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UNITED
STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM N-Q |
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OMB
APPROVAL OMB Number: 3235-0578 Expires: February 28, 2006 Estimated average burden hours per response: 20.0 |
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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, 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, 2006
Date of Reporting Period: June 30, 2006
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 (§§ 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. § 3507.
Item 1. Schedule of Investments
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| Principal Amount (000) |
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Credit Rating (Moody's/S&P) |
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Value* | |||||||||
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NEW YORK MUNICIPAL BONDS & NOTES–78.0% |
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| $ 2,800 | |
East Rochester Housing Auth. Rev., St. Mary's Residence Project, 5.375%, 12/20/22 (GNMA) | |
NR/AAA | |
$2,949,436 | ||||||||
| 1,300 | |
Erie Cnty. Industrial Dev. Agcy., Orchard Park Rev., 6.00%, 11/15/36 | |
NR/NR | |
1,338,389 | ||||||||
| 1,060 | |
Liberty Dev. Corp. Rev., Goldman Sachs Headquarters, 5.25%, 10/1/35 | |
Aa3/A+ | |
1,129,250 | ||||||||
| 1,000 | |
Long Island Power Auth., Electric System Rev., 5.00%, 9/1/27, Ser. C | |
A3/A− | |
1,017,980 | ||||||||
| 5,000 | |
Metropolitan Transportation Auth. Rev., 5.00%, 11/15/31, Ser. F (MBIA) | |
Aaa/AAA | |
5,100,600 | ||||||||
| 1,000 | |
Monroe Tobacco Asset Securitization Corp., Tobacco Settlement Rev., 6.375%, 6/1/35, (Pre-refunded @ $101, 6/1/10) (a) | |
Aaa/AAA | |
1,095,830 | ||||||||
| 2,000 | |
Nassau Cnty. Tobacco Settlement Corp., Rev., 6.60%, 7/15/39, (Pre-refunded @ $101, 7/15/09) (a) | |
Aaa/BBB− | |
2,166,280 | ||||||||
| 7,195 | |
New York City, GO, 5.00%, 3/1/33, Ser. I | |
A1/AA− | |
7,267,525 | ||||||||
| 5,000 | |
New York City Municipal Water Finance Auth., Water & Sewer System Rev., 5.00%, 6/15/32, Ser. A | |
Aa2/AA+ | |
5,067,500 | ||||||||
| 1,750 | |
New York City Transitional Finance Auth., GO, 5.375%, 3/1/27, Ser. 1 | |
A1/AA− | |
1,840,160 | ||||||||
| 2,995 | |
New York Counties Tobacco Settlement Trust Rev., 5.625%, 6/1/35 | |
Ba1/BBB | |
3,057,296 | ||||||||
| 3,000 | |
New York State Environmental Facs. Corp.
Rev., 5.00%, 10/15/35 (c) |
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Aaa/AAA | |
3,065,100 | ||||||||
| 1,000 | |
Niagara Falls Public Water Auth., Water & Sewer System Rev., 5.00%, 7/15/34, Ser. A (MBIA) | |
Aaa/AAA | |
1,021,360 | ||||||||
| 1,855 | |
Sachem Central School Dist. of Holbrook, GO, 5.00%, 6/15/30 (MBIA) | |
Aaa/AAA | |
1,897,517 | ||||||||
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State Dormitory Auth. Rev., | |
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| 1,400 | |
Catholic Health of Long Island, 5.10%, 7/1/34 | |
Baa1/BBB | |
1,397,914 | ||||||||
| 2,000 | |
Columbia Univ., 5.00%, 7/1/24, Ser. A | |
Aaa/AAA | |
2,067,840 | ||||||||
| 2,250 | |
Jewish Board Family & Children, 5.00%, 7/1/33 (AMBAC) | |
Aaa/AAA | |
2,299,185 | ||||||||
| 2,000 | |
Kaleida Health Hospital, 5.05%, 2/15/25 (FHA) | |
NR/AAA | |
2,048,100 | ||||||||
| 3,250 | |
Lenox Hill Hospital, 5.50%, 7/1/30 | |
Ba2/NR | |
3,186,365 | ||||||||
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Long Island Univ., Ser. A (Radian), | |
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| 2,040 | |
5.00%, 9/1/23 | |
Baa3/AA | |
2,071,151 | ||||||||
| 4,000 | |
5.00%, 9/1/32 | |
Baa3/AA | |
4,048,320 | ||||||||
| 3,000 | |
Lutheran Medical Hospital, 5.00%, 8/1/31 (MBIA-FHA) | |
Aaa/AAA | |
3,053,640 | ||||||||
| 1,000 | |
Mental Health Services Facs., 5.00%, 2/15/30, Ser. B (AMBAC) | |
Aaa/AAA | |
1,022,410 | ||||||||
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Mount St. Mary College (Radian), | |
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| 2,000 | |
5.00%, 7/1/27 | |
NR/AA | |
2,040,140 | ||||||||
| 2,000 | |
5.00%, 7/1/32 | |
NR/AA | |
2,027,040 | ||||||||
| 1,000 | |
New York Univ., 5.00%, 7/1/31, Ser. 2 (AMBAC) | |
Aaa/AAA | |
1,018,530 | ||||||||
| 6,150 | |
North General Hospital, 5.00%, 2/15/25 | |
NR/AA− | |
6,239,482 | ||||||||
| 1,000 | |
North Shore L.I. Jewish Group, 5.50%, 5/1/33 | |
A3/NR | |
1,043,180 | ||||||||
| 1,000 | |
NY & Presbyterian Hospital Rev., 4.75%, 8/1/27 (AMBAC-FHA) | |
Aaa/AAA | |
1,005,510 | ||||||||
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| Principal Amount (000) |
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Credit Rating (Moody's/S&P) |
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Value* | |||||||||
| $ 3,740 | |
Saint Barnabas Hospital, 5.00%, 2/1/31, Ser. A (AMBAC-FHA) | |
Aaa/AAA | |
$3,802,458 | ||||||||
| 1,000 | |
School Dist. Financing, 5.00%, 10/1/30, Ser. D (MBIA) | |
Aaa/AAA | |
1,024,130 | ||||||||
| 1,250 | |
Skidmore College, 5.00%, 7/1/28 (FGIC) | |
Aaa/NR | |
1,287,300 | ||||||||
| 2,500 | |
Sloan-Kettering Center Memorial, 5.00%, 7/1/34, Ser. 1 | |
Aa2/AA | |
2,530,850 | ||||||||
| 3,600 | |
State Personal Income Tax, 5.00%,
3/15/32, (Pre-refunded @ $100, 3/15/13) (a) |
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Aa3/AAA | |
3,807,144 | ||||||||
| 1,250 | |
Student Housing Corp., 5.125%, 7/1/34 (FGIC) | |
Aaa/AAA | |
1,296,825 | ||||||||
| 1,500 | |
Teachers College, 5.00%, 7/1/32 (MBIA) | |
Aaa/NR | |
1,533,435 | ||||||||
| 2,500 | |
Winthrop-Nassau Univ., 5.75%, 7/1/28 | |
Baa1/NR | |
2,609,400 | ||||||||
| 620 | |
Winthrop Univ., Hospital Association., 5.50%, 7/1/32, Ser. A | |
Baa1/NR | |
638,823 | ||||||||
| 2,000 | |
Yeshiva Univ., 5.125%, 7/1/34 (AMBAC) | |
Aaa/NR | |
2,074,920 | ||||||||
| 1,900 | |
State Urban Dev. Corp. Personal Income Tax Rev., 5.00%, 3/15/33, Ser. C-1 (Pre-refunded @ $100, 3/15/13) (a) | |
Aa3/AAA | |
2,009,326 | ||||||||
| 1,000 | |
State Urban Dev. Corp. Rev., 5.00%, 3/15/35, Ser. B | |
NR/AAA | |
1,020,420 | ||||||||
| 2,000 | |
Warren & Washington Counties Industrial Dev. Agcy. Fac. Rev., Glens Falls Hospital, 5.00%, 12/1/35, Ser. A (FSA) | |
Aaa/AAA | |
2,035,800 | ||||||||
| 1,250 | |
Westchester Cnty. Industrial Dev. Agcy. Continuing Care Retirement Rev., Kendal on Hudson, 6.50%, 1/1/34 | |
NR/NR | |
1,309,025 | ||||||||
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Total New York Municipal Bonds & Notes (cost–$96,735,927) | |
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99,562,886 | ||||||||||
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OTHER MUNICIPAL BONDS & NOTES–11.6% |
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California–4.9% |
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| 5,560 | |
Golden State Tobacco Securitization Corp. Rev., Tobacco Settlement, 6.75%, 6/1/39, Ser. 2003-A-1 | |
Baa3/BBB | |
6,224,976 | ||||||||
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District of Columbia–0.1% |
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| 175 | |
Tobacco Settlement Financing Corp. Rev., 6.50%, 5/15/33 | |
Baa3/BBB | |
196,992 | ||||||||
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Puerto Rico–5.8% |
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Children's Trust Fund Tobacco Settlement Rev., | |
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| 1,700 | |
5.50%, 5/15/39 | |
Baa3/BBB | |
1,739,134 | ||||||||
| 580 | |
5.625%, 5/15/43 | |
Baa3/BBB | |
595,214 | ||||||||
| 1,000 | |
Electric Power Auth., Power Rev., 5.125%, 7/1/29, Ser. NN | |
A3/BBB+ | |
1,012,580 | ||||||||
| 4,000 | |
Public Building Auth. Rev., Gov't Facs., 5.00%, 7/1/36, Ser. I (GTD) | |
Baa3/BBB | |
4,005,200 | ||||||||
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7,352,128 | |||||||||||
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Rhode Island–0.4% |
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| 500 | |
Tobacco Settlement Financing Corp. Rev., 6.125%, 6/1/32, Ser. A | |
Baa3/BBB | |
522,445 | ||||||||
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South Carolina–0.3% |
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| 370 | |
Tobacco Settlement Rev. Management Auth., 6.375%, 5/15/30, Ser. B | |
Baa3/BBB | |
412,702 | ||||||||
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Washington–0.1% |
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| 135 | |
Tobacco Settlement Auth., Tobacco Settlement Rev., 6.625%, 6/1/32 | |
Baa3/BBB | |
147,583 | ||||||||
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Total Other Municipal Bonds & Notes (cost–$12,659,615) | |
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14,856,826 | ||||||||||
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| Principal Amount (000) |
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Credit Rating (Moody's/S&P) |
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Value* | |||||||||
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NEW YORK VARIABLE RATE NOTES (b)(d)(e)–9.4% |
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| $ 121 | |
Liberty Dev. Corp. Rev., 11.19%, 10/1/35, Ser. 1251 | |
Aa3/NR | |
$173,700 | ||||||||
| 1,555 | |
Metropolitan Transportation Auth. Rev., 7.37%, 11/15/32, Ser. 862 (FGIC) | |
Aaa/NR | |
1,685,122 | ||||||||
| 550 | |
Mortgage Agcy. Rev., 6.938%, 10/1/27, Ser. 1199 | |
Aa1/NR | |
550,578 | ||||||||
| 1,000 | |
New York City Trust for Cultural Resources Rev., 8.17%, 2/1/34, Ser. 950 (FGIC) | |
Aaa/NR | |
1,100,850 | ||||||||
| 1,205 | |
State Dormitory Auth. Rev., 8.877%, 7/1/32 | |
NR/NR | |
1,353,673 | ||||||||
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State Environmental Facs. Corp., State Clean Water & Drinking Rev., | |
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| 1,005 | |
7.079%, 7/15/23 | |
NR/AAA | |
1,043,110 | ||||||||
| 1,775 | |
7.079%, 7/15/27 | |
NR/AAA | |
1,837,959 | ||||||||
| 1,845 | |
State Housing Finance Agcy. State Personal Income Tax Rev., 7.37%, 3/15/33, Ser. 859 | |
NR/AA | |
2,375,806 | ||||||||
| 700 | |
State Urban Dev. Corp. Rev., 8.457%, 3/15/35 | |
NR/AAA | |
771,470 | ||||||||
| 1,000 | |
Triborough Bridge & Tunnel Auth. Rev., 7.37%, 11/15/32, Ser. 912 (MBIA) | |
NR/NR | |
1,093,760 | ||||||||
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Total New York Variable Rate Notes (cost–$10,719,459) | |
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11,986,028 | ||||||||||
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NEW YORK VARIABLE RATE DEMAND NOTES (e)(f)–0.7% |
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New York City Transitional Finance Auth. Rev., | |
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| 400 | |
3.95%, 7/3/06, Ser. C | |
VMIG1/A-1+ | |
400,000 | ||||||||
| 480 | |
4.00%, 7/3/06, Ser. 1 | |
VMIG1/A-1+ | |
480,000 | ||||||||
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Total New York Variable Rate Demand Notes (cost–$880,000) | |
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880,000 | ||||||||||
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U.S. TREASURY BILLS (h)–0.3% |
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| 425 | |
4.80%-4.82%, 9/14/06 (cost–$420,746) | |
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420,746 | |||||||||
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Total Investments before options written (cost–$121,415,747)–100.0% | |
127,706,486 | |||||||||||
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OPTIONS WRITTEN (g)–(0.0)% |
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| Contracts | |
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Call Options–(0.0)% |
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U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade, | |
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| 62 | |
strike price $108, expires 8/25/06 | |
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(1,937) | |||||||||
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Put Options–(0.0)% |
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U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade, | |
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| 62 | |
strike price $103, expires 8/25/06 | |
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(8,719) | |||||||||
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Total Options Written (premiums received–$17,034) | |
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(10,656) | ||||||||||
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Total Investments net of options written (cost–$121,398,713)–100.0% | |
$127,695,830 | |||||||||||
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Notes to Schedule of Investments:
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| * | 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. 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 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. Securities purchased on a when-issued or delayed delivery basis are marked to market daily until settlement at the forward settlement value. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold. The Fund's net asset value is determined daily 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. |
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| (a) | 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). |
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| (b) | 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. |
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| (c) | When-issued security. To be settled after June 30, 2006. |
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| (d) | Residual Interest Municipal Bonds (‘‘RIBS’’)/Residual Interest Tax Exempt Bonds (‘‘RITES’’) – The interest rate shown bears an inverse relationship to the interest rate on another security or the value of an index. |
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| (e) | 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, 2006. |
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| (f) | Maturity date shown is date of next put. |
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| (g) | Non-income producing. |
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| (h) | All or partial amount segregated as collateral for futures contracts or when-issued securities. |
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:
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| (1) | Futures contracts outstanding at June 30, 2006: |
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| Type | |
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Notional
Amount (000) |
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Expiration Date |
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Unrealized Appreciation (Depreciation) |
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| Long: U.S. Treasury Notes 5 yr. Futures | |
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$ | 147 |
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9/29/06 |
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$ | (99,391 |
)
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| Short: U.S. Treasury Bond Futures | |
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(374 |
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9/20/06 |
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91,774 |
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$ | (7,617 |
)
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| (2) | Transactions in options written for the nine months ended June 30, 2006: |
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Contracts | |
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Premiums | |||||||
| Options outstanding, September 30, 2005 | |
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446 |
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$ | 121,472 |
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| Options written | |
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479 |
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128,569 |
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| Options terminated in closing transactions | |
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(186 |
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(55,042 |
)
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| Options expired | |
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(615 |
)
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(177,965 |
)
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| Options outstanding, June 30, 2006 | |
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124 |
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$ | 17,034 |
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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
Fund III
By /s/ Brian S. Shlissel
President & Chief
Executive Officer
Date: August 17, 2006
By
/s/ Lawrence G. Altadonna
Treasurer, Principal Financial &
Accounting Officer
Date: August 17, 2006
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 17, 2006
By /s/ Lawrence G. Altadonna
Treasurer, Principal
Financial & Accounting Officer
Date: August 17, 2006