PIMCO New York Municipal Income Fund III
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: 811-21189

PIMCO New York Municipal Income Fund III

(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: