-------------------------- OMB APPROVAL OMB Number: 3235-0578 Expires: February 28, 2006 Estimated average burden hours per response: 20.0 -------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, DC 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act File Number: 811-21189 Registrant Name: PIMCO NEW YORK MUNICIPAL INCOME FUND III INC. Address of Principal Executive Offices: 1345 Avenue of the Americas New York, New York 10105 Name and Address of Agent for Service: Lawrence G. Altadonna - 1345 Avenue of the Americas New York, New York 10105 Registrant's telephone number, including area code: 212-739-3371 Date of Fiscal Year End: September 30, 2005 Date of Reporting Period: June 30, 2005 Form N-Q is to be used by the registered management investment company, other than a small business investment company registered on Form N-5 (Sections 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b 1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. Item 1. Schedule of Investments PIMCO NEW YORK MUNICIPAL INCOME FUND III SCHEDULE OF INVESTMENTS June 30, 2005 (unaudited) <TABLE> ------------------------------------------------------------------------------------------------------------ Principal Amount Credit Rating (000) (Moody's/S&P) Value* ------------------------------------------------------------------------------------------------------------ NEW YORK MUNICIPAL BONDS & NOTES--76.2% $1,000 City of Yonkers, GO, 5.00%, 8/1/30, Ser. B (MBIA) Aaa/AAA $1,068,500 2,800 East Rochester Housing Auth. Revs., St. Mary's Residence Project, 5.375%, 12/20/22 (GNMA) NR/AAA 3,072,188 1,000 Long Island Power Auth., Electric System Rev., 5.00%, 9/1/27, Ser. C A3/A- 1,053,990 5,000 Metropolitan Transportation Auth. Rev., 5.00%, 11/15/31, Ser. F (MBIA) Aaa/AAA 5,289,600 1,000 Monroe Tobacco Asset Securitization Corp., Tobacco Settlement Rev., 6.375%, 6/1/35 Ba1/BBB 1,069,080 2,000 Nassau Cnty. Tobacco Settlement Corp., Rev., 6.60%, 7/15/39 Ba1/BBB- 2,137,760 7,195 New York City, GO, 5.00%, 3/1/33, Ser. I A1/A+ 7,529,639 5,000 New York City Muni. Water Finance Auth., Water & Sewer System Rev., 5.00%, 6/15/32, Ser. A Aa2/AA+ 5,210,950 1,750 New York City Transitional Finance Auth., GO, 5.375%, 3/1/27 A1/A+ 1,904,787 1,000 Niagara Falls Public Water Auth., Water & Sewer System Rev., 5.00%, 7/15/34, Ser. A (MBIA) Aaa/AAA 1,061,010 1,855 Sachem Central School Dist., GO, 5.00%, 6/15/30 (MBIA) Aaa/AAA 1,972,310 2,995 State Cnty. Tobacco Settlement Trust Rev., 5.625%, 6/1/35 Ba1/BBB 3,115,399 2,500 State Dormitory Auth. Rev., 5.00%, 7/1/34, Ser. 1 Aa2/AA 2,600,075 1,400 State Dormitory Auth. Rev., Catholic Health of Long Island, 5.10%, 7/1/34 Baa1/BBB 1,449,994 2,000 State Dormitory Auth. Rev., Columbia Univ., 5.00%, 7/1/24, Ser. A Aaa/AAA 2,149,720 2,250 State Dormitory Auth. Rev., Jewish Board Family & Children, 5.00%, 7/1/33 (AMBAC) Aaa/AAA 2,382,008 2,000 State Dormitory Auth. Rev., Kaleida Health Hospital, 5.05%, 2/15/25 (FHA) NR/AAA 2,139,560 4,500 State Dormitory Auth. Rev., Lenox Hill Hospital, 5.50%, 7/1/30 Baa2/NR 4,690,485 State Dormitory Auth. Rev., Long Island Univ., 2,040 5.00%, 9/1/23, Ser. A (Radian) Baa3/AA 2,155,301 4,000 5.00%, 9/1/32, Ser. A (Radian) Baa3/AA 4,178,120 3,000 State Dormitory Auth. Rev., Lutheran Medical Hospital, 5.00%, 8/1/31 (MBIA) Aaa/AAA 3,158,130 State Dormitory Auth. Rev., Mount St. Mary College, 2,000 5.00%, 7/1/27 (Radian) NR/AA 2,113,160 2,000 5.00%, 7/1/32 (Radian) NR/AA 2,097,900 1,000 State Dormitory Auth. Rev., New York Univ., 5.00%, 7/1/31, Ser. 2 (AMBAC) Aaa/AAA 1,048,420 6,150 State Dormitory Auth. Rev., North General Hospital, 5.00%, 2/15/25 NR/AA- 6,426,566 1,000 State Dormitory Auth. Rev., North Shore L.I. Jewish Group, 5.50%, 5/1/33 A3/NR 1,073,410 1,000 State Dormitory Auth. Rev., NY & Presbyterian Hospital, 4.75%, 8/1/27 (AMBAC) Aaa/AAA 1,021,980 3,740 State Dormitory Auth. Rev., Saint Barnabas Hospital, 5.00%, 2/1/31, Ser. A (AMBAC) Aaa/AAA 3,925,915 </TABLE> PIMCO NEW YORK MUNICIPAL INCOME FUND III SCHEDULE OF INVESTMENTS June 30, 2005 (unaudited) <TABLE> ---------------------------------------------------------------------------------------------------------- Principal Amount Credit Rating (000) (Moody's/S&P) Value* ---------------------------------------------------------------------------------------------------------- $1,000 State Dormitory Auth. Rev., School Dist. Financing, 5.00%, 10/1/30, Ser. D (MBIA) Aaa/AAA $ 1,057,720 1,250 State Dormitory Auth. Rev., Skidmore College, 5.00%, 7/1/28 (FGIC) Aaa/NR 1,338,700 3,600 State Dormitory Auth. Rev., State Personal Income Tax, 5.00%, 3/15/32 (Pre-refunded @ $100, 3/15/13) (a) A1/AA 4,007,412 1,250 State Dormitory Auth. Rev., Student Housing Corp., 5.125%, 7/1/34 (FGIC) Aaa/AAA 1,348,413 1,500 State Dormitory Auth. Rev., Teachers College, 5.00%, 7/1/32 (MBIA) Aaa/NR 1,582,215 2,500 State Dormitory Auth. Rev., Winthrop-Nassau Univ., 5.75%, 7/1/28 Baa1/NR 2,688,600 620 State Dormitory Auth. Rev., Winthrop Univ. Hospital Association, 5.50%, 7/1/32, Ser. A Baa1/NR 656,512 2,000 State Dormitory Auth. Rev., Yeshiva Univ., 5.125%, 7/1/34 (AMBAC) Aaa/NR 2,157,460 1,900 State Urban Dev. Corp. Rev., 5.00%, 3/15/33, Ser. C-1 (Pre-refunded @ $100, 3/15/13) (a) A1/AA 2,115,023 2,000 Warren & Washington Cnty. Industrial Dev. Agcy. Civic Fac. Rev., 5.00%, 12/1/35, Ser. A (FSA) Aaa/AAA 2,116,580 1,250 Westchester Cnty. Industrial Dev. Agcy. Continuing Care Rev., 6.50%, 1/1/34, Ser. A NR/NR 1,311,788 ----------- Total New York Municipal Bonds & Notes (cost--$91,472,867) 97,476,380 ----------- OTHER MUNICIPAL BONDS & NOTES--11.9% CALIFORNIA--4.9% 5,560 Golden State Tobacco Securitization Corp., Tobacco Settlement Rev., 6.75%, 6/1/39, Ser. 2003-A-1 Baa3/BBB 6,265,786 ----------- DISTRICT OF COLUMBIA--0.2% 175 Tobacco Settlement Financing Corp., 6.50%, 5/15/33 Baa3/BBB 203,959 ----------- PUERTO RICO--6.0% Children's Trust Fund Tobacco Settlement Rev., 1,700 5.50%, 5/15/39 Baa3/BBB 1,753,703 580 5.625%, 5/15/43 Baa3/BBB 597,394 1,000 Electric Power Auth. Power Rev., 5.125%, 7/1/29, Ser. NN A3/A- 1,063,600 4,000 Public Building Auth. Rev., Government Facs., 5.00%, 7/1/36, Ser. I Baa2/BBB 4,209,920 ----------- 7,624,617 ----------- RHODE ISLAND--0.4% 500 Tobacco Settlement Financing Corp. Rev., 6.125%, 6/1/32, Ser. A Baa3/BBB 527,990 ----------- SOUTH CAROLINA--0.3% 370 Tobacco Settlement Rev. Management Auth., Tobacco Settlement Rev. , 6.375%, 5/15/30, Ser. B Baa3/BBB 428,412 ----------- </TABLE> PIMCO NEW YORK MUNICIPAL INCOME FUND III SCHEDULE OF INVESTMENTS June 30, 2005 (unaudited) <TABLE> -------------------------------------------------------------------------------------------------------------- Principal Amount Credit Rating (000) (Moody's/S&P) Value* -------------------------------------------------------------------------------------------------------------- WASHINGTON--0.1% $ 135 Tobacco Settlement Auth., Tobacco Settlement Rev., 6.625%, 6/1/32 Baa3/BBB $ 147,512 ------------ Total Other Municipal Bonds & Notes (cost--$12,646,918) 15,198,276 ------------ NEW YORK VARIABLE RATE NOTES (b)(c)(g)--9.6% 1,555 Metropolitan Transportation Auth. Rev., 12.47%, 11/15/32, Ser. 862 (FGIC) Aaa/NR 1,952,022 1,000 New York City Trust for Cultural Resources Rev., 14.965%, 2/1/34, Ser. 950 (FGIC) Aaa/NR 1,322,250 1,205 State Dormitory Auth. Rev., 16.893%, 7/1/32 NR/NR 1,610,434 State Environmental Facs. Corp., State Clean Water & Drinking Rev., 1,005 14.065%, 7/15/23 NR/AAA 1,204,000 1,775 14.065%, 7/15/27 NR/AAA 2,103,801 1,845 State Housing Finance Agcy. State Personal Income Tax Rev., 12.463%, 3/15/33, Ser. 859 NR/AA 2,922,203 1,000 Triborough Bridge & Tunnel Auth. Rev., 12.47%, 11/15/32, Ser. 912 (MBIA) NR/NR 1,229,080 ------------ Total New York Variable Rate Notes (cost--$9,201,000) 12,343,790 ------------ CALIFORNIA VARIABLE RATE NOTES (b)(c)(g)--1.1% 960 State Economic Recovery, GO, 16.255%, 1/1/10, Ser. 935 (cost--$1,278,589) Aa3/NR 1,395,408 ------------ NEW YORK VARIABLE RATE DEMAND NOTES (b)(d)--0.2% 200 New York City Transitional Finance Auth., GO, 2.21%, 7/1/05 VMIG1/A-1 200,000 100 New York City Transitional Finance Auth. Rev., 2.25%, 7/1/05 VMIG1/A-1+ 100,000 ------------ Total New York Variable Rate Demand Notes (cost--$300,000) 300,000 ------------ U.S. TREASURY BILLS (e)--1.4% 1,760 2.925%-3.05%, 9/1/05-9/15/05 (cost--$1,749,145) Aaa/AAA 1,749,134 ------------ PUT OPTIONS PURCHASED (f)--0.0% Contracts --------- PUT OPTIONS 51 Eurodollar Futures, Chicago Mercantile Exchange, strike price $94.25, expires 9/19/05 (cost--$510) 319 ------------ TOTAL INVESTMENTS BEFORE OPTIONS WRITTEN (cost--$116,649,029)--100.4% 128,463,307 ------------ </TABLE> PIMCO NEW YORK MUNICIPAL INCOME FUND III SCHEDULE OF INVESTMENTS June 30, 2005 (unaudited) <TABLE> ---------------------------------------------------------------------------------------------- Contracts Value* ---------------------------------------------------------------------------------------------- OPTIONS WRITTEN (f)--(0.4%) CALL OPTIONS--0.4% U.S. Treasury Note Futures, Chicago Board of Trade, 64 strike price $112, expires 8/26/05 $ (119,000) 360 strike price $113, expires 8/26/05 (421,875) ------------ (540,875) ------------ PUT OPTIONS--0.0% 261 U.S. Treasury Bond Futures, Chicago Board of Trade, strike price $113, expires 8/26/05 (40,781) ------------ Total Options Written (premiums received--$545,430) (581,656) ------------ TOTAL INVESTMENTS NET OF OPTIONS WRITTEN (cost--$116,103,599)--100.0% $127,881,651 ------------ </TABLE> OTHER INVESTMENTS: Futures contracts outstanding at June 30, 2005: Notional Amount Expiration Unrealized Type (000) Date Depreciation -------------------------------------------------------------------------- Short: U.S. Treasury 30 Year Bond $5,500 9/21/05 $40,391 -------------------------------------------------------------------------- NOTES TO SCHEDULE OF INVESTMENTS: * Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of the security, may be fair-valued, in good faith, pursuant to guidelines established by the Board of Trustees. The Fund's investments are valued daily by an independent pricing service. The independent pricing service uses information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Exchange traded options and futures, are valued at the settlement price determined by the relevant exchange. Short-term investments maturing in 60 days or less are valued at amortized cost, if their original maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold. Securities issued on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement value. The Fund's net asset values are determined daily at the close of regular trading (normally 4:00 p.m. Eastern time) on the New York Stock Exchange. (a) Pre-refunded Bonds- Collateralized by U.S. Government or other eligible securities which are held in escrow and used to pay principal and interest and retire the bonds at the earliest refunding date. (b) Variable Rate Notes -- instruments whose interest rates change on a specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The rate shown is the rate in effect at June 30, 2005. (c) Residual Interest/Tax Exempt Municipal Bonds - The interest rate shown bears an inverse relationship to the interest rate on another security or the value of an index. (d) Maturity date shown is date of next put. (e) All or partial amount segregated as collateral for futures contracts, when-issued or delay-delivery securities. (f) Non-income producing. (g) 144A Security - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional investors. GLOSSARY: AMBAC -- insured by American Municipal Bond Assurance Corp. FGIC -- insured by Financial Guaranty Insurance Co. FHA -- Federal Housing Administration FSA -- insured by Financial Security Assurance, Inc. GNMA -- Government National Mortgage Association GO -- General Obligation Bond MBIA -- insured by Municipal Bond Investors Assurance Radian -- insured by Radian Guaranty Inc. ITEM 2. CONTROLS AND PROCEDURES (a) The registrant's President and Chief Executive Officer and Principal Financial Officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document. (b) There were no significant changes in the registrant's internal controls or in factors that could affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. ITEM 3. EXHIBITS (a) Exhibit 99.302 Cert. - Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Registrant: PIMCO New York Municipal Income III Fund By /s/ Brian S. Shlissel -------------------------------- President & Chief Executive Officer Date: August 25, 2005 By /s/ Lawrence G. Altadonna ------------------------------------------------ Treasurer, Principal Financial & Accounting Officer Date: August 25, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dated indicated. By /s/ Brian S. Shlissel -------------------------------- President & Chief Executive Officer Date: August 25, 2005 By /s/ Lawrence G. Altadonna ------------------------------------------------ Treasurer, Principal Financial & Accounting Officer Date: August 25, 2005