PIMCO New York Municipal Income Fund II
Table of Contents

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: 811-21078

PIMCO New York Municipal Income Fund II

(Exact name of registrant as specified in charter)

1633 Broadway, New York, NY 10019

(Address of principal executive offices)

William G. Galipeau

Treasurer (Principal Financial & Accounting Officer)

650 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

Copies to:

David C. Sullivan

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

Registrant’s telephone number, including area code: (844) 337-4626

Date of fiscal year end: December 31

Date of reporting period: December 31, 2015

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.


Table of Contents
Item 1.   Reports to Shareholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1).


Table of Contents

LOGO

 

PIMCO Closed-End Funds

 

LOGO

 

LOGO

 

LOGO

 

 

Annual Report

 

December 31, 2015

 

LOGO

 

PIMCO Municipal Income Fund

PIMCO Municipal Income Fund II

PIMCO Municipal Income Fund III

PIMCO California Municipal Income Fund

PIMCO California Municipal Income Fund II

PIMCO California Municipal Income Fund III

PIMCO New York Municipal Income Fund

PIMCO New York Municipal Income Fund II

PIMCO New York Municipal Income Fund III

 

LOGO


Table of Contents

Table of Contents

 

            Page  
     

Letter from the Chairman of the Board & President

        2   

Important Information About the Funds

        4   

Financial Highlights

        18   

Statements of Assets and Liabilities

        22   

Statements of Operations

        24   

Statements of Changes in Net Assets

        27   

Notes to Financial Statements

        56   

Report of Independent Registered Public Accounting Firm

        72   

Glossary

        73   

Shareholder Meeting Results

        74   

Changes to Portfolio Managers

        76   

Investment Strategy Updates

        77   

Dividend Reinvestment Plan

        78   

Management of the Funds

        80   

Privacy Policy

        83   
     
Fund    Fund
Summary
     Schedule of
Investments
 
     

PIMCO Municipal Income Fund

     8         31   

PIMCO Municipal Income Fund II

     9         35   

PIMCO Municipal Income Fund III

     10         39   

PIMCO California Municipal Income Fund

     11         43   

PIMCO California Municipal Income Fund II

     12         45   

PIMCO California Municipal Income Fund III

     13         48   

PIMCO New York Municipal Income Fund

     14         50   

PIMCO New York Municipal Income Fund II

     15         52   

PIMCO New York Municipal Income Fund III

     16         54   


Table of Contents

Letter from the Chairman of the Board & President

 

Dear Shareholder,

 

The financial markets experienced periods of volatility during each Fund’s reporting period.1 Investor sentiment was challenged at times given mixed economic data, uncertainties surrounding future global monetary policy, falling commodity prices and geopolitical issues.

 

For the reporting periods ended December 31, 2015

 

The U.S. economy expanded during the reporting period, but the pace was uneven. Looking back, U.S. gross domestic product (“GDP”), which represents the value of goods and services produced in the country, the broadest measure of economic activity and the principal indicator of economic performance, expanded at a 3.9% annual pace during the second quarter of 2015. Economic activity then decelerated, as GDP grew at a 2.0% annual pace during the third quarter of 2015. Finally, the Commerce Department’s initial reading — released after the reporting period had ended — showed that fourth quarter 2015 GDP grew at an annual pace of 0.7%.

 

After nearly a decade of highly accommodative monetary policy, the Federal Reserve (“Fed”) raised interest rates at its meeting in mid-December 2015. The Fed’s action pushed rates from a range between 0% and 0.25% to a range between 0.25% and 0.50%. In its official statement following the meeting, the Fed said, “The Committee expects that economic conditions will evolve in a manner that will warrant only gradual increases in the federal funds rate; the federal funds rate is likely to remain, for some time, below levels that are expected to prevail in the longer run.”

 

The municipal bond market generated a positive return and outperformed the overall U.S. taxable fixed income market during each Fund’s reporting period. The municipal market was volatile at times given negative headlines surrounding Puerto Rico after the Commonwealth’s first default and the governor’s acknowledgement that the outstanding debt is not payable. After a modest decline in June 2015, the overall municipal market, as measured by the Barclays Municipal Bond Index, posted positive returns from July through December 2015. Supporting the municipal market were generally improving fundamentals and favorable supply and demand factors.

 

Outlook

 

PIMCO’s baseline view sees U.S. economic growth in the range of 2.0%-2.5% over the next four quarters — in line with the average growth rate of the U.S. economy during the current expansion — and headline CPI (Consumer Price Index) inflation in a range of 1.5%-2%. In PIMCO’s view, given moderate global recovery and the strong U.S. dollar, there will be little if any boost to aggregate demand from international trade. On the positive side of the ledger, PIMCO believes that the recent budget agreement between the Congress and President Obama will provide the U.S. economy a modest and unexpected fiscal boost from the increase in federal spending. With respect to the Fed, after December’s initial rate hike, the market is pricing in two further quarter-point increases in 2016. PIMCO believes there is a risk that the Fed will deliver more rate hikes than the market is currently pricing in.

 

PIMCO’s outlook for the municipal market remains positive due to improving credit fundamentals and favorable pre-tax equivalent valuations. That being said, PIMCO acknowledges the potential for interest rate volatility, additional supply pressures and negative credit headlines.

 

In the following pages of this PIMCO Closed-End Funds Annual Report, please find specific details regarding investment performance and a discussion of factors that most affected the Funds’ performance over the reporting period.

 

1 

Please note that the Funds’ fiscal year ends were recently changed to December 31, 2015; therefore, the length of each Fund’s reporting period will differ depending on its former fiscal year end. Please see Notes to Financial Statements for further detail.

 

2   PIMCO CLOSED-END FUNDS     


Table of Contents

Thank you for investing with us. We value your trust and will continue to work diligently to meet your investment needs. If you have questions regarding any of your PIMCO Closed-End Funds investments, please contact your financial advisor or call the Funds’ shareholder servicing agent at (844) 33-PIMCO or (844) 337-4626. We also invite you to visit our website at www.pimco.com to learn more about our views.

 

Sincerely,

 

LOGO   LOGO
LOGO   LOGO
Hans W. Kertess   Peter G. Strelow
Chairman of the Board of Trustees   President

 

  ANNUAL REPORT   DECEMBER 31, 2015   3


Table of Contents

Important Information About the Funds

 

We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates trend upward, rising rates would negatively impact the performance of most bond funds, and fixed-income securities held by a Fund are likely to decrease in value. A number of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). Accordingly, changes in interest rates can be sudden, and there is no guarantee that Fund Management will anticipate such movement. As of the date of this report, interest rates in the U.S. are at or near historically low levels. As such, bond funds may currently face an increased exposure to the risks associated with rising interest rates. This is especially true since the Federal Reserve Board has concluded its quantitative easing program and, at its meeting on December 16, 2015, raised interest rates for the first time since 2006 from a target range of 0% to 0.25% to a target range of 0.25% to 0.50%. Further, while the U.S. bond market has steadily grown over the past three decades, dealer inventories of corporate bonds have remained relatively stagnant. As a result, there has been a significant reduction in the ability of dealers to “make markets” in corporate bonds. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets, which could result in increased losses to a Fund. Bond funds and individual bonds with a longer duration (a measure of the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. In addition, in the current low interest rate environment, the market price of the Funds’ common shares may be particularly sensitive to changes in interest rates or the perception that there will be a change in interest rates.

 

A Fund that invests in the municipal bond market is subject to certain risks. The amount of public information available about the municipal bonds held by a Fund is generally less than that for corporate equities or bonds, and the investment performance of the Fund may therefore be more dependent on the analytical abilities of PIMCO than would be a stock fund or taxable bond fund. The secondary market for municipal bonds, also tends to be less well-developed or liquid than many other securities markets, which may adversely affect a Fund’s ability to sell its bonds at attractive prices. The ability of municipal issuers to make timely payments of interest and principal may be diminished during general economic downturns and as governmental cost burdens are reallocated among federal, state and local governments. In addition, laws enacted in the future by Congress or state legislatures or referenda could extend the time for payment of principal and/or interest, or impose other constraints on enforcement of such obligations, or on the ability of municipal issuers to levy taxes. Issuers of municipal securities might seek protection under the bankruptcy

laws. In the event of bankruptcy of such an issuer, a Fund investing in the issuer’s securities could experience delays in collecting principal and interest and the Fund may not, in all circumstances, be able to collect all principal and interest to which it is entitled. To enforce its rights in the event of a default in the payment of interest or repayment of principal, or both, a Fund may take possession of, and manage, the assets securing the issuer’s obligations on such securities, which may increase the Fund’s operating expenses. Any income derived from the Fund’s ownership or operation of such assets may not be tax-exempt.

 

A Fund that concentrates its investments in California municipal bonds may be affected significantly by economic, regulatory or political developments affecting the ability of California issuers to pay interest or repay principal. Certain issuers of California municipal bonds have experienced serious financial difficulties in the past and reoccurrence of these difficulties may impair the ability of certain California issuers to pay principal or interest on their obligations. Provisions of the California Constitution and State statutes that limit the taxing and spending authority of California governmental entities may impair the ability of California issuers to pay principal and/or interest on their obligations. While California’s economy is broad, it does have major concentrations in high technology, aerospace and defense-related manufacturing, trade, entertainment, real estate and financial services, and may be sensitive to economic problems affecting those industries. Future California political and economic developments, constitutional amendments, legislative measures, executive orders, administrative regulations, litigation and voter initiatives could have an adverse effect on the debt obligations of California issuers.

 

A Fund that concentrates its investments in New York municipal bonds may be affected significantly by economic, regulatory or political developments affecting the ability of New York issuers to pay interest or repay principal. While New York’s economy is broad, it does have concentrations in the financial services industry, and may be sensitive to economic problems affecting that industry. Certain issuers of New York municipal bonds have experienced serious financial difficulties in the past and a reoccurrence of these difficulties may impair the ability of certain New York issuers to pay principal or interest on their obligations. The financial health of New York City affects that of the State, and when New York City experiences financial difficulty it may have an adverse effect on New York municipal bonds held by a Fund. The growth rate of New York has at times been somewhat slower than the nation overall. The economic and financial condition of New York also may be affected by various financial, social, economic and political factors.

 

The use of derivatives may subject the Funds to greater volatility than investments in traditional securities. The Funds may use derivative instruments for hedging purposes or as part of an investment strategy.

 

 

4   PIMCO CLOSED-END FUNDS     


Table of Contents

 

Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, call risk, credit risk, management risk and the risk that a Fund could not close out a position when it would be most advantageous to do so. Certain derivative transactions may have a leveraging effect on a Fund. For example, a small investment in a derivative instrument may have a significant impact on a Fund’s exposure to interest rates, currency exchange rates or other investments. As a result, a relatively small price movement in a derivative instrument may cause an immediate and substantial loss or gain, which translates into heightened volatility in a Fund’s net asset value “NAV”. A Fund may engage in such transactions regardless of whether the Fund owns the asset, instrument or components of the index underlying a derivative instrument. A Fund may invest a significant portion of its assets in these types of instruments. If it does, a Fund’s investment exposure could far exceed the value of its portfolio securities and its investment performance could be primarily dependent upon securities it does not directly own. Changes in regulation relating to a registered investment company’s use of derivatives and related instruments could potentially limit or impact a Fund’s ability to invest in derivatives, limit a Fund’s ability to employ certain strategies that use derivatives and adversely affect the value or performance of derivatives and a Fund.

 

A Fund’s use of leverage creates the opportunity for increased income for the Fund’s common shareholders, but also creates special risks. Leverage is a speculative technique that may expose a Fund to greater risk and increased costs. If shorter-term interest rates rise relative to the rate of return on a Fund’s portfolio, the interest and other costs to the Fund of leverage could exceed the rate of return on the debt obligations and other investments held by the Fund, thereby reducing return to the Fund’s common shareholders. In addition, fees and expenses of any form of leverage used by a Fund will be borne entirely by its common shareholders (and not by preferred shareholders, if any) and will reduce the investment return of the Fund’s common shares. There can be no assurance that a Fund’s use of leverage will result in a higher yield on its common shares, and it may result in losses. Leverage creates several major types of risks for a Fund’s common shareholders, including: (1) the likelihood of greater volatility of net asset value and market price of the Fund’s common shares, and of the investment return to the Fund’s common shareholders, than a comparable portfolio without leverage; (2) the possibility either that the Fund’s common share dividends will fall if the interest and other costs of leverage rise, or that dividends paid on the Fund’s common shares will fluctuate because such costs vary over time; and (3) the effects of leverage in a declining market or a rising interest rate environment, as leverage is likely to cause a greater decline in the net asset value of the Fund’s common shares than if the Fund were not leveraged and may result in a greater decline in the market value of the Fund’s common shares.

There is a risk that a Fund investing in a tender option bond program will not be considered the owner of a tender option bond for federal income tax purposes, and thus will not be entitled to treat such interest as exempt from federal income tax. Certain tender option bonds may be illiquid or may become illiquid as a result of, among other things, a credit rating downgrade, a payment default or a disqualification from tax-exempt status. A Fund’s investment in the securities issued by a tender option bond trust may involve greater risk and volatility than an investment in a fixed rate bond, and the value of such securities may decrease significantly when market interest rates increase. Tender option bond trusts could be terminated due to market, credit or other events beyond the Funds’ control, which could require the Funds to reduce leverage and dispose of portfolio investments at inopportune times and prices. A Fund may use a tender option bond program as a way of achieving leverage in its portfolio, in which case the Fund will be subject to leverage risk.

 

High-yield bonds (commonly referred to as “junk bonds”) typically have a lower credit rating than other bonds. Lower-rated bonds generally involve a greater risk to principal than higher-rated bonds. Further, markets for lower-rated bonds are typically less liquid than for higher rated bonds, and public information is usually less abundant in such markets. Thus, high yield investments increase the chance that a Fund will lose money on its investment. The Funds may also invest in bonds and other instruments that are not rated, but which PIMCO considers to be equivalent to high-yield investments. The Funds may hold defaulted securities that may involve special considerations including bankruptcy proceedings, other regulatory and legal restrictions affecting the Funds’ ability to trade, and the availability of prices from independent pricing services or dealer quotations. Defaulted securities are often illiquid and may not be actively traded. Sale of securities in bankrupt companies at an acceptable price may be difficult and differences compared to the value of the securities used by the Funds could be material.

 

Variable and floating rate securities generally are less sensitive to interest rate changes but may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. Conversely floating rate securities will not generally increase in value if interest rates decline. Inverse floating rate securities may decrease in value if interest rates increase. Inverse floating rate securities may also exhibit greater price volatility than a fixed rate obligation with similar credit quality. When a Fund holds variable or floating rate securities, a decrease (or, in the case of inverse floating rate securities, an increase) in market interest rates will adversely affect the income received from such securities and the NAV of the Funds’ shares.

 

The common shares of the Funds trade on the New York Stock Exchange. As with any stock, the price of a Fund’s common shares will

 

 

  ANNUAL REPORT   DECEMBER 31, 2015   5


Table of Contents

Important Information About the Funds (Cont.)

 

fluctuate with market conditions and other factors. If you sell your common shares of a Fund, the price received may be more or less than your original investment. Shares of closed-end management investment companies frequently trade at a discount from their net asset value. The common shares of a Fund may trade at a price that is less than the initial offering price and/or the net asset value of such shares. Further, if a Fund’s shares trade at a price that is more than the initial offering price and/or the net asset value of such shares, including at a substantial premium and/or for an extended period of time, there is no assurance that any such premium will be sustained for any period of time and will not decrease, or that the shares will not trade at a discount to net asset value thereafter.

 

Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. As a result, income distributions and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on each Fund’s annual financial statements presented under U.S. GAAP.

 

If a Fund estimates that a portion of one of its dividend distributions may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of record of the estimated composition of such distribution through a Section 19 Notice. To determine the sources of the Fund’s distributions, the Fund references its accounting records at the time the distribution is paid. If, based on such accounting records, a particular distribution does not include capital gains or paid-in surplus or other capital sources, a Section 19 Notice generally will not be issued. It is important to note that differences exist between a Fund’s accounting entries maintained on a day-to-day basis, the Fund’s financial statements presented in accordance with U.S. GAAP, and accounting practices under income tax regulations. Examples of such differences may include the treatment of paydowns on mortgage-backed securities purchased at a discount and periodic payments under interest rate swap contracts. A Fund may not issue a Section 19 Notice in situations where the Fund’s financial statements prepared later and in accordance with U.S. GAAP or the final tax character of those distributions might later report that the sources of those distributions included capital gains and/or a return of capital. Please visit www.pimco.com for the most recent Section 19

Notice, if applicable, for additional information regarding the composition of distributions. Final determination of a distribution’s tax character will be reported on Form 1099 DIV sent to shareholders each January.

 

The Funds may be subject to various risks in addition to those described above. Some of these risks may include, but are not limited to, the following: asset allocation risk, credit risk, stressed securities risk, distressed and defaulted securities risk, corporate bond risk, market risk, issuer risk, liquidity risk, equity securities and related market risk, mortgage-related and other asset-backed securities risk, extension risk, prepayment risk, privately issued mortgage-related securities risk, mortgage market/ subprime risk, currency risk, redenomination risk, non-diversification risk, management risk, municipal bond risk, tender option bond risk, inflation-indexed security risk, senior debt risk, loans, participations and assignments risk, reinvestment risk, real estate risk, U.S. Government securities risk, foreign (non-U.S.) government securities risk, valuation risk, segregation and cover risk, focused investment risk, credit default swaps risk, event-linked securities risk, counterparty risk, preferred securities risk, confidential information access risk, other investment companies risk, private placements risk, inflation/deflation risk, regulatory risk, tax risk, recent economic conditions risk, market disruptions and geopolitical risk, potential conflicts of interest involving allocation of investment opportunities, repurchase agreements risk, securities lending risk, zero-coupon bond and payment-in-kind securities risk, portfolio turnover risk, smaller company risk, short sale risk and convertible securities risk. A description of certain of these risks is available in the Notes to Financial Statements of this Report.

 

On each Fund Summary page in this Shareholder Report, the Average Annual Total Return table measures performance assuming that all dividend and capital gain distributions were reinvested. Total return is calculated by determining the percentage change in NAV or market price (as applicable) in the specified period. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total return for a period of more than one year represents the average annual total return. Performance at market price will differ from results at NAV. Although market price returns tend to reflect investment results over time, during shorter periods returns at market price can also be influenced by factors such as changing views about a Fund, market conditions, supply and demand for the Fund’s shares, or changes in the Fund’s dividends. Performance shown is net of fees and expenses.

 

 

6   PIMCO CLOSED-END FUNDS     


Table of Contents

 

The following table discloses the commencement of operations and diversification status of each fund:

 

Fund Name       Commencement
of Operations
    Diversification
Status

PIMCO Municipal Income Fund

      06/29/01      Diversified

PIMCO Municipal Income Fund II

      06/28/02      Diversified

PIMCO Municipal Income Fund III

      10/31/02      Diversified

PIMCO California Municipal Income Fund

      06/29/01      Diversified

PIMCO California Municipal Income Fund II

      06/28/02      Non-diversified

PIMCO California Municipal Income Fund III

      10/31/02      Diversified

PIMCO New York Municipal Income Fund

      06/29/01      Non-diversified

PIMCO New York Municipal Income Fund II

      06/28/02      Non-diversified

PIMCO New York Municipal Income Fund III

      10/31/02      Non-diversified

 

An investment in a Fund is not a deposit of a bank and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the Funds.

 

The Trustees are responsible generally for overseeing the management of the Funds. The Trustees authorize the Funds to enter into service agreements with the Investment Manager and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Funds. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund’s original or any subsequent prospectus or Statement of Additional Information (SAI), any press release or shareholder report, any contracts filed as exhibits to a Fund’s registration statement, nor any other communications, disclosure documents or regulatory filings from or on behalf of a Fund creates a contract between or among any shareholder of a Fund, on the one hand, and the Fund, a service provider to the Fund, and/or the Trustees or officers of the Fund, on the other hand. The Trustees (or the Funds and their officers, service providers or other delegates acting under authority of the Trustees) may amend the most recent or use a new prospectus or SAI with respect to a Fund, adopt and disclose new or amended policies and other changes in press releases and shareholder reports and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and may

amend or enter into any contracts to which a Fund is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to any Fund, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement was specifically disclosed in a Fund’s prospectus, SAI or shareholder report and is otherwise still in effect.

 

PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940. The Proxy Policy has been adopted by the Funds as the policies and procedures that PIMCO will use when voting proxies on behalf of the Funds. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Funds at (844) 33-PIMCO (844-337-4626), on the Funds’ website at www.pimco.com, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

Each Fund files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. A copy of each Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and is available without charge, upon request by calling the Funds at (844) 33-PIMCO (844-337-4626) and on the Funds’ website at www.pimco.com. Updated portfolio holdings information about a Fund will be available at www.pimco.com approximately 15 calendar days after such Fund’s most recent fiscal quarter end, and will remain accessible until such Fund files a Form N-Q or a shareholder report for the period which includes the date of the information. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

 

 

  ANNUAL REPORT   DECEMBER 31, 2015   7


Table of Contents

PIMCO Municipal Income Fund

 

Symbol on NYSE - PMF

 

Allocation Breakdown

 

California

    16.4%   

New York

    13.0%   

Texas

    9.7%   

New Jersey

    7.5%   

Illinois

    6.2%   

Ohio

    5.1%   

Pennsylvania

    5.0%   

Other

    37.1%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $15.45   

NAV

    $13.26   

Premium/(Discount) to NAV

    16.52%   

Market Price Distribution Yield(2)

    6.31%   

NAV Distribution Yield(2)

    7.35%   

Total Effective Leverage(3)

    38%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    1 Year     5 Year     10 Year     Commencement
of Operations
(06/29/01)
 
Market Price     15.49     11.88     6.74     7.45
NAV     7.66     12.77     6.99     7.24

 

All Fund returns are net of fees and expenses.

 

The average annual total returns shown above have been restated from previous reports to shareholders to align with the Fund’s change from an April 30 to a December 31 fiscal year end. For the period May 1, 2015 through December 31, 2015, the Fund’s total return was 5.27% and 6.03% on a market price and NAV basis, respectively.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

»  

PIMCO Municipal Income Fund’s primary investment objective is to seek current income exempt from federal income tax.

 

Fund Insights

 

»  

Long duration contributed to performance, as municipal yields declined in the intermediate and long portions of the curve during the reporting period.

 

»  

An overweight to the revenue-backed sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the tobacco sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the education sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the water & sewer utility sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

8   PIMCO CLOSED-END FUNDS     


Table of Contents

PIMCO Municipal Income Fund II

 

Symbol on NYSE - PML

 

Allocation Breakdown

 

New York

    13.1%   

California

    12.6%   

Texas

    11.7%   

Arizona

    8.3%   

Illinois

    8.0%   

Pennsylvania

    6.4%   

Ohio

    5.5%   

Other

    34.4%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $12.51   

NAV

    $12.39   

Premium/(Discount) to NAV

    0.97%   

Market Price Distribution Yield(2)

    6.24%   

NAV Distribution Yield(2)

    6.30%   

Total Effective Leverage(3)

    35%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    1 Year     5 Year     10 Year     Commencement
of Operations
(06/28/02)
 
Market Price     12.24     11.76     4.47     5.58
NAV     7.21     12.09     5.28     5.89

 

All Fund returns are net of fees and expenses.

 

The average annual total returns shown above have been restated from previous reports to shareholders to align with the Fund’s change from a May 31 to a December 31 fiscal year end. For the period June 1, 2015 through December 31, 2015, the Fund’s total return was 6.56% and 6.24% on a market price and NAV basis, respectively.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

»  

PIMCO Municipal Income Fund II’s primary investment objective is to seek current income exempt from federal income tax.

 

Fund Insights

 

»  

Long duration contributed to performance, as municipal yields declined in the intermediate and long portions of the curve during the reporting period.

 

»  

An overweight to the revenue-backed sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the tobacco sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the transportation sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the education sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

  ANNUAL REPORT   DECEMBER 31, 2015   9


Table of Contents

PIMCO Municipal Income Fund III

 

Symbol on NYSE - PMX

 

Allocation Breakdown

 

California

    16.5%   

Texas

    10.1%   

New York

    10.0%   

Alabama

    9.7%   

Ohio

    7.0%   

Arizona

    6.5%   

Illinois

    5.1%   

Other

    35.1%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $11.51   

NAV

    $11.13   

Premium/(Discount) to NAV

    3.41%   

Market Price Distribution Yield(2)

    6.50%   

NAV Distribution Yield(2)

    6.72%   

Total Effective Leverage(3)

    37%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015

 
    1 Year     5 Year     10 Year     Commencement
of Operations
(10/31/02)
 

Market Price

    10.97     9.85     4.18     5.26

NAV

    8.35     12.97     5.02     5.60

 

All Fund returns are net of fees and expenses.

 

The average annual total returns shown above have been restated from previous reports to shareholders to align with the Fund’s change from a September 30 to a December 31 fiscal year end. For the period October 1, 2015 through December 31, 2015, the Fund’s total return was 6.70% and 4.06% on a market price and NAV basis, respectively.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

»  

PIMCO Municipal Income Fund III’s primary investment objective is to seek current income exempt from federal income tax.

 

Fund Insights

 

»  

Long duration contributed to performance, as municipal yields declined in the intermediate and long portions of the curve during the reporting period.

 

»  

Exposure to the transportation sector contributed to performance, as the segment outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the tobacco sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the education sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the lease-backed sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the health care sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

10   PIMCO CLOSED-END FUNDS     


Table of Contents

PIMCO California Municipal Income Fund

 

Symbol on NYSE - PCQ

 

Allocation Breakdown

 

California

    95.8%   

Short-Term Instruments

    2.2%   

Illinois

    1.5%   

Alabama

    0.5%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $15.70   

NAV

    $14.61   

Premium/(Discount) to NAV

    7.46%   

Market Price Distribution Yield(2)

    5.89%   

NAV Distribution Yield(2)

    6.32%   

Total Effective Leverage(3)

    40%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    1 Year    

5 Year

    10 Year     Commencement
of Operations
(06/29/01)
 
Market Price     6.84     12.14     6.94     7.19
NAV     8.32     12.54     7.17     7.19

 

All Fund returns are net of fees and expenses.

 

The average annual total returns shown above have been restated from previous reports to shareholders to align with the Fund’s change from an April 30 to a December 31 fiscal year end. For the period May 1, 2015 through December 31, 2015, the Fund’s total return was 4.60% and 6.48% on a market price and NAV basis, respectively.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

»  

PIMCO California Municipal Income Fund’s primary investment objective is to seek current income exempt from federal and California income tax.

 

Fund Insights

 

»  

Long duration contributed to performance, as municipal yields declined in the intermediate and long portions of the curve during the reporting period.

 

»  

An overweight to the revenue-backed sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the tobacco sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the transportation sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the water & sewer utility sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

  ANNUAL REPORT   DECEMBER 31, 2015   11


Table of Contents

PIMCO California Municipal Income Fund II

 

Symbol on NYSE - PCK

 

Allocation Breakdown

 

California

    95.0%   

Short-Term Instruments

    2.1%   

Illinois

    1.9%   

New Jersey

    0.7%   

New York

    0.3%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

 

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $9.94   

NAV

    $8.95   

Premium/(Discount) to NAV

    11.06%   

Market Price Distribution Yield(2)

    6.49%   

NAV Distribution Yield(2)

    7.21%   

Total Effective Leverage(3)

    40%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    1 Year     5 Year     10 Year     Commencement
of Operations
(06/28/02)
 
Market Price     12.01     10.71     3.07     4.37
NAV     8.73     13.99     3.42     4.43

 

All Fund returns are net of fees and expenses.

 

The average annual total returns shown above have been restated from previous reports to shareholders to align with the Fund’s change from a May 31 to a December 31 fiscal year end. For the period June 1, 2015 through December 31, 2015, the Fund’s total return was 6.19% and 7.55% on a market price and NAV basis, respectively.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

»  

PIMCO California Municipal Income Fund II’s primary investment objective is to seek current income exempt from federal and California income tax.

 

Fund Insights

 

»  

Long duration contributed to performance, as municipal yields declined in the intermediate and long portions of the curve during the reporting period.

 

»  

An overweight to the revenue-backed sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the tobacco sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the transportation sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the education sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

12   PIMCO CLOSED-END FUNDS     


Table of Contents

PIMCO California Municipal Income Fund III

 

Symbol on NYSE - PZC

 

Allocation Breakdown

 

California

    94.8%   

Illinois

    2.6%   

Indiana

    1.4%   

Short-Term Instruments

    1.0%   

New Jersey

    0.2%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $11.92   

NAV

    $10.31   

Premium/(Discount) to NAV

    15.62%   

Market Price Distribution Yield(2)

    6.04%   

NAV Distribution Yield(2)

    6.98%   

Total Effective Leverage(3)

    40%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    1 Year     5 Year     10 Year     Commencement
of Operations
(10/31/02)
 
Market Price     19.19     13.76     4.40     5.34
NAV     8.77     12.52     3.77     4.67

 

All Fund returns are net of fees and expenses.

 

The average annual total returns shown above have been restated from previous reports to shareholders to align with the Fund’s change from a September 30 to a December 31 fiscal year end. For the period October 1, 2015 through December 31, 2015, the Fund’s total return was 10.76% and 4.12% on a market price and NAV basis, respectively.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

»  

PIMCO California Municipal Income Fund III’s primary investment objective is to seek current income exempt from federal and California income tax.

 

Fund Insights

 

»  

Long duration contributed to performance, as municipal yields declined in the intermediate and long portions of the curve during the reporting period.

 

»  

An overweight to the revenue-backed sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the tobacco sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the transportation sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the lease-backed sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

  ANNUAL REPORT   DECEMBER 31, 2015   13


Table of Contents

PIMCO New York Municipal Income Fund

 

Symbol on NYSE - PNF

 

Allocation Breakdown

 

New York

    95.1%   

Ohio

    1.8%   

Illinois

    1.7%   

Short-Term Instruments

    1.4%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

 

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $11.90   

NAV

    $12.10   

Premium/(Discount) to NAV

    -1.65%   

Market Price Distribution Yield(2)

    5.75%   

NAV Distribution Yield(2)

    5.65%   

Total Effective Leverage(3)

    38%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    1 Year     5 Year     10 Year     Commencement
of Operations
(06/29/01)
 
Market Price     9.71     9.61     3.72     4.74
NAV     7.06     10.35     4.99     5.23

 

All Fund returns are net of fees and expenses.

 

The average annual total returns shown above have been restated from previous reports to shareholders to align with the Fund’s change from an April 30 to a December 31 fiscal year end. For the period May 1, 2015 through December 31, 2015, the Fund’s total return was 7.23% and 5.49% on a market price and NAV basis, respectively.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

»  

PIMCO New York Municipal Income Fund’s primary investment objective is to seek current income exempt from federal, New York State and New York City income tax.

 

Fund Insights

 

»  

Long duration contributed to performance, as municipal yields declined in the intermediate and long portions of the curve during the reporting period.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the tobacco sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the health care sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the water & sewer utility sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the transportation sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

14   PIMCO CLOSED-END FUNDS     


Table of Contents

PIMCO New York Municipal Income Fund II

 

Symbol on NYSE - PNI

 

Allocation Breakdown

 

New York

    96.6%   

Illinois

    1.1%   

Ohio

    0.6%   

Florida

    0.5%   

Short-Term Instruments

    0.1%   

Other

    1.1%   
 

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

 

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $12.35   

NAV

    $11.41   

Premium/(Discount) to NAV

    8.24%   

Market Price Distribution Yield(2)

    6.44%   

NAV Distribution Yield(2)

    6.97%   

Total Effective Leverage(3)

    41%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    1 Year     5 Year     10 Year     Commencement
of Operations
(06/28/02)
 
Market Price     8.53     10.86     4.27     5.46
NAV     7.09     10.54     4.72     5.34

 

All Fund returns are net of fees and expenses.

 

The average annual total returns shown above have been restated from previous reports to shareholders to align with the Fund’s change from a May 31 to a December 31 fiscal year end. For the period June 1, 2015 through December 31, 2015, the Fund’s total return was 4.36% and 5.42% on a market price and NAV basis, respectively.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

»  

PIMCO New York Municipal Income Fund II’s primary investment objective is to seek current income exempt from federal, New York State and New York City income tax.

 

Fund Insights

 

»  

Long duration contributed to performance, as municipal yields declined in the intermediate and long portions of the curve during the reporting period.

 

»  

An overweight to the tobacco sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the health care sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the water & sewer utility sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the special tax sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the transportation sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

  ANNUAL REPORT   DECEMBER 31, 2015   15


Table of Contents

PIMCO New York Municipal Income Fund III

 

Symbol on NYSE - PYN

 

Allocation Breakdown

 

New York

    92.9%   

Illinois

    2.2%   

Short-Term Instruments

    2.2%   

Ohio

    2.1%   

U.S. Virgin Islands

    0.6%   
   

% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded.

Fund Information (as of December 31, 2015)(1)

 

Market Price

    $10.27   

NAV

    $9.55   

Premium/(Discount) to NAV

    7.54%   

Market Price Distribution Yield(2)

    6.13%   

NAV Distribution Yield(2)

    6.60%   

Total Effective Leverage(3)

    41%   
 

 

Average Annual Total Return(1) for the period ended December 31, 2015  
    1 Year     5 Year     10 Year     Commencement
of Operations
(10/31/02)
 
Market Price     12.24     10.42     1.94     3.65
NAV     6.67     10.20     2.14     3.45

 

All Fund returns are net of fees and expenses.

 

The average annual total returns shown above have been restated from previous reports to shareholders to align with the Fund’s change from a September 30 to a December 31 fiscal year end. For the period October 1, 2015 through December 31, 2015, the Fund’s total return was 5.75% and 3.09% on a market price and NAV basis, respectively.

 

(1) 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Total return, market price, NAV, market price distribution yield, and NAV distribution yield will fluctuate with changes in market conditions. For performance current to the most recent month-end, visit www.pimco.com or call (844) 33-PIMCO.

 

(2) 

Distribution yields are not performance and are calculated by annualizing the most recent distribution per share and dividing by the NAV or Market Price, as applicable, as of the reported date. Distributions may be comprised of ordinary income, net capital gains, and/or a return of capital (ROC) of your investment in the Fund. Because the distribution rate may include a ROC, it should not be confused with yield or income. If the Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. Please refer to the most recent Section 19 Notice, if applicable, for additional information regarding the composition of distributions. Please visit www.pimco.com for most recent Section 19 Notice, if applicable. Final determination of a distribution’s tax character will be made on Form 1099 DIV sent to shareholders each January.

 

(3) 

Represents total effective leverage outstanding, as a percentage of total managed assets. Total effective leverage consists of preferred shares, reverse repurchase agreements and other borrowings, credit default swap notional and floating rate notes issued in tender option bond transactions, as applicable (collectively “Total Effective Leverage”). The Fund may engage in other transactions not included in Total Effective Leverage disclosed above that may give rise to a form of leverage, including certain derivative transactions. For the purpose of calculating Total Effective Leverage outstanding as a percentage of total managed assets, total managed assets refer to total assets (including assets attributable to Total Effective Leverage that may be outstanding) minus accrued liabilities (other than liabilities representing Total Effective Leverage).

 

Investment Objective and Strategy Overview

 

»  

PIMCO New York Municipal Income Fund III’s primary investment objective is to seek current income exempt from federal, New York State and New York City income tax.

 

Fund Insights

 

»  

Long duration contributed to performance, as municipal yields declined in the intermediate and long portions of the curve during the reporting period.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An overweight to the tobacco sector contributed to performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the water & sewer utility sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

An underweight to the transportation sector detracted from performance, as the sector outperformed the general municipal bond market during the reporting period.

 

»  

Select exposure to the electric utility sector detracted from performance during the reporting period.

 

16   PIMCO CLOSED-END FUNDS     


Table of Contents

 

 

 

(THIS PAGE INTENTIONALLY LEFT BLANK)

 

  ANNUAL REPORT   DECEMBER 31, 2015   17


Table of Contents

Financial Highlights

 

          Investment Operations         Less Distributions to Common Shareholders  
                       
    Net Asset Value
Beginning of
Year or
Period
    Net Investment
Income  (a)
    Net Realized/
Unrealized
Gain (Loss)
    Distributions on
Preferred
Shares
from Net
Investment
Income (b)
    Distributions
on Preferred
Shares
from Realized
Gains (Loss) (b)
    Total          From Net
Investment
Income  (b)
    From Net
Realized
Capital
Gain (Loss) (b)
    Tax Basis
Return of
Capital (b)
    Total  

PIMCO Municipal Income Fund

                     

05/01/2015 - 12/31/2015(f)

  $ 13.15      $ 0.65      $ 0.12      $ (0.01   $ 0.00      $ 0.76          $ (0.65   $ 0.00      $ 0.00      $ (0.65 )(i) 

04/30/2015

    12.57        0.93        0.64        (0.01     0.00        1.56            (0.98     0.00        0.00        (0.98

04/30/2014

    13.75        0.94        (1.13     (0.01     0.00        (0.20         (0.98     0.00        0.00        (0.98

04/30/2013

    12.93        0.95        0.87        (0.02     0.00        1.80            (0.98     0.00        0.00        (0.98

04/30/2012

    10.72        1.01        2.20        (0.02     0.00        3.19            (0.98     0.00        0.00        (0.98

04/30/2011

    11.76        1.07        (1.10     (0.03     0.00        (0.06         (0.98     0.00        0.00        (0.98

PIMCO Municipal Income Fund II

                     

06/01/2015 - 12/31/2015(g)

  $ 12.11      $ 0.47      $ 0.28      $ (0.01   $ 0.00      $ 0.74          $ (0.46   $ 0.00      $ 0.00      $ (0.46 )(i) 

05/31/2015

    11.94        0.81        0.15        (0.01     0.00        0.95            (0.78     0.00        0.00        (0.78

05/31/2014

    12.17        0.81        (0.25     (0.01     0.00        0.55            (0.78     0.00        0.00        (0.78

05/31/2013

    11.91        0.82        0.23        (0.01     0.00        1.04            (0.78     0.00        0.00        (0.78

05/31/2012

    10.12        0.88        1.70        (0.01     0.00        2.57            (0.78     0.00        0.00        (0.78

05/31/2011

    10.77        0.91        (0.75     (0.03     0.00        0.13            (0.78     0.00        0.00        (0.78

PIMCO Municipal Income Fund III

                     

10/01/2015 - 12/31/2015(h)

  $ 10.88      $ 0.20      $ 0.24      $ (0.00 )^    $ 0.00      $ 0.44          $ (0.19   $ 0.00      $ 0.00      $ (0.19 )(i) 

09/30/2015

    10.78        0.78        0.08        (0.01     0.00        0.85            (0.75     0.00        0.00        (0.75

09/30/2014

    9.58        0.75        1.25        (0.01     0.00        1.99            (0.79     0.00        0.00        (0.79

09/30/2013

    11.02        0.75        (1.34     (0.01     0.00        (0.60         (0.84     0.00        0.00        (0.84

09/30/2012

    9.69        0.83        1.35        (0.01     0.00        2.17            (0.84     0.00        0.00        (0.84

09/30/2011

    10.29        0.87        (0.61     (0.02     0.00        0.24            (0.84     0.00        0.00        (0.84

PIMCO California Municipal Income Fund

                     

05/01/2015 - 12/31/2015(f)

  $ 14.33      $ 0.65      $ 0.26      $ (0.01   $ 0.00      $ 0.90          $ (0.62   $ 0.00      $ 0.00      $ (0.62 )(i) 

04/30/2015

    13.77        0.95        0.54        (0.01     0.00        1.48            (0.92     0.00        0.00        (0.92

04/30/2014

    14.71        0.99        (1.00     (0.01     0.00        (0.02         (0.92     0.00        0.00        (0.92

04/30/2013

    13.75        1.02        0.88        (0.02     0.00        1.88            (0.92     0.00        0.00        (0.92

04/30/2012

    11.32        1.08        2.29        (0.02     0.00        3.35            (0.92     0.00        0.00        (0.92

04/30/2011

    12.84        1.12        (1.69     (0.03     0.00        (0.60         (0.92     0.00        0.00        (0.92

PIMCO California Municipal Income Fund II

                     

06/01/2015 - 12/31/2015(g)

  $ 8.69      $ 0.38      $ 0.27      $ (0.01   $ 0.00      $ 0.64          $ (0.38   $ 0.00      $ 0.00      $ (0.38 )(i) 

05/31/2015

    8.61        0.66        0.08        (0.01     0.00        0.73            (0.65     0.00        0.00        (0.65

05/31/2014

    8.93        0.68        (0.26     (0.01     0.00        0.41            (0.66     0.00        (0.07     (0.73

05/31/2013

    8.65        0.69        0.35        (0.01     0.00        1.03            (0.68     0.00        (0.07     (0.75

05/31/2012

    7.38        0.71        1.32        (0.01     0.00        2.02            (0.70     0.00        (0.05     (0.75

05/31/2011

    8.11        0.74        (0.70     (0.02     0.00        0.02            (0.75     0.00        0.00        (0.75

PIMCO California Municipal Income Fund III

                     

10/01/2015 - 12/31/2015(h)

  $   10.08      $   0.17      $ 0.24      $ (0.00 )^    $ 0.00      $ 0.41          $ (0.18   $ 0.00      $ 0.00      $   (0.18 )(i) 

09/30/2015

    10.02        0.68        0.11        (0.01     0.00        0.78            (0.72     0.00        0.00        (0.72

09/30/2014

    9.09        0.69        0.97        (0.01     0.00        1.65            (0.72     0.00        0.00        (0.72

09/30/2013

    10.23        0.79        (1.20     (0.01     0.00          (0.42           (0.72       0.00          0.00        (0.72

09/30/2012

    9.08        0.81        1.07        (0.01     0.00        1.87            (0.72     0.00        0.00        (0.72

09/30/2011

    9.65        0.77          (0.60       (0.02       0.00        0.15            (0.72     0.00        0.00        (0.72

 

18   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents
Common Share         Ratios/Supplemental Data  
                            Ratios to Average Net Assets              
Net Asset
Value End of
Year or
Period
    Market Price
End of Year
or Period
    Total
Investment
Return  (c)
             
Net Assets
Applicable
to  Common
Shareholders
(000s)
    Expenses (d)(e)     Expenses
Excluding
Waivers  (d)(e)
    Expenses
Excluding
Interest
Expense (d)
    Expenses
Excluding
Interest
Expense and
Waivers (d)
    Net
Investment
Income  (d)
    Preferred
Shares Asset
Coverage
Per Share
    Portfolio
Turnover
Rate
 
                     
$ 13.26      $ 15.45        5.27       $   338,342        1.22 %*      1.22 %*      1.21 %*      1.21 %*      7.42 %*    $   69,516        15
  13.15        15.38        21.47            334,775        1.25        1.25        1.22        1.22        7.12        69,049        9   
  12.57        13.58        (8.45         319,155        1.30        1.30        1.27        1.27        7.74        66,993        15   
  13.75        16.05        11.96            348,162        1.22        1.23        1.19        1.20        6.99        70,809        9   
  12.93        15.28        27.20            326,741        1.28        1.35        1.22        1.29        8.42        67,990        18   
  10.72        12.92        1.54            269,916        1.44        1.44        1.34        1.34        9.43        60,514        15   
                     
$ 12.39      $ 12.51        6.56       $ 760,212        1.11 %*      1.11 %*      1.10 %*      1.10 %*      6.57 %*    $ 76,782        10
  12.11        12.19        6.15            742,133        1.16        1.16        1.11        1.11        6.65        75,553        10   
  11.94        12.25        7.76            730,088        1.21        1.21        1.16        1.16        7.22        74,733        16   
  12.17        12.19        3.41            741,368        1.16        1.17        1.11        1.12        6.74        75,501        16   
  11.91        12.54        28.70            722,161        1.19        1.26        1.11        1.18        8.04        74,192        26   
  10.12        10.45        1.30            610,800        1.37        1.37        1.24        1.24        8.80        66,606        21   
                     
$ 11.13      $ 11.51        6.70       $ 363,832        1.19 %*      1.19 %*      1.17 %*      1.17 %*      7.09 %*    $ 73,123        2
  10.88        10.97        9.65            355,368        1.23        1.23        1.17        1.17        7.14        72,006        5   
  10.78        10.71        10.69            351,139        1.29        1.29        1.23        1.23        7.47        71,447        15   
  9.58        10.45        (15.39         311,231        1.27        1.27        1.20        1.20        7.04        66,168        20   
  11.02        13.31        33.20            357,139        1.27        1.33        1.17        1.23        8.00        72,239        25   
  9.69        10.75        2.01            313,021        1.44        1.46        1.28        1.30        9.39        66,404        14   
                     
$ 14.61      $ 15.70        4.60       $ 272,345        1.24 %*      1.24 %*      1.21 %*      1.21 %*      6.76 %*    $ 70,388        13
  14.33        15.66        16.08            266,838        1.32        1.32        1.22        1.22        6.67        69,473        11   
  13.77        14.38        0.61            255,751        1.36        1.36        1.27        1.27        7.55        67,624        21   
  14.71        15.33        9.96            272,398        1.30        1.31        1.21        1.22        7.17        70,398        12   
  13.75        14.83        32.94            253,870        1.36        1.43        1.25        1.32        8.63        67,310        9   
  11.32        11.99        (2.79         208,147        1.48        1.48        1.34        1.34        9.21        59,689        19   
                     
$ 8.95      $ 9.94        6.19       $ 285,097        1.25 %*      1.25 %*      1.23 %*      1.23 %*      7.42 %*    $ 68,724        10
  8.69        9.75        9.85            276,525        1.32        1.32        1.21        1.21        7.48        67,411        12   
  8.61        9.52        (1.76         273,289        1.41        1.41        1.30        1.30        8.51        66,915        14   
  8.93        10.51        11.41            282,181        1.34        1.35        1.23        1.24        7.65        68,279        13   
  8.65        10.15        19.59            272,570        1.44        1.52        1.24        1.32        8.99        66,804        25   
  7.38        9.21        7.53            231,486        1.55        1.55        1.37        1.37        9.73        60,503        15   
                     
$ 10.31      $ 11.92        10.76       $ 228,221        1.25 %*      1.25 %*      1.21 %*      1.21 %*      6.44 %*    $ 70,641        2
  10.08        10.94        12.80            223,030        1.30        1.30        1.21        1.21        6.68        69,605        24   
  10.02        10.40        19.73            221,415        1.37        1.37        1.26        1.26        7.29        69,282        11   
  9.09        9.36        (13.98         200,245        1.35        1.35        1.25        1.25        7.93        65,409        25   
    10.23          11.68        31.62            224,596        1.34        1.40        1.20        1.26        8.40        69,918        10   
  9.08        9.53        (0.47         198,748        1.48        1.50        1.32        1.34        9.01        64,749        11   

 

  ANNUAL REPORT   DECEMBER 31, 2015   19


Table of Contents

Financial Highlights (Cont.)

 

          Investment Operations         Less Distributions to Common Shareholders  
                       
    Net Asset
Value
Beginning of
Year or
Period
    Net
Investment
Income  (a)
    Net
Realized/
Unrealized
Gain (Loss)
    Distributions on
Preferred
Shares
from Net
Investment
Income (b)
    Distributions
on Preferred
Shares
from
Realized
Gains (Loss) (b)
    Total          From Net
Investment
Income  (b)
    From Net
Realized
Capital
Gain (Loss) (b)
    Tax Basis
Return of
Capital (b)
    Total  

PIMCO New York Municipal Income Fund

                     

05/01/2015 - 12/31/2015(f)

  $ 11.92      $ 0.47      $ 0.18      $ (0.01   $ 0.00      $ 0.64          $ (0.46   $ 0.00      $ 0.00      $ (0.46 )(i) 

04/30/2015

    11.20        0.68        0.73        (0.01     0.00        1.40            (0.68     0.00        0.00        (0.68

04/30/2014

    12.04        0.67        (0.82     (0.01     0.00        (0.16         (0.68     0.00        0.00        (0.68

04/30/2013

    11.38        0.70        0.66        (0.02     0.00        1.34            (0.68     0.00        0.00        (0.68

04/30/2012

    9.92        0.74        1.41        (0.01     0.00        2.14            (0.68     0.00        0.00        (0.68

04/30/2011

    10.67        0.80        (0.84     (0.03     0.00        (0.07         (0.68     0.00        0.00        (0.68

PIMCO New York Municipal Income Fund II

                     

06/01/2015 - 12/31/2015(g)

  $   11.28      $   0.43      $ 0.17      $ (0.01   $ 0.00      $ 0.59          $ (0.46   $ 0.00      $ 0.00      $ (0.46 )(i) 

05/31/2015

    10.98        0.75        0.36        (0.01     0.00        1.10            (0.80     0.00        0.00        (0.80

05/31/2014

    11.32        0.75        (0.28     (0.01     0.00        0.46            (0.80     0.00        0.00        (0.80

05/31/2013

    11.37        0.79        (0.02     (0.02     0.00        0.75            (0.80     0.00        0.00        (0.80

05/31/2012

    10.10        0.85        1.24        (0.02     0.00        2.07            (0.80     0.00        0.00        (0.80

05/31/2011

    10.90        0.88        (0.85     (0.03     0.00        0.00            (0.80     0.00        0.00        (0.80

PIMCO New York Municipal Income Fund III

                     

10/01/2015 - 12/31/2015(h)

  $ 9.42      $ 0.14      $ 0.15      $ (0.00 )^    $ 0.00      $ 0.29          $ (0.16   $ 0.00      $ 0.00      $ (0.16 )(i) 

09/30/2015

    9.43        0.57        0.06        (0.01     0.00        0.62            (0.63     0.00        0.00        (0.63

09/30/2014

    8.51        0.56        1.00        (0.01     0.00        1.55            (0.63     0.00        0.00        (0.63

09/30/2013

    9.65        0.62          (1.12       (0.01       0.00          (0.51           (0.63       0.00          0.00          (0.63

09/30/2012

    8.82        0.77        0.70        (0.01     0.00        1.46            (0.63     0.00        0.00        (0.63

09/30/2011

    9.38        0.69        (0.60     (0.02     0.00        0.07            (0.63     0.00        0.00        (0.63

 

* Annualized
^ Reflects an amount rounding to less than one cent.
(a) 

Per share amounts based on average number of common shares outstanding during the year.

(b) 

Determined in accordance with federal income tax regulations, see Note 2(b) in the Notes to Financial Statements for more information.

(c) 

Total investment return is calculated assuming a purchase of a common share at the market price on the first day and a sale of a common share at the market price on the last day of each year or period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds’ dividend reinvestment plan. Total investment return does not reflect brokerage commissions in connection with the purchase or sale of Fund shares.

(d) 

Calculated on the basis of income and expenses applicable to both common and preferred shares relative to the average net assets of common shareholders.

(e) 

Interest expense primarily relates to participation in borrowing and financing transactions. See Note 5 in the Notes to Financial Statements for more information.

(f) 

Fiscal year end changed from April 30th to December 31st.

(g) 

Fiscal year end changed from May 31st to December 31st.

(h) 

Fiscal year end changed from September 30th to December 31st.

(i) 

Total distributions for the period ended December 31, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended December 31, 2015.

 

20   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

Common Share         Ratios/Supplemental Data  
                            Ratios to Average Net Assets              
Net Asset
Value End of
Year or
Period
    Market Price
End of Year
or Period
    Total
Investment
Return  (c)
         Net Assets
Applicable
to Common
Shareholders
(000s)
    Expenses (d)(e)     Expenses
Excluding
Waivers  (d)(e)
    Expenses
Excluding
Interest
Expense (d)
        
Expenses
Excluding
Interest
Expense and
Waivers (d)
    Net
Investment
Income  (d)
    Preferred
Shares Asset
Coverage
Per Share
    Portfolio
Turnover
Rate
 
                     
$ 12.10      $ 11.90        7.23       $ 93,205        1.27 %*      1.27 %*      1.26 %*      1.26 %*      5.82 %*    $   74,574        5
  11.92        11.54        7.72            91,832        1.39        1.39        1.31        1.31        5.78        73,847        1   
  11.20        11.36        (3.21         86,211        1.46        1.46        1.40        1.40        6.28        70,857        10   
  12.04        12.52        12.96            92,509        1.36        1.37        1.30        1.31        5.89        74,203        16   
  11.38        11.73        26.36            87,126        1.37        1.44        1.31        1.38        7.00        71,341        21   
  9.92        9.89        (5.57         75,728        1.51        1.51        1.42        1.42        7.70        65,279        29   
                     
$   11.41      $ 12.35        4.36       $   126,085        1.35 %*      1.35 %*      1.33 %*      1.33 %*      6.48 %*    $ 64,898        7
  11.28        12.32        9.89            124,424        1.40        1.40        1.33        1.33        6.65        64,373        7   
  10.98        12.01        7.83            120,520        1.51        1.51        1.45        1.45        7.30        63,139        5   
  11.32        12.01        4.14            123,685        1.42        1.43        1.33        1.34        6.78        64,140        25   
  11.37        12.29        20.97            123,667        1.45        1.53        1.36        1.44        7.86        64,135        18   
  10.10        10.92        3.03            109,256        1.55        1.55        1.44        1.44        8.46        59,574        7   
                     
$ 9.55      $   10.27        5.75       $ 54,247        1.55 %*      1.55 %*      1.53 %*      1.53 %*      5.87 %*    $ 67,378        0
  9.42        9.87        11.09            53,548        1.55        1.55        1.49        1.49        6.04        66,764        13   
  9.43        9.49        9.47            53,369        1.66        1.66        1.60        1.60        6.31        66,695        24   
  8.51        9.30        (6.83         48,007        1.65        1.65        1.56        1.56        6.72        62,505        17   
  9.65        10.66        26.56            54,327        1.64        1.70        1.50        1.56        8.42        67,441        16   
  8.82        9.00        (1.27         49,490        1.73        1.75        1.58        1.60        8.07        63,663        9   

 

  ANNUAL REPORT   DECEMBER 31, 2015   21


Table of Contents

Statements of Assets and Liabilities

 

(Amounts in thousands, except per share amounts)   PIMCO
Municipal
Income
Fund
    PIMCO
Municipal
Income
Fund II
    PIMCO
Municipal
Income
Fund III
    PIMCO
California
Municipal
Income
Fund
 

Assets:

       

Investments, at value

                               

Investments in securities*

  $ 535,812      $   1,171,372      $ 583,271      $ 445,977   

Cash

    379        388        549        431   

Receivable for investments sold

    115        9,614        0        0   

Interest receivable

    7,585        13,897        6,872        6,323   

Other assets

    108        39        17        34   

Total Assets

    543,999        1,195,310        590,709        452,765   

Liabilities:

       

Borrowings & Other Financing Transactions

                               

Payable for tender option bond floating rate certificates

  $ 13,081      $ 38,737      $ 26,133      $ 28,493   

Payable for investments purchased

    0        24,354        9,157        0   

Distributions payable to common shareholders

    2,073        3,987        2,036        1,435   

Distributions payable to preferred shareholders

    13        25        13        10   

Accrued management fees

    346        715        362        276   

Other liabilities

    144        280        176        206   

Total Liabilities

    15,657        68,098        37,877        30,420   

Preferred Shares ($0.00001 par value and $25,000 liquidation preference per share applicable to an aggregate of 7,600, 14,680, 7,560, 6,000, 6,520, 5,000, 1,880, 3,160, and 1,280 shares issued and outstanding, respectively)

    190,000        367,000        189,000        150,000   

Net Assets Applicable to Common Shareholders

  $   338,342      $ 760,212      $ 363,832      $ 272,345   

Composition of Net Assets Applicable to Common Shareholders:

       

Common Shares:

                               

Par value ($0.00001 per share)

  $ 0      $ 1      $ 0      $ 0   

Paid in capital in excess of par

      330,050        803,270        433,992        244,135   

Undistributed (overdistributed) net investment income

    1,820        26,143        204        13,406   

Accumulated undistributed net realized (loss)

    (55,047     (184,622       (138,351     (33,773

Net unrealized appreciation

    61,519        115,420        67,987        48,577   
    $ 338,342      $ 760,212      $ 363,832      $   272,345   

Common Shares Issued and Outstanding

    25,518        61,338        32,679        18,646   

Net Asset Value Per Common Share

  $ 13.26      $ 12.39      $ 11.13      $ 14.61   

Cost of Investments in securities

  $ 474,305      $ 1,055,940      $ 515,285      $ 397,402   

* Includes repurchase agreements of:

  $ 0      $ 0      $ 7,800      $ 0   

 

 

A zero balance may reflect actual amounts rounding to less than one thousand.

 

22   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

December 31, 2015

 

    
PIMCO
California
Municipal
Income Fund II
    PIMCO
California
Municipal
Income Fund III
    PIMCO
New York
Municipal
Income Fund
    PIMCO
New York
Municipal
Income Fund II
    PIMCO
New York
Municipal
Income Fund III
 
       
                                     
$ 471,413      $ 377,855      $ 146,812      $ 211,304      $ 90,014   
  593        201        507        325        527   
  0        0        0        0        0   
  6,362        5,190        2,073        2,817        1,048   
  45        3        1,937        30        0   
  478,413        383,249        151,329        214,476        91,589   
       
                                     
$ 28,155      $ 28,290      $ 10,494      $ 8,195      $ 4,932   
  0        0        0        0        0   
  1,712        1,328        439        732        298   
  11        9        3        5        2   
  293        234        100        140        69   
  145        167        88        319        41   
  30,316        30,028        11,124        9,391        5,342   
 
 
 
    
    
163,000
 
 
  
    125,000        47,000        79,000        32,000   
$ 285,097      $ 228,221      $ 93,205      $ 126,085      $ 54,247   
       
                                     
$ 0      $ 0      $ 0      $ 0      $ 0   
  403,321        289,745        97,463        148,022        75,507   
  (1,269     4,863        2,241        112        912   
    (176,331       (105,929       (20,397       (42,205       (30,408
  59,376        39,542        13,898        20,156        8,236   
$ 285,097      $ 228,221      $ 93,205      $ 126,085      $ 54,247   
  31,853        22,144        7,705        11,052        5,682   
$ 8.95      $ 10.31      $ 12.10      $ 11.41      $ 9.55   
$ 412,037      $ 338,315      $ 133,136      $ 191,117      $ 81,778   
$ 9,000      $ 0      $ 0      $ 0      $ 0   

 

  ANNUAL REPORT   DECEMBER 31, 2015   23


Table of Contents

Statements of Operations

 

    PIMCO
Municipal Income Fund
    PIMCO
Municipal Income Fund II
    PIMCO
Municipal Income Fund III
 
(Amounts in thousands)   Period from
May 1, 2015 to
December 31, 2015  (a)
    Year Ended
April 30, 2015
    Period from
June 1, 2015 to
December 31, 2015  (b)
    Year Ended
May 31, 2015
   

Period from
October 1, 2015 to
December 31, 2015 (c)

    Year Ended
September 30, 2015
 

Investment Income:

           

Interest

  $ 19,416      $ 27,881      $ 33,969      $ 58,095      $ 7,742      $ 29,850   

Total Income

    19,416        27,881        33,969        58,095        7,742        29,850   

Expenses:

           

Management fees

    2,486        3,589        4,507        7,518        1,003        3,843   

Auction agent fees and commissions

    204        322        329        567        73        285   

Trustee fees and related expenses

    24        33        57        68        10        42   

Interest expense

    28        101        61        380        21        200   

Auction rate preferred shares related expenses

    9        20        7        13        8        11   

Operating expenses pre-transition (d)

                                               

Custodian and accounting agent

    0        42        0        39        0        0   

Audit and tax services

    0        22        0        13        0        0   

Shareholder communications

    0        12        0        13        0        0   

New York Stock Exchange listing

    0        13        0        16        0        0   

Transfer agent

    0        10        0        7        0        0   

Legal

    0        4        0        5        0        0   

Insurance

    0        3        0        6        0        0   

Other expenses

    0        1        0        0        0        0   

Total Expenses

    2,751        4,172        4,961        8,645        1,115        4,381   

Net Investment Income

      16,665        23,709        29,008        49,450        6,627        25,469   

Net Realized Gain (Loss):

           

Investments in securities

    161          (1,080     410        1,136        612        1,031   

Net Realized Gain (Loss)

    161        (1,080     410        1,136        612        1,031   

Net Change in Unrealized Appreciation (Depreciation):

           

Investments in securities

    2,788        17,051        16,059        8,054        7,195        1,472   

Net Change in Unrealized Appreciation (Depreciation)

    2,788        17,051        16,059        8,054        7,195        1,472   

Net Increase in Net Assets Resulting from Operations

  $ 19,614      $ 39,680      $   45,477      $   58,640      $   14,434      $   27,972   

Distributions on Preferred Shares from Net Investment Income

    (222     (211     (368     (420     (98     (242

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 19,392      $   39,469      $ 45,109      $ 58,220      $ 14,336      $ 27,730   

 

 

A zero balance may reflect actual amounts rounding to less than one thousand.

(a) 

Fiscal year end changed from April 30th to December 31st.

(b) 

Fiscal year end changed from May 31st to December 31st.

(c) 

Fiscal year end changed from September 30th to December 31st.

(d) 

These expenses were incurred by the Fund prior to the close of business on September 5, 2014. Subsequent to the close of business on September 5, 2014, any such operating expenses are borne by PIMCO.

 

24   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

PIMCO
California Municipal Income Fund
    PIMCO
California Municipal Income Fund II
    PIMCO
California Municipal Income Fund III
 

Period from
May 1, 2015 to

December 31, 2015 (a)

    Year Ended
April 30, 2015
    Period from
June 1, 2015 to
December 31, 2015  (b)
    Year Ended
May 31, 2015
   

Period from
October 1, 2015 to
December 31, 2015 (c)

    Year Ended
September 30, 2015
 
         
$   14,380      $   21,169      $   14,275      $   24,531      $   4,497      $   17,854   
  14,380        21,169        14,275        24,531        4,497        17,854   
         
  1,981        2,846        1,840        3,053        649        2,492   
  159        250        146        261        49        190   
  23        26        22        27        7        24   
  51        259        32        305        22        203   
  9        20        9        13        8        11   
                                             
  0        32        0        21        0        0   
  0        21        0        11        0        0   
  0        7        0        6        0        0   
  0        13        0        8        0        0   
  0        10        0        6        0        0   
  0        5        0        1        0        0   
  0        2        0        3        0        0   
  0        0        0        0        0        0   
  2,223        3,491        2,049        3,715        735        2,920   
  12,157        17,678        12,226        20,816        3,762        14,934   
         
  593        455        122        6,746        (107     4,105   
  593        455        122        6,746        (107     4,105   
         
  3,978        9,666        7,982        (4,455     5,478        (1,806
  3,978        9,666        7,982        (4,455     5,478        (1,806
$ 16,728      $ 27,799      $ 20,330      $ 23,107      $ 9,133      $ 17,233   

 

(174

    (165     (164     (188     (66     (160

$

16,554

  

  $ 27,634      $ 20,166      $ 22,919      $ 9,067      $ 17,073   

 

  ANNUAL REPORT   DECEMBER 31, 2015   25


Table of Contents

Statements of Operations (Cont.)

 

    PIMCO
New York Municipal Income Fund
    PIMCO
New York Municipal
Income Fund II
    PIMCO
New York Municipal
Income Fund III
 
(Amounts in thousands)   Period from
May 1, 2015 to
December 31, 2015 (a)
    Year Ended
April 30, 2015
    Period from
June 1, 2015 to
December 31, 2015  (b)
    Year Ended
May 31, 2015
   

Period from
October 1, 2015 to
December 31, 2015 (c)

    Year Ended
September 30, 2015
 

Investment Income:

           

Interest

  $ 4,414      $ 6,507      $ 5,776      $ 9,972      $ 1,035      $ 4,082   

Total Income

    4,414        6,507        5,776        9,972        1,035        4,082   

Expenses:

           

Management fees

    723        1,005        886        1,449        191        737   

Auction agent fees and commissions

    50        83        71        129        12        48   

Trustee fees and related expenses

    8        9        11        13        2        8   

Interest expense

    5        70        18        83        3        32   

Auction rate preferred shares related expenses

    9        20        7        13        8        11   

Operating expenses pre-transition (d)

                                               

Custodian and accounting agent

    0        20        0        16        0        0   

Audit and tax services

    0        21        0        10        0        0   

Shareholder communications

    0        6        0        4        0        0   

New York Stock Exchange listing

    0        13        0        7        0        0   

Transfer agent

    0        10        0        7        0        0   

Legal

    0        2        0        1        0        0   

Insurance

    0        1        0        2        0        0   

Other expenses

    0        0        0        0        0        0   

Total Expenses

    795        1,260        993        1,734        216        836   

Net Investment Income

    3,619        5,247        4,783        8,238        819        3,246   

Net Realized Gain (Loss):

           

Investments in securities

    296        0        244        (515     0        106   

Net Realized Gain (Loss)

    296        0        244        (515     0        106   

Net Change in Unrealized Appreciation:

           

Investments in securities

    1,026        5,582        1,538        4,505        837        158   

Net Change in Unrealized Appreciation:

    1,026        5,582        1,538        4,505        837        158   

Net Increase in Net Assets Resulting from Operations

  $ 4,941      $ 10,829      $ 6,565      $ 12,228      $ 1,656      $ 3,510   

Distributions on Preferred Shares from Net Investment Income

    (54     (54     (79     (90     (16     (41

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $   4,887      $   10,775      $   6,486      $   12,138      $   1,640      $   3,469   

 

 

A zero balance may reflect actual amounts rounding to less than one thousand.

(a) 

Fiscal year end changed from April 30th to December 31st.

(b) 

Fiscal year end changed from May 31st to December 31st.

(c) 

Fiscal year end changed from September 30th to December 31st.

(d) 

These expenses were incurred by the Fund prior to the close of business on September 5, 2014. Subsequent to the close of business on September 5, 2014, any such operating expenses are borne by PIMCO.

 

26   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

Statements of Changes in Net Assets

 

    PIMCO
Municipal Income Fund
    PIMCO
Municipal Income Fund II
 
(Amounts in thousands)  

Period from
May 1, 2015 to
December 31, 2015 (a)

    Year Ended
April 30, 2015
    Year Ended
April 30, 2014
    Period from
June 1, 2015 to
December 31, 2015  (b)
    Year Ended
May 31, 2015
    Year Ended
May 31, 2014
 

Increase (Decrease) in Net Assets from:

           

Operations:

           

Net investment income

  $ 16,665      $ 23,709      $ 23,714      $ 29,008      $ 49,450      $ 49,179   

Net realized gain (loss)

    161        (1,080     (1,950     410        1,136        (3,169

Net change in unrealized appreciation (depreciation)

    2,788        17,051        (26,690     16,059        8,054        (11,994

Net increase (decrease) in net assets resulting from operations

    19,614        39,680        (4,926     45,477        58,640        34,016   

Distributions on preferred shares from net investment income (c)

    (222     (211     (246     (368     (420     (426

Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations

    19,392        39,469        (5,172     45,109        58,220        33,590   

Distributions to Common Shareholders:

           

From net investment income (c)

    (16,571 )(d)      (24,797     (24,727     (27,892 )(d)      (47,740     (47,596

Total Distributions to Common Shareholders

    (16,571     (24,797     (24,727     (27,892     (47,740     (47,596

Common Share Transactions**:

           

Issued as reinvestment of distributions

    746        948        892        862        1,565        2,726   

Total Increase (Decrease) in Net Assets

    3,567        15,620        (29,007     18,079        12,045        (11,280

Net Assets Applicable to Common Shareholders:

           

Beginning of year

    334,775        319,155        348,162        742,133        730,088        741,368   

End of year*

  $   338,342      $   334,775      $   319,155      $   760,212      $   742,133      $   730,088   

* Including undistributed net investment income of:

  $ 1,820      $ 1,979      $ 3,318      $ 26,143      $ 25,414      $ 24,160   

** Common Share Transactions:

           

Shares issued as reinvestment of distributions

    54        68        72        70        128        243   

 

 

A zero balance may reflect actual amounts rounding to less than one thousand.

(a) 

Fiscal year end changed from April 30th to December 31st.

(b) 

Fiscal year end changed from May 31st to December 31st.

(c) 

Determined in accordance with federal income tax regulations, see Note 2(b) in the Notes to Financial Statements for more information.

(d) 

Total distributions for the period ended December 31, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended December 31, 2015.

 

  ANNUAL REPORT   DECEMBER 31, 2015   27


Table of Contents

Statements of Changes in Net Assets (Cont.)

 

    PIMCO
Municipal Income Fund III
    PIMCO
California Municipal Income Fund
 
(Amounts in thousands)  

Period from
October 1, 2015 to
December 31, 2015 (a)

    Year Ended
September 30, 2015
    Year Ended
September 30, 2014
    Period from
May 1, 2015 to
December 31, 2015 (b)
    Year Ended
April 30, 2015
    Year Ended
April 30, 2014
 

Increase (Decrease) in Net Assets from:

           

Operations:

           

Net investment income

  $ 6,627      $ 25,469      $ 24,526      $ 12,157      $ 17,678      $ 18,445   

Net realized gain (loss)

    612        1,031        (2,929     593        455        2,328   

Net change in unrealized appreciation (depreciation)

    7,195        1,472        43,465        3,978        9,666        (20,810

Net increase (decrease) in net assets resulting from operations

    14,434        27,972        65,062        16,728        27,799        (37

Distributions on preferred shares from net investment income (d)

    (98     (242     (212     (174     (165     (196

Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations

    14,336        27,730        64,850        16,554        27,634        (233

Distributions to Common Shareholders:

           

From net investment income (d)

    (6,106 )(e)      (24,386     (25,829     (11,478 )(e)      (17,183     (17,139

Tax basis return of capital (d)

    0        0        0        0        0        0   

Total Distributions to Common Shareholders

    (6,106     (24,386     (25,829     (11,478     (17,183     (17,139

Common Share Transactions**:

           

Issued as reinvestment of distributions

    234        885        887        431        636        725   

Total Increase (Decrease) in Net Assets

    8,464        4,229        39,908        5,507        11,087        (16,647

Net Assets Applicable to Common Shareholders:

           

Beginning of year

    355,368        351,139        311,231        266,838        255,751        272,398   

End of year*

  $   363,832      $   355,368      $   351,139      $   272,345      $   266,838      $   255,751   

* Including undistributed (overdistributed) net investment income of:

  $ 204      $ (201   $ (945   $ 13,406      $ 12,917      $ 12,610   

** Common Share Transactions:

           

Shares issued as reinvestment of distributions

    21        81        87        29        45        55   

 

 

A zero balance may reflect actual amounts rounding to less than one thousand.

(a) 

Fiscal year end changed from September 30th to December 31st.

(b) 

Fiscal year end changed from April 30th to December 31st.

(c) 

Fiscal year end changed from May 31st to December 31st.

(d) 

Determined in accordance with federal income tax regulations, see Note 2(b) in the Notes to Financial Statements for more information.

(e) 

Total distributions for the period ended December 31, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended December 31, 2015.

 

28   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

PIMCO
California Municipal Income Fund II
    PIMCO
California Municipal Income Fund III
    PIMCO
New York Municipal Income Fund
 

Period from
June 1, 2015 to
December 31, 2015 (c)

    Year Ended
May 31, 2015
   

Year Ended

May 31, 2014

   

Period from

October 1, 2015 to

December 31, 2015 (a)

   

Year Ended

September 30, 2015

   

Year Ended

September 30, 2014

   

Period from

May 1, 2015 to

December 31, 2015 (b)

   

Year Ended

April 30, 2015

   

Year Ended

April 30, 2014

 
               
               
$ 12,226      $ 20,816      $ 21,384      $ 3,762      $ 14,934      $ 15,281      $ 3,619      $ 5,247      $ 5,170   
  122        6,746        (3,108     (107     4,105        (1,900     296        0        21   
  7,982        (4,455     (4,794     5,478        (1,806     23,299        1,026        5,582        (6,288
  20,330        23,107        13,482        9,133        17,233        36,680        4,941        10,829        (1,097
  (164     (188     (190     (66     (160     (144     (54     (54     (60
 
 
    
20,166
 
  
    22,919        13,292        9,067        17,073        36,536        4,887        10,775        (1,157
               
  (11,978 )(e)      (20,493     (20,949     (3,985 )(e)      (15,922     (15,888     (3,514 )(e)      (5,269     (5,260
  0        0        (2,253     0        0        0        0        0        0   
  (11,978     (20,493     (23,202     (3,985     (15,922     (15,888     (3,514     (5,269     (5,260
               
  384        810        1,018        109        464        522        0        115        119   
  8,572        3,236        (8,892     5,191        1,615        21,170        1,373        5,621        (6,298
               
  276,525        273,289        282,181        223,030        221,415        200,245        91,832        86,211        92,509   
$   285,097      $   276,525      $   273,289      $   228,221      $   223,030      $   221,415      $   93,205      $   91,832      $   86,211   
    
$
 
(1,269
 
  $ (1,482   $ (1,707   $ 4,863      $ 5,160      $ 6,342      $ 2,241      $ 2,137      $ 2,137   
               
  41        89        113        10        45        55        0        10        11   

 

  ANNUAL REPORT   DECEMBER 31, 2015   29


Table of Contents

Statements of Changes in Net Assets (Cont.)

 

    PIMCO
New York Municipal Income Fund II
    PIMCO
New York Municipal Income Fund III
 
(Amounts in thousands)  

Period from
June 1, 2015 to
December 31, 2015 (a)

    Year Ended
May 31, 2015
    Year Ended
May 31, 2014
    Period from
October 1, 2015 to
December 31, 2015 (b)
    Year Ended
September 30, 2015
    Year Ended
September 30, 2014
 

Increase (Decrease) in Net Assets from:

           

Operations:

           

Net investment income

  $ 4,783      $ 8,238      $ 8,148      $ 819      $ 3,246      $ 3,160   

Net realized gain (loss)

    244        (515     (309     0        106        192   

Net change in unrealized appreciation (depreciation)

    1,538        4,505        (2,765     837        158        5,481   

Net increase in net assets resulting from operations

    6,565        12,228        5,074        1,656        3,510        8,833   

Distributions on preferred shares from net investment income (c)

    (79     (90     (91     (16     (41     (37

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

    6,486        12,138        4,983        1,640        3,469        8,796   

Distributions to Common Shareholders:

           

From net investment income (c)

    (5,120 )(d)      (8,750     (8,711     (895 )(d)      (3,571     (3,560

Total Distributions to Common Shareholders

    (5,120     (8,750     (8,711     (895     (3,571     (3,560

Common Share Transactions**:

           

Issued as reinvestment of distributions

    295        516        563        44        191        126   

Total Increase (Decrease) in Net Assets

    1,661        3,904        (3,165     789        89        5,362   

Net Assets Applicable to Common Shareholders:

           

Beginning of year

    124,424        120,520        123,685        53,458        53,369        48,007   

End of year*

  $   126,085      $   124,424      $   120,520      $   54,247      $   53,458      $   53,369   

* Including undistributed net investment income of:

  $ 112      $ 531      $ 1,140      $ 912      $ 1,007      $ 1,386   

** Common Share Transactions:

           

Shares issued as reinvestment of distributions

    26        45        54        5        20        14   

 

 

A zero balance may reflect actual amounts rounding to less than one thousand.

(a) 

Fiscal year end changed from May 31st to December 31st.

(b) 

Fiscal year end changed from September 30th to December 31st.

(c) 

Determined in accordance with federal income tax regulations, see Note 2(b) in the Notes to Financial Statements for more information.

(d) 

Total distributions for the period ended December 31, 2015 may be lower than prior fiscal years due to fiscal year end changes resulting in a reduction of the amount of days in the period ended December 31, 2015.

 

30   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

Schedule of Investments PIMCO Municipal Income Fund

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 158.4%   
MUNICIPAL BONDS & NOTES 157.8%   
ALABAMA 4.5%   

Huntsville-Redstone Village Special Care Facilities Financing Authority, Alabama Revenue Bonds, Series 2007

    

5.500% due 01/01/2028

  $     235      $     236   

5.500% due 01/01/2043

      885          879   

Jefferson County, Alabama Sewer Revenue Bonds, Series 2013

   

0.000% due 10/01/2050 (b)

      15,000          10,558   

6.500% due 10/01/2053

      3,000          3,512   
       

 

 

 
            15,185   
       

 

 

 
ALASKA 1.2%   

Alaska Industrial Development & Export Authority Revenue Bonds, Series 2007

   

6.000% due 12/01/2036 ^

      900          252   

Matanuska-Susitna Borough, Alaska Revenue Bonds, (AGC Insured), Series 2009

   

6.000% due 09/01/2032

      3,280          3,851   
       

 

 

 
          4,103   
       

 

 

 
ARIZONA 3.8%   

Arizona Health Facilities Authority Revenue Bonds, Series 2007

   

5.200% due 10/01/2037

      2,750          2,741   

Arizona Health Facilities Authority Revenue Bonds, Series 2008

   

5.500% due 01/01/2038

      2,050          2,197   

Industrial Development Authority of the County, Arizona of Pima Revenue Bonds, Series 2010

   

5.250% due 10/01/2040

      750          823   

Maricopa County, Arizona Pollution Control Corp. Revenue Bonds, Series 2000

   

5.000% due 06/01/2035

      1,500          1,652   

Salt River Project Agricultural Improvement & Power District, Arizona Revenue Bonds, Series 2009

   

5.000% due 01/01/2039 (c)

      5,000          5,477   
       

 

 

 
          12,890   
       

 

 

 
ARKANSAS 0.7%   

Arkansas Development Finance Authority Revenue Bonds, (AMBAC Insured), Series 2006

   

0.000% due 07/01/2036 (a)

      5,500          2,320   
       

 

 

 
CALIFORNIA 25.9%   

Bay Area Toll Authority, California Revenue Bonds, Series 2010

   

5.000% due 10/01/2034

      2,875          3,242   

5.000% due 10/01/2042

      3,255          3,598   

Bay Area Toll Authority, California Revenue Bonds, Series 2013

   

5.250% due 04/01/2053

      10,000          11,321   

Bay Area Toll Authority, California Revenue Bonds, Series 2014

   

5.000% due 10/01/2054

      7,000          7,896   

California County Tobacco Securitization Agency Revenue Bonds, Series 2002

   

6.000% due 06/01/2035

      2,000          2,000   

6.125% due 06/01/2038

      1,000          987   

California Health Facilities Financing Authority Revenue Bonds, Series 2009

   

6.000% due 07/01/2039

      2,000          2,293   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

6.000% due 08/15/2042

      1,500          1,792   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

  $     1,335      $     1,678   

California State General Obligation Bonds, Series 2007

  

5.000% due 11/01/2032

      700          752   

5.000% due 06/01/2037

      1,200          1,265   

California State General Obligation Bonds, Series 2008

  

5.125% due 08/01/2036

      2,300          2,524   

5.250% due 03/01/2038

      1,250          1,357   

California State General Obligation Bonds, Series 2009

  

6.000% due 04/01/2038

      3,200          3,699   

California State General Obligation Bonds, Series 2010

  

5.250% due 11/01/2040

      1,900          2,220   

5.500% due 03/01/2040

      500          579   

California Statewide Communities Development Authority Revenue Bonds, (FHA Insured), Series 2009

   

6.625% due 08/01/2029

      2,310          2,758   

6.750% due 02/01/2038

      8,485          10,168   

California Statewide Communities Development Authority Revenue Bonds, Series 2008

   

5.500% due 07/01/2031

      845          898   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

5.000% due 12/01/2041

      1,000          1,106   

6.500% due 11/01/2021

      515          567   

Chula Vista, California Revenue Bonds, Series 2004

  

5.875% due 02/15/2034

      3,000          3,446   

Los Angeles Community College District, California General Obligation Bonds, (NPFGC Insured), Series 2007

    

5.000% due 08/01/2032

      5,300          5,656   

M-S-R Energy Authority, California Revenue Bonds, Series 2009

   

6.125% due 11/01/2029

      2,000          2,600   

Montebello Unified School District, California General Obligation Bonds, (AGM Insured), Series 2008

   

5.000% due 08/01/2033

      4,175          4,608   

Orange County, California Airport Revenue Bonds, Series 2009

   

5.250% due 07/01/2039

      5,000          5,557   

San Marcos Unified School District, California General Obligation Bonds, Series 2011

   

5.000% due 08/01/2038

      1,600          1,774   

Whittier Union High School District, California General Obligation Bonds, Series 2009

   

0.000% due 08/01/2025 (a)

      2,000          1,342   
       

 

 

 
            87,683   
       

 

 

 
COLORADO 1.0%   

Denver Health & Hospital Authority, Colorado Revenue Bonds, Series 2010

   

5.625% due 12/01/2040

      450          492   

Public Authority for Colorado Energy Revenue Bonds, Series 2008

   

6.500% due 11/15/2038

      500          674   

Regional Transportation District, Colorado Certificates of Participation Bonds, Series 2010

   

5.375% due 06/01/2031

      400          451   

University of Colorado Revenue Bonds, Series 2009

  

5.375% due 06/01/2038

      1,500          1,712   
       

 

 

 
          3,329   
       

 

 

 
CONNECTICUT 2.4%   

Connecticut State Health & Educational Facility Authority Revenue Bonds, Series 2011

   

5.000% due 07/01/2041

      5,000          5,455   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Connecticut State Health & Educational Facility Authority Revenue Bonds, Series 2012

   

5.000% due 07/01/2042

  $     2,500      $     2,681   
       

 

 

 
          8,136   
       

 

 

 
DISTRICT OF COLUMBIA 1.0%   

District of Columbia Revenue Bonds, Series 2009

  

5.750% due 10/01/2039

      2,500          2,862   

District of Columbia Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001

   

6.250% due 05/15/2024

      695          700   
       

 

 

 
          3,562   
       

 

 

 
FLORIDA 3.2%   

Broward County, Florida Water & Sewer Utility Revenue Bonds, Series 2009

   

5.250% due 10/01/2034 (c)

      4,000          4,462   

Florida Development Finance Corp. Revenue Notes, Series 2011

   

6.500% due 06/15/2021

      240          263   

Florida State General Obligation Bonds, Series 2009

  

5.000% due 06/01/2038 (c)

      3,900            4,231   

Lee County Industrial Development Authority, Florida Revenue Bonds, Series 2007

   

5.375% due 06/15/2037

      500          506   

Miami-Dade County, Florida School Board Foundation, Inc. Certificates of Participation Bonds, (AGC Insured), Series 2009

    

5.375% due 02/01/2034

      1,250          1,410   
       

 

 

 
          10,872   
       

 

 

 
GEORGIA 3.5%   

Medical Center Hospital Authority, Georgia Revenue Bonds, Series 2007

   

5.250% due 07/01/2037

      2,300          2,315   

Municipal Electric Authority of Georgia Revenue Bonds, Series 2015

   

5.000% due 07/01/2060

      9,000          9,646   
       

 

 

 
          11,961   
       

 

 

 
ILLINOIS 9.8%   

Chicago, Illinois General Obligation Bonds, Series 2003

  

5.500% due 01/01/2034

      1,750          1,853   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2042

      2,400          2,498   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.375% due 01/01/2029

      6,700          7,145   

5.500% due 01/01/2034

      2,300          2,435   

Chicago, Illinois Revenue Bonds, Series 2002

  

5.000% due 01/01/2028

      2,000          2,162   

Illinois Finance Authority Revenue Bonds, Series 2009

  

5.500% due 07/01/2037 (c)

      5,000          5,543   

7.125% due 11/15/2037

      400          480   

Illinois State Toll Highway Authority Revenue Bonds, Series 2015

   

5.000% due 01/01/2040

      7,000          7,981   

Metropolitan Pier & Exposition Authority, Illinois Revenue Bonds, Series 2015

   

5.000% due 06/15/2052

      1,000          1,048   

Springfield, Illinois Electric Revenue Bonds, Series 2008

  

5.000% due 03/01/2036

      1,900          2,063   
       

 

 

 
            33,208   
       

 

 

 
INDIANA 2.4%   

Indiana Finance Authority Revenue Bonds, Series 2009

  

6.000% due 08/01/2039

      1,500          1,703   
 

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   31


Table of Contents

Schedule of Investments PIMCO Municipal Income Fund (Cont.)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Indiana Finance Authority Revenue Bonds, Series 2012

  

5.000% due 06/01/2032

  $     3,000      $     3,178   

Indiana Municipal Power Agency Revenue Bonds, Series 2009

   

6.000% due 01/01/2039

      1,000          1,115   

Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2011

   

7.500% due 09/01/2022

      1,720            2,016   
       

 

 

 
            8,012   
       

 

 

 
IOWA 2.7%   

Iowa Finance Authority Revenue Bonds, Series 2007

  

6.750% due 11/15/2037

      3,500          3,885   

6.750% due 11/15/2042

      1,500          1,665   

Iowa Finance Authority Revenue Bonds, Series 2013

  

5.250% due 12/01/2025

      1,000          1,089   

Iowa Finance Authority Revenue Bonds, Series 2014

  

2.000% due 05/15/2056 ^

      532          2   

2.700% due 11/15/2046 ^

      2,836          2,363   
       

 

 

 
          9,004   
       

 

 

 
KANSAS 0.6%   

Kansas Development Finance Authority Revenue Bonds, Series 2009

   

5.750% due 11/15/2038

      1,000          1,144   

Lenexa, Kansas Tax Allocation Bonds, Series 2007

  

6.000% due 04/01/2027 ^

      849          170   

Manhattan, Kansas Revenue Bonds, Series 2007

  

5.125% due 05/15/2042

      650          651   
       

 

 

 
          1,965   
       

 

 

 
KENTUCKY 0.3%   

Kentucky Economic Development Finance Authority Revenue Bonds, Series 2010

   

6.375% due 06/01/2040

      1,000          1,144   
       

 

 

 
LOUISIANA 1.7%   

Louisiana Local Government Environmental Facilities & Community Development Authority Revenue Bonds, (ACA Insured), Series 2000

    

6.550% due 09/01/2025

      1,680          1,887   

Louisiana Local Government Environmental Facilities & Community Development Authority Revenue Bonds, Series 2010

    

5.875% due 10/01/2040

      750          872   

6.500% due 11/01/2035

      400          474   

Louisiana Public Facilities Authority Revenue Bonds, Series 2011

   

6.500% due 05/15/2037

      2,000          2,386   
       

 

 

 
          5,619   
       

 

 

 
MARYLAND 0.7%   

Maryland Economic Development Corp. Revenue Bonds, Series 2010

   

5.750% due 06/01/2035

      1,500          1,643   

Maryland Health & Higher Educational Facilities Authority Revenue Bonds, Series 2010

   

6.250% due 01/01/2041

      650          720   
       

 

 

 
          2,363   
       

 

 

 
MASSACHUSETTS 0.9%   

Massachusetts Development Finance Agency Revenue Bonds, Series 2010

   

7.000% due 07/01/2042

      750          830   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Massachusetts Development Finance Agency Revenue Bonds, Series 2011

   

0.000% due 11/15/2056 (a)

  $     103      $     1   

6.250% due 11/15/2039

      388          372   

Massachusetts State College Building Authority Revenue Bonds, Series 2009

   

5.500% due 05/01/2039

      1,500          1,704   
       

 

 

 
          2,907   
       

 

 

 
MICHIGAN 0.9%   

Michigan Tobacco Settlement Finance Authority Revenue Bonds, Series 2007

   

6.000% due 06/01/2048

      1,500          1,338   

Royal Oak Hospital Finance Authority, Michigan Revenue Bonds, Series 2009

   

8.250% due 09/01/2039

      1,500          1,784   
       

 

 

 
          3,122   
       

 

 

 
MINNESOTA 0.7%   

St Louis Park, Minnesota Revenue Bonds, Series 2009

  

5.750% due 07/01/2039

      1,500          1,734   

Washington County, Minnesota Housing & Redevelopment Authority Revenue Bonds, Series 2007

    

5.625% due 06/01/2037

      500          515   
       

 

 

 
          2,249   
       

 

 

 
MISSOURI 0.4%   

Joplin Industrial Development Authority, Missouri Revenue Bonds, Series 2007

   

5.750% due 05/15/2026

      1,000          1,031   

Lee’s Summit, Missouri Tax Allocation Bonds, Series 2011

   

5.625% due 10/01/2023

      265          266   
       

 

 

 
          1,297   
       

 

 

 
NEVADA 6.0%   

Clark County, Nevada General Obligation Bonds, (AGM Insured), Series 2006

   

4.750% due 06/01/2030

      5,000          5,086   

Clark County, Nevada General Obligation Bonds, Series 2006

   

4.750% due 11/01/2035 33 (c)

      5,230          5,305   

Washoe County, Nevada General Obligation Bonds, (NPFGC Insured), Series 2005

   

5.000% due 01/01/2035

      9,755          9,755   
       

 

 

 
            20,146   
       

 

 

 
NEW JERSEY 11.9%   

New Jersey Economic Development Authority Revenue Bonds, (AGC Insured), Series 2009

   

5.500% due 12/15/2034

      2,000          2,234   

New Jersey Economic Development Authority Special Assessment Bonds, Series 2002

   

5.750% due 04/01/2031

      16,550          19,009   

New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2011

   

6.000% due 07/01/2037

      500          594   

New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2013

   

5.500% due 07/01/2043

      2,000          2,301   

New Jersey State Turnpike Authority Revenue Bonds, Series 2009

   

5.250% due 01/01/2040

      2,000          2,221   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Tobacco Settlement Financing Corp., New Jersey Revenue Bonds, Series 2007

   

4.750% due 06/01/2034

  $     12,100      $     9,924   

5.000% due 06/01/2041

      5,000          4,154   
       

 

 

 
            40,437   
       

 

 

 
NEW MEXICO 2.4%   

Farmington, New Mexico Revenue Bonds, Series 2010

  

5.900% due 06/01/2040

      1,000          1,104   

New Mexico Hospital Equipment Loan Council Revenue Bonds, Series 2009

   

5.000% due 08/01/2039

      6,400          6,998   
       

 

 

 
          8,102   
       

 

 

 
NEW YORK 20.6%   

Hudson Yards Infrastructure Corp., New York Revenue Bonds, Series 2011

   

5.250% due 02/15/2047

      15,500          17,405   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2011

   

5.000% due 11/15/2036

      3,000          3,403   

Nassau County, New York Industrial Development Agency Revenue Bonds, Series 2014

   

2.000% due 01/01/2049 ^

      1,137          136   

6.700% due 01/01/2049

      3,150          3,124   

New York City, New York Water & Sewer System Revenue Bonds, Series 2009

   

5.000% due 06/15/2039

      3,000          3,364   

New York Liberty Development Corp. Revenue Bonds, Series 2005

   

5.250% due 10/01/2035

      10,000          12,000   

New York Liberty Development Corp. Revenue Bonds, Series 2007

   

5.500% due 10/01/2037

      3,000          3,775   

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.000% due 12/15/2041

      10,000          11,278   

5.000% due 11/15/2044

      10,000          11,175   

New York State Dormitory Authority Revenue Bonds, Series 2010

   

5.500% due 07/01/2040

      3,500          4,017   
       

 

 

 
          69,677   
       

 

 

 
OHIO 8.0%   

Buckeye Tobacco Settlement Financing Authority, Ohio Revenue Bonds, Series 2007

   

5.125% due 06/01/2024

      1,000          900   

5.875% due 06/01/2047

      9,000          7,790   

6.500% due 06/01/2047

      10,000          9,284   

Hamilton County, Ohio Revenue Bonds, Series 2012

  

5.000% due 06/01/2042

      1,000          1,087   

Ohio State Turnpike Commission Revenue Bonds, Series 2013

   

5.000% due 02/15/2048

      5,000          5,544   

Ohio State Water Development Authority Revenue Bonds, Series 2005

   

4.000% due 01/01/2034

      2,500          2,617   
       

 

 

 
            27,222   
       

 

 

 
OREGON 0.9%   

Oregon Department of Administrative Services State Certificates of Participation Bonds, Series 2009

   

5.250% due 05/01/2039

      600          662   

Oregon Health & Science University Revenue Bonds, Series 2009

   

5.750% due 07/01/2039

      2,000          2,277   
       

 

 

 
          2,939   
       

 

 

 
 

 

32   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
PENNSYLVANIA 7.9%   

Capital Region Water, Pennsylvania Revenue Bonds, Series 2007

   

6.000% due 09/01/2036 ^

  $     1,960      $     1,484   

Geisinger Authority, Pennsylvania Revenue Bonds, Series 2009

   

5.250% due 06/01/2039

      5,000          5,513   

Lancaster County Hospital Authority, Pennsylvania Revenue Bonds, Series 2008

   

6.250% due 07/01/2026

      750          775   

6.375% due 07/01/2030

      85          87   

Luzerne County, Pennsylvania Industrial Development Authority Revenue Bonds, Series 2009

   

5.500% due 12/01/2039

      1,100          1,241   

Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series 2010

   

5.000% due 03/01/2040

      350          380   

6.000% due 07/01/2043

      500          524   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2009

   

5.125% due 12/01/2040

      2,000          2,177   

Philadelphia Hospitals & Higher Education Facilities Authority, Pennsylvania Revenue Bonds, Series 2012

   

5.625% due 07/01/2036

      5,000          5,430   

5.625% due 07/01/2042

      1,000          1,077   

Philadelphia, Pennsylvania General Obligation Bonds, (AGM Insured), Series 2008

   

5.250% due 12/15/2032

      7,000          7,649   

Philadelphia, Pennsylvania Water & Wastewater Revenue Bonds, Series 2009

   

5.250% due 01/01/2036

      500          544   
       

 

 

 
            26,881   
       

 

 

 
RHODE ISLAND 0.3%   

Tobacco Settlement Financing Corp., Rhode Island Revenue Bonds, Series 2015

   

5.000% due 06/01/2050

      1,000          1,017   
       

 

 

 
SOUTH CAROLINA 4.2%   

South Carolina Jobs-Economic Development Authority Revenue Bonds, Series 2007

   

5.500% due 05/01/2028

      450          458   

South Carolina State Ports Authority Revenue Bonds, Series 2010

   

5.250% due 07/01/2040

      2,200          2,439   

South Carolina State Public Service Authority Revenue Bonds, Series 2013

   

5.125% due 12/01/2043

      5,000          5,608   

5.500% due 12/01/2053

      5,000            5,652   
       

 

 

 
          14,157   
       

 

 

 
TENNESSEE 3.5%   

Tennessee Energy Acquisition Corp. Revenue Bonds, Series 2006

   

5.000% due 02/01/2027

      5,000          5,813   

5.250% due 09/01/2024

      5,000          5,923   
       

 

 

 
          11,736   
       

 

 

 
TEXAS 15.3%   

Dallas, Texas Revenue Bonds, (AGC Insured), Series 2009

   

5.250% due 08/15/2038

      1,200          1,330   

Grand Parkway Transportation Corp., Texas Revenue Bonds, Series 2013

   

5.000% due 04/01/2053

      5,500          6,074   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

JPMorgan Chase Putters/Drivers Trust, Texas General Obligation Notes, Series 2009

   

9.530% due 02/01/2017 (d)

  $     1,000      $     1,221   

JPMorgan Chase Putters/Drivers Trust, Texas Revenue Bonds, Series 2008

   

10.140% due 10/01/2031 (d)

      600          794   

North Harris County, Texas Regional Water Authority Revenue Bonds, Series 2008

   

5.250% due 12/15/2033

      4,200          4,629   

5.500% due 12/15/2038

      4,200          4,651   

North Texas Tollway Authority Revenue Bonds, Series 2008

   

5.625% due 01/01/2033

      6,050          6,554   

5.750% due 01/01/2033

      600          656   

North Texas Tollway Authority Revenue Bonds, Series 2009

   

5.250% due 01/01/2044

      3,000          3,240   

North Texas Tollway Authority Revenue Bonds, Series 2011

   

5.000% due 01/01/2038

      2,750          2,969   

5.500% due 09/01/2041

      600          702   

San Juan Higher Education Finance Authority, Texas Revenue Bonds, Series 2010

   

6.700% due 08/15/2040

      250          290   

Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2009

   

6.250% due 11/15/2029

      4,000          4,570   

Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2006

   

5.250% due 12/15/2023

      3,500          4,134   

Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2008

   

6.250% due 12/15/2026

      6,500          8,020   

Texas State Public Finance Authority Charter School Finance Corp. Revenue Bonds, Series 2007

   

5.875% due 12/01/2036

      400          426   

Uptown Development Authority, Texas Tax Allocation Bonds, Series 2009

   

5.500% due 09/01/2029

      1,000          1,082   

Wise County, Texas Revenue Bonds, Series 2011

  

8.000% due 08/15/2034

      500          581   
       

 

 

 
            51,923   
       

 

 

 
UTAH 2.4%   

Salt Lake County, Utah Revenue Bonds, (AMBAC Insured), Series 2001

   

5.125% due 02/15/2033

      7,000          8,102   
       

 

 

 
VIRGINIA 1.0%   

Fairfax County, Virginia Industrial Development Authority Revenue Bonds, Series 2009

   

5.500% due 05/15/2035

      1,000          1,131   

Peninsula Town Center Community Development Authority, Virginia Revenue Bonds, Series 2007

   

6.450% due 09/01/2037

      1,985          2,100   
       

 

 

 
          3,231   
       

 

 

 
WASHINGTON 4.6%   

JPMorgan Chase Putters/Drivers Trust, Washington General Obligation Bonds, Series 2009

   

14.005% due 08/01/2028 (d)

      6,670          8,719   

Washington Health Care Facilities Authority Revenue Bonds, (AGC Insured), Series 2008

   

6.000% due 08/15/2039

      700          819   

Washington Health Care Facilities Authority Revenue Bonds, Series 2007

   

6.125% due 08/15/2037

      2,000          2,129   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Washington Health Care Facilities Authority Revenue Bonds, Series 2009

   

7.375% due 03/01/2038

  $     250      $     298   

Washington State Housing Finance Commission Revenue Bonds, Series 2007

   

5.625% due 01/01/2038

      3,600          3,608   

Washington State Housing Finance Commission Revenue Notes, Series 2007

   

5.250% due 01/01/2017

      130          131   
       

 

 

 
          15,704   
       

 

 

 
WEST VIRGINIA 0.3%   

West Virginia Hospital Finance Authority Revenue Bonds, Series 2011

   

9.125% due 10/01/2041

      955          1,024   
       

 

 

 
WISCONSIN 0.2%   

Wisconsin Health & Educational Facilities Authority Revenue Bonds, Series 2009

   

6.625% due 02/15/2039

      500          583   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $472,305)

    533,812   
       

 

 

 
SHORT-TERM INSTRUMENTS 0.6%   
SHORT-TERM NOTES 0.4%   

Federal Home Loan Bank

  

0.157% due 01/26/2016

      100          100   

0.188% due 01/20/2016

      200          200   

0.233% due 01/25/2016

      100          100   

0.314% due 01/28/2016

      700          700   

Freddie Mac

  

0.172% due 02/04/2016

      100          100   
       

 

 

 
          1,200   
       

 

 

 
U.S. TREASURY BILLS 0.2%   

0.203% due 01/14/2016

      800          800   
       

 

 

 
Total Short-Term Instruments
(Cost $2,000)
    2,000   
       

 

 

 
       
Total Investments in Securities
(Cost $474,305)
    535,812   
       
Total Investments 158.4%
(Cost $474,305)
      $     535,812   
Preferred Shares (56.2%)     (190,000
Other Assets and Liabilities, net (2.2%)     (7,470
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $       338,342   
       

 

 

 
 

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   33


Table of Contents

Schedule of Investments PIMCO Municipal Income Fund (Cont.)

 

December 31, 2015

 

 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Zero coupon bond.
(b) Security becomes interest bearing at a future date.
(c) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(d) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on December 31, 2015.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

  

Municipal Bonds & Notes

       

Alabama

  $     0      $     15,185      $     0      $     15,185   

Alaska

    0        4,103        0        4,103   

Arizona

    0        12,890        0        12,890   

Arkansas

    0        2,320        0        2,320   

California

    0        87,683        0          87,683   

Colorado

    0        3,329        0        3,329   

Connecticut

    0        8,136        0        8,136   

District of Columbia

    0        3,562        0        3,562   

Florida

    0        10,872        0        10,872   

Georgia

    0        11,961        0        11,961   

Illinois

    0        33,208        0        33,208   

Indiana

    0        8,012        0        8,012   

Iowa

    0        9,004        0        9,004   

Kansas

    0        1,965        0        1,965   

Kentucky

    0        1,144        0        1,144   

Louisiana

    0        5,619        0        5,619   

Maryland

    0        2,363        0        2,363   

Massachusetts

    0        2,907        0        2,907   

Michigan

    0        3,122        0        3,122   

Minnesota

    0        2,249        0        2,249   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Missouri

  $   0      $ 1,297      $   0      $ 1,297   

Nevada

    0        20,146        0        20,146   

New Jersey

    0        40,437        0        40,437   

New Mexico

    0        8,102        0        8,102   

New York

        0            69,677            0            69,677   

Ohio

    0        27,222        0        27,222   

Oregon

    0        2,939        0        2,939   

Pennsylvania

    0        26,881        0        26,881   

Rhode Island

    0        1,017        0        1,017   

South Carolina

    0        14,157        0        14,157   

Tennessee

    0        11,736        0        11,736   

Texas

    0        51,923        0        51,923   

Utah

    0        8,102        0        8,102   

Virginia

    0        3,231        0        3,231   

Washington

    0        15,704        0        15,704   

West Virginia

    0        1,024        0        1,024   

Wisconsin

    0        583        0        583   

Short-Term Instruments

       

Short-Term Notes

    0        1,200        0        1,200   

U.S. Treasury Bills

    0        800        0        800   

Total Investments

  $ 0      $   535,812      $ 0      $   535,812   
 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.

 

34   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

Schedule of Investments PIMCO Municipal Income Fund II

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 154.1%   
MUNICIPAL BONDS & NOTES 151.4%   
ALABAMA 5.5%   

Alabama Docks Department State Revenue Bonds, Series 2010

   

6.000% due 10/01/2040

  $     2,000      $     2,325   

Jefferson County, Alabama Sewer Revenue Bonds, Series 2013

   

0.000% due 10/01/2050 (b)

      21,000          14,782   

6.500% due 10/01/2053

      21,000          24,583   
       

 

 

 
          41,690   
       

 

 

 
ARIZONA 12.8%   

Arizona Health Facilities Authority Revenue Bonds, Series 2008

   

5.000% due 01/01/2035

      3,500          3,707   

5.500% due 01/01/2038

      2,860          3,066   

Industrial Development Authority of the County, Arizona of Pima Revenue Bonds, Series 2008

   

5.000% due 09/01/2039

      29,700          31,529   

Industrial Development Authority of the County, Arizona of Pima Revenue Bonds, Series 2010

   

5.250% due 10/01/2040

      1,500          1,646   

Pinal County, Arizona Electric District No. 3 Revenue Bonds, Series 2011

   

5.250% due 07/01/2036

      1,750          1,975   

5.250% due 07/01/2041

      3,700          4,122   

Salt River Project Agricultural Improvement & Power District, Arizona Revenue Bonds, Series 2009

   

5.000% due 01/01/2039 (c)

      10,000          10,954   

Salt Verde Financial Corp., Arizona Revenue Bonds, Series 2007

   

5.000% due 12/01/2032

      12,430          14,498   

5.000% due 12/01/2037

      22,400            25,576   
       

 

 

 
          97,073   
       

 

 

 
CALIFORNIA 19.4%   

Bay Area Toll Authority, California Revenue Bonds, Series 2008

   

5.000% due 04/01/2034

      1,430          1,561   

Bay Area Toll Authority, California Revenue Bonds, Series 2010

   

5.000% due 10/01/2029

      6,000          6,868   

Bay Area Toll Authority, California Revenue Bonds, Series 2013

   

5.250% due 04/01/2048

      5,000          5,675   

Bay Area Toll Authority, California Revenue Bonds, Series 2014

   

5.000% due 10/01/2054

      4,000          4,512   

California Health Facilities Financing Authority Revenue Bonds, (IBC/NPFGC Insured), Series 2007

   

5.000% due 11/15/2042

      6,300          6,499   

California Health Facilities Financing Authority Revenue Bonds, Series 2010

   

5.000% due 11/15/2036

      1,500          1,682   

9.539% due 11/15/2036 (d)

      5,000          6,227   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

6.000% due 08/15/2042

      3,000          3,584   

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

      2,760          3,469   

California State General Obligation Bonds, Series 2007

  

5.000% due 11/01/2032

      2,925          3,141   

5.000% due 06/01/2037

      1,590          1,676   

California State General Obligation Bonds, Series 2008

  

5.125% due 08/01/2036

      5,200          5,705   

5.250% due 03/01/2038

      2,500          2,713   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

California State General Obligation Bonds, Series 2009

  

6.000% due 04/01/2038

  $     9,500      $     10,982   

California State General Obligation Bonds, Series 2010

  

5.250% due 11/01/2040

      5,945          6,948   

5.500% due 03/01/2040

      5,750          6,660   

California Statewide Communities Development Authority Revenue Bonds, (FHA Insured), Series 2009

   

6.625% due 08/01/2029

      4,890          5,839   

6.750% due 02/01/2038

      17,415            20,870   

California Statewide Communities Development Authority Revenue Bonds, Series 2007

   

5.750% due 11/01/2017

      1,345          1,412   

California Statewide Communities Development Authority Revenue Bonds, Series 2010

   

5.000% due 11/01/2040

      1,000          1,095   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

5.000% due 12/01/2041

      1,000          1,106   

6.000% due 08/15/2042

      5,690          6,798   

6.500% due 11/01/2021

      580          638   

Hayward Unified School District, California General Obligation Bonds, Series 2008

   

5.000% due 08/01/2033

      2,000          2,053   

Indian Wells Redevelopment Agency, California Tax Allocation Bonds, (AMBAC Insured), Series 2006

   

4.750% due 09/01/2034

      1,500          1,533   

Los Angeles Community College District, California General Obligation Bonds, (NPFGC Insured), Series 2007

    

5.000% due 08/01/2032

      2,000          2,134   

Los Angeles Department of Water & Power, California Revenue Bonds, (AMBAC Insured), Series 2007

   

5.000% due 07/01/2039

      4,000          4,224   

M-S-R Energy Authority, California Revenue Bonds, Series 2009

   

6.500% due 11/01/2039

      1,750          2,459   

Montebello Unified School District, California General Obligation Bonds, (AGM Insured), Series 2008

   

5.000% due 08/01/2033

      2,000          2,207   

Newport Beach, California Revenue Bonds, Series 2011

  

5.875% due 12/01/2030

      3,000          3,746   

Peralta Community College District, California General Obligation Bonds, Series 2009

   

5.000% due 08/01/2039

      500          552   

San Diego County, California Water Authority Certificates of Participation Bonds, (AGM Insured), Series 2008

    

5.000% due 05/01/2038

      2,000          2,144   

San Marcos Unified School District, California General Obligation Bonds, Series 2011

   

5.000% due 08/01/2038

      3,300          3,659   

Santa Clara County, California Financing Authority Revenue Bonds, (AMBAC Insured), Series 2007

   

5.750% due 02/01/2041

      2,000          2,158   

Torrance, California Revenue Bonds, Series 2010

  

5.000% due 09/01/2040

      4,725          5,158   
       

 

 

 
            147,687   
       

 

 

 
COLORADO 2.2%   

Aurora, Colorado Revenue Bonds, Series 2010

  

5.000% due 12/01/2040

      5,800          6,270   

Colorado Health Facilities Authority Revenue Bonds, Series 2007

   

5.900% due 08/01/2037

      980          1,010   

Colorado Health Facilities Authority Revenue Bonds, Series 2010

   

5.000% due 01/01/2040

      6,045          6,574   

Denver Health & Hospital Authority, Colorado Revenue Bonds, Series 2010

   

5.625% due 12/01/2040

      1,000          1,093   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Public Authority for Colorado Energy Revenue Bonds, Series 2008

   

6.500% due 11/15/2038

  $     1,430      $     1,928   
       

 

 

 
          16,875   
       

 

 

 
CONNECTICUT 0.3%   

Connecticut State Health & Educational Facility Authority Revenue Bonds, Series 2011

   

5.000% due 07/01/2041

      1,000          1,091   

Harbor Point Infrastructure Improvement District, Connecticut Tax Allocation Bonds, Series 2010

   

7.875% due 04/01/2039

      1,250          1,451   
       

 

 

 
          2,542   
       

 

 

 
FLORIDA 5.9%   

Brevard County, Florida Health Facilities Authority Revenue Bonds, Series 2009

   

7.000% due 04/01/2039

      1,000          1,185   

Broward County, Florida Airport System Revenue Bonds, Series 2009

   

5.375% due 10/01/2029

      600          681   

Broward County, Florida Airport System Revenue Bonds, Series 2012

   

5.000% due 10/01/2042

      8,000          8,892   

Broward County, Florida Water & Sewer Utility Revenue Bonds, Series 2009

   

5.250% due 10/01/2034 (c)

      8,500          9,482   

Clearwater, Florida Water & Sewer Revenue Bonds, Series 2009

   

5.250% due 12/01/2039

      1,000          1,131   

Florida Development Finance Corp. Revenue Notes, Series 2011

   

6.500% due 06/15/2021

      280          307   

Florida State General Obligation Bonds, Series 2009

  

5.000% due 06/01/2038 (c)

      7,900          8,569   

Highlands County, Florida Health Facilities Authority Revenue Bonds, Series 2008

   

5.625% due 11/15/2037

      3,000          3,411   

Orlando-Orange County, Florida Expressway Authority Revenue Bonds, Series 2010

   

5.000% due 07/01/2040

      10,000          10,983   

Sarasota County, Florida Health Facilities Authority Revenue Bonds, Series 2007

   

5.750% due 07/01/2037

      500          504   
       

 

 

 
            45,145   
       

 

 

 
GEORGIA 4.0%   

Atlanta Department of Aviation, Georgia Revenue Bonds, Series 2010

   

5.000% due 01/01/2040

      1,500          1,644   

Atlanta Development Authority, Georgia Revenue Bonds, Series 2015

   

5.000% due 07/01/2044

      3,895          4,327   

Medical Center Hospital Authority, Georgia Revenue Bonds, Series 2007

   

5.250% due 07/01/2037

      2,775          2,793   

Municipal Electric Authority of Georgia Revenue Bonds, Series 2015

   

5.000% due 07/01/2060

      19,680          21,276   
       

 

 

 
          30,040   
       

 

 

 
ILLINOIS 12.3%   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2035

      10,000            10,551   

5.500% due 01/01/2042

      1,250          1,301   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.375% due 01/01/2029

      15,100          16,102   

5.500% due 01/01/2034

      5,200          5,506   
 

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   35


Table of Contents

Schedule of Investments PIMCO Municipal Income Fund II (Cont.)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Chicago, Illinois Motor Fuel Tax Revenue Bonds, (AGC Insured), Series 2008

   

5.000% due 01/01/2038

  $     1,250      $     1,279   

Chicago, Illinois Revenue Bonds, Series 2002

  

5.000% due 01/01/2029

      2,000          2,158   

Chicago, Illinois Special Assessment Bonds, Series 2003

  

6.625% due 12/01/2022

      2,108          2,112   

6.750% due 12/01/2032

      5,388          5,397   

Hillside Village, Illinois Tax Allocation Bonds, Series 2008

   

6.550% due 01/01/2020

      2,570          2,734   

7.000% due 01/01/2028

      2,900          3,112   

Illinois Finance Authority Revenue Bonds, Series 2007

  

5.750% due 05/15/2031

      2,500          2,634   

6.000% due 03/01/2037 ^

      250          63   

Illinois Finance Authority Revenue Bonds, Series 2009

  

5.500% due 07/01/2037 (c)

      5,000          5,543   

7.125% due 11/15/2037

      700          839   

Illinois Finance Authority Revenue Bonds, Series 2010

  

6.000% due 05/01/2028

      2,000          2,296   

Illinois Sports Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2001

   

5.500% due 06/15/2030

      26,225            26,554   

Illinois State Toll Highway Authority Revenue Bonds, Series 2015

   

5.000% due 01/01/2033

      3,000          3,511   

Metropolitan Pier & Exposition Authority, Illinois Revenue Bonds, Series 2015

   

5.000% due 06/15/2052

      2,000          2,096   
       

 

 

 
            93,788   
       

 

 

 
INDIANA 2.6%   

Indiana Finance Authority Revenue Bonds, Series 2009

  

6.000% due 08/01/2039

      1,500          1,702   

Indiana Municipal Power Agency Revenue Bonds, Series 2016

   

5.000% due 01/01/2042 (a)

      13,330          15,322   

Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2007

   

5.800% due 09/01/2047

      990          1,020   

Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2011

   

7.500% due 09/01/2022

      1,720          2,016   
       

 

 

 
          20,060   
       

 

 

 
IOWA 3.7%   

Iowa Finance Authority Revenue Bonds, Series 2007

  

6.750% due 11/15/2042

      4,500          4,995   

Iowa Finance Authority Revenue Bonds, Series 2013

  

5.250% due 12/01/2025

      6,000          6,533   

Iowa Finance Authority Revenue Bonds, Series 2014

  

2.000% due 05/15/2056 ^

      144          1   

2.700% due 11/15/2046 ^

      769          640   

Iowa Finance Authority Revenue Notes, Series 2013

  

5.500% due 12/01/2022

      5,000          5,269   

Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005

   

5.600% due 06/01/2034

      10,350          10,351   
       

 

 

 
          27,789   
       

 

 

 
KANSAS 0.2%   

Kansas Development Finance Authority Revenue Bonds, Series 2009

   

5.750% due 11/15/2038

      500          572   

Manhattan, Kansas Revenue Bonds, Series 2007

  

5.000% due 05/15/2036

      850          852   
       

 

 

 
          1,424   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
KENTUCKY 0.2%   

Kentucky Economic Development Finance Authority Revenue Bonds, Series 2010

   

6.375% due 06/01/2040

  $     1,000      $     1,144   
       

 

 

 
LOUISIANA 1.1%   

Louisiana Local Government Environmental Facilities & Community Development Authority Revenue Bonds, Series 2010

    

5.875% due 10/01/2040

      750          872   

6.000% due 10/01/2044

      1,000          1,166   

6.500% due 11/01/2035

      450          533   

Louisiana Public Facilities Authority Revenue Bonds, Series 2007

   

5.500% due 05/15/2047

      3,300          3,452   

Louisiana Public Facilities Authority Revenue Bonds, Series 2011

   

6.500% due 05/15/2037

      2,000          2,386   
       

 

 

 
          8,409   
       

 

 

 
MARYLAND 1.1%   

Maryland Health & Higher Educational Facilities Authority Revenue Bonds, Series 2008

   

6.000% due 01/01/2043

      4,050          4,451   

Maryland Health & Higher Educational Facilities Authority Revenue Bonds, Series 2010

   

6.250% due 01/01/2041

      1,400          1,551   

Maryland Health & Higher Educational Facilities Authority Revenue Bonds, Series 2011

   

5.000% due 08/15/2041

      2,380            2,597   
       

 

 

 
          8,599   
       

 

 

 
MASSACHUSETTS 1.3%   

Massachusetts Development Finance Agency Revenue Bonds, Series 2007

   

6.750% due 10/15/2037

      4,610          4,740   

Massachusetts Development Finance Agency Revenue Bonds, Series 2010

   

7.000% due 07/01/2042

      1,000          1,108   

7.625% due 10/15/2037

      555          608   

Massachusetts State College Building Authority Revenue Bonds, Series 2009

   

5.500% due 05/01/2039

      2,900          3,294   
       

 

 

 
            9,750   
       

 

 

 
MICHIGAN 0.7%   

Detroit, Michigan General Obligation Bonds, Series 2010

   

5.250% due 11/01/2035

      1,000          1,056   

Michigan Public Educational Facilities Authority Revenue Bonds, Series 2007

   

6.500% due 09/01/2037 ^

      800          480   

Royal Oak Hospital Finance Authority, Michigan Revenue Bonds, Series 2009

   

8.250% due 09/01/2039

      3,000          3,567   
       

 

 

 
          5,103   
       

 

 

 
MINNESOTA 0.4%   

North Oaks, Minnesota Revenue Bonds, Series 2007

  

6.000% due 10/01/2033

      2,640          2,763   

St Louis Park, Minnesota Revenue Bonds, Series 2009

  

5.750% due 07/01/2039

      400          462   
       

 

 

 
          3,225   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
MISSISSIPPI 0.0%   

Mississippi Development Bank Revenue Bonds, (AMBAC Insured), Series 1999

   

5.000% due 07/01/2024

  $     40      $     41   
       

 

 

 
MISSOURI 1.5%   

Lee’s Summit, Missouri Tax Allocation Bonds, Series 2011

   

5.625% due 10/01/2023

      405          406   

Missouri State Health & Educational Facilities Authority Revenue Bonds, Series 2013

   

5.000% due 11/15/2044

      10,000          11,030   
       

 

 

 
          11,436   
       

 

 

 
NEVADA 1.3%   

Clark County, Nevada General Obligation Bonds, Series 2006

   

4.750% due 11/01/2035 (c)

      10,000          10,143   
       

 

 

 
          10,143   
       

 

 

 
NEW HAMPSHIRE 0.3%   

New Hampshire Business Finance Authority Revenue Bonds, Series 2009

   

6.125% due 10/01/2039

      2,000          2,215   
       

 

 

 
NEW JERSEY 7.2%   

Burlington County, New Jersey Bridge Commission Revenue Bonds, Series 2007

   

5.625% due 01/01/2038

      950          968   

New Jersey Economic Development Authority Revenue Bonds, Series 1998

   

6.000% due 05/15/2028

      525          301   

New Jersey Economic Development Authority Revenue Bonds, Series 2010

   

5.875% due 06/01/2042

      2,000          2,222   

New Jersey Economic Development Authority Special Assessment Bonds, Series 2002

   

5.750% due 10/01/2021

      4,000          4,391   

New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2007

   

5.750% due 07/01/2037

      1,500          1,553   

New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2011

   

6.000% due 07/01/2037

      1,500          1,783   

New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2013

   

5.500% due 07/01/2043

      4,000          4,602   

New Jersey State Turnpike Authority Revenue Bonds, Series 2009

   

5.250% due 01/01/2040

      2,000          2,221   

New Jersey Transportation Trust Fund Authority Revenue Bonds, Series 2015

   

5.250% due 06/15/2041

      750          807   

Tobacco Settlement Financing Corp., New Jersey Revenue Bonds, Series 2007

   

4.750% due 06/01/2034

      14,255          11,692   

5.000% due 06/01/2041

      29,475            24,487   
       

 

 

 
            55,027   
       

 

 

 
NEW MEXICO 0.3%   

Farmington, New Mexico Revenue Bonds, Series 2010

  

5.900% due 06/01/2040

      2,000          2,209   
       

 

 

 
NEW YORK 20.2%   

Hudson Yards Infrastructure Corp., New York Revenue Bonds, Series 2011

   

5.250% due 02/15/2047

      33,500          37,618   
 

 

36   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2011

   

5.000% due 11/15/2036

  $     3,880      $     4,401   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2015

   

5.250% due 11/15/2029

      5,500          6,771   

Nassau County, New York Industrial Development Agency Revenue Bonds, Series 2014

   

2.000% due 01/01/2049 ^

      298          36   

6.700% due 01/01/2049

      825          818   

New York City, New York Water & Sewer System Revenue Bonds, Series 2007

   

4.750% due 06/15/2035 (c)

      4,000          4,190   

New York City, New York Water & Sewer System Revenue Bonds, Series 2009

   

5.000% due 06/15/2039

      2,000          2,242   

New York Liberty Development Corp. Revenue Bonds, Series 2005

   

5.250% due 10/01/2035 (c)

      11,505            13,806   

New York Liberty Development Corp. Revenue Bonds, Series 2010

   

5.125% due 01/15/2044

      1,000          1,107   

5.625% due 07/15/2047

      2,500          2,822   

6.375% due 07/15/2049

      1,250          1,412   

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.000% due 12/15/2041

      10,000          11,278   

5.750% due 11/15/2051

      54,000          62,899   

New York Liberty Development Corp. Revenue Bonds, Series 2014

   

5.000% due 11/15/2044

      2,000          2,066   

New York State Dormitory Authority Revenue Bonds, Series 2010

   

5.500% due 07/01/2040

      1,750          2,008   
       

 

 

 
            153,474   
       

 

 

 
NORTH CAROLINA 0.1%   

North Carolina Medical Care Commission Revenue Bonds, Series 2006

   

5.100% due 10/01/2030

      550          560   
       

 

 

 
NORTH DAKOTA 0.5%   

Stark County, North Dakota Revenue Bonds, Series 2007

   

6.750% due 01/01/2033

      3,710          3,837   
       

 

 

 
OHIO 8.5%   

Buckeye Tobacco Settlement Financing Authority, Ohio Revenue Bonds, Series 2007

   

5.125% due 06/01/2024

      6,000          5,400   

5.875% due 06/01/2047

      23,100          19,996   

6.500% due 06/01/2047

      19,400          18,011   

Hamilton County, Ohio Sales Tax Revenue Bonds, Series 2011

   

5.000% due 12/01/2030

      3,900          4,337   

Ohio State Revenue Bonds, Series 2009

  

5.500% due 01/01/2039

      3,000          3,380   

Ohio State Turnpike Commission Revenue Bonds, Series 2013

   

5.000% due 02/15/2048

      10,000          11,089   

Ohio State Water Development Authority Revenue Bonds, Series 2005

   

4.000% due 01/01/2034

      2,500          2,616   
       

 

 

 
          64,829   
       

 

 

 
OREGON 0.3%   

Clackamas County, Oregon Hospital Facility Authority Revenue Bonds, Series 2009

   

5.500% due 07/15/2035

      1,000          1,126   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Oregon Department of Administrative Services State Certificates of Participation Bonds, Series 2009

   

5.250% due 05/01/2039

  $     1,155      $     1,275   
       

 

 

 
          2,401   
       

 

 

 
PENNSYLVANIA 9.9%   

Berks County, Pennsylvania Municipal Authority Revenue Bonds, Series 2012

   

5.000% due 11/01/2044

      7,500          8,141   

Capital Region Water, Pennsylvania Revenue Bonds, Series 2007

   

6.000% due 09/01/2036 ^

      3,190          2,416   

Cumberland County, Pennsylvania Municipal Authority Revenue Bonds, Series 2008

   

5.625% due 07/01/2028

      1,000          1,067   

6.000% due 07/01/2035

      670          715   

Luzerne County, Pennsylvania Industrial Development Authority Revenue Bonds, Series 2009

   

5.500% due 12/01/2039

      500          564   

Montgomery County Industrial Development Authority, Pennsylvania Revenue Bonds, (FHA Insured), Series 2010

    

5.375% due 08/01/2038

      8,465          9,986   

Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series 2010

   

5.000% due 03/01/2040

      400          435   

6.000% due 07/01/2043

      850          891   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2013

   

5.000% due 12/01/2043

      10,000          11,196   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2015

   

5.000% due 12/01/2040

      4,000          4,527   

Philadelphia Authority for Industrial Development, Pennsylvania Revenue Bonds, Series 2015

   

5.000% due 04/01/2045

      5,500          6,174   

Philadelphia Hospitals & Higher Education Facilities Authority, Pennsylvania Revenue Bonds, Series 2012

   

5.625% due 07/01/2036

      1,000          1,086   

5.625% due 07/01/2042

      7,000          7,537   

Philadelphia, Pennsylvania General Obligation Bonds, (AGM Insured), Series 2008

   

5.250% due 12/15/2032

      17,000          18,576   

Philadelphia, Pennsylvania Water & Wastewater Revenue Bonds, Series 2009

   

5.250% due 01/01/2036

      500          544   

Westmoreland County Industrial Development Authority, Pennsylvania Revenue Bonds, Series 2010

   

5.125% due 07/01/2030

      1,000          1,123   
       

 

 

 
            74,978   
       

 

 

 
RHODE ISLAND 2.9%   

Tobacco Settlement Financing Corp., Rhode Island Revenue Bonds, Series 2015

   

5.000% due 06/01/2050

      21,450          21,819   
       

 

 

 
SOUTH CAROLINA 1.6%   

Greenwood County, South Carolina Revenue Bonds, Series 2009

   

5.375% due 10/01/2039

      1,000          1,113   

South Carolina State Public Service Authority Revenue Bonds, Series 2013

   

5.500% due 12/01/2053

      10,000            11,303   
       

 

 

 
          12,416   
       

 

 

 
TENNESSEE 1.8%   

Claiborne County, Tennessee Industrial Development Board Revenue Bonds, Series 2009

   

6.625% due 10/01/2039

      1,750          1,951   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Johnson City Health & Educational Facilities Board, Tennessee Revenue Bonds, Series 2010

   

6.000% due 07/01/2038

  $     1,000      $     1,130   

Sullivan County, Tennessee Health Educational & Housing Facilities Board Revenue Bonds, Series 2006

   

5.250% due 09/01/2036

      500          512   

Tennessee Energy Acquisition Corp. Revenue Bonds, Series 2006

   

5.000% due 02/01/2023

      3,000          3,487   

5.000% due 02/01/2027

      6,000          6,976   
       

 

 

 
          14,056   
       

 

 

 
TEXAS 18.0%   

Austin Trust, Texas General Obligation Bonds, Series 2007

   

4.750% due 04/01/2036 (c)

      17,500          17,685   

Dallas, Texas Revenue Bonds, (AGC Insured), Series 2009

   

5.250% due 08/15/2038

      2,500          2,771   

Grand Parkway Transportation Corp., Texas Revenue Bonds, Series 2013

   

5.000% due 04/01/2053

      21,000          23,192   

Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2009

   

5.250% due 10/01/2029

      3,750          4,293   

5.500% due 10/01/2039

      12,700          14,366   

HFDC of Central Texas, Inc. Revenue Bonds, Series 2006

   

5.500% due 02/15/2037

      700          738   

North Harris County, Texas Regional Water Authority Revenue Bonds, Series 2008

   

5.250% due 12/15/2033

      10,300          11,351   

5.500% due 12/15/2038

      10,300          11,406   

North Texas Tollway Authority Revenue Bonds, Series 2008

   

5.625% due 01/01/2033

      5,000          5,431   

5.750% due 01/01/2033

      1,200          1,313   

North Texas Tollway Authority Revenue Bonds, Series 2011

   

5.000% due 01/01/2038

      5,750          6,207   

5.500% due 09/01/2041

      1,300          1,522   

San Juan Higher Education Finance Authority, Texas Revenue Bonds, Series 2010

   

6.700% due 08/15/2040

      250          290   

Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2009

   

6.250% due 11/15/2029

      3,000          3,428   

Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2008

   

6.250% due 12/15/2026

      19,380            23,911   

Texas State General Obligation Bonds, Series 2008

  

4.750% due 04/01/2037

      975          1,058   

Texas State General Obligation Bonds, Series 2010

  

9.023% due 04/01/2037 (d)

      4,880          5,560   

Texas State Public Finance Authority Charter School Finance Corp. Revenue Bonds, Series 2007

   

5.875% due 12/01/2036

      1,000          1,065   

Wise County, Texas Revenue Bonds, Series 2011

  

8.000% due 08/15/2034

      1,000          1,161   
       

 

 

 
            136,748   
       

 

 

 
VIRGINIA 0.3%   

Fairfax County, Virginia Industrial Development Authority Revenue Bonds, Series 2009

   

5.500% due 05/15/2035

      1,000          1,131   
 

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   37


Table of Contents

Schedule of Investments PIMCO Municipal Income Fund II (Cont.)

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

James City County, Virginia Economic Development Authority Revenue Bonds, Series 2013

   

2.000% due 10/01/2048 ^

  $     412      $     21   

6.000% due 06/01/2043

      1,273          1,201   
       

 

 

 
          2,353   
       

 

 

 
WASHINGTON 2.2%   

Washington Health Care Facilities Authority Revenue Bonds, (AGC Insured), Series 2008

   

6.000% due 08/15/2039

      1,300          1,521   

Washington Health Care Facilities Authority Revenue Bonds, Series 2007

   

6.125% due 08/15/2037

      13,000            13,840   

Washington Health Care Facilities Authority Revenue Bonds, Series 2009

   

7.375% due 03/01/2038

      1,000          1,193   
       

 

 

 
          16,554   
       

 

 

 
WEST VIRGINIA 0.6%   

West Virginia Economic Development Authority Revenue Bonds, Series 2010

   

5.375% due 12/01/2038

      2,000          2,223   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

West Virginia Hospital Finance Authority Revenue Bonds, Series 2011

   

9.125% due 10/01/2041

  $     1,910      $     2,048   
       

 

 

 
          4,271   
       

 

 

 
WISCONSIN 0.2%   

Wisconsin Health & Educational Facilities Authority Revenue Bonds, Series 2009

   

6.625% due 02/15/2039

      1,000          1,166   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $1,035,446)

      1,150,876   
       

 

 

 
SHORT-TERM INSTRUMENTS 2.7%   
       
SHORT-TERM NOTES 2.7%   

Federal Home Loan Bank

  

0.142% due 01/22/2016

      100          100   

0.157% due 01/26/2016

      2,300          2,300   

0.162% due 01/29/2016

      3,100          3,099   

0.167% due 01/14/2016

      100          100   

0.254% due 01/27/2016

      1,500          1,500   

0.314% due 01/28/2016

      2,400          2,400   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

0.330% due 02/26/2016

  $     9,100      $     9,097   

0.385% due 02/01/2016

      400          400   

Freddie Mac

  

0.178% due 01/25/2016

      1,500          1,500   
       

 

 

 
          20,496   
       

 

 

 
Total Short-Term Instruments
(Cost $20,494)
          20,496   
       

 

 

 
Total Investments in Securities
(Cost $1,055,940)
          1,171,372   
       
Total Investments 154.1%
(Cost $1,055,940)
      $       1,171,372   

Preferred Shares (48.3%)

    (367,000
Other Assets and Liabilities, net (5.8%)     (44,160
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     760,212   
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) When-issued security.
(b) Security becomes interest bearing at a future date.
(c) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(d) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on December 31, 2015.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

  

   

Municipal Bonds & Notes

       

Alabama

  $     0      $ 41,690      $ 0      $ 41,690   

Arizona

    0        97,073        0        97,073   

California

    0            147,687            0            147,687   

Colorado

    0        16,875        0        16,875   

Connecticut

    0        2,542        0        2,542   

Florida

    0        45,145        0        45,145   

Georgia

    0        30,040        0        30,040   

Illinois

    0        93,788        0        93,788   

Indiana

    0        20,060        0        20,060   

Iowa

    0        27,789        0        27,789   

Kansas

    0        1,424        0        1,424   

Kentucky

    0        1,144        0        1,144   

Louisiana

    0        8,409        0        8,409   

Maryland

    0        8,599        0        8,599   

Massachusetts

    0        9,750        0        9,750   

Michigan

    0        5,103        0        5,103   

Minnesota

    0        3,225        0        3,225   

Mississippi

    0        41        0        41   

Missouri

    0        11,436        0        11,436   

Nevada

    0        10,143        0        10,143   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

New Hampshire

  $     0      $ 2,215      $     0      $ 2,215   

New Jersey

    0        55,027        0        55,027   

New Mexico

    0        2,209        0        2,209   

New York

    0            153,474        0            153,474   

North Carolina

    0        560        0        560   

North Dakota

    0        3,837        0        3,837   

Ohio

    0        64,829        0        64,829   

Oregon

    0        2,401        0        2,401   

Pennsylvania

    0        74,978        0        74,978   

Rhode Island

    0        21,819        0        21,819   

South Carolina

    0        12,416        0        12,416   

Tennessee

    0        14,056        0        14,056   

Texas

    0        136,748        0        136,748   

Virginia

    0        2,353        0        2,353   

Washington

    0        16,554        0        16,554   

West Virginia

    0        4,271        0        4,271   

Wisconsin

    0        1,166        0        1,166   

Short-Term Instruments

       

Short-Term Notes

    0        20,496        0        20,496   

Total Investments

  $     0      $     1,171,372      $     0      $     1,171,372   
 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.

 

38   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

Schedule of Investments PIMCO Municipal Income Fund III

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 160.3%   
MUNICIPAL BONDS & NOTES 157.0%   
ALABAMA 15.6%   

Alabama Docks Department State Revenue Bonds, Series 2010

   

6.000% due 10/01/2040

  $     1,000      $     1,163   

Birmingham, Alabama Special Care Facilities Financing Authority Revenue Bonds, (AGC Insured), Series 2009

   

6.000% due 06/01/2039

      500          577   

Jefferson County, Alabama Sewer Revenue Bonds, Series 2013

   

0.000% due 10/01/2050 (c)

      53,000            37,306   

6.500% due 10/01/2053

      15,000          17,559   
       

 

 

 
          56,605   
       

 

 

 
ARIZONA 10.4%   

Arizona Health Facilities Authority Revenue Bonds, Series 2007

   

5.200% due 10/01/2037

      2,250          2,243   

Arizona Health Facilities Authority Revenue Bonds, Series 2008

   

5.000% due 01/01/2035

      1,250          1,324   

5.500% due 01/01/2038

      900          965   

Industrial Development Authority of the County, Arizona of Pima Revenue Bonds, Series 2008

   

5.000% due 09/01/2039 (d)

      13,000          13,800   

Industrial Development Authority of the County, Arizona of Pima Revenue Bonds, Series 2010

   

5.250% due 10/01/2040

      750          823   

Salt River Project Agricultural Improvement & Power District, Arizona Revenue Bonds, Series 2009

   

5.000% due 01/01/2039 (d)

      5,000          5,477   

Salt Verde Financial Corp., Arizona Revenue Bonds, Series 2007

   

5.000% due 12/01/2037

      11,600          13,245   
       

 

 

 
          37,877   
       

 

 

 
CALIFORNIA 26.4%   

Bay Area Toll Authority, California Revenue Bonds, Series 2008

   

5.000% due 04/01/2034

      500          546   

Bay Area Toll Authority, California Revenue Bonds, Series 2010

   

5.000% due 10/01/2029

      1,500          1,717   

5.000% due 10/01/2042

      3,260          3,603   

Bay Area Toll Authority, California Revenue Bonds, Series 2013

   

5.250% due 04/01/2053

      12,000          13,585   

California Health Facilities Financing Authority Revenue Bonds, (IBC/NPFGC Insured), Series 2007

   

5.000% due 11/15/2042

      600          619   

California Health Facilities Financing Authority Revenue Bonds, Series 2009

   

6.000% due 07/01/2039

      2,500          2,866   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

6.000% due 08/15/2042

      1,500          1,792   

California Health Facilities Financing Authority Revenue Bonds, Series 2013

   

5.000% due 08/15/2052

      2,015          2,235   

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

      1,385          1,741   

California State General Obligation Bonds, Series 2007

  

5.000% due 06/01/2037

      5,000          5,271   

5.000% due 12/01/2037

      5,300          5,688   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

California State General Obligation Bonds, Series 2008

  

5.250% due 03/01/2038

  $     1,350      $     1,465   

California State General Obligation Bonds, Series 2009

  

5.750% due 04/01/2031

      2,500          2,874   

6.000% due 04/01/2038

      5,000          5,780   

California State General Obligation Bonds, Series 2010

  

5.250% due 11/01/2040

      1,300          1,519   

5.500% due 03/01/2040

      3,200          3,706   

California Statewide Communities Development Authority Revenue Bonds, (FHA Insured), Series 2009

   

6.625% due 08/01/2029

      2,580          3,081   

6.750% due 02/01/2038

      9,200          11,025   

California Statewide Communities Development Authority Revenue Bonds, Series 2007

   

5.750% due 11/01/2017

      880          924   

California Statewide Communities Development Authority Revenue Bonds, Series 2010

   

6.250% due 10/01/2039

      1,000          1,125   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

5.000% due 12/01/2041

      3,000          3,317   

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007

   

5.125% due 06/01/2047

      3,600          3,125   

5.750% due 06/01/2047

      1,120          1,052   

Indian Wells Redevelopment Agency, California Tax Allocation Bonds, (AMBAC Insured), Series 2006

   

4.750% due 09/01/2034

      3,350          3,423   

Los Angeles Community College District, California General Obligation Bonds, Series 2009

   

14.018% due 08/01/2033 (e)

      1,675          2,177   

M-S-R Energy Authority, California Revenue Bonds, Series 2009

   

6.500% due 11/01/2039

      2,000          2,810   

Palomar Health, California Certificates of Participation Bonds, Series 2009

   

6.750% due 11/01/2039

      1,250          1,384   

San Marcos Unified School District, California General Obligation Bonds, Series 2011

   

5.000% due 08/01/2038

      1,600          1,774   

Tobacco Securitization Authority of Southern California Revenue Bonds, Series 2006

   

5.000% due 06/01/2037

      6,200          5,776   
       

 

 

 
          96,000   
       

 

 

 
COLORADO 0.9%   

Colorado Health Facilities Authority Revenue Bonds, Series 2010

   

5.000% due 01/01/2040

      2,000          2,175   

Public Authority for Colorado Energy Revenue Bonds, Series 2008

   

6.500% due 11/15/2038

      500          674   

Regional Transportation District, Colorado Revenue Bonds, Series 2010

   

6.000% due 01/15/2034

      500          563   
       

 

 

 
          3,412   
       

 

 

 
CONNECTICUT 0.4%   

Harbor Point Infrastructure Improvement District, Connecticut Tax Allocation Bonds, Series 2010

   

7.875% due 04/01/2039

      1,250          1,451   
       

 

 

 
DISTRICT OF COLUMBIA 3.0%   

District of Columbia Water & Sewer Authority Revenue Bonds, Series 2009

   

5.500% due 10/01/2039 (d)

      10,000            11,065   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
FLORIDA 6.5%   

Brevard County, Florida Health Facilities Authority Revenue Bonds, Series 2005

   

5.000% due 04/01/2034

  $     3,480      $     3,519   

Broward County, Florida Airport System Revenue Bonds, Series 2009

   

5.375% due 10/01/2029

      500          567   

Broward County, Florida Water & Sewer Utility Revenue Bonds, Series 2009

   

5.250% due 10/01/2034 (d)

      4,500          5,020   

Cape Coral, Florida Water & Sewer Revenue Bonds, (AGM Insured), Series 2011

   

5.000% due 10/01/2041

      3,000          3,346   

Florida Development Finance Corp. Revenue Notes, Series 2011

   

6.500% due 06/15/2021

      285          313   

Florida State General Obligation Bonds, Series 2009

  

5.000% due 06/01/2038 (d)

      4,200          4,556   

Greater Orlando Aviation Authority, Florida Revenue Bonds, Series 2010

   

9.539% due 10/01/2039 (e)

      5,000          6,231   
       

 

 

 
          23,552   
       

 

 

 
GEORGIA 3.5%   

Fulton County, Georgia Residential Care Facilities for the Elderly Authority Revenue Bonds, Series 2006

   

5.125% due 07/01/2042

      1,750          1,754   

Medical Center Hospital Authority, Georgia Revenue Bonds, Series 2007

   

5.250% due 07/01/2037

      400          403   

Municipal Electric Authority of Georgia Revenue Bonds, Series 2015

   

5.000% due 07/01/2060

      10,000            10,735   
       

 

 

 
          12,892   
       

 

 

 
HAWAII 0.5%   

Hawaii Pacific Health Revenue Bonds, Series 2010

  

5.500% due 07/01/2040

      1,500          1,668   
       

 

 

 
ILLINOIS 8.2%   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2035

      2,400          2,532   

5.500% due 01/01/2042

      1,000          1,041   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.375% due 01/01/2029

      7,200          7,678   

5.500% due 01/01/2034

      2,500          2,647   

Chicago, Illinois Revenue Bonds, Series 2002

  

5.000% due 01/01/2027

      1,750          1,896   

Illinois Finance Authority Revenue Bonds, Series 2007

  

5.875% due 03/01/2027 ^

      1,000          250   

6.000% due 03/01/2037 ^

      625          156   

Illinois Finance Authority Revenue Bonds, Series 2009

  

5.500% due 07/01/2037 (d)

      5,000          5,543   

7.125% due 11/15/2037

      400          480   

Illinois Finance Authority Revenue Bonds, Series 2010

  

6.000% due 08/15/2038

      1,000          1,097   

Illinois State Toll Highway Authority Revenue Bonds, Series 2008

   

5.500% due 01/01/2033

      5,000          5,451   

Metropolitan Pier & Exposition Authority, Illinois Revenue Bonds, Series 2015

   

5.000% due 06/15/2052

      1,000          1,048   
       

 

 

 
          29,819   
       

 

 

 
 

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   39


Table of Contents

Schedule of Investments PIMCO Municipal Income Fund III (Cont.)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INDIANA 3.8%   

Indiana Municipal Power Agency Revenue Bonds, Series 2016

   

5.000% due 01/01/2042 (a)

  $     8,000      $     9,195   

Portage, Indiana Tax Allocation Bonds, Series 2006

  

5.000% due 07/15/2023

      1,000          1,024   

5.000% due 01/15/2027

      775          794   

Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2011

   

7.500% due 09/01/2022

      2,535          2,971   
       

 

 

 
            13,984   
       

 

 

 
IOWA 1.0%   

Iowa Finance Authority Revenue Bonds, Series 2013

  

5.250% due 12/01/2025

      3,000          3,267   

Iowa Finance Authority Revenue Bonds, Series 2014

  

2.000% due 05/15/2056 ^

      76          0   

2.700% due 11/15/2046 ^

      403          336   
       

 

 

 
          3,603   
       

 

 

 
KENTUCKY 0.6%   

Kentucky Economic Development Finance Authority Revenue Bonds, Series 2010

   

6.375% due 06/01/2040

      2,000          2,288   
       

 

 

 
LOUISIANA 2.1%   

Louisiana Local Government Environmental Facilities & Community Development Authority Revenue Bonds, Series 2010

    

5.875% due 10/01/2040

      1,500          1,744   

6.000% due 10/01/2044

      1,000          1,166   

6.500% due 11/01/2035

      400          474   

Louisiana Public Facilities Authority Revenue Bonds, Series 2007

   

5.500% due 05/15/2047

      1,700          1,778   

Louisiana Public Facilities Authority Revenue Bonds, Series 2011

   

6.500% due 05/15/2037

      2,000          2,386   
       

 

 

 
          7,548   
       

 

 

 
MARYLAND 0.8%   

Maryland Economic Development Corp. Revenue Bonds, Series 2010

   

5.750% due 06/01/2035

      1,000          1,095   

Maryland Health & Higher Educational Facilities Authority Revenue Bonds, Series 2010

   

6.250% due 01/01/2041

      700          776   

Maryland Health & Higher Educational Facilities Authority Revenue Bonds, Series 2011

   

6.000% due 07/01/2041

      1,000            1,179   
       

 

 

 
          3,050   
       

 

 

 
MASSACHUSETTS 2.1%   

Massachusetts Development Finance Agency Revenue Bonds, Series 2010

   

7.625% due 10/15/2037

      285          312   

Massachusetts Development Finance Agency Revenue Bonds, Series 2011

   

0.000% due 11/15/2056 (b)

      140          1   

6.250% due 11/15/2039

      529          507   

Massachusetts Housing Finance Agency Revenue Bonds, Series 2003

   

5.125% due 06/01/2043

      4,910          4,911   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Massachusetts State College Building Authority Revenue Bonds, Series 2009

   

5.500% due 05/01/2039

  $     1,600      $     1,818   
       

 

 

 
          7,549   
       

 

 

 
MICHIGAN 0.9%   

Detroit, Michigan General Obligation Bonds, Series 2010

   

5.250% due 11/01/2035

      1,500          1,584   

Royal Oak Hospital Finance Authority, Michigan Revenue Bonds, Series 2009

   

8.250% due 09/01/2039

      1,500          1,784   
       

 

 

 
          3,368   
       

 

 

 
MISSOURI 0.2%   

Jennings, Missouri Revenue Bonds, Series 2006

  

5.000% due 11/01/2023

      245          242   

Manchester, Missouri Tax Allocation Bonds, Series 2010

   

6.875% due 11/01/2039

      500          516   
       

 

 

 
          758   
       

 

 

 
NEW HAMPSHIRE 0.6%   

New Hampshire Business Finance Authority Revenue Bonds, Series 2009

   

6.125% due 10/01/2039

      2,000          2,215   
       

 

 

 

NEW JERSEY 5.9%

  

New Jersey Economic Development Authority Special Assessment Bonds, Series 2002

   

6.500% due 04/01/2028

      4,500          5,519   

New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2007

   

5.750% due 07/01/2037

      1,000          1,035   

New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2013

   

5.500% due 07/01/2043

      2,000          2,301   

New Jersey Transportation Trust Fund Authority Revenue Bonds, Series 2015

   

5.250% due 06/15/2041

      500          538   

Tobacco Settlement Financing Corp., New Jersey Revenue Bonds, Series 2007

   

4.750% due 06/01/2034

      1,600          1,312   

5.000% due 06/01/2041

      12,745            10,588   
       

 

 

 
          21,293   
       

 

 

 
NEW MEXICO 0.3%   

Farmington, New Mexico Revenue Bonds, Series 2010

  

5.900% due 06/01/2040

      1,000          1,104   
       

 

 

 
NEW YORK 16.1%   

Brooklyn Arena Local Development Corp., New York Revenue Bonds, Series 2009

   

6.250% due 07/15/2040

      9,800          11,179   

Hudson Yards Infrastructure Corp., New York Revenue Bonds, Series 2011

   

5.750% due 02/15/2047

      5,000          5,756   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2011

   

5.000% due 11/15/2036

      3,000          3,403   

Nassau County, New York Industrial Development Agency Revenue Bonds, Series 2014

   

2.000% due 01/01/2049 ^

      311          37   

6.700% due 01/01/2049

      863          855   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

New York City, New York Industrial Development Agency Revenue Bonds, (AGC Insured), Series 2009

   

7.000% due 03/01/2049

  $     10,450      $     12,160   

New York City, New York Water & Sewer System Revenue Bonds, Series 2007

   

4.750% due 06/15/2035 (d)

      4,000          4,191   

New York Liberty Development Corp. Revenue Bonds, Series 2007

   

5.500% due 10/01/2037

      1,700          2,139   

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.000% due 12/15/2041

      3,000          3,383   

5.000% due 11/15/2044

      11,000          12,293   

New York Liberty Development Corp. Revenue Bonds, Series 2014

   

5.000% due 11/15/2044

      3,000          3,100   
       

 

 

 
          58,496   
       

 

 

 
NORTH CAROLINA 1.9%   

New Hanover County, North Carolina Revenue Bonds, Series 2011

   

5.000% due 10/01/2028

      6,000          6,883   
       

 

 

 
OHIO 11.3%   

Allen County, Ohio Revenue Bonds, Series 2010

  

5.000% due 06/01/2038

      500          549   

Buckeye Tobacco Settlement Financing Authority, Ohio Revenue Bonds, Series 2007

   

5.125% due 06/01/2024

      1,000          900   

5.875% due 06/01/2047

      4,800          4,155   

6.500% due 06/01/2047

      30,350          28,177   

Hamilton County, Ohio Revenue Bonds, Series 2012

  

5.000% due 06/01/2042

      1,500          1,631   

Ohio State Turnpike Commission Revenue Bonds, Series 2013

   

5.000% due 02/15/2048

      5,000          5,544   
       

 

 

 
            40,956   
       

 

 

 
PENNSYLVANIA 7.4%   

Allegheny County, Pennsylvania Hospital Development Authority Revenue Bonds, Series 2009

   

5.625% due 08/15/2039

      1,000          1,125   

Berks County, Pennsylvania Municipal Authority Revenue Bonds, Series 2012

   

5.000% due 11/01/2044

      6,600          7,164   

Capital Region Water, Pennsylvania Revenue Bonds, Series 2007

   

6.000% due 09/01/2036 ^

      1,225          928   

Cumberland County, Pennsylvania Municipal Authority Revenue Bonds, Series 2008

   

5.625% due 07/01/2028

      1,000          1,067   

6.000% due 07/01/2035

      670          715   

Dauphin County, Pennsylvania General Authority Revenue Bonds, Series 2009

   

6.000% due 06/01/2036

      1,000          1,141   

Luzerne County, Pennsylvania Industrial Development Authority Revenue Bonds, Series 2009

   

5.500% due 12/01/2039

      100          113   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2009

   

5.125% due 12/01/2040

      3,000          3,266   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2013

   

5.000% due 12/01/2043

      5,000          5,598   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2015

   

5.000% due 12/01/2040

      3,000          3,395   
 

 

40   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Philadelphia Hospitals & Higher Education Facilities Authority, Pennsylvania Revenue Bonds, Series 2012

   

5.625% due 07/01/2042

  $     1,645      $     1,771   

Philadelphia, Pennsylvania Water & Wastewater Revenue Bonds, Series 2009

   

5.250% due 01/01/2036

      500          545   
       

 

 

 
          26,828   
       

 

 

 
SOUTH CAROLINA 6.7%   

Greenwood County, South Carolina Revenue Bonds, Series 2009

   

5.375% due 10/01/2039

      1,000          1,113   

South Carolina State Ports Authority Revenue Bonds, Series 2010

   

5.250% due 07/01/2040

      800          887   

South Carolina State Public Service Authority Revenue Bonds, Series 2013

   

5.125% due 12/01/2043

      5,000          5,608   

5.500% due 12/01/2053

      15,000            16,955   
       

 

 

 
          24,563   
       

 

 

 
TENNESSEE 0.7%   

Claiborne County, Tennessee Industrial Development Board Revenue Bonds, Series 2009

   

6.625% due 10/01/2039

      1,250          1,394   

Johnson City Health & Educational Facilities Board, Tennessee Revenue Bonds, Series 2010

   

6.000% due 07/01/2038

      1,000          1,130   
       

 

 

 
          2,524   
       

 

 

 
TEXAS 16.2%   

Dallas, Texas Revenue Bonds, (AGC Insured), Series 2009

   

5.250% due 08/15/2038

      1,300          1,441   

Grand Parkway Transportation Corp., Texas Revenue Bonds, Series 2013

   

5.000% due 04/01/2053

      4,500          4,970   

JPMorgan Chase Putters/Drivers Trust, Texas General Obligation Notes, Series 2009

   

9.530% due 02/01/2017 (e)

      6,500          7,934   

North Harris County, Texas Regional Water Authority Revenue Bonds, Series 2008

   

5.250% due 12/15/2033

      5,500          6,061   

5.500% due 12/15/2038

      5,500          6,091   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

North Texas Tollway Authority Revenue Bonds, Series 2008

   

5.625% due 01/01/2033

  $     10,800      $       11,699   

5.750% due 01/01/2033

      700          766   

North Texas Tollway Authority Revenue Bonds, Series 2011

   

5.000% due 01/01/2038

      3,000          3,238   

5.500% due 09/01/2041

      600          702   

Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2009

   

6.250% due 11/15/2029

      3,000          3,428   

Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2006

   

5.250% due 12/15/2026

      150          177   

Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2008

   

6.250% due 12/15/2026

      9,600          11,845   

Wise County, Texas Revenue Bonds, Series 2011

  

8.000% due 08/15/2034

      500          581   
       

 

 

 
          58,933   
       

 

 

 
VIRGINIA 0.5%   

Fairfax County, Virginia Industrial Development Authority Revenue Bonds, Series 2009

   

5.500% due 05/15/2035

      1,000          1,131   

James City County, Virginia Economic Development Authority Revenue Bonds, Series 2013

   

2.000% due 10/01/2048 ^

      201          10   

6.000% due 06/01/2043

      621          586   
       

 

 

 
          1,727   
       

 

 

 
WASHINGTON 0.5%   

Washington Health Care Facilities Authority Revenue Bonds, Series 2009

   

7.375% due 03/01/2038

      1,000          1,193   

Washington Health Care Facilities Authority Revenue Bonds, Series 2010

   

5.500% due 12/01/2039

      500          598   
       

 

 

 
          1,791   
       

 

 

 
WEST VIRGINIA 0.3%   

West Virginia Hospital Finance Authority Revenue Bonds, Series 2011

   

9.125% due 10/01/2041

      955          1,024   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
WISCONSIN 1.7%   

University of Wisconsin Hospitals & Clinics Authority Revenue Bonds, Series 2013

   

5.000% due 04/01/2038

  $     3,500      $     3,945   

Wisconsin Health & Educational Facilities Authority Revenue Bonds, Series 2009

   

6.625% due 02/15/2039

      1,000          1,166   

Wisconsin Health & Educational Facilities Authority Revenue Bonds, Series 2010

   

5.625% due 04/15/2039

      1,000          1,134   
       

 

 

 
          6,245   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $503,085)

    571,071   
       

 

 

 
SHORT-TERM INSTRUMENTS 3.3%   
REPURCHASE AGREEMENTS (f) 2.1%   
          7,800   
       

 

 

 
SHORT-TERM NOTES 0.9%   

Federal Home Loan Bank

  

0.106% due 01/19/2016

      2,200          2,200   

0.142% due 01/22/2016

      100          100   

Freddie Mac

  

0.172% due 02/04/2016

      1,000          1,000   
       

 

 

 
          3,300   
       

 

 

 
U.S. TREASURY BILLS 0.3%   

0.193% due 01/14/2016

      1,100          1,100   
       

 

 

 
Total Short-Term Instruments
(Cost $12,200)
    12,200   
       

 

 

 
       
Total Investments in Securities
(Cost $515,285)
    583,271   
       
Total Investments 160.3%
(Cost $515,285)
      $     583,271   
       

Preferred Shares (51.9%)

      (189,000
       
Other Assets and Liabilities, net (8.4%)     (30,439
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     363,832   
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) When-issued security.
(b) Zero coupon bond.
(c) Security becomes interest bearing at a future date.
(d) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(e) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on December 31, 2015.

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   41


Table of Contents

Schedule of Investments PIMCO Municipal Income Fund III (Cont.)

 

December 31, 2015

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(f)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
  Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received (1)
 

SAL

  0.580%     12/31/2015        01/04/2016      $     7,800      U.S. Treasury Notes 2.750% due 02/15/2024   $ (7,959   $ 7,800      $ 7,801   
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

  

        $     (7,959   $     7,800      $     7,801   
           

 

 

   

 

 

   

 

 

 

 

(1) 

Includes accrued interest.

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2015:

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
     Payable for
Reverse
Repurchase
Agreements
     Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
     Collateral
(Received)
     Net Exposure  (2)  

Global/Master Repurchase Agreement

                

SAL

  $ 7,801       $ 0       $ 0       $     7,801       $     (7,959    $     (158
 

 

 

    

 

 

    

 

 

          

Total Borrowings and Other Financing Transactions

  $     7,801       $     0       $     0            
 

 

 

    

 

 

    

 

 

          

 

(2)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 6, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

  

   

Municipal Bonds & Notes

       

Alabama

  $     0      $     56,605      $     0      $     56,605   

Arizona

    0        37,877        0        37,877   

California

    0        96,000        0        96,000   

Colorado

    0        3,412        0        3,412   

Connecticut

    0        1,451        0        1,451   

District of Columbia

    0        11,065        0        11,065   

Florida

    0        23,552        0        23,552   

Georgia

    0        12,892        0        12,892   

Hawaii

    0        1,668        0        1,668   

Illinois

    0        29,819        0        29,819   

Indiana

    0        13,984        0        13,984   

Iowa

    0        3,603        0        3,603   

Kentucky

    0        2,288        0        2,288   

Louisiana

    0        7,548        0        7,548   

Maryland

    0        3,050        0        3,050   

Massachusetts

    0        7,549        0        7,549   

Michigan

    0        3,368        0        3,368   

Missouri

    0        758        0        758   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

New Hampshire

  $ 0      $ 2,215      $ 0      $ 2,215   

New Jersey

    0        21,293        0        21,293   

New Mexico

    0        1,104        0        1,104   

New York

    0        58,496        0        58,496   

North Carolina

    0        6,883        0        6,883   

Ohio

    0        40,956        0        40,956   

Pennsylvania

    0        26,828        0        26,828   

South Carolina

    0        24,563        0        24,563   

Tennessee

    0        2,524        0        2,524   

Texas

    0        58,933        0        58,933   

Virginia

    0        1,727        0        1,727   

Washington

    0        1,791        0        1,791   

West Virginia

    0        1,024        0        1,024   

Wisconsin

    0        6,245        0        6,245   

Short-Term Instruments

       

Repurchase Agreements

    0        7,800        0        7,800   

Short-Term Notes

    0        3,300        0        3,300   

U.S. Treasury Bills

    0        1,100        0        1,100   

Total Investments

  $     0      $     583,271      $     0      $     583,271   
 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.

 

42   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

Schedule of Investments PIMCO California Municipal Income Fund

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 163.8%   
MUNICIPAL BONDS & NOTES 160.2%   
ALABAMA 0.8%   

Jefferson County, Alabama Sewer Revenue Bonds, Series 2013

   

6.500% due 10/01/2053

  $     2,000      $     2,341   
       

 

 

 
       
CALIFORNIA 156.9%   

Bay Area Toll Authority, California Revenue Bonds, Series 2008

   

5.000% due 04/01/2034

      10,000          10,915   

California County Tobacco Securitization Agency Revenue Bonds, Series 2002

   

6.000% due 06/01/2035

      4,000          4,001   

6.125% due 06/01/2038

      1,000          987   

California County Tobacco Securitization Agency Revenue Bonds, Series 2006

   

5.600% due 06/01/2036

      1,500          1,496   

California Educational Facilities Authority Revenue Bonds, Series 2009

   

5.000% due 01/01/2039 (a)

      10,200          11,391   

5.000% due 10/01/2039 (a)

      10,000            11,028   

California Health Facilities Financing Authority Revenue Bonds, (IBC/NPFGC Insured), Series 2007

   

5.000% due 11/15/2042

      1,600          1,651   

California Health Facilities Financing Authority Revenue Bonds, Series 2008

   

5.250% due 11/15/2040

      5,050          5,877   

California Health Facilities Financing Authority Revenue Bonds, Series 2009

   

5.750% due 09/01/2039

      2,000          2,270   

6.000% due 07/01/2039

      4,000          4,586   

6.500% due 11/01/2038

      1,000          1,181   

California Health Facilities Financing Authority Revenue Bonds, Series 2010

   

5.000% due 11/15/2036

      1,450          1,626   

9.539% due 11/15/2036 (b)

      1,000          1,245   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

5.000% due 08/15/2035

      1,000          1,158   

6.000% due 08/15/2042

      2,800          3,345   

11.779% due 11/15/2042 (b)

      6,000          6,427   

California Health Facilities Financing Authority Revenue Bonds, Series 2012

   

5.000% due 08/15/2051

      11,000          12,170   

California Health Facilities Financing Authority Revenue Bonds, Series 2013

   

5.000% due 08/15/2052

      3,675          4,077   

California Health Facilities Financing Authority Revenue Bonds, Series 2015

   

5.000% due 08/15/2054

      1,300          1,475   

California Infrastructure & Economic Development Bank Revenue Bonds, Series 2013

   

5.000% due 02/01/2039

      10,000          11,090   

California Municipal Finance Authority Revenue Bonds, Series 2008

   

5.875% due 10/01/2034

      2,900          3,124   

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

      1,000          1,257   

California Pollution Control Financing Authority Revenue Bonds, Series 2010

   

5.100% due 06/01/2040

      2,000          2,178   

5.250% due 08/01/2040

      1,250          1,331   

California State General Obligation Bonds, Series 2006

  

5.000% due 09/01/2035

      5,885          6,057   

California State General Obligation Bonds, Series 2007

  

5.000% due 06/01/2037

      100          105   

5.000% due 12/01/2037

      3,000          3,220   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

California State General Obligation Bonds, Series 2009

  

6.000% due 04/01/2038

  $     2,000      $     2,312   

6.000% due 11/01/2039

      2,000          2,365   

California State General Obligation Bonds, Series 2010

  

5.250% due 11/01/2040

      2,400          2,805   

5.500% due 03/01/2040

      1,500          1,737   

California State General Obligation Bonds, Series 2013

  

5.000% due 11/01/2043

      7,000          8,133   

California State General Obligation Bonds, Series 2015

  

5.000% due 09/01/2032

      1,300          1,565   

California State Public Works Board Revenue Bonds, Series 2009

   

5.000% due 04/01/2034

      2,000          2,256   

5.750% due 10/01/2030

      2,000          2,306   

6.000% due 11/01/2034

      2,000          2,332   

California State Public Works Board Revenue Bonds, Series 2011

   

5.000% due 12/01/2029

      1,500          1,758   

California State University Revenue Bonds, Series 2015

  

5.000% due 11/01/2047

      14,000          16,275   

California Statewide Communities Development Authority Certificates of Participation Bonds, Series 1999

    

5.375% due 04/01/2030

      2,150          2,156   

California Statewide Communities Development Authority Revenue Bonds, (FGIC Insured), Series 2007

    

5.750% due 07/01/2047

      3,200          3,517   

California Statewide Communities Development Authority Revenue Bonds, (FHA Insured), Series 2009

   

6.625% due 08/01/2029

      1,870          2,233   

6.750% due 02/01/2038

      6,875          8,239   

California Statewide Communities Development Authority Revenue Bonds, (NPFGC Insured), Series 2000

    

5.125% due 07/01/2024

      100          110   

California Statewide Communities Development Authority Revenue Bonds, Series 2006

   

5.250% due 03/01/2045

      1,000          1,006   

California Statewide Communities Development Authority Revenue Bonds, Series 2007

   

5.500% due 11/01/2038

      900          910   

California Statewide Communities Development Authority Revenue Bonds, Series 2008

   

5.500% due 07/01/2031

      845          898   

California Statewide Communities Development Authority Revenue Bonds, Series 2010

   

5.000% due 11/01/2040

      10,000          10,952   

6.250% due 10/01/2039

      1,000          1,125   

7.500% due 06/01/2042

      990          1,080   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

6.000% due 08/15/2042

      2,000          2,389   

California Statewide Communities Development Authority Revenue Bonds, Series 2012

   

5.000% due 04/01/2042

      11,500            12,924   

5.125% due 05/15/2031

      4,000          4,481   

5.375% due 05/15/2038

      4,500          5,066   

California Statewide Financing Authority Revenue Bonds, Series 2002

   

6.000% due 05/01/2037

      3,000          3,065   

Chula Vista, California Revenue Bonds, Series 2004

  

5.875% due 02/15/2034

      5,000          5,743   

Contra Costa County, California Public Financing Authority Tax Allocation Bonds, Series 2003

   

5.850% due 08/01/2033

      350          350   

Desert Community College District, California General Obligation Bonds, (AGM Insured), Series 2007

   

5.000% due 08/01/2037

      5,000          5,270   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Eastern Municipal Water District, California Certificates of Participation Bonds, Series 2008

   

5.000% due 07/01/2035

  $     6,300      $     6,814   

El Monte, California Certificates of Participation Bonds, (AMBAC Insured), Series 2001

   

5.250% due 01/01/2034

      14,425          14,469   

Folsom Redevelopment Agency, California Tax Allocation Bonds, Series 2009

   

5.500% due 08/01/2036

      1,000          1,082   

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007

   

5.125% due 06/01/2047

      8,300          7,205   

5.750% due 06/01/2047

      24,325            22,849   

Hayward Unified School District, California General Obligation Bonds, Series 2015

   

5.000% due 08/01/2038

      6,000          6,794   

Imperial Irrigation District, California Revenue Bonds, Series 2011

   

5.000% due 11/01/2041

      1,000          1,106   

Kern County, California Certificates of Participation Bonds, (AGC Insured), Series 2009

   

5.750% due 08/01/2035

      10,590          11,847   

Lancaster Redevelopment Agency, California Tax Allocation Bonds, Series 2009

   

6.875% due 08/01/2039

      500          588   

Long Beach Bond Finance Authority, California Revenue Bonds, Series 2007

   

5.500% due 11/15/2027

      1,000          1,232   

Long Beach, California Airport System Revenue Bonds, Series 2010

   

5.000% due 06/01/2040

      5,000          5,536   

Los Angeles Department of Water & Power, California Revenue Bonds, Series 2009

   

5.375% due 07/01/2034 (a)

      3,000          3,364   

5.375% due 07/01/2038 (a)

      7,000          7,818   

Los Angeles Department of Water & Power, California Revenue Bonds, Series 2012

   

5.000% due 07/01/2037

      4,100          4,745   

5.000% due 07/01/2043

      5,000          5,751   

Los Angeles Department of Water & Power, California Revenue Bonds, Series 2014

   

5.000% due 07/01/2043

      3,650          4,190   

Los Angeles Unified School District, California General Obligation Bonds, Series 2009

   

5.000% due 07/01/2029 (a)

      10,000          11,239   

5.000% due 01/01/2034 (a)

      8,500          9,547   

5.300% due 01/01/2034

      250          284   

M-S-R Energy Authority, California Revenue Bonds, Series 2009

   

6.500% due 11/01/2039

      18,845          26,474   

Malibu, California Certificates of Participation Bonds, Series 2009

   

5.000% due 07/01/2039

      700          770   

Peralta Community College District, California General Obligation Bonds, Series 2009

   

5.000% due 08/01/2039

      1,250          1,380   

Regents of the University of California Medical Center Pooled Revenue Bonds, Series 2013

   

5.000% due 05/15/2043

      2,000          2,231   

River Islands Public Financing Authority, California Special Tax Bonds, Series 2015

   

5.500% due 09/01/2045

      3,000          3,200   

San Diego County, California Water Authority Certificates of Participation Bonds, (AGM Insured), Series 2008

    

5.000% due 05/01/2038

      6,250          6,699   

San Diego Regional Building Authority, California Revenue Bonds, Series 2009

   

5.375% due 02/01/2036

      3,285          3,627   
 

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   43


Table of Contents

Schedule of Investments PIMCO California Municipal Income Fund (Cont.)

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

San Francisco, California City & County Certificates of Participation Bonds, Series 2009

   

5.250% due 04/01/2031

  $     650      $     722   

San Jose, California Hotel Tax Revenue Bonds, Series 2011

   

6.500% due 05/01/2036

      1,500          1,810   

San Jose, California Special Assessment Bonds, Series 2001

   

5.600% due 09/02/2017

      230          235   

San Marcos Redevelopment Agency Successor Agency, California Tax Allocation Bonds, Series 2015

   

5.000% due 10/01/2031

      2,315          2,768   

San Marcos Unified School District, California General Obligation Bonds, Series 2011

   

5.000% due 08/01/2038

      1,200          1,331   

Santa Clara County, California Financing Authority Revenue Bonds, (AMBAC Insured), Series 2007

   

5.750% due 02/01/2041

      3,500            3,776   

Santa Cruz County, California Redevelopment Agency Tax Allocation Bonds, Series 2009

   

7.000% due 09/01/2036

      1,300          1,518   

Tobacco Securitization Authority of Southern California Revenue Bonds, Series 2006

   

5.000% due 06/01/2037

      800          745   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Torrance, California Revenue Bonds, Series 2010

  

5.000% due 09/01/2040

  $     6,300      $     6,877   

Turlock, California Certificates of Participation Bonds, Series 2007

   

5.500% due 10/15/2037

      2,000          2,168   

Washington Township Health Care District, California General Obligation Bonds, Series 2013

   

5.000% due 08/01/2043

      2,500          2,795   

Westlake Village, California Certificates of Participation Bonds, Series 2009

   

5.000% due 06/01/2039

      1,000          1,019   
       

 

 

 
          427,231   
       

 

 

 
ILLINOIS 2.5%   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2042

      2,000          2,082   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

      4,400          4,675   
       

 

 

 
          6,757   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $387,753)

      436,329   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
SHORT-TERM INSTRUMENTS 3.6%   
SHORT-TERM NOTES 3.6%   

Federal Home Loan Bank

  

0.162% due 01/29/2016

  $     2,950      $     2,949   

0.167% due 02/01/2016

      5,000          4,999   

0.233% due 01/25/2016

      100          100   

0.314% due 01/28/2016

      600          600   

0.385% due 02/01/2016

      1,000          1,000   
       

 

 

 
          9,648   
       

 

 

 
Total Short-Term Instruments
(Cost $9,649)
    9,648   
       

 

 

 
       
Total Investments in Securities
(Cost $397,402)
    445,977   
       
Total Investments 163.8%
(Cost $397,402)
      $     445,977   
       
Preferred Shares (55.1%)       (150,000
       
Other Assets and Liabilities, net (8.7%)     (23,632
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     272,345   
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
(a) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(b) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on December 31, 2015.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

  

     

Municipal Bonds & Notes

       

Alabama

  $     0      $ 2,341      $ 0      $ 2,341   

California

    0            427,231            0            427,231   

Illinois

    0        6,757        0        6,757   

Short-Term Instruments

  

     

Short-Term Notes

    0        9,648        0        9,648   

Total Investments

  $     0      $     445,977      $     0      $     445,977   

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.

 

44   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

Schedule of Investments PIMCO California Municipal Income Fund II

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 165.4%   
MUNICIPAL BONDS & NOTES 161.9%   
CALIFORNIA 157.0%   

Alhambra, California Revenue Bonds, Series 2010

  

7.625% due 01/01/2040

  $   2,000   $          2,150   

Bay Area Toll Authority, California Revenue Bonds, Series 2014

   

5.000% due 10/01/2054

    3,000       3,384   

California County Tobacco Securitization Agency Revenue Bonds, Series 2002

   

5.875% due 06/01/2043

    1,800       1,800   

California County Tobacco Securitization Agency Revenue Bonds, Series 2006

   

5.600% due 06/01/2036

    1,500       1,496   

California Health Facilities Financing Authority Revenue Bonds, (IBC/NPFGC Insured), Series 2007

   

5.000% due 11/15/2042

    4,220       4,354   

California Health Facilities Financing Authority Revenue Bonds, Series 2007

   

5.250% due 11/15/2046 (b)

    12,195       12,637   

California Health Facilities Financing Authority Revenue Bonds, Series 2008

   

5.250% due 11/15/2040

    5,400       6,284   

California Health Facilities Financing Authority Revenue Bonds, Series 2009

   

5.750% due 09/01/2039

    250       284   

6.000% due 07/01/2039

    3,000       3,439   

6.500% due 11/01/2038

    500       591   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

5.000% due 08/15/2035

    1,000       1,158   

California Health Facilities Financing Authority Revenue Bonds, Series 2012

   

5.000% due 11/15/2034

    1,000       1,079   

5.000% due 11/15/2040

    4,000       4,484   

5.000% due 08/15/2051

    8,755       9,687   

California Health Facilities Financing Authority Revenue Bonds, Series 2015

   

5.000% due 08/15/2054

    5,000       5,673   

California Infrastructure & Economic Development Bank Revenue Bonds, Series 2008

   

5.250% due 02/01/2038

    175       187   

California Infrastructure & Economic Development Bank Revenue Bonds, Series 2013

   

5.000% due 02/01/2039

    10,000       11,090   

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

    1,085       1,363   

California Pollution Control Financing Authority Revenue Bonds, Series 2010

   

5.250% due 08/01/2040

    1,500       1,597   

California State General Obligation Bonds, Series 2006

  

5.000% due 09/01/2031

    2,500       2,575   

California State General Obligation Bonds, Series 2009

  

6.000% due 04/01/2038

    10,000         11,560   

California State General Obligation Bonds, Series 2013

  

5.000% due 11/01/2043

    7,000       8,133   

California State General Obligation Bonds, Series 2015

  

5.000% due 09/01/2032

    1,300       1,565   

California State Public Works Board Revenue Bonds, Series 2008

   

5.000% due 03/01/2033

    7,915       8,612   

California State Public Works Board Revenue Bonds, Series 2009

   

5.750% due 10/01/2030

    3,000       3,459   

6.000% due 11/01/2034

    2,000       2,332   

California State Public Works Board Revenue Bonds, Series 2011

   

5.000% due 12/01/2029

    2,000       2,345   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

California State Public Works Board Revenue Bonds, Series 2013

   

5.000% due 03/01/2038

  $   2,500   $          2,858   

California State University Revenue Bonds, Series 2015

  

5.000% due 11/01/2047

    7,000       8,138   

California Statewide Communities Development Authority Revenue Bonds, (FGIC Insured), Series 2007

    

5.750% due 07/01/2047

    3,700       4,066   

California Statewide Communities Development Authority Revenue Bonds, (FHA Insured), Series 2009

   

6.625% due 08/01/2029

    2,135       2,549   

6.750% due 02/01/2038

    7,860       9,419   

California Statewide Communities Development Authority Revenue Bonds, Series 2006

   

5.000% due 11/01/2029

    500       502   

California Statewide Communities Development Authority Revenue Bonds, Series 2007

   

5.150% due 07/01/2030

    250       251   

5.250% due 07/01/2042

    1,250       1,234   

California Statewide Communities Development Authority Revenue Bonds, Series 2008

   

5.250% due 11/15/2048

    5,490       5,974   

5.500% due 07/01/2031

    3,040       3,231   

California Statewide Communities Development Authority Revenue Bonds, Series 2010

   

7.000% due 07/01/2040

    3,760       4,129   

7.500% due 06/01/2042

    990       1,080   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

6.000% due 08/15/2042

    5,600       6,690   

California Statewide Communities Development Authority Revenue Bonds, Series 2012

   

5.000% due 04/01/2042

    9,705         10,907   

5.375% due 05/15/2038

    4,500       5,066   

California Statewide Financing Authority Revenue Bonds, Series 2002

   

6.000% due 05/01/2037

    2,000       2,043   

Chabot-Las Positas Community College District, California General Obligation Bonds, (AMBAC Insured), Series 2006

    

0.000% due 08/01/2036 (a)

    17,305       6,212   

0.000% due 08/01/2037 (a)

    5,000       1,703   

0.000% due 08/01/2043 (a)

    15,000       3,769   

Chula Vista, California Revenue Bonds, Series 2004

  

5.875% due 02/15/2034

    1,000       1,149   

Coronado Community Development Agency, California Tax Allocation Bonds, (AMBAC Insured), Series 2005

   

4.875% due 09/01/2035

    8,435       8,457   

Desert Community College District, California General Obligation Bonds, (AGM Insured), Series 2007

   

0.000% due 08/01/2046 (a)

    25,000       5,039   

Desert Community College District, California General Obligation Bonds, (AGM Insured), Series 2009

   

9.389% due 08/01/2032 (c)

    6,035       6,712   

Fremont Community Facilities District No. 1, California Special Tax Bonds, Series 2015

   

5.000% due 09/01/2045

    1,400       1,526   

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007

   

5.125% due 06/01/2047

    8,500       7,378   

5.750% due 06/01/2047

    34,715       32,609   

Hayward Unified School District, California General Obligation Bonds, Series 2015

   

5.000% due 08/01/2038

    3,000       3,397   

Imperial Irrigation District, California Revenue Bonds, Series 2011

   

5.000% due 11/01/2041

    4,500       4,977   

Irvine Unified School District, California Special Tax Bonds, Series 2010

   

6.700% due 09/01/2035

    515       600   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

JPMorgan Chase Putters/Drivers Trust, California Revenue Bonds, Series 2009

   

5.000% due 07/01/2037 (b)

  $   5,000   $          5,292   

JPMorgan Chase Putters/Drivers Trust, California Revenue Bonds, Series 2010

   

9.519% due 05/15/2034 (c)

    7,500       9,443   

JPMorgan Chase Putters/Drivers Trust, California Revenue Notes, Series 2009

   

5.000% due 04/01/2039 (b)

    20,000       21,830   

Lancaster Redevelopment Agency, California Tax Allocation Bonds, Series 2009

   

6.875% due 08/01/2039

    1,000       1,176   

Long Beach Bond Finance Authority, California Revenue Bonds, Series 2007

   

5.500% due 11/15/2037

    7,500       9,343   

Long Beach Unified School District, California General Obligation Bonds, Series 2009

   

5.250% due 08/01/2033 (b)

    10,000       11,280   

Long Beach, California Airport System Revenue Bonds, Series 2010

   

5.000% due 06/01/2040

    500       554   

Los Angeles Community College District, California General Obligation Bonds, Series 2009

   

14.018% due 08/01/2033 (c)

    4,000       5,200   

Los Angeles Department of Water & Power, California Revenue Bonds, Series 2014

   

5.000% due 07/01/2043

    3,000       3,444   

Los Angeles Unified School District, California General Obligation Bonds, Series 2009

   

5.000% due 01/01/2034

    11,000       12,355   

M-S-R Energy Authority, California Revenue Bonds, Series 2009

   

6.500% due 11/01/2039

    16,445       23,103   

7.000% due 11/01/2034

    1,000       1,451   

Manteca Redevelopment Agency, California Tax Allocation Bonds, (AMBAC Insured), Series 2004

   

5.000% due 10/01/2036

    10,000         10,007   

Oakland Unified School District/Alameda County, California General Obligation Bonds, Series 2009

   

6.125% due 08/01/2029

    5,000       5,633   

Palomar Health, California Certificates of Participation Bonds, Series 2009

   

6.750% due 11/01/2039

    4,750       5,259   

Placentia-Yorba Linda Unified School District, California Certificates of Participation Bonds, (NPFGC Insured), Series 2006

    

5.000% due 10/01/2032

    10,000       10,027   

Poway Unified School District, California General Obligation Bonds, Series 2011

   

0.000% due 08/01/2040 (a)

    11,000       4,107   

0.000% due 08/01/2046 (a)

    16,000       4,382   

River Islands Public Financing Authority, California Special Tax Bonds, Series 2015

   

5.500% due 09/01/2045

    3,000       3,200   

San Diego Community College District, California General Obligation Notes, Series 2009

   

10.074% due 02/01/2017 (c)

    5,000       6,261   

San Diego Public Facilities Financing Authority Sewer, California Revenue Bonds, Series 2009

   

5.250% due 05/15/2039

    1,000       1,119   

San Diego Public Facilities Financing Authority Water, California Revenue Bonds, Series 2009

   

5.250% due 08/01/2038

    4,000       4,360   

San Diego Regional Building Authority, California Revenue Bonds, Series 2009

   

5.375% due 02/01/2036

    2,800       3,091   

San Francisco, California City & County Certificates of Participation Bonds, Series 2009

   

5.250% due 04/01/2031

    300       333   

San Joaquin Hills Transportation Corridor Agency, California Revenue Bonds, Series 2014

   

5.000% due 01/15/2050

    2,430       2,624   
 

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   45


Table of Contents

Schedule of Investments PIMCO California Municipal Income Fund II (Cont.)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

San Jose, California Hotel Tax Revenue Bonds, Series 2011

   

6.500% due 05/01/2036

  $   1,000   $          1,207   

San Marcos Redevelopment Agency Successor Agency, California Tax Allocation Bonds, Series 2015

   

5.000% due 10/01/2032

    850       1,012   

5.000% due 10/01/2033

    1,125       1,335   

San Marcos Unified School District, California General Obligation Bonds, Series 2011

   

5.000% due 08/01/2038

    1,300       1,442   

Santa Cruz County, California Certificates of Participation Bonds, Series 2002

   

5.250% due 08/01/2032

    1,260       1,263   

Santa Cruz County, California Redevelopment Agency Tax Allocation Bonds, Series 2009

   

7.000% due 09/01/2036

    1,500       1,752   

Torrance, California Revenue Bonds, Series 2010

  

5.000% due 09/01/2040

    3,100       3,384   

Turlock Irrigation District, California Revenue Bonds, Series 2011

   

5.500% due 01/01/2041

    1,700       1,954   

Tustin Unified School District, California Special Tax Bonds, Series 2010

   

6.000% due 09/01/2040

    1,000       1,136   

Washington Township Health Care District, California General Obligation Bonds, Series 2013

   

5.000% due 08/01/2043

    3,000       3,354   
       

 

 

 
            447,696   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
ILLINOIS 3.1%   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2042

  $   2,350   $          2,446   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

    6,035       6,413   
       

 

 

 
          8,859   
       

 

 

 
NEW JERSEY 1.3%   

Tobacco Settlement Financing Corp., New Jersey Revenue Bonds, Series 2007

   

4.750% due 06/01/2034

    1,300       1,066   

5.000% due 06/01/2041

    3,000       2,492   
       

 

 

 
          3,558   
       

 

 

 
NEW YORK 0.5%   

New York Liberty Development Corp. Revenue Bonds, Series 2005

   

5.250% due 10/01/2035

    1,250       1,500   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $402,237)

   

      461,613   
       

 

 

 
SHORT-TERM INSTRUMENTS 3.5%   
REPURCHASE AGREEMENTS (d) 3.2%   
          9,000   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
U.S. TREASURY BILLS 0.3%   

0.193% due 01/14/2016

  $   800   $          800   
       

 

 

 
Total Short-Term Instruments
(Cost $9,800)
        9,800   
       

 

 

 
       
Total Investments in Securities
(Cost $412,037)
        471,413   
       
Total Investments 165.4%
(Cost $412,037)
  $          471,413   
       
Preferred Shares (57.2%)          (163,000
       
Other Assets and Liabilities, net (8.2%)        (23,316
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%   $          285,097   
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
(a) Zero coupon bond.
(b) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(c) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on December 31, 2015.

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(d)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
  Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received (1)
 

SAL

  0.580%     12/31/2015        01/04/2016      $     9,000      U.S. Treasury Notes 2.750% due 02/15/2024   $ (9,185   $ 9,000      $ 9,001   
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

  

        $     (9,185   $     9,000      $     9,001   
           

 

 

   

 

 

   

 

 

 

 

(1) 

Includes accrued interest.

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2015:

 

Counterparty   Repurchase
Agreement
Proceeds
to be
Received
     Payable for
Reverse
Repurchase
Agreements
     Payable for
Sale-Buyback
Transactions
     Total
Borrowings and
Other Financing
Transactions
     Collateral
(Received)
     Net Exposure  (2)  

Global/Master Repurchase Agreement

                

SAL

  $ 9,001       $ 0       $ 0       $     9,001       $     (9,185    $     (184
 

 

 

    

 

 

    

 

 

          

Total Borrowings and Other Financing Transactions

  $     9,001       $     0       $     0            
 

 

 

    

 

 

    

 

 

          

 

(2)

Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 6, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.

 

46   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

December 31, 2015

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

  

     

Municipal Bonds & Notes

       

California

  $   0      $   447,696      $   0      $   447,696   

Illinois

    0        8,859        0        8,859   

New Jersey

    0        3,558        0        3,558   

New York

    0        1,500        0        1,500   

Short-Term Instruments

  

     

Repurchase Agreements

        0            9,000            0        9,000   

U.S. Treasury Bills

    0        800        0        800   

Total Investments

  $ 0      $ 471,413      $ 0      $     471,413   

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   47


Table of Contents

Schedule of Investments PIMCO California Municipal Income Fund III

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 165.6%   
MUNICIPAL BONDS & NOTES 163.8%   
CALIFORNIA 156.9%   

Bay Area Toll Authority, California Revenue Bonds, Series 2008

   

5.000% due 04/01/2034

  $     1,250      $     1,364   

Bay Area Toll Authority, California Revenue Bonds, Series 2013

   

5.250% due 04/01/2048

      8,000          9,079   

California County Tobacco Securitization Agency Revenue Bonds, Series 2002

   

5.875% due 06/01/2035

      8,100          8,101   

6.000% due 06/01/2042

      7,000          7,001   

California County Tobacco Securitization Agency Revenue Bonds, Series 2006

   

5.600% due 06/01/2036

      2,000          1,995   

California Educational Facilities Authority Revenue Bonds, Series 2009

   

5.000% due 01/01/2039 (a)

      9,800          10,944   

5.000% due 10/01/2039 (a)

      10,000            11,028   

California Health Facilities Financing Authority Revenue Bonds, (IBC/NPFGC Insured), Series 2007

   

5.000% due 11/15/2042

      500          516   

California Health Facilities Financing Authority Revenue Bonds, Series 2008

   

5.000% due 08/15/2038

      5,000          5,441   

5.250% due 11/15/2040

      4,550          5,295   

California Health Facilities Financing Authority Revenue Bonds, Series 2009

   

5.750% due 09/01/2039

      4,000          4,541   

6.000% due 07/01/2039

      4,000          4,586   

6.500% due 11/01/2038

      500          591   

California Health Facilities Financing Authority Revenue Bonds, Series 2010

   

5.000% due 11/15/2036

      1,300          1,458   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

5.000% due 08/15/2035

      1,000          1,158   

6.000% due 08/15/2042

      1,200          1,434   

California Health Facilities Financing Authority Revenue Bonds, Series 2012

   

5.000% due 08/15/2051

      8,305          9,189   

California Health Facilities Financing Authority Revenue Bonds, Series 2015

   

5.000% due 08/15/2054

      3,000          3,404   

California Infrastructure & Economic Development Bank Revenue Bonds, Series 2013

   

5.000% due 02/01/2039

      10,000          11,090   

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

      835          1,049   

California Pollution Control Financing Authority Revenue Bonds, Series 2010

   

5.250% due 08/01/2040

      1,250          1,331   

California State General Obligation Bonds, Series 2009

  

6.000% due 04/01/2038

      7,300          8,439   

California State General Obligation Bonds, Series 2013

  

5.000% due 11/01/2043

      5,000          5,809   

California State General Obligation Bonds, Series 2015

  

5.000% due 09/01/2032

      10,400          12,518   

California State Public Works Board Revenue Bonds, Series 2009

   

6.000% due 11/01/2034

      2,000          2,332   

California State Public Works Board Revenue Bonds, Series 2013

   

5.000% due 03/01/2038

      2,500          2,858   

California State University Revenue Bonds, Series 2011

  

5.000% due 11/01/2042

      9,200          10,572   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

California State University Revenue Bonds, Series 2015

  

5.000% due 11/01/2047

  $     12,750      $       14,822   

California Statewide Communities Development Authority Certificates of Participation Bonds, Series 1999

    

5.375% due 04/01/2030

      945          948   

California Statewide Communities Development Authority Revenue Bonds, (FGIC Insured), Series 2007

    

5.750% due 07/01/2047

      3,100          3,407   

California Statewide Communities Development Authority Revenue Bonds, (FHA Insured), Series 2009

   

6.625% due 08/01/2029

      1,780          2,125   

6.750% due 02/01/2038

      6,430          7,706   

California Statewide Communities Development Authority Revenue Bonds, Series 2006

   

5.000% due 03/01/2041

      4,500          4,524   

California Statewide Communities Development Authority Revenue Bonds, Series 2007

   

5.500% due 11/01/2038

      1,300          1,315   

California Statewide Communities Development Authority Revenue Bonds, Series 2008

   

5.500% due 07/01/2031

      2,030          2,157   

California Statewide Communities Development Authority Revenue Bonds, Series 2010

   

6.250% due 10/01/2039

      500          562   

7.500% due 06/01/2042

      990          1,080   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

5.000% due 12/01/2041

      11,000          12,163   

6.000% due 08/15/2042

      1,800          2,150   

6.500% due 11/01/2021

      335          369   

California Statewide Communities Development Authority Revenue Bonds, Series 2012

   

5.000% due 04/01/2042

      11,220          12,609   

5.375% due 05/15/2038

      2,000          2,251   

California Statewide Communities Development Authority Revenue Bonds, Series 2014

   

5.500% due 12/01/2054

      2,500          2,661   

Chula Vista, California Revenue Bonds, Series 2004

  

5.875% due 02/15/2034

      2,000          2,297   

Contra Costa County, California Public Financing Authority Tax Allocation Bonds, Series 2003

   

5.625% due 08/01/2033

      1,415          1,415   

Fremont Community Facilities District No. 1, California Special Tax Bonds, Series 2015

   

5.000% due 09/01/2045

      1,400          1,526   

Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007

   

5.750% due 06/01/2047

      15,165          14,245   

Hayward Unified School District, California General Obligation Bonds, Series 2015

   

5.000% due 08/01/2038

      5,000          5,662   

JPMorgan Chase Putters/Drivers Trust, California Revenue Bonds, Series 2009

   

5.000% due 07/01/2037 (a)

      5,000          5,292   

Lancaster Redevelopment Agency, California Tax Allocation Bonds, Series 2009

   

6.875% due 08/01/2039

      500          588   

Long Beach Unified School District, California General Obligation Bonds, Series 2009

   

5.750% due 08/01/2033

      5,000          5,736   

Long Beach, California Airport System Revenue Bonds, Series 2010

   

5.000% due 06/01/2040

      2,120          2,347   

Los Angeles Community College District, California General Obligation Bonds, Series 2009

   

14.018% due 08/01/2033 (b)

      1,000          1,300   

Los Angeles Department of Water & Power, California Revenue Bonds, Series 2009

   

5.000% due 07/01/2039 (a)

      10,000          11,037   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Los Angeles Department of Water & Power, California Revenue Bonds, Series 2012

   

5.000% due 07/01/2037

  $     2,000      $     2,315   

5.000% due 07/01/2043

      2,115          2,433   

Los Angeles Department of Water & Power, California Revenue Bonds, Series 2014

   

5.000% due 07/01/2043

      3,000          3,444   

Los Angeles Unified School District, California General Obligation Bonds, Series 2009

   

5.000% due 01/01/2034 (a)

      10,000          11,232   

M-S-R Energy Authority, California Revenue Bonds, Series 2009

   

6.500% due 11/01/2039

      10,825            15,207   

7.000% due 11/01/2034

      2,285          3,316   

Malibu, California Certificates of Participation Bonds, Series 2009

   

5.000% due 07/01/2039

      550          605   

Manteca Financing Authority, California Revenue Bonds, Series 2009

   

5.750% due 12/01/2036

      1,000          1,161   

Montebello Unified School District, California General Obligation Bonds, (AGM Insured), Series 2008

   

5.000% due 08/01/2033

      3,000          3,311   

Oakland Redevelopment Agency Successor Agency, California Tax Allocation Bonds, (AGM Insured), Series 2015

    

5.000% due 09/01/2036

      800          920   

Peralta Community College District, California General Obligation Bonds, Series 2009

   

5.000% due 08/01/2039

      1,250          1,380   

Regents of the University of California Medical Center Pooled Revenue Bonds, Series 2013

   

5.000% due 05/15/2043

      5,000          5,579   

River Islands Public Financing Authority, California Special Tax Bonds, Series 2015

   

5.500% due 09/01/2045

      3,000          3,200   

Rocklin Unified School District Community Facilities District, California Special Tax Bonds, (NPFGC Insured), Series 2004

    

5.000% due 09/01/2029

      500          501   

Sacramento Municipal Utility District, California Revenue Bonds, Series 2013

   

5.000% due 08/15/2037

      3,000          3,526   

San Diego County, California Regional Airport Authority Revenue Bonds, Series 2013

   

5.000% due 07/01/2043

      1,325          1,499   

San Diego County, California Water Authority Certificates of Participation Bonds, (AGM Insured), Series 2008

    

5.000% due 05/01/2038

      6,250          6,699   

San Diego Public Facilities Financing Authority Sewer, California Revenue Bonds, Series 2009

   

5.250% due 05/15/2039

      4,000          4,477   

San Diego Regional Building Authority, California Revenue Bonds, Series 2009

   

5.375% due 02/01/2036

      2,200          2,429   

San Francisco, California City & County Certificates of Participation Bonds, Series 2009

   

5.250% due 04/01/2031

      550          611   

San Francisco, California City & County Redevelopment Agency Special Tax Bonds, Series 2013

   

5.000% due 08/01/2028

      1,505          1,670   

San Joaquin Hills Transportation Corridor Agency, California Revenue Bonds, Series 2014

   

5.000% due 01/15/2050

      2,000          2,160   

San Jose, California Hotel Tax Revenue Bonds, Series 2011

   

6.500% due 05/01/2036

      1,500          1,810   

San Marcos Redevelopment Agency Successor Agency, California Tax Allocation Bonds, Series 2015

   

5.000% due 10/01/2034

      885          1,046   
 

 

48   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

San Marcos Unified School District, California General Obligation Bonds, Series 2011

   

5.000% due 08/01/2038

  $     1,000      $     1,109   

Santa Clara County, California Financing Authority Revenue Bonds, (AMBAC Insured), Series 2007

   

5.750% due 02/01/2041

      500          539   

Santa Cruz County, California Redevelopment Agency Tax Allocation Bonds, Series 2009

   

7.000% due 09/01/2036

      1,200          1,402   

Torrance, California Revenue Bonds, Series 2001

  

5.500% due 06/01/2031

      2,950          2,999   

Washington Township Health Care District, California General Obligation Bonds, Series 2013

   

5.000% due 08/01/2043

      2,500          2,795   

Western Municipal Water District Facilities Authority, California Revenue Bonds, Series 2009

   

5.000% due 10/01/2039

      2,000          2,221   

Westlake Village, California Certificates of Participation Bonds, Series 2009

   

5.000% due 06/01/2039

      1,000          1,019   
       

 

 

 
            358,032   
       

 

 

 
ILLINOIS 4.3%   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2035

      3,000          3,166   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

  $     3,700      $     3,931   

5.500% due 01/01/2033

      2,500          2,656   
       

 

 

 
          9,753   
       

 

 

 
INDIANA 2.2%   

Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2007

   

5.750% due 09/01/2042

      5,000          5,151   
       

 

 

 
NEW JERSEY 0.4%   

Tobacco Settlement Financing Corp., New Jersey Revenue Bonds, Series 2007

   

4.750% due 06/01/2034

      1,000          820   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $334,215)

      373,756   
       

 

 

 
SHORT-TERM INSTRUMENTS 1.8%   
SHORT-TERM NOTES 1.7%   

Federal Home Loan Bank

  

0.142% due 01/22/2016

      3,300          3,299   

0.188% due 01/20/2016

      200          200   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

0.233% due 01/25/2016

  $     100      $     100   

0.314% due 01/28/2016

      200          200   
       

 

 

 
          3,799   
       

 

 

 
U.S. TREASURY BILLS 0.1%   

0.203% due 01/14/2016

      300          300   
       

 

 

 
Total Short-Term Instruments
(Cost $4,100)
    4,099   
       

 

 

 
       
Total Investments in Securities
(Cost $338,315)
    377,855   
       
Total Investments 165.6%
(Cost $338,315)
      $     377,855   
       
Preferred Shares (54.8%)       (125,000
       
Other Assets and Liabilities, net (10.8%)     (24,634
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     228,221   
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
(a) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(b) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on December 31, 2015.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

  

Municipal Bonds & Notes

       

California

  $     0      $     358,032      $     0      $     358,032   

Illinois

    0        9,753        0        9,753   

Indiana

    0        5,151        0        5,151   

New Jersey

    0        820        0        820   

Short-Term Instruments

  

Short-Term Notes

        0        3,799            0        3,799   

U.S. Treasury Bills

    0        300        0        300   

Total Investments

  $ 0      $     377,855      $     0      $     377,855   

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   49


Table of Contents

Schedule of Investments PIMCO New York Municipal Income Fund

 

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 157.5%   
MUNICIPAL BONDS & NOTES 155.4%   
ILLINOIS 2.7%   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2042

  $     885      $     921   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

      1,500          1,594   
       

 

 

 
            2,515   
       

 

 

 
NEW YORK 149.8%   

Build NYC Resource Corp., New York Revenue Bonds, Series 2014

   

5.000% due 06/01/2043

      820          925   

Hudson Yards Infrastructure Corp., New York Revenue Bonds, Series 2011

   

5.250% due 02/15/2047

      3,000          3,369   

5.750% due 02/15/2047

      4,000          4,605   

Long Island Power Authority, New York Revenue Bonds, Series 2009

   

5.750% due 04/01/2039

      4,500          5,043   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2012

   

5.000% due 11/15/2042

      2,000          2,250   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2013

   

5.000% due 11/15/2043

      1,000          1,135   

Nassau County, New York Industrial Development Agency Revenue Bonds, Series 2014

   

2.000% due 01/01/2049 ^

      433          52   

6.700% due 01/01/2049

      1,200          1,190   

Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 2006

   

5.125% due 06/01/2046

      1,230          1,071   

New York City, New York General Obligation Bonds, Series 2013

   

5.000% due 08/01/2031

      2,000          2,367   

New York City, New York Health & Hospital Corp. Revenue Bonds, Series 2010

   

5.000% due 02/15/2030

      3,500          3,857   

New York City, New York Industrial Development Agency Revenue Bonds, (AGC Insured), Series 2009

   

6.500% due 01/01/2046

      900          1,017   

7.000% due 03/01/2049

      3,200          3,724   

New York City, New York Transitional Finance Authority Building Aid Revenue Bonds, Series 2009

   

5.250% due 01/15/2039

      5,000          5,502   

New York City, New York Water & Sewer System Revenue Bonds, Series 2007

   

4.750% due 06/15/2035 (a)

      5,000          5,238   

New York City, New York Water & Sewer System Revenue Bonds, Series 2009

   

5.000% due 06/15/2040

      2,500          2,802   

New York Convention Center Development Corp. Revenue Bonds, Series 2015

   

5.000% due 11/15/2045

      2,500          2,869   

New York Liberty Development Corp. Revenue Bonds, Series 2005

   

5.250% due 10/01/2035 (a)

      11,410            13,692   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

New York Liberty Development Corp. Revenue Bonds, Series 2007

   

5.500% due 10/01/2037

  $     1,925      $     2,423   

New York Liberty Development Corp. Revenue Bonds, Series 2010

   

5.125% due 01/15/2044

      6,150            6,807   

6.375% due 07/15/2049

      1,500          1,694   

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.000% due 12/15/2041

      2,000          2,256   

5.750% due 11/15/2051

      6,000          6,989   

New York Liberty Development Corp. Revenue Bonds, Series 2014

   

5.000% due 11/15/2044

      1,900          1,963   

New York State Dormitory Authority Revenue Bonds, (AGC Insured), Series 2009

   

5.125% due 07/01/2039

      1,000          1,082   

New York State Dormitory Authority Revenue Bonds, Series 2008

   

4.500% due 07/01/2035

      2,500          2,598   

5.000% due 07/01/2038

      1,500          1,648   

New York State Dormitory Authority Revenue Bonds, Series 2009

   

5.000% due 03/15/2038

      1,000          1,098   

5.125% due 07/01/2039

      1,300          1,472   

5.500% due 03/01/2039

      1,800          2,018   

New York State Dormitory Authority Revenue Bonds, Series 2010

   

5.000% due 07/01/2035

      500          563   

5.500% due 07/01/2040

      1,250          1,435   

New York State Dormitory Authority Revenue Bonds, Series 2011

   

5.000% due 07/01/2031

      2,000          2,216   

5.500% due 07/01/2036

      1,000          1,180   

6.000% due 07/01/2040

      1,225          1,422   

New York State Dormitory Authority Revenue Bonds, Series 2012

   

5.000% due 07/01/2042

      1,350          1,535   

New York State Dormitory Authority Revenue Bonds, Series 2013

   

5.000% due 02/15/2029

      1,000          1,177   

New York State Dormitory Authority Revenue Bonds, Series 2015

   

5.000% due 07/01/2034

      1,000          1,140   

5.000% due 07/01/2040

      2,000          2,310   

New York State Thruway Authority Revenue Bonds, Series 2012

   

5.000% due 01/01/2037

      2,000          2,255   

5.000% due 01/01/2042

      3,645          4,046   

New York State Urban Development Corp. Revenue Bonds, Series 2009

   

5.000% due 03/15/2036 (a)

      1,800          1,987   

Onondaga County, New York Revenue Bonds, Series 2011

   

5.000% due 12/01/2036

      600          685   

Port Authority of New York & New Jersey Revenue Bonds, Series 2010

   

6.000% due 12/01/2036

      1,000          1,168   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Triborough Bridge & Tunnel Authority, New York Revenue Notes, Series 2009

   

5.250% due 11/15/2034 (a)

  $     3,000      $     3,332   

Troy Capital Resource Corp., New York Revenue Bonds, Series 2010

   

5.125% due 09/01/2040

      3,000          3,363   

Troy Industrial Development Authority, New York Revenue Bonds, Series 2002

   

4.625% due 09/01/2026

      5,860          6,503   

TSASC, Inc., New York Revenue Bonds, Series 2006

  

5.000% due 06/01/2026

      4,000          4,035   

5.000% due 06/01/2034

      3,000          2,811   

5.125% due 06/01/2042

      2,205          2,008   

Westchester County Healthcare Corp., New York Revenue Bonds, Series 2010

   

6.125% due 11/01/2037

      910          1,040   

Yonkers Economic Development Corp., New York Revenue Bonds, Series 2010

   

6.000% due 10/15/2030

      200          210   

Yonkers Industrial Development Agency, New York Revenue Bonds, Series 2001

   

6.000% due 06/01/2041

      400          451   
       

 

 

 
            139,628   
       

 

 

 
OHIO 2.9%   

Buckeye Tobacco Settlement Financing Authority, Ohio Revenue Bonds, Series 2007

   

6.500% due 06/01/2047

      2,875          2,669   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $131,136)

   

        144,812   
       

 

 

 
SHORT-TERM INSTRUMENTS 2.1%   
SHORT-TERM NOTES 2.1%   

Federal Home Loan Bank

  

0.142% due 01/22/2016

      100          100   

0.157% due 01/26/2016

      100          100   

0.314% due 01/28/2016

      200          200   

Freddie Mac

  

0.172% due 01/28/2016

      1,600          1,600   
       

 

 

 
          2,000   
       

 

 

 
Total Short-Term Instruments
(Cost $2,000)
          2,000   
       

 

 

 
       
Total Investments in Securities
(Cost $133,136)
          146,812   
       

Total Investments 157.5%

(Cost $133,136)

      $       146,812   
Preferred Shares (50.4%)           (47,000
Other Assets and Liabilities, net (7.1%)     (6,607
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $       93,205   
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.

 

50   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

December 31, 2015

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

  

Municipal Bonds & Notes

       

Illinois

  $     0      $ 2,515      $     0      $ 2,515   

New York

    0            139,628        0            139,628   

Ohio

    0        2,669        0        2,669   

Short-Term Instruments

       

Short-Term Notes

    0        2,000        0        2,000   

Total Investments

  $ 0      $ 146,812      $ 0      $ 146,812   

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   51


Table of Contents

Schedule of Investments PIMCO New York Municipal Income Fund II

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 167.6%   
MUNICIPAL BONDS & NOTES 167.4%   
FLORIDA 0.9%   

Clearwater, Florida Water & Sewer Revenue Bonds, Series 2009

   

5.250% due 12/01/2039

  $     1,000      $     1,132   
       

 

 

 
       
ILLINOIS 1.8%   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

      2,100          2,231   
       

 

 

 
       
LOUISIANA 0.9%   

East Baton Rouge Sewerage Commission, Louisiana Revenue Bonds, Series 2009

   

5.250% due 02/01/2039

      1,000          1,124   
       

 

 

 
       
NEW YORK 161.9%   

Build NYC Resource Corp., New York Revenue Bonds, Series 2014

   

5.000% due 06/01/2038

      1,000          1,144   

Chautauqua Industrial Development Agency, New York Revenue Bonds, Series 2009

   

5.875% due 04/01/2042

      1,000          1,053   

Dutchess County, New York Local Development Corp. Revenue Bonds, Series 2015

   

5.000% due 07/01/2045

      3,000          3,399   

Erie County, New York Industrial Development Agency Revenue Bonds, Series 2006

   

6.000% due 11/15/2036

      150          157   

Hudson Yards Infrastructure Corp., New York Revenue Bonds, Series 2011

   

5.750% due 02/15/2047

      9,000            10,362   

JPMorgan Chase Putters/Drivers Trust, New York Revenue Bonds, Series 2009

   

9.530% due 07/01/2033 (b)

      5,000          6,125   

Long Island Power Authority, New York Revenue Bonds, Series 2014

   

5.000% due 09/01/2044

      3,500          3,939   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2009

   

5.000% due 11/15/2034

      2,000          2,258   

5.500% due 11/15/2039

      5,000          5,551   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2012

   

5.000% due 11/15/2030

      2,100          2,471   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2013

   

5.000% due 11/15/2043

      3,000          3,406   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2015

   

5.000% due 11/15/2036

      4,000          4,660   

Monroe County Industrial Development Corp., New York Revenue Bonds, (FHA Insured), Series 2010

   

5.500% due 08/15/2040

      3,500          4,015   

Monroe County Industrial Development Corp., New York Revenue Bonds, Series 2013

   

5.000% due 07/01/2043

      1,750          1,966   

Nassau County, New York Industrial Development Agency Revenue Bonds, Series 2014

   

2.000% due 01/01/2049 ^

      650          78   

6.700% due 01/01/2049

      1,800          1,785   

Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 2006

   

5.125% due 06/01/2046

      4,000          3,483   

New York City, New York General Obligation Bonds, Series 2013

   

5.000% due 08/01/2031

      2,000          2,367   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

New York City, New York Health & Hospital Corp. Revenue Bonds, Series 2010

   

5.000% due 02/15/2030

  $     1,500      $     1,653   

New York City, New York Industrial Development Agency Revenue Bonds, (AGC Insured), Series 2009

   

6.500% due 01/01/2046

      1,500          1,695   

7.000% due 03/01/2049

      4,900          5,702   

New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006

   

5.000% due 03/01/2031

      750          768   

New York City, New York Industrial Development Agency Revenue Bonds, (NPFGC Insured), Series 2006

    

5.000% due 03/01/2036

      1,900          1,943   

New York City, New York Transitional Finance Authority Building Aid Revenue Bonds, Series 2009

   

5.250% due 01/15/2039

      5,000          5,503   

New York City, New York Transitional Finance Authority Future Tax Secured Revenue Bonds, Series 2012

    

5.000% due 05/01/2039

      2,000          2,271   

New York City, New York Water & Sewer System Revenue Bonds, Series 2009

   

5.000% due 06/15/2039

      500          561   

5.250% due 06/15/2040

      1,000          1,130   

New York City, New York Water & Sewer System Revenue Bonds, Series 2013

   

5.000% due 06/15/2047

      1,000          1,132   

New York Convention Center Development Corp. Revenue Bonds, Series 2015

   

5.000% due 11/15/2045

      4,000          4,590   

New York Liberty Development Corp. Revenue Bonds, Series 2005

   

5.250% due 10/01/2035 (a)

      6,350          7,620   

New York Liberty Development Corp. Revenue Bonds, Series 2007

   

5.500% due 10/01/2037

      3,500          4,405   

New York Liberty Development Corp. Revenue Bonds, Series 2010

   

5.125% due 01/15/2044

      1,500          1,660   

5.625% due 07/15/2047

      1,400          1,580   

6.375% due 07/15/2049

      1,300          1,468   

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.000% due 12/15/2041

      3,000          3,383   

5.750% due 11/15/2051

      10,000            11,648   

New York Liberty Development Corp. Revenue Bonds, Series 2014

   

5.000% due 11/15/2044

      2,000          2,066   

New York State Dormitory Authority Revenue Bonds, (AMBAC Insured), Series 2005

   

5.500% due 05/15/2031

      7,490          9,824   

New York State Dormitory Authority Revenue Bonds, Series 2006

   

5.000% due 07/01/2035

      2,750          2,812   

New York State Dormitory Authority Revenue Bonds, Series 2007

   

5.625% due 07/01/2037

      1,000          1,072   

New York State Dormitory Authority Revenue Bonds, Series 2008

   

5.000% due 07/01/2036

      2,000          2,175   

5.000% due 07/01/2038

      2,100          2,307   

New York State Dormitory Authority Revenue Bonds, Series 2009

   

5.000% due 03/15/2038

      3,000          3,294   

5.500% due 05/01/2037

      600          686   

5.500% due 03/01/2039

      3,000          3,363   

New York State Dormitory Authority Revenue Bonds, Series 2010

   

5.500% due 07/01/2040

      1,000          1,148   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

New York State Dormitory Authority Revenue Bonds, Series 2011

   

5.000% due 07/01/2031

  $     2,000      $     2,216   

5.500% due 07/01/2036

      1,500          1,770   

New York State Dormitory Authority Revenue Bonds, Series 2015

   

5.000% due 07/01/2039

      1,000          1,123   

5.000% due 07/01/2045

      4,000          4,610   

New York State Environmental Facilities Corp. Revenue Bonds, Series 2009

   

5.125% due 06/15/2038

      5,000          5,615   

New York State Thruway Authority Revenue Bonds, Series 2012

   

5.000% due 01/01/2042

      3,800          4,218   

New York State Urban Development Corp. Revenue Bonds, Series 2009

   

5.000% due 03/15/2036 (a)

      6,000          6,624   

Niagara Tobacco Asset Securitization Corp., New York Revenue Bonds, Series 2014

   

5.250% due 05/15/2034

      500          566   

5.250% due 05/15/2040

      500          562   

Onondaga County, New York Revenue Bonds, Series 2011

   

5.000% due 12/01/2036

      1,000          1,142   

Port Authority of New York & New Jersey Revenue Bonds, Series 2010

   

6.000% due 12/01/2036

      1,400          1,635   

Triborough Bridge & Tunnel Authority, New York Revenue Notes, Series 2009

   

5.250% due 11/15/2034 (a)

      5,000          5,554   

Troy Capital Resource Corp., New York Revenue Bonds, Series 2010

   

5.125% due 09/01/2040

      3,435          3,851   

TSASC, Inc., New York Revenue Bonds, Series 2006

  

5.000% due 06/01/2026

      7,000          7,062   

5.000% due 06/01/2034

      5,000          4,685   

5.125% due 06/01/2042

      1,000          911   

Ulster County, New York Industrial Development Agency Revenue Bonds, Series 2007

   

6.000% due 09/15/2037

      1,815          1,817   

Westchester County Healthcare Corp., New York Revenue Bonds, Series 2010

   

6.125% due 11/01/2037

      1,490          1,703   

Westchester County, New York Local Development Corp. Revenue Bonds, Series 2014

   

5.500% due 05/01/2042

      1,000          1,116   

Yonkers Economic Development Corp., New York Revenue Bonds, Series 2010

   

6.000% due 10/15/2030

      1,000          1,051   

Yonkers Industrial Development Agency, New York Revenue Bonds, Series 2001

   

6.000% due 06/01/2041

      600          677   
       

 

 

 
          204,186   
       

 

 

 
OHIO 1.0%   

Buckeye Tobacco Settlement Financing Authority, Ohio Revenue Bonds, Series 2007

   

6.500% due 06/01/2047

      1,435          1,332   
       

 

 

 
       
U.S. VIRGIN ISLANDS 0.9%   

Virgin Islands Public Finance Authority, U.S. Virgin Islands Revenue Bonds, Series 2009

   

6.000% due 10/01/2039

      1,000          1,099   
       

 

 

 

Total Municipal Bonds & Notes (Cost $190,917)

   

        211,104   
       

 

 

 
 

 

52   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

December 31, 2015

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
SHORT-TERM INSTRUMENTS 0.2%   
SHORT-TERM NOTES 0.2%   

Freddie Mac

  

0.254% due 01/27/2016

  $     200      $     200   
       

 

 

 
Total Short-Term Instruments
(Cost $200)
          200   
       

 

 

 
       
Total Investments in Securities
(Cost $191,117)
          211,304   
       
Total Investments 167.6%
(Cost $191,117)
      $       211,304   
Preferred Shares (62.7%)     (79,000
Other Assets and Liabilities, net (4.9%)     (6,219
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     126,085   
       

 

 

 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(b) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on December 31, 2015.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
12/31/2015
 

Investments in Securities, at Value

  

Municipal Bonds & Notes

       

Florida

  $ 0      $ 1,132      $ 0      $ 1,132   

Illinois

    0        2,231        0        2,231   

Louisiana

    0        1,124        0        1,124   

New York

    0        204,186        0        204,186   

Ohio

    0        1,332        0        1,332   

U.S. Virgin Islands

    0        1,099        0        1,099   

Short-Term Instruments

       

Short-Term Notes

    0        200        0        200   

Total Investments

  $     0      $     211,304      $     0      $     211,304   

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   53


Table of Contents

Schedule of Investments PIMCO New York Municipal Income Fund III

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 165.9%   
MUNICIPAL BONDS & NOTES 162.2%   
ILLINOIS 3.7%   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

  $     1,900      $       2,019   
       

 

 

 
NEW YORK 154.2%   

Brooklyn Arena Local Development Corp., New York Revenue Bonds, Series 2009

   

6.375% due 07/15/2043

      1,000          1,147   

Chautauqua Industrial Development Agency, New York Revenue Bonds, Series 2009

   

5.875% due 04/01/2042

      1,500          1,580   

Dutchess County, New York Industrial Development Agency Revenue Bonds, Series 2007

   

5.250% due 01/01/2037

      695          651   

Hudson Yards Infrastructure Corp., New York Revenue Bonds, Series 2011

   

5.750% due 02/15/2047

      4,000          4,605   

Long Island Power Authority, New York Revenue Bonds, Series 2009

   

5.750% due 04/01/2039

      1,500          1,681   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2009

   

5.000% due 11/15/2034

      500          565   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2013

   

5.000% due 11/15/2042

      2,000          2,247   

5.000% due 11/15/2043

      4,000          4,541   

Monroe County Industrial Development Corp., New York Revenue Bonds, (FHA Insured), Series 2010

   

5.500% due 08/15/2040

      1,500          1,721   

Monroe County Industrial Development Corp., New York Revenue Bonds, Series 2013

   

5.000% due 07/01/2043

      1,750          1,966   

Nassau County, New York Industrial Development Agency Revenue Bonds, Series 2014

   

2.000% due 01/01/2049 ^

      135          16   

6.700% due 01/01/2049

      375          372   

New York City, New York General Obligation Bonds, Series 2013

   

5.000% due 08/01/2031

      2,590          3,065   

New York City, New York Industrial Development Agency Revenue Bonds, (AGC Insured), Series 2009

   

6.500% due 01/01/2046

      600          678   

7.000% due 03/01/2049

      2,200          2,560   

New York City, New York Transitional Finance Authority Future Tax Secured Revenue Bonds, Series 2013

    

5.000% due 11/01/2042

      2,000          2,280   

New York City, New York Trust for Cultural Resources Revenue Bonds, Series 2014

   

5.000% due 08/01/2043

      2,000          2,236   

New York City, New York Water & Sewer System Revenue Bonds, Series 2007

   

4.750% due 06/15/2035 (a)

      5,000          5,238   

New York City, New York Water & Sewer System Revenue Bonds, Series 2009

   

5.000% due 06/15/2039

      1,500          1,682   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

New York City, New York Water & Sewer System Revenue Bonds, Series 2012

   

5.000% due 06/15/2047

  $     2,500      $       2,830   

New York Convention Center Development Corp. Revenue Bonds, Series 2015

   

5.000% due 11/15/2045

      2,000          2,295   

New York Counties Tobacco Trust Revenue Bonds, Series 2001

   

5.750% due 06/01/2043

      2,000          2,026   

New York Liberty Development Corp. Revenue Bonds, Series 2007

   

5.500% due 10/01/2037

      2,400          3,020   

New York Liberty Development Corp. Revenue Bonds, Series 2010

   

5.125% due 01/15/2044

      2,000          2,214   

6.375% due 07/15/2049

      1,050          1,186   

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.750% due 11/15/2051

      4,000          4,659   

New York Liberty Development Corp. Revenue Bonds, Series 2014

   

5.000% due 11/15/2044

      2,000          2,066   

New York State Dormitory Authority Revenue Bonds, Series 2009

   

5.000% due 03/15/2038

      1,000          1,098   

5.500% due 03/01/2039

      1,200          1,345   

New York State Dormitory Authority Revenue Bonds, Series 2010

   

5.500% due 07/01/2040

      500          574   

New York State Dormitory Authority Revenue Bonds, Series 2011

   

6.000% due 07/01/2040

      250          290   

New York State Dormitory Authority Revenue Bonds, Series 2012

   

5.000% due 05/15/2026

      1,225          1,456   

5.000% due 12/15/2027

      2,000          2,413   

New York State Dormitory Authority Revenue Bonds, Series 2013

   

5.000% due 02/15/2029

      750          883   

New York State Environmental Facilities Corp. Revenue Bonds, Series 2007

   

4.750% due 06/15/2032

      750          792   

New York State Thruway Authority Revenue Bonds, Series 2012

   

5.000% due 01/01/2042

      1,600          1,776   

New York State Urban Development Corp. Revenue Bonds, Series 2009

   

5.000% due 03/15/2036 (a)

      2,200          2,429   

Niagara Tobacco Asset Securitization Corp., New York Revenue Bonds, Series 2014

   

5.250% due 05/15/2034

      500          566   

5.250% due 05/15/2040

      500          562   

Onondaga County, New York Revenue Bonds, Series 2011

   

5.000% due 12/01/2036

      400          457   

Port Authority of New York & New Jersey Revenue Bonds, Series 2010

   

6.000% due 12/01/2036

      600          701   

Triborough Bridge & Tunnel Authority, New York Revenue Notes, Series 2009

   

5.250% due 11/15/2034 (a)

      2,000          2,222   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

Troy Capital Resource Corp., New York Revenue Bonds, Series 2010

   

5.125% due 09/01/2040

  $     1,400      $     1,570   

TSASC, Inc., New York Revenue Bonds, Series 2006

  

5.000% due 06/01/2026

      4,000          4,035   

5.000% due 06/01/2034

      100          94   

5.125% due 06/01/2042

      500          455   

Westchester County Healthcare Corp., New York Revenue Bonds, Series 2010

   

6.125% due 11/01/2037

      600          686   

Yonkers Economic Development Corp., New York Revenue Bonds, Series 2010

   

6.000% due 10/15/2030

      100          105   
       

 

 

 
          83,636   
       

 

 

 
OHIO 3.3%   

Buckeye Tobacco Settlement Financing Authority, Ohio Revenue Bonds, Series 2007

   

6.500% due 06/01/2047

      1,950          1,810   
       

 

 

 
U.S. VIRGIN ISLANDS 1.0%   

Virgin Islands Public Finance Authority, U.S. Virgin Islands Revenue Bonds, Series 2009

   

6.000% due 10/01/2039

      500          549   
       

 

 

 

Total Municipal Bonds & Notes (Cost $79,778)

   

      88,014   
       

 

 

 
       
SHORT-TERM INSTRUMENTS 3.7%   
SHORT-TERM NOTES 3.3%   

Federal Home Loan Bank

  

0.254% due 01/15/2016

      100          100   

Freddie Mac

  

0.172% due 01/28/2016

      1,700          1,700   
       

 

 

 
          1,800   
       

 

 

 
U.S. TREASURY BILLS 0.4%   

0.203% due 01/14/2016

      200          200   
       

 

 

 
Total Short-Term Instruments
(Cost $2,000)
          2,000   
       

 

 

 
       
Total Investments in Securities
(Cost $81,778)
          90,014   
       
Total Investments 165.9%
(Cost $81,778)
      $     90,014   
Preferred Shares (59.0%)       (32,000
Other Assets and Liabilities, net (6.9%)     (3,767
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     54,247   
       

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.

 

54   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Table of Contents

 

December 31, 2015

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3    

Fair

Value at
12/31/2015

 

Investments in Securities, at Value

  

Municipal Bonds & Notes

       

Illinois

  $ 0      $ 2,019      $ 0      $ 2,019   

New York

    0        83,636        0        83,636   

Ohio

    0        1,810        0        1,810   

U.S. Virgin Islands

    0        549        0        549   

Short-Term Instruments

       

Short-Term Notes

    0        1,800        0        1,800   

U.S. Treasury Bills

    0        200        0        200   

Total Investments

  $     0      $     90,014      $     0      $     90,014   

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.

 

See Accompanying Notes   ANNUAL REPORT   DECEMBER 31, 2015   55


Table of Contents

Notes to Financial Statements

 

1. ORGANIZATION

 

PIMCO Municipal Income Fund, PIMCO Municipal Income Fund II, PIMCO Municipal Income Fund III, PIMCO California Municipal Income Fund, PIMCO California Municipal Income Fund II, PIMCO California Municipal Income Fund III, PIMCO New York Municipal Income Fund, PIMCO New York Municipal Income Fund II and PIMCO New York Municipal Income Fund III (each a “Fund” and collectively the “Funds”) are organized as Massachusetts business trusts as closed-end management investment companies registered under the Investment Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”). Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) serves as the Funds’ investment manager.

 

Fund Name       Formation Date  

PIMCO Municipal Income Fund

      May 9, 2001   

PIMCO Municipal Income Fund II

      March 29, 2002   

PIMCO Municipal Income Fund III

      August 20, 2002   

PIMCO California Municipal Income Fund

      May 10, 2001   

PIMCO California Municipal Income Fund II

      March 29, 2002   

PIMCO California Municipal Income Fund III

      August 20, 2002   

PIMCO New York Municipal Income Fund

      May 10, 2001   

PIMCO New York Municipal Income Fund II

      March 29, 2002   

PIMCO New York Municipal Income Fund III

      August 20, 2002   

Prior to the close of business on September 5, 2014, Allianz Global Investors Fund Management LLC (“AGIFM”) and PIMCO served as the Funds’ investment manager and sub-adviser, respectively. Effective at the close of business on September 5, 2014, each Fund entered into a new investment management agreement (the “Agreement”) with PIMCO, pursuant to which PIMCO replaced AGIFM as the investment manager to the Funds. Under the Agreement, PIMCO continues to provide the day-to-day portfolio management services it provided to each Fund as its sub-adviser and also assumed responsibility for providing the supervisory and administrative services previously provided by AGIFM to each Fund as its investment manager. PIMCO personnel have replaced AGIFM personnel as Fund officers and in other roles to provide and oversee the administrative, accounting/financial reporting, compliance, legal, marketing, transfer agency, shareholder servicing and other services required for the daily operations of each Fund. Please see “Fees and Expenses” below for additional information.

 

 

The Boards of Trustees (collectively, the “Board”) of the Funds approved a change of the fiscal year end of the Funds on December 16, 2014 as set forth in the table below:

 

Fund Name        Prior Fiscal
Year End
     Current Fiscal
Year End
     Effective Date

PIMCO Municipal Income Fund

       April 30         December 31       Immediately following April 30, 2015

PIMCO Municipal Income Fund II

       May 31         December 31       Immediately following May 31, 2015

PIMCO Municipal Income Fund III

       September 30         December 31       Immediately following September 30, 2015

PIMCO California Municipal Income Fund

       April 30         December 31       Immediately following April 30, 2015

PIMCO California Municipal Income Fund II

       May 31         December 31       Immediately following May 31, 2015

PIMCO California Municipal Income Fund III

       September 30         December 31       Immediately following September 30, 2015

PIMCO New York Municipal Income Fund

       April 30         December 31       Immediately following April 30, 2015

PIMCO New York Municipal Income Fund II

       May 31         December 31       Immediately following May 31, 2015

PIMCO New York Municipal Income Fund III

       September 30         December 31       Immediately following September 30, 2015

 

Each Fund has authorized an unlimited number of Common Shares at a par value of $0.00001 per share.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Each Fund is treated as an investment company under the reporting requirements of U.S. GAAP. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of

contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

(a) Securities Transactions and Investment Income  Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled 15 days or more after the trade date. Realized gains and losses from securities sold are recorded on the

 

 

56   PIMCO CLOSED-END FUNDS     


Table of Contents

 

December 31, 2015

 

identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as a Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from settlement date.

 

Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable.

 

(b) Distributions — Common Shares  The Funds intend to declare distributions from net investment income to common shareholders monthly. Distributions of net realized capital gains, if any, are paid at least annually.

 

Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. Examples of events that give rise to timing differences include wash sales, straddles and capital loss carryforwards. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. Examples of characterization differences include the treatment of paydowns on mortgage-backed securities, swaps, foreign currency transactions and contingent debt instruments. As a result, income distributions and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on each Fund’s annual financial statements presented under U.S. GAAP.

 

Distributions classified as a tax basis return of capital, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed (overdistributed) net investment income (loss), accumulated undistributed (overdistributed) net realized gains (losses) and/or paid in capital to more appropriately conform financial accounting to tax characterizations of distributions.

 

(c) New Accounting Pronouncements  In June 2014, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”), ASU 2014-11, which expanded secured borrowing accounting for certain repurchase agreements. The ASU also sets forth additional disclosure requirements for certain transactions accounted for as sales in order to provide financial statement users with

information to compare to similar transactions accounted for as secured borrowings. The ASU is effective prospectively for annual periods beginning after December 15, 2014, and interim periods beginning after March 15, 2015. The Funds have adopted the ASU. The implementation of the ASU did not have an impact on the Funds’ financial statements.

 

In August 2014, the FASB issued ASU 2014-15 requiring management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the entity’s ability to continue as a going concern. The ASU is effective prospectively for annual periods ending after December 15, 2016, and interim periods thereafter. At this time, management is evaluating the implications of these changes on the financial statements.

 

In May 2015, the FASB issued ASU 2015-07 which removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The ASU also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. The ASU is effective for annual periods beginning after December 15, 2015 and interim periods within those annual periods. At this time, management is evaluating the implications of these changes on the financial statements.

 

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

 

(a) Investment Valuation Policies  The net asset value (“NAV”) of a Fund’s shares is determined by dividing the total value of portfolio investments and other assets attributable to that Fund, less any liabilities, by the total number of shares outstanding of that Fund.

 

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (“NYSE Close”). Information that becomes known to the Funds or their agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. Each Fund reserves the right to change the time as of which its respective NAV is calculated if the Fund closes earlier, or as permitted by the SEC.

 

For purposes of calculating NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers, or prices (including evaluated prices) supplied by the Funds’ approved pricing services, quotation reporting systems and other third-party

 

 

  ANNUAL REPORT   DECEMBER 31, 2015   57


Table of Contents

Notes to Financial Statements (Cont.)

 

sources (together, “Pricing Services”). The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by the Manager to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services or other pricing sources. With respect to any portion of a Fund’s assets that are invested in one or more open-end management investment companies (other than exchange-traded funds (“ETFs”)), the Fund’s NAV will be calculated based upon the NAVs of such investments.

 

Investments for which market quotes or market-based valuations are not readily available are valued at fair value as determined in good faith by the Board of Trustees of the Funds (the “Board”) or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market-based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Valuation Oversight Committee of the Board (“Valuation Oversight Committee”), generally based on recommendations provided by the Manager. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but

prior to the NYSE Close, that materially affect the values of a Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

 

When a Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Funds’ policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Funds cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

 

(b) Fair Value Hierarchy  U.S. GAAP describes fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:

 

n   

Level 1 — Inputs using (unadjusted) quoted prices in active markets or exchanges for identical assets and liabilities.

 

n   

Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

 

58   PIMCO CLOSED-END FUNDS     


Table of Contents

 

December 31, 2015

 

 

n   

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

 

In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers in and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments of each respective Fund.

 

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers in and out of the Level 3 category during the period. The end of period timing recognition is used for the transfers between Levels of a Fund’s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for each respective Fund.

 

(c) Valuation Techniques and the Fair Value Hierarchy Level 1 and Level 2 trading assets and trading liabilities, at fair value  The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:

 

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost of such short-term debt instrument is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. Prior to July 31, 2015, short-term investments having a maturity of 60 days or less and repurchase agreements were generally valued at amortized cost which approximates fair value. Short-term debt instruments having a remaining maturity of 60 days or less are categorized as Level 2 of the fair value hierarchy.

 

4. SECURITIES AND OTHER INVESTMENTS

 

(a) Investments in Securities

U.S. Government Agencies or Government-Sponsored Enterprises  Certain Funds may invest in securities of U.S. Government agencies or government-sponsored enterprises. U.S. Government securities are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”), are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); and others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities. Zero coupon securities do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities.

 

Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government.

 

 

  ANNUAL REPORT   DECEMBER 31, 2015   59


Table of Contents

Notes to Financial Statements (Cont.)

 

 

When-Issued Transactions  Certain Funds may purchase or sell securities on a when-issued basis. These transactions are made conditionally because a security, although authorized, has not yet been issued in the market. A commitment is made by a Fund to purchase or sell these securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. Since the value of securities purchased may fluctuate prior to settlement, a Fund may be required to pay more at settlement than the security is worth. In addition, a Fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed-delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. A Fund may sell when-issued securities before they are delivered, which may result in a realized gain or loss.

 

5. BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by a Fund. The location of these instruments is described below. For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing transactions, please see Note 6, Principal Risks.

 

(a) Repurchase Agreements  Certain Funds may engage in repurchase agreements. Under the terms of a typical repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. The underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated subcustodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund.

 

(b) Tender Option Bond Transactions  Certain Funds may leverage their assets through the use of tender option bond transactions. In a tender option bond transaction (“TOB”), a tender option bond trust (“TOB Trust”) issues floating rate certificates (“TOB Floater”) and residual interest certificates (“TOB Residual”) and utilizes the proceeds of such issuance to purchase a fixed-rate municipal bond (“Fixed Rate Bond”) that either is owned or identified by a Fund. The TOB Floater is generally issued to third party investors (typically a money market fund) and the

TOB Residual is generally issued to the Fund that sold or identified the Fixed Rate Bond. The TOB Trust divides the income stream provided by the Fixed Rate Bond to create two securities, the TOB Floater, which is a short-term security, and the TOB Residual, which is a longer-term security. The interest rates payable on the TOB Residual issued to a Fund bear an inverse relationship to the interest rate on the TOB Floater. The interest rate on the TOB Floater is reset by a remarketing process typically every 7 to 35 days. After income is paid on the TOB Floater at current rates, the residual income from the Fixed Rate Bond goes to the TOB Residual. Therefore, rising short-term rates result in lower income for the TOB Residual, and vice versa. In the case of a TOB Trust that utilizes the cash received from the issuance of the TOB Floater and TOB Residual (less transaction expenses) to purchase the Fixed Rate Bond from a Fund, the Fund may then invest the cash received in additional securities, generating leverage for the Fund. Other PIMCO-Managed Funds may also contribute municipal bonds to a TOB Trust into which a Fund has contributed Fixed Rate Bonds. If multiple PIMCO-Managed Funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residual will be shared among the funds ratably in proportion to their participation in the TOB Trust.

 

The TOB Residual may be more volatile and less liquid than other municipal bonds of comparable maturity. In most circumstances the TOB Residual holder bears substantially all of the underlying Fixed Rate Bond’s downside investment risk and also benefits from any appreciation in the value of the underlying Fixed Rate Bond. Investments in a TOB Residual typically will involve greater risk than investments in Fixed Rate Bonds.

 

The TOB Residual held by a Fund provides the Fund with the right to: (1) cause the holders of the TOB Floater to tender their notes at par, and (2) cause the sale of the Fixed-Rate Bond held by the TOB Trust, thereby collapsing the TOB Trust. TOB Trusts are generally supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that provides for the purchase of TOB Floaters that cannot be remarketed. The holders of the TOB Floaters have the right to tender their certificates in exchange for payment of par plus accrued interest on a periodic basis (typically weekly) or on the occurrence of certain mandatory tender events. The tendered TOB Floaters are remarketed by a remarketing agent, which is typically an affiliated entity of the Liquidity Provider. If the TOB Floaters cannot be remarketed, the TOB Floaters are purchased by the TOB Trust either from the proceeds of a loan from the Liquidity Provider or from a liquidation of the Fixed Rate Bond.

 

The TOB Trust may also be collapsed without the consent of a Fund, as the TOB Residual holder, upon the occurrence of certain “tender option termination events” (or “TOTEs”) as defined in the TOB Trust agreements. Such termination events typically include the bankruptcy

 

 

60   PIMCO CLOSED-END FUNDS     


Table of Contents

 

December 31, 2015

 

or default of the municipal bond, a substantial downgrade in credit quality of the municipal bond, or a judgment or ruling that interest on the Fixed Rate Bond is subject to federal income taxation. Upon the occurrence of a termination event, the TOB Trust would generally be liquidated in full with the proceeds typically applied first to any accrued fees owed to the trustee, remarketing agent and liquidity provider, and then to the holders of the TOB Floater up to par plus accrued interest owed on the TOB Floater and a portion of gain share, if any, with the balance paid out to the TOB Residual holder. In the case of a mandatory termination event (“MTE”), after the payment of fees, the TOB Floater holders would be paid before the TOB Residual holders (i.e., the Funds). In contrast, in the case of a TOTE, after payment of fees, the TOB Floater holders and the TOB Residual holders would be paid pro rata in proportion to the respective face values of their certificates.

 

Each Fund’s transfer of Fixed Rate Bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Floaters, less certain transaction expenses, is paid to a Fund. The Funds typically invest the cash received in additional municipal bonds. The Funds account for the transactions described above as secured borrowings by including the Fixed Rate Bonds in their Schedules of Investments, and account for the TOB Floater as a liability under the caption “Payable for tender option bond floating rate certificates” in the Funds’ Statements of Assets and Liabilities. Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by each Fund on an accrual basis and is shown as interest on the Statements of Operations. Interest expense incurred on the secured borrowing is shown as interest expense on the Statements of Operations.

 

The Funds may also purchase TOB Residuals in a secondary market transaction without transferring a fixed rate municipal bond into a TOB Trust. Such transactions are not accounted for as secured borrowings but rather as a security purchase with the TOB Residual being included in the Schedule of Investments.

 

Regulators recently finalized rules implementing Section 619 (the “Volcker Rule”) and Section 941 (the “Risk Retention Rules”) of the Dodd-Frank Wall Street Reform and Consumer Protection Act. The implementation of the final rules is being phased in. Both the Volcker Rule and the Risk Retention Rules apply to tender option bond programs and operate to require that such programs be restructured. In particular, when effective, these rules will preclude banking entities from (i) sponsoring or acquiring interests in the trusts used to hold a municipal bond in the creation of TOB Trusts; and (ii) continuing to service or maintain relationships with existing programs involving TOB Trusts to the same extent and in the same capacity as existing programs. Banking entities subject to the Volcker Rule were required to fully comply by July 21, 2015, with respect to investments in and

relationships with TOB Trusts established after December 31, 2013 (“Non-Legacy TOB Trusts”), and are required to fully comply by July 21, 2016, with respect to investments in and relationships with TOB Trusts established prior to December 31, 2013 (“Legacy TOB Trusts”).

 

At this time, the full impact of these rules is not certain; however, in response to these rules, industry participants are continuing to explore various structuring alternatives for Non-Legacy and Legacy TOB Trusts. For example, under a new tender option bond structure, the Funds would hire service providers to assist the Funds with establishing, structuring and sponsoring a TOB Trust. Service providers to a TOB Trust, such as administrators, liquidity providers, trustees and remarketing agents would be acting at the direction of, and as agent of, the Funds as the TOB residual holders. This structure remains untested. It is possible that regulators could take positions that could limit the market for such newly structured TOB Trust transactions or the Funds’ ability to hold TOB Residuals. Because of the important role that tender option bond programs play in the municipal bond market, it is possible that implementation of these rules and any resulting impact may adversely impact the municipal bond market and the Funds. For example, as a result of the implementation of these rules, the municipal bond market may experience reduced demand or liquidity and increased financing costs. Under the new TOB Trust structure, the Funds will have certain additional duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, legal, regulatory and operational risks.

 

The SEC and various federal banking and housing agencies adopted Risk Retention Rules which are scheduled to take effect in December 2016. The Risk Retention Rules would require the sponsor to a TOB Trust to retain at least five percent of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect the Funds’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

 

The Funds are in the process of restructuring Legacy TOB Trusts in conformity with regulatory guidelines. However, there can be no assurances that the Funds can successfully enter into restructured TOB Trust transactions in order to refinance their existing TOB Residual holdings prior to the compliance date for the Volcker Rule, which may require that the Funds unwind existing TOB Trusts. Until all restructurings are completed, a Fund may, for a period of time, hold TOB Residuals in both Legacy TOB Trusts and non-bank sponsored restructured TOB Trusts. Under the new TOB Trust structure, the Liquidity Provider or remarketing agent will no longer purchase the tendered TOB Floaters, even in the event of failed remarketing. This may increase the likelihood that a TOB Trust will need to be collapsed and liquidated in order to purchase the tendered TOB Floaters. The TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Floaters. Any loans made

 

 

  ANNUAL REPORT   DECEMBER 31, 2015   61


Table of Contents

Notes to Financial Statements (Cont.)

 

by the Liquidity Provider will be secured by the purchased TOB Floaters held by the TOB Trust and will be subject to an increased interest rate based on the number of days the loan is outstanding.

 

For the period ended December 31, 2015, the Funds’ average leverage outstanding from the use of TOB transactions and the daily weighted average interest rate, including fees, were as follows:

 

Fund Name        Average
Leverage
Outstanding
    Weighted
Average
Interest
Rate*
 

PIMCO Municipal Income Fund

    $ 13,063        0.31

PIMCO Municipal Income Fund II

        38,787        0.26

PIMCO Municipal Income Fund III

      26,100        0.32

PIMCO California Municipal Income Fund

      28,433        0.26

PIMCO California Municipal Income Fund II

      28,125        0.19

PIMCO California Municipal Income Fund III

      28,229        0.31

PIMCO New York Municipal Income Fund

      10,477        0.06

PIMCO New York Municipal Income Fund II

      8,186        0.36

PIMCO New York Municipal Income Fund III

      4,933        0.19

 

* Annualized

 

6. PRINCIPAL RISKS

 

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to such things as changes in the market (market risk) or failure or inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. For a more comprehensive list of potential risks the Funds may be subject to, please see the Important Information About the Funds.

 

Market Risks  A Fund’s investments in financial derivatives and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign currency, equity and commodity risks.

 

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Interest rate changes can be sudden and unpredictable, and a Fund may lose money if these changes are not anticipated by Fund management. A Fund may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e. yield) movements. At present, the U.S. is experiencing historically low interest rates. The Funds may be subject to heightened

interest rate risk because the Fed has ended its quantitative easing program and has begun, and may continue, to raise interest rates. Further, while U.S. bond markets have steadily grown over the past three decades, dealer “market making” ability has remained relatively stagnant. Given the importance of intermediary “market making” in creating a robust and active market, fixed income securities may face increased volatility and liquidity risks. All of these factors, collectively and/or individually, could cause a Fund to lose value.

 

The market values of a Fund’s investments may decline due to general market conditions which are not specifically related to a particular company or issuer, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit ratings downgrades may also negatively affect securities held by a Fund. Even when markets perform well, there is no assurance that the investments held by a Fund will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy on a national or global level.

 

Credit and Counterparty Risks  A Fund will be exposed to credit risk to parties with whom it trades and will also bear the risk of settlement default. A Fund seeks to minimize concentrations of credit risk by undertaking transactions with a large number of counterparties on recognized and reputable exchanges, where applicable. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.

 

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. PIMCO, as Manager, seeks to minimize counterparty risks to a Fund in a number of ways. Prior to entering into transactions with a new counterparty, the PIMCO Counterparty Risk Committee conducts an extensive credit review of such counterparty and must approve the use of such counterparty. Furthermore, pursuant to the terms of the underlying contract, to the extent that unpaid amounts owed to a Fund exceed a predetermined threshold, such counterparty is required to advance collateral to a Fund in the form of cash or securities equal in value to the unpaid amount

 

 

62   PIMCO CLOSED-END FUNDS     


Table of Contents

 

December 31, 2015

 

owed to a Fund. A Fund may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to a Fund subsequently decreases, a Fund would be required to return to the counterparty all or a portion of the collateral previously advanced to a Fund.

 

All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.

 

Master Netting Arrangements  The Funds may be subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty.

 

Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other forms of AAA rated paper or sovereign securities may be used. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty (cash). Cash collateral received is typically not held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.

Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase, and sale-buyback transactions between the Funds and select counterparties. Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedule of Investments.

 

7. FEES AND EXPENSES

 

Management Fee  Effective at the close of business on September 5, 2014, each Fund entered into an Investment Management Agreement with PIMCO (the “Agreement”). Pursuant to the Agreement, subject to the supervision of the Board, PIMCO is responsible for providing to each Fund investment guidance and policy direction in connection with the management of the Fund, including oral and written research, analysis, advice, and statistical and economic data and information. In addition, pursuant to the Agreement and subject to the general supervision of the Board, PIMCO, at its expense, provides or causes to be furnished most other supervisory and administrative services the Funds require, including but not limited to, expenses of most third-party service providers (e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for shareholder meetings, New York Stock Exchange listing and related fees, tax services, valuation services and other services the Funds require for their daily operations.

 

Prior to the close of business on September 5, 2014, AGIFM served as the investment manager to each Fund and received annual fees, payable monthly, at the annual rates shown in the table below. Prior to the close of business on September 5, 2014, AGIFM retained PIMCO as sub-adviser to manage the Funds’ investments. AGIFM, and not the Funds, paid a portion of the fees it received as investment manager to PIMCO in return for its services. Management fees, as applicable, paid to AGIFM prior to the close of business on September 5, 2014, are disclosed on the Statements of Operations.

 

 

  ANNUAL REPORT   DECEMBER 31, 2015   63


Table of Contents

Notes to Financial Statements (Cont.)

 

 

Pursuant to the Agreement, PIMCO receives an annual fee, payable monthly, at the annual rates below:

 

Fund Name       Annual
Rate
    AGIFM
Rate
 

PIMCO Municipal Income Fund

      0.705% (1)      0.650% (1) 

PIMCO Municipal Income Fund II

      0.685% (1)      0.650% (1) 

PIMCO Municipal Income Fund III

      0.705% (1)      0.650% (1) 

PIMCO California Municipal Income Fund

      0.705% (1)      0.650% (1) 

PIMCO California Municipal Income Fund II

      0.705% (1)      0.650% (1) 

PIMCO California Municipal Income Fund III

      0.715% (1)      0.650% (1) 

PIMCO New York Municipal Income Fund

      0.770% (1)      0.650% (1) 

PIMCO New York Municipal Income Fund II

      0.735% (1)      0.650% (1) 

PIMCO New York Municipal Income Fund III

      0.860% (1)      0.650% (1) 

 

(1) 

Management fees calculated based on the Fund’s average daily net asset value (including daily net assets attributable to any preferred shares of the Fund that may be outstanding).

 

Prior to the close of business on September 5, 2014, in addition to the management fee paid to AGIFM, as described above, each Fund directly had borne expenses for other administrative services and costs, including expenses associated with various third-party service providers, such as audit, custodial, legal, transfer agency, printing and other services the Funds require. Effective beginning at the close of business on September 5, 2014, PIMCO (and not the Funds) bears such expenses with respect to each Fund pursuant to its management fee arrangements under the Agreement described above.

 

Fund Expenses  Each Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation or expenses, including travel expenses of any of the Fund’s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees, if any, levied against the Fund; (iii) brokerage fees and commissions and other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants retained in connection with reviewing, negotiating and structuring specialized loan and other investments made by the Fund, subject to specific or general authorization by the Fund’s Board); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v) costs, including interest expense, of borrowing money or engaging in other types of leverage financing, including, without limitation, through the use by the Fund of reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities; (vi) costs, including dividend and/or interest expenses and other costs (including, without limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements

for preferred shares or other securities issued by the Fund and other related requirements in the Fund’s organizational documents) associated with the Fund’s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other senior securities for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or other pooled investment vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, as may arise, including expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) organizational and offering expenses of the Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, and expenses associated with tender offers and other share repurchases and redemptions; and (xii) expenses of the Fund which are capitalized in accordance with U.S. GAAP.

 

Each of the Trustees of the Funds who is not an “interested person” under Section 2(a)(19) of the Act, (the “Independent Trustees”) also serves as a trustee of a number of other closed-end funds for which PIMCO serves as investment manager (together with the Funds, the “PIMCO Closed-End Funds”), as well as PIMCO Managed Accounts Trust, an open-end investment company with multiple series for which PIMCO serves as investment manager (“PMAT” and, together with the PIMCO Closed-End Funds, the “PIMCO-Managed Funds”). In addition, each of the Independent Trustees also serves as a trustee of certain investment companies (together, the “Allianz-Managed Funds”), for which Allianz Global Investors Fund Management (“AGIFM”), serves as investment adviser.

 

Prior to the close of business on September 5, 2014, each of the PIMCO-Managed Funds and Allianz-Managed Funds held joint meetings of their Boards of Trustees whenever possible, and each Trustee, other than any Trustee who was a director, officer, partner or employee of PIMCO, AGIFM or any entity controlling, controlled by or under common control with PIMCO or AGIFM, received annual compensation of $250,000 for service on the Boards of all of the PIMCO-Managed Funds and Allianz-Managed Funds, payable quarterly. The Independent Chairman of the Boards received an additional $75,000 annually, payable quarterly. The Audit Oversight Committee Chairman received an additional $50,000 annually, payable quarterly. Trustees were also reimbursed for meeting-related expenses.

 

 

64   PIMCO CLOSED-END FUNDS     


Table of Contents

 

December 31, 2015

 

 

During periods prior to September 5, 2014, each Trustee’s compensation and other costs in connection with joint meetings were allocated among the PIMCO-Managed Funds and Allianz-Managed Funds, as applicable, on the basis of fixed percentages as between such groups of Funds. Trustee compensation and other costs were then further allocated pro rata among the individual funds within each grouping based on the complexity of issues relating to each such fund and relative time spent by the Trustees in addressing them, and on each such fund’s relative net assets.

 

Subsequent to September 5, 2014, in connection with the new investment management agreement between the PIMCO-Managed Funds and PIMCO and the termination of the investment management agreement between the PIMCO-Managed Funds and AGIFM, each of the PIMCO-Managed Funds began holding, and are expected to continue to hold, joint meetings of their Boards of Trustees whenever possible, but will generally no longer hold joint meetings with the Allianz-Managed Funds. Under the new Board structure, each Independent Trustee receives annual compensation of $225,000 for his or her service on the Boards of the PIMCO-Managed Funds, payable quarterly. The Independent Chairman of the Boards receives an additional $75,000 per year, payable quarterly. The Audit Oversight Committee Chairman receives an additional $50,000 annually, payable quarterly. Trustees are also reimbursed for meeting-related expenses.

 

Each Trustee’s compensation for his or her service as a Trustee on the Boards of the PIMCO- Managed Funds and other costs in connection with joint meetings of such Funds are allocated among the PIMCO-Managed Funds, as applicable, on the basis of fixed percentages as between PMAT and the PIMCO Closed-End Funds. Trustee compensation and other costs will then be further allocated pro rata among the individual PIMCO-Managed Funds within each grouping based on each such PIMCO-Managed Fund’s relative net assets.

 

8. RELATED PARTY TRANSACTIONS

 

The Manager is a related party. Fees payable to this party are disclosed in Note 7 and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.

 

Certain Funds are permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the Act. Further, as defined under the procedures, each transaction is effected at the current market price.

During the periods ended December 31, 2015, the Funds below engaged in purchases and sales of securities pursuant to Rule 17a-7 of the Act (amounts in thousands):

 

Fund Name       Purchases     Sales  

PIMCO Municipal Income Fund (1)

    $ 9,219      $ 0   

PIMCO Municipal Income Fund II (2)

          10,204            8,128   

PIMCO California Municipal Income Fund (1)

      8,076        9,496   

PIMCO California Municipal Income Fund II (2)

      2,043        5,152   

PIMCO New York Municipal Income Fund (1)

      0        1,192   

PIMCO New York Municipal Income Fund II (2)

      1,882        0   

 

(1) 

Period from May 1, 2015 to December 31, 2015

(2) 

Period from June 1, 2015 to December 31, 2015

 

A zero balance may reflect actual amounts rounding to less than one thousand.

 

9. GUARANTEES AND INDEMNIFICATIONS

 

Under each Fund’s organizational documents, each Trustee and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. 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 occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

 

10. PURCHASES AND SALES OF SECURITIES

 

The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover involves correspondingly greater transaction costs to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates). The transaction costs and tax effects associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights.

 

 

  ANNUAL REPORT   DECEMBER 31, 2015   65


Table of Contents

Notes to Financial Statements (Cont.)

 

 

Purchases and sales of securities (excluding short-term investments) for the periods ended December 31, 2015, as indicated below, were as follows (amounts in thousands):

 

        U.S. Government/Agency     All Other  
Fund Name       Purchases     Sales     Purchases     Sales  

PIMCO Municipal Income Fund (1)

    $     0      $     0      $ 80,206      $ 79,649   

PIMCO Municipal Income Fund II (2)

      0        0            119,337            115,640   

PIMCO Municipal Income Fund III (3)

      0        0        13,034        11,800   

PIMCO California Municipal Income Fund (1)

      0        0        55,107        61,099   

PIMCO California Municipal Income Fund II (2)

      0        0        46,957        53,739   

PIMCO California Municipal Income Fund III (3)

      0        0        12,207        6,574   

PIMCO New York Municipal Income Fund (1)

      0        0        7,419        9,131   

PIMCO New York Municipal Income Fund II (2)

      0        0        20,907        14,523   

PIMCO New York Municipal Income Fund III (3)

      0        0        0        0   
         

 

(1) 

Period from May 1, 2015 to December 31, 2015

(2) 

Period from June 1, 2015 to December 31, 2015

(3) 

Period from October 1, 2015 to December 31, 2015

 

A zero balance may reflect actual amounts rounding to less than one thousand.

 

11. AUCTION-RATE PREFERRED SHARES

 

Each series of Auction-Rate Preferred Shares (“ARPS”) outstanding of each Fund has a liquidation preference of $25,000 per share plus any accumulated, unpaid dividends. Dividends are accumulated daily at an annual rate that is typically re-set every seven days through auction procedures (or through default procedures in the event of failed auctions). Distributions of net realized capital gains, if any, are paid annually.

 

For the periods ended December 31, 2015, the annualized dividend rates on the ARPS ranged from:

 

Fund Name       Shares
Issued and
Outstanding
    High     Low     As of
December 31, 2015
 

PIMCO Municipal Income Fund

         

Series A

      1,520        0.430%        0.122%        0.430%   

Series B

      1,520        0.430%        0.077%        0.430%   

Series C

      1,520        0.430%        0.077%        0.430%   

Series D

      1,520        0.430%        0.099%        0.430%   

Series E

      1,520        0.430%        0.110%        0.430%   

PIMCO Municipal Income Fund II

         

Series A

      2,936        0.430%        0.122%        0.430%   

Series B

      2,936        0.430%        0.077%        0.430%   

Series C

      2,936        0.430%        0.077%        0.430%   

Series D

      2,936        0.430%        0.099%        0.430%   

Series E

      2,936        0.430%        0.110%        0.430%   

PIMCO Municipal Income Fund III

         

Series A

      1,512        0.430%        0.133%        0.430%   

Series B

      1,512        0.430%        0.133%        0.430%   

Series C

      1,512        0.430%        0.133%        0.430%   

Series D

      1,512        0.430%        0.110%        0.430%   

Series E

      1,512        0.430%        0.110%        0.430%   

PIMCO California Municipal Income Fund

         

Series A

      2,000        0.430%        0.122%        0.430%   

Series B

      2,000        0.430%        0.077%        0.430%   

Series C

      2,000        0.430%        0.110%        0.430%   

 

66   PIMCO CLOSED-END FUNDS     


Table of Contents

 

December 31, 2015

 

Fund Name       Shares
Issued and
Outstanding
    High     Low     As of
December 31, 2015
 

PIMCO California Municipal Income Fund II

         

Series A

      1,304        0.430%        0.122%        0.430%   

Series B

      1,304        0.430%        0.077%        0.430%   

Series C

      1,304        0.430%        0.077%        0.430%   

Series D

      1,304        0.430%        0.099%        0.430%   

Series E

      1,304        0.430%        0.110%        0.430%   

PIMCO California Municipal Income Fund III

         

Series A

      2,500        0.430%        0.133%        0.430%   

Series B

      2,500        0.430%        0.110%        0.430%   

PIMCO New York Municipal Income Fund

         

Series A

      1,880        0.430%        0.077%        0.430%   

PIMCO New York Municipal Income Fund II

         

Series A

      1,580        0.430%        0.077%        0.430%   

Series B

      1,580        0.430%        0.110%        0.430%   

PIMCO New York Municipal Income Fund III

         

Series A

      1,280        0.430%        0.133%        0.430%   

 

Each Fund is subject to certain limitations and restrictions while ARPS are outstanding. Failure to comply with these limitations and restrictions could preclude a Fund from declaring or paying any dividends or distributions to common shareholders or repurchasing common shares and/or could trigger the mandatory redemption of ARPS at their liquidation preference plus any accumulated, unpaid dividends.

 

Preferred shareholders of each Fund, who are entitled to one vote per share, generally vote together with the common shareholders of the Fund but vote separately as a class to elect two Trustees of the Fund and on certain matters adversely affecting the rights of the ARPS.

 

Since mid-February 2008, holders of ARPS issued by the Funds have been directly impacted by a lack of liquidity, which has similarly affected ARPS holders in many of the nation’s closed-end funds. Since then, 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 the defined “maximum rate,” as defined for the Funds in the table below.

 

Applicable %
         Reference Rate          Maximum Rate
            The higher of 30-day “AA” Composite Commercial Paper Rates            
110%*     x      OR     =      Maximum Rate for the Funds
            The Taxable Equivalent of the Short-Term Municipal Obligation Rate**            

 

* 150% if all or part of the dividend consists of taxable income or capital gain.
** “Taxable Equivalent of the Short-Term Municipal Obligations Rate” means 90% of the quotient of (A) the per annum rate expressed on an interest equivalent basis equal to the S&P Municipal Bond 7-day High Grade Rate Index divided by (B) 1.00 minus the Marginal Tax Rate (defined as the maximum marginal regular Federal individual income tax rate applicable to an individual’s or a corporation’s ordinary income, whichever is greater).

 

The maximum rate is a function of short-term interest rates and is typically higher than the rate that would have otherwise been set through a successful auction. 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 each Fund’s common shareholders could be adversely affected.

 

  ANNUAL REPORT   DECEMBER 31, 2015   67


Table of Contents

Notes to Financial Statements (Cont.)

 

 

12. REGULATORY AND LITIGATION MATTERS

 

The Funds are not named as defendants in any material litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.

 

PIMCO has received a Wells Notice from the staff of the U.S. Securities and Exchange Commission (“SEC”) that relates to the PIMCO Total Return Active Exchange-Traded Fund (“BOND”), a series of PIMCO ETF Trust. The notice indicates the staff’s preliminary determination to recommend that the SEC commence a civil action against PIMCO stemming from a non-public investigation relating to BOND. A Wells Notice is neither a formal allegation of wrongdoing nor a finding that any law was violated.

 

This matter principally pertains to the valuation of smaller sized positions in non-agency mortgage-backed securities purchased by BOND between its inception on February 29, 2012 and June 30, 2012, BOND’s performance disclosures for that period, and PIMCO’s compliance policies and procedures related to these matters.

 

The Wells process provides PIMCO with the opportunity to demonstrate to the SEC staff why it believes its conduct was appropriate, in keeping with industry standards, and that no action should be taken. PIMCO believes that this matter is unlikely to have a material adverse effect on any Fund or on PIMCO’s ability to provide investment management services to any Fund.

 

The foregoing speaks only as of the date of this report.

 

13. FEDERAL INCOME TAX MATTERS

 

Each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.

 

The Funds may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be following the sale of any applicable investments.

 

In accordance with U.S. GAAP, the Manager has reviewed the Funds’ tax positions for all open tax years. As of December 31, 2015, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.

 

Each Fund files U.S. tax returns. While the statute of limitations remains open to examine the Funds’ U.S. tax returns filed for the fiscal years from 2012-2014, no examinations are in progress or anticipated at this time. No Fund is aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

 

 

As of December 31, 2015, the components of distributable taxable earnings are as follows (amounts in thousands):

 

        

Undistributed

Tax Exempt

Income

   

Undistributed

Ordinary

Income

   

Undistributed

Long-Term

Capital Gains

   

Net Tax Basis
Unrealized

Appreciation/
(Depreciation) (1)

   

Other

Book-to-Tax

Accounting

Differences (2)

   

Accumulated

Capital

Losses (3)

   

Qualified

Post-October

Loss Deferral

Capital (4)

   

Qualified

Late-Year Loss

Deferral

Ordinary (5)

 

PIMCO Municipal Income Fund

     $ 2,129      $   —        $   —        $ 61,196      $ —        $ (55,033   $   —        $   —     

PIMCO Municipal Income Fund II

         26,677        —          —            115,247        —          (184,983     —          —     

PIMCO Municipal Income Fund III

       430        —          —          68,530        —          (139,120     —          —     

PIMCO California Municipal Income Fund

       13,194        —          —          48,627        —          (33,610     (1     —     

PIMCO California Municipal Income Fund II

       —          —          —          59,508          (1,268       (176,464     —          —     

PIMCO California Municipal Income Fund III

       4,864        —          —          39,698        —          (106,086     —          —     

PIMCO New York Municipal Income Fund

       2,432        —          —          13,625        —          (20,315     —          —     

PIMCO New York Municipal Income Fund II

       274        —          —          20,082        —          (42,292     (1     —     

PIMCO New York Municipal Income Fund III

       911        —          —          8,379        —          (30,550     —          —     

 

(1) 

Adjusted for open wash sale loss deferrals and inverse floater transactions. Also adjusted for differences between book and tax defaulted bond interest accrual.

(2) 

Represents differences in income tax regulations and financial accounting principles generally accepted in the United States of America, namely for distributions payable at fiscal year-end.

(3) 

Capital losses available to offset future net capital gains expire in varying amounts in the years shown below.

(4) 

Capital losses realized during the period November 1, 2015 through December 31, 2015, which the Funds elected to defer to the following taxable year pursuant to income tax regulations.

(5) 

Specified losses realized during the period November 1, 2015 through December 31, 2015, which the Funds elected to defer to the following taxable year pursuant to income tax regulations

 

68   PIMCO CLOSED-END FUNDS     


Table of Contents

December 31, 2015

 

As of December 31, 2015, the Fund’s had accumulated capital losses expiring in the following years (amounts in thousands). The Funds will resume capital gain distributions in the future to the extent gains are realized in excess of accumulated capital losses.

 

         Expiration of Accumulated Capital Losses  
         12/31/2016      12/31/2017      12/31/2018      12/31/2019  

PIMCO Municipal Income Fund

     $ 891       $ 49,232       $   —         $   —     

PIMCO Municipal Income Fund II

       7,955           164,802         —           —     

PIMCO Municipal Income Fund III

         11,389         116,860         695         —     

PIMCO California Municipal Income Fund

       —           23,867         —           —     

PIMCO California Municipal Income Fund II

       18,401         157,995         —           —     

PIMCO California Municipal Income Fund III

       9,243         89,815         —           —     

PIMCO New York Municipal Income Fund

       3,099         16,947         —           —     

PIMCO New York Municipal Income Fund II

       2,962         34,379         —           —     

PIMCO New York Municipal Income Fund III

       3,264         26,936         —           —     

 

Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under previous law.

 

As of December 31, 2015, the Funds had the following post-effective capital losses with no expiration (amounts in thousands):

 

         Short-Term      Long-Term  

PIMCO Municipal Income Fund

     $ 4,689       $ 221   

PIMCO Municipal Income Fund II

         12,226         —     

PIMCO Municipal Income Fund III

       7,978           2,198   

PIMCO California Municipal Income Fund

       9,743         —     

PIMCO California Municipal Income Fund II

       68         —     

PIMCO California Municipal Income Fund III

       6,921         107   

PIMCO New York Municipal Income Fund

       269         —     

PIMCO New York Municipal Income Fund II

       4,336         615   

PIMCO New York Municipal Income Fund III

       350         —     

 

As of December 31, 2015, the aggregate cost and the net unrealized appreciation (depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):

 

        

Federal

Tax Cost

    

Unrealized

Appreciation

    

Unrealized

(Depreciation)

    

Net Unrealized

Appreciation/

(Depreciation) (6)

 

PIMCO Municipal Income Fund

     $ 474,229       $ 65,902       $   (4,319    $ 61,583   

PIMCO Municipal Income Fund II

         1,055,578           118,590         (2,796        115,794   

PIMCO Municipal Income Fund III

       514,515         71,267         (2,511      68,756   

PIMCO California Municipal Income Fund

       397,353         48,735         (111      48,624   

PIMCO California Municipal Income Fund II

       411,903         60,990         (1,480      59,510   

PIMCO California Municipal Income Fund III

       338,159         39,787         (91      39,696   

PIMCO New York Municipal Income Fund

       133,410         14,129         (727      13,402   

PIMCO New York Municipal Income Fund II

       191,192         20,766         (654      20,112   

PIMCO New York Municipal Income Fund III

       81,637         8,562         (185      8,377   

 

(6) 

Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) on investments are attributable to wash sale loss deferrals and inverse floater transactions for federal income tax purposes.

 

  ANNUAL REPORT   DECEMBER 31, 2015   69


Table of Contents

Notes to Financial Statements (Cont.)

 

For the fiscal year ended December 31, 2015 and each Fund’s respective previous fiscal year end, the Funds made the following tax basis distributions (amounts in thousands):

 

        Period from May 1, 2015 to
December 31, 2015
        Year Ended April 30, 2015         Year Ended April 30, 2014  
       

Tax-Exempt

Income

Distributions

   

Ordinary

Income

Distributions (7)

   

Long-Term

Capital Gain

Distributions

   

Return of

Capital (8)

       

Tax-Exempt

Income

Distributions

   

Ordinary

Income

Distributions (7)

   

Long-Term

Capital Gain

Distributions

   

Return of

Capital (8)

       

Tax-Exempt

Income

Distributions

   

Ordinary

Income

Distributions (7)

   

Long-Term

Capital Gain

Distributions

   

Return of

Capital (8)

 

PIMCO Municipal Income Fund

    $   15,511      $   1,282      $  —        $   —          $   24,027      $   981      $   —        $   —          $   24,500      $   473      $   —        $ —     

PIMCO California Municipal Income Fund

      11,447        205        —          —            17,057        291        —          —            17,010        325        —          —     

PIMCO New York Municipal Income Fund

      3,547        21        —          —            5,295        28        —          —            5,238        82        —          —     
        Period from June 1, 2015 to
December 31, 2015
        Year Ended May 31, 2015         Year Ended May 31, 2014  
        Tax-Exempt
Income
Distributions
    Ordinary
Income
Distributions (7)
    Long-Term
Capital Gain
Distributions
    Return of
Capital (8)
        Tax-Exempt
Income
Distributions
    Ordinary
Income
Distributions (7)
    Long-Term
Capital Gain
Distributions
    Return of
Capital (8)
        Tax-Exempt
Income
Distributions
    Ordinary
Income
Distributions (7)
    Long-Term
Capital Gain
Distributions
    Return of
Capital (8)
 

PIMCO Municipal Income Fund II

    $ 27,797      $ 463      $ —        $ —          $ 47,405      $ 755      $ —        $ —          $ 47,167      $ 855      $ —        $ —     

PIMCO California Municipal Income Fund II

      11,634        508        —          —            19,815        866        —          —            20,391        748        —            2,253   

PIMCO New York Municipal Income Fund II

      5,120        79        —          —            8,667        173        —          —            8,647        155        —          —     
        Period from October 1, 2015 to
December 31, 2015
        Year Ended September 30, 2015         Year Ended September 30, 2014  
        Tax-Exempt
Income
Distributions
    Ordinary
Income
Distributions (7)
    Long-Term
Capital Gain
Distributions
    Return of
Capital (8)
        Tax-Exempt
Income
Distributions
    Ordinary
Income
Distributions (7)
    Long-Term
Capital Gain
Distributions
    Return of
Capital (8)
        Tax-Exempt
Income
Distributions
    Ordinary
Income
Distributions (7)
    Long-Term
Capital Gain
Distributions
    Return of
Capital (8)
 

PIMCO Municipal Income Fund III

    $ 6,096      $ 108      $ —        $ —          $ 24,340      $ 288      $ —        $ —          $ 25,767      $ 274      $ —        $ —     

PIMCO California Municipal Income Fund III

      4,009        42        —          —            15,897        185        —          —            15,884        148        —          —     

PIMCO New York Municipal Income Fund III

      905        6        —          —            3,590        22        —          —            3,554        43        —          —     
                             
(7) 

Includes short-term capital gains distributed, if any.

(8) 

A portion of the distributions made represents a tax return of capital. Return of capital distributions have been reclassified from undistributed net investment income to paid-in capital to more appropriately conform financial accounting to tax accounting.

 

14. SUBSEQUENT EVENTS

 

In preparing these financial statements, the Funds’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

 

On January 4, 2016, the following distributions were declared to common shareholders payable February 1, 2016, to shareholders of record on January 14, 2016:

 

PIMCO Municipal Income Fund

    $   0.08125 per common share   

PIMCO Municipal Income Fund II

    $ 0.06500 per common share   

PIMCO Municipal Income Fund III

    $ 0.06230 per common share   

PIMCO California Municipal Income Fund

    $ 0.07700 per common share   

PIMCO California Municipal Income Fund II

    $ 0.05375 per common share   

PIMCO California Municipal Income Fund III

    $ 0.06000 per common share   

PIMCO New York Municipal Income Fund

    $ 0.05700 per common share   

PIMCO New York Municipal Income Fund II

    $ 0.06625 per common share   

PIMCO New York Municipal Income Fund III

    $ 0.05250 per common share   

 

70   PIMCO CLOSED-END FUNDS     


Table of Contents

December 31, 2015

 

 

On February 1, 2016, the following distributions were declared to common shareholders payable March 1, 2016, to shareholders of record on February 11, 2016:

 

PIMCO Municipal Income Fund

    $   0.08125 per common share   

PIMCO Municipal Income Fund II

    $ 0.06500 per common share   

PIMCO Municipal Income Fund III

    $ 0.06230 per common share   

PIMCO California Municipal Income Fund

    $ 0.07700 per common share   

PIMCO California Municipal Income Fund II

    $ 0.05375 per common share   

PIMCO California Municipal Income Fund III

    $ 0.06000 per common share   

PIMCO New York Municipal Income Fund

    $ 0.05700 per common share   

PIMCO New York Municipal Income Fund II

    $ 0.06625 per common share   

PIMCO New York Municipal Income Fund III

    $ 0.05250 per common share   

 

There were no other subsequent events identified that require recognition or disclosure.

 

  ANNUAL REPORT   DECEMBER 31, 2015   71


Table of Contents

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees and Shareholders of

PIMCO Municipal Income Fund

PIMCO Municipal Income Fund II

PIMCO Municipal Income Fund III

PIMCO California Municipal Income Fund

PIMCO California Municipal Income Fund II

PIMCO California Municipal Income Fund III

PIMCO New York Municipal Income Fund

PIMCO New York Municipal Income Fund II

PIMCO New York Municipal Income Fund III

 

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of PIMCO Municipal Income Fund, PIMCO Municipal Income Fund II, PIMCO Municipal Income Fund III, PIMCO California Municipal Income Fund, PIMCO California Municipal Income Fund II, PIMCO California Municipal Income Fund III, PIMCO New York Municipal Income Fund, PIMCO New York Municipal Income Fund II and PIMCO New York Municipal Income Fund III (the “Funds”) at December 31, 2015, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, agent banks and brokers, provide a reasonable basis for our opinion.

 

PricewaterhouseCoopers LLP

Kansas City, Missouri

February 25, 2016

 

72   PIMCO CLOSED-END FUNDS     


Table of Contents

Glossary: (abbreviations that may be used in the preceding statements)

 

(Unaudited)

 

Counterparty Abbreviations:                  
SAL   

Citigroup Global Markets, Inc.

         
Currency Abbreviations:                  
USD (or $)   

United States Dollar

         
Municipal Abbreviations:                  
ACA   

American Capital Access Holding Ltd.

  AMBAC   

American Municipal Bond Assurance Corp.

  IBC   

Insured Bond Certificate

AGC   

Assured Guaranty Corp.

  FGIC   

Financial Guaranty Insurance Co.

  NPFGC   

National Public Finance Guarantee Corp.

AGM   

Assured Guaranty Municipal

  FHA   

Federal Housing Administration

    

 

  ANNUAL REPORT   DECEMBER 31, 2015   73


Table of Contents

Shareholder Meeting Results

 

The Funds held their annual meetings of shareholders on December 23, 2015. Common/Preferred shareholders voted as indicated below:

 

PIMCO California Municipal Income Fund       Affirmative     Withheld
Authority
 
Re-election of Alan Rappaport — Class I to serve until the annual meeting for the 2018 fiscal year       16,763,893        294,387   
Re-election of Hans W. Kertess* — Class I to serve until the annual Meeting for the 2018 fiscal year       4,495        174   
Re-election of William B. Ogden, IV — Class I to serve until the annual Meeting for the 2018 fiscal year       16,742,617        315,663   

 

The other members of the Board of Trustees at the time of the meeting, namely, Messrs. James A. Jacobson, Bradford K. Gallagher, John C. Maney and Craig A. Dawson and Ms. Deborah A. DeCotis continued to serve as Trustees of the Fund.

 

* Preferred Share Trustee

 

PIMCO Municipal Income Fund       Affirmative     Withheld
Authority
 
Re-election of Alan Rappaport — Class I to serve until the annual meeting for the 2018 fiscal year       22,212,163        590,145   
Re-election of Hans W. Kertess* — Class I to serve until the annual Meeting for the 2018 fiscal year       6,476        150   
Re-election of William B. Ogden, IV — Class I to serve until the annual Meeting for the 2018 fiscal year       22,245,636        556,672   

 

The other members of the Board of Trustees at the time of the meeting, namely, Messrs. James A. Jacobson, Bradford K. Gallagher, John C. Maney and Craig A. Dawson and Ms. Deborah A. DeCotis continued to serve as Trustees of the Fund.

 

* Preferred Share Trustee

 

PIMCO New York Municipal Income Fund       Affirmative     Withheld
Authority
 
Re-election of Alan Rappaport — Class I to serve until the annual meeting for the 2018 fiscal year       6,793,547        353,843   
Re-election of Hans W. Kertess* — Class I to serve until the annual Meeting for the 2018 fiscal year       1,496        73   
Re-election of William B. Ogden, IV — Class I to serve until the annual Meeting for the 2018 fiscal year       6,793,547        353,843   

 

The other members of the Board of Trustees at the time of the meeting, namely, Messrs. James A. Jacobson, Bradford K. Gallagher, John C. Maney and Craig A. Dawson and Ms. Deborah A. DeCotis continued to serve as Trustees of the Fund.

 

* Preferred Share Trustee

 

PIMCO California Municipal Income Fund II       Affirmative     Withheld
Authority
 
Re-election of Alan Rappaport — Class I to serve until the annual meeting for the 2018 fiscal year       26,436,475        1,085,518   
Re-election of Hans W. Kertess* — Class I to serve until the annual Meeting for the 2018 fiscal year       3,880        327   
Re-election of William B. Ogden, IV — Class I to serve until the annual Meeting for the 2018 fiscal year       26,379,308        1,142,685   

 

The other members of the Board of Trustees at the time of the meeting, namely, Messrs. James A. Jacobson, Bradford K. Gallagher, John C. Maney and Craig A. Dawson and Ms. Deborah A. DeCotis continued to serve as Trustees of the Fund.

 

* Preferred Share Trustee

 

PIMCO Municipal Income Fund II       Affirmative     Withheld
Authority
 
Re-election of Alan Rappaport — Class I to serve until the annual meeting for the 2018 fiscal year       53,864,657        1,428,703   
Re-election of Hans W. Kertess* — Class I to serve until the annual Meeting for the 2018 fiscal year       11,229        497   
Re-election of William B. Ogden, IV — Class I to serve until the annual Meeting for the 2018 fiscal year       53,821,846        1,471,514   

 

The other members of the Board of Trustees at the time of the meeting, namely, Messrs. James A. Jacobson, Bradford K. Gallagher, John C. Maney and Craig A. Dawson and Ms. Deborah A. DeCotis continued to serve as Trustees of the Fund.

 

* Preferred Share Trustee

 

74   PIMCO CLOSED-END FUNDS     


Table of Contents

(Unaudited)

 

 

PIMCO New York Municipal Income Fund II       Affirmative     Withheld
Authority
 
Re-election of Alan Rappaport — Class I to serve until the annual meeting for the 2018 fiscal year       9,120,483        336,830   
Re-election of Hans W. Kertess* — Class I to serve until the annual Meeting for the 2018 fiscal year       2,456        58   
Re-election of William B. Ogden, IV — Class I to serve until the annual Meeting for the 2018 fiscal year       9,108,302        349,011   

 

The other members of the Board of Trustees at the time of the meeting, namely, Messrs. James A. Jacobson, Bradford K. Gallagher, John C. Maney and Craig A. Dawson and Ms. Deborah A. DeCotis continued to serve as Trustees of the Fund.

 

* Preferred Share Trustee

 

PIMCO California Municipal Income Fund III       Affirmative     Withheld
Authority
 
Re-election of Alan Rappaport* — Class I to serve until the annual meeting for the 2018 fiscal year       3,508        215   
Re-election of Hans W. Kertess — Class I to serve until the annual Meeting for the 2018 fiscal year       19,594,727        557,141   
Re-election of William B. Ogden, IV — Class I to serve until the annual Meeting for the 2018 fiscal year       19,640,838        511,030   

 

The other members of the Board of Trustees at the time of the meeting, namely, Messrs. James A. Jacobson, Bradford K. Gallagher, John C. Maney and Craig A. Dawson and Ms. Deborah A. DeCotis continued to serve as Trustees of the Fund.

 

* Preferred Share Trustee

 

PIMCO Municipal Income Fund III       Affirmative     Withheld
Authority
 
Re-election of Alan Rappaport* — Class I to serve until the annual meeting for the 2018 fiscal year       5,779        103   
Re-election of Hans W. Kertess — Class I to serve until the annual Meeting for the 2018 fiscal year       28,068,714        867,931   
Re-election of William B. Ogden, IV — Class I to serve until the annual Meeting for the 2018 fiscal year       28,101,354        835,291   

 

The other members of the Board of Trustees at the time of the meeting, namely, Messrs. James A. Jacobson, Bradford K. Gallagher, John C. Maney and Craig A. Dawson and Ms. Deborah A. DeCotis continued to serve as Trustees of the Fund.

 

* Preferred Share Trustee

 

PIMCO New York Municipal Income Fund III       Affirmative     Withheld
Authority
 
Re-election of Alan Rappaport* — Class I to serve until the annual meeting for the 2018 fiscal year       1,129        3   
Re-election of Hans W. Kertess — Class I to serve until the annual Meeting for the 2018 fiscal year       4,741,619        267,567   
Re-election of William B. Ogden, IV — Class I to serve until the annual Meeting for the 2018 fiscal year       4,743,195        265,991   

 

The other members of the Board of Trustees at the time of the meeting, namely, Messrs. James A. Jacobson, Bradford K. Gallagher, John C. Maney and Craig A. Dawson and Ms. Deborah A. DeCotis continued to serve as Trustees of the Fund.

 

* Preferred Share Trustee

 

  ANNUAL REPORT   DECEMBER 31, 2015   75


Table of Contents

Changes to Portfolio Managers

 

(Unaudited)

 

Effective August 20, 2015, David Hammer joined Joseph Deane as co-Portfolio Manager of each Fund

 

Mr. Hammer is an Executive Vice President and Municipal Bond Portfolio Manager based in New York. He first joined PIMCO in 2012 as a Senior Vice President. In 2014, he joined Morgan Stanley as Managing Director, Head of Municipal Trading and Research, responsible for institutional and retail municipal trading, risk management and municipal credit research. Mr. Hammer re-joined PIMCO in 2015. Prior to first joining PIMCO in 2012, he was an Executive Director at Morgan Stanley, where he served as head of the high yield and distressed municipal bond trading group. Mr. Hammer holds a Bachelor’s Degree from Syracuse University.

 

76   PIMCO CLOSED-END FUNDS     


Table of Contents

Investment Strategy Updates

 

(Unaudited)

 

Effective October 6, 2015, each of PIMCO Municipal Income Fund, PIMCO California Municipal Income Fund and PIMCO New York Municipal Income Fund rescinded the following non-fundamental investment policy:

 

The staff of the SEC has taken the position that purchased over-the-counter (“OTC”) options and the assets used as cover for written OTC options are illiquid securities. Therefore, the Fund has adopted an investment policy pursuant to which it will not purchase or sell OTC options if, as a result of such transactions, the sum of: 1) the market value of OTC options currently outstanding which are held by the Fund, 2) the market value of the underlying securities covered by OTC call options currently outstanding which were sold by the Fund and 3) margin deposits on the Fund’s existing OTC options on futures contracts, exceeds 15% of the net assets of the Fund, taken at market value, together with all other assets of the Fund which are illiquid or are otherwise not readily marketable. However, if an OTC option is sold by the Fund to a primary U.S. Government securities dealer recognized by the Federal Reserve Bank of New York and if the Fund has the unconditional contractual right to repurchase such OTC option from the dealer at a predetermined price, then the Fund will treat as illiquid such amount of the underlying securities equal to the repurchase price less the amount by which the option is “in-the-money” (i.e., current market value of the underlying securities minus the option’s strike price). The repurchase price with the primary dealers is typically a formula price which is generally based on a multiple of the premium received for the

option, plus the amount by which the option is “in-the-money.” This policy is not a fundamental policy of the Fund and may be amended by the Trustees without the approval of shareholders. However, the Fund will not change or modify this policy prior to the change or modification by the SEC staff of its position.

 

Effective October 6, 2015, each Fund adopted the following non-fundamental investment policy:

 

The staff of the SEC has taken the position that purchased OTC options and the assets used as cover for written OTC options should generally be treated as illiquid. However, the staff of the SEC has also taken the position that the determination of whether a particular instrument is liquid should be made under guidelines and standards established by a fund’s board of trustees. The SEC staff has provided examples of factors that may be taken into account in determining whether a particular instrument should be treated as liquid. Pursuant to policies adopted by the Fund’s Board of Trustees, purchased OTC options and the assets used as cover for OTC options written by a Fund may be treated as liquid under certain circumstances, such as when PIMCO has the contractual right to terminate or close out the OTC option on behalf of a Fund within seven days. These policies are not fundamental policies of the Funds and may be changed or modified by the Board of Trustees without the approval of shareholders, provided that any such change or modification will be consistent with applicable positions of the SEC staff.

 

 

  ANNUAL REPORT   DECEMBER 31, 2015   77


Table of Contents

Dividend Reinvestment Plan

 

Each Fund has adopted a Dividend Reinvestment Plan (the “Plan”) which allows common shareholders to reinvest Fund distributions in additional common shares of the Fund. American Stock Transfer & Trust Company, LLC (the “Plan Agent”) serves as agent for common shareholders in administering the Plan. It is important to note that participation in the Plan and automatic reinvestment of Fund distributions does not ensure a profit, nor does it protect against losses in a declining market.

 

Automatic enrollment/voluntary participation  Under the Plan, common shareholders whose shares are registered with the Plan Agent (“registered shareholders”) are automatically enrolled as participants in the Plan and will have all Fund distributions of income, capital gains and returns of capital (together, “distributions”) reinvested by the Plan Agent in additional common shares of a Fund, unless the shareholder elects to receive cash. Registered shareholders who elect not to participate in the Plan will receive all distributions in cash paid by check and mailed directly to the shareholder of record (or if the shares are held in street or other nominee name, to the nominee) by the Plan Agent. Participation in the Plan is voluntary. Participants may terminate or resume their enrollment in the Plan at any time without penalty by notifying the Plan Agent online at www.amstock.com, by calling (844) 33PIMCO (844-337-4626), by writing to the Plan Agent, American Stock Transfer & Trust Company, LLC, at P.O. Box 922, Wall Street Station, New York, NY 10269-0560, or, as applicable, by completing and returning the transaction form attached to a Plan statement. A proper notification will be effective immediately and apply to each Fund’s next distribution if received by the Plan Agent at least three (3) days prior to the record date for the distribution; otherwise, a notification will be effective shortly following the Fund’s next distribution and will apply to the Fund’s next succeeding distribution thereafter. If you withdraw from the Plan and so request, the Plan Agent will arrange for the sale of your shares and send you the proceeds, minus a transaction fee and brokerage commissions.

 

How shares are purchased under the Plan  For each Fund distribution, the Plan Agent will acquire common shares for participants either (i) through receipt of newly issued common shares from each Fund (“newly issued shares”) or (ii) by purchasing common shares of the Fund on the open market (“open market purchases”). If, on a distribution payment date, the net asset value per common shares of each Fund (“NAV”) is equal to or less than the market price per common shares plus estimated brokerage commissions (often referred to as a “market premium”), the Plan Agent will invest the distribution amount on behalf of participants in newly issued shares at a price equal to the greater of (i) NAV or (ii) 95% of the market price per common share on the payment date. If the NAV is greater than the

market price per common shares plus estimated brokerage commissions (often referred to as a “market discount”) on a distribution payment date, the Plan agent will instead attempt to invest the distribution amount through open market purchases. If the Plan Agent is unable to invest the full distribution amount in open market purchases, or if the market discount shifts to a market premium during the purchase period, the Plan Agent will invest any un-invested portion of the distribution in newly issued shares at a price equal to the greater of (i) NAV or (ii) 95% of the market price per share as of the last business day immediately prior to the purchase date (which, in either case, may be a price greater or lesser than the NAV per common shares on the distribution payment date). No interest will be paid on distributions awaiting reinvestment. Under the Plan, the market price of common shares on a particular date is the last sales price on the exchange where the shares are listed on that date or, if there is no sale on the exchange on that date, the mean between the closing bid and asked quotations for the shares on the exchange on that date.

 

The NAV per common share on a particular date is the amount calculated on that date (normally at the close of regular trading on the New York Stock Exchange) in accordance with each Fund’s then current policies.

 

Fees and expenses  No brokerage charges are imposed on reinvestments in newly issued shares under the Plan. However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases. There are currently no direct service charges imposed on participants in the Plan, although each Fund reserves the right to amend the Plan to include such charges. The Plan Agent imposes a transaction fee (in addition to brokerage commissions that are incurred) if it arranges for the sale of your common shares held under the Plan.

 

Shares held through nominees  In the case of a registered shareholder such as a broker, bank or other nominee (together, a “nominee”) that holds common shares for others who are the beneficial owners, the Plan Agent will administer the Plan on the basis of the number of common shares certified by the nominee/record shareholder as representing the total amount registered in such shareholder’s name and held for the account of beneficial owners who are to participate in the Plan. If your common shares are held through a nominee and are not registered with the Plan Agent, neither you nor the nominee will be participants in or have distributions reinvested under the Plan. If you are a beneficial owner of common shares and wish to participate in the Plan, and your nominee is unable or unwilling to become a registered shareholder and a Plan participant on your behalf, you may request that your nominee arrange to have all or a portion of your shares re-registered with the Plan Agent in your

 

 

78   PIMCO CLOSED-END FUNDS     


Table of Contents

(Unaudited)

 

name so that you may be enrolled as a participant in the Plan. Please contact your nominee for details or for other possible alternatives. Participants whose shares are registered with the Plan Agent in the name of one nominee firm may not be able to transfer the shares to another firm and continue to participate in the Plan.

 

Tax consequences  Automatically reinvested dividends and distributions are taxed in the same manner as cash dividends and distributions — i.e., automatic reinvestment in additional shares does not relieve shareholders of, or defer the need to pay, any income tax that may be payable (or that is required to be withheld) on Fund dividends and distributions. The Funds and the Plan Agent reserve the right to amend or terminate the Plan. Additional information about the Plan, as well as a copy of the full Plan itself, may be obtained from the Plan Agent, American Stock Transfer & Trust Company, LLC, at P.O. Box 922, Wall Street Station, New York, NY 10269-0560; telephone number: (844) 33-PIMCO (844-337-4626); website: www.amstock.com.

 

 

  ANNUAL REPORT   DECEMBER 31, 2015   79


Table of Contents

Management of the Funds

 

The chart below identifies Trustees and Officers of the Funds. Unless otherwise indicated, the address of all persons below is c/o Pacific Investment Management Company LLC, 1633 Broadway, New York, New York 10019.

 

Trustees

 

Name And
Year of Birth
  Position(s)
Held
with the
Funds
  Term of
Office and
Length of
Time Served
  Principal Occupation(s)
During the Past 5 Years
   Number
of Portfolios
in Fund
Complex
Overseen by
Trustee
   Other
Directorships
Held by
Trustee
During the
Past 5 Years

Independent Trustees

Hans W. Kertess

1939

  Chairman of the Board, Trustee   Trustee of PMF, PCQ and PNF since 2001, of PML, PCK and PNI since 2002 and of PMX, PZC and PYN since 2003, expected to stand for re-election at the annual meeting of shareholders during the 2018 fiscal year for each Fund.   President, H. Kertess & Co., a financial advisory company; and Senior Adviser (formerly Managing Director), Royal Bank of Canada Capital Markets (since 2004).    91    None
Deborah A. DeCotis 1952   Trustee   Trustee of the Funds since 2011, expected to stand for re-election at the annual meeting of shareholders during the 2016 fiscal year for PMF, PCQ, PNF, PCK, PNI and PML and during the 2017 fiscal year for PMX, PZC and PYN.   Advisory Director, Morgan Stanley & Co., Inc. (since 1996); Circle Financial Group (since 2009); and Member, Council on Foreign Relations (since 2013). Formerly, Trustee, Stanford University (2010-2015); Co-Chair Special Projects Committee, Memorial Sloan Kettering (2005-2015); Director, Helena Rubenstein Foundation (1997-2010); Principal, LaLoop LLC, a retail accessories company (1999-2014); and Director, Armor Holdings (2002-2010).    91    None
Bradford K. Gallagher 1944   Trustee   Trustee of the Funds since 2010, expected to stand for re-election at the annual meeting of shareholders during the 2017 fiscal year for PMF, PCQ, PNF, PCK, PNI and PML and during the 2016 fiscal year for PMX, PCZ and PYN.   Retired. Founder, Spyglass Investments LLC, a private investment vehicle (since 2001). Formerly, Partner, New Technology Ventures Capital Management LLC, a venture capital fund (2011-2013); Chairman and Trustee, Atlantic Maritime Heritage Foundation (2007-2012); Founder, President and CEO, Cypress Holding Company and Cypress Tree Investment Management Company (1995-2001); and Chairman and Trustee, The Common Fund (2005-2014).    91    Formerly, Chairman and Trustee of Grail Advisors ETF Trust (2009- 2010) and Trustee of Nicholas- Applegate Institutional Funds (2007- 2010).
James A. Jacobson 1945   Trustee   Trustee of the Funds since 2009, expected to stand for re-election at the annual meeting of shareholders during the 2016 fiscal year for each Fund.   Retired. Trustee (since 2002) and Chairman of Investment Committee (since 2007), Ronald McDonald House of New York; Trustee, New Jersey City University (since 2014). Formerly, Vice Chairman and Managing Director, Spear, Leeds & Kellogg Specialists, LLC, a specialist firm on the New York Stock Exchange (2003-2008).    91    Trustee, Alpine Mutual Funds Complex consisting of 18 funds.
William B. Ogden, IV 1945   Trustee   Trustee of the Funds since 2006, expected to stand for re-election at the annual meeting of shareholders during the 2018 fiscal year for each Fund.   Retired. Formerly, Asset Management Industry Consultant; and Managing Director, Investment Banking Division of Citigroup Global Markets Inc.    91    None

Alan Rappaport

1953

  Trustee   Trustee of the Funds since 2010, expected to stand for re-election at the annual meeting of shareholders during the 2018 fiscal year for each Fund.   Advisory Director (formerly Vice Chairman), Roundtable Investment Partners (since 2009); Adjunct Professor, New York University Stern School of Business (since 2011); Lecturer, Stanford University Graduate School of Business (since 2013); Member of Board of Overseers, NYU Langone Medical Center (since 2015); and Director, Victory Capital Holdings, Inc., an asset management firm (since 2013). Formerly, Trustee, American Museum of Natural History (2005-2015); Trustee, NYU Langone Medical Center (2007-2015); Vice Chairman, US Trust (formerly Chairman and President of Private Bank of Bank of America, the predecessor entity of US Trust) (2001-2008).    91    None

 

80   PIMCO CLOSED-END FUNDS     


Table of Contents

(Unaudited)

 

Name And
Year of Birth
  Position(s)
Held
with the
Funds
  Term of
Office and
Length of
Time Served
  Principal Occupation(s)
During the Past 5 Years
   Number
of Portfolios
in Fund
Complex
Overseen by
Trustee
   Other
Directorships
Held by
Trustee
During the
Past 5 Years

Interested Trustees

Craig A. Dawson* 1968   Trustee   Trustee of the Funds since 2014, expected to stand for re-election at the annual meeting of shareholders during the 2017 fiscal year for each Fund.   Managing Director and Head of Strategic Business Management, PIMCO (since 2014). Director of a number of PIMCO’s European investment vehicles and affiliates (since 2008). Formerly, head of PIMCO’s Munich office and head of European product management for PIMCO.    25    None
John C. Maney** 1959   Trustee   Trustee of the Funds since 2006, expected to stand for re-election at the annual meeting of shareholders during the 2017 fiscal year for each Fund.   Managing Director of Allianz Asset Management of America L.P. (since January 2005) and a member of the Management Board and Chief Operating Officer of Allianz Asset Management of America L.P. (since November 2006). Formerly, Member of the Management Board of Allianz Global Investors Fund Management LLC (2007-2014) and Managing Director of Allianz Global Investors Fund Management LLC (2011-2014).    25    None

 

* Mr. Dawson is an “interested person” of the Funds, as defined in Section 2(a)(19) of the Act, due to his affiliation with PIMCO and its affiliates. Mr. Dawson’s address is 650 Newport Center Drive, Newport Beach, CA 92660.

** Mr. Maney is an “interested person” of the Funds, as defined in Section 2(a)(19) of the Act, due to his affiliation with Allianz Asset Management of America L.P. and its affiliates. Mr. Maney’s address is 650 Newport Center Drive, Newport Beach, CA 92660.

 

  ANNUAL REPORT   DECEMBER 31, 2015   81


Table of Contents

Management of the Funds (Cont.)

 

(Unaudited)

 

Officers

 

Name, Address and
Year of Birth
  Position(s)
Held
with Funds
   Term of Office
and Length
of Time Served
   Principal Occupation(s) During Past 5 Years*
Peter G. Strelow1 1970   President    Since 2014    Managing Director, PIMCO. President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.

Youse Guia1

1972

  Chief Compliance Officer    Since 2014    Senior Vice President and Deputy Chief Compliance Officer, PIMCO. Chief Compliance Officer, PIMCO-Managed Funds. Formerly, Head of Compliance, Allianz Global Investors U.S. Holdings LLC and Chief Compliance Officer of the Allianz Funds, Allianz Multi-Strategy Trust, Allianz Global Investors Sponsored Closed-End Funds, Premier Multi-Series VIT and The Korea Fund, Inc.
Joshua D. Ratner 1976   Vice President, Secretary and Chief Legal Officer    Since 2014    Executive Vice President and Senior Counsel, PIMCO. Chief Legal Officer, PIMCO Investments LLC. Vice President, Secretary and Chief Legal Officer, PIMCO-Managed Funds. Vice President—Senior Counsel, Secretary, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.
Stacie D. Anctil1 1969   Vice President    Since 2015    Senior Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.

Eric D. Johnson

1970

  Vice President    Since 2014    Executive Vice President, PIMCO. Vice President, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.
William G. Galipeau1 1974   Treasurer    Since 2014    Executive Vice President, PIMCO. Treasurer, PIMCO-Managed Funds. Vice President, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Vice President, Fidelity Investments.

Erik C. Brown1

1967

  Assistant Treasurer    Since 2015    Executive Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.

Jason J. Nagler

1982

  Assistant Treasurer    Since 2015    Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Head of Mutual Fund Reporting, GMO, and Assistant Treasurer, GMO Trust and GMO Series Trust Funds.
Trent W. Walker1 1974   Assistant Treasurer    Since 2014    Executive Vice President, PIMCO. Assistant Treasurer, PIMCO-Managed Funds. Treasurer, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT.
Vadim Avdeychik 1979   Assistant Secretary    Since 2015    Vice President and Counsel, PIMCO. Assistant Secretary, PIMCO-Managed Funds. Formerly, Associate, Willkie Farr and Gallagher LLP and ERISA Enforcement Advisor, Employee Benefits Security Administration.
Ryan G. Leshaw1 1980   Assistant Secretary    Since 2014    Senior Vice President and Senior Counsel, PIMCO. Assistant Secretary, PIMCO-Managed Funds, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Associate, Willkie Farr & Gallagher LLP.

 

(1) The address of these officers is Pacific Investment Management Company LLC, 650 Newport Center Drive, Newport Beach, California 92660.

 

82   PIMCO CLOSED-END FUNDS     


Table of Contents

Privacy Policy1

 

(Unaudited)

 

The Funds2 consider customer privacy to be a fundamental aspect of their relationships with shareholders and are committed to maintaining the confidentiality, integrity and security of their current, prospective and former shareholders’ non-public personal information. The Funds have developed policies that are designed to protect this confidentiality, while allowing shareholder needs to be served.

 

Obtaining Personal Information

 

In the course of providing shareholders with products and services, the Funds and certain service providers to the Funds, such as the Funds’ investment adviser or sub-adviser (“Adviser”), may obtain non-public personal information about shareholders, which may come from sources such as account applications and other forms, from other written, electronic or verbal correspondence, from shareholder transactions, from a shareholder’s brokerage or financial advisory firm, financial advisor or consultant, and/or from information captured on applicable websites.

 

Respecting Your Privacy

 

As a matter of policy, the Funds do not disclose any non-public personal information provided by shareholders or gathered by the Funds to non-affiliated third parties, except as required or permitted by law or as necessary for such third parties to perform their agreements with respect to the Funds. As is common in the industry, non-affiliated companies may from time to time be used to provide certain services, such as preparing and mailing prospectuses, reports, account statements and other information, conducting research on shareholder satisfaction and gathering shareholder proxies. The Funds or their affiliates may also retain non-affiliated companies to market Fund shares or products which use Fund shares and enter into joint marketing arrangements with them and other companies. These companies may have access to a shareholder’s personal and account information, but are permitted to use this information solely to provide the specific service or as otherwise permitted by law. In most cases, the shareholders will be clients of a third party, but the Funds may also provide a shareholder’s personal and account information to the shareholder’s respective brokerage or financial advisory firm and/or financial advisor or consultant.

 

Sharing Information with Third Parties

 

The Funds reserve the right to disclose or report personal or account information to non-affiliated third parties in limited circumstances where the Funds believe in good faith that disclosure is required under law, to cooperate with regulators or law enforcement authorities, to protect their rights or property, or upon reasonable request by any fund advised by PIMCO in which a shareholder has invested. In addition, the Funds may disclose information about a shareholder or a shareholder’s accounts to a non-affiliated third party at the shareholder’s request or with the consent of the shareholder.

Sharing Information with Affiliates

 

The Funds may share shareholder information with their affiliates in connection with servicing shareholders’ accounts, and subject to applicable law may provide shareholders with information about products and services that the Funds or their Adviser or its affiliates (“Service Affiliates”) believe may be of interest to such shareholders. The information that the Funds may share may include, for example, a shareholder’s participation in the Funds or in other investment programs sponsored by a Service Affiliate, a shareholder’s ownership of certain types of accounts (such as IRAs), information about the Funds’ experiences or transactions with a shareholder, information captured on applicable websites, or other data about a shareholder’s accounts, subject to applicable law. The Funds’ Service Affiliates, in turn, are not permitted to share shareholder information with non-affiliated entities, except as required or permitted by law.

 

Procedures to Safeguard Private Information

 

The Funds take seriously the obligation to safeguard shareholder non-public personal information. In addition to this policy, the Funds have implemented procedures that are designed to restrict access to a shareholder’s non-public personal information to internal personnel who need to know that information to perform their jobs, such as servicing shareholder accounts or notifying shareholders of new products or services. Physical, electronic and procedural safeguards are in place to guard a shareholder’s non-public personal information.

 

Information Collected from Websites

 

Websites maintained by the Funds or their service providers may use a variety of technologies to collect information that help the Funds and their service providers understand how the website is used. Information collected from your web browser (including small files stored on your device that are commonly referred to as “cookies”) allow the websites to recognize your web browser and help to personalize and improve your user experience and enhance navigation of the website. In addition, the Funds or their Service Affiliates may use third parties to place advertisements for the Funds on other websites, including banner advertisements. Such third parties may collect anonymous information through the use of cookies or action tags (such as web beacons). The information these third parties collect is generally limited to technical and web navigation information, such as your IP address, web pages visited and browser type, and does not include personally identifiable information such as name, address, phone number or email address.

 

You can change your cookie preferences by changing the setting on your web browser to delete or reject cookies. If you delete or reject cookies, some website pages may not function properly.

 

 

  ANNUAL REPORT   DECEMBER 31, 2015   83


Table of Contents

Privacy Policy1 (Cont.)

 

(Unaudited)

 

 

Changes to the Privacy Policy

 

From time to time, the Funds may update or revise this privacy policy. If there are changes to the terms of this privacy policy, documents containing the revised policy on the relevant website will be updated.

 

1 Effective as of September 5, 2014.

2 When distributing this Policy, a Fund may combine the distribution with any similar distribution of its investment adviser’s privacy policy. The distributed, combined policy may be written in the first person (i.e., by using “we” instead of “the Funds”).

 

 

84   PIMCO CLOSED-END FUNDS     


Table of Contents

General Information

 

Investment Manager

Pacific Investment Management Company LLC

1633 Broadway

New York, NY 10019

 

Custodian

State Street Bank and Trust Company

801 Pennsylvania Avenue

Kansas City, MO 64105

 

Transfer Agent, Dividend Paying Agent and Registrar

American Stock Transfer & Trust Company, LLC

6201 15th Avenue

Brooklyn, NY 11219

 

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1100 Walnut Street, Suite 1300

Kansas City, MO 64106

 

This report is submitted for the general information of the shareholders of PIMCO Municipal Income Fund, PIMCO California Municipal Income Fund, PIMCO New York Municipal Income Fund, PIMCO Municipal Income Fund II, PIMCO California Municipal Income Fund II, PIMCO New York Municipal Income Fund II, PIMCO Municipal Income Fund III, PIMCO California Municipal Income Fund III and PIMCO New York Municipal Income Fund III.


Table of Contents

LOGO

 

CEF3012AR_123115


Table of Contents
Item 2. Code of Ethics.

As of the end of the period covered by this report, the Registrant has adopted a code of ethics (the “Code”) that applies to the Registrant’s principal executive officer and principal financial & accounting officer. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the principal executive officer or principal financial & accounting officer during the period covered by this report.

A copy of the Code is included as an exhibit to this report.

 

Item 3. Audit Committee Financial Expert.

(a) The Board of Trustees has determined that James A. Jacobson, who serves on the Board’s Audit Oversight Committee, qualifies as an “audit committee financial expert” as such term is defined in the instructions to this Item 3. The Board has also determined that Mr. Jacobson is “independent” as such term is interpreted under this Item 3.


Table of Contents
Item 4. Principal Accountant Fees and Services.

 

(a)       Fiscal Year Ended

   Audit Fees

December 31, 2015

   $              23,532

May 31, 2015

   $              23,734

(b)      Fiscal Year Ended

   Audit-Related Fees

December 31, 2015

   $                8,584

May 31, 2015

   $                8,583

(c)       Fiscal Year Ended

   Tax Fees

December 31, 2015

   $                8,500

May 31, 2015

   $              15,450

(d)      Fiscal Year Ended

   All Other Fees(1)

December 31, 2015

   $                  —

May 31, 2015

   $                  —

“Audit Fees” represents fees billed for each of the last two fiscal years for professional services rendered for the audit and review of the Registrant’s annual financial statements for those fiscal years or services that are normally provided by the accountant in connection with statutory or regulatory filings or engagements for those fiscal years.

“Audit-Related Fees” represents fees billed for each of the last two fiscal years for assurance and related services that are reasonably related to the performance of the audit or review of the Registrant’s financial statements, but not reported under “Audit Fees” above, and that include accounting consultations, agreed-upon procedure reports (inclusive of annual review of basic maintenance testing associated with the Preferred Shares), attestation reports and comfort letters for those fiscal years.

“Tax Fees” represents fees billed for each of the last two fiscal years for professional services related to tax compliance, tax advice and tax planning, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, and tax distribution and analysis reviews. The amounts under “Tax Fees” shown above have been updated from amounts shown in prior filings of this report, as applicable, due to changes in how certain fees are categorized for these purposes.

“All Other Fees” represents fees, if any, billed for other products and services rendered by the principal accountant to the Registrant other than those reported above under “Audit Fees,” “Audit-Related Fees” and “Tax Fees” for the last two fiscal years.

(1)There were no “All Other Fees” for the last two fiscal years.

 

  (e) Pre-approval policies and procedures

(1) The Registrant’s Audit Oversight Committee has adopted pre-approval policies and procedures (the “Procedures”) to govern the Audit Oversight Committee’s pre-approval of (i) all audit services and permissible non-audit services to be provided to the Registrant by its independent accountant, and (ii) all permissible non-audit services to be provided by such independent accountant to the Registrant’s investment adviser and to any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant (collectively, the “Service Affiliates”) if the services provided directly relate to the Registrant’s operations and financial reporting. In accordance with the Procedures, the Audit Oversight Committee is responsible for the engagement of the independent accountant to certify the Registrant’s financial statements for each fiscal year. With respect to the pre-approval of non-audit services provided to the Registrant and its Service Affiliates, the Procedures provide that the Audit Oversight Committee may annually pre-approve a list of types or categories of non-audit services that may be provided to the Registrant or its Service Affiliates, or the Audit Oversight Committee may pre-approve such services on a project-by-project basis as they arise. Unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Oversight Committee if it is to be provided by the independent accountant. The Procedures also permit the Audit Oversight Committee to delegate authority to one or more of its members to pre-approve any proposed non-audit services that have not been previously pre-approved by the Audit Oversight Committee, subject to the ratification by the full Audit Oversight Committee no later than its next scheduled meeting.


Table of Contents

(2) With respect to the services described in paragraphs (b) through (d) of this Item 4, no amount was approved by the Audit Oversight Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

  f) Not applicable.

g)

 

         Aggregate Non-Audit Fees Billed to Entity*      
  

 

 

 
Entity    December 31, 2015      May 31, 2015  

 

    

 

 

 

PIMCO New York Municipal Income Fund II

     $ 17,084             $ 24,033     

Pacific Investment Management Company LLC (“PIMCO”)

     9,180,305           9,316,931     

Allianz Global Investors Fund Management LLC

     0           62,690     
  

 

 

 

Total

     $             9,197,389             $             9,403,654    
  

 

 

    

 

 

 

*The amounts have been updated from amounts shown in prior filings of this report, as applicable, due to changes in how certain fees are categorized for these purposes.

 

  h) The Registrant’s Audit Oversight Committee has considered whether the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant which were not pre-approved (not requiring pre-approval) is compatible with maintaining the principal accountant’s independence.

 

Item 5. Audit Committee of Listed Registrants.

The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The audit committee is comprised of:

Deborah A. DeCotis;

Bradford K. Gallagher;

James A. Jacobson;

Hans W. Kertess;

William B. Ogden, IV; and

Alan Rappaport.

 

Item 6. Schedule of Investments.

The Schedule of Investments is included as part of the reports to shareholders under Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Advisers Act. In addition to covering the voting of equity securities, the Proxy Policy also applies generally to voting and/or consent rights of fixed income securities, including but not limited to, plans of reorganization, and waivers and consents under applicable indentures. The Proxy Policy does not apply, however, to consent rights that primarily entail decisions to buy or sell investments, such as tender or exchange offers, conversions, put options, redemption and Dutch auctions. The Proxy Policy is designed and implemented in a manner reasonably expected to ensure that voting and consent rights (collectively, “proxies”) are exercised in the best interests of accounts.

With respect to the voting of proxies relating to equity securities, PIMCO has selected an unaffiliated third party proxy research and voting service (“Proxy Voting Service”), to assist it in researching and voting proxies. With respect to each proxy received, the Proxy Voting Service researches the financial implications of the proposals and provides a recommendation to PIMCO as to how to vote on each proposal based on the Proxy Voting Service’s research of the individual facts and circumstances and the Proxy Voting Service’s application of its research findings to a set of guidelines that have been approved by PIMCO. Upon the recommendation of the applicable portfolio managers, PIMCO may determine to override any recommendation made by the Proxy Voting Service. In the event that the Proxy Voting Service does not provide a recommendation with respect to a proposal, PIMCO may determine to vote on the proposals directly.


Table of Contents

With respect to the voting of proxies relating to fixed income securities, PIMCO’s fixed income credit research group (the “Credit Research Group”) is responsible for researching and issuing recommendations for voting proxies. With respect to each proxy received, the Credit Research Group researches the financial implications of the proxy proposal and makes voting recommendations specific for each account that holds the related fixed income security. PIMCO considers each proposal regarding a fixed income security on a case-by-case basis taking into consideration any relevant contractual obligations as well as other relevant facts and circumstances at the time of the vote. Upon the recommendation of the applicable portfolio managers, PIMCO may determine to override any recommendation made by the Credit Research Group. In the event that the Credit Research Group does not provide a recommendation with respect to a proposal, PIMCO may determine to vote the proposal directly.

PIMCO may determine not to vote a proxy for an equity or fixed income security if: (1) the effect on the applicable account’s economic interests or the value of the portfolio holding is insignificant in relation to the account’s portfolio; (2) the cost of voting the proxy outweighs the possible benefit to the applicable account, including, without limitation, situations where a jurisdiction imposes share blocking restrictions which may affect the ability of the portfolio managers to effect trades in the related security; or (3) PIMCO otherwise has determined that it is consistent with its fiduciary obligations not to vote the proxy.

In the event that the Proxy Voting Service or the Credit Research Group, as applicable, does not provide a recommendation or the portfolio managers of a client account propose to override a recommendation by the Proxy Voting Service, or the Credit Research Group, as applicable, PIMCO will review the proxy to determine whether there is a material conflict between PIMCO and the applicable account or among PIMCO-advised accounts. If no material conflict exists, the proxy will be voted according to the portfolio managers’ recommendation. If a material conflict does exist, PIMCO will seek to resolve the conflict in good faith and in the best interests of the applicable client account, as provided by the Proxy Policy. The Proxy Policy permits PIMCO to seek to resolve material conflicts of interest by pursuing any one of several courses of action. With respect to material conflicts of interest between PIMCO and a client account, the Proxy Policy permits PIMCO to either: (i) convene a committee to assess and resolve the conflict (the “Proxy Conflicts Committee”); or (ii) vote in accordance with protocols previously established by the Proxy Policy, the Proxy Conflicts Committee and/or other relevant procedures approved by PIMCO’s Legal and Compliance department with respect to specific types of conflicts. With respect to material conflicts of interest between one or more PIMCO-advised accounts, the Proxy Policy permits PIMCO to: (i) designate a PIMCO portfolio manager who is not subject to the conflict to determine how to vote the proxy if the conflict exists between two accounts with at least one portfolio manager in common; or (ii) permit the respective portfolio managers to vote the proxies in accordance with each client account’s best interests if the conflict exists between client accounts managed by different portfolio managers.

PIMCO will supervise and periodically review its proxy voting activities and the implementation of the Proxy Policy. PIMCO’s Proxy Policy, and information about how PIMCO voted a client’s proxies, is available upon request.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

(a)(1)

As of February 26, 2016, the following individuals have primary responsibility for the day-to-day implementation of the PIMCO New York Municipal Income Fund II (the “Fund”):

Joseph Deane

Mr. Deane has been the portfolio manager for the Fund since July 2011. Mr. Deane is an executive vice president in the New York office and head of municipal bond portfolio management. Prior to joining PIMCO in 2011, he was co-head of the tax-exempt department at Western Asset (WAMCO). Mr. Deane was previously a managing director and head of tax-exempt investments from 1993-2005 at Smith Barney/Citigroup Asset Management. Earlier in his career, he held senior portfolio management positions with Shearson and E.F. Hutton.


Table of Contents

David Hammer

Mr. Hammer has been a portfolio manager of the Fund since August 2015. Mr. Hammer is an executive vice president and municipal bond portfolio manager in the New York office. He rejoined PIMCO in 2015 from Morgan Stanley, where he was managing director and head of municipal trading, risk management and research. Previously at PIMCO, he was a senior vice president and municipal bond portfolio manager, and prior to joining PIMCO in 2012, he was an executive director and head of the high yield and distressed municipal bond trading group at Morgan Stanley.

(a)(2)

The following summarizes information regarding each of the accounts, excluding the Fund, managed by the Portfolio Managers as of December 31, 2015, including accounts managed by a team, committee, or other group that includes a Portfolio Manager. Unless mentioned otherwise, the advisory fee charged for managing each of the accounts listed below is not based on performance.

 

    

  Registered
  Investment        
  Companies

 

 

Other Pooled
Investment Vehicles

 

 

Other Accounts

 

PM

 

  #        

 

 

AUM ($million)

 

 

  #        

 

 

AUM ($million)      

 

 

#        

 

 

AUM ($million)  

 

Joseph Deane

 

19

 

 

5,475.36

 

 

0

 

 

0.00

 

 

13

 

 

1,778.35

 

David Hammer

 

19

 

 

5,499.49

 

 

0

 

 

0.00

 

 

0

 

 

0.00

 

From time to time, potential and actual conflicts of interest may arise between a portfolio manager’s management of the investments of the Fund, on the one hand, and the management of other accounts, on the other. Potential and actual conflicts of interest may also arise as a result of PIMCO’s other business activities and PIMCO’s possession of material non-public information about an issuer. Other accounts managed by a portfolio manager might have similar investment objectives or strategies as the Fund, track the same index as the Fund or otherwise hold, purchase, or sell securities that are eligible to be held, purchased or sold by the Fund. The other accounts might also have different investment objectives or strategies than the Fund. Potential and actual conflicts of interest may also arise as a result of PIMCO serving as investment adviser to accounts that invest in the Fund. In this case, such conflicts of interest could in theory give rise to incentives for PIMCO to, among other things, vote proxies of the Fund in a manner beneficial to the investing account but detrimental to the Fund. Conversely, PIMCO’s duties to the Fund, as well as regulatory or other limitations applicable to the Fund, may affect the courses of action available to PIMCO-advised accounts (including certain funds) that invest in the Fund in a manner that is detrimental to such investing accounts.

Because PIMCO is affiliated with Allianz, a large multi-national financial institution, conflicts similar to those described below may occur between the Fund and other accounts managed by PIMCO and PIMCO’s affiliates or accounts managed by those affiliates. Those affiliates (or their clients), which generally operate autonomously from PIMCO, may take actions that are adverse to the Fund or other accounts managed by PIMCO. In many cases, PIMCO will not be in a position to mitigate those actions or address those conflicts, which could adversely affect the performance of the Fund or other accounts managed by PIMCO.

Knowledge and Timing of Fund Trades. A potential conflict of interest may arise as a result of the portfolio manager’s day-to-day management of the Fund. Because of their positions with the Fund, the portfolio managers know the size, timing and possible market impact of the Fund’s trades. It is theoretically possible that the portfolio managers could use this information to the advantage of other accounts they manage and to the possible detriment of the Fund.

Investment Opportunities. A potential conflict of interest may arise as a result of the portfolio manager’s management of a number of accounts with varying investment guidelines. Often, an investment opportunity may be suitable for both the


Table of Contents

Fund and other accounts managed by the portfolio manager, but may not be available in sufficient quantities for both the Fund and the other accounts to participate fully. In addition, regulatory issues applicable to PIMCO or the Fund or other accounts may result in the Fund not receiving securities that may otherwise be appropriate for it. Similarly, there may be limited opportunity to sell an investment held by the Fund and another account. PIMCO has adopted policies and procedures reasonably designed to allocate investment opportunities on a fair and equitable basis over time.

Under PIMCO’s allocation procedures, investment opportunities are allocated among various investment strategies based on individual account investment guidelines and PIMCO’s investment outlook. PIMCO has also adopted additional procedures to complement the general trade allocation policy that are designed to address potential conflicts of interest due to the side-by-side management of the Fund and certain pooled investment vehicles, including investment opportunity allocation issues.

Conflicts potentially limiting the Fund’s investment opportunities may also arise when the Fund and other PIMCO clients invest in different parts of an issuer’s capital structure, such as when the Fund owns senior debt obligations of an issuer and other clients own junior tranches of the same issuer. In such circumstances, decisions over whether to trigger an event of default, over the terms of any workout, or how to exit an investment may result in conflicts of interest. In order to minimize such conflicts, a portfolio manager may avoid certain investment opportunities that would potentially give rise to conflicts with other PIMCO clients or PIMCO may enact internal procedures designed to minimize such conflicts, which could have the effect of limiting the Fund’s investment opportunities. Additionally, if PIMCO acquires material non-public confidential information in connection with its business activities for other clients, a portfolio manager may be restricted from purchasing securities or selling securities for the Fund. Moreover, the Fund or other accounts managed by PIMCO may invest in a transaction in which one or more other funds or accounts managed by PIMCO are expected to participate, or already have made or will seek to make, an investment. Such funds or accounts may have conflicting interests and objectives in connection with such investments, including, for example and without limitation, with respect to views on the operations or activities of the issuer involved, the targeted returns from the investment, and the timeframe for, and method of, exiting the investment. When making investment decisions where a conflict of interest may arise, PIMCO will endeavor to act in a fair and equitable manner as between the Fund and other clients; however, in certain instances the resolution of the conflict may result in PIMCO acting on behalf of another client in a manner that may not be in the best interest, or may be opposed to the best interest, of the Fund.

Performance Fees. A portfolio manager may advise certain accounts with respect to which the advisory fee is based entirely or partially on performance. Performance fee arrangements may create a conflict of interest for the portfolio manager in that the portfolio manager may have an incentive to allocate the investment opportunities that he or she believes might be the most profitable to such other accounts instead of allocating them to the Fund. PIMCO has adopted policies and procedures reasonably designed to allocate investment opportunities between the Fund and certain pooled investment vehicles on a fair and equitable basis over time.

(a)(3)

As of December 31, 2015, the following explains the compensation structure of the individuals who have primary responsibility for day-to-day portfolio management of the Fund:

Portfolio Manager Compensation

PIMCO has adopted a Total Compensation Plan for its professional level employees, including its portfolio managers, that is designed to pay competitive compensation and reward performance, integrity and teamwork consistent with the firm’s mission statement. The Total Compensation Plan includes an incentive component that rewards high performance standards, work ethic and consistent individual and team contributions to the firm. The compensation of portfolio managers consists of a base salary and discretionary performance bonuses, and may include an equity or long term incentive component.

Certain employees of PIMCO, including portfolio managers, may elect to defer compensation through PIMCO’s deferred compensation plan. PIMCO also offers its employees a non-contributory defined contribution plan through which PIMCO makes a contribution based on the employee’s compensation. PIMCO’s contribution rate increases at a specified compensation level, which is a level that would include portfolio managers.


Table of Contents

Key Principles on Compensation Philosophy include:

 

    PIMCO’s pay practices are designed to attract and retain high performers.

 

    PIMCO’s pay philosophy embraces a corporate culture of rewarding strong performance, a strong work ethic and meritocracy.

 

    PIMCO’s goal is to ensure key professionals are aligned to PIMCO’s long-term success through equity participation.

 

    PIMCO’s “Discern and Differentiate” discipline is exercised where individual performance rating is used for guidance as it relates to total compensation levels.

The Total Compensation Plan consists of the following components:

Base Salary – Base salary is determined based on core job responsibilities, positions/levels and market factors. Base salary levels are reviewed annually, when there is a significant change in job responsibilities or position, or a significant change in market levels.

Performance Bonus – Performance bonuses are designed to reward individual performance. Each professional and his or her supervisor will agree upon performance objectives to serve as a basis for performance evaluation during the year. The objectives will outline individual goals according to pre-established measures of the group or department success. Achievement against these goals as measured by the employee and supervisor will be an important, but not exclusive, element of the bonus decision process. Award amounts are determined at the discretion of the Compensation Committee (and/or certain senior portfolio managers, as appropriate) and will also consider firm performance.

Long-term Incentive Compensation – PIMCO has a Long Term Incentive Plan (“LTIP”) which is awarded to key professionals. Employees who reach a total compensation threshold are delivered their annual compensation in a mix of cash and long-term incentive awards. PIMCO incorporates a progressive allocation of long-term incentive awards as a percentage of total compensation, which is in line with market practices. The LTIP provides participants with cash awards that appreciate or depreciate based on PIMCO’s operating earnings over a rolling three-year period. The plan provides a link between longer term company performance and participant pay, further motivating participants to make a long term commitment to PIMCO’s success. Participation in LTIP is contingent upon continued employment at PIMCO.

Equity Compensation – Equity allows key professionals to participate in the long-term growth of the firm. The M Unit program provides mid-to-senior level employees with the potential to acquire an equity stake in PIMCO over their careers and to better align employee incentives with the firm’s long-term results. In the program, options are awarded and vest over a number of years and may convert into PIMCO equity which shares in the profit distributions of the firm. M Units are non-voting common equity of PIMCO and provide a mechanism for individuals to build a significant equity stake in PIMCO over time.

In addition, the following non-exclusive list of qualitative criteria may be considered when specifically determining the total compensation for portfolio managers:

 

    3-year, 2-year and 1-year dollar-weighted and account-weighted, pre-tax investment performance as judged against the applicable benchmarks for each account managed by a portfolio manager (including the Funds) and relative to applicable industry peer groups;

 

    Appropriate risk positioning that is consistent with PIMCO’s investment philosophy and the Investment Committee/CIO approach to the generation of alpha;

 

    Amount and nature of assets managed by the portfolio manager;

 

    Consistency of investment performance across portfolios of similar mandate and guidelines (reward low dispersion);


Table of Contents
    Generation and contribution of investment ideas in the context of PIMCO’s secular and cyclical forums, portfolio strategy meetings, Investment Committee meetings, and on a day-to-day basis;

 

    Absence of defaults and price defaults for issues in the portfolios managed by the portfolio manager;

 

    Contributions to asset retention, gathering and client satisfaction;

 

    Contributions to mentoring, coaching and/or supervising; and

 

    Personal growth and skills added.

A portfolio manager’s compensation is not based directly on the performance of any Fund or any other account managed by that portfolio manager.

Profit Sharing Plan. Portfolio managers who are Managing Directors of PIMCO receive compensation from a non-qualified profit sharing plan consisting of a portion of PIMCO’s net profits. Portfolio managers who are Managing Directors receive an amount determined by the Compensation Committee, based upon an individual’s overall contribution to the firm.

(a)(4)

The following summarizes the dollar range of securities of the Fund the Portfolio Managers beneficially owned as of December 31, 2015:

 

Portfolio Manager   

Dollar Range of Equity Securities of the Fund
Owned as of December 31, 2015

 

Joseph Deane

   None

David Hammer

   None

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

None.

 

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 principal executive officer and principal financial & accounting officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) provide reasonable assurances that material information relating to the Registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.

 

  (b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12. Exhibits.

(a)(1)         Exhibit 99.CODE— Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002.

(a)(2)         Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

(b)             Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.


Table of Contents

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.

 

PIMCO New York Municipal Income Fund II
By:  

/s/    PETER G. STRELOW

 

  Peter G. Strelow
  President (Principal Executive Officer)
Date:   February 26, 2016

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/    PETER G. STRELOW

 

  Peter G. Strelow
  President (Principal Executive Officer)
Date:   February 26, 2016
By:  

/s/    WILLIAM G. GALIPEAU

 

  William G. Galipeau
  Treasurer (Principal Financial & Accounting Officer)
Date:   February 26, 2016