N-Q
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
OMB APPROVAL
OMB Number: 3235-0578
Expires: April 30, 2010
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hours per response: 10.5
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
     
Investment Company Act File Number:
  811-21189
 
    
Registrant Name:
  PIMCO New York Municipal Income Fund III
 
    
Address of Principal Executive Offices:
  1345 Avenue of the Americas,
 
  New York, NY 10105
 
    
Name and Address of Agent for Service:
  Lawrence G. Altadonna
 
  1345 Avenue of the Americas,
 
  New York, NY 10105
 
    
Registrant’s telephone number, including area code:
  212-739-3371
 
    
Date of Fiscal Year End:
  September 30, 2008
 
    
Date of Reporting Period:
  June 30, 2008
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
 
 

 

 

Item 1. Schedule of Investments
PIMCO New York Municipal Income Fund III Schedule of Investments
June 30, 2008 (unaudited)
 
                     
Principal                
Amount         Credit Rating      
(000)         (Moody’s/S&P)   Value*  
 
NEW YORK MUNICIPAL BONDS & NOTES—88.2%            
  $    790    
Dutchess Cnty. Industrial Dev. Agcy. Rev., 5.25%, 1/1/37
East Rochester Housing Auth. Rev.,
   NR/NR   $ 646,109  
  2,800    
St. Mary’s Residence Project, 5.375%, 12/20/22 (GNMA)
   NR/AAA     2,891,084  
  1,400    
Woodland Project, 5.50%, 8/1/33
   NR/NR     1,204,756  
  1,300    
Erie Cnty. Industrial Dev. Agcy., Orchard Park Rev., 6.00%, 11/15/36
Liberty Dev. Corp. Rev., Goldman Sachs Headquarters,
   NR/NR     1,153,594  
  1,060    
5.25%, 10/1/35
   Aa3/AA-     1,076,907  
  2,990    
5.25%, 10/1/35 (f)
   Aa3/AA-     3,037,691  
  900    
5.50%, 10/1/37
   Aa3/AA-     945,855  
  1,000    
Long Island Power Auth., Electric System Rev., 5.00%, 9/1/27, Ser. C
Metropolitan Transportation Auth. Rev.,
   A3/A-     1,005,800  
  1,200    
5.00%, 11/15/26, Ser. B
   A2/A     1,219,680  
  6,220    
5.00%, 11/15/32, Ser. A (FGIC)(f)
   A2/A     6,193,565  
  100    
Monroe Tobacco Asset Securitization Corp. Rev., 6.375%, 6/1/35, (Pre-refunded @ $101, 6/1/10) (b)
   Aaa/AAA     107,689  
  2,750    
Mortgage Agcy. Rev., 4.75%, 10/1/27, Ser. 128
   Aa1/NR     2,520,925  
  1,300    
Nassau Cnty. Industrial Dev. Agcy. Rev., Amsterdam at Harborside, 6.70%, 1/1/43, Ser. A
   NR/NR     1,294,787  
  2,000    
Nassau Cnty. Tobacco Settlement Corp., Rev., 6.60%, 7/15/39, (Pre-refunded @ $101, 7/15/09) (b)
   Aaa/AAA     2,120,240  
       
New York City, GO, Ser. I,
            
  7,195    
5.00%, 3/1/33
   Aa3/AA     7,224,212  
  235    
5.375%, 3/1/27
   Aa3/AA     241,754  
       
New York City Industrial Dev. Agcy. Rev.,
            
  800    
Liberty Interactive Corp., 5.00%, 9/1/35
   Baa3/BB     688,600  
       
Yankee Stadium,
            
  2,000    
5.00%, 3/1/31 (FGIC)
   Baa3/BBB-     1,970,540  
  200    
5.00%, 3/1/36 (MBIA)
   Aaa/AAA     194,726  
  3,000    
New York City Municipal Water Finance Auth., Water & Sewer System Rev., 5.00%, 6/15/32, Ser. A
   Aa2/AA+     3,015,420  
  5,000    
New York City Trust for Cultural Res. Rev., 5.00%, 2/1/34 (FGIC)(f)
   Aa3/AA-     5,038,500  
  2,995    
New York Cntys. Tobacco Trust II Rev., 5.625%, 6/1/35
   Ba1/BBB     2,864,987  
  1,000    
Niagara Falls Public Water Auth., Water & Sewer System Rev., 5.00%, 7/15/34, Ser. A (MBIA)
   Aaa/AAA     1,013,290  
  1,855    
Sachem Central School Dist. of Holbrook, GO, 5.00%, 6/15/30 (MBIA)
   Aaa/AAA     1,995,275  
       
State Dormitory Auth. Rev.,
            
  1,400    
Catholic Health of Long Island, 5.10%, 7/1/34
   Baa1/BBB     1,276,240  
  2,250    
Jewish Board Family & Children, 5.00%, 7/1/33 (AMBAC)
   Aaa/AAA     2,276,730  
  2,000    
Kaleida Health Hospital, 5.05%, 2/15/25 (FHA)
   NR/AAA     1,977,740  
  3,250    
Lenox Hill Hospital, 5.50%, 7/1/30
   Ba2/NR     3,102,515  
       
Long Island Univ., Ser. A (Radian),
            
  2,040    
5.00%, 9/1/23
   Aa3/AA     2,018,498  
  4,000    
5.00%, 9/1/32
   Aa3/AA     3,744,240  
  3,000    
Lutheran Medical Hospital, 5.00%, 8/1/31 (FHA-MBIA)
   Aaa/AAA     3,030,420  
       
Mount St. Mary College (Radian),
            
  2,000    
5.00%, 7/1/27
   NR/AA     1,980,640  
  2,000    
5.00%, 7/1/32
   NR/AA     1,926,940  
  1,000    
New York Univ., 5.00%, 7/1/31, Ser. 2 (AMBAC)
   Aaa/AAA     1,009,680  
  1,000    
New York Univ. Hospital, 5.625%, 7/1/37, Ser. B
   Ba2/BB     956,680  
  6,150    
North General Hospital, 5.00%, 2/15/25
   NR/AA-     6,205,166  
  1,000    
North Shore L.I. Jewish Group, 5.50%, 5/1/33, (Pre-refunded @ $100, 5/1/13) (b)
   Aaa/NR     1,095,990  
  7,000    
Rockefeller Univ., 5.00%, 7/1/32 (f)
   Aaa/AAA     7,095,970  
  1,000    
School Dist. Financing, 5.00%, 10/1/30 (MBIA)
   Aaa/AAA     1,014,420  
  1,250    
Skidmore College, 5.00%, 7/1/28 (FGIC)
   A1/NR     1,270,038  

 

 

PIMCO New York Municipal Income Fund III Schedule of Investments
June 30, 2008 (unaudited)
 
                     
Principal                
Amount         Credit Rating      
(000)         (Moody’s/S&P)   Value*  
 
  $3,740    
St. Barnabas Hospital, 5.00%, 2/1/31, Ser. A (AMBAC-FHA)
   Aaa/AAA   $ 3,772,762  
  2,400    
State Personal Income Tax, 5.00%, 3/15/32, (Pre-refunded @ $100, 3/15/13) (b)
   Aa3/AAA     2,572,920  
  1,250    
Student Housing Corp., 5.125%, 7/1/34, (Pre-refunded @ $100, 7/1/14) (FGIC)(b)
   A3/A     1,351,963  
  1,500    
Teachers College, 5.00%, 7/1/32 (MBIA)
   Aaa/NR     1,520,025  
  620    
Winthrop Univ. Hospital Assoc., 5.50%, 7/1/32, Ser. A
   Baa1/NR     595,287  
  2,500    
Winthrop-Nassau Univ., 5.75%, 7/1/28
   Baa1/NR     2,507,500  
  2,000    
Yeshiva Univ., 5.125%, 7/1/34 (AMBAC)
   Aaa/NR     2,047,100  
       
State Environmental Facs. Corp. Rev. (f),
            
  8,855    
4.75%, 7/15/27
   Aaa/AAA     8,790,712  
  5,575    
4.75%, 7/15/28
   Aaa/AAA     5,612,073  
  7,375    
State Housing Finance Agcy., State Personal Income Tax Rev., 5.00%, 3/15/33, Ser. A, (Pre-refunded @ $100, 3/15/13) (b)(c)(f)
   Aa3/AAA     7,906,369  
  1,900    
State Urban Dev. Corp. Rev., Personal Income Tax, 5.00%, 3/15/33, Ser. C-1, (Pre-refunded @ $100, 3/15/13) (b)
   Aa3/AAA     2,036,895  
       
Triborough Bridge & Tunnel Auth. Rev.,
            
  4,000    
5.00%, 11/15/32 (MBIA) (f)
   Aaa/AAA     4,024,680  
  1,000    
5.00%, 11/15/37, Ser. A
   Aa2/AA-     1,014,730  
  960    
Ulster Cnty. Industrial Dev. Agcy. Rev., 6.00%, 9/15/37, Ser. A
   NR/NR     877,651  
  2,000    
Warren & Washington Cntys. Industrial Dev. Agcy. Rev., Glens Falls Hospital, 5.00%, 12/1/35, Ser. A (FSA)
   Aaa/AAA     2,013,100  
  1,250    
Westchester Cnty. Industrial Dev. Agcy. Continuing Care Retirement Rev., Kendal on Hudson, 6.50%, 1/1/34, (Pre-refunded @ $100, 1/1/13) (b)
   NR/NR     1,408,575  
       
 
          
       
Total New York Municipal Bonds & Notes (cost—$136,863,412)
         137,700,235  
       
 
          
       
 
            
OTHER MUNICIPAL BONDS & NOTES—11.3%            
       
California—2.6%
            
  3,560    
Golden State Tobacco Securitization Corp. Rev., 6.75%, 6/1/39, Ser. A-1, (Pre-refunded @ $100, 6/1/13) (b)
   Aaa/AAA     4,029,707  
       
 
          
       
District of Columbia—0.1%
            
  175    
Tobacco Settlement Financing Corp. Rev., 6.50%, 5/15/33
   Baa3/BBB     167,634  
       
 
          
       
Indiana—1.7%
            
       
Vigo Cnty. Hospital Auth. Rev. (c),
            
  1,000    
5.70%, 9/1/37
   NR/NR     871,340  
  2,000    
5.75%, 9/1/42
   NR/NR     1,729,700  
       
 
          
       
 
         2,601,040  
       
 
          
       
Puerto Rico—6.3%
            
  2,400    
Aqueduct & Sewer Auth. Rev., 6.00%, 7/1/38, Ser. A
   Baa3/BBB-     2,510,088  
       
Children’s Trust Fund Tobacco Settlement Rev.,
            
  1,700    
5.50%, 5/15/39
   Baa3/BBB     1,565,428  
  580    
5.625%, 5/15/43
   Baa3/BBB     533,333  
       
Electric Power Auth. Power Rev., Ser. NN, (Pre-refunded @ $100, 7/1/13) (b),
            
  210    
5.125%, 7/1/29
   A3/BBB+     226,712  
  790    
5.125%, 7/1/29
   A3/AAA     854,749  
  4,000    
Public Building Auth. Rev., Gov’t Facs., 5.00%, 7/1/36, Ser. I (GTD)
   Baa3/BBB-     3,753,920  
  5,000    
Sales Tax Financing Corp. Rev., zero coupon, 8/1/54, Ser. A (AMBAC)
   Aaa/AAA     343,050  
       
 
          
       
 
         9,787,280  
       
 
          
       
Rhode Island—0.3%
            
  500    
Tobacco Settlement Financing Corp. Rev., 6.125%, 6/1/32, Ser. A
   Baa3/BBB     467,055  
       
 
          

 

 

PIMCO New York Municipal Income Fund III Schedule of Investments
June 30, 2008 (unaudited)
 
                     
Principal                
Amount         Credit Rating      
(000)         (Moody’s/S&P)   Value*  
 
       
South Carolina—0.2%
            
  $    370    
Tobacco Settlement Rev. Management Auth. Rev., 6.375%, 5/15/30, Ser. B
   Baa3/BBB   $ 392,281  
       
 
          
       
 
            
       
Washington—0.1%
            
  135    
Tobacco Settlement Auth. Rev., 6.625%, 6/1/32
   Baa3/BBB     134,588  
       
 
          
       
Total Other Municipal Bonds & Notes (cost—$16,883,743)
         17,579,585  
       
 
          
       
 
            
NEW YORK VARIABLE RATE NOTES (a)(c)(d)—0.5%            
  700    
State Urban Dev. Corp. Rev., 17.807%, 3/15/35 (g) (cost—$759,229)
   NR/AAA     741,440  
       
 
          
       
 
            
U.S. Treasury Bills (e)—0.0%            
  20    
1.97%, 9/11/08 (cost—$19,921)
         19,921  
       
 
          
       
Total Investments (cost—$154,526,305)—100.0%
       $ 156,041,181  
       
 
          

 

 

Notes to Schedule of Investments:
 
*   Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security are fair valued, in good faith, pursuant to guidelines established by the Board of Trustees or persons acting at their discretion pursuant to procedures established by the Board of Trustees. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or are valued at the last sale price on the exchange that is the primary market for such securities, or the last quoted mean price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. 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 term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold. The Fund’s net asset value is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“NYSE”) on each day the NYSE is open for business.
 
(a)   Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $741,440, representing 0.48% of total investments.
 
(b)   Pre-refunded bonds are 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 (payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate).
 
(c)   144A Security—Security exempt from registration, under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.
 
(d)   Variable Rate Notes—Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on June 30, 2008.
 
(e)   All or partial amount segregated as collateral for futures contracts.
 
(f)   Residual Interest Bonds held in Trust—Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Fund acquired the residual interest certificates. These securities serve as collateral in a financing transaction.
 
(g)   Inverse Floater — The interest rate shown bears an inverse relationship to the interest rate on another security or the value of an index.
Glossary:
AMBAC — insured by American Municipal Bond Assurance Corp.
FGIC — insured by Financial Guaranty Insurance Co.
FHA — insured by Federal Housing Administration
FSA — insured by Financial Security Assurance, Inc.
GNMA — insured by Government National Mortgage Association
GO — General Obligation Bond
GTD — Guaranteed
MBIA — insured by Municipal Bond Investors Assurance
NR — Not Rated
Radian — insured by Radian Guaranty, Inc.
Other Investments:
(1) Futures contracts outstanding at June 30, 2008:
                                 
            Market        
            Value   Expiration   Unrealized
Type   Contracts   (000)   Date   Depreciation
 
Short: U.S. Treasury Bond Futures
     (371 )   $ (42,885 )     9/19/08     $ (216,690 )
                 
The Fund pledged $780,000, in cash as collateral for futures contracts.
(2) Transactions in options written for the nine months ended June 30, 2008:
                 
    Contracts   Premiums
 
Options outstanding, September 30, 2007
     —     $ —  
Options written
     330       235,823  
Options expired
     (330 )     (235,823 )
         
Options outstanding, June 30, 2008
     —     $ —  
         

 

 

Item 2. Controls and Procedures
(a) The registrant’s President & Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a -3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a -3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits
     (a) Exhibit 99.302 Cert. — Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: PIMCO New York Municipal Income Fund III
         
     
By   /s/ Brian S. Shlissel    
  President & Chief Executive Officer   
Date: August 25, 2008
         
     
By   /s/ Lawrence G. Altadonna    
  Treasurer, Principal Financial & Accounting Officer   
Date: August 25, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
         
     
By   /s/ Brian S. Shlissel    
  President & Chief Executive Officer   
Date: August 25, 2008
         
     
By   /s/ Lawrence G. Altadonna    
  Treasurer, Principal Financial & Accounting Officer   
Date: August 25, 2008