4.22%, 10/5/12 (b)

 

70,666

 

105

 

4.22%, 10/5/12

 

100,952

 

232

 

4.33%, 10/5/12 (b)

 

222,767

 

1,630

 

4.33%, 10/5/12

 

1,564,226

 

105

 

4.57%, 10/5/12

 

100,951

 

158

 

4.60%, 10/5/12

 

151,427

 

 


 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000)

 

 

 

Value*

 

Healthcare & Hospitals (continued)

 

 

 

$24,688

 

HCA, Inc., 4.946%, 11/18/13, Term B

 

$23,485,169

 

 

 

HealthSouth Corp.,

 

 

 

4,607

 

5.23%, 3/10/13

 

4,384,095

 

10

 

5.37%, 2/2/13

 

9,842

 

€3,000

 

ISTA, 8.519%, 6/15/16

 

3,222,783

 

$2,573

 

MultiPlan, Inc., 5.363%, 4/12/13, Term B (b)

 

2,430,997

 

 

 

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

 

 

 

1,458

 

4.45%, 7/7/12

 

1,402,923

 

2,707

 

4.613%, 7/7/12

 

2,605,491

 

9,223

 

Renal Advantage, Inc., 5.264%, 10/6/12, Term B (b)

 

8,646,133

 

 

 

United Surgical (b),

 

 

 

45

 

4.62%, 4/18/14, Term DD

 

41,548

 

110

 

5.02%, 4/18/14, Term DD

 

100,903

 

1,665

 

5.49%, 4/18/14, Term B

 

1,531,652

 

95

 

6.791%, 4/18/14, Term DD

 

87,548

 

 

 

 

 

72,648,595

 

 

 

 

 

 

 

Hotels/Gaming—1.7%

 

 

 

693

 

CCM Merger, Inc., 5.00%, 7/21/12, Term B (b)

 

651,334

 

6,342

 

Las Vegas Sands Corp., 4.45%, 5/23/14

 

5,839,815

 

 

 

MotorCity Casino, Term B (b),

 

 

 

6,338

 

4.671%, 7/21/12

 

5,958,074

 

1,732

 

5.08%, 7/21/12

 

1,628,334

 

4,851

 

Wimar OPCO LLC, 8.50%, 1/3/12, Term B

 

4,679,482

 

 

 

 

 

18,757,039

 

 

 

 

 

 

 

Leasing—0.3%

 

 

 

 

 

Rental Service Corp. (b),

 

 

 

1,771

 

6.23%, 11/21/13

 

1,546,681

 

2,218

 

6.23%, 11/30/13

 

1,936,740

 

 

 

 

 

3,483,421

 

 

 

 

 

 

 

Manufacturing—2.4%

 

 

 

1,000

 

Boc Group, Inc., 8.835%, 11/30/14 (b)

 

550,000

 

7,380

 

Bombardier, Inc., 5.32%, 6/26/13, Term B (b)

 

6,555,673

 

 

 

Dresser-Rand Group, Inc., Term T,

 

 

 

138

 

5.113%, 5/4/14

 

133,846

 

5,754

 

5.315%, 5/4/14

 

5,562,425

 

 

 

Lucite International Ltd. (b),

 

 

 

2,182

 

5.15%, 5/26/13, Term B

 

1,957,430

 

773

 

5.15%, 5/26/13, Term DD

 

693,093

 

5,955

 

Polypore, Inc., 5.11%, 5/15/14

 

5,687,025

 

 


 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000)

 

 

 

Value*

 

Manufacturing (continued)

 

 

 

$313

 

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

 

$299,296

 

6,117

 

Xerium Technologies, Inc., 5.446%, 5/18/12, Term B (b)

 

4,954,651

 

 

 

 

 

26,393,439

 

 

 

 

 

 

 

Multi-Media—7.5%

 

 

 

 

 

American Media Operations, Inc. (b),

 

 

 

3,735

 

6.34%, 1/30/13

 

3,422,194

 

3,735

 

8.16%, 1/30/13

 

3,422,194

 

1,228

 

Atlantic Broadband, Inc., 4.95%, 8/9/12, Term B (b)

 

1,148,387

 

7,000

 

Charter Communications, 5.171%, 9/6/14

 

6,211,205

 

 

 

CMP Susqhuhanna Corp., Term B (b),

 

 

 

956

 

4.757%, 5/5/13

 

749,035

 

1,365

 

4.893%, 5/5/13

 

1,069,446

 

540

 

4.925%, 5/5/13

 

422,706

 

14,804

 

CSC Holdings, Inc., 4.477%, 3/30/13, Term B

 

14,295,393

 

4,000

 

Insight Communications, 7.75%, 4/21/15 (b)

 

3,692,500

 

2,000

 

Macrovision, 7.00%, 4/30/13 (b)

 

1,997,500

 

4,950

 

MGM Studios, 5.946%, 4/8/12, Term B

 

3,977,018

 

3,025

 

NTL Investment, 4.937%, 1/6/13, Term B

 

2,785,435

 

 

 

ProSieben Sat.1 Media AG (b),

 

 

 

€5,055

 

2.875%, 5/9/15

 

6,479,583

 

€145

 

6.248%, 5/9/15

 

185,463

 

 

 

Seven Media Group, Term T (b),

 

 

 

AUD1,733

 

9.392%, 2/7/13

 

1,494,567

 

AUD6,933

 

9.402%, 2/7/13

 

5,978,267

 

AUD217

 

9.835%, 2/7/13

 

186,821

 

$2,006

 

Source Media, Inc., 4.95%, 11/8/11, Term B

 

1,835,833

 

1,401

 

Thomas Media, 4.95%, 11/8/11, Term B

 

1,281,712

 

 

 

Univision Communications, Inc.,

 

 

 

14

 

4.954%, 9/15/14, Term B (b)

 

12,204

 

416

 

5.113%, 9/15/14, Term B

 

351,481

 

14,564

 

5.149%, 9/15/14, Term B

 

12,301,832

 

2,000

 

5.363%, 3/15/09

 

1,923,334

 

506

 

5.494%, 9/15/14, Term B (b)

 

427,147

 

 

 

Young Broadcasting, Inc., Term B (b),

 

 

 

6,997

 

5.25%, 11/3/12, Term DD

 

6,323,406

 

2,250

 

5.688%, 5/2/12

 

2,033,802

 

 

 

 

 

84,008,465

 

 

 

 

 

 

 

Oil & Gas—0.4%

 

 

 

 

 

Big West Oil LLC (b),

 

 

 

312

 

4.966%, 5/2/14, Term DD

 

294,141

 

1,106

 

5.00%, 5/2/14, Term B

 

1,041,258

 

 

 

Oxbow Carbon & Minerals LLC (b),

 

 

 

3,547

 

4.863%, 5/4/14, Term B

 

3,217,244

 

327

 

4.863%, 5/4/14, Term DD

 

296,980

 

110

 

6.25%, 5/4/14, Term B

 

99,731

 

 

 

 

 

4,949,354

 

 


 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000)

 

 

 

Value*

 

Paper/Paper Products—1.0%

 

 

 

 

 

Georgia-Pacific Corp., Term B,

 

 

 

$832

 

4.446%, 12/20/12

 

$798,969

 

9,255

 

4.74%, 12/20/12

 

8,891,962

 

1,089

 

4.835%, 12/20/12

 

1,046,113

 

 

 

 

 

10,737,044

 

 

 

 

 

 

 

Printing/Publishing—2.1%

 

 

 

212

 

Idearc, Inc., 4.86%, 11/17/14 (b)

 

175,793

 

€3,743

 

Seat Pagine Gialle SpA, 4.386%, 5/25/12, Term A (b)

 

5,294,935

 

 

 

Tribune Co.,

 

 

 

$11,351

 

5.478%, 5/30/09, Term X

 

10,825,795

 

8,932

 

5.542%, 5/30/14, Term B

 

6,643,547

 

 

 

 

 

22,940,070

 

 

 

 

 

 

 

Recreation—2.7%

 

 

 

 

 

Amadeus Global Travel (b),

 

 

 

5,200

 

6.846%, 4/8/13, Term B

 

4,863,986

 

5,200

 

7.096%, 4/8/14, Term C

 

4,791,343

 

6,868

 

Cedar Fair L.P., 4.863%, 8/30/12

 

6,548,996

 

 

 

Six Flags Theme Parks, Inc., Term B,

 

 

 

4,235

 

5.15%, 4/30/15

 

3,783,973

 

1,412

 

5.33%, 4/30/15

 

1,261,324

 

308

 

5.35%, 4/30/15

 

275,126

 

 

 

Travelport,

 

 

 

595

 

4.946%, 8/23/13

 

549,756

 

2,964

 

5.113%, 8/23/13

 

2,739,868

 

5,955

 

5.113%, 8/23/13, Term DD

 

5,472,645

 

 

 

 

 

30,287,017

 

 

 

 

 

 

 

Retail—0.2%

 

 

 

2,715

 

Neiman Marcus Group, Inc., 4.758%, 4/6/13

 

2,599,230

 

 

 

 

 

 

 

Telecommunications—8.8%

 

 

 

 

 

Alltel Corp., Term B,

 

 

 

2,726

 

5.466%, 5/15/15

 

2,510,061

 

3,742

 

5.55%, 5/15/15

 

3,445,880

 

 

 

Centennial Cellular Communications Corp. (b),

 

 

 

8,603

 

4.696%, 2/9/11

 

8,409,232

 

666

 

5.085%, 1/20/11

 

650,665

 

 

 

eircom Group PLC (b),

 

 

 

€3,700

 

6.606%, 8/15/14, Term B

 

5,358,128

 

€3,700

 

6.856%, 8/15/15, Term C

 

5,386,873

 

€2,000

 

8.981%, 2/15/16

 

2,843,117

 

$5,631

 

Hawaiian Telcom Communications, Inc., 4.946%, 6/1/14, Term C

 

4,251,642

 

 

 

Integra Telecom, Inc., Term T (b),

 

 

 

3,043

 

6.946%, 8/31/13

 

2,887,293

 

1,886

 

7.149%, 8/31/13

 

1,789,460

 

2,515

 

7.335%, 8/31/13

 

2,385,946

 

 

 

Intelsat Ltd.,

 

 

 

4,762

 

5.184%, 7/3/12

 

4,418,691

 

2,993

 

5.184%, 1/3/14 (b)

 

2,776,393

 

5,500

 

5.20%, 2/1/14

 

5,495,875

 

 

 

Nordic Telephone Co. Holdings ApS,

 

 

 

€4,414

 

6.014%, 11/30/13, Term B

 

6,710,187

 

€5,285

 

6.514%, 11/30/14, Term C

 

8,069,266

 

$7,500

 

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

 

7,500,000

 

 


 

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000)

 

 

 

Value*

 

Telecommunications (continued)

 

 

 

€3,000

 

Telenet Bidco NV, 7.468%, 7/31/15, Term C (b)

 

$4,483,872

 

 

 

Telesat,

 

 

 

$4,000

 

9.00%, 10/31/08

 

3,820,000

 

3,000

 

10.50%, 10/31/08

 

2,865,000

 

 

 

Telesat Canada, Inc.,

 

 

 

47

 

5.79%, 10/22/14, Term DD

 

44,619

 

1,165

 

5.89%, 10/22/14, Term B

 

1,103,112

 

7,106

 

5.90%, 10/22/14, Term B

 

6,727,477

 

360

 

5.90%, 10/22/14, Term DD

 

349,504

 

4,770

 

Verizon IDEARC, Inc., 4.70%, 11/17/14, Term B

 

3,947,101

 

 

 

 

 

98,229,394

 

 

 

 

 

 

 

Transportation—0.5%

 

 

 

 

 

Fleetpride Corp., Term B (b),

 

 

 

5,063

 

5.196%, 6/6/13

 

4,682,812

 

375

 

5.384%, 6/6/13

 

346,875

 

 

 

 

 

5,029,687

 

 

 

 

 

 

 

Utilities—2.7%

 

 

 

7,440

 

AES Corp., 7.19%, 8/10/11, Term B (b)

 

7,272,042

 

4,160

 

Midwest Generation LLC, 4.568%, 12/31/11, Term B (b)

 

4,110,468

 

3,625

 

Sandridge Energy, Inc., 6.323%, 4/1/14 (b)

 

3,452,812

 

 

 

Texas Competitive Electric Holdings Co. LLC,

 

 

 

2,114

 

6.478%, 10/10/14

 

2,027,237

 

8,521

 

6.596%, 10/10/14

 

8,175,245

 

5,285

 

6.596%, 10/10/14, Term B

 

5,066,666

 

 

 

 

 

30,104,470

 

 

 

 

 

 

 

Waste Disposal—0.9%

 

 

 

 

 

Allied Waste North America, Inc.,

 

 

 

1,032

 

4.08%, 3/28/14, Term B

 

998,638

 

885

 

4.30%, 3/28/14, Term B

 

855,976

 

1,892

 

4.57%, 3/28/14, Term B

 

1,830,835

 

156

 

4.59%, 3/28/14, Term B

 

150,638

 

2,418

 

4.60%, 3/28/14

 

2,340,430

 

€3,000

 

AVR-Bedrijven NV, 7.015%, 3/1/14 (b)

 

4,297,044

 

 

 

 

 

10,473,561

 

 

 

 

 

 

 

Wholesale—0.8%

 

 

 

$9,776

 

Roundy’s, Inc., 5.47%, 10/27/11, Term B

 

9,179,899

 

 

 

 

 

 

 

Wire & Cable Products—1.2%

 

 

 

 

 

UPC Broadband Holding BV,

 

 

 

€4,345

 

6.391%, 12/31/14, Term M

 

6,168,100

 

€5,000

 

7.752%, 12/31/14

 

7,098,102

 

 

 

 

 

13,266,202

 

 

 

Total Senior Loans (cost—$866,876,327)

 

821,561,598

 

 


 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

CORPORATE BONDS & NOTES—18.5%

 

 

 

 

 

Airlines—0.1%

 

 

 

 

 

$1,477

 

JetBlue Airways Corp., 6.165%, 5/15/10, FRN

 

B2/B+

 

$1,469,160

 

 

 

 

 

 

 

 

 

Apparel & Textiles—0.7%

 

 

 

 

 

8,600

 

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

 

B2/B

 

8,148,500

 

 

 

 

 

 

 

 

 

Automotive Products—0.9%

 

 

 

 

 

4,500

 

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

 

NR/NR

 

405,000

 

9,000

 

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

 

Ba3/BB-

 

9,056,250

 

 

 

 

 

 

 

9,461,250

 

 

 

 

 

 

 

 

 

Banking—1.1%

 

 

 

 

 

5,000

 

Bank of America Corp., 8.00%, 2/1/18 (g)

 

A1/A+

 

5,099,545

 

£4,801

 

Royal Bank of Scotland PLC, 9.644%, 4/6/11, FRN (f)

 

NR/NR

 

7,505,231

 

 

 

 

 

 

 

12,604,776

 

 

 

 

 

 

 

 

 

Building/Construction—0.9%

 

 

 

 

 

€7,000

 

Grohe Holding GmbH, 7.622%, 1/15/14, FRN

 

B2/B

 

9,944,699

 

 

 

 

 

 

 

 

 

Chemicals—0.3%

 

 

 

 

 

€2,000

 

Rhodia S.A., 7.497%, 10/15/13, FRN (a)(d)

 

B1/BB

 

2,895,834

 

 

 

 

 

 

 

 

 

Commercial Services—0.9%

 

 

 

 

 

$10,000

 

ARAMARK Corp., 6.373%, 2/1/15, FRN

 

B3/B

 

9,675,000

 

 

 

 

 

 

 

 

 

Computer Services—0.2%

 

 

 

 

 

2,000

 

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

 

Caa1/B+

 

2,100,000

 

 

 

 

 

 

 

 

 

Containers & Packaging—0.2%

 

 

 

 

 

3,000

 

Berry Plastics Holding Corp., 6.675%, 9/15/14, FRN

 

Caa1/B

 

2,565,000

 

 

 

 

 

 

 

 

 

Drugs & Medical Products—0.3%

 

 

 

 

 

3,500

 

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

 

B3/B+

 

3,325,000

 

 

 

 

 

 

 

 

 

Electronics—0.2%

 

 

 

 

 

3,300

 

Spansion LLC, 6.201%, 6/1/13, FRN (a)(d)

 

B2/BB-

 

2,491,500

 

 

 

 

 

 

 

 

 

Financial Services—4.3%

 

 

 

 

 

3,500

 

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

 

B2/BB-

 

3,018,750

 

5,500

 

Citigroup, Inc., 8.40%, 4/30/18 (g)

 

A2/A

 

5,573,315

 

 

 

Ford Motor Credit Co. LLC, FRN,

 

 

 

 

 

5,715

 

4.283%, 1/15/10

 

B1/B

 

5,172,607

 

12,350

 

5.46%, 1/13/12

 

B1/B

 

10,396,983

 

10,000

 

General Motors Acceptance Corp. LLC, 5.276%, 12/1/14, FRN

 

B2/B

 

7,118,300

 

4,000

 

Hexion U.S. Finance Corp., 7.565%, 11/15/14, FRN

 

B3/B

 

3,770,000

 

1,400

 

Merrill Lynch & Co., Inc., 6.875%, 4/25/18

 

A1/A

 

1,414,963

 

 

 

Universal City Florida Holding Co.,

 

 

 

 

 

9,000

 

7.623%, 5/1/10, FRN

 

B3/B-

 

8,943,750

 

2,000

 

8.375%, 5/1/10

 

B3/B-

 

2,005,000

 

 

 

 

 

 

 

47,413,668

 

 


 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Hotels/Gaming—0.9%

 

 

 

 

 

$4,672

 

Harrah’s Operating Co., Inc., 10.75%, 2/1/16 (a)(d)

 

B3/B+

 

$4,041,280

 

7,000

 

Seminole Hard Rock Entertainment, Inc., 5.30%, 3/15/14, FRN (a)(d)

 

B1/BB

 

5,897,500

 

 

 

 

 

 

 

9,938,780

 

 

 

 

 

 

 

 

 

Insurance—0.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

3,000

 

10.326%, 6/7/10

 

NR/BB

 

3,042,202

 

1,200

 

10.826%, 6/7/10

 

NR/BB+

 

1,217,580

 

 

 

 

 

 

 

4,259,782

 

 

 

 

 

 

 

 

 

Manufacturing—0.6%

 

 

 

 

 

€4,500

 

Bombardier, Inc., 7.465%, 11/15/13, FRN (a)(d)

 

Ba2/BB+

 

7,076,111

 

 

 

 

 

 

 

 

 

Metals & Mining—0.3%

 

 

 

 

 

$3,050

 

Freeport-McMoRan Copper & Gold, Inc., 5.883%, 4/1/15, FRN

 

Ba2/BBB-

 

3,088,125

 

 

 

 

 

 

 

 

 

Multi-Media—0.5%

 

 

 

 

 

2,000

 

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

 

Caa1/CCC

 

1,850,000

 

3,200

 

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

 

Ba3/BB-

 

3,304,000

 

 

 

 

 

 

 

5,154,000

 

 

 

 

 

 

 

 

 

Paper/Paper Products—0.9%

 

 

 

 

 

10,500

 

Verso Paper Holdings LLC, 6.623%, 8/1/14, FRN

 

B2/B+

 

9,870,000

 

 

 

 

 

 

 

 

 

Semi-conductors—0.6%

 

 

 

 

 

9,000

 

Freescale Semiconductor, Inc., 6.675%, 12/15/14, FRN

 

B2/B-

 

7,222,500

 

 

 

 

 

 

 

 

 

Telecommunications—4.2%

 

 

 

 

 

2,000

 

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

 

B2/B-

 

2,000,000

 

8,750

 

Hawaiian Telcom Communications, Inc., 8.486%, 5/1/13, FRN

 

Caa2/CCC

 

3,543,750

 

€6,000

 

Hellas Telecommunications Luxembourg V, 8.247%, 10/15/12, FRN

 

B1/B

 

8,734,209

 

€6,350

 

Nordic Telephone Co. Holdings ApS, 10.348%, 5/1/16, FRN (a)(d)

 

B2/B

 

9,787,452

 

$12,150

 

Nortel Networks Ltd., 6.963%, 7/15/11, FRN

 

B3/B-

 

11,512,125

 

6,000

 

Qwest Corp., 6.05%, 6/15/13, FRN

 

Ba1/BBB-

 

5,775,000

 

6,500

 

TelCordia Technologies, Inc., 6.463%, 7/15/12, FRN (a)(d)

 

B2/B

 

5,427,500

 

 

 

 

 

 

 

46,780,036

 

 

 

Total Corporate Bonds & Notes (cost—$222,725,415)

 

 

 

205,483,721

 

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES—0.1%

 

 

 

 

 

629

 

CIT Group Home Equity Loan Trust, 3.165%, 6/25/33, FRN

 

Aaa/AAA

 

589,190

 

681

 

Salomon Brothers Mortgage Securities VII, Inc., 3.195%, 3/25/32, FRN

 

NR/AAA

 

665,399

 

 

 

Total Asset-Backed Securities (cost—$1,307,930)

 

 

 

1,254,589

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—7.6%

 

 

 

 

 

U.S. Treasury Bills (h)—3.3%

 

 

 

 

 

36,350

 

0.812%-2.125%, 5/29/08-6/26/08 (cost—$36,290,068)

 

 

 

36,290,068

 

 


 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

Credit Rating

 

 

 

(000)

 

 

 

(Moody’s/S&P)

 

Value*

 

Corporate Notes—1.0%

 

 

 

 

 

Multi-Media—0.4%

 

 

 

 

 

$5,000

 

Cablevision Systems Corp., 7.133%, 4/1/09, FRN

 

B2/B+

 

$5,062,500

 

 

 

 

 

 

 

 

 

Telecommunications—0.6%

 

 

 

 

 

6,550

 

Qwest Communications International, Inc., 6.565%, 2/15/09, FRN

 

Ba3/B+

 

6,582,750

 

 

 

Total Corporate Notes (cost—$11,636,844)

 

 

 

11,645,250

 

 

 

 

 

 

 

 

 

Repurchase Agreement—3.3%

 

 

 

 

 

36,700

 

Credit Suisse First Boston,

 

 

 

 

 

 

 

dated 4/30/08, 1.90%, due

 

 

 

 

 

 

 

5/1/08, proceeds $36,701,937;

 

 

 

 

 

 

 

collateralized by U.S. Treasury

 

 

 

 

 

 

 

Inflation Index Notes, 3.00%

 

 

 

 

 

 

 

due 7/15/12, valued at $37,710,978

 

 

 

 

 

 

 

including accrued interest (cost—$36,700,000)

 

 

 

36,700,000

 

 

 

Total Short-Term Investments (cost—$84,626,912)

 

 

 

84,635,318

 

 

 

 

 

 

 

 

 

OPTIONS PURCHASED (i)—0.0%

 

 

 

 

 

Contracts

 

 

 

 

 

 

 

Call Options—0.0%

 

 

 

 

 

271

 

U.S. Treasury Notes 10 yr. Futures (CBOT),

 

 

 

 

 

 

 

strike price $137, expires 5/23/08

 

 

 

4,234

 

550

 

U.S. Treasury Notes 5 yr. Futures (CBOT),

 

 

 

 

 

 

 

strike price $125, expires 5/23/08

 

 

 

4,297

 

 

 

 

 

 

 

8,531

 

 

 

 

 

 

 

 

 

 

 

Put Options—0.0%

 

 

 

 

 

 

 

Financial Future Euro—90 day (CME),

 

 

 

 

 

1,120

 

strike price $93, expires 3/16/09

 

 

 

3

 

43

 

strike price $94, expires 3/16/09

 

 

 

—

 

 

 

United Kingdom—90 day (CME),

 

 

 

 

 

540

 

strike price $91.25, expires 12/17/08

 

 

 

1

 

500

 

strike price $91.375, expires 12/17/08

 

 

 

—

 

 

 

 

 

 

 

4

 

 

 

Total Options Purchased (cost—$25,057)

 

 

 

8,535

 

 

 

Total Investments (cost—$1,175,561,641)—100.0%

 

 

 

$1,112,943,761

 

 


 

Notes to Schedule of Investments:

 

*

 

Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of 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 Fund’s 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 Fund’s investments in senior floating rate loans (“Senior Loans”), for which a secondary market exists will be valued at the mean of the last available bid and asked prices in the market for such Senior Loans, as provided by an independent pricing service. Exchange traded options, futures and options on futures are valued at the settlement price determined by the relevant exchange. 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 Fund to value securities may differ from the value that would be realized if the securities were sold. The Fund’s net asset value is 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.

 

 

 

(a)

 

Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $866,457,307, representing 77.85% of total investments.

(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 Fund is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of Senior Loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower.  Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on April 30, 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)

 

Security in default.

(f)

 

Fair-valued security – Security with a value of $7,505,231, representing 0.67% of total investments.

(g)

 

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

(h)

 

All or partial amount segregated as collateral for swaps.

(i)

 

Non-income producing.

 

Glossary:

AUD—Australian Dollar

£—British Pound

CBOT—Chicago Board of Trade

CME—Chicago Mercantile Exchange

€—Euros

FRN—Floating Rate Note.  The interest rate disclosed reflects the rate in effect on April 30, 2008.

LIBOR—London Inter-Bank Offered Rate

NR—Not Rated

 


 

Other Investments:

 

(1)  Futures contracts outstanding at April 30, 2008:

 

 

 

 

 

Market

 

 

 

 

 

 

 

 

 

Value

 

Expiration

 

Unrealized

 

Type

 

Contracts

 

(000)

 

Date

 

Appreciation

 

Short: U.S. Treasury Notes 5 yr. Futures

 

(550

)

$(61,591

)

6/30/08

 

$709,928

 

 

The Fund pledged $2,445,000 in cash as collateral for futures contracts.

 

(2) Credit default swap agreements outstanding at April 30, 2008:

 

 

 

Notional Amount

 

 

 

Payments

 

Unrealized

 

Swap Counterparty/

 

Payable on Default

 

Termination

 

Received

 

Appreciation

 

Referenced Debt Issuer

 

(000)

 

Date

 

by Fund

 

(Depreciation)

 

Bank of America:

 

 

 

 

 

 

 

 

 

Bombardier

 

$3,500

 

6/20/10

 

3.80

%

$212,023

 

Dynegy Holdings

 

6,000

 

3/20/13

 

4.30

%

296,170

 

Las Vegas Sands

 

3,500

 

12/20/12

 

2.55

%

(285,250

)

LCDX

 

6,300

 

6/20/13

 

3.25

%

160,103

 

NRG Energy

 

6,000

 

3/20/13

 

3.88

%

225,928

 

Williams Cos.

 

5,000

 

12/20/09

 

1.65

%

101,625

 

Barclays Bank:

 

 

 

 

 

 

 

 

 

Sprint Nextel

 

5,500

 

6/20/09

 

7.15

%

210,523

 

Citigroup:

 

 

 

 

 

 

 

 

 

Chrysler Financial

 

1,000

 

6/20/13

 

5.00

%

33,737

 

Ford Motor Credit

 

19,000

 

3/20/13

 

6.85

%

(291,523

)

Host Marriott

 

5,000

 

12/20/09

 

1.70

%

(8,637

)

Las Vegas Sands

 

2,000

 

12/20/12

 

2.55

%

(163,000

)

Qwest Capital Funding

 

18,000

 

3/20/13

 

3.40

%

(585,989

)

R.H. Donnelley

 

6,000

 

3/20/13

 

5.20

%

(1,672,397

)

Reliant Energy

 

5,000

 

12/20/09

 

3.20

%

135,756

 

Univision Communications

 

4,000

 

3/20/12

 

0.97

%

(555,412

)

Credit Suisse First Boston:

 

 

 

 

 

 

 

 

 

Dow Jones CDX

 

€7,400

 

6/20/11

 

2.90

%

23,011

 

Equistar Chemicals

 

$5,000

 

12/20/09

 

2.25

%

(320,188

)

Freescale Semiconductor

 

4,000

 

3/20/13

 

7.20

%

(111,779

)

Intelsat

 

7,000

 

3/20/10

 

3.21

%

(336,484

)

Samis

 

1,000

 

9/20/08

 

2.45

%

14,718

 

Samis

 

1,800

 

12/20/09

 

2.15

%

(5,143

)

Deutsche Bank:

 

 

 

 

 

 

 

 

 

Ford Motor

 

1,000

 

6/20/12

 

2.17

%

(78,969

)

Goldman Sachs:

 

 

 

 

 

 

 

 

 

Dow Jones CDX

 

10,000

 

12/20/12

 

3.01

%

(345,587

)

Royal Caribbean Cruises

 

6,500

 

3/20/13

 

3.94

%

125,085

 

JPMorgan Chase:

 

 

 

 

 

 

 

 

 

NRG Energy

 

5,000

 

12/20/09

 

2.20

%

71,697

 

Owens Brockway

 

5,000

 

12/20/11

 

2.09

%

15,578

 

SLM

 

7,000

 

3/20/09

 

4.40

%

(87,406

)

Lehman Brothers:

 

 

 

 

 

 

 

 

 

ARAMARK

 

1,000

 

9/20/12

 

3.90

%

9,266

 

Bon-Ton Stores

 

4,000

 

3/20/12

 

4.05

%

(1,068,933

)

Celestica

 

5,000

 

3/20/13

 

5.30

%

368,431

 

Dow Jones CDX

 

10,000

 

12/20/12

 

2.85

%

(412,831

)

Dow Jones CDX

 

10,000

 

12/20/12

 

3.23

%

(253,127

)

GMAC

 

5,000

 

12/20/08

 

5.00

%

(140,071

)

HCA

 

5,000

 

3/20/13

 

4.50

%

117,640

 

Intelsat

 

3,000

 

12/20/09

 

3.00

%

(103,425

)

Six Flags

 

3,000

 

6/20/12

 

1.75

%

(385,084

)

Smurfit-Stone Container

 

3,000

 

12/20/09

 

1.85

%

(128,888

)

Station Casinos

 

5,000

 

12/20/09

 

1.45

%

(525,440

)

TRW Automotive

 

5,000

 

12/20/09

 

2.05

%

40,814

 

Merrill Lynch & Co.:

 

 

 

 

 

 

 

 

 

AES

 

3,000

 

12/20/09

 

2.60

%

77,631

 

ARAMARK

 

1,000

 

9/20/12

 

2.60

%

17,760

 

ArvinMeritor

 

4,500

 

12/20/09

 

2.25

%

(176,447

)

Chesapeake Energy

 

5,000

 

12/20/09

 

1.30

%

24,651

 

CMS Energy

 

1,500

 

12/20/09

 

1.85

%

29,016

 

Delhaize America

 

5,000

 

12/20/09

 

1.07

%

71,426

 

Dow Jones CDX

 

10,000

 

12/20/12

 

3.13

%

(295,155

)

Dow Jones CDX

 

11,800

 

12/20/12

 

3.23

%

(298,690

)

Dow Jones CDX

 

29,000

 

12/20/12

 

3.51

%

(392,807

)

 


 

 

 

Notional Amount

 

 

 

Payments

 

Unrealized

 

Swap Counterparty/

 

Payable on Default

 

Termination

 

Received

 

Appreciation

 

Referenced Debt Issuer

 

(000)

 

Date

 

by Fund

 

(Depreciation)

 

Dow Jones CDX

 

$24,000

 

12/20/12

 

3.81

%

$(22,484

)

Ford Motor

 

5,000

 

3/20/13

 

7.70

%

(143,974

)

General Motors

 

5,000

 

3/20/13

 

7.00

%

(445,242

)

Georgia-Pacific

 

6,500

 

3/20/13

 

3.75

%

(124,073

)

Morgan Stanley:

 

 

 

 

 

 

 

 

 

Biomet

 

3,000

 

9/20/12

 

3.05

%

77,749

 

Hanesbrands

 

2,000

 

3/20/12

 

0.90

%

(72,225

)

Russian Federation

 

700

 

6/20/08

 

0.245

%

387

 

UBS:

 

 

 

 

 

 

 

 

 

LCDX

 

7,800

 

6/20/13

 

3.25

%

202,123

 

 

 

 

 

 

 

 

 

$(7,173,812)

 

 

(3) Interest rate swap agreements outstanding at April 30, 2008:

 

 

 

 

 

 

 

Rate Type

 

Unrealized

 

 

 

Notional Amount

 

Termination

 

Payments Made

 

Payments 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%

 

$1,609,798

 

Barclays Bank

 

82,000

 

6/18/13

 

3-Month USD-LIBOR

 

4.00%

 

1,194,441

 

Barclays Bank

 

23,900

 

6/18/18

 

5.00%

 

3-Month USD-LIBOR

 

260,407

 

Barclays Bank

 

265,000

 

6/21/25

 

3-Month USD-LIBOR

 

5.70%

 

32,436,394

 

Barclays Bank

 

489,200

 

6/21/25

 

5.70%

 

3-Month USD-LIBOR

 

(22,542,512

)

Citigroup

 

98,000

 

6/18/15

 

3-Month USD-LIBOR

 

5.00%

 

5,247,418

 

Deutsche Bank

 

189,600

 

6/18/09

 

3-Month USD-LIBOR

 

4.00%

 

1,767,897

 

Goldman Sachs

 

59,000

 

6/18/15

 

3-Month USD-LIBOR

 

5.00%

 

(408,570

)

Goldman Sachs

 

59,300

 

6/18/18

 

5.00%

 

3-Month USD-LIBOR

 

(2,496,398

)

JPMorgan Chase

 

85,100

 

6/18/13

 

3-Month USD-LIBOR

 

4.00%

 

968,190

 

Morgan Stanley

 

36,300

 

6/18/09

 

3-Month USD-LIBOR

 

4.00%

 

336,969

 

Morgan Stanley

 

31,000

 

6/18/15

 

3-Month USD-LIBOR

 

5.00%

 

457,097

 

Morgan Stanley

 

255,000

 

6/21/25

 

3-Month USD-LIBOR

 

5.70%

 

31,938,165

 

Royal Bank of Scotland

 

3,700

 

6/18/09

 

3-Month USD-LIBOR

 

5.00%

 

24,451

 

Royal Bank of Scotland

 

200

 

6/18/13

 

3-Month USD-LIBOR

 

4.00%

 

4,883

 

Royal Bank of Scotland

 

150,000

 

6/18/15

 

3-Month USD-LIBOR

 

5.00%

 

8,031,762

 

Royal Bank of Scotland

 

389,100

 

6/18/18

 

5.00%

 

3-Month USD-LIBOR

 

(2,110,599

)

UBS

 

5,500

 

6/18/09

 

3-Month USD-LIBOR

 

5.00%

 

35,795

 

 

 

 

 

 

 

 

 

 

 

$56,755,588

 

 

€—Euro

LIBOR - London Inter-Bank Offered Rate

The Fund received $40,500,000 par value in U.S. Treasury Bills as collateral for swap contracts.

 

(4)  Forward foreign currency contracts outstanding at April 30, 2008:

 

 

 

 

 

 

 

Unrealized

 

 

 

U.S. $ Value

 

U.S. $ Value

 

Appreciation

 

 

 

Origination Date

 

April 30, 2008

 

(Depreciation)

 

Purchased:

 

 

 

 

 

 

 

2,639,000 Euro settling 5/15/08

 

$4,147,136

 

$4,106,193

 

$(40,943

)

Sold:

 

 

 

 

 

 

 

8,562,250 Australian Dollar settling 5/15/08

 

8,047,787

 

8,053,191

 

(5,404

)

106,105,000 Euro settling 5/29/08

 

166,126,737

 

165,003,292

 

1,123,445

 

5,692,000 British Pound settling 5/19/08

 

11,226,343

 

11,258,946

 

(32,603

)

 

 

 

 

 

 

$1,044,495

 

 

(5) At April 30, 2008, the Fund had the following unfunded loan commitments which could be extended at the option of the borrower:

 

Borrower

 

Principal Amount

 

Bausch & Lomb, Inc.

 

$650,000

 

Big West Oil LLC

 

1,062,500

 

Community Health Systems, Inc.

 

208,817

 

Eastman Kodak

 

5,000,000

 

Las Vegas Sands Corp.

 

1,141,880

 

Telesat Canada, Inc.

 

302,362

 

United Surgical

 

72,581

 

 

 

$8,438,140

 

 


 

Item 2. Controls and Procedures

 

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

 

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

 

Item 3. Exhibits

 

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

 


 

SIGNATURES

 

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

 

Registrant: PIMCO Floating Rate Strategy Fund

 

By

/s/ Brian S. Shlissel

 

President & Chief Executive Officer

 

 

Date: June 24, 2008

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

 

Date: June 24, 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: June 24, 2008

 

By

/s/ Lawrence G. Altadonna

 

Treasurer, Principal Financial & Accounting Officer

 

 

Date: June 24, 2008