UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act File Number:		811-21189
Registrant Name:		PIMCO New York Municipal Income Fund III
Address of Principal Executive Offices:		1633 Broadway, 41st Floor New York, NY 10019
Name and Address of Agent for Service:		Lawrence G. Altadonna
		1633 Broadway, 41st Floor
		New York, NY 10019
Registrant’s telephone number, including area code:		212-739-3371
Date of Fiscal Year End:		September 30, 2012
Date of Reporting Period:		December 31, 2011

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 respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-2001. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 

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Item 1. Schedule of Investments

PIMCO New York Municipal Income Fund III Schedule of Investments

December 31, 2011 (unaudited)

 

 

Principal Amount (000s)				Value*
NEW YORK MUNICIPAL BONDS & NOTES—84.8%
$    1,000		Brooklyn Arena Local Dev. Corp. Rev., Barclays Center Project,
		6.375%, 7/15/43		$	1,048,880
1,500		Chautauqua Cnty. Industrial Dev. Agcy. Rev., Dunkirk Power Project,
		5.875%, 4/1/42			1,506,135
730		Dutchess Cnty. Industrial Dev. Agcy. Rev., Elant Fishkill, Inc.,
		5.25%, 1/1/37, Ser. A			504,941
800		East Rochester Housing Auth. Rev., St. Mary’s Residence Project,
		5.375%, 12/20/22, Ser. A (GNMA)			857,472
4,000		Hudson Yards Infrastructure Corp. Rev., 5.75%, 2/15/47, Ser. A			4,326,640
		Liberty Dev. Corp. Rev.,
1,050		6.375%, 7/15/49			1,111,058
		Goldman Sachs Headquarters,
1,810		5.25%, 10/1/35			1,869,766
2,400		5.50%, 10/1/37			2,518,824
1,500		Long Island Power Auth. Rev., 5.75%, 4/1/39, Ser. A			1,660,485
		Metropolitan Transportation Auth. Rev.,
5,220		5.00%, 11/15/32, Ser. A (FGIC-NPFGC)			5,310,619
500		5.00%, 11/15/34, Ser. B			537,960
3,000		Monroe Cnty. Industrial Dev. Corp. Rev.,
		Unity Hospital Rochester Project, 5.50%, 8/15/40 (FHA) (b)			3,309,300
200		Mortgage Agcy. Rev., 4.75%, 10/1/27, Ser. 128			202,604
500		Nassau Cnty. Industrial Dev. Agcy. Rev., Amsterdam at Harborside,
		6.70%, 1/1/43, Ser. A			398,100
2,695		New York City, GO, 5.00%, 3/1/33, Ser. I			2,744,884
		New York City Industrial Dev. Agcy. Rev. (AGC),
600		Queens Baseball Stadium, 6.50%, 1/1/46			642,318
2,200		Yankee Stadium, 7.00%, 3/1/49			2,522,982
		New York City Municipal Water Finance Auth. Water & Sewer Rev.,
		Second Generation Resolutions,
5,000		4.75%, 6/15/35, Ser. DD (b)			5,211,650
1,500		5.00%, 6/15/39, Ser. GG-1			1,601,685
3,450		New York City Trust for Cultural Res. Rev.,
		Wildlife Conservation Society, 5.00%, 2/1/34 (FGIC-NPFGC)			3,554,570
4,000		New York Liberty Dev. Corp. Rev., 4 World Trade Center Project,
		5.75%, 11/15/51			4,341,320
1,000		Niagara Falls Public Water Auth. Water & Sewer Rev.,
		5.00%, 7/15/34, Ser. A (NPFGC)			1,006,700
400		Onondaga Cnty. Rev., Syracuse Univ. Project, 5.00%, 12/1/36			435,508
600		Port Auth. of New York & New Jersey Rev.,
		JFK International Air Terminal, 6.00%, 12/1/36			636,468
		State Dormitory Auth. Rev.,
1,000		5.00%, 3/15/38, Ser. A			1,070,960
2,250		Jewish Board Family & Children, 5.00%, 7/1/33 (AMBAC)			2,251,575
3,000		Lutheran Medical Hospital, 5.00%, 8/1/31 (FHA-NPFGC)			3,017,610
250		NYU Hospitals Center, 6.00%, 7/1/40, Ser. A			265,345
3,740		St. Barnabas Hospital, 5.00%, 2/1/31, Ser. A (AMBAC-FHA)			3,804,964
1,200		Teachers College, 5.50%, 3/1/39			1,285,524
500		The New School, 5.50%, 7/1/40			538,975

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PIMCO New York Municipal Income Fund III Schedule of Investments

December 31, 2011 (unaudited) (continued)

 

 

Principal Amount (000s)				Value*
$    620		Winthrop Univ. Hospital Assoc., 5.50%, 7/1/32, Ser. A		$	624,830
2,500		Winthrop-Nassau Univ., 5.75%, 7/1/28			2,534,800
750		State Environmental Facs. Corp. Rev., 4.75%, 6/15/32, Ser. B			790,387
		State Urban Dev. Corp. Rev.,
2,400		5.00%, 3/15/35, Ser. B			2,518,896
2,200		5.00%, 3/15/36, Ser. B-1 (b)			2,358,972
2,000		Triborough Bridge & Tunnel Auth. Rev., 5.25%, 11/15/34, Ser. A-2 (b)			2,190,040
1,400		Troy Capital Res. Corp. Rev., Rensselaer Polytechnic Institute,
		5.125%, 9/1/40, Ser. A			1,423,884
2,000		Warren & Washington Cntys. Industrial Dev. Agcy. Rev.,
		Glens Falls Hospital Project, 5.00%, 12/1/35, Ser. A (AGM)			2,006,020
600		Westchester Cnty. Healthcare Corp. Rev., 6.125%, 11/1/37, Ser. C-2			650,298
100		Yonkers Economic Dev. Corp. Rev.,
		Charter School of Educational Excellence Project, 6.00%, 10/15/30, Ser. A			96,819
		Total New York Municipal Bonds & Notes (cost—$70,938,025)			75,290,768
OTHER MUNICIPAL BONDS & NOTES—9.5%
		District of Columbia—0.2%
175		Tobacco Settlement Financing Corp. Rev., 6.50%, 5/15/33			185,442
		Ohio—1.0%
1,250		Buckeye Tobacco Settlement Financing Auth. Rev.,
		5.875%, 6/1/47, Ser. A-2			898,775
		Puerto Rico—6.9%
580		Children’s Trust Fund Rev., 5.625%, 5/15/43			490,721
		Sales Tax Financing Corp. Rev.,
4,000		5.00%, 8/1/40, Ser. A (AGM) (b)			4,109,440
500		5.25%, 8/1/43, Ser. A-1			519,030
1,000		5.375%, 8/1/38, Ser. C			1,050,740
					6,169,931
		South Carolina—0.6%
370		Tobacco Settlement Rev. Management Auth. Rev.,
		6.375%, 5/15/30, Ser. B			503,873
		U. S. Virgin Islands—0.6%
500		Public Finance Auth. Rev., 6.00%, 10/1/39, Ser. A			524,520
		Washington—0.2%
135		Tobacco Settlement Auth. Rev., 6.625%, 6/1/32			136,945
		Total Other Municipal Bonds & Notes (cost—$7,916,962)			8,419,486
NEW YORK VARIABLE RATE NOTES (a)—5.7%
5,000		State Dormitory Auth. Rev., Rockefeller Univ.,
		5.00%, 7/1/32, Ser. A-1 (cost—$4,342,344)			5,093,800

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PIMCO New York Municipal Income Fund III Schedule of Investments

December 31, 2011 (unaudited) (continued)

 

 

Principal Amount (000s)				Value*
SHORT-TERM INVESTMENTS—0.0%
		U.S. Treasury Obligations (c)—0.0%
		U.S. Treasury Bills,
$      37		0.025%, 4/5/12 (cost—$36,998)		$	36,998
		Total Investments (cost—$83,234,329) (d)—100.0%		$	88,841,052

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Notes to Schedule of Investments:

 

*

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

Portfolio securities and other financial instruments for which market quotations are not readily available, or for which a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Trustees, or persons acting at their discretion pursuant to procedures established by the Board of Trustees. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask price. 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. 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 and these differences could be material. The Fund’s net asset value (“NAV”) is normally determined as of the 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)

Variable Rate Notes—Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on December 31, 2011.

(b)	Residual Interest Bonds held in Trust—Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Fund acquired the residual interest certificates. These securities serve as collateral in a financing transaction.

(c)	Rates reflect the effective yields at purchase date.

(d)

At December 31, 2011, the cost basis of portfolio securities for federal income tax purposes was $74,304,477. Gross unrealized appreciation was $5,970,265, gross unrealized depreciation was $382,158 and net unrealized appreciation was $5,588,107. The difference between book and tax cost was attributable to inverse floater transactions.

Glossary:

AGC—insured by Assured Guaranty Corp.

AGM—insured by Assured Guaranty Municipal Corp.

AMBAC—insured by American Municipal Bond Assurance Corp.

FGIC—insured by Financial Guaranty Insurance Co.

FHA—insured by Federal Housing Administration

GO—General Obligation Bond

GNMA—insured by Government National Mortgage Association

NPFGC—insured by National Public Finance Guarantee Corp.

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Fair Value Measurements

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

 

•

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

 

•

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

 

•

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

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

The valuation techniques used by the Fund to measure fair value during the three months ended December 31, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with Generally Accepted Accounting Principles.

Municipal Bonds & Notes and Variable Rate Notes — Municipal bonds and notes and variable rate notes are valued by independent pricing services based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond or note, state of issuance, benchmark yield curves, and bond or note insurance. To the extent that these inputs are observable, the values of municipal bonds and notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

U.S. Treasury Obligations — U.S. Treasury obligations are valued by independent pricing services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The models also take into consideration data received from active market makers and broker-dealers, yield curves, and the spread over comparable U.S. Treasury issues. The spreads change daily in response to market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable, the values of U.S. Treasury obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

The Fund’s policy is to recognize transfers between levels at the end of the reporting period.

A summary of the inputs used at December 31, 2011 in valuing the Fund’s assets and liabilities is listed below (refer to the Schedule of Investments for detailed information on Investments in Securities):

 

		Level 1 - Quoted Prices				Level 2 - Other Significant Observable Inputs				Level 3 - Significant Unobservable Inputs				Value at 12/31/11
Investments in Securities - Assets
New York Municipal Bonds & Notes			—			$	75,290,768				—			$	75,290,768
Other Municipal Bonds & Notes			—				8,419,486				—				8,419,486
New York Variable Rate Notes			—				5,093,800				—				5,093,800
Short-Term Investments			—				36,998				—				36,998
Total Investments			—			$	88,841,052				—			$	88,841,052

There were no significant transfers between Levels 1 and 2 during the three months ended December 31, 2011.

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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 control 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

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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 New York Municipal Income Fund III

 

By /s/ Brian S. Shlissel
President & Chief Executive Officer
Date: February 24, 2012
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: February 24, 2012

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: February 24, 2012
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: February 24, 2012