PIMCO Municipal Income Fund

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: 811-10377

PIMCO Municipal Income Fund

(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: June 30, 2016

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.


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).


 

LOGO

 

PIMCO Closed-End Funds

 

LOGO

 

LOGO

 

LOGO

 

 

Semiannual Report

 

June 30, 2016

 

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

 

            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

        55   

Glossary

        68   

Changes to Portfolio Managers

        69   

Approval of Investment Management Agreement

        70   
     
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         47   

PIMCO New York Municipal Income Fund

     14         49   

PIMCO New York Municipal Income Fund II

     15         51   

PIMCO New York Municipal Income Fund III

     16         53   


Letter from the Chairman of the Board & President

 

Dear Shareholder,

 

The financial markets generated mixed results during the reporting period. Investor sentiment fluctuated as investors reacted to incoming economic data, shifting monetary policy, volatile commodity prices and numerous geopolitical issues.

 

Outside of the reporting period, PIMCO announced on July 19, 2016 that the firm’s Managing Directors have appointed Emmanuel (Manny) Roman as PIMCO’s next Chief Executive Officer. PIMCO’s current CEO Douglas Hodge will assume a new role as Managing Director and Senior Advisor when Mr. Roman joins PIMCO on November 1st. The announcement of Mr. Roman as PIMCO’s CEO is the culmination of a process undertaken by the firm to hire a senior executive who would add leadership and strategic insights combined with a deep appreciation of PIMCO’s diversified global businesses, investment process and focus on superior investment performance and client service. Mr. Roman’s appointment has the full support of the firm’s leadership including Mr. Hodge, PIMCO’s President Jay Jacobs, the firm’s Executive Committee and its Managing Directors. Mr. Roman has nearly 30 years of experience in the investment industry, with expertise in fixed income and proven executive leadership, most recently as CEO of Man Group PLC, one of the world’s largest publicly traded alternative asset managers and leader in liquid, high-alpha investment strategies.

 

For the six-month reporting period ended June 30, 2016

 

Despite a number of headwinds, the U.S. economy was resilient and continued to expand during the reporting period. That being said, the pace was far from robust. 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 revised 0.9% annual pace during the fourth quarter of 2015. Economic activity then decelerated, as GDP grew at a 0.8% annual pace during the first quarter of 2016. Finally, the Commerce Department’s initial reading — released after the reporting period had ended — showed that second quarter 2016 GDP grew at an annual pace of 1.2%.

 

At its meeting in December 2015, the Federal Reserve (“Fed”) took its initial step toward normalizing monetary policy. In particular, the Fed raised interest rates from a range between 0% and 0.25% to a range between 0.25% and 0.50%. However, since that time the Fed has remained on hold. In its official statement following the Fed’s June 2016 meeting it 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 solid results during the six months ended June 30, 2016. Despite negative headlines from the likes of Puerto Rico and within Illinois, the overall municipal market, as measured by the Barclays Municipal Bond Index, posted positive returns during all six months of the reporting period. The municipal market was supported by overall solid fundamentals, attractive valuations and generally strong investor demand. All told, the Barclays Municipal Bond Index gained 4.33% during the reporting period. In comparison, the overall taxable fixed income market, as measured by the Barclays U.S. Aggregate Bond Index, returned 5.31%.

 

Outlook

 

PIMCO’s baseline view is for a version of today’s status quo to continue and evolve gradually for the next three to five years. More specifically, PIMCO foresees U.S. GDP growth at or slightly above trend of 1.5% to 2% per year, inflation fluctuating around the 2% Fed’s target, the Fed gradually lifting the federal funds rate to the “New Neutral” range of 2% to 3% nominal and fiscal policy providing modest positive support to aggregate demand.

 

PIMCO’s outlook for the municipal market remains positive due to improving overall credit fundamentals and the attractiveness of consistent tax-efficient income in a low rate and volatile environment. However, PIMCO acknowledges the potential for periods of volatility given negative credit headlines and the uncertainties surrounding the upcoming November elections. As it pertains to the PIMCO Municipal Closed-End Funds, in the current

 

2   PIMCO CLOSED-END FUNDS     


environment the potential exists for continued downward pressure on net income of the Funds. This is due to issuers exercising the call option on our higher yielding investments, or additional upward pressure on financing costs from further Fed policy rate increases.

 

In the following pages of this PIMCO Closed-End Funds Semiannual Report, please find specific details regarding investment performance and a discussion of factors that most affected the Funds’ performance over the six months ended June 30, 2016.

 

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

 

  SEMIANNUAL REPORT   JUNE 30, 2016   3


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, in some instances, 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     


 

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. For instance, in December 2015, the SEC proposed new regulations applicable to a mutual fund’s use of derivatives and related instruments. If adopted as proposed, these regulations could significantly limit or impact a Fund’s ability to invest in derivatives and other instruments, limit a Fund’s ability to employ certain strategies that use derivatives and adversely affect a Fund’s performance, efficiency in implementing its strategy, liquidity and ability to pursue its investment objectives.

 

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

 

 

  SEMIANNUAL REPORT   JUNE 30, 2016   5


Important Information About the Funds (Cont.)

 

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.

 

As the use of technology has become more prevalent in the course of business, the Funds have become potentially more susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional cyber events that may cause a Fund to lose proprietary information, suffer data corruption, or lose operational capacity. Cyber security breaches may involve unauthorized access to a Fund’s digital information systems (e.g., through “hacking” or malicious software coding), but may also result from outside attacks such as denial-of-service attacks (i.e., efforts to make network services unavailable to intended users). In addition, cyber security breaches of a Fund’s third party service providers (including but not limited to advisers, sub-advisers, administrators, transfer agents, custodians, distributors and other third parties) or issuers that a Fund invests in can also subject a Fund to many of the same risks associated with direct cyber security breaches. Cyber security failures or breaches may result in financial losses to a Fund and its shareholders. These failures or breaches may also result in disruptions to business operations, potentially resulting in financial losses; interference with a Fund’s ability to calculate its net asset value, process shareholder transactions or otherwise transact business with shareholders; impediments to trading; violations of applicable privacy and other laws; regulatory fines; penalties; reputational damage; reimbursement or other compensation costs; or additional compliance costs. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future. Like with operational risk in general, the Funds have established risk management systems designed to reduce the risks associated with cyber security. However, there is no guarantee that such efforts will succeed, especially since the Funds do not directly control the cyber security systems of issuers or third party service providers. The Funds and their shareholders could be negatively impacted as a result.

 

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 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.

 

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     


 

 

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      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.

 

 

  SEMIANNUAL REPORT   JUNE 30, 2016   7


PIMCO Municipal Income Fund

 

Symbol on NYSE - PMF

 

Allocation Breakdown

 

Municipal Bonds & Notes

 

Health, Hospital & Nursing Home Revenue

    19.9%   

Highway Revenue Tolls

    10.2%   

Tobacco Settlement Funded

    8.7%   

Ad Valorem Property Tax

    8.3%   

Natural Gas Revenue

    6.5%   

Miscellaneous Revenue

    5.5%   

Industrial Revenue

    4.8%   

Electric Power & Light Revenue

    4.7%   

College & University Revenue

    4.3%   

Port, Airport & Marina Revenue

    3.9%   

Special Assessment

    3.6%   

Water Revenue

    3.4%   

Miscellaneous Taxes

    3.2%   

Sewer Revenue

    2.6%   

General Fund

    2.3%   

Nuclear Revenue

    2.2%   

Transit Revenue

    1.1%   

Other

    2.8%   

Short-Term Instruments

    2.0%   
   

% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.

Fund Information (as of June 30, 2016)(1)

 

Market Price

    $17.23   

NAV

    $13.91   

Premium/(Discount) to NAV

    23.87%   

Market Price Distribution Yield(2)

    5.66%   

NAV Distribution Yield(2)

    7.01%   

Total Effective Leverage(3)

    36%   
 

 

Average Annual Total Return(1) for the period ended June 30, 2016  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(06/29/01)
 
Market Price     15.09%        33.80%        13.04%        7.70%        8.20%   
NAV     8.75%        16.98%        12.38%        7.91%        7.60%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(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 at NAV

 

Following are key factors impacting the Fund’s performance during the reporting period:

 

»  

The Fund’s long-duration positioning contributed to absolute performance, as municipal bond yields moved lower.

 

»  

An overweight to revenue-backed municipal bond securities contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

Exposure to the municipal tobacco sector contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the higher-beta segment outperformed the general municipal bond market.

 

»  

Underweights to the education and health care sectors detracted from performance, as they both outperformed the general municipal bond market.

 

8   PIMCO CLOSED-END FUNDS     


PIMCO Municipal Income Fund II

 

Symbol on NYSE - PML

 

Allocation Breakdown

 

Municipal Bonds & Notes

 

Health, Hospital & Nursing Home Revenue

    20.7%   

Tobacco Settlement Funded

    11.6%   

Highway Revenue Tolls

    8.1%   

Industrial Revenue

    7.9%   

Natural Gas Revenue

    7.6%   

Miscellaneous Taxes

    6.1%   

Ad Valorem Property Tax

    5.9%   

Electric Power & Light Revenue

    5.5%   

Water Revenue

    3.6%   

Sewer Revenue

    3.5%   

College & University Revenue

    2.7%   

Lease (Appropriation)

    2.7%   

General Fund

    2.6%   

Port, Airport & Marina Revenue

    2.2%   

Miscellaneous Revenue

    2.0%   

Transit Revenue

    1.5%   

Nuclear Revenue

    1.0%   

Special Assessment

    1.0%   

Other

    3.2%   

Short-Term Instruments

    0.6%   
   

% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.

Fund Information (as of June 30, 2016)(1)

 

Market Price

    $13.96   

NAV

    $13.02   

Premium/(Discount) to NAV

    7.22%   

Market Price Distribution Yield(2)

    5.59%   

NAV Distribution Yield(2)

    5.99%   

Total Effective Leverage(3)

    33%   
 

 

Average Annual Total Return(1) for the period ended June 30, 2016  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(06/28/02)
 
Market Price     15.05%        29.45%        12.98%        6.46%        6.44%   
NAV     8.38%        15.95%        11.82%        5.91%        6.28%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(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 at NAV

 

Following are key factors impacting the Fund’s performance during the reporting period:

 

»  

The Fund’s long-duration positioning contributed to absolute performance, as municipal bond yields moved lower.

 

»  

An overweight to revenue-backed municipal bond securities contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

Exposure to the municipal tobacco sector contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the higher-beta segment outperformed the general municipal bond market.

 

»  

Underweights to the health care and education sectors detracted from performance, as they both outperformed the general municipal bond market.

 

  SEMIANNUAL REPORT   JUNE 30, 2016   9


PIMCO Municipal Income Fund III

 

Symbol on NYSE - PMX

 

Allocation Breakdown

 

Municipal Bonds & Notes

 

Health, Hospital & Nursing Home Revenue

    17.0%   

Sewer Revenue

    11.3%   

Tobacco Settlement Funded

    10.4%   

Highway Revenue Tolls

    9.1%   

Natural Gas Revenue

    5.8%   

Electric Power & Light Revenue

    4.9%   

Water Revenue

    4.4%   

Industrial Revenue

    4.3%   

Nuclear Revenue

    4.0%   

Recreational Revenue

    4.0%   

General Fund

    3.9%   

Ad Valorem Property Tax

    3.8%   

Lease (Appropriation)

    3.5%   

Port, Airport & Marina Revenue

    2.3%   

Miscellaneous Revenue

    2.2%   

College & University Revenue

    2.2%   

Miscellaneous Taxes

    1.8%   

Tax Increment/Allocation Revenue

    1.2%   

Local or Guaranteed Housing

    1.0%   

Special Assessment

    1.0%   

Other

    1.2%   

Short-Term Instruments

    0.7%   
   

% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.

Fund Information (as of June 30, 2016)(1)

 

Market Price

    $12.88   

NAV

    $11.80   

Premium/(Discount) to NAV

    9.15%   

Market Price Distribution Yield(2)

    5.80%   

NAV Distribution Yield(2)

    6.34%   

Total Effective Leverage(3)

    36%   
 

 

Average Annual Total Return(1) for the period ended June 30, 2016  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(10/31/02)
 
Market Price     15.52%        29.17%        11.70%        6.25%        6.18%   
NAV     9.55%        17.84%        12.81%        5.78%        6.10%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(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 at NAV

 

Following are key factors impacting the Fund’s performance during the reporting period:

 

»  

The Fund’s long-duration positioning contributed to absolute performance, as municipal bond yields moved lower.

 

»  

An overweight to revenue-backed municipal bond securities contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

Exposure to the municipal tobacco sector contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the higher-beta segment outperformed the general municipal bond market.

 

»  

Underweights to the education and health care sectors detracted from performance, as they both outperformed the general municipal bond market.

 

10   PIMCO CLOSED-END FUNDS     


PIMCO California Municipal Income Fund

 

Symbol on NYSE - PCQ

 

Allocation Breakdown

 

Municipal Bonds & Notes

 

Health, Hospital & Nursing Home Revenue

    24.3%   

Ad Valorem Property Tax

    14.5%   

Tobacco Settlement Funded

    10.0%   

College & University Revenue

    10.0%   

Lease (Abatement)

    8.8%   

Natural Gas Revenue

    7.8%   

Water Revenue

    7.2%   

Electric Power & Light Revenue

    5.1%   

General Fund

    3.6%   

Local or Guaranteed Housing

    2.4%   

Highway Revenue Tolls

    2.4%   

Tax Increment/Allocation Revenue

    1.5%   

Port, Airport & Marina Revenue

    1.2%   

Other

    0.4%   

Short-Term Instruments

    0.8%   
   

% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.

Fund Information (as of June 30, 2016)(1)

 

Market Price

    $16.93   

NAV

    $15.27   

Premium/(Discount) to NAV

    10.87%   

Market Price Distribution Yield(2)

    5.46%   

NAV Distribution Yield(2)

    6.05%   

Total Effective Leverage(3)

    39%   
 

 

Average Annual Total Return(1) for the period ended June 30, 2016  
    6 Month*     1 Year     5 Year     10 Year    

Commencement
of Operations

(06/29/01)

 
Market Price     11.05%        26.00%        12.82%        7.96%        7.69%   
NAV     7.83%        16.08%        12.28%        7.95%        7.49%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(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 at NAV

 

Following are key factors impacting the Fund’s performance during the reporting period:

 

»  

The Fund’s long-duration positioning contributed to absolute performance, as municipal bond yields moved lower.

 

»  

An overweight to revenue-backed municipal bond securities contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

Exposure to the municipal tobacco sector contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the higher-beta segment outperformed the general municipal bond market.

 

»  

Underweights to the transportation and education sectors detracted from performance, as they both outperformed the general municipal bond market.

 

  SEMIANNUAL REPORT   JUNE 30, 2016   11


PIMCO California Municipal Income Fund II

 

Symbol on NYSE - PCK

 

Allocation Breakdown

 

Municipal Bonds & Notes

 

Health, Hospital & Nursing Home Revenue

    25.1%   

Ad Valorem Property Tax

    22.7%   

Tobacco Settlement Funded

    11.0%   

Natural Gas Revenue

    7.8%   

College & University Revenue

    6.9%   

Electric Power & Light Revenue

    5.3%   

Tax Increment/Allocation Revenue

    5.3%   

General Fund

    3.1%   

Lease (Abatement)

    3.0%   

Port, Airport & Marina Revenue

    2.1%   

Special Tax

    1.4%   

Highway Revenue Tolls

    1.3%   

Water Revenue

    1.2%   

Local or Guaranteed Housing

    1.1%   

Private Schools

    1.0%   

Other

    1.4%   

Short-Term Instruments

    0.3%   
   

% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.

 

Fund Information (as of June 30, 2016)(1)

 

Market Price

    $11.05   

NAV

    $9.45   

Premium/(Discount) to NAV

    16.93%   

Market Price Distribution Yield(2)

    5.84%   

NAV Distribution Yield(2)

    6.83%   

Total Effective Leverage(3)

    39%   
 

 

Average Annual Total Return(1) for the period ended June 30, 2016

 
    6 Month*     1 Year     5 Year    

10 Year

    Commencement
of Operations
(06/28/02)
 

Market Price

    14.74%        26.29%        11.78%        4.88%        5.24%   

NAV

    9.39%        18.55%        13.69%        4.25%        4.94%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(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 at NAV

 

Following are key factors impacting the Fund’s performance during the reporting period:

 

»  

The Fund’s long-duration positioning contributed to absolute performance, as municipal bond yields moved lower.

 

»  

An overweight to revenue-backed municipal bond securities contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

Exposure to the municipal tobacco sector contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the higher-beta segment outperformed the general municipal bond market.

 

»  

Underweights to the transportation and education sectors detracted from performance, as they both outperformed the general municipal bond market.

 

12   PIMCO CLOSED-END FUNDS     


PIMCO California Municipal Income Fund III

 

Symbol on NYSE - PZC

 

Allocation Breakdown

 

Municipal Bonds & Notes

 

Health, Hospital & Nursing Home Revenue

    26.4%   

Ad Valorem Property Tax

    16.7%   

College & University Revenue

    13.8%   

Tobacco Settlement Funded

    9.3%   

Electric Power & Light Revenue

    8.4%   

Natural Gas Revenue

    5.8%   

Water Revenue

    4.7%   

Highway Revenue Tolls

    3.4%   

Lease (Abatement)

    2.3%   

General Fund

    2.1%   

Special Tax

    1.9%   

Tax Increment/Allocation Revenue

    1.6%   

Sewer Revenue

    1.5%   

Port, Airport & Marina Revenue

    1.0%   

Other

    1.2%   
   

% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.

Fund Information (as of June 30, 2016)(1)

 

Market Price

    $12.30   

NAV

    $10.75   

Premium/(Discount) to NAV

    14.42%   

Market Price Distribution Yield(2)

    5.85%   

NAV Distribution Yield(2)

    6.70%   

Total Effective Leverage(3)

    39%   
 

 

Average Annual Total Return(1) for the period ended June 30, 2016  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(10/31/02)
 

Market Price

    6.47%        27.58%        13.71%        4.58%        5.63%   

NAV

    7.92%        16.51%        12.29%        4.43%        5.08%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(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 at NAV

 

Following are key factors impacting the Fund’s performance during the reporting period:

 

»  

The Fund’s long-duration positioning contributed to absolute performance, as municipal bond yields moved lower.

 

»  

An overweight to revenue-backed municipal bond securities contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

Exposure to the municipal tobacco sector contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

Overweights to the health care and industrial revenue sectors contributed to performance, as both of these higher-beta segments outperformed the general municipal bond market.

 

»  

Underweights to the transportation and water and sewer utility sectors detracted from performance, as they both outperformed the general municipal bond market.

 

  SEMIANNUAL REPORT   JUNE 30, 2016   13


PIMCO New York Municipal Income Fund

 

Symbol on NYSE - PNF

 

Allocation Breakdown

 

Municipal Bonds & Notes

 

College & University Revenue

    14.6%   

Miscellaneous Revenue

    14.3%   

Industrial Revenue

    13.5%   

Tobacco Settlement Funded

    11.7%   

Health, Hospital & Nursing Home Revenue

    9.1%   

Highway Revenue Tolls

    7.2%   

Miscellaneous Taxes

    5.3%   

Water Revenue

    5.2%   

Electric Power & Light Revenue

    3.3%   

Ad Valorem Property Tax

    3.2%   

Income Tax Revenue

    2.8%   

Recreational Revenue

    2.4%   

Transit Revenue

    2.3%   

Port, Airport & Marina Revenue

    2.3%   

Hotel Occupancy Tax

    2.0%   

Other

    0.1%   

Short-Term Instruments

    0.7%   
   

% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.

 

Fund Information (as of June 30, 2016)(1)

 

Market Price

    $14.17   

NAV

    $12.81   

Premium/(Discount) to NAV

    10.62%   

Market Price Distribution Yield(2)

    4.83%   

NAV Distribution Yield(2)

    5.34%   

Total Effective Leverage(3)

    37%   
 

 

Average Annual Total Return(1) for the period ended June 30, 2016  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(06/29/01)
 
Market Price     22.35%        34.44%        13.41%        5.84%        5.99%   
NAV     8.83%        15.44%        10.91%        5.91%        5.64%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(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 at NAV

 

Following are key factors impacting the Fund’s performance during the reporting period:

 

»  

The Fund’s long-duration positioning contributed to absolute performance, as municipal bond yields moved lower.

 

»  

An overweight to revenue-backed municipal bond securities contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the higher-beta segment outperformed the general municipal bond market.

 

»  

Exposure to the municipal tobacco sector contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

Underweights to the transportation and lease-backed sectors detracted from performance, as they both outperformed the general municipal bond market.

 

14   PIMCO CLOSED-END FUNDS     


PIMCO New York Municipal Income Fund II

 

Symbol on NYSE - PNI

 

Allocation Breakdown

 

Municipal Bonds & Notes

 

College & University Revenue

    14.7%   

Tobacco Settlement Funded

    12.6%   

Industrial Revenue

    10.9%   

Health, Hospital & Nursing Home Revenue

    9.9%   

Miscellaneous Revenue

    7.7%   

Transit Revenue

    6.7%   

Income Tax Revenue

    5.6%   

Miscellaneous Taxes

    4.9%   

Lease (Abatement)

    4.8%   

Highway Revenue Tolls

    4.5%   

Water Revenue

    3.8%   

Recreational Revenue

    3.8%   

Port, Airport & Marina Revenue

    2.4%   

Hotel Occupancy Tax

    2.2%   

Ad Valorem Property Tax

    2.2%   

Electric Power & Light Revenue

    1.9%   

Other

    1.0%   

Short-Term Instruments

    0.4%   
   

% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.

Fund Information (as of June 30, 2016)(1)

 

Market Price

    $14.39   

NAV

    $11.97   

Premium/(Discount) to NAV

    20.22%   

Market Price Distribution Yield(2)

    5.52%   

NAV Distribution Yield(2)

    6.64%   

Total Effective Leverage(3)

    40%   
 

 

Average Annual Total Return(1) for the period ended June 30, 2016  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(06/28/02)
 
Market Price     20.14%        30.48%        12.95%        7.06%        6.65%   
NAV     8.55%        14.88%        11.06%        5.35%        5.76%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(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 at NAV

 

Following are key factors impacting the Fund’s performance during the reporting period:

 

»  

The Fund’s long-duration positioning contributed to absolute performance, as municipal bond yields moved lower.

 

»  

An overweight to revenue-backed municipal bond securities contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the higher-beta segment outperformed the general municipal bond market.

 

»  

Exposure to the municipal tobacco sector contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

Underweights to the water and sewer utility and transportation sectors detracted from performance, as they both outperformed the general municipal bond market.

 

  SEMIANNUAL REPORT   JUNE 30, 2016   15


PIMCO New York Municipal Income Fund III

 

Symbol on NYSE - PYN

 

Allocation Breakdown

 

Municipal Bonds & Notes

 

Industrial Revenue

    14.9%   

Tobacco Settlement Funded

    14.6%   

Water Revenue

    11.4%   

Income Tax Revenue

    10.0%   

Transit Revenue

    8.2%   

College & University Revenue

    6.5%   

Ad Valorem Property Tax

    5.5%   

Miscellaneous Revenue

    5.2%   

Miscellaneous Taxes

    5.1%   

Health, Hospital & Nursing Home Revenue

    4.8%   

Highway Revenue Tolls

    4.4%   

Recreational Revenue

    4.0%   

Hotel Occupancy Tax

    2.6%   

Electric Power & Light Revenue

    1.8%   

Other

    0.9%   

Short-Term Instruments

    0.1%   
   

% of Investments, at value as of 06/30/2016. Financial derivative instruments, if any, are excluded.

Fund Information (as of June 30, 2016)(1)

 

Market Price

    $11.56   

NAV

    $9.96   

Premium/(Discount) to NAV

    16.06%   

Market Price Distribution Yield(2)

    5.45%   

NAV Distribution Yield(2)

    6.33%   

Total Effective Leverage(3)

    39%   
 

 

Average Annual Total Return(1) for the period ended June 30, 2016  
    6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(10/31/02)
 
Market Price     16.02%        32.55%        12.74%        3.81%        4.65%   
NAV     7.73%        14.29%        10.29%        2.71%        3.88%   

 

All Fund returns are net of fees and expenses.

 

* Cumulative return

 

(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 at NAV

 

Following are key factors impacting the Fund’s performance during the reporting period:

 

»  

The Fund’s long-duration positioning contributed to absolute performance, as municipal bond yields moved lower.

 

»  

An overweight to revenue-backed municipal bond securities contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

An overweight to the industrial revenue sector contributed to performance, as the higher-beta segment outperformed the general municipal bond market.

 

»  

Exposure to the municipal tobacco sector contributed to performance, as the segment outperformed the general municipal bond market.

 

»  

Underweights to the water and sewer utility and transportation sectors detracted from performance, as they both outperformed the general municipal bond market.

 

16   PIMCO CLOSED-END FUNDS     


 

 

 

(THIS PAGE INTENTIONALLY LEFT BLANK)

 

  SEMIANNUAL REPORT   JUNE 30, 2016   17


Financial Highlights

 

         

Investment Operations

         

Less Distributions to Common Shareholders(b)

 
    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
    From Net
Realized
Capital
Gain (Loss)
    Tax Basis
Return of
Capital
    Total  

PIMCO Municipal Income Fund

                     

01/01/2016 - 06/30/2016+

  $ 13.26      $ 0.44      $ 0.72      $ (0.02   $ 0.00      $ 1.14              $ (0.49   $ 0.00      $ 0.00      $ (0.49

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

                     

01/01/2016 - 06/30/2016+

  $ 12.39      $ 0.39      $ 0.64      $ (0.01   $ 0.00      $ 1.02              $ (0.39   $ 0.00      $ 0.00      $ (0.39

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

                     

01/01/2016 - 06/30/2016+

  $ 11.13      $ 0.38      $ 0.67      $ (0.01   $ 0.00      $ 1.04              $ (0.37   $ 0.00      $ 0.00      $ (0.37

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

                     

01/01/2016 - 06/30/2016+

  $   14.61      $   0.47      $ 0.67      $ (0.02   $ 0.00      $ 1.12              $ (0.46   $ 0.00      $ 0.00      $ (0.46

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

                     

01/01/2016 - 06/30/2016+

  $ 8.95      $ 0.30      $ 0.53      $ (0.01   $ 0.00      $ 0.82              $ (0.32   $ 0.00      $ 0.00      $ (0.32

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

                     

01/01/2016 - 06/30/2016+

  $ 10.31      $ 0.32      $ 0.49      $ (0.01   $ 0.00      $ 0.80              $ (0.36   $ 0.00      $ 0.00      $   (0.36

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   


Common Share          

Ratios/Supplemental Data

 
                             

Ratios to Average Net Assets

             
Net Assets
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

 
                     
$ 13.91      $ 17.23        15.09           $   355,476        1.27 %*      1.27 %*      1.23 %*      1.23 %*      6.71 %*    $   71,770        3
  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   
                     
$ 13.02      $ 13.96        15.05           $ 800,390        1.16 %*      1.16 %*      1.11 %*      1.11 %*      6.24 %*    $ 79,519        0 % 
  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   
                     
$ 11.80      $ 12.88        15.52           $ 386,114        1.26 %*      1.26 %*      1.17 %*      1.17 %*      6.76 %*    $ 76,070        1
  11.13        11.51        6.70                363,382        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   
                     
$   15.27      $ 16.93        11.05           $ 285,057        1.33 %*      1.33 %*      1.22 %*      1.22 %*      6.45 %*    $ 72,507        1
  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   
                     
$ 9.45      $ 11.05        14.74           $ 301,197        1.34 %*      1.34 %*      1.24 %*      1.24 %*      6.77 %*    $ 71,193        7
  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   
                     
$ 10.75      $   12.30        6.47           $ 238,195        1.35 %*      1.35 %*      1.21 %*      1.21 %*      6.25 %*    $ 72,635        3
  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   

 

  SEMIANNUAL REPORT   JUNE 30, 2016   19


Financial Highlights (Cont.)

 

         

Investment Operations

         

Less Distributions to Common Shareholders(b)

 
    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
    From Net
Realized
Capital
Gain (Loss)
    Tax Basis
Return of
Capital
    Total  

PIMCO New York Municipal Income Fund

                     

01/01/2016 - 06/30/2016+

  $ 12.10      $ 0.33      $ 0.73      $ (0.01   $ 0.00      $ 1.05              $ (0.34   $ 0.00      $ 0.00      $ (0.34

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

                     

01/01/2016 - 06/30/2016+

  $   11.41      $ 0.35      $ 0.63      $ (0.02   $ 0.00      $ 0.96              $ (0.40   $ 0.00      $ 0.00      $ (0.40

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

                     

01/01/2016 - 06/30/2016+

  $ 9.55      $   0.27      $   0.47      $   (0.01   $   0.00      $ 0.73              $ (0.32   $   0.00      $   0.00      $   (0.32

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

 

+ Unaudited
* Annualized
 

Reflects an amount rounding to less than one percent.

^ 

Reflects an amount rounding to less than one cent.

(a) 

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

(b) 

The tax characterization of distributions is determined in accordance with federal income tax regulations. The actual tax characterization of distributions paid are determined at the end of the fiscal year. 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   


 

Common Share          

Ratios/Supplemental Data

 
                             

Ratios to Average Net Assets

             
Net Assets
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

 
                     
$   12.81      $   14.17        22.35           $ 98,889        1.40 %*      1.40 %*      1.30 %*      1.30 %*      5.51 %*    $ 77,598        3
  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   
                     
$ 11.97      $ 14.39        20.14           $ 132,577        1.43 %*      1.43 %*      1.35 %*      1.35 %*      6.09 %*    $ 66,952        4
  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   
                     
$ 9.96      $ 11.56        16.02           $ 56,654        1.59 %*      1.59 %*      1.49 %*      1.49 %*      5.71 %*    $   69,258        4
  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   

 

  SEMIANNUAL REPORT   JUNE 30, 2016   21


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*

  $ 553,879      $ 1,183,303      $ 596,419      $ 459,170   

Cash

    511        476        566        96   

Receivable for investments sold

    0        0        961        0   

Interest and/or dividends receivable

    7,205        13,742        6,896        6,294   

Other assets

    71        16        7        8   

Total Assets

    561,666        1,197,537        604,849        465,568   

Liabilities:

       

Borrowings & Other Financing Transactions

                               

Payable for tender option bond floating rate certificates

  $ 10,485      $ 25,026      $ 26,140      $ 28,553   

Payable for investments purchased

    3,082        0        961        0   

Distributions payable to common shareholders

    2,077        3,996        2,038        1,437   

Distributions payable to preferred shareholders

    13        25        13        8   

Accrued management fees

    313        650        330        249   

Other liabilities

    220        450        253        264   

Total Liabilities

    16,190        30,147        29,735        30,511   

Preferred Shares ($0.00001 par value and $25,000 liquidation preference per share)

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

Net Assets Applicable to Common Shareholders

  $ 355,476      $ 800,390      $ 386,114      $ 285,057   

Net Assets Applicable to Common Shareholders Consist of:

       

Par value ($0.00001 per share)

    0        1        0        0   

Paid in capital in excess of par

    330,648        805,108        434,441        244,460   

Undistributed (overdistributed) net investment income

    275        25,055        (93     13,182   

Accumulated undistributed net realized (loss)

    (54,075     (183,620     (137,455     (33,675

Net unrealized appreciation

    78,628        153,846        89,221        61,090   

Net Assets Applicable to Common Shareholders

  $ 355,476      $ 800,390      $ 386,114      $ 285,057   

Net Asset Value Per Common Share

  $ 13.91      $ 13.02      $ 11.80      $ 15.27   

Common shares issued and outstanding

    25,558        61,484        32,718        18,667   

Preferred shares issued and outstanding

    8        15        8        6   

Cost of investments in securities

  $   475,263      $   1,029,446      $   507,199      $   398,081   

* Includes repurchase agreements of:

  $ 9,300      $ 0      $ 0      $ 0   

 

 

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

 

22   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

June 30, 2016 (Unaudited)

 

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

 
       
                                     
$ 488,303      $ 386,918      $ 153,421      $ 219,027      $ 93,100   
  428        489        599        488        546   
  1,657        1,274        0        0        0   
  6,248        5,163        1,994        2,766        980   
  12        3        2,288        10        0   
  496,648        393,847        158,302        222,291        94,626   
       
                                     
$ 28,731      $ 28,356      $ 10,513      $ 8,212      $ 4,940   
  1,580        533        1,221        1,221        610   
  1,714        1,330        440        733        299   
  11        11        2        4        2   
  266        211        91        126        62   
  149        211        146        418        59   
  32,451        30,652        12,413        10,714        5,972   
  163,000        125,000        47,000        79,000        32,000   
$ 301,197      $ 238,195      $ 98,889      $ 132,577      $ 56,654   
       
  0        0        0        0        0   
  403,650        290,002        97,608        148,275        75,582   
  (2,276     3,684        2,077        (632     589   
  (175,972     (105,109     (20,215     (41,786     (30,284
  75,795        49,618        19,419        26,720        10,767   
$ 301,197      $ 238,195      $ 98,889      $ 132,577      $ 56,654   
$ 9.45      $ 10.75      $ 12.81      $ 11.97      $ 9.96   
  31,886        22,167        7,717        11,072        5,689   
  7        5        2        3        1   
$   412,508      $   337,301      $   134,593      $   192,223      $   82,333   
$ 0      $ 0      $ 0      $ 0      $ 0   

 

  SEMIANNUAL REPORT   JUNE 30, 2016   23


Statements of Operations

 

Six Months Ended June 30, 2016 (Unaudited)                        
(Amounts in thousands)       
PIMCO
Municipal
Income
Fund
    PIMCO
Municipal
Income
Fund II
    PIMCO
Municipal
Income
Fund III
    PIMCO
California
Municipal
Income
Fund
 

Investment Income:

       

Interest

  $ 13,477      $ 28,112      $ 14,648      $   10,532   

Total Income

    13,477        28,112        14,648        10,532   

Expenses:

       

Management fees

    1,846        3,832        1,940        1,472   

Auction agent fees and commissions

    140        270        137        110   

Trustee fees and related expenses

    44        94        45        35   

Interest expense

    73        197        159        152   

Auction rate preferred shares related expenses

    40        27        14        30   

Miscellaneous expense

    3        4        3        2   

Total Expenses

    2,146        4,424        2,298        1,801   

Net Investment Income

    11,331        23,688        12,350        8,731   

Net Realized Gain:

       

Investments in securities

    1,438        1,663        960        116   

Net Realized Gain

    1,438        1,663        960        116   

Net Change in Unrealized Appreciation:

       

Investments in securities

    16,643        37,765        21,170        12,495   

Net Change in Unrealized Appreciation

    16,643        37,765        21,170        12,495   

Net Increase in Net Assets Resulting from Operations

  $ 29,412      $ 63,116      $ 34,480      $ 21,342   

Distributions on Preferred Shares from Net Investment Income

  $ (425   $ (821   $ (423   $ (335

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

  $   28,987      $   62,295      $   34,057      $ 21,007   

 

24   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

                           
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
 
       
$   11,543      $ 8,607      $ 3,230      $ 4,727      $ 1,969   
  11,543        8,607        3,230        4,727        1,969   
       
  1,565        1,247        538        747        367   
  120        92        35        58        23   
  37        29        12        17        7   
  145        157        45        50        27   
  37        4        20        24        4   
  2        1        1        1        1   
  1,906        1,530        651        897        429   
  9,637        7,077        2,579        3,830        1,540   
       
  1,713        841        200        475        133   
  1,713        841        200        475        133   
       
  15,065        10,055        5,503        6,508        2,522   
  15,065        10,055        5,503        6,508        2,522   
$ 26,415      $ 17,973      $ 8,282      $ 10,813      $ 4,195   
$ (365   $ (280   $ (106   $ (176   $ (72

$

26,050

  

  $   17,693      $   8,176      $   10,637      $   4,123   

 

  SEMIANNUAL REPORT   JUNE 30, 2016   25


 

 

 

(THIS PAGE INTENTIONALLY LEFT BLANK)

 

26   PIMCO CLOSED-END FUNDS     


Statements of Changes in Net Assets

 

   

PIMCO

Municipal Income Fund

   

PIMCO

Municipal Income Fund II

 
(Amounts in thousands)   Six Months Ended
June 30, 2016
(Unaudited)
    Period from
May 1, 2015 to
December 31, 2015(a)
    Year Ended
April 30, 2015
    Six Months Ended
June 30, 2016
(Unaudited)
    Period from
June 1, 2015 to
December 31, 2015(b)
    Year Ended
May 31, 2015
 

Increase in Net Assets from:

           

Operations:

           

Net investment income

  $ 11,331      $ 16,665      $ 23,709      $ 23,688      $ 29,008      $ 49,450   

Net realized gain (loss)

    1,438        161        (1,080     1,663        410        1,136   

Net change in unrealized appreciation

    16,643        2,788        17,051        37,765        16,059        8,054   

Net increase in net assets resulting from operations

    29,412        19,614        39,680        63,116        45,477        58,640   

Distributions on preferred shares from net investment
income(c)

    (425     (222     (211     (821     (368     (420

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

    28,987        19,392        39,469        62,295        45,109        58,220   

Distributions to Common Shareholders:

           

From net investment income

    (12,451     (16,571     (24,797     (23,955     (27,892     (47,740

Total Distributions to Common Shareholders(c)

    (12,451     (16,571 )(d)      (24,797     (23,955     (27,892 )(d)      (47,740

Common Share Transactions**:

           

Issued as reinvestment of distributions

    598        746        948        1,838        862        1,565   

Total Increase in Net Assets

    17,134        3,567        15,620        40,178        18,079        12,045   

Net Assets Applicable to Common Shareholders:

           

Beginning of period

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

End of period*

  $   355,476      $   338,342      $   334,775      $   800,390      $   760,212      $   742,133   

* Including undistributed net investment income of:

  $ 275      $ 1,820      $ 1,979      $ 25,055      $ 26,143      $ 25,414   

** Common Share Transactions:

           

Shares issued as reinvestment of distributions

    40        54        68        146        70        128   

 

(a) 

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

(b) 

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

(c) 

The tax characterization of distributions is determined in accordance with federal income tax regulations. The actual tax characterization of distributions paid are determined at the end of the fiscal year. See Note 2(b) in the Notes to Financial Statements for more information.

(d) 

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

 

  SEMIANNUAL REPORT   JUNE 30, 2016   27


Statements of Changes in Net Assets (Cont.)

 

   

PIMCO

Municipal Income Fund III

   

PIMCO

California Municipal Income Fund

 
(Amounts in thousands)  

Six Months Ended
June 30, 2016

(Unaudited)

   

Period from

October 1, 2015 to

December 31, 2015(a)

    Year Ended
September 30, 2015
   

Six Months Ended
June 30, 2016

(Unaudited)

   

Period from

May 1, 2015 to

December 31, 2015(b)

    Year Ended
April 30, 2015
 

Increase in Net Assets from:

           

Operations:

           

Net investment income

  $ 12,350      $ 6,627      $ 25,469      $ 8,731      $ 12,157      $ 17,678   

Net realized gain (loss)

    960        612        1,031        116        593        455   

Net change in unrealized appreciation (depreciation)

    21,170        7,195        1,472        12,495        3,978        9,666   

Net increase in net assets resulting from operations

    34,480        14,434        27,972        21,342        16,728        27,799   

Distributions on preferred shares from net investment income(d)

    (423     (98     (242     (335     (174     (165

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

    34,057        14,336        27,730        21,007        16,554        27,634   

Distributions to Common Shareholders:

           

From net investment income

    (12,224     (6,106     (24,386     (8,620     (11,478     (17,183

Total Distributions to Common Shareholders(d)

    (12,224     (6,106 )(e)      (24,386     (8,620     (11,478 )(e)      (17,183

Common Share Transactions**:

           

Issued as reinvestment of distributions

    449        234        885        325        431        636   

Total Increase in Net Assets

    22,282        8,464        4,229        12,712        5,507        11,087   

Net Assets Applicable to Common Shareholders:

           

Beginning of period

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

End of period*

  $   386,114      $   363,832      $   355,368      $   285,057      $   272,345      $   266,838   

* Including undistributed (overdistributed) net investment income of:

  $ (93   $ 204      $ (201   $ 13,182      $ 13,406      $ 12,917   

** Common Share Transactions:

           

Shares issued as reinvestment of distributions

    39        21        81        21        29        45   

 

 

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

(a) 

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

(b) 

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

(c) 

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

(d) 

The tax characterization of distributions is determined in accordance with federal income tax regulations. The actual tax characterization of distributions paid are determined at the end of the fiscal year. See Note 2(b) in the Notes to Financial Statements for more information.

(e) 

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

 

28   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

PIMCO
California Municipal Income Fund II
    PIMCO
California Municipal Income Fund III
    PIMCO
New York Municipal Income Fund
 
Six Months Ended
June 30, 2016
(Unaudited)
    Period from
June 1, 2015 to
December 31,  2015(c)
    Year Ended
May 31, 2015
    Six Months Ended
June 30, 2016
(Unaudited)
    Period from
October 1, 2015 to
December 31, 2015(a)
    Year Ended
September 30, 2015
    Six Months Ended
June 30, 2016
(Unaudited)
    Period from
May 1, 2015 to
December 31,  2015(b)
    Year Ended
April 30, 2015
 
               
               
$ 9,637      $ 12,226      $ 20,816      $ 7,077      $ 3,762      $ 14,934      $ 2,579      $ 3,619      $ 5,247   
  1,713        122        6,746        841        (107     4,105        200        296        0   
  15,065        7,982        (4,455     10,055        5,478        (1,806     5,503        1,026        5,582   
  26,415        20,330        23,107        17,973        9,133        17,233        8,282        4,941        10,829   
  (365     (164     (188     (280     (66     (160     (106     (54     (54
 
 
    
26,050
 
  
    20,166        22,919        17,693        9,067        17,073        8,176        4,887        10,775   
               
  (10,279     (11,978     (20,493     (7,976     (3,985     (15,922     (2,637     (3,514     (5,269
  (10,279     (11,978 )(e)      (20,493     (7,976     (3,985 )(e)      (15,922     (2,637     (3,514 )(e)      (5,269
               
  329        384        810        257        109        464        145        0        115   
  16,100        8,572        3,236        9,974        5,191        1,615        5,684        1,373        5,621   
               
  285,097        276,525        273,289        228,221        223,030        221,415        93,205        91,832        86,211   
$   301,197      $   285,097      $   276,525      $   238,195      $   228,221      $   223,030      $   98,889      $   93,205      $   91,832   

$

(2,276

  $ (1,269   $ (1,482   $ 3,684      $ 4,863      $ 5,160      $ 2,077      $ 2,241      $ 2,137   
               
  33        41        89        23        10        45        12        0        10   

 

  SEMIANNUAL REPORT   JUNE 30, 2016   29


Statements of Changes in Net Assets (Cont.)

 

    PIMCO
New York Municipal Income Fund II
    PIMCO
New York Municipal Income Fund III
 
(Amounts in thousands)   Six Months Ended
June 30, 2016
(Unaudited)
    Period from
June 1, 2015 to
December 31, 2015(a)
    Year Ended
May 31, 2015
    Six Months Ended
June 30, 2016
(Unaudited)
    Period from
October 1, 2015 to
December 31, 2015(b)
    Year Ended
September 30, 2015
 

Increase in Net Assets from:

           

Operations:

           

Net investment income

  $ 3,830      $ 4,783      $ 8,238      $ 1,540      $ 819      $ 3,246   

Net realized gain (loss)

    475        244        (515     133        0        106   

Net change in unrealized appreciation

    6,508        1,538        4,505        2,522        837        158   

Net increase in net assets resulting from operations

    10,813        6,565        12,228        4,195        1,656        3,510   

Distributions on preferred shares from net investment income(c)

    (176     (79     (90     (72     (16     (41

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

    10,637        6,486        12,138        4,123        1,640        3,469   

Distributions to Common Shareholders:

           

From net investment income

    (4,398     (5,120     (8,750     (1,791     (895     (3,571

Total Distributions to Common Shareholders(c)

    (4,398     (5,120 )(d)      (8,750     (1,791     (895 )(d)      (3,571

Common Share Transactions**:

           

Issued as reinvestment of distributions

    253        295        516        75        44        191   

Total Increase in Net Assets

    6,492        1,661        3,904        2,407        789        89   

Net Assets Applicable to Common Shareholders:

           

Beginning of period

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

End of period*

  $   132,577      $   126,085      $   124,424      $   56,654      $   54,247      $   53,458   

* Including undistributed (overdistributed) net investment income of:

  $ (632   $ 112      $ 531      $ 589      $ 912      $ 1,007   

** Common Share Transactions:

           

Shares issued as reinvestment of distributions

    20        26        45        7        5        20   

 

 

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

(a) 

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

(b) 

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

(c) 

The tax characterization of distributions is determined in accordance with federal income tax regulations. The actual tax characterization of distributions paid are determined at the end of the fiscal year. See Note 2(b) in the Notes to Financial Statements for more information.

(d) 

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

 

30   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Schedule of Investments PIMCO Municipal Income Fund

 

June 30, 2016 (Unaudited)

 

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
INVESTMENTS IN SECURITIES 155.8%   
MUNICIPAL BONDS & NOTES 152.7%   
ALABAMA 5.5%   

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

    

5.500% due 01/01/2028

  $     235      $     236   

5.500% due 01/01/2043

      885          887   

Jefferson County, Alabama Sewer Revenue Bonds, Series 2013

   

0.000% due 10/01/2050 (d)

      15,000          11,725   

6.500% due 10/01/2053

      2,000          2,504   

Lower Alabama Gas District Revenue Bonds, Series 2016

   

5.000% due 09/01/2046

      3,000          4,178   
       

 

 

 
            19,530   
       

 

 

 
ALASKA 1.1%   

Alaska Industrial Development & Export Authority Revenue Bonds, Series 2007

   

6.000% due 12/01/2036 ^

      900          122   

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

   

6.000% due 09/01/2032

      3,280          3,814   
       

 

 

 
          3,936   
       

 

 

 
ARIZONA 3.6%   

Arizona Health Facilities Authority Revenue Bonds, Series 2007

   

5.200% due 10/01/2037

      2,750          2,762   

Arizona Health Facilities Authority Revenue Bonds, Series 2008

   

5.500% due 01/01/2038

      2,050          2,195   

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

   

5.250% due 10/01/2040

      750          832   

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

   

5.000% due 06/01/2035

      1,500          1,703   

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

   

5.000% due 01/01/2039 (e)

      5,000          5,478   
       

 

 

 
          12,970   
       

 

 

 
ARKANSAS 0.8%   

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

   

0.000% due 07/01/2036 (b)

      5,500          2,784   
       

 

 

 
CALIFORNIA 23.9%   

Bay Area Toll Authority, California Revenue Bonds, Series 2010

   

5.000% due 10/01/2034

      2,875          3,281   

5.000% due 10/01/2042

      3,255          3,681   

Bay Area Toll Authority, California Revenue Bonds, Series 2013

   

5.250% due 04/01/2053

      10,000          11,701   

Bay Area Toll Authority, California Revenue Bonds, Series 2014

   

5.000% due 10/01/2054

      4,000          4,799   

California County Tobacco Securitization Agency Revenue Bonds, Series 2002

   

6.000% due 06/01/2035

      2,000          2,001   

6.125% due 06/01/2038

      1,000          1,000   

California Health Facilities Financing Authority Revenue Bonds, Series 2009

   

6.000% due 07/01/2039

      2,000          2,300   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

6.000% due 08/15/2042

      1,500          1,825   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

  $     1,275      $     1,607   

California State General Obligation Bonds, Series 2007

  

5.000% due 11/01/2032

      700          740   

5.000% due 06/01/2037

      1,200          1,249   

California State General Obligation Bonds, Series 2008

  

5.125% due 08/01/2036

    2,300          2,507   

5.250% due 03/01/2038

    1,250          1,342   

California State General Obligation Bonds, Series 2009

  

6.000% due 04/01/2038

    3,200          3,646   

California State General Obligation Bonds, Series 2010

  

5.250% due 11/01/2040

      1,900          2,234   

5.500% due 03/01/2040

      500          580   

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

   

6.625% due 08/01/2029

      2,310          2,721   

6.750% due 02/01/2038

      8,485            10,027   

California Statewide Communities Development Authority Revenue Bonds, Series 2008

   

5.500% due 07/01/2031

      845          888   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

5.000% due 12/01/2041

      1,000          1,178   

6.500% due 11/01/2021

      515          574   

Chula Vista, California Revenue Bonds, Series 2004

  

5.875% due 02/15/2034

      3,000          3,413   

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

    

5.000% due 08/01/2032

      5,300          5,552   

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

   

6.125% due 11/01/2029

      2,000          2,714   

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

   

5.000% due 08/01/2033

      4,175          4,551   

Orange County, California Airport Revenue Bonds, Series 2009

   

5.250% due 07/01/2039

      5,000          5,628   

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

   

5.000% due 08/01/2038

      1,600          1,860   

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

   

0.000% due 08/01/2025 (b)

      2,000          1,372   
       

 

 

 
          84,971   
       

 

 

 
COLORADO 1.0%   

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

   

5.625% due 12/01/2040

      450          497   

Public Authority for Colorado Energy Revenue Bonds, Series 2008

   

6.500% due 11/15/2038

      500          750   

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

   

5.375% due 06/01/2031

      400          457   

University of Colorado Revenue Bonds, Series 2009

  

5.375% due 06/01/2038

      1,500          1,699   
       

 

 

 
          3,403   
       

 

 

 
CONNECTICUT 2.4%   

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

   

5.000% due 07/01/2041

      5,000          5,625   

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

   

5.000% due 07/01/2042

      2,500          2,810   
       

 

 

 
          8,435   
       

 

 

 
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
DISTRICT OF COLUMBIA 0.8%   

District of Columbia Revenue Bonds, Series 2009

  

5.750% due 10/01/2039

  $     2,500      $     2,833   
       

 

 

 
FLORIDA 2.9%   

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

   

5.250% due 10/01/2034 (e)

      4,000          4,406   

Florida Development Finance Corp. Revenue Notes, Series 2011

   

6.500% due 06/15/2021

      220          245   

Florida State General Obligation Bonds, Series 2009

  

5.000% due 06/01/2038 (e)

      3,900          4,224   

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

    

5.375% due 02/01/2034

      1,250          1,398   
       

 

 

 
          10,273   
       

 

 

 
GEORGIA 3.6%   

Medical Center Hospital Authority, Georgia Revenue Bonds, Series 2007

   

5.250% due 07/01/2037

      2,300          2,343   

Municipal Electric Authority of Georgia Revenue Bonds, Series 2015

   

5.000% due 07/01/2060

      9,000            10,517   
       

 

 

 
          12,860   
       

 

 

 
ILLINOIS 9.1%   

Chicago, Illinois General Obligation Bonds, Series 2003

  

5.500% due 01/01/2034

      1,750          1,805   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2042

      2,400          2,449   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.375% due 01/01/2029

      6,700          6,938   

5.500% due 01/01/2034

      2,300          2,372   

Chicago, Illinois Revenue Bonds, Series 2002

  

5.000% due 01/01/2028

      2,000          2,231   

Illinois Finance Authority Revenue Bonds, Series 2009

  

5.500% due 07/01/2037 (e)

      5,000          5,477   

7.125% due 11/15/2037

      400          472   

Illinois State Toll Highway Authority Revenue Bonds, Series 2015

   

5.000% due 01/01/2040

      7,000          8,488   

Springfield, Illinois Electric Revenue Bonds, Series 2008

  

5.000% due 03/01/2036

      1,900          2,035   
       

 

 

 
          32,267   
       

 

 

 
       
INDIANA 1.8%   

Indiana Finance Authority Revenue Bonds, Series 2012

  

5.000% due 06/01/2032

      3,000          3,248   

Indiana Municipal Power Agency Revenue Bonds, Series 2009

   

6.000% due 01/01/2039

      1,000          1,131   

Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2011

   

7.500% due 09/01/2022

      1,720          2,007   
       

 

 

 
          6,386   
       

 

 

 
       
IOWA 3.9%   

Iowa Finance Authority Revenue Bonds, Series 2007

  

6.750% due 11/15/2037

      3,500          3,789   

6.750% due 11/15/2042

      1,500          1,624   

Iowa Finance Authority Revenue Bonds, Series 2013

  

5.250% due 12/01/2025

      1,000          1,089   

Iowa Finance Authority Revenue Bonds, Series 2014

  

2.000% due 05/15/2056 ^

      532          6   

2.700% due 11/15/2046 ^

      2,836          2,472   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   31


Schedule of Investments PIMCO Municipal Income Fund (Cont.)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Iowa Finance Authority Revenue Notes, Series 2013

  

5.000% due 12/01/2019

  $     4,630      $     4,822   
       

 

 

 
            13,802   
       

 

 

 
       
KANSAS 0.4%   

Kansas Development Finance Authority Revenue Bonds, Series 2009

   

5.750% due 11/15/2038

      1,000          1,151   

Lenexa, Kansas Tax Allocation Bonds, Series 2007

  

6.000% due 04/01/2027 ^

      849          187   
       

 

 

 
          1,338   
       

 

 

 
       
KENTUCKY 0.3%   

Kentucky Economic Development Finance Authority Revenue Bonds, Series 2010

   

6.375% due 06/01/2040

      1,000          1,148   
       

 

 

 
       
LOUISIANA 1.6%   

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

    

6.550% due 09/01/2025

      1,680          1,947   

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

    

5.875% due 10/01/2040

      750          887   

6.500% due 11/01/2035

      400          481   

Louisiana Public Facilities Authority Revenue Bonds, Series 2011

   

6.500% due 05/15/2037

      2,000          2,519   
       

 

 

 
          5,834   
       

 

 

 
       
MARYLAND 1.4%   

Maryland Economic Development Corp. Revenue Bonds, Series 2010

   

5.750% due 06/01/2035

      1,500          1,676   

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

   

6.250% due 01/01/2041

      650          777   

Maryland Stadium Authority Revenue Bonds, Series 2016

   

5.000% due 05/01/2046

      2,000          2,466   
       

 

 

 
          4,919   
       

 

 

 
       
MASSACHUSETTS 0.8%   

Massachusetts Development Finance Agency Revenue Bonds, Series 2010

   

7.000% due 07/01/2042

      750          841   

Massachusetts Development Finance Agency Revenue Bonds, Series 2011

   

0.000% due 11/15/2056 (b)

      103          1   

6.250% due 11/15/2039

      388          399   

Massachusetts State College Building Authority Revenue Bonds, Series 2009

   

5.500% due 05/01/2039

      1,500          1,702   
       

 

 

 
          2,943   
       

 

 

 
       
MICHIGAN 0.9%   

Michigan Tobacco Settlement Finance Authority Revenue Bonds, Series 2007

   

6.000% due 06/01/2048

      1,500          1,513   

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

   

8.250% due 09/01/2039

      1,500          1,743   
       

 

 

 
          3,256   
       

 

 

 
       
MINNESOTA 0.6%   

St Louis Park, Minnesota Revenue Bonds, Series 2009

  

5.750% due 07/01/2039

      1,500          1,721   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

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

    

5.625% due 06/01/2037

  $     500      $     512   
       

 

 

 
          2,233   
       

 

 

 
MISSOURI 0.3%   

Joplin Industrial Development Authority, Missouri Revenue Bonds, Series 2007

   

5.750% due 05/15/2026

      1,000          1,038   

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

   

5.625% due 10/01/2023

      225          228   
       

 

 

 
          1,266   
       

 

 

 
NEW JERSEY 15.2%   

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

   

5.500% due 12/15/2034

      2,000          2,220   

New Jersey Economic Development Authority Revenue Bonds, Series 2013

   

5.000% due 03/01/2030

      1,065          1,178   

New Jersey Economic Development Authority Special Assessment Bonds, Series 2002

   

5.750% due 04/01/2031

      16,550            20,134   

New Jersey Educational Facilities Authority Revenue Bonds, Series 2016

   

5.000% due 07/01/2032 (a)

      2,590          3,085   

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

   

6.000% due 07/01/2037

      500          605   

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

   

5.500% due 07/01/2043

      2,000          2,392   

New Jersey State Turnpike Authority Revenue Bonds, Series 2009

   

5.250% due 01/01/2040

      2,000          2,214   

New Jersey Transportation Trust Fund Authority Revenue Bonds, Series 2010

   

5.250% due 12/15/2023

      2,000          2,321   

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

   

4.750% due 06/01/2034

      12,100          11,956   

5.000% due 06/01/2041

      8,000          7,821   
       

 

 

 
          53,926   
       

 

 

 
NEW MEXICO 2.3%   

Farmington, New Mexico Revenue Bonds, Series 2010

  

5.900% due 06/01/2040

      1,000          1,138   

New Mexico Hospital Equipment Loan Council Revenue Bonds, Series 2009

   

5.000% due 08/01/2039

      6,400          7,069   
       

 

 

 
          8,207   
       

 

 

 
NEW YORK 20.5%   

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

   

5.250% due 02/15/2047

      15,500          17,510   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2011

   

5.000% due 11/15/2036

      3,000          3,520   

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

   

2.000% due 01/01/2049 ^

      1,137          142   

6.700% due 01/01/2049

      3,150          3,150   

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

   

5.000% due 06/15/2039

      3,000          3,353   

New York Liberty Development Corp. Revenue Bonds, Series 2005

   

5.250% due 10/01/2035

      10,000          13,481   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

New York Liberty Development Corp. Revenue Bonds, Series 2007

   

5.500% due 10/01/2037

  $     3,000      $     4,172   

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.000% due 12/15/2041

      10,000          11,920   

5.000% due 11/15/2044

      10,000          11,600   

New York State Dormitory Authority Revenue Bonds, Series 2010

   

5.500% due 07/01/2040

      3,500          4,071   
       

 

 

 
          72,919   
       

 

 

 
OHIO 8.4%   

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

   

5.125% due 06/01/2024

      1,000          981   

5.875% due 06/01/2047

      9,000          8,930   

6.500% due 06/01/2047

      10,000            10,263   

Hamilton County, Ohio Revenue Bonds, Series 2012

  

5.000% due 06/01/2042

      1,000          1,128   

Ohio State Turnpike Commission Revenue Bonds, Series 2013

   

5.000% due 02/15/2048

      5,000          5,880   

Ohio State Water Development Authority Revenue Bonds, Series 2005

   

4.000% due 01/01/2034

      2,500          2,597   
       

 

 

 
          29,779   
       

 

 

 
OREGON 0.8%   

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

   

5.250% due 05/01/2039

      600          674   

Oregon Health & Science University Revenue Bonds, Series 2009

   

5.750% due 07/01/2039

      2,000          2,295   
       

 

 

 
          2,969   
       

 

 

 
PENNSYLVANIA 7.8%   

Capital Region Water, Pennsylvania Revenue Bonds, Series 2007

   

6.000% due 09/01/2036 ^

      1,960          1,769   

Geisinger Authority, Pennsylvania Revenue Bonds, Series 2009

   

5.250% due 06/01/2039

      5,000          5,553   

Lancaster County Hospital Authority, Pennsylvania Revenue Bonds, Series 2008

   

6.250% due 07/01/2026

      750          774   

6.375% due 07/01/2030

      85          88   

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

   

5.500% due 12/01/2039

      1,100          1,250   

Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series 2010

   

5.000% due 03/01/2040

      350          390   

6.000% due 07/01/2043

      500          550   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2009

   

5.125% due 12/01/2040

      2,000          2,223   

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

   

5.625% due 07/01/2036

      5,000          5,627   

5.625% due 07/01/2042

      1,000          1,114   

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

   

5.250% due 12/15/2032

      7,000          7,694   

Philadelphia, Pennsylvania Water & Wastewater Revenue Bonds, Series 2009

   

5.250% due 01/01/2036

      500          547   
       

 

 

 
          27,579   
       

 

 

 
 

 

32   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

June 30, 2016 (Unaudited)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
RHODE ISLAND 0.3%   

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

   

5.000% due 06/01/2050

  $     1,000      $     1,064   
       

 

 

 
SOUTH CAROLINA 4.2%   

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

   

5.500% due 05/01/2028

      450          457   

South Carolina Ports Authority Revenue Bonds, Series 2010

   

5.250% due 07/01/2040

      2,200          2,509   

South Carolina State Public Service Authority Revenue Bonds, Series 2013

   

5.125% due 12/01/2043

      5,000          5,926   

5.500% due 12/01/2053

      5,000          5,997   
       

 

 

 
            14,889   
       

 

 

 
TENNESSEE 3.5%   

Tennessee Energy Acquisition Corp. Revenue Bonds, Series 2006

   

5.000% due 02/01/2027

      5,000          6,239   

5.250% due 09/01/2024

      5,000          6,229   
       

 

 

 
          12,468   
       

 

 

 
TEXAS 14.9%   

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

   

5.250% due 08/15/2038

      1,200          1,338   

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

   

5.000% due 04/01/2053

      5,500          6,413   

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

   

9.750% due 10/01/2037 (f)

      600          788   

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

   

5.250% due 12/15/2033

      4,200          4,619   

5.500% due 12/15/2038

      4,200          4,633   

North Texas Tollway Authority Revenue Bonds, Series 2008

   

5.625% due 01/01/2033

      6,050          6,491   

5.750% due 01/01/2033

      600          646   

North Texas Tollway Authority Revenue Bonds, Series 2009

   

5.250% due 01/01/2044

      3,000          3,267   

North Texas Tollway Authority Revenue Bonds, Series 2011

   

5.000% due 01/01/2038

      2,750          3,102   

5.500% due 09/01/2041

      600          717   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

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

   

6.700% due 08/15/2040

  $     250      $     298   

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

   

6.250% due 11/15/2029

      4,000          4,510   

Tender Option Bond Trust Receipts/Certificates, Texas General Obligation Bonds, Series 2009

   

8.990% due 08/01/2039 (f)

      1,000          1,229   

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

   

5.250% due 12/15/2023

      3,500          4,256   

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

   

6.250% due 12/15/2026

      6,500          8,422   

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

   

5.875% due 12/01/2036

      400          423   

Uptown Development Authority, Texas Tax Allocation Bonds, Series 2009

   

5.500% due 09/01/2029

      1,000          1,107   

Wise County, Texas Revenue Bonds, Series 2011

  

8.000% due 08/15/2034

      500          587   
       

 

 

 
            52,846   
       

 

 

 
UTAH 2.4%   

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

   

5.125% due 02/15/2033

      7,000          8,400   
       

 

 

 
VIRGINIA 0.9%   

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

   

5.500% due 05/15/2035

      1,000          1,131   

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

   

6.450% due 09/01/2037

      1,926          2,013   
       

 

 

 
          3,144   
       

 

 

 
WASHINGTON 4.4%   

Tender Option Bond Trust Receipts/Certificates, Washington General Obligation Bonds, Series 2009

   

12.960% due 02/01/2034 (f)

      6,670          8,799   

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

   

6.000% due 08/15/2039

      700          812   

Washington Health Care Facilities Authority Revenue Bonds, Series 2007

   

6.125% due 08/15/2037

      2,000          2,101   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Washington Health Care Facilities Authority Revenue Bonds, Series 2009

   

7.375% due 03/01/2038

  $     250      $     292   

Washington State Housing Finance Commission Revenue Bonds, Series 2007

   

5.625% due 01/01/2038

      3,600          3,625   

Washington State Housing Finance Commission Revenue Notes, Series 2007

   

5.250% due 01/01/2017

      130          131   
       

 

 

 
          15,760   
       

 

 

 
WEST VIRGINIA 0.2%   

West Virginia Hospital Finance Authority Revenue Bonds, Series 2011

   

9.125% due 10/01/2041

      955          867   
       

 

 

 
WISCONSIN 0.2%   

Wisconsin Health & Educational Facilities Authority Revenue Bonds, Series 2009

   

6.625% due 02/15/2039

      500          575   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $464,163)

            542,779   
       

 

 

 
SHORT-TERM INSTRUMENTS 3.1%   

REPURCHASE AGREEMENTS (g) 2.6%

  

          9,300   
       

 

 

 
SHORT-TERM NOTES 0.5%   

Federal Home Loan Bank

  

0.294% due
07/06/2016 (b)(c)

      1,600          1,600   

0.314% due
07/14/2016 (b)(c)

      200          200   
       

 

 

 
          1,800   
       

 

 

 
Total Short-Term Instruments
(Cost $11,100)
        11,100   
       

 

 

 
       
Total Investments in Securities
(Cost $475,263)
        553,879   
       
Total Investments 155.8%
(Cost $475,263)
    $     553,879   
Preferred Shares (53.4)%           (190,000
Other Assets and Liabilities, net (2.4)%          (8,403
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     355,476   
       

 

 

 
 

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

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) When-issued security.
(b) Zero coupon security.
(c) Coupon represents a yield to maturity.
(d) Security becomes interest bearing at a future date.
(e) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(f) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on June 30, 2016.

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   33


Schedule of Investments PIMCO Municipal Income Fund (Cont.)

 

June 30, 2016 (Unaudited)

 

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

(g)  REPURCHASE AGREEMENTS:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received (1)
 
DEU     0.800     06/30/2016        07/01/2016      $     9,300      U.S. Treasury Bonds 3.125% due 02/15/2043   $ (9,501   $ 9,300      $ 9,300   
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

  

        $     (9,501   $     9,300      $     9,300   
           

 

 

   

 

 

   

 

 

 

 

(1) 

Includes accrued interest.

 

BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY

 

The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of June 30, 2016:

 

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

Global/Master Repurchase Agreement

            

DEU

  $ 9,300      $ 0      $ 0       $     9,300      $     (9,501   $     (201
 

 

 

   

 

 

   

 

 

        

Total Borrowings and Other Financing Transactions

  $     9,300      $     0      $     0          
 

 

 

   

 

 

   

 

 

        

 

(2) 

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

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2016 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2016
 

Investments in Securities, at Value

  

   

Municipal Bonds & Notes

       

Alabama

  $     0      $     19,530      $     0      $     19,530   

Alaska

    0        3,936        0        3,936   

Arizona

    0        12,970        0        12,970   

Arkansas

    0        2,784        0        2,784   

California

    0        84,971        0        84,971   

Colorado

    0        3,403        0        3,403   

Connecticut

    0        8,435        0        8,435   

District of Columbia

    0        2,833        0        2,833   

Florida

    0        10,273        0        10,273   

Georgia

    0        12,860        0        12,860   

Illinois

    0        32,267        0        32,267   

Indiana

    0        6,386        0        6,386   

Iowa

    0        13,802        0        13,802   

Kansas

    0        1,338        0        1,338   

Kentucky

    0        1,148        0        1,148   

Louisiana

    0        5,834        0        5,834   

Maryland

    0        4,919        0        4,919   

Massachusetts

    0        2,943        0        2,943   

Michigan

    0        3,256        0        3,256   

Minnesota

    0        2,233        0        2,233   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2016
 

Missouri

  $ 0      $ 1,266      $ 0      $ 1,266   

New Jersey

    0        53,926        0        53,926   

New Mexico

    0        8,207        0        8,207   

New York

    0        72,919        0        72,919   

Ohio

    0        29,779        0        29,779   

Oregon

    0        2,969        0        2,969   

Pennsylvania

    0        27,579        0        27,579   

Rhode Island

    0        1,064        0        1,064   

South Carolina

    0        14,889        0        14,889   

Tennessee

    0        12,468        0        12,468   

Texas

    0        52,846        0        52,846   

Utah

    0        8,400        0        8,400   

Virginia

    0        3,144        0        3,144   

Washington

    0        15,760        0        15,760   

West Virginia

    0        867        0        867   

Wisconsin

    0        575        0        575   

Short-Term Instruments

  

Repurchase Agreements

    0        9,300        0        9,300   

Short-Term Notes

    0        1,800        0        1,800   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     0      $     553,879      $     0      $     553,879   
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended June 30, 2016.

 

34   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Schedule of Investments PIMCO Municipal Income Fund II

 

June 30, 2016 (Unaudited)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
INVESTMENTS IN SECURITIES 147.8%   
MUNICIPAL BONDS & NOTES 147.0%   
ALABAMA 5.9%   

Alabama Docks Department State Revenue Bonds, Series 2010

   

6.000% due 10/01/2040

  $     2,000      $     2,397   

Jefferson County, Alabama Sewer Revenue Bonds, Series 2013

   

0.000% due 10/01/2050 (c)

      18,500          14,461   

6.500% due 10/01/2053

      21,000          26,294   

Lower Alabama Gas District Revenue Bonds, Series 2016

   

5.000% due 09/01/2046

      3,000          4,177   
       

 

 

 
          47,329   
       

 

 

 
ARIZONA 12.7%   

Arizona Health Facilities Authority Revenue Bonds, Series 2008

   

5.000% due 01/01/2035

      3,500          3,708   

5.500% due 01/01/2038

      2,860          3,062   

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

   

5.000% due 09/01/2039

      29,700          31,385   

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

   

5.250% due 10/01/2040

      1,500          1,664   

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

   

5.250% due 07/01/2036

      1,750          2,031   

5.250% due 07/01/2041

      3,700          4,268   

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

   

5.000% due 01/01/2039 (d)

      10,000          10,956   

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

   

5.000% due 12/01/2032

      12,430          15,743   

5.000% due 12/01/2037

      22,400          29,145   
       

 

 

 
            101,962   
       

 

 

 
CALIFORNIA 18.2%   

Bay Area Toll Authority, California Revenue Bonds, Series 2008

   

5.000% due 04/01/2034

      1,430          1,539   

Bay Area Toll Authority, California Revenue Bonds, Series 2010

   

5.000% due 10/01/2029

      6,000          6,888   

Bay Area Toll Authority, California Revenue Bonds, Series 2013

   

5.250% due 04/01/2048

      5,000          5,902   

Bay Area Toll Authority, California Revenue Bonds, Series 2014

   

5.000% due 10/01/2054

      2,000          2,400   

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

   

5.000% due 11/15/2042

      6,300          6,402   

California Health Facilities Financing Authority Revenue Bonds, Series 2010

   

5.000% due 11/15/2036

      1,500          1,696   

9.019% due 11/15/2036 (e)

      5,000          6,647   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

6.000% due 08/15/2042

      3,000          3,650   

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

      2,635          3,320   

California State General Obligation Bonds, Series 2007

  

5.000% due 11/01/2032

      2,925          3,093   

5.000% due 06/01/2037

      1,590          1,654   

California State General Obligation Bonds, Series 2008

  

5.125% due 08/01/2036

      5,200          5,669   

5.250% due 03/01/2038

      2,500          2,683   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

California State General Obligation Bonds, Series 2009

  

6.000% due 04/01/2038

  $     9,500      $     10,823   

California State General Obligation Bonds, Series 2010

  

5.250% due 11/01/2040

      5,945          6,991   

5.500% due 03/01/2040

      5,750          6,671   

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

   

6.625% due 08/01/2029

      4,890          5,760   

6.750% due 02/01/2038

      17,415          20,580   

California Statewide Communities Development Authority Revenue Bonds, Series 2007

   

5.750% due 11/01/2017

      1,345          1,397   

California Statewide Communities Development Authority Revenue Bonds, Series 2010

   

5.000% due 11/01/2040

      1,000          1,144   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

5.000% due 12/01/2041

      1,000          1,178   

6.000% due 08/15/2042

      5,690          6,923   

6.500% due 11/01/2021

      580          646   

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

   

5.000% due 08/01/2033

      2,000          2,006   

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

   

4.750% due 09/01/2034

      1,500          1,508   

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

    

5.000% due 08/01/2032

      2,000          2,095   

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

   

5.000% due 07/01/2039

      4,000          4,157   

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

   

6.500% due 11/01/2039

      1,750          2,675   

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

   

5.000% due 08/01/2033

      2,000          2,180   

Newport Beach, California Revenue Bonds, Series 2011

  

5.875% due 12/01/2030

      3,000          3,762   

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

   

5.000% due 08/01/2039

      500          565   

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

    

5.000% due 05/01/2038

      2,000          2,159   

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

   

5.000% due 08/01/2038

      3,300          3,837   

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

   

5.750% due 02/01/2041

      2,000          2,112   

Torrance, California Revenue Bonds, Series 2010

  

5.000% due 09/01/2040

      4,725          5,267   
       

 

 

 
            145,979   
       

 

 

 
COLORADO 2.1%   

Aurora, Colorado Revenue Bonds, Series 2010

  

5.000% due 12/01/2040

      5,800          6,409   

Colorado Health Facilities Authority Revenue Bonds, Series 2010

   

5.000% due 01/01/2040

      6,045          6,676   

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

   

5.625% due 12/01/2040

      1,000          1,105   

Public Authority for Colorado Energy Revenue Bonds, Series 2008

   

6.500% due 11/15/2038

      1,430          2,144   
       

 

 

 
          16,334   
       

 

 

 
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
CONNECTICUT 0.3%   

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

   

5.000% due 07/01/2041

  $     1,000      $     1,125   

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

   

7.875% due 04/01/2039

      1,250          1,450   
       

 

 

 
          2,575   
       

 

 

 
FLORIDA 5.7%   

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

   

7.000% due 04/01/2039

      1,000          1,170   

Broward County, Florida Airport System Revenue Bonds, Series 2009

   

5.375% due 10/01/2029

      600          680   

Broward County, Florida Airport System Revenue Bonds, Series 2012

   

5.000% due 10/01/2042

      8,000          9,298   

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

   

5.250% due 10/01/2034 (d)

      8,500          9,362   

Clearwater, Florida Water & Sewer Revenue Bonds, Series 2009

   

5.250% due 12/01/2039

      1,000          1,136   

Florida Development Finance Corp. Revenue Notes, Series 2011

   

6.500% due 06/15/2021

      255          284   

Florida State General Obligation Bonds, Series 2009

  

5.000% due 06/01/2038 (d)

      7,900          8,556   

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

   

5.625% due 11/15/2037

      3,000          3,435   

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

   

5.000% due 07/01/2040

      10,000          11,333   

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

   

5.750% due 07/01/2037

      500          505   
       

 

 

 
          45,759   
       

 

 

 
GEORGIA 4.0%   

Atlanta Department of Aviation, Georgia Revenue Bonds, Series 2010

   

5.000% due 01/01/2040

      1,500          1,679   

Atlanta Development Authority, Georgia Revenue Bonds, Series 2015

   

5.000% due 07/01/2044

      3,895          4,572   

Medical Center Hospital Authority, Georgia Revenue Bonds, Series 2007

   

5.250% due 07/01/2037

      2,775          2,826   

Municipal Electric Authority of Georgia Revenue Bonds, Series 2015

   

5.000% due 07/01/2060

      19,680          23,165   
       

 

 

 
          32,242   
       

 

 

 
ILLINOIS 11.3%   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2035

      10,000          10,300   

5.500% due 01/01/2042

      1,250          1,275   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.375% due 01/01/2029

      15,100            15,635   

5.500% due 01/01/2034

      5,200          5,363   

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

   

5.000% due 01/01/2038

      1,250          1,309   

Chicago, Illinois Revenue Bonds, Series 2002

  

5.000% due 01/01/2029

      2,000          2,217   

Chicago, Illinois Special Assessment Bonds, Series 2003

  

6.625% due 12/01/2022

      2,108          2,113   

6.750% due 12/01/2032

      5,388          5,399   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   35


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

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Hillside Village, Illinois Tax Allocation Bonds, Series 2008

   

6.550% due 01/01/2020

  $     2,570      $     2,747   

7.000% due 01/01/2028

      2,900          3,094   

Illinois Finance Authority Revenue Bonds, Series 2007

  

5.750% due 05/15/2031

      2,500          2,598   

6.000% due 03/01/2037 ^

      250          62   

Illinois Finance Authority Revenue Bonds, Series 2009

  

5.500% due 07/01/2037 (d)

      5,000          5,477   

7.125% due 11/15/2037

      700          826   

Illinois Finance Authority Revenue Bonds, Series 2010

  

6.000% due 05/01/2028

      2,000          2,278   

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

   

5.500% due 06/15/2030

      26,225          26,297   

Illinois State Toll Highway Authority Revenue Bonds, Series 2015

   

5.000% due 01/01/2033

      3,000          3,695   
       

 

 

 
            90,685   
       

 

 

 
INDIANA 2.4%        

Indiana Municipal Power Agency Revenue Bonds, Series 2016

   

5.000% due 01/01/2042

      13,330          16,312   

Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2007

   

5.800% due 09/01/2047

      990          1,017   

Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2011

   

7.500% due 09/01/2022

      1,720          2,007   
       

 

 

 
          19,336   
       

 

 

 
IOWA 4.2%        

Iowa Finance Authority Revenue Bonds, Series 2007

  

6.750% due 11/15/2042

      4,500          4,871   

Iowa Finance Authority Revenue Bonds, Series 2013

  

5.250% due 12/01/2025

      6,000          6,536   

Iowa Finance Authority Revenue Bonds, Series 2014

  

2.000% due 05/15/2056 ^

      144          2   

2.700% due 11/15/2046 ^

      769          670   

Iowa Finance Authority Revenue Notes, Series 2013

  

5.000% due 12/01/2019

      5,785          6,025   

5.500% due 12/01/2022

      5,000          5,194   

Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005

   

5.600% due 06/01/2034

      10,350          10,409   
       

 

 

 
          33,707   
       

 

 

 
KANSAS 0.2%        

Kansas Development Finance Authority Revenue Bonds, Series 2009

   

5.750% due 11/15/2038

      500          575   

Manhattan, Kansas Revenue Bonds, Series 2007

  

5.000% due 05/15/2036

      850          855   
       

 

 

 
          1,430   
       

 

 

 
KENTUCKY 0.2%        

Kentucky Economic Development Finance Authority Revenue Bonds, Series 2010

   

6.375% due 06/01/2040

      1,000          1,148   
       

 

 

 
LOUISIANA 1.1%        

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

    

5.875% due 10/01/2040

      750          887   

6.000% due 10/01/2044

      1,000          1,185   

6.500% due 11/01/2035

      450          541   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Louisiana Public Facilities Authority Revenue Bonds, Series 2007

   

5.500% due 05/15/2047

  $     3,300      $     3,429   

Louisiana Public Facilities Authority Revenue Bonds, Series 2011

   

6.500% due 05/15/2037

      2,000          2,519   
       

 

 

 
          8,561   
       

 

 

 
MARYLAND 1.9%        

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

   

6.000% due 01/01/2043

      4,050          4,369   

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

   

6.250% due 01/01/2041

      1,400          1,672   

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

   

5.000% due 08/15/2041

      2,380          2,739   

Maryland Stadium Authority Revenue Bonds, Series 2016

   

5.000% due 05/01/2030

      3,000          3,827   

5.000% due 05/01/2046

      2,000          2,466   
       

 

 

 
            15,073   
       

 

 

 
MASSACHUSETTS 0.6%   

Massachusetts Development Finance Agency Revenue Bonds, Series 2010

   

7.000% due 07/01/2042

      1,000          1,121   

7.625% due 10/15/2037

      555          629   

Massachusetts State College Building Authority Revenue Bonds, Series 2009

   

5.500% due 05/01/2039

      2,900          3,290   
       

 

 

 
          5,040   
       

 

 

 
MICHIGAN 0.6%   

Detroit, Michigan General Obligation Bonds, Series 2010

   

5.250% due 11/01/2035

      1,000          1,072   

Michigan Public Educational Facilities Authority Revenue Bonds, Series 2007

   

6.500% due 09/01/2037 ^

      800          561   

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

   

8.250% due 09/01/2039

      3,000          3,485   
       

 

 

 
          5,118   
       

 

 

 
MINNESOTA 0.4%   

North Oaks, Minnesota Revenue Bonds, Series 2007

  

6.000% due 10/01/2033

      2,640          2,745   

St Louis Park, Minnesota Revenue Bonds, Series 2009

  

5.750% due 07/01/2039

      400          459   
       

 

 

 
          3,204   
       

 

 

 
MISSISSIPPI 0.0%   

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

   

5.000% due 07/01/2024

      40          43   
       

 

 

 
MISSOURI 1.5%   

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

   

5.625% due 10/01/2023

      340          345   

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

   

5.000% due 11/15/2044

      10,000          11,554   
       

 

 

 
          11,899   
       

 

 

 
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
NEW HAMPSHIRE 0.3%   

New Hampshire Business Finance Authority Revenue Bonds, Series 2009

   

6.125% due 10/01/2039

  $     2,000      $     2,254   
       

 

 

 
NEW JERSEY 8.0%   

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

   

5.625% due 01/01/2038

      950          1,001   

New Jersey Economic Development Authority Revenue Bonds, Series 1998

   

6.000% due 05/15/2028 ^

      525          309   

New Jersey Economic Development Authority Revenue Bonds, Series 2010

   

5.875% due 06/01/2042

      2,000          2,240   

New Jersey Economic Development Authority Special Assessment Bonds, Series 2002

   

5.750% due 10/01/2021

      4,000          4,437   

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

   

5.750% due 07/01/2037

      1,500          1,605   

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

   

6.000% due 07/01/2037

      1,500          1,814   

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

   

5.500% due 07/01/2043

      4,000          4,785   

New Jersey State Turnpike Authority Revenue Bonds, Series 2009

   

5.250% due 01/01/2040

      2,000          2,214   

New Jersey Transportation Trust Fund Authority Revenue Bonds, Series 2015

   

5.250% due 06/15/2041

      750          858   

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

   

4.750% due 06/01/2034

      14,255          14,085   

5.000% due 06/01/2041

      31,475          30,772   
       

 

 

 
            64,120   
       

 

 

 
NEW MEXICO 0.3%   

Farmington, New Mexico Revenue Bonds, Series 2010

  

5.900% due 06/01/2040

      2,000          2,275   
       

 

 

 
NEW YORK 19.8%   

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

   

5.250% due 02/15/2047

      33,500          37,844   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2011

   

5.000% due 11/15/2036

      3,880          4,553   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2015

   

5.250% due 11/15/2029

      5,500          7,095   

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

   

2.000% due 01/01/2049 ^

      298          37   

6.700% due 01/01/2049

      825          825   

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

   

4.750% due 06/15/2035 (d)

      4,000          4,140   

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

   

5.000% due 06/15/2039

      2,000          2,236   

New York Liberty Development Corp. Revenue Bonds, Series 2005

   

5.250% due 10/01/2035 (d)

      11,505          15,510   

New York Liberty Development Corp. Revenue Bonds, Series 2010

   

5.125% due 01/15/2044

      1,000          1,133   

5.625% due 07/15/2047

      2,500          2,889   

6.375% due 07/15/2049

      1,250          1,416   
 

 

36   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

June 30, 2016 (Unaudited)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.000% due 12/15/2041

  $     10,000      $     11,920   

5.750% due 11/15/2051

      54,000          64,542   

New York Liberty Development Corp. Revenue Bonds, Series 2014

   

5.000% due 11/15/2044

      2,000          2,321   

New York State Dormitory Authority Revenue Bonds, Series 2010

   

5.500% due 07/01/2040

      1,750          2,035   
       

 

 

 
            158,496   
       

 

 

 
NORTH CAROLINA 0.1%   

North Carolina Medical Care Commission Revenue Bonds, Series 2006

   

5.100% due 10/01/2030

      550          554   
       

 

 

 
NORTH DAKOTA 0.5%   

Stark County, North Dakota Revenue Bonds, Series 2007

   

6.750% due 01/01/2033

      3,710          3,849   
       

 

 

 
OHIO 10.2%   

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

   

5.125% due 06/01/2024

      6,000          5,887   

5.875% due 06/01/2047

      23,100          22,920   

6.500% due 06/01/2047

      29,400          30,173   

Hamilton County, Ohio Sales Tax Revenue Bonds, Series 2011

   

5.000% due 12/01/2030

      3,900          4,494   

Ohio State Revenue Bonds, Series 2009

  

5.500% due 01/01/2039

      3,000          3,354   

Ohio State Turnpike Commission Revenue Bonds, Series 2013

   

5.000% due 02/15/2048

      10,000          11,760   

Ohio State Water Development Authority Revenue Bonds, Series 2005

   

4.000% due 01/01/2034

      2,500          2,597   
       

 

 

 
          81,185   
       

 

 

 
       
OREGON 0.3%   

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

   

5.500% due 07/15/2035

      1,000          1,131   

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

   

5.250% due 05/01/2039

      1,155          1,299   
       

 

 

 
          2,430   
       

 

 

 
       
PENNSYLVANIA 9.7%   

Berks County, Pennsylvania Municipal Authority Revenue Bonds, Series 2012

   

5.000% due 11/01/2044

      7,500          8,628   

Capital Region Water, Pennsylvania Revenue Bonds, Series 2007

   

6.000% due 09/01/2036 ^

      3,190          2,880   

Cumberland County, Pennsylvania Municipal Authority Revenue Bonds, Series 2008

   

5.625% due 07/01/2028

      1,000          1,079   

6.000% due 07/01/2035

      670          728   

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

   

5.500% due 12/01/2039

      500          568   

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

    

5.375% due 08/01/2038

      8,465          9,972   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series 2010

   

5.000% due 03/01/2040

  $     400      $     445   

6.000% due 07/01/2043

      850          935   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2013

   

5.000% due 12/01/2043

      10,000          11,873   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2015

   

5.000% due 12/01/2040

      4,000          4,807   

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

   

5.000% due 04/01/2045

      5,500          6,573   

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

   

5.625% due 07/01/2036

      1,000          1,125   

5.625% due 07/01/2042

      7,000          7,797   

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

   

5.250% due 12/15/2032

      17,000          18,686   

Philadelphia, Pennsylvania Water & Wastewater Revenue Bonds, Series 2009

   

5.250% due 01/01/2036

      500          547   

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

   

5.125% due 07/01/2030

      1,000          1,138   
       

 

 

 
            77,781   
       

 

 

 
       
RHODE ISLAND 2.9%   

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

   

5.000% due 06/01/2050

      21,450          22,811   
       

 

 

 
SOUTH CAROLINA 1.6%   

Greenwood County, South Carolina Revenue Bonds, Series 2009

   

5.375% due 10/01/2039

      1,000          1,124   

South Carolina State Public Service Authority Revenue Bonds, Series 2013

   

5.500% due 12/01/2053

      10,000          11,993   
       

 

 

 
          13,117   
       

 

 

 
       
TENNESSEE 1.8%   

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

   

6.625% due 10/01/2039

      1,750          1,954   

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

   

6.000% due 07/01/2038

      1,000          1,137   

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

   

5.250% due 09/01/2036

      500          504   

Tennessee Energy Acquisition Corp. Revenue Bonds, Series 2006

   

5.000% due 02/01/2023

      3,000          3,613   

5.000% due 02/01/2027

      6,000          7,487   
       

 

 

 
          14,695   
       

 

 

 
       
TEXAS 15.2%   

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

   

5.250% due 08/15/2038

      2,500          2,788   

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

   

5.000% due 04/01/2053

      21,000          24,485   

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

   

5.250% due 10/01/2029

      3,750          4,270   

5.500% due 10/01/2039

      12,700          14,476   

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

   

5.500% due 02/15/2037

      700          721   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

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

   

5.250% due 12/15/2033

  $     10,300      $     11,327   

5.500% due 12/15/2038

      10,300          11,363   

North Texas Tollway Authority Revenue Bonds, Series 2008

   

5.625% due 01/01/2033

      5,000          5,364   

5.750% due 01/01/2033

      1,200          1,291   

North Texas Tollway Authority Revenue Bonds, Series 2011

   

5.000% due 01/01/2038

      5,750          6,487   

5.500% due 09/01/2041

      1,300          1,554   

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

   

6.700% due 08/15/2040

      250          298   

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

   

6.250% due 11/15/2029

      3,000          3,383   

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

   

6.250% due 12/15/2026

      19,380          25,111   

Texas State General Obligation Bonds, Series 2008

  

4.750% due 04/01/2037

      975          1,043   

Texas State General Obligation Bonds, Series 2010

  

8.505% due 04/01/2037 (e)

      4,880          5,473   

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

   

5.875% due 12/01/2036

      1,000          1,056   

Wise County, Texas Revenue Bonds, Series 2011

  

8.000% due 08/15/2034

      1,000          1,174   
       

 

 

 
          121,664   
       

 

 

 
       
VIRGINIA 0.3%   

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

   

5.500% due 05/15/2035

      1,000          1,131   

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

   

2.000% due 10/01/2048 ^

      412          30   

6.000% due 06/01/2043

      1,273          1,226   
       

 

 

 
          2,387   
       

 

 

 
       
WASHINGTON 2.0%   

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

   

6.000% due 08/15/2039

      1,300          1,507   

Washington Health Care Facilities Authority Revenue Bonds, Series 2007

   

6.125% due 08/15/2037

      13,000          13,655   

Washington Health Care Facilities Authority Revenue Bonds, Series 2009

   

7.375% due 03/01/2038

      1,000          1,169   
       

 

 

 
          16,331   
       

 

 

 
WEST VIRGINIA 0.5%   

West Virginia Economic Development Authority Revenue Bonds, Series 2010

   

5.375% due 12/01/2038

      2,000          2,246   

West Virginia Hospital Finance Authority Revenue Bonds, Series 2011

   

9.125% due 10/01/2041

      1,910          1,735   
       

 

 

 
          3,981   
       

 

 

 
WISCONSIN 0.2%   

Wisconsin Health & Educational Facilities Authority Revenue Bonds, Series 2009

   

6.625% due 02/15/2039

      1,000          1,150   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $1,022,648)

   

        1,176,504   
       

 

 

 
 

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   37


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

 

June 30, 2016 (Unaudited)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
SHORT-TERM INSTRUMENTS 0.8%   
SHORT-TERM NOTES 0.8%   

Federal Home Loan Bank

  

0.304% due 08/03/2016 (a)(b)

  $     1,200      $     1,200   

0.325% due 08/10/2016 (a)(b)

      2,700          2,699   

0.335% due 07/21/2016 (a)(b)

      2,900          2,900   
       

 

 

 
          6,799   
       

 

 

 
Total Short-Term Instruments
(Cost $6,798)
          6,799   
       

 

 

 
       
Total Investments in Securities
(Cost $1,029,446)
          1,183,303   
       
Total Investments 147.8%
(Cost $1,029,446)
      $       1,183,303   
Preferred Shares (45.9)%          (367,000
Other Assets and Liabilities, net (1.9)%          (15,913
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     800,390   
       

 

 

 

    

    

 

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

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Zero coupon security.
(b) Coupon represents a yield to maturity.
(c) Security becomes interest bearing at a future date.
(d) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(e) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on June 30, 2016.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2016 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2016
 

Investments in Securities, at Value

  

   

Municipal Bonds & Notes

       

Alabama

  $     0      $ 47,329      $     0      $ 47,329   

Arizona

    0            101,962        0            101,962   

California

    0        145,979        0        145,979   

Colorado

    0        16,334        0        16,334   

Connecticut

    0        2,575        0        2,575   

Florida

    0        45,759        0        45,759   

Georgia

    0        32,242        0        32,242   

Illinois

    0        90,685        0        90,685   

Indiana

    0        19,336        0        19,336   

Iowa

    0        33,707        0        33,707   

Kansas

    0        1,430        0        1,430   

Kentucky

    0        1,148        0        1,148   

Louisiana

    0        8,561        0        8,561   

Maryland

    0        15,073        0        15,073   

Massachusetts

    0        5,040        0        5,040   

Michigan

    0        5,118        0        5,118   

Minnesota

    0        3,204        0        3,204   

Mississippi

    0        43        0        43   

Missouri

    0        11,899        0        11,899   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2016
 

New Hampshire

  $ 0      $ 2,254      $ 0      $ 2,254   

New Jersey

    0        64,120        0        64,120   

New Mexico

    0        2,275        0        2,275   

New York

    0        158,496        0        158,496   

North Carolina

    0        554        0        554   

North Dakota

    0        3,849        0        3,849   

Ohio

    0        81,185        0        81,185   

Oregon

    0        2,430        0        2,430   

Pennsylvania

    0        77,781        0        77,781   

Rhode Island

    0        22,811        0        22,811   

South Carolina

    0        13,117        0        13,117   

Tennessee

    0        14,695        0        14,695   

Texas

    0        121,664        0        121,664   

Virginia

    0        2,387        0        2,387   

Washington

    0        16,331        0        16,331   

West Virginia

    0        3,981        0        3,981   

Wisconsin

    0        1,150        0        1,150   

Short-Term Instruments

       

Short-Term Notes

    0        6,799        0        6,799   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     0      $     1,183,303      $     0      $     1,183,303   
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended June 30, 2016.

 

38   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Schedule of Investments PIMCO Municipal Income Fund III

 

June 30, 2016 (Unaudited)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
INVESTMENTS IN SECURITIES 154.5%   
MUNICIPAL BONDS & NOTES 153.4%   
ALABAMA 15.8%   

Alabama Docks Department State Revenue Bonds, Series 2010

   

6.000% due 10/01/2040

  $     1,000      $     1,198   

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

    

6.000% due 06/01/2039

      500          574   

Jefferson County, Alabama Sewer Revenue Bonds, Series 2013

   

0.000% due 10/01/2050 (c)

      48,000          37,521   

6.500% due 10/01/2053

      15,000          18,781   

Lower Alabama Gas District Revenue Bonds, Series 2016

   

5.000% due 09/01/2046

      2,000          2,785   
       

 

 

 
          60,859   
       

 

 

 
ARIZONA 12.1%   

Arizona Health Facilities Authority Revenue Bonds, Series 2007

   

5.200% due 10/01/2037

      2,250          2,260   

Arizona Health Facilities Authority Revenue Bonds, Series 2008

   

5.000% due 01/01/2035

      1,250          1,324   

5.500% due 01/01/2038

      900          964   

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

   

5.000% due 09/01/2039 (d)

      13,000          13,738   

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

   

5.250% due 10/01/2040

      750          832   

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

   

5.000% due 01/01/2039 (d)

      5,000          5,478   

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

   

5.000% due 12/01/2037

      11,600          15,093   

Tender Option Bond Trust Receipts/Certificates, Arizona Revenue Bonds, Series 2010

   

8.890% due 09/01/2039 (e)

      6,500          7,225   
       

 

 

 
            46,914   
       

 

 

 
CALIFORNIA 25.3%   

Bay Area Toll Authority, California Revenue Bonds, Series 2008

   

5.000% due 04/01/2034

      500          538   

Bay Area Toll Authority, California Revenue Bonds, Series 2010

   

5.000% due 10/01/2029

      1,500          1,722   

5.000% due 10/01/2042

      3,260          3,686   

Bay Area Toll Authority, California Revenue Bonds, Series 2013

   

5.250% due 04/01/2053

      12,000          14,042   

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

   

5.000% due 11/15/2042

      600          610   

California Health Facilities Financing Authority Revenue Bonds, Series 2009

   

6.000% due 07/01/2039

      2,500          2,875   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

6.000% due 08/15/2042

      1,500          1,825   

California Health Facilities Financing Authority Revenue Bonds, Series 2013

   

5.000% due 08/15/2052

      2,015          2,392   

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

      1,325          1,669   

California State General Obligation Bonds, Series 2007

  

5.000% due 06/01/2037

      5,000          5,204   

5.000% due 12/01/2037

      5,300          5,615   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

California State General Obligation Bonds, Series 2008

  

5.250% due 03/01/2038

  $     1,350      $     1,449   

California State General Obligation Bonds, Series 2009

  

5.750% due 04/01/2031

      2,500          2,835   

6.000% due 04/01/2038

      5,000          5,696   

California State General Obligation Bonds, Series 2010

  

5.250% due 11/01/2040

      1,300          1,529   

5.500% due 03/01/2040

      3,200          3,713   

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

   

6.625% due 08/01/2029

      2,580          3,039   

6.750% due 02/01/2038

      9,200          10,872   

California Statewide Communities Development Authority Revenue Bonds, Series 2007

   

5.750% due 11/01/2017

      880          914   

California Statewide Communities Development Authority Revenue Bonds, Series 2010

   

6.250% due 10/01/2039

      1,000          1,155   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

5.000% due 12/01/2041

      3,000          3,534   

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

   

5.125% due 06/01/2047

      3,600          3,601   

5.750% due 06/01/2047

      1,120          1,145   

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

   

4.750% due 09/01/2034

      3,350          3,368   

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

   

12.984% due 08/01/2033 (e)

      1,675          2,118   

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

   

6.500% due 11/01/2039

      2,000          3,057   

Palomar Health, California Certificates of Participation Bonds, Series 2009

   

6.750% due 11/01/2039

      1,250          1,388   

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

   

5.000% due 08/01/2038

      1,600          1,860   

Tobacco Securitization Authority of Southern California Revenue Bonds, Series 2006

   

5.000% due 06/01/2037

      6,200          6,200   
       

 

 

 
            97,651   
       

 

 

 
       
COLORADO 0.9%   

Colorado Health Facilities Authority Revenue Bonds, Series 2010

   

5.000% due 01/01/2040

      2,000          2,209   

Public Authority for Colorado Energy Revenue Bonds, Series 2008

   

6.500% due 11/15/2038

      500          749   

Regional Transportation District, Colorado Revenue Bonds, Series 2010

   

6.000% due 01/15/2034

      500          583   
       

 

 

 
          3,541   
       

 

 

 
       
CONNECTICUT 0.4%   

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

   

7.875% due 04/01/2039

      1,250          1,450   
       

 

 

 
       
DISTRICT OF COLUMBIA 2.9%   

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

   

5.500% due 10/01/2039 (d)

      10,000          11,070   
       

 

 

 
          11,070   
       

 

 

 
       
FLORIDA 5.2%   

Broward County, Florida Airport System Revenue Bonds, Series 2009

   

5.375% due 10/01/2029

      500          567   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

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

   

5.250% due 10/01/2034 (d)

  $     4,500      $     4,956   

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

   

5.000% due 10/01/2041

      3,000          3,460   

Florida Development Finance Corp. Revenue Notes, Series 2011

   

6.500% due 06/15/2021

      260          290   

Florida State General Obligation Bonds, Series 2009

  

5.000% due 06/01/2038 (d)

      4,200          4,549   

Greater Orlando Aviation Authority, Florida Revenue Bonds, Series 2010

   

9.019% due 10/01/2039 (e)

      5,000          6,439   
       

 

 

 
            20,261   
       

 

 

 
       
GEORGIA 3.6%   

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

   

5.125% due 07/01/2042

      1,750          1,762   

Medical Center Hospital Authority, Georgia Revenue Bonds, Series 2007

   

5.250% due 07/01/2037

      400          407   

Municipal Electric Authority of Georgia Revenue Bonds, Series 2015

   

5.000% due 07/01/2060

      10,000          11,702   
       

 

 

 
          13,871   
       

 

 

 
       
HAWAII 0.4%   

Hawaii Pacific Health Revenue Bonds, Series 2010

  

5.500% due 07/01/2040

      1,500          1,698   
       

 

 

 
       
ILLINOIS 7.3%   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2035

      2,400          2,472   

5.500% due 01/01/2042

      1,000          1,021   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.375% due 01/01/2029

      7,200          7,455   

5.500% due 01/01/2034

      2,500          2,579   

Chicago, Illinois Revenue Bonds, Series 2002

  

5.000% due 01/01/2027

      1,750          1,977   

Illinois Finance Authority Revenue Bonds, Series 2007

  

5.875% due 03/01/2027 ^

      1,000          250   

6.000% due 03/01/2037 ^

      625          156   

Illinois Finance Authority Revenue Bonds, Series 2009

  

5.500% due 07/01/2037 (d)

      5,000          5,477   

7.125% due 11/15/2037

      400          472   

Illinois Finance Authority Revenue Bonds, Series 2010

  

6.000% due 08/15/2038

      1,000          1,115   

Illinois State Toll Highway Authority Revenue Bonds, Series 2008

   

5.500% due 01/01/2033

      5,000          5,361   
       

 

 

 
          28,335   
       

 

 

 
       
INDIANA 3.8%   

Indiana Municipal Power Agency Revenue Bonds, Series 2016

   

5.000% due 01/01/2042

      8,000          9,789   

Portage, Indiana Tax Allocation Bonds, Series 2006

  

5.000% due 07/15/2023

      1,000          1,001   

5.000% due 01/15/2027

      775          776   

Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2011

   

7.500% due 09/01/2022

      2,535          2,959   
       

 

 

 
          14,525   
       

 

 

 
       
IOWA 1.8%   

Iowa Finance Authority Revenue Bonds, Series 2013

  

5.250% due 12/01/2025

      3,000          3,268   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   39


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

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Iowa Finance Authority Revenue Bonds, Series 2014

  

2.000% due 05/15/2056 ^

  $     76      $     1   

2.700% due 11/15/2046 ^

      403          351   

Iowa Finance Authority Revenue Notes, Series 2013

  

5.000% due 12/01/2019

      3,240          3,375   
       

 

 

 
          6,995   
       

 

 

 
       
KENTUCKY 0.6%   

Kentucky Economic Development Finance Authority Revenue Bonds, Series 2010

   

6.375% due 06/01/2040

      2,000          2,296   
       

 

 

 
       
LOUISIANA 2.0%   

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

    

5.875% due 10/01/2040

      1,500          1,774   

6.000% due 10/01/2044

      1,000          1,184   

6.500% due 11/01/2035

      400          481   

Louisiana Public Facilities Authority Revenue Bonds, Series 2007

   

5.500% due 05/15/2047

      1,700          1,767   

Louisiana Public Facilities Authority Revenue Bonds, Series 2011

   

6.500% due 05/15/2037

      2,000          2,519   
       

 

 

 
          7,725   
       

 

 

 
       
MARYLAND 1.0%   

Maryland Economic Development Corp. Revenue Bonds, Series 2010

   

5.750% due 06/01/2035

      1,000          1,117   

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

   

6.250% due 01/01/2041

      700          836   

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

   

6.000% due 07/01/2041

      1,000          1,205   

Maryland Stadium Authority Revenue Bonds, Series 2016

   

5.000% due 05/01/2046

      500          617   
       

 

 

 
            3,775   
       

 

 

 
       
MASSACHUSETTS 2.0%   

Massachusetts Development Finance Agency Revenue Bonds, Series 2010

   

7.625% due 10/15/2037

      285          323   

Massachusetts Development Finance Agency Revenue Bonds, Series 2011

   

0.000% due 11/15/2056 (a)

      140          1   

6.250% due 11/15/2039

      529          544   

Massachusetts Housing Finance Agency Revenue Bonds, Series 2003

   

5.125% due 06/01/2043

      4,910          4,916   

Massachusetts State College Building Authority Revenue Bonds, Series 2009

   

5.500% due 05/01/2039

      1,600          1,815   
       

 

 

 
          7,599   
       

 

 

 
       
MICHIGAN 0.9%   

Detroit, Michigan General Obligation Bonds, Series 2010

   

5.250% due 11/01/2035

      1,500          1,608   

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

   

8.250% due 09/01/2039

      1,500          1,743   
       

 

 

 
          3,351   
       

 

 

 
       
MISSOURI 0.2%   

Jennings, Missouri Revenue Bonds, Series 2006

  

5.000% due 11/01/2023

      235          229   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Manchester, Missouri Tax Allocation Bonds, Series 2010

   

6.875% due 11/01/2039

  $     500      $     528   
       

 

 

 
          757   
       

 

 

 
       
NEW HAMPSHIRE 0.6%   

New Hampshire Business Finance Authority Revenue Bonds, Series 2009

   

6.125% due 10/01/2039

      2,000          2,254   
       

 

 

 
       
NEW JERSEY 6.2%   

New Jersey Economic Development Authority Special Assessment Bonds, Series 2002

   

6.500% due 04/01/2028

      4,500          5,733   

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

   

5.750% due 07/01/2037

      1,000          1,070   

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

   

5.500% due 07/01/2043

      2,000          2,392   

New Jersey Transportation Trust Fund Authority Revenue Bonds, Series 2015

   

5.250% due 06/15/2041

      500          572   

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

   

4.750% due 06/01/2034

      1,600          1,581   

5.000% due 06/01/2041

      12,745          12,460   
       

 

 

 
            23,808   
       

 

 

 
       
NEW MEXICO 0.3%   

Farmington, New Mexico Revenue Bonds, Series 2010

  

5.900% due 06/01/2040

      1,000          1,138   
       

 

 

 
       
NEW YORK 15.6%   

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

   

6.250% due 07/15/2040

      9,800          11,345   

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

   

5.750% due 02/15/2047

      5,000          5,985   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2011

   

5.000% due 11/15/2036

      3,000          3,520   

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

   

2.000% due 01/01/2049 ^

      311          39   

6.700% due 01/01/2049

      863          862   

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

   

7.000% due 03/01/2049

      10,450          12,120   

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

   

4.750% due 06/15/2035 (d)

      4,000          4,140   

New York Liberty Development Corp. Revenue Bonds, Series 2007

   

5.500% due 10/01/2037

      1,700          2,364   

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.000% due 12/15/2041

      3,000          3,576   

5.000% due 11/15/2044

      11,000          12,760   

New York Liberty Development Corp. Revenue Bonds, Series 2014

   

5.000% due 11/15/2044

      3,000          3,481   
       

 

 

 
          60,192   
       

 

 

 
       
NORTH CAROLINA 1.8%   

New Hanover County, North Carolina Revenue Bonds, Series 2011

   

5.000% due 10/01/2028

      6,000          7,017   
       

 

 

 
       
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
OHIO 11.7%   

Allen County, Ohio Revenue Bonds, Series 2010

  

5.000% due 06/01/2038

  $     500      $     559   

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

   

5.125% due 06/01/2024

      1,000          981   

5.875% due 06/01/2047

      4,800          4,763   

6.500% due 06/01/2047

      30,350          31,148   

Hamilton County, Ohio Revenue Bonds, Series 2012

  

5.000% due 06/01/2042

      1,500          1,691   

Ohio State Turnpike Commission Revenue Bonds, Series 2013

   

5.000% due 02/15/2048

      5,000          5,880   
       

 

 

 
          45,022   
       

 

 

 
       
PENNSYLVANIA 7.3%   

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

   

5.625% due 08/15/2039

      1,000          1,133   

Berks County, Pennsylvania Municipal Authority Revenue Bonds, Series 2012

   

5.000% due 11/01/2044

      6,600          7,592   

Capital Region Water, Pennsylvania Revenue Bonds, Series 2007

   

6.000% due 09/01/2036 ^

      1,225          1,106   

Cumberland County, Pennsylvania Municipal Authority Revenue Bonds, Series 2008

   

5.625% due 07/01/2028

      1,000          1,079   

6.000% due 07/01/2035

      670          728   

Dauphin County, Pennsylvania General Authority Revenue Bonds, Series 2009

   

6.000% due 06/01/2036

      1,000          1,148   

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

   

5.500% due 12/01/2039

      100          114   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2009

   

5.125% due 12/01/2040

      3,000          3,334   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2013

   

5.000% due 12/01/2043

      5,000          5,937   

Pennsylvania Turnpike Commission Revenue Bonds, Series 2015

   

5.000% due 12/01/2040

      3,000          3,606   

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

   

5.625% due 07/01/2042

      1,645          1,832   

Philadelphia, Pennsylvania Water & Wastewater Revenue Bonds, Series 2009

   

5.250% due 01/01/2036

      500          547   
       

 

 

 
            28,156   
       

 

 

 
SOUTH CAROLINA 6.7%   

Greenwood County, South Carolina Revenue Bonds, Series 2009

   

5.375% due 10/01/2039

      1,000          1,124   

South Carolina Ports Authority Revenue Bonds, Series 2010

   

5.250% due 07/01/2040

      800          912   

South Carolina State Public Service Authority Revenue Bonds, Series 2013

   

5.125% due 12/01/2043

      5,000          5,926   

5.500% due 12/01/2053

      15,000          17,990   
       

 

 

 
          25,952   
       

 

 

 
TENNESSEE 0.7%   

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

   

6.625% due 10/01/2039

      1,250          1,396   
 

 

40   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


 

June 30, 2016 (Unaudited)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

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

   

6.000% due 07/01/2038

  $     1,000      $     1,137   
       

 

 

 
          2,533   
       

 

 

 
TEXAS 13.6%   

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

   

5.250% due 08/15/2038

      1,300          1,450   

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

   

5.000% due 04/01/2053

      4,500          5,247   

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

   

5.250% due 12/15/2033

      5,500          6,048   

5.500% due 12/15/2038

      5,500          6,067   

North Texas Tollway Authority Revenue Bonds, Series 2008

   

5.625% due 01/01/2033

      10,800            11,588   

5.750% due 01/01/2033

      700          753   

North Texas Tollway Authority Revenue Bonds, Series 2011

   

5.000% due 01/01/2038

      3,000          3,384   

5.500% due 09/01/2041

      600          717   

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

   

6.250% due 11/15/2029

      3,000          3,383   

Tender Option Bond Trust Receipts/Certificates, Texas General Obligation Bonds, Series 2009

   

8.990% due 08/01/2039 (e)

      0          761   

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

   

5.250% due 12/15/2026

      150          188   

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

   

6.250% due 12/15/2026

      9,600          12,439   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Wise County, Texas Revenue Bonds, Series 2011

  

8.000% due 08/15/2034

  $     500      $     587   
       

 

 

 
            52,612   
       

 

 

 
VIRGINIA 0.4%   

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

   

5.500% due 05/15/2035

      1,000          1,131   

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

   

2.000% due 10/01/2048 ^

      201          15   

6.000% due 06/01/2043

      621          598   
       

 

 

 
          1,744   
       

 

 

 
WASHINGTON 0.5%   

Washington Health Care Facilities Authority Revenue Bonds, Series 2009

   

7.375% due 03/01/2038

      1,000          1,169   

Washington Health Care Facilities Authority Revenue Bonds, Series 2010

   

5.500% due 12/01/2039

      500          598   
       

 

 

 
          1,767   
       

 

 

 
WEST VIRGINIA 0.2%   

West Virginia Hospital Finance Authority Revenue Bonds, Series 2011

   

9.125% due 10/01/2041

      955          867   
       

 

 

 
WISCONSIN 1.6%        

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

   

5.000% due 04/01/2038

      3,500          4,087   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Wisconsin Health & Educational Facilities Authority Revenue Bonds, Series 2009

   

6.625% due 02/15/2039

  $     1,000      $     1,150   

Wisconsin Health & Educational Facilities Authority Revenue Bonds, Series 2010

   

5.625% due 04/15/2039

      1,000          1,148   
       

 

 

 
          6,385   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $502,900)

    592,120   
       

 

 

 
SHORT-TERM INSTRUMENTS 1.1%   
SHORT-TERM NOTES 1.1%   

Federal Home Loan Bank

       

0.294% due 07/06/2016 (a)(b)

      400          400   

0.314% due 08/04/2016 (a)(b)

      1,100          1,099   

0.325% due 08/10/2016 (a)(b)

      700          700   

0.335% due 07/21/2016 (a)(b)

      2,000          2,000   

0.345% due 07/29/2016 (a)(b)

      100          100   
       

 

 

 
          4,299   
       

 

 

 
Total Short-Term Instruments
(Cost $4,299)
          4,299   
       

 

 

 
       
Total Investments in Securities
(Cost $507,199)
          596,419   
       
Total Investments 154.5%
(Cost $507,199)
      $     596,419   
Preferred Shares (48.9)%             (189,000
Other Assets and Liabilities, net (5.6)%          (21,305
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     386,114   
       

 

 

 
 

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

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) Zero coupon security.
(b) Coupon represents a yield to maturity.
(c) Security becomes interest bearing at a future date.
(d) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(e) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on June 30, 2016.

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   41


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

 

June 30, 2016 (Unaudited)

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2016 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2016
 

Investments in Securities, at Value

  

Municipal Bonds & Notes

  

Alabama

  $     0      $     60,859      $     0      $     60,859   

Arizona

    0        46,914        0        46,914   

California

    0        97,651        0        97,651   

Colorado

    0        3,541        0        3,541   

Connecticut

    0        1,450        0        1,450   

District of Columbia

    0        11,070        0        11,070   

Florida

    0        20,261        0        20,261   

Georgia

    0        13,871        0        13,871   

Hawaii

    0        1,698        0        1,698   

Illinois

    0        28,335        0        28,335   

Indiana

    0        14,525        0        14,525   

Iowa

    0        6,995        0        6,995   

Kentucky

    0        2,296        0        2,296   

Louisiana

    0        7,725        0        7,725   

Maryland

    0        3,775        0        3,775   

Massachusetts

    0        7,599        0        7,599   

Michigan

    0        3,351        0        3,351   
Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2016
 

Missouri

  $ 0      $ 757      $ 0      $ 757   

New Hampshire

    0        2,254        0        2,254   

New Jersey

    0        23,808        0        23,808   

New Mexico

    0        1,138        0        1,138   

New York

    0        60,192        0        60,192   

North Carolina

    0        7,017        0        7,017   

Ohio

    0        45,022        0        45,022   

Pennsylvania

    0        28,156        0        28,156   

South Carolina

    0        25,952        0        25,952   

Tennessee

    0        2,533        0        2,533   

Texas

    0        52,612        0        52,612   

Virginia

    0        1,744        0        1,744   

Washington

    0        1,767        0        1,767   

West Virginia

    0        867        0        867   

Wisconsin

    0        6,385        0        6,385   

Short-Term Instruments

  

Short-Term Notes

    0        4,299        0        4,299   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     0      $     596,419      $     0      $     596,419   
 

 

 

   

 

 

   

 

 

   

 

 

 
 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended June 30, 2016.

 

42   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Schedule of Investments PIMCO California Municipal Income Fund

 

June 30, 2016 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
      MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 161.1%   
MUNICIPAL BONDS & NOTES 161.1%   
CALIFORNIA 158.8%   

Bay Area Toll Authority, California Revenue Bonds, Series 2008

   

5.000% due 04/01/2034

  $   10,000   $     10,762   

California County Tobacco Securitization Agency Revenue Bonds, Series 2002

   

6.000% due 06/01/2035

    4,000       4,002   

6.125% due 06/01/2038

    1,000       1,000   

California County Tobacco Securitization Agency Revenue Bonds, Series 2006

   

5.600% due 06/01/2036

    1,500       1,537   

California Educational Facilities Authority Revenue Bonds, Series 2009

   

5.000% due 01/01/2039 (a)

    10,200         11,306   

5.000% due 10/01/2039 (a)

    10,000       10,901   

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

   

5.000% due 11/15/2042

    1,600       1,626   

California Health Facilities Financing Authority Revenue Bonds, Series 2008

   

5.250% due 11/15/2040

    5,050       6,085   

California Health Facilities Financing Authority Revenue Bonds, Series 2009

   

5.750% due 09/01/2039

    2,000       2,285   

6.000% due 07/01/2039

    4,000       4,600   

6.500% due 11/01/2038

    1,000       1,184   

California Health Facilities Financing Authority Revenue Bonds, Series 2010

   

5.000% due 11/15/2036

    1,450       1,640   

9.019% due 11/15/2036 (b)

    1,000       1,329   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

5.000% due 08/15/2035

    1,000       1,200   

6.000% due 08/15/2042

    2,800       3,407   

11.002% due 11/15/2042 (b)

    6,000       6,199   

California Health Facilities Financing Authority Revenue Bonds, Series 2012

   

5.000% due 08/15/2051

    11,000       12,825   

California Health Facilities Financing Authority Revenue Bonds, Series 2013

   

5.000% due 08/15/2052

    3,675       4,362   

California Health Facilities Financing Authority Revenue Bonds, Series 2015

   

5.000% due 08/15/2054

    1,300       1,592   

California Infrastructure & Economic Development Bank Revenue Bonds, Series 2013

   

5.000% due 02/01/2039

    10,000       11,664   

California Municipal Finance Authority Revenue Bonds, Series 2008

   

5.875% due 10/01/2034

    2,900       3,126   

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

    955       1,203   

California Pollution Control Financing Authority Revenue Bonds, Series 2010

   

5.100% due 06/01/2040

    2,000       2,250   

5.250% due 08/01/2040

    1,250       1,409   

California State General Obligation Bonds, Series 2006

  

5.000% due 09/01/2035

    5,885       5,926   

California State General Obligation Bonds, Series 2007

  

5.000% due 06/01/2037

    100       104   

5.000% due 12/01/2037

    3,000       3,178   

California State General Obligation Bonds,
Series 2009

  

6.000% due 04/01/2038

    2,000       2,279   

6.000% due 11/01/2039

    2,000       2,336   

California State General Obligation Bonds, Series 2010

  

5.250% due 11/01/2040

    2,400       2,822   

5.500% due 03/01/2040

    1,500       1,740   

California State General Obligation Bonds,
Series 2013

  

5.000% due 11/01/2043

    7,000       8,519   
        PRINCIPAL
AMOUNT
(000S)
      MARKET
VALUE
(000S)
 

California State General Obligation Bonds, Series 2015

  

5.000% due 09/01/2032

  $   1,300   $     1,640   

California State General Obligation Bonds, Series 2016

  

4.000% due 12/01/2030

    1,000       1,135   

5.000% due 09/01/2045

    1,000       1,263   

California State Public Works Board Revenue Bonds, Series 2009

   

5.000% due 04/01/2034

    2,000       2,237   

5.750% due 10/01/2030

    2,000       2,298   

6.000% due 11/01/2034

    2,000       2,349   

California State Public Works Board Revenue Bonds, Series 2011

   

5.000% due 12/01/2029

    1,500       1,788   

California State University Revenue Bonds, Series 2015

  

5.000% due 11/01/2047

    14,000       17,260   

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

    

5.375% due 04/01/2030

    2,150       2,157   

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

   

5.750% due 07/01/2047

    3,200       3,525   

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

   

6.625% due 08/01/2029

    1,870       2,203   

6.750% due 02/01/2038

    6,875       8,124   

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

    

5.125% due 07/01/2024

    100       109   

California Statewide Communities Development Authority Revenue Bonds, Series 2007

   

5.500% due 11/01/2038

    900       960   

California Statewide Communities Development Authority Revenue Bonds, Series 2008

   

5.500% due 07/01/2031

    845       888   

California Statewide Communities Development Authority Revenue Bonds, Series 2010

   

5.000% due 11/01/2040

    10,000       11,440   

6.250% due 10/01/2039

    1,000       1,155   

7.500% due 06/01/2042

    980       1,072   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

6.000% due 08/15/2042

    2,000       2,434   

California Statewide Communities Development Authority Revenue Bonds, Series 2012

   

5.000% due 04/01/2042

    11,500       13,504   

5.125% due 05/15/2031

    4,000       4,708   

5.375% due 05/15/2038

    4,500       5,238   

California Statewide Communities Development Authority Revenue Bonds, Series 2016

   

5.000% due 12/01/2036

    1,400       1,619   

California Statewide Financing Authority Revenue Bonds, Series 2002

   

6.000% due 05/01/2037

    3,000       3,066   

Chula Vista, California Revenue Bonds, Series 2004

  

5.875% due 02/15/2034

    5,000       5,688   

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

   

5.850% due 08/01/2033

    350       350   

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

   

5.000% due 08/01/2037

    5,000       5,237   

Desert Community College District, California General Obligation Bonds,
Series 2016

   

5.000% due 08/01/2037

    1,250       1,565   

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

   

5.000% due 07/01/2035

    6,300       6,766   

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

   

5.250% due 01/01/2034

    14,425         14,878   

Folsom Redevelopment Agency, California Tax Allocation Bonds, Series 2009

   

5.500% due 08/01/2036

    1,000       1,125   
        PRINCIPAL
AMOUNT
(000S)
      MARKET
VALUE
(000S)
 

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

   

5.000% due 06/01/2033

  $   2,500   $     2,519   

5.125% due 06/01/2047

    8,300       8,304   

5.750% due 06/01/2047

    24,325       24,876   

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

   

5.000% due 08/01/2038

    6,000       7,133   

Imperial Irrigation District, California Revenue Bonds, Series 2011

   

5.000% due 11/01/2041

    1,000       1,135   

Kaweah Delta Health Care District, California Revenue Bonds, Series 2015

   

4.000% due 06/01/2045

    2,000       2,185   

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

   

5.750% due 08/01/2035

    10,590       11,757   

Lancaster Redevelopment Agency, California Tax Allocation Bonds, Series 2009

   

6.875% due 08/01/2039

    500       583   

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

   

5.500% due 11/15/2027

    1,000       1,290   

Long Beach, California Airport System Revenue Bonds, Series 2010

   

5.000% due 06/01/2040

    5,000       5,596   

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

   

5.375% due 07/01/2034 (a)

    3,000       3,325   

5.375% due 07/01/2038 (a)

    7,000       7,737   

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

   

5.000% due 07/01/2037

    4,100       4,898   

5.000% due 07/01/2043

    5,000       5,954   

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

   

5.000% due 07/01/2043

    3,650       4,439   

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

   

5.000% due 07/01/2029 (a)

    10,000         11,205   

5.000% due 01/01/2034 (a)

    8,500       9,485   

5.300% due 01/01/2034

    250       281   

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

   

6.500% due 11/01/2039

    18,845       28,803   

Malibu, California Certificates of Participation Bonds, Series 2009

   

5.000% due 07/01/2039

    700       772   

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

   

5.000% due 08/01/2039

    1,250       1,413   

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

   

5.000% due 05/15/2043

    2,000       2,391   

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

   

5.500% due 09/01/2045

    3,000       3,352   

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

    

5.000% due 05/01/2038

    6,250       6,748   

San Diego Redevelopment Agency Successor Agency, California Tax Allocation Bonds,
Series 2016

   

5.000% due 09/01/2029

    250       315   

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

   

5.375% due 02/01/2036

    3,285       3,679   

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

   

5.250% due 04/01/2031

    650       722   

San Jose, California Hotel Tax Revenue Bonds, Series 2011

   

6.500% due 05/01/2036

    1,500       1,834   

San Jose, California Special Assessment Bonds, Series 2001

   

5.600% due 09/02/2017

    230       234   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   43


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

 

June 30, 2016 (Unaudited)

 

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

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

   

5.000% due 10/01/2031

  $     2,315      $     2,889   

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

   

5.000% due 08/01/2038

      1,200          1,395   

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

   

5.750% due 02/01/2041

      3,500          3,696   

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

   

7.000% due 09/01/2036

      1,300          1,555   

Stockton Unified School District, California General Obligation Bonds, Series 2016

   

5.000% due 08/01/2031

      4,000          4,973   

Tobacco Securitization Authority of Southern California Revenue Bonds,
Series 2006

   

5.000% due 06/01/2037

      800          800   

Torrance, California Revenue Bonds, Series 2010

  

5.000% due 09/01/2040

      6,300          7,023   

Turlock, California Certificates of Participation Bonds, Series 2007

   

5.500% due 10/15/2037

      2,000          2,121   

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

   

5.000% due 08/01/2043

      2,500          2,993   
       

 

 

 
            452,589   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
ILLINOIS 2.3%   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2042

  $     2,000      $     2,041   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

      4,400          4,540   
       

 

 

 
          6,581   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $398,081)

    459,170   
       

 

 

 
       
Total Investments in Securities
(Cost $398,081)
    459,170   
       
Total Investments 161.1%
(Cost $398,081)
      $     459,170   
       
Preferred Shares (52.6)%       (150,000
       
Other Assets and Liabilities, net (8.5)%     (24,113
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     285,057   
       

 

 

 
 

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

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
(a) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(b) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on June 30, 2016.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2016 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2016
 

Investments in Securities, at Value

       

Municipal Bonds & Notes

       

California

  $ 0      $ 452,589      $ 0      $ 452,589   

Illinois

    0        6,581        0        6,581   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     0      $     459,170      $     0      $     459,170   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended June 30, 2016.

 

44   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Schedule of Investments PIMCO California Municipal Income Fund II

 

June 30, 2016 (Unaudited)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
INVESTMENTS IN SECURITIES 162.1%   
MUNICIPAL BONDS & NOTES 161.7%   
CALIFORNIA 156.8%   

Alhambra, California Revenue Bonds, Series 2010

  

7.625% due 01/01/2040

  $     2,000      $     2,281   

Bay Area Toll Authority, California Revenue Bonds, Series 2014

   

5.000% due 10/01/2054

      3,000          3,599   

California County Tobacco Securitization Agency Revenue Bonds, Series 2002

   

5.875% due 06/01/2043

      1,800          1,822   

California County Tobacco Securitization Agency Revenue Bonds, Series 2006

   

5.600% due 06/01/2036

      1,500          1,537   

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

   

5.000% due 11/15/2042

      4,220          4,288   

California Health Facilities Financing Authority Revenue Bonds, Series 2008

   

5.250% due 11/15/2040

      5,400          6,507   

California Health Facilities Financing Authority Revenue Bonds, Series 2009

   

5.750% due 09/01/2039

      250          286   

6.000% due 07/01/2039

      3,000          3,450   

6.500% due 11/01/2038

      500          592   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

5.000% due 08/15/2035

      1,000          1,200   

California Health Facilities Financing Authority Revenue Bonds, Series 2012

   

5.000% due 11/15/2034

      1,000          1,122   

5.000% due 11/15/2040

      4,000          4,613   

5.000% due 08/15/2051

      8,755          10,209   

California Health Facilities Financing Authority Revenue Bonds, Series 2015

   

5.000% due 08/15/2054

      5,000          6,122   

California Infrastructure & Economic Development Bank Revenue Bonds, Series 2008

   

5.250% due 02/01/2038

      175          188   

California Infrastructure & Economic Development Bank Revenue Bonds, Series 2013

   

5.000% due 02/01/2039

      10,000          11,664   

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

      1,035          1,304   

California Pollution Control Financing Authority Revenue Bonds, Series 2010

   

5.250% due 08/01/2040

      1,500          1,691   

California State General Obligation Bonds, Series 2006

  

5.000% due 09/01/2031

      2,500          2,517   

California State General Obligation Bonds, Series 2009

  

6.000% due 04/01/2038

      10,000            11,393   

California State General Obligation Bonds, Series 2013

  

5.000% due 11/01/2043

      7,000          8,519   

California State General Obligation Bonds, Series 2016

  

4.000% due 12/01/2030

      2,000          2,271   

5.000% due 09/01/2045

      1,000          1,263   

California State Public Works Board Revenue Bonds, Series 2008

   

5.000% due 03/01/2033

      7,915          8,483   

California State Public Works Board Revenue Bonds, Series 2009

   

5.750% due 10/01/2030

      3,000          3,447   

6.000% due 11/01/2034

      2,000          2,349   

California State Public Works Board Revenue Bonds, Series 2011

   

5.000% due 12/01/2029

      2,000          2,384   

California State Public Works Board Revenue Bonds, Series 2013

   

5.000% due 03/01/2038

      2,500          2,948   

California State University Revenue Bonds, Series 2015

  

5.000% due 11/01/2047

      7,000          8,630   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

California State University Revenue Bonds, Series 2016

  

5.000% due 11/01/2041

  $     11,435      $     14,351   

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

    

5.750% due 07/01/2047

      3,700          4,076   

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

   

6.625% due 08/01/2029

      2,135          2,515   

6.750% due 02/01/2038

      7,860          9,288   

California Statewide Communities Development Authority Revenue Bonds, Series 2006

   

5.000% due 11/01/2029

      500          502   

California Statewide Communities Development Authority Revenue Bonds, Series 2007

   

5.150% due 07/01/2030

      250          252   

5.250% due 07/01/2042

      1,250          1,257   

California Statewide Communities Development Authority Revenue Bonds, Series 2008

   

5.250% due 11/15/2048

      5,490          5,957   

5.500% due 07/01/2031

      3,040          3,194   

California Statewide Communities Development Authority Revenue Bonds, Series 2010

   

7.000% due 07/01/2040

      3,760          4,475   

7.500% due 06/01/2042

      980          1,072   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

6.000% due 08/15/2042

      5,600          6,814   

California Statewide Communities Development Authority Revenue Bonds, Series 2012

   

5.000% due 04/01/2042

      9,705          11,396   

5.375% due 05/15/2038

      4,500          5,238   

California Statewide Communities Development Authority Revenue Bonds, Series 2016

   

5.000% due 12/01/2036

      1,500          1,734   

California Statewide Financing Authority Revenue Bonds, Series 2002

   

6.000% due 05/01/2037

      2,000          2,044   

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

    

0.000% due 08/01/2036 (b)

      17,305          6,353   

0.000% due 08/01/2037 (b)

      5,000          1,742   

0.000% due 08/01/2043 (b)

      15,000          3,858   

Chula Vista, California Revenue Bonds, Series 2004

  

5.875% due 02/15/2034

      1,000          1,138   

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

   

4.875% due 09/01/2035

      8,435          8,457   

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

   

0.000% due 08/01/2046 (b)

      25,000          5,094   

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

   

8.919% due 08/01/2032 (e)

      6,035          6,599   

Desert Community College District, California General Obligation Bonds, Series 2016

   

5.000% due 08/01/2037

      1,000          1,252   

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

   

5.000% due 09/01/2045

      1,400          1,588   

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

   

5.125% due 06/01/2047

      8,500          8,504   

5.750% due 06/01/2047

      34,715            35,502   

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

   

5.000% due 08/01/2038

      3,000          3,567   

Imperial Irrigation District, California Revenue Bonds, Series 2011

   

5.000% due 11/01/2041

      4,500          5,106   

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

   

6.700% due 09/01/2035

      515          604   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

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

   

5.000% due 07/01/2037 (d)

  $     5,000      $     5,207   

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

   

5.000% due 04/01/2039 (d)

      20,000          21,525   

Kaweah Delta Health Care District, California Revenue Bonds, Series 2015

   

4.000% due 06/01/2045

      1,275          1,393   

Lancaster Redevelopment Agency, California Tax Allocation Bonds, Series 2009

   

6.875% due 08/01/2039

      1,000          1,167   

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

   

5.500% due 11/15/2037

      7,500          10,267   

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

   

5.250% due 08/01/2019 (d)

      9,395            10,707   

5.250% due 08/01/2033 (d)

      605          682   

Long Beach, California Airport System Revenue Bonds, Series 2010

   

5.000% due 06/01/2040

      500          560   

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

   

12.984% due 08/01/2033 (e)

      4,000          5,057   

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

   

5.000% due 07/01/2043

      3,000          3,648   

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

   

5.000% due 01/01/2034

      11,000          12,274   

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

   

6.500% due 11/01/2039

      16,445          25,134   

7.000% due 11/01/2034

      1,000          1,544   

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

   

5.000% due 10/01/2036

      10,000          10,010   

Northern California Transmission Agency Revenue Bonds, Series 2016

   

5.000% due 05/01/2031

      1,250          1,598   

5.000% due 05/01/2039

      1,500          1,868   

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

   

6.125% due 08/01/2029

      5,000          5,601   

Palomar Health, California Certificates of Participation Bonds, Series 2009

   

6.750% due 11/01/2039

      4,750          5,274   

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

   

0.000% due 08/01/2040 (b)

      11,000          5,321   

0.000% due 08/01/2046 (b)

      16,000          6,081   

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

   

5.500% due 09/01/2045

      3,000          3,352   

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

   

9.526% due 08/01/2033 (e)

      5,000          6,292   

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

   

5.250% due 05/15/2039

      1,000          1,131   

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

   

5.250% due 08/01/2038

      4,000          4,381   

San Diego Redevelopment Agency Successor Agency, California Tax Allocation Bonds, Series 2016

   

5.000% due 09/01/2028

      250          316   

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

   

5.375% due 02/01/2036

      2,800          3,136   

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

   

5.250% due 04/01/2031

      300          333   

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

   

5.000% due 01/15/2050

      2,430          2,815   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   45


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

 

June 30, 2016 (Unaudited)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

San Jose, California Hotel Tax Revenue Bonds, Series 2011

   

6.500% due 05/01/2036

  $     1,000      $     1,223   

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

   

5.000% due 10/01/2032

      850          1,056   

5.000% due 10/01/2033

      1,125            1,392   

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

   

5.000% due 08/01/2038

      1,300          1,512   

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

   

5.250% due 08/01/2032

      1,260          1,264   

Santa Cruz County, California Redevelopment Agency Tax Allocation Bonds (BAM Insured), Series 2016

   

4.000% due 09/01/2034 (a)

      500          571   

4.000% due 09/01/2035 (a)

      900          1,024   

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

   

7.000% due 09/01/2036

      1,500          1,794   

Stockton Unified School District, California General Obligation Bonds, Series 2016

   

5.000% due 08/01/2031

      3,700          4,600   

Sweetwater Union High School District, California General Obligation Bonds, Series 2016

   

5.000% due 08/01/2036

      1,000          1,241   

Tender Option Bond Trust Receipts/Certificates, California Revenue Bonds, Series 2010

   

8.990% due 05/15/2040 (e)

      7,500          9,735   

Torrance, California Revenue Bonds, Series 2010

  

5.000% due 09/01/2040

      3,100          3,456   

Turlock Irrigation District, California Revenue Bonds, Series 2011

   

5.500% due 01/01/2041

      1,700          1,989   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

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

   

6.000% due 09/01/2040

  $     1,000      $     1,146   

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

   

5.000% due 08/01/2043

      3,000          3,591   
       

 

 

 
          472,476   
       

 

 

 
       
ILLINOIS 2.9%   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2042

      2,350          2,398   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

      6,035          6,227   
       

 

 

 
          8,625   
       

 

 

 
       
NEW JERSEY 1.4%   

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

   

4.750% due 06/01/2034

      1,300          1,284   

5.000% due 06/01/2041

      3,000          2,933   
       

 

 

 
          4,217   
       

 

 

 
       
NEW YORK 0.6%   

New York Liberty Development Corp. Revenue Bonds, Series 2005

   

5.250% due 10/01/2035

      1,250          1,685   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $411,208)

      487,003   
       

 

 

 
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

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

Federal Home Loan Bank

       

0.309% due 08/03/2016 (b)(c)

  $     1,300      $     1,300   
       

 

 

 
Total Short-Term Instruments
(Cost $1,300)
    1,300   
       

 

 

 
       
Total Investments in Securities
(Cost $412,508)
    488,303   
       
Total Investments 162.1%
(Cost $412,508)
      $     488,303   
       
Preferred Shares (54.1)%       (163,000
       
Other Assets and Liabilities, net (8.0)%     (24,106
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     301,197   
       

 

 

 
 

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

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
(a) When-issued security.
(b) Zero coupon security.
(c) Coupon represents a yield to maturity.
(d) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(e) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on June 30, 2016.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2016 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2016
 

Investments in Securities, at Value

  

Municipal Bonds & Notes

       

California

  $     0      $     472,476      $     0      $     472,476   

Illinois

    0        8,625        0        8,625   

New Jersey

    0        4,217        0        4,217   

New York

    0        1,685        0        1,685   

Short-Term Instruments

  

Short-Term Notes

    0        1,300        0        1,300   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 0      $ 488,303      $ 0      $ 488,303   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended June 30, 2016.

 

46   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Schedule of Investments PIMCO California Municipal Income Fund III

 

June 30, 2016 (Unaudited)

 

        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 162.4%   
MUNICIPAL BONDS & NOTES 162.4%   
CALIFORNIA 155.8%   

Bay Area Toll Authority, California Revenue Bonds, Series 2008

   

5.000% due 04/01/2034

  $     1,250      $     1,345   

Bay Area Toll Authority, California Revenue Bonds, Series 2013

   

5.250% due 04/01/2048

      8,000          9,443   

California County Tobacco Securitization Agency Revenue Bonds, Series 2002

   

5.875% due 06/01/2035

      8,100          8,104   

6.000% due 06/01/2042

      7,000          7,003   

California County Tobacco Securitization Agency Revenue Bonds, Series 2006

   

5.600% due 06/01/2036

      2,000          2,049   

California Educational Facilities Authority Revenue Bonds, Series 2009

   

5.000% due 01/01/2039 (d)

      9,800          10,862   

5.000% due 10/01/2039 (d)

      10,000          10,901   

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

   

5.000% due 11/15/2042

      500          508   

California Health Facilities Financing Authority Revenue Bonds, Series 2008

   

5.000% due 08/15/2038

      5,000          5,441   

5.250% due 11/15/2040

      4,550          5,483   

California Health Facilities Financing Authority Revenue Bonds, Series 2009

   

5.750% due 09/01/2039

      4,000          4,569   

6.000% due 07/01/2039

      4,000          4,600   

6.500% due 11/01/2038

      500          592   

California Health Facilities Financing Authority Revenue Bonds, Series 2010

   

5.000% due 11/15/2036

      1,300          1,470   

California Health Facilities Financing Authority Revenue Bonds, Series 2011

   

5.000% due 08/15/2035

      1,000          1,200   

6.000% due 08/15/2042

      1,200          1,460   

California Health Facilities Financing Authority Revenue Bonds, Series 2012

   

5.000% due 08/15/2051

      8,305          9,684   

California Health Facilities Financing Authority Revenue Bonds, Series 2015

   

5.000% due 08/15/2054

      3,000          3,673   

California Infrastructure & Economic Development Bank Revenue Bonds, Series 2013

   

5.000% due 02/01/2039

      10,000          11,664   

California Municipal Finance Authority Revenue Bonds, Series 2011

   

7.750% due 04/01/2031

      800          1,008   

California Pollution Control Financing Authority Revenue Bonds, Series 2010

   

5.250% due 08/01/2040

      1,250          1,409   

California State General Obligation Bonds, Series 2009

  

6.000% due 04/01/2038

      7,300          8,317   

California State General Obligation Bonds, Series 2013

  

5.000% due 11/01/2043

      5,000          6,085   

California State General Obligation Bonds, Series 2015

  

5.000% due 09/01/2032

      9,400          11,855   

California State Public Works Board Revenue Bonds, Series 2009

   

6.000% due 11/01/2034

      2,000          2,349   

California State Public Works Board Revenue Bonds, Series 2013

   

5.000% due 03/01/2038

      2,500          2,948   

California State University Revenue Bonds, Series 2011

  

5.000% due 11/01/2042

      9,200          10,809   

California State University Revenue Bonds, Series 2015

  

5.000% due 11/01/2047

      12,750            15,719   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

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

    

5.375% due 04/01/2030

  $     945      $     948   

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

    

5.750% due 07/01/2047

      3,100          3,415   

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

   

6.625% due 08/01/2029

      1,780          2,097   

6.750% due 02/01/2038

      6,430          7,598   

California Statewide Communities Development Authority Revenue Bonds, Series 2007

   

5.500% due 11/01/2038

      1,300          1,387   

California Statewide Communities Development Authority Revenue Bonds, Series 2008

   

5.500% due 07/01/2031

      2,030          2,134   

California Statewide Communities Development Authority Revenue Bonds, Series 2010

   

6.250% due 10/01/2039

      500          577   

7.500% due 06/01/2042

      980          1,072   

California Statewide Communities Development Authority Revenue Bonds, Series 2011

   

5.000% due 12/01/2041

      11,000            12,959   

6.000% due 08/15/2042

      1,800          2,190   

6.500% due 11/01/2021

      335          373   

California Statewide Communities Development Authority Revenue Bonds, Series 2012

   

5.000% due 04/01/2042

      11,220          13,175   

5.375% due 05/15/2038

      2,000          2,328   

California Statewide Communities Development Authority Revenue Bonds, Series 2014

   

5.500% due 12/01/2054

      2,500          2,937   

California Statewide Communities Development Authority Revenue Bonds, Series 2016

   

5.000% due 12/01/2036

      1,100          1,272   

Chula Vista, California Revenue Bonds, Series 2004

  

5.875% due 02/15/2034

      2,000          2,275   

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

   

5.625% due 08/01/2033

      1,415          1,416   

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

   

5.000% due 09/01/2045

      1,400          1,588   

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

   

5.000% due 06/01/2033

      2,500          2,519   

5.750% due 06/01/2047

      15,165          15,509   

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

   

5.000% due 08/01/2038

      5,000          5,944   

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

   

5.000% due 07/01/2037 (d)

      5,000          5,207   

Lancaster Redevelopment Agency, California Tax Allocation Bonds, Series 2009

   

6.875% due 08/01/2039

      500          583   

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

   

5.750% due 08/01/2033

      5,000          5,772   

Long Beach, California Airport System Revenue Bonds, Series 2010

   

5.000% due 06/01/2040

      2,120          2,373   

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

   

12.984% due 08/01/2033 (e)

      1,000          1,264   

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

   

5.000% due 07/01/2039 (d)

      10,000          10,900   

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

   

5.000% due 07/01/2037

      2,000          2,389   

5.000% due 07/01/2043

      2,115          2,519   
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 

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

   

5.000% due 07/01/2043

  $     3,000      $     3,648   

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

   

5.000% due 01/01/2034 (d)

      10,000            11,158   

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

   

6.500% due 11/01/2039

      10,825          16,544   

7.000% due 11/01/2034

      2,285          3,528   

Malibu, California Certificates of Participation Bonds, Series 2009

   

5.000% due 07/01/2039

      550          607   

Manteca Financing Authority, California Revenue Bonds, Series 2009

   

5.750% due 12/01/2036

      1,000          1,160   

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

   

5.000% due 08/01/2033

      3,000          3,270   

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

    

5.000% due 09/01/2036

      800          966   

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

   

5.000% due 08/01/2039

      1,250          1,413   

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

   

5.000% due 05/15/2043

      5,000          5,978   

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

   

5.500% due 09/01/2045

      3,000          3,352   

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

    

5.000% due 09/01/2029

      500          501   

Sacramento Municipal Utility District, California Revenue Bonds, Series 2013

   

5.000% due 08/15/2037

      3,000          3,669   

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

   

5.000% due 07/01/2043

      1,325          1,574   

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

    

5.000% due 05/01/2038

      6,250          6,748   

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

   

5.250% due 05/15/2039

      4,000          4,523   

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

   

5.375% due 02/01/2036

      2,200          2,464   

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

   

5.250% due 04/01/2031

      550          611   

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

   

5.000% due 08/01/2028

      1,505          1,747   

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

   

5.000% due 01/15/2050

      2,000          2,317   

San Jose, California Hotel Tax Revenue Bonds, Series 2011

   

6.500% due 05/01/2036

      1,500          1,834   

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

   

5.000% due 10/01/2034

      885          1,090   

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

   

5.000% due 08/01/2038

      1,000          1,163   

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

   

5.750% due 02/01/2041

      500          528   
 

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   47


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

 

June 30, 2016 (Unaudited)

 

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

Santa Cruz County, California Redevelopment Agency Tax Allocation Bonds (BAM Insured), Series 2016

   

4.000% due 09/01/2033 (a)

  $     470      $     539   

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

   

7.000% due 09/01/2036

      1,200          1,435   

Stockton Unified School District, California General Obligation Bonds, Series 2016

   

5.000% due 08/01/2031

      2,000          2,487   

Sweetwater Union High School District, California General Obligation Bonds, Series 2016

   

5.000% due 08/01/2036

      1,250          1,552   

Torrance, California Revenue Bonds, Series 2001

  

5.500% due 06/01/2031

      2,950          3,001   

University of California Revenue Bonds, Series 2016

  

5.000% due 05/15/2036

      1,000          1,263   

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

   

5.000% due 08/01/2043

      2,500          2,992   

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

   

5.000% due 10/01/2039

      2,000          2,273   
       

 

 

 
            371,205   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
ILLINOIS 4.0%   

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2035

  $     3,000      $     3,090   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

      3,700          3,818   

5.500% due 01/01/2033

      2,500          2,582   
       

 

 

 
          9,490   
       

 

 

 
INDIANA 2.2%   

Vigo County, Indiana Hospital Authority Revenue Bonds, Series 2007

   

5.750% due 09/01/2042

      5,000          5,135   
       

 

 

 
NEW JERSEY 0.4%   

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

   

4.750% due 06/01/2034

      1,000          988   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $337,201)

            386,818   
       

 

 

 
        PRINCIPAL
AMOUNT
(000S)
        MARKET
VALUE
(000S)
 
SHORT-TERM INSTRUMENTS 0.0%   
SHORT-TERM NOTES 0.0%   

Federal Home Loan Bank

  

0.335% due 07/21/2016 (b)(c)

  $     100      $     100   
       

 

 

 
Total Short-Term Instruments
(Cost $100)
          100   
       

 

 

 
       
Total Investments in Securities
(Cost $337,301)
          386,918   
       
Total Investments 162.4%
(Cost $337,301)
      $     386,918   
Preferred Shares (52.5)%            (125,000
Other Assets and Liabilities, net (9.9)%          (23,723
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     238,195   
       

 

 

 
 

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

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
(a) When-issued security.
(b) Zero coupon security.
(c) Coupon represents a yield to maturity.
(d) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(e) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on June 30, 2016.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2016 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3    

Fair

Value at
06/30/2016

 

Investments in Securities, at Value

  

Municipal Bonds & Notes

  

California

  $     0      $     371,205      $     0      $     371,205   

Illinois

    0        9,490        0        9,490   

Indiana

    0        5,135        0        5,135   

New Jersey

    0        988        0        988   

Short-Term Instruments

  

Short-Term Notes

    0        100        0        100   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $ 0      $ 386,918      $ 0      $ 386,918   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended June 30, 2016.

 

48   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Schedule of Investments PIMCO New York Municipal Income Fund

 

June 30, 2016 (Unaudited)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
INVESTMENTS IN SECURITIES 155.1%   
MUNICIPAL BONDS & NOTES 154.0%   
ILLINOIS 2.5%        

Chicago, Illinois General Obligation Bonds, Series 2007

  

5.500% due 01/01/2042

  $     885      $     903   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

      1,500          1,548   
       

 

 

 
          2,451   
       

 

 

 
NEW YORK 148.5%        

Dutchess County, New York Local Development Corp. Revenue Bonds, Series 2016

   

5.000% due 07/01/2033 (a)

      1,000          1,225   

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

   

5.250% due 02/15/2047

      3,000          3,389   

5.750% due 02/15/2047

      4,000          4,788   

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

   

5.750% due 04/01/2039

      4,500          5,017   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2012

   

5.000% due 11/15/2042

      2,000          2,372   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2013

   

5.000% due 11/15/2043

      1,000          1,186   

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

   

2.000% due 01/01/2049 ^

      433          54   

6.700% due 01/01/2049

      1,200          1,200   

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

   

5.125% due 06/01/2046

      1,230          1,212   

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

   

5.000% due 08/01/2031

      2,000          2,435   

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

   

5.000% due 02/15/2030

      3,500          3,950   

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

   

6.500% due 01/01/2046

      900          1,008   

7.000% due 03/01/2049

      3,200          3,712   

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

   

5.250% due 01/15/2039

      5,000          5,515   

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

   

4.750% due 06/15/2035 (d)

      5,000          5,175   

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

   

5.000% due 06/15/2040

      2,500          2,794   

New York Convention Center Development Corp. Revenue Bonds, Series 2015

   

5.000% due 11/15/2045

      2,500            3,058   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

New York Counties Tobacco Trust IV Revenue Bonds, Series 2005

   

5.000% due 06/01/2042

  $     2,200      $     2,200   

5.000% due 06/01/2045

      2,000          2,000   

New York Liberty Development Corp. Revenue Bonds, Series 2005

   

5.250% due 10/01/2035 (d)

      11,410            15,382   

New York Liberty Development Corp. Revenue Bonds, Series 2007

   

5.500% due 10/01/2037

      1,925          2,677   

New York Liberty Development Corp. Revenue Bonds, Series 2010

   

5.125% due 01/15/2044

      6,150          6,969   

6.375% due 07/15/2049

      1,500          1,699   

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.000% due 12/15/2041

      2,000          2,384   

5.750% due 11/15/2051

      6,000          7,171   

New York Liberty Development Corp. Revenue Bonds, Series 2014

   

5.000% due 11/15/2044

      1,900          2,205   

New York State Dormitory Authority Revenue Bonds, (AGC Insured), Series 2009

   

5.125% due 07/01/2039

      1,000          1,130   

New York State Dormitory Authority Revenue Bonds, Series 2008

   

4.500% due 07/01/2035

      2,500          2,639   

5.000% due 07/01/2038

      1,500          1,626   

New York State Dormitory Authority Revenue Bonds, Series 2009

   

5.000% due 03/15/2038

      1,000          1,107   

5.125% due 07/01/2039

      1,300          1,467   

5.500% due 03/01/2039

      1,800          2,006   

New York State Dormitory Authority Revenue Bonds, Series 2010

   

5.000% due 07/01/2035

      500          571   

5.500% due 07/01/2040

      1,250          1,454   

New York State Dormitory Authority Revenue Bonds, Series 2011

   

5.000% due 07/01/2031

      2,000          2,267   

5.500% due 07/01/2036

      1,000          1,190   

6.000% due 07/01/2040

      1,225          1,473   

New York State Dormitory Authority Revenue Bonds, Series 2012

   

5.000% due 07/01/2042

      1,350          1,590   

New York State Dormitory Authority Revenue Bonds, Series 2013

   

5.000% due 02/15/2029

      1,000          1,218   

New York State Thruway Authority Revenue Bonds, Series 2012

   

5.000% due 01/01/2037

      2,000          2,334   

5.000% due 01/01/2042

      3,645          4,237   

New York State Thruway Authority Revenue Bonds, Series 2016

   

4.000% due 01/01/2056

      1,000          1,097   

New York State Urban Development Corp. Revenue Bonds, Series 2009

   

5.000% due 03/15/2036 (d)

      1,800          1,991   

Onondaga County, New York Revenue Bonds, Series 2011

   

5.000% due 12/01/2036

      600          703   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Port Authority of New York & New Jersey Revenue Bonds, Series 2010

   

6.000% due 12/01/2036

  $     1,000      $     1,171   

Triborough Bridge & Tunnel Authority, New York Revenue Notes, Series 2009

   

5.250% due 11/15/2034 (d)

      3,000          3,311   

Troy Capital Resource Corp., New York Revenue Bonds, Series 2010

   

5.125% due 09/01/2040

      3,000          3,434   

Troy Industrial Development Authority, New York Revenue Bonds, Series 2002

   

4.625% due 09/01/2026

      5,860          6,699   

TSASC, Inc., New York Revenue Bonds, Series 2006

  

5.000% due 06/01/2026

      4,000          4,004   

5.000% due 06/01/2034

      3,000          2,982   

5.125% due 06/01/2042

      2,705          2,672   

Westchester County Healthcare Corp., New York Revenue Bonds, Series 2010

   

6.125% due 11/01/2037

      910          1,106   

Yonkers Economic Development Corp., New York Revenue Bonds, Series 2010

   

6.000% due 10/15/2030

      200          214   

Yonkers Industrial Development Agency, New York Revenue Bonds, Series 2001

   

6.000% due 06/01/2041

      400          450   
       

 

 

 
            146,920   
       

 

 

 
OHIO 3.0%        

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

   

6.500% due 06/01/2047

      2,875          2,950   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $133,493)

   

      152,321   
       

 

 

 
SHORT-TERM INSTRUMENTS 1.1%   
SHORT-TERM NOTES 1.1%   

Federal Home Loan Bank

  

0.281% due 07/01/2016 (b)(c)

      600          600   

0.294% due 07/06/2016 (b)(c)

      500          500   
       

 

 

 
          1,100   
       

 

 

 
Total Short-Term Instruments
(Cost $1,100)
          1,100   
       

 

 

 
       
Total Investments in Securities
(Cost $134,593)
            153,421   
       
Total Investments 155.1%
(Cost $134,593)
      $     153,421   
Preferred Shares (47.5)%     (47,000
Other Assets and Liabilities, net (7.6)%     (7,532
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     98,889   
       

 

 

 
 

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

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) When-issued security.
(b) Zero coupon security.
(c) Coupon represents a yield to maturity.
(d) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   49


Schedule of Investments PIMCO New York Municipal Income Fund (Cont.)

 

June 30, 2016 (Unaudited)

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2016 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2016
 

Investments in Securities, at Value

       

Municipal Bonds & Notes

       

Illinois

  $ 0      $ 2,451      $ 0      $ 2,451   

New York

    0        146,920        0        146,920   

Ohio

    0        2,950        0        2,950   

Short-Term Instruments

       

Short-Term Notes

    0        1,100        0        1,100   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     0      $     153,421      $     0      $     153,421   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended June 30, 2016.

 

50   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Schedule of Investments PIMCO New York Municipal Income Fund II

 

June 30, 2016 (Unaudited)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
INVESTMENTS IN SECURITIES 165.2%   
MUNICIPAL BONDS & NOTES 164.5%   
FLORIDA 0.9%   

Clearwater, Florida Water & Sewer Revenue Bonds, Series 2009

   

5.250% due 12/01/2039

  $   1,000   $          1,136   
       

 

 

 
ILLINOIS 1.6%   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

    2,100       2,166   
       

 

 

 
LOUISIANA 0.8%   

East Baton Rouge Sewerage Commission, Louisiana Revenue Bonds, Series 2009

   

5.250% due 02/01/2039

    1,000       1,115   
       

 

 

 
NEW YORK 159.3%   

Dutchess County, New York Local Development Corp. Revenue Bonds, Series 2015

   

5.000% due 07/01/2045

    3,000       3,619   

Dutchess County, New York Local Development Corp. Revenue Bonds, Series 2016

   

5.000% due 07/01/2033 (a)

    1,000       1,225   

Erie County, New York Industrial Development Agency Revenue Bonds, Series 2006

   

6.000% due 11/15/2036

    150       153   

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

   

5.750% due 02/15/2047

    9,000         10,772   

Long Island Power Authority, New York Revenue Bonds, Series 2014

   

5.000% due 09/01/2044

    3,500       4,213   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2009

   

5.000% due 11/15/2034

    2,000       2,260   

5.500% due 11/15/2039

    5,000       5,566   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2012

   

5.000% due 11/15/2030

    2,100       2,548   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2013

   

5.000% due 11/15/2043

    3,000       3,557   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2015

   

5.000% due 11/15/2036

    500       615   

Monroe County Industrial Development Corp., New York Revenue Bonds, (FHA Insured), Series 2010

   

5.500% due 08/15/2040

    3,500       4,097   

Monroe County Industrial Development Corp., New York Revenue Bonds, Series 2013

   

5.000% due 07/01/2043

    1,750       2,057   

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

   

2.000% due 01/01/2049 ^

    650       81   

6.700% due 01/01/2049

    1,800       1,800   

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

   

5.125% due 06/01/2046

    4,000       3,943   

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

   

5.000% due 08/01/2031

    2,000       2,435   

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

   

5.000% due 02/15/2030

    1,500       1,693   

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

   

6.500% due 01/01/2046

    1,500       1,680   

7.000% due 03/01/2049

    4,900       5,683   

New York City, New York Industrial Development Agency Revenue Bonds, (FGIC Insured), Series 2006

   

5.000% due 03/01/2031

    750       755   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

New York City, New York Industrial Development Agency Revenue Bonds, (NPFGC Insured), Series 2006

   

5.000% due 03/01/2036

  $   1,900   $          1,912   

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

   

5.250% due 01/15/2039

    5,000       5,515   

New York City, New York Transitional Finance Authority Future Tax Secured Revenue Bonds, Series 2012

   

5.000% due 05/01/2039

    2,000       2,367   

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

   

5.000% due 06/15/2039

    500       559   

5.250% due 06/15/2040

    1,000       1,126   

New York Convention Center Development Corp. Revenue Bonds, Series 2015

   

5.000% due 11/15/2045

    4,000       4,893   

New York Counties Tobacco Trust IV Revenue Bonds, Series 2005

   

5.000% due 06/01/2042

    3,000       3,000   

5.000% due 06/01/2045

    2,000       2,000   

New York Liberty Development Corp. Revenue Bonds, Series 2005

   

5.250% due 10/01/2035 (d)

    6,350       8,561   

New York Liberty Development Corp. Revenue Bonds, Series 2007

   

5.500% due 10/01/2037

    3,500       4,867   

New York Liberty Development Corp. Revenue Bonds, Series 2010

   

5.125% due 01/15/2044

    1,500       1,700   

5.625% due 07/15/2047

    1,400       1,618   

6.375% due 07/15/2049

    1,300       1,472   

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.000% due 12/15/2041

    3,000       3,576   

5.750% due 11/15/2051

    10,000       11,952   

New York Liberty Development Corp. Revenue Bonds, Series 2014

   

5.000% due 11/15/2044

    2,000       2,321   

New York State Dormitory Authority Revenue Bonds, (AMBAC Insured), Series 2005

   

5.500% due 05/15/2031

    7,490         10,515   

New York State Dormitory Authority Revenue Bonds, Series 2006

   

5.000% due 07/01/2035

    2,750       2,750   

New York State Dormitory Authority Revenue Bonds, Series 2007

   

5.625% due 07/01/2037

    1,000       1,049   

New York State Dormitory Authority Revenue Bonds, Series 2008

   

5.000% due 07/01/2036

    2,000       2,162   

5.000% due 07/01/2038

    2,100       2,277   

New York State Dormitory Authority Revenue Bonds, Series 2009

   

5.000% due 03/15/2038

    3,000       3,320   

5.500% due 05/01/2037

    600       679   

5.500% due 03/01/2039

    3,000       3,343   

New York State Dormitory Authority Revenue Bonds, Series 2010

   

5.500% due 07/01/2040

    1,000       1,163   

New York State Dormitory Authority Revenue Bonds, Series 2011

   

5.000% due 07/01/2031

    2,000       2,267   

5.500% due 07/01/2036

    1,500       1,785   

New York State Dormitory Authority Revenue Bonds, Series 2015

   

5.000% due 07/01/2045

    4,000       4,894   

New York State Environmental Facilities Corp. Revenue Bonds, Series 2009

   

5.125% due 06/15/2038

    5,000       5,595   

New York State Thruway Authority Revenue Bonds, Series 2012

   

5.000% due 01/01/2042

    3,800       4,417   

New York State Urban Development Corp. Revenue Bonds, Series 2009

   

5.000% due 03/15/2036 (d)

    6,000       6,638   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Niagara Tobacco Asset Securitization Corp., New York Revenue Bonds, Series 2014

   

5.250% due 05/15/2034

  $   500   $          581   

5.250% due 05/15/2040

    500       577   

Onondaga County, New York Revenue Bonds, Series 2011

   

5.000% due 12/01/2036

    1,000       1,171   

Port Authority of New York & New Jersey Revenue Bonds, Series 2010

   

6.000% due 12/01/2036

    1,400       1,639   

Tender Option Bond Trust Receipts/Certificates, New York Revenue Bonds, Series 2009

   

8.990% due 07/01/2039 (e)

    5,000       6,164   

Triborough Bridge & Tunnel Authority, New York Revenue Notes, Series 2009

   

5.250% due 11/15/2034 (d)

    5,000       5,519   

Troy Capital Resource Corp., New York Revenue Bonds, Series 2010

   

5.125% due 09/01/2040

    3,435       3,932   

TSASC, Inc., New York Revenue Bonds, Series 2006

  

5.000% due 06/01/2026

    7,000       7,006   

5.000% due 06/01/2034

    5,000       4,971   

5.125% due 06/01/2042

    4,000       3,952   

Ulster County, New York Industrial Development Agency Revenue Bonds, Series 2007

   

6.000% due 09/15/2037

    1,815       1,827   

Westchester County Healthcare Corp, New York Revenue Bonds, Series 2010

   

6.125% due 11/01/2037

    1,490       1,811   

Westchester County, New York Local Development Corp. Revenue Bonds, Series 2014

   

5.500% due 05/01/2042

    1,000       1,178   

Yonkers Economic Development Corp., New York Revenue Bonds, Series 2010

   

6.000% due 10/15/2030

    1,000       1,072   

Yonkers Industrial Development Agency, New York Revenue Bonds, Series 2001

   

6.000% due 06/01/2041

    600       675   
       

 

 

 
          211,120   
       

 

 

 
OHIO 1.1%   

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

   

6.500% due 06/01/2047

    1,435       1,473   
       

 

 

 
U.S. VIRGIN ISLANDS 0.8%   

Virgin Islands Public Finance Authority, U.S. Virgin Islands Revenue Bonds, Series 2009

   

6.000% due 10/01/2039

    1,000       1,117   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $191,323)

        218,127   
       

 

 

 
SHORT-TERM INSTRUMENTS 0.7%   
SHORT-TERM NOTES 0.7%   

Federal Home Loan Bank

  

0.294% due 07/06/2016 (b)(c)

    900       900   
       

 

 

 
Total Short-Term Instruments
(Cost $900)
        900   
       

 

 

 
       
Total Investments in Securities
(Cost $192,223)
        219,027   
       

Total Investments 165.2%
(Cost $192,223)

    $          219,027   

Preferred Shares (59.6)%

        (79,000
Other Assets and Liabilities, net (5.6)%       (7,450
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%   $            132,577   
       

 

 

 
 

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   51


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

 

June 30, 2016 (Unaudited)

 

 

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

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) When-issued security.
(b) Zero coupon security.
(c) Coupon represents a yield to maturity.
(d) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.
(e) Represents an investment in a tender option bond residual interest certificate purchased in a secondary market transaction. The interest rate shown bears an inverse relationship to the interest rate on a tender option bond floating rate certificate. The interest rate disclosed reflects the rate in effect on June 30, 2016.

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2016 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2016
 

Investments in Securities, at Value

  

   

Municipal Bonds & Notes

       

Florida

  $ 0      $ 1,136      $ 0      $ 1,136   

Illinois

    0        2,166        0        2,166   

Louisiana

    0        1,115        0        1,115   

New York

    0        211,120        0        211,120   

Ohio

    0        1,473        0        1,473   

U.S. Virgin Islands

    0        1,117        0        1,117   

Short-Term Instruments

       

Short-Term Notes

    0        900        0        900   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     0      $     219,027      $     0      $     219,027   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended June 30, 2016.

 

52   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Schedule of Investments PIMCO New York Municipal Income Fund III

 

June 30, 2016 (Unaudited)

 

       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 
INVESTMENTS IN SECURITIES 164.3%   
MUNICIPAL BONDS & NOTES 164.1%   
ILLINOIS 3.4%   

Chicago, Illinois General Obligation Bonds, Series 2015

  

5.250% due 01/01/2028

  $     1,900      $       1,960   
       

 

 

 
NEW YORK 156.2%   

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

   

6.375% due 07/15/2043

      1,000          1,160   

Dutchess County, New York Industrial Development Agency Revenue Bonds, Series 2007

   

5.250% due 01/01/2037

      695          693   

Dutchess County, New York Local Development Corp. Revenue Bonds, Series 2016

   

5.000% due 07/01/2033 (a)

      500          612   

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

   

5.750% due 02/15/2047

      4,000          4,788   

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

   

5.750% due 04/01/2039

      1,500          1,672   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2009

   

5.000% due 11/15/2034

      500          565   

Metropolitan Transportation Authority, New York Revenue Bonds, Series 2013

   

5.000% due 11/15/2042

      2,000          2,369   

5.000% due 11/15/2043

      4,000          4,743   

Monroe County Industrial Development Corp., New York Revenue Bonds, (FHA Insured), Series 2010

   

5.500% due 08/15/2040

      1,500          1,756   

Monroe County Industrial Development Corp., New York Revenue Bonds, Series 2013

   

5.000% due 07/01/2043

      1,750          2,057   

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

   

2.000% due 01/01/2049 ^

      135          17   

6.700% due 01/01/2049

      375          375   

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

   

5.000% due 08/01/2031

      2,590          3,153   

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

   

6.500% due 01/01/2046

      600          672   

7.000% due 03/01/2049

      2,200          2,552   

New York City, New York Transitional Finance Authority Future Tax Secured Revenue Bonds, Series 2013

    

5.000% due 11/01/2042

      2,000          2,419   

New York City, New York Trust for Cultural Resources Revenue Bonds, Series 2014

   

5.000% due 08/01/2043

      2,000          2,355   

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

   

4.750% due 06/15/2035 (d)

      5,000          5,175   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

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

   

5.000% due 06/15/2039

  $     1,500      $     1,677   

New York City, New York Water & Sewer System Revenue Bonds, Series 2012

   

5.000% due 06/15/2047

      2,500          2,983   

New York Convention Center Development Corp. Revenue Bonds, Series 2015

   

5.000% due 11/15/2045

      2,000          2,447   

New York Counties Tobacco Trust IV Revenue Bonds, Series 2005

   

5.000% due 06/01/2042

      1,270          1,270   

5.000% due 06/01/2045

      2,000          2,000   

New York Counties Tobacco Trust Revenue Bonds, Series 2001

   

5.750% due 06/01/2043

      2,000            2,027   

New York Liberty Development Corp. Revenue Bonds, Series 2007

   

5.500% due 10/01/2037

      2,400          3,337   

New York Liberty Development Corp. Revenue Bonds, Series 2010

   

5.125% due 01/15/2044

      2,000          2,266   

6.375% due 07/15/2049

      1,050          1,189   

New York Liberty Development Corp. Revenue Bonds, Series 2011

   

5.750% due 11/15/2051

      4,000          4,781   

New York Liberty Development Corp. Revenue Bonds, Series 2014

   

5.000% due 11/15/2044

      2,000          2,321   

New York State Dormitory Authority Revenue Bonds, Series 2009

   

5.000% due 03/15/2038

      1,000          1,107   

5.500% due 03/01/2039

      1,200          1,337   

New York State Dormitory Authority Revenue Bonds, Series 2010

   

5.500% due 07/01/2040

      500          582   

New York State Dormitory Authority Revenue Bonds, Series 2011

   

6.000% due 07/01/2040

      250          301   

New York State Dormitory Authority Revenue Bonds, Series 2012

   

5.000% due 05/15/2026

      1,000          1,209   

5.000% due 12/15/2027

      2,000          2,464   

New York State Dormitory Authority Revenue Bonds, Series 2013

   

5.000% due 02/15/2029

      750          913   

New York State Environmental Facilities Corp. Revenue Bonds, Series 2007

   

4.750% due 06/15/2032

      750          777   

New York State Thruway Authority Revenue Bonds, Series 2012

   

5.000% due 01/01/2042

      1,600          1,860   

New York State Urban Development Corp. Revenue Bonds, Series 2009

   

5.000% due 03/15/2036 (d)

      2,200          2,434   

Niagara Tobacco Asset Securitization Corp., New York Revenue Bonds, Series 2014

   

5.250% due 05/15/2034

      500          581   

5.250% due 05/15/2040

      500          577   
       

PRINCIPAL

AMOUNT

(000S)

       

MARKET

VALUE

(000S)

 

Onondaga County, New York Revenue Bonds, Series 2011

   

5.000% due 12/01/2036

  $     400      $     469   

Port Authority of New York & New Jersey Revenue Bonds, Series 2010

   

6.000% due 12/01/2036

      600          702   

Triborough Bridge & Tunnel Authority, New York Revenue Notes, Series 2009

   

5.250% due 11/15/2034 (d)

      2,000          2,207   

Troy Capital Resource Corp., New York Revenue Bonds, Series 2010

   

5.125% due 09/01/2040

      1,400          1,602   

TSASC, Inc., New York Revenue Bonds, Series 2006

  

5.000% due 06/01/2026

      4,000          4,004   

5.000% due 06/01/2034

      100          99   

5.125% due 06/01/2042

      1,000          988   

Westchester County Healthcare Corp, New York Revenue Bonds, Series 2010

   

6.125% due 11/01/2037

      600          729   

Yonkers Economic Development Corp., New York Revenue Bonds, Series 2010

   

6.000% due 10/15/2030

      100          107   
       

 

 

 
          88,480   
       

 

 

 
       
OHIO 3.5%        

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

   

6.500% due 06/01/2047

      1,950          2,001   
       

 

 

 
U.S. VIRGIN ISLANDS 1.0%        

Virgin Islands Public Finance Authority, U.S. Virgin Islands Revenue Bonds, Series 2009

   

6.000% due 10/01/2039

      500          559   
       

 

 

 

Total Municipal Bonds & Notes
(Cost $82,233)

    93,000   
       

 

 

 
SHORT-TERM INSTRUMENTS 0.2%   
SHORT-TERM NOTES 0.2%        

Federal Home Loan Bank

  

0.325% due 08/10/2016 (b)(c)

      100          100   
       

 

 

 

Total Short-Term Instruments

(Cost $100)

    100   
       

 

 

 
       

Total Investments in Securities

(Cost $82,333)

    93,100   
       

Total Investments 164.3%

(Cost $82,333)

  

  

  $     93,100   
Preferred Shares (56.5)%       (32,000
Other Assets and Liabilities, net (7.8)%     (4,446
       

 

 

 
Net Assets Applicable to Common Shareholders 100.0%       $     56,654   
       

 

 

 
 

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

 

* A zero balance may reflect actual amounts rounding to less than one thousand.
^ Security is in default.
(a) When-issued security.
(b) Zero coupon security.
(c) Coupon represents a yield to maturity.
(d) Represents an underlying municipal bond transferred to a tender option bond trust established in a tender option bond transaction in which the Fund sold, or caused the sale of, the underlying municipal bond and purchased the residual interest certificate. The security serves as collateral in a financing transaction. See Note 5(b) in the Notes to Financial Statements for more information.

 

See Accompanying Notes   SEMIANNUAL REPORT   JUNE 30, 2016   53


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

 

June 30, 2016 (Unaudited)

 

 

FAIR VALUE MEASUREMENTS

 

The following is a summary of the fair valuations according to the inputs used as of June 30, 2016 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory   Level 1     Level 2     Level 3     Fair
Value at
06/30/2016
 

Investments in Securities, at Value

  

Municipal Bonds & Notes

       

Illinois

  $ 0      $ 1,960      $ 0      $ 1,960   

New York

    0        88,480        0        88,480   

Ohio

    0        2,001        0        2,001   

U.S. Virgin Islands

    0        559        0        559   

Short-Term Instruments

  

Short-Term Notes

    0        100        0        100   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

  $     0      $     93,100      $     0      $     93,100   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

There were no significant transfers between Levels 1, 2, or 3 during the period ended June 30, 2016.

 

54   PIMCO CLOSED-END FUNDS        See Accompanying Notes   


Notes to Financial Statements

 

June 30, 2016 (Unaudited)

 

1. ORGANIZATION

 

PIMCO Municipal Income Fund, PIMCO Municipal Income Fund II, PIMCO Municipal Income Fund III, PIMCO California Municipal Income Fund, PIMCO California Municipal Income Fund II, PIMCO California Municipal Income Fund III, PIMCO New York Municipal Income Fund, PIMCO New York Municipal Income Fund II and PIMCO New York Municipal Income Fund III (each a “Fund” and collectively the “Funds”) are organized as closed-end management investment companies registered under the Investment Company Act of 1940, as amended, and the rules and regulations thereunder (the “Act”). Each Fund was organized as a Massachusetts business trust on the dates shown in the table below. Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) serves as the Funds’ investment manager.

 

Fund Name         Formation Date         

PIMCO Municipal Income Fund

      May 9, 2001           

PIMCO Municipal Income Fund II

      March 29, 2002           

PIMCO Municipal Income Fund III

      August 20, 2002           

PIMCO California Municipal Income Fund

      May 10, 2001           

PIMCO California Municipal Income Fund II

      March 29, 2002           

PIMCO California Municipal Income Fund III

      August 20, 2002           

PIMCO New York Municipal Income Fund

      May 10, 2001           

PIMCO New York Municipal Income Fund II

      March 29, 2002           

PIMCO New York Municipal Income Fund III

      August 20, 2002           

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Each Fund is treated as an investment company under the reporting requirements of U.S. GAAP. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

(a) Securities Transactions and Investment Income  Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled 15 days or more after the trade date. Realized gains (losses) from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as a Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on

the accrual basis from settlement date, with the exception of securities with a forward starting effective date, where interest income is recorded on the accrual basis from effective date. For convertible securities, premiums attributable to the conversion feature are not amortized.

 

Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable.

 

(b) Distributions — Common Shares  The Funds intend to declare distributions from net investment income to common shareholders monthly. Distributions of net realized capital gains, if any, are paid at least annually.

 

Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. 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 the 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 a Fund’s distributions during the reporting period, the Fund references its internal accounting records at the time the distribution is paid and generally bases its projections of the final tax character of those distributions on the tax characteristics of the distribution reflected in its internal accounting records at the time of such payment. If, based on such records, a particular distribution does not include capital gains or paid-in surplus or other capital sources, a Section 19 Notice generally would not be issued. It is important to note that differences exist between a Fund’s daily internal accounting records, the Fund’s financial statements presented in accordance with U.S. GAAP, and recordkeeping practices under income tax regulations. Examples of such differences may include, among others, the treatment of paydowns on mortgage-backed securities purchased at a discount and periodic payments under interest rate swap contracts. Notwithstanding a Fund’s estimates and projections, it is possible that a Fund may not issue a Section 19 Notice in situations

 

 

  SEMIANNUAL REPORT   JUNE 30, 2016   55


Notes to Financial Statements (Cont.)

 

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. Additionally, given differences in tax and U.S. GAAP treatment of certain distributions, 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 might report that the sources of these 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.

 

Distributions classified as a tax basis return of capital, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed (overdistributed) net investment income (loss), accumulated undistributed (overdistributed) net realized gains (losses) and/or paid in capital to more appropriately conform financial accounting to tax characterizations of distributions.

 

(c) New Accounting Pronouncements  In August 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2014-15 requiring management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the entity’s ability to continue as a going concern. The ASU is effective prospectively for annual periods ending after December 15, 2016, and interim periods thereafter. At this time, management is evaluating the implications of these changes on the financial statements.

 

In May 2015, the FASB issued ASU 2015-07 which removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The ASU also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. The ASU is effective for annual periods beginning after December 15, 2015 and interim periods within those annual periods. The ASU did not have an impact on the Funds’ financial statements.

 

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

 

(a) Investment Valuation Policies  The net asset value (“NAV”) of a Fund’s shares is determined by dividing the total value of portfolio investments and other assets attributable to that Fund, less any liabilities, by the total number of shares outstanding of that Fund.

 

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading

(“NYSE Close”). Information that becomes known to the Funds or their agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. Each Fund reserves the right to change the time as of which its respective NAV is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and Exchange Commission (the “SEC”).

 

For purposes of calculating NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Funds’ approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by PIMCO to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services or other pricing sources. With respect to any portion of a Fund’s assets that are invested in one or more open-end management investment companies (other than exchange-traded funds (“ETFs”)), a Fund’s NAV will be calculated based upon the NAVs of such investments.

 

Investments for which market quotes or market-based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in

 

 

56   PIMCO CLOSED-END FUNDS     


 

June 30, 2016 (Unaudited)

 

circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market-based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Valuation Oversight Committee of the Board (“Valuation Oversight Committee”), generally based on recommendations provided by the Manager. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

 

When a Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Funds’ policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Funds cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

 

(b) Fair Value Hierarchy  U.S. GAAP describes fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:

n   

Level 1 — Inputs using (unadjusted) quoted prices in active markets or exchanges for identical assets and liabilities.

 

n   

Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

n   

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

 

In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments of each respective Fund.

 

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period timing recognition is used for the transfers between Levels of a Fund’s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for each respective Fund.

 

(c) Valuation Techniques and the Fair Value Hierarchy

Level 1 and Level 2 trading assets and trading liabilities, at fair value  The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:

 

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services’ internal models use inputs that are

 

 

  SEMIANNUAL REPORT   JUNE 30, 2016   57


Notes to Financial Statements (Cont.)

 

observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

 

Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

 

Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost of such short-term debt instrument is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. Prior to July 31, 2015, short-term debt investments having a maturity of 60 days or less and repurchase agreements were generally valued at amortized cost which approximates fair value. Short-term debt instruments having a remaining maturity of 60 days or less are categorized as Level 2 of the fair value hierarchy.

 

The validity of the fair value is reviewed by the Manager on a periodic basis and may be amended in accordance with a Fund’s valuation procedures.

 

4. SECURITIES AND OTHER INVESTMENTS

 

(a) Investments in Securities

U.S. Government Agencies or Government-Sponsored Enterprises  Certain Funds may invest in securities of U.S. Government agencies or government-sponsored enterprises. U.S. Government securities are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”), are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); and others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities. Zero coupon securities do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities.

 

Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional

(i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government.

 

When-Issued Transactions  Certain Funds may purchase or sell securities on a when-issued basis. These transactions are made conditionally because a security, although authorized, has not yet been issued in the market. Transactions to purchase or sell securities on a when-issued basis involve a commitment by a Fund to purchase or sell these securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. A Fund may sell when-issued securities before they are delivered, which may result in a realized gain (loss).

 

5. BORROWINGS AND OTHER FINANCING TRANSACTIONS

 

The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by a Fund. The location of these instruments in each Fund’s financial statements is described below. For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing transactions, please see Note 6, Principal Risks.

 

(a) Repurchase Agreements  Certain Funds may engage in repurchase agreements. Under the terms of a typical repurchase agreement, a Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. The underlying securities for all repurchase agreements are held by a Fund’s custodian or designated subcustodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, if any, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund.

 

 

58   PIMCO CLOSED-END FUNDS     


 

June 30, 2016 (Unaudited)

 

 

(b) Tender Option Bond Transactions  Certain Funds may leverage their assets through the use of tender option bond transactions. In a tender option bond transaction (“TOB”), a tender option bond trust (“TOB Trust”) issues floating rate certificates (“TOB Floater”) and residual interest certificates (“TOB Residual”) and utilizes the proceeds of such issuance to purchase a fixed-rate municipal bond (“Fixed Rate Bond”) that either is owned or identified by a Fund. The TOB Floater is generally issued to third party investors (typically a money market fund) and the TOB Residual is generally issued to the Fund that sold or identified the Fixed Rate Bond. The TOB Trust divides the income stream provided by the Fixed Rate Bond to create two securities, the TOB Floater, which is a short-term security, and the TOB Residual, which is a longer-term security. The interest rates payable on the TOB Residual issued to a Fund bear an inverse relationship to the interest rate on the TOB Floater. The interest rate on the TOB Floater is reset by a remarketing process typically every 7 to 35 days. After income is paid on the TOB Floater at current rates, the residual income from the Fixed Rate Bond goes to the TOB Residual. Therefore, rising short-term rates result in lower income for the TOB Residual, and vice versa. In the case of a TOB Trust that utilizes the cash received from the issuance of the TOB Floater and TOB Residual (less transaction expenses) to purchase the Fixed Rate Bond from a Fund, the Fund may then invest the cash received in additional securities, generating leverage for the Fund. Other funds managed or advised by PIMCO (the “PIMCO-Managed Funds”) may also contribute municipal bonds to a TOB Trust into which a Fund has contributed Fixed Rate Bonds. If multiple PIMCO-Managed Funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residual will be shared among the funds ratably in proportion to their participation in the TOB Trust.

 

The TOB Residual may be more volatile and less liquid than other municipal bonds of comparable maturity. In most circumstances the TOB Residual holder bears substantially all of the underlying Fixed Rate Bond’s downside investment risk and also benefits from any appreciation in the value of the underlying Fixed Rate Bond. Investments in a TOB Residual typically will involve greater risk than investments in Fixed Rate Bonds.

 

The TOB Residual held by a Fund provides the Fund with the right to: (1) cause the holders of the TOB Floater to tender their notes at par, and (2) cause the sale of the Fixed-Rate Bond held by the TOB Trust, thereby collapsing the TOB Trust. TOB Trusts are generally supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that provides for the purchase of TOB Floaters that cannot be remarketed. The holders of the TOB Floaters have the right to tender their certificates in exchange for payment of par plus accrued interest on a periodic basis (typically weekly) or on the occurrence of certain mandatory tender events. The

tendered TOB Floaters are remarketed by a remarketing agent, which is typically an affiliated entity of the Liquidity Provider. If the TOB Floaters cannot be remarketed, the TOB Floaters are purchased by the TOB Trust either from the proceeds of a loan from the Liquidity Provider or from a liquidation of the Fixed Rate Bond.

 

The TOB Trust may also be collapsed without the consent of a Fund, as the TOB Residual holder, upon the occurrence of certain “tender option termination events” (or “TOTEs”) as defined in the TOB Trust agreements. Such termination events typically include the bankruptcy or default of the Fixed Rate Bond, a substantial downgrade in credit quality of the Fixed Rate Bond, or a judgment or ruling that interest on the Fixed Rate Bond is subject to federal income taxation. Upon the occurrence of a termination event, the TOB Trust would generally be liquidated in full with the proceeds typically applied first to any accrued fees owed to the trustee, remarketing agent and liquidity provider, and then to the holders of the TOB Floater up to par plus accrued interest owed on the TOB Floater and a portion of gain share, if any, with the balance paid out to the TOB Residual holder. In the case of a mandatory termination event (“MTE”), after the payment of fees, the TOB Floater holders would be paid before the TOB Residual holders (i.e., the Funds). In contrast, in the case of a TOTE, after payment of fees, the TOB Floater holders and the TOB Residual holders would be paid pro rata in proportion to the respective face values of their certificates.

 

Each Fund’s transfer of Fixed Rate Bonds to a TOB Trust is generally considered a secured borrowing for financial reporting purposes. The Funds may account for the transactions described above as secured borrowings by including all or a portion of the Fixed Rate Bonds transferred to the TOB Trust in their Schedules of Investments, and account for the TOB Floater as a liability under the caption “Payable for tender option bond floating rate certificates” in the Funds’ Statements of Assets and Liabilities. Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by each Fund on an accrual basis and is shown as interest on the Statements of Operations. Interest payable for the TOB Floater liability is shown as interest expense on the Statements of Operations.

 

The Funds may also purchase TOB Residuals in a secondary market transaction without transferring a fixed rate municipal bond into a TOB Trust. Such transactions are not accounted for as secured borrowings but rather as a security purchase with the TOB Residual being included in the Schedule of Investments.

 

In December 2013, regulators finalized rules implementing Section 619 (the “Volcker Rule”) and Section 941 (the “Risk Retention Rules”) of the Dodd-Frank Wall Street Reform and Consumer Protection Act. The implementation of the final rules is being phased in. Both the Volcker

 

 

  SEMIANNUAL REPORT   JUNE 30, 2016   59


Notes to Financial Statements (Cont.)

 

Rule and the Risk Retention Rules apply to tender option bond programs and, when effective, will operate to require that such programs be restructured. In particular these rules will preclude banking entities from (i) sponsoring or acquiring interests in the trusts used to hold a municipal bond in the creation of TOB Trusts; and (ii) continuing to service or maintain relationships with existing programs involving TOB Trusts to the same extent and in the same capacity as existing programs.

 

At this time, the full impact of these rules is not certain; however, in response to these rules, industry participants are continuing to explore various structuring alternatives for Non-Legacy and Legacy TOB Trusts. For example, under a new tender option bond structure, the Funds would hire service providers to assist the Funds with establishing, structuring and sponsoring a TOB Trust. Service providers to a TOB Trust, such as administrators, liquidity providers, trustees and remarketing agents would be acting at the direction of, and as agent of, the Funds as the TOB residual holders. This structure remains untested. It is possible that regulators could take positions that could limit the market for such newly structured TOB Trust transactions or the Funds’ ability to hold TOB Residuals. Because of the important role that tender option bond programs play in the municipal bond market, it is possible that implementation of these rules and any resulting impact may adversely impact the municipal bond market and the Funds. For example, as a result of the implementation of these rules, the municipal bond market may experience reduced demand or liquidity and increased financing costs. Under the new TOB Trust structure, the Funds will have certain additional duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, legal, regulatory and operational risks.

 

The SEC and various federal banking and housing agencies adopted Risk Retention Rules which are scheduled to take effect in December 2016. The Risk Retention Rules would require the sponsor to a TOB Trust to retain at least five percent of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect the Funds’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

 

The Funds are in the process of restructuring Legacy TOB Trusts in conformity with regulatory guidelines. However, there can be no assurances that the Funds can successfully enter into restructured TOB Trust transactions in order to refinance their existing TOB Residual holdings prior to the compliance date for the Volcker Rule, which may require that the Funds unwind existing TOB Trusts. Until all restructurings are completed, a Fund may, for a period of time, hold TOB Residuals in both Legacy TOB Trusts and non-bank sponsored restructured TOB Trusts. Under the new TOB Trust structure, the Liquidity Provider or remarketing agent will no longer purchase the tendered TOB Floaters, even in the event of failed remarketing. This

may increase the likelihood that a TOB Trust will need to be collapsed and liquidated in order to purchase the tendered TOB Floaters. The TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Floaters. Any loans made by the Liquidity Provider will be secured by the purchased TOB Floaters held by the TOB Trust and will be subject to an increased interest rate based on the number of days the loan is outstanding.

 

For the period ended June 30, 2016, the Funds’ average leverage outstanding from the use of TOB transactions and the daily weighted average interest rate, including fees, were as follows:

 

Fund Name        

Average
Leverage
Outstanding

(000s)

    Weighted
Average
Interest
Rate*
 

PIMCO Municipal Income Fund

    $ 12,201        1.19%   

PIMCO Municipal Income Fund II

        34,370        1.14%   

PIMCO Municipal Income Fund III

      26,100        1.20%   

PIMCO California Municipal Income Fund

      28,433        1.06%   

PIMCO California Municipal Income Fund II

      23,958        1.20%   

PIMCO California Municipal Income Fund III

      28,229        1.10%   

PIMCO New York Municipal Income Fund

      10,477        0.85%   

PIMCO New York Municipal Income Fund II

      8,186        1.21%   

PIMCO New York Municipal Income Fund III

      4,933        1.08%   

 

* Annualized

 

6. PRINCIPAL RISKS

 

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to such things as changes in the market (market risk) or failure or inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. For a more comprehensive list of potential risks the Funds may be subject to, please see the Important Information About the Funds.

 

Market Risks  A Fund’s investments in financial derivatives and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign currency, equity and commodity risks.

 

Interest rate risk is the risk that fixed income securities and other instruments held by a Fund will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Interest rate changes can be sudden and unpredictable, and a Fund may lose money if these changes are not anticipated by Fund management. A Fund may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended.

 

 

60   PIMCO CLOSED-END FUNDS     


 

June 30, 2016 (Unaudited)

 

 

Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates that incorporates a security’s yield, coupon, final maturity and call features, among other characteristics. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e. yield) movements. All other things remaining equal, for each one percentage point increase in interest rates, the value of a portfolio of fixed income investments would generally be expected to decline by one percent for every year of the portfolio’s average duration above zero. For example, the value of a portfolio of fixed income securities with an average duration of three years would generally be expected to decline by approximately 3% if interest rates rose by one percentage point. Convexity is an additional measure used to understand a security’s interest rate sensitivity. Convexity measures the rate of change of duration in response to changes in interest rates and may be positive or negative. Securities with negative convexity may experience greater losses during periods of rising interest rates, and accordingly Funds holding such securities may be subject to a greater risk of losses in periods of rising interest rates. A wide variety of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions). At present, the U.S. is experiencing historically low interest rates. This, combined with recent economic recovery, the Federal Reserve Board’s conclusion of its quantitative easing program, and recent increases in the interest rates for the first time since 2006, could potentially increase the probability of an upward interest rate environment in the near future. During periods of very low or negative interest rates, a Fund may be unable to maintain positive returns. Changing interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Fund performance to the extent a Fund is exposed to such interest rates. Rising interest rates may result in a decline in value of a Fund’s fixed-income investments and in periods of volatility. Further, while U.S. bond markets have steadily grown over the past three decades, dealer “market making” ability has remained relatively stagnant. As a result, dealer inventories of certain types of bonds and similar instruments, which provide a core indication of the ability of financial intermediaries to “make markets,” are at or near historic lows in relation to market size. Because market makers provide stability to a market through their intermediary services, the significant reduction in dealer inventories could potentially lead to decreased liquidity and increased volatility in the fixed income markets. Such issues may be exacerbated during periods of economic uncertainty. All of these factors, collectively and/or individually, could cause a Fund to lose value.

 

The market values of a Fund’s investments may decline due to general market conditions which are not specifically related to a particular

company or issuer, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit ratings downgrades may also negatively affect securities held by a Fund. Even when markets perform well, there is no assurance that the investments held by a Fund will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy on a national or global level.

 

Credit and Counterparty Risks  A Fund will be exposed to credit risk to parties with whom it trades and will also bear the risk of settlement default. A Fund seeks to minimize concentrations of credit risk by undertaking transactions with a large number of counterparties on recognized and reputable exchanges, where applicable. A Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings.

 

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. PIMCO, as Manager, seeks to minimize counterparty risks to a Fund in a number of ways. Prior to entering into transactions with a new counterparty, the PIMCO Counterparty Risk Committee conducts an extensive credit review of such counterparty and must approve the use of such counterparty. Furthermore, pursuant to the terms of the underlying contract, to the extent that unpaid amounts owed to a Fund exceed a predetermined threshold, such counterparty is required to advance collateral to a Fund in the form of cash or securities equal in value to the unpaid amount owed to the Fund. A Fund may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to a Fund subsequently decreases, the Fund would be required to return to the counterparty all or a portion of the collateral previously advanced to the Fund. PIMCO’s attempts to minimize counterparty risk may, however, be unsuccessful.

 

All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities

 

 

  SEMIANNUAL REPORT   JUNE 30, 2016   61


Notes to Financial Statements (Cont.)

 

have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.

 

To the extent a Fund has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap agreements, such limitation only applies to counterparties to over the counter swaps and does not apply to centrally cleared swaps where the counterparty is a central counterparty or derivatives clearing organization.

 

Master Netting Arrangements  The Funds may be subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty.

 

Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other forms of AAA rated paper or sovereign securities may be used. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty (cash). Cash collateral received is typically not held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.

 

Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase, and sale-buyback transactions between the Funds and select counterparties. Master Repo Agreements maintain provisions for, among other things, transaction initiation,

income payments, events of default, and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedule of Investments.

 

7. FEES AND EXPENSES

 

(a) Management Fee  Pursuant to the Investment Management Agreement with PIMCO (the “Agreement”), and subject to the supervision of the Board, PIMCO is responsible for providing to each Fund investment guidance and policy direction in connection with the management of the Fund, including oral and written research, analysis, advice, and statistical and economic data and information. In addition, pursuant to the Agreement and subject to the general supervision of the Board, PIMCO, at its expense, provides or causes to be furnished most other supervisory and administrative services the Funds require, including but not limited to, expenses of most third-party service providers (e.g., audit, custodial, legal, transfer agency, printing) and other expenses, such as those associated with insurance, proxy solicitations and mailings for shareholder meetings, New York Stock Exchange listing and related fees, tax services, valuation services and other services the Funds require for their daily operations.

 

Pursuant to the Agreement, PIMCO receives an annual fee, payable monthly, at the annual rates shown in the table below:

 

Fund Name         Annual
Rate
        

PIMCO Municipal Income Fund

      0.705% (1)         

PIMCO Municipal Income Fund II

      0.685% (1)         

PIMCO Municipal Income Fund III

      0.705% (1)         

PIMCO California Municipal Income Fund

      0.705% (1)         

PIMCO California Municipal Income Fund II

      0.705% (1)         

PIMCO California Municipal Income Fund III

      0.715% (1)         

PIMCO New York Municipal Income Fund

      0.770% (1)         

PIMCO New York Municipal Income Fund II

      0.735% (1)         

PIMCO New York Municipal Income Fund III

      0.860% (1)         

 

(1) 

Management fees calculated based on the Fund’s average daily net asset value (including daily net assets attributable to any preferred shares of the Fund that may be outstanding).

 

(b) Fund Expenses  Each Fund bears other expenses, which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation or expenses, including travel expenses of any of the Fund’s executive officers and employees, if any, who are not officers, directors, shareholders, members, partners or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees, if any, levied against the Fund; (iii) brokerage fees and commissions and other portfolio transaction expenses incurred by or for the Fund (including, without limitation, fees and expenses of outside legal counsel or third-party consultants retained in connection with reviewing, negotiating and structuring specialized loan and other investments

 

 

62   PIMCO CLOSED-END FUNDS     


 

June 30, 2016 (Unaudited)

 

made by the Fund, subject to specific or general authorization by the Fund’s Board); (iv) expenses of the Fund’s securities lending (if any), including any securities lending agent fees, as governed by a separate securities lending agreement; (v) costs, including interest expense, of borrowing money or engaging in other types of leverage financing, including, without limitation, through the use by the Fund of reverse repurchase agreements, tender option bonds, bank borrowings and credit facilities; (vi) costs, including dividend and/or interest expenses and other costs (including, without limitation, offering and related legal costs, fees to brokers, fees to auction agents, fees to transfer agents, fees to ratings agencies and fees to auditors associated with satisfying ratings agency requirements for preferred shares or other securities issued by the Fund and other related requirements in the Fund’s organizational documents) associated with the Fund’s issuance, offering, redemption and maintenance of preferred shares, commercial paper or other senior securities for the purpose of incurring leverage; (vii) fees and expenses of any underlying funds or other pooled investment vehicles in which the Fund invests; (viii) dividend and interest expenses on short positions taken by the Fund; (ix) fees and expenses, including travel expenses, and fees and expenses of legal counsel retained for their benefit, of Trustees who are not officers, employees, partners, shareholders or members of PIMCO or its subsidiaries or affiliates; (x) extraordinary expenses, including extraordinary legal expenses, that may arise, including expenses incurred in connection with litigation, proceedings, other claims, and the legal obligations of the Fund to indemnify its Trustees, officers, employees, shareholders, distributors, and agents with respect thereto; (xi) organizational and offering expenses of the Fund, including with respect to share offerings, such as rights offerings and shelf offerings, following the Fund’s initial offering, and expenses associated with tender offers and other share repurchases and redemptions; and (xii) expenses of the Fund which are capitalized in accordance with U.S. GAAP.

 

Each of the Trustees of the Funds who is not an “interested person” under Section 2(a)(19) of the Act, (the “Independent Trustees”) also serves as a trustee of a number of other closed-end funds for which PIMCO serves as investment manager (together with the Funds, the “PIMCO Closed-End Funds”), as well as PIMCO Managed Accounts Trust, an open-end investment company with multiple series for which PIMCO serves as investment adviser and administrator (“PMAT” and, together with the PIMCO Closed-End Funds, the “PIMCO-Managed Funds”). In addition, each of the Independent Trustees also serves as a trustee of certain investment companies (together, the “Allianz-Managed Funds”), for which Allianz Global Investors Fund Management (“AGIFM”), an affiliate of PIMCO that served as the investment manager of the PIMCO Managed Funds prior to the close of business on September 5, 2014, serves as investment adviser.

Each Independent Trustee currently receives annual compensation of $225,000 for his or her service on the Boards of the PIMCO-Managed Funds, payable quarterly. The Independent Chairman of the Boards receives an additional $75,000 per year, payable quarterly. The Audit Oversight Committee Chairman receives an additional $50,000 annually, payable quarterly. Trustees are also reimbursed for meeting-related expenses.

 

Each Trustee’s compensation for his or her service as a Trustee on the Boards of the PIMCO Managed Funds and other costs in connection with joint meetings of such Funds are allocated among the PIMCO-Managed Funds, as applicable, on the basis of fixed percentages between PMAT and the PIMCO Closed-End Funds. Trustee compensation and other costs will then be further allocated pro rata among the individual PIMCO-Managed Funds within each grouping based on each such PIMCO-Managed Fund’s relative net assets.

 

8. RELATED PARTY TRANSACTIONS

 

The Manager is a related party. Fees payable to this party are disclosed in Note 7 and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.

 

Certain Funds are permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended June 30, 2016, the Funds below engaged in purchases and sales of securities pursuant to Rule 17a-7 of the Act (amounts in thousands):

 

Fund Name         Purchases     Sales  

PIMCO Municipal Income Fund

    $ 5,214      $ 0   

PIMCO Municipal Income Fund II

        6,513          0   

PIMCO Municipal Income Fund III

      3,650        0   

 

 

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

 

9. GUARANTEES AND INDEMNIFICATIONS

 

Under each Fund’s organizational documents, each Trustee and officer is indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

 

 

  SEMIANNUAL REPORT   JUNE 30, 2016   63


Notes to Financial Statements (Cont.)

 

10. PURCHASES AND SALES OF SECURITIES

 

The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover involves correspondingly greater transaction costs to a

Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates). The transaction costs and tax effects associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights.

 

 

Purchases and sales of securities (excluding short-term investments) for the period ended June 30, 2016, as indicated below, were as follows (amounts in thousands):

 

          U S Government/Agency     All Other  
Fund Name         Purchases     Sales     Purchases     Sales  

PIMCO Municipal Income Fund

    $   0      $   0      $   14,939      $   29,789   

PIMCO Municipal Income Fund II

      0        0        478        41,885   

PIMCO Municipal Income Fund III

      0        0        8,268        10,289   

PIMCO California Municipal Income Fund

      0        0        14,883        4,438   

PIMCO California Municipal Income Fund II

      0        0        32,242        60,844   

PIMCO California Municipal Income Fund III

      0        0        12,052        9,572   

PIMCO New York Municipal Income Fund

      0        0        6,879        4,513   

PIMCO New York Municipal Income Fund II

      0        0        9,074        8,790   

PIMCO New York Municipal Income Fund III

      0        0        5,649        3,212   
         

 

 

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

 

11. AUCTION-RATE PREFERRED SHARES

 

Each series of Auction-Rate Preferred Shares (“ARPS”) outstanding of each Fund has a liquidation preference of $25,000 per share plus any accumulated, unpaid dividends. Dividends are accumulated daily at an annual rate that is typically re-set every seven days through auction procedures (or through default procedures in the event of failed auctions). Distributions of net realized capital gains, if any, are paid at least annually.

 

For the period ended June 30, 2016, the annualized dividend rates on the ARPS ranged from:

 

Fund Name        

Shares

Issued and

Outstanding

    High     Low     As of
June 30, 2016
 

PIMCO Municipal Income Fund

         

Series A

      1,520        0.754%        0.375%        0.754%   

Series B

      1,520        0.754%        0.375%        0.754%   

Series C

      1,520        0.754%        0.364%        0.754%   

Series D

      1,520        0.754%        0.364%        0.754%   

Series E

      1,520        0.738%        0.353%        0.738%   

PIMCO Municipal Income Fund II

         

Series A

      2,936        0.754%        0.375%        0.754%   

Series B

      2,936        0.754%        0.375%        0.754%   

Series C

      2,936        0.754%        0.364%        0.754%   

Series D

      2,936        0.754%        0.364%        0.754%   

Series E

      2,936        0.738%        0.353%        0.738%   

PIMCO Municipal Income Fund III

         

Series A

      1,512        0.754%        0.375%        0.754%   

Series B

      1,512        0.754%        0.375%        0.754%   

Series C

      1,512        0.754%        0.364%        0.754%   

Series D

      1,512        0.754%        0.364%        0.754%   

Series E

      1,512        0.738%        0.353%        0.738%   

PIMCO California Municipal Income Fund

         

Series A

      2,000        0.754%        0.375%        0.754%   

Series B

      2,000        0.754%        0.364%        0.754%   

Series C

      2,000        0.738%        0.353%        0.738%   

 

64   PIMCO CLOSED-END FUNDS     


 

June 30, 2016 (Unaudited)

 

Fund Name        

Shares

Issued and

Outstanding

    High     Low     As of
June 30, 2016
 

PIMCO California Municipal Income Fund II

         

Series A

      1,304        0.754%        0.375%        0.754%   

Series B

      1,304        0.754%        0.375%        0.754%   

Series C

      1,304        0.754%        0.364%        0.754%   

Series D

      1,304        0.754%        0.364%        0.754%   

Series E

      1,304        0.738%        0.353%        0.738%   

PIMCO California Municipal Income Fund III

         

Series A

      2,500        0.754%        0.375%        0.754%   

Series B

      2,500        0.754%        0.364%        0.754%   

PIMCO New York Municipal Income Fund

         

Series A

      1,880        0.754%        0.375%        0.754%   

PIMCO New York Municipal Income Fund II

         

Series A

      1,580        0.754%        0.364%        0.754%   

Series B

      1,580        0.738%        0.353%        0.738%   

PIMCO New York Municipal Income Fund III

         

Series A

      1,280        0.754%        0.375%        0.754%   

 

Each Fund is subject to certain limitations and restrictions while ARPS are outstanding. Failure to comply with these limitations and restrictions could preclude a Fund from declaring or paying any dividends or distributions to common shareholders or repurchasing common shares and/or could trigger the mandatory redemption of ARPS at their liquidation preference plus any accumulated, unpaid dividends.

 

Preferred shareholders of each Fund, who are entitled to one vote per share, generally vote together with the common shareholders of the Fund but vote separately as a class to elect two Trustees of the Fund and on certain matters adversely affecting the rights of the ARPS.

 

Since mid-February 2008, holders of ARPS issued by the Funds have been directly impacted by a lack of liquidity, which has similarly affected ARPS holders in many of the nation’s closed-end funds. Since then, regularly scheduled auctions for ARPS issued by the Funds have consistently “failed” because of insufficient demand (bids to buy shares) to meet the supply (shares offered for sale) at each auction. In a failed auction, ARPS holders cannot sell all, and may not be able to sell any, of their shares tendered for sale. While repeated auction failures have affected the liquidity for ARPS, they do not constitute a default or automatically alter the credit quality of the ARPS, and ARPS holders have continued to receive dividends at the defined “maximum rate,” as defined for the Funds in the table below.

 

Applicable %          Reference Rate          Maximum Rate  
            The higher of 30-day  “AA”
Composite Commercial
Paper Rates
               
110%*     x      Or     =        Maximum Rate for the Funds   
            The Taxable Equivalent of
the Short-Term Municipal
Obligation Rate. **
               

 

* 150% if all or part of the dividend consists of taxable income or capital gain.
** “Taxable Equivalent of the Short-Term Municipal Obligations Rate” means 90% of the quotient of (A) the per annum rate expressed on an interest equivalent basis
  equal to the S&P Municipal Bond 7-day High Grade Rate Index divided by (B) 1.00 minus the Marginal Tax Rate (defined as the maximum marginal regular Federal individual income tax rate applicable to an individual’s or a corporation’s ordinary income, whichever is greater).

 

The maximum rate is a function of short-term interest rates and is typically higher than the rate that would have otherwise been set through a successful auction. If the Funds’ ARPS auctions continue to fail and the “maximum rate” payable on the ARPS rises as a result of changes in short-term interest rates, returns for each Fund’s common shareholders could be adversely affected.

 

12. REGULATORY AND LITIGATION MATTERS

 

The Funds are not named as defendants in any material litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.

 

PIMCO has received a Wells Notice from the staff of the SEC that relates to the PIMCO Total Return Active Exchange-Traded Fund (“BOND”), a series of PIMCO ETF Trust. The notice indicates the staff’s preliminary determination to recommend that the SEC commence a civil action against PIMCO stemming from a non-public investigation relating to BOND. A Wells Notice is neither a formal allegation of wrongdoing nor a finding that any law was violated.

 

This matter principally pertains to the valuation of smaller sized positions in non-agency mortgage-backed securities purchased by BOND between its inception on February 29, 2012 and June 30, 2012, BOND’s performance disclosures for that period, and PIMCO’s compliance policies and procedures related to these matters.

 

The Wells process provides PIMCO with the opportunity to demonstrate to the SEC staff why it believes its conduct was appropriate, in keeping with industry standards, and that no action should be taken. PIMCO believes that this matter is unlikely to have a material adverse effect on any Fund or on PIMCO’s ability to provide investment management services to any Fund.

 

 

  SEMIANNUAL REPORT   JUNE 30, 2016   65


Notes to Financial Statements (Cont.)

 

The foregoing speaks only as of the date of this report.

 

13. FEDERAL INCOME TAX MATTERS

 

Each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.

 

The Funds may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

In accordance with U.S. GAAP, the Manager has reviewed the Funds’ tax positions for all open tax years. As of June 30, 2016, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.

 

Each Fund files U.S. tax returns. While the statute of limitations remains open to examine the Funds’ U.S. tax returns filed for the fiscal years from 2013-2015, no examinations are in progress or anticipated at this time. No Fund is aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

 

 

As of December 31, 2015, the Funds had accumulated capital losses expiring in the following years (amounts in thousands). The Funds will resume capital gain distributions in the future to the extent gains are realized in excess of accumulated capital losses.

 

           Expiration of Accumulated Capital Losses  
           12/31/2016      12/31/2017      12/31/2018      12/31/2019  

PIMCO Municipal Income Fund

     $ 891       $ 49,232       $   —         $   —     

PIMCO Municipal Income Fund II

       7,955           164,802         —           —     

PIMCO Municipal Income Fund III

         11,389         116,860         695         —     

PIMCO California Municipal Income Fund

       —           23,867         —           —     

PIMCO California Municipal Income Fund II

       18,401         157,995         —           —     

PIMCO California Municipal Income Fund III

       9,243         89,815         —           —     

PIMCO New York Municipal Income Fund

       3,099         16,947         —           —     

PIMCO New York Municipal Income Fund II

       2,962         34,379         —           —     

PIMCO New York Municipal Income Fund III

       3,264         26,936         —           —     

 

Under the Regulated Investment Company Modernization Act of 2010, a Fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under previous law.

 

As of December 31, 2015, the Funds had the following post-effective capital losses with no expiration (amounts in thousands):

 

           Short-Term      Long-Term  

PIMCO Municipal Income Fund

     $ 4,689       $ 221   

PIMCO Municipal Income Fund II

         12,226         —     

PIMCO Municipal Income Fund III

       7,978           2,198   

PIMCO California Municipal Income Fund

       9,743         —     

PIMCO California Municipal Income Fund II

       68         —     

PIMCO California Municipal Income Fund III

       6,921         107   

PIMCO New York Municipal Income Fund

       269         —     

PIMCO New York Municipal Income Fund II

       4,336         615   

PIMCO New York Municipal Income Fund III

       350         —     

 

66   PIMCO CLOSED-END FUNDS     


 

June 30, 2016 (Unaudited)

 

 

As of June 30, 2016, the aggregate cost and the net unrealized appreciation (depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):

 

Portfolio Name          Federal
Tax Cost
     Aggregate
Gross
Unrealized
Appreciation
     Aggregate
Gross
Unrealized
(Depreciation)
     Net
Unrealized
Appreciation
(Depreciation) (1)
 

PIMCO Municipal Income Fund

     $ 475,513       $ 82,588       $ (4,222    $ 78,366   

PIMCO Municipal Income Fund II

         1,029,446           156,076           (2,219        153,857   

PIMCO Municipal Income Fund III

       507,199         91,478         (2,258      89,220   

PIMCO California Municipal Income Fund

       398,081         61,156         (67      61,089   

PIMCO California Municipal Income Fund II

       412,508         75,882         (87      75,795   

PIMCO California Municipal Income Fund III

       337,301         49,676         (59      49,617   

PIMCO New York Municipal Income Fund

       134,593         19,245         (417      18,828   

PIMCO New York Municipal Income Fund II

       192,223         27,382         (578      26,804   

PIMCO New York Municipal Income Fund III

       82,333         10,908         (141      10,767   

 

(1) 

Primary differences, if any, between book and tax net unrealized appreciation (depreciation) are attributable to wash sale loss deferrals.

 

14. SUBSEQUENT EVENTS

 

In preparing these financial statements, the Funds’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

 

On July 1, 2016 the following distributions were declared to common shareholders payable August 1, 2016 to shareholders of record on July 11, 2016:

 

PIMCO Municipal Income Fund

    $   0.08125 per common share   

PIMCO Municipal Income Fund II

    $ 0.06500 per common share   

PIMCO Municipal Income Fund III

    $ 0.06230 per common share   

PIMCO California Municipal Income Fund

    $ 0.07700 per common share   

PIMCO California Municipal Income Fund II

    $ 0.04730 per common share   

PIMCO California Municipal Income Fund III

    $ 0.06000 per common share   

PIMCO New York Municipal Income Fund

    $ 0.05700 per common share   

PIMCO New York Municipal Income Fund II

    $ 0.06625 per common share   

PIMCO New York Municipal Income Fund III

    $ 0.05250 per common share   

 

On August 1, 2016, the following distributions were declared to common shareholders payable September 1, 2016, to shareholders of record on August 11, 2016:

 

PIMCO Municipal Income Fund

    $   0.08125 per common share   

PIMCO Municipal Income Fund II

    $ 0.06500 per common share   

PIMCO Municipal Income Fund III

    $ 0.06230 per common share   

PIMCO California Municipal Income Fund

    $ 0.07700 per common share   

PIMCO California Municipal Income Fund II

    $ 0.04730 per common share   

PIMCO California Municipal Income Fund III

    $ 0.06000 per common share   

PIMCO New York Municipal Income Fund

    $ 0.05700 per common share   

PIMCO New York Municipal Income Fund II

    $ 0.66250 per common share   

PIMCO New York Municipal Income Fund III

    $ 0.05250 per common share   

 

There were no other subsequent events identified that require recognition or disclosure.

 

  SEMIANNUAL REPORT   JUNE 30, 2016   67


Glossary: (abbreviations that may be used in the preceding statements)

 

(Unaudited)

 

Counterparty Abbreviations:

               
DEU  

Deutsche Bank Securities, Inc.

       

Currency Abbreviations:

               
USD (or $)  

United States Dollar

       

Municipal Bond or Agency Abbreviations:

               
ACA  

American Capital Access Holding Ltd.

  AMBAC  

American Municipal Bond Assurance Corp.

  FHA  

Federal Housing Administration

AGC  

Assured Guaranty Corp.

  BAM  

Build America Mutual Assurance Co.

  IBC  

Insured Bond Certificate

AGM  

Assured Guaranty Municipal

  FGIC  

Financial Guaranty Insurance Co.

  NPFGC  

National Public Finance Guarantee Corp.

 

68   PIMCO CLOSED-END FUNDS     


Changes to Portfolio Managers

 

(Unaudited)

 

Effective June 1, 2016, Joseph Deane, co-portfolio manager of each Fund, retired. David Hammer continues to act as portfolio manager of each Fund.

 

  SEMIANNUAL REPORT   JUNE 30, 2016   69


Approval of Investment Management Agreement

 

At an in-person meeting held on June 7, 2016 (the “Approval Meeting”), the Board of Trustees or Directors (for purposes of this disclosure, all Board members are hereinafter referred to as “Trustees”) of the Funds (the “Board”), including the Trustees who are not interested persons (as that term is defined in the Act) of the Funds or PIMCO (the “Independent Trustees”), formally considered and unanimously approved the continuation of the Investment Management Agreement between each Fund and PIMCO (the “Agreement”) for an additional one-year period commencing on September 5, 2016. Prior to the Approval Meeting, the Contracts Review Committee of the Board of each Fund (together, the “Committee”) held an in-person meeting on June 7, 2016 (the “Committee Meeting”) and formally considered and recommended to the Board the continuation of the Agreement for each Fund. Prior to the Approval Meeting, on May 4, 2016, the Chair of the Committee participated in a conference call with members of management and PIMCO personnel and counsel to the Independent Trustees (“Independent Counsel”) to discuss the process for the Board’s review of the Agreement and to consider certain information relating to the Funds, including, among other information, information relating to PIMCO’s profitability with respect to the Agreement, comparative fees and expenses and Fund performance. On April 29, 2016, PIMCO provided materials to the Committee for its consideration of the Agreement in response to a request from Independent Counsel (the “Manager Request Letter”), as well as other materials and information PIMCO believed was useful in evaluating the continuation of the Agreement.

 

On May 23, 2016, the Committee held a meeting via conference call (collectively with the May 4, 2016 conference call, Committee Meeting and the Approval Meeting, the “Contract Renewal Meetings”), at which the members of the Committee, all of whom are Independent Trustees, considered the materials and information provided by PIMCO bearing on the continuation of the Agreement. The Committee also received and reviewed a memorandum from counsel to the Funds regarding the Trustees’ responsibilities in evaluating the Agreement, which they discussed with Independent Counsel.

 

At the Committee Meeting and Approval Meeting, PIMCO presented certain additional supplemental information to the Independent Trustees regarding the Funds. Following the presentation at the Committee Meeting, the Independent Trustees met separately in executive session with Independent Counsel to review and discuss all relevant information, including, but not limited to, information provided in response to the Manager Request Letter and information presented and discussed at the prior Contract Renewal Meetings.

 

In connection with their deliberations regarding the proposed continuation of the Agreement for each Fund, the Trustees, including the Independent Trustees, considered such information and factors as

they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The Trustees also considered the nature, quality and extent of the various investment management, administrative and other services performed by PIMCO under the Agreement.

 

It was noted that, in connection with their Contract Renewal Meetings, the Trustees relied upon materials provided by PIMCO which included, among other items: (i) information provided by Broadridge Financial Solutions, Inc./Lipper Inc. (“Lipper”), an independent third party, on the total return investment performance (based on net asset value and common share market price) of the Funds for various time periods, the investment performance of a group of funds with investment classifications/objectives comparable to those of the Funds identified by Lipper (the “Lipper performance universe”) and, with respect to each Fund, the performance of an applicable benchmark index, if any, (ii) information provided by Lipper on each Fund’s management fees and other expenses under the Agreement and the management fees and other expenses of a smaller sample of comparable funds identified by Lipper (the “Lipper expense group”) as well as of a larger sample of comparable funds identified by Lipper (the “Lipper expense universe”), (iii) information regarding the market value performance of each Fund’s common shares and related share price premium and/or discount information, (iv) information regarding the investment performance and fees for other funds and accounts managed by PIMCO with similar investment strategies to those of the Funds, (v) the estimated profitability to PIMCO with respect to the Funds for the one-year period ended December 31, 2015, (vi) descriptions of various functions performed by PIMCO for the Funds, such as portfolio management, compliance monitoring and portfolio trading practices, (vii) information regarding PIMCO’s compliance policies applicable to the Funds, (viii) information regarding the Funds’ use of leverage, (ix) a comparison of each Fund’s annualized total expense ratio as a percentage of average net assets attributable to common shareholders (excluding interest expenses) under the unified fee arrangements (the “Unified Fee Arrangements”) for the three most recent fiscal periods, as disclosed in each Fund’s annual report, (x) summaries assigning a quadrant placement to each Fund based on an average of certain measures of performance and fees/expenses versus Lipper peer group medians (the “Fund Scoring Summaries”), (xi) fact cards for each Fund that included summary information regarding each Fund, (xiii) information regarding the yields of the Funds, (xiv) information regarding the risk-adjusted returns of the Funds, and (xv) information regarding the overall organization of PIMCO, including information regarding senior management, portfolio managers and other personnel providing investment management, administrative, compliance and other services to the Funds.

 

 

70   PIMCO CLOSED-END FUNDS     


(Unaudited)

 

 

The Trustees’ conclusions as to the continuation of the Agreement were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors. The Trustees also took into account that the Funds’ current fee and expense arrangements were closely reviewed in 2014 in connection with the proposed transition from Allianz Global Investors Fund Management LLC (“AGIFM”) to PIMCO as the Funds’ investment manager, and that the Agreement had been approved by the shareholders of each Fund at special shareholder meetings in 2014.

 

As part of their review, the Trustees examined PIMCO’s abilities to provide high-quality investment management and other services to the Funds. Among other information, the Trustees considered the investment philosophy and research and decision-making processes of PIMCO; the experience of key advisory personnel of PIMCO responsible for portfolio management of the Funds; the ability of PIMCO to attract and retain capable personnel; and the capabilities of the senior management and staff of PIMCO. In addition, the Trustees reviewed the quality of PIMCO’s services with respect to regulatory compliance and compliance with the investment policies of the Funds; the nature and quality of the supervisory and administrative services PIMCO is responsible for providing to the Funds; and conditions that might affect PIMCO’s ability to provide high-quality services to the Funds in the future under the Agreement, including PIMCO’s financial condition and operational stability. Based on the foregoing, the Trustees concluded that PIMCO’s investment process, research capabilities and philosophy were well suited to the Funds given their investment objectives and policies, and that PIMCO would be able to continue to meet any reasonably foreseeable obligations under the Agreement.

 

In assessing the reasonableness of each Fund’s fees under the Agreement, the Trustees considered, among other information, the Fund’s management fee and its total expense ratio as a percentage of average net assets attributable to common shares and as a percentage of average managed assets (including assets attributable to common shares and leverage outstanding combined), and the management fee and total expense ratios of the Lipper expense group and Lipper expense universe for each Fund. In each case, the total expense ratio information was provided both inclusive and exclusive of interest and borrowing expenses. Fund-specific comparative fees/expenses reviewed by the Trustees are discussed below. The Fund-specific fee and expense results discussed below were prepared and provided by Lipper and were not independently verified by the Trustees.

The Trustees specifically took note of how each Fund compared to its Lipper peers as to performance, management fee expense and total expense ratio. The Trustees noted that, while the Funds are not currently charged a separate administration fee (recognizing that their management fees include a component for administrative services under the Unified Fee Arrangements), it was not clear in all cases whether the peer funds in the Lipper categories were separately charged such a fee by their investment managers, so that the total expense ratio, as opposed to any individual expense component, represented the most relevant comparison. The Trustees also considered that the total expense ratio seems to provide a more apt comparison than management fee expense because the Funds’ Unified Fee Arrangements cover Operating Expenses (defined below) that are typically paid for or incurred by peer funds directly in addition to their management fees as discussed below. It was noted that the total expense ratio comparisons reflect the effect of expense waivers/reimbursements, if any. The Trustees considered total expense ratio comparisons both including and excluding interest and borrowing expenses. The Trustees noted that only leveraged closed-end funds were considered for inclusion in the Lipper expense groups and Lipper expense universes presented for comparison with the Funds.

 

The Trustees noted that, for each Fund, the contractual management fee rate for the Fund under its Unified Fee Arrangement was above the median contractual management fees of the other funds in its Lipper expense group, calculated both on average net assets and on average managed assets. However, in this regard, the Trustees took into account that each Fund’s Unified Fee Arrangement covers substantially all of the Fund’s other supervisory and administrative services required by the Fund that are typically paid for or incurred by closed-end funds directly in addition to a fund’s management fee (such fees and expenses, “Operating Expenses”) and therefore would tend to be higher than the contractual management fee rates of other funds in the Lipper peer groups, which generally do not have a unified fee structure and bear Operating Expenses directly and in addition to the management fee. The Trustees determined that a review of each Fund’s total expense ratio with the total expense ratios of peer funds would generally provide more meaningful comparisons than considering contractual management fee rates in isolation.

 

In this regard, the Trustees noted PIMCO’s view that the Unified Fee Arrangements have benefited and will continue to benefit common shareholders because they provide a management fee expense structure (including Operating Expenses) that is essentially fixed as a percentage of managed assets, making it more predictable under ordinary circumstances in comparison to fee and expense structures, such as the structure in place for the Funds prior to September 6, 2014,

 

 

  SEMIANNUAL REPORT   JUNE 30, 2016   71


Approval of Investment Management Agreement (Cont.)

 

under which the Funds’ Operating Expenses (including certain third-party fees and expenses) can vary significantly over time. The Trustees also considered that the Unified Fee Arrangements generally insulate the Funds and common shareholders from increases in applicable third-party and certain other expenses because PIMCO, rather than the Funds, would bear the risk of such increases (though the Trustees also noted that PIMCO would benefit from any reductions in such expenses).

 

The Trustees noted that each Fund’s annualized total expense ratio as a percentage of average net assets attributable to common shareholders (excluding interest expenses) under the Unified Fee Arrangements was generally similar or lower than the annualized total expense ratio (excluding interest expenses) under the fee arrangements with AGIFM prior to September 6, 2014.

 

Fund-specific comparative performance results for the Funds reviewed by the Trustees are discussed below. The comparative performance information was prepared and provided by Lipper and was not independently verified by the Trustees. Due to the passage of time, these performance results may differ from the performance results for more recent periods. With respect to all Funds, the Trustees reviewed, among other information, comparative information showing performance of the Funds against the Lipper performance universes for the one-year, three-year, five-year and ten-year periods (to the extent each such Fund had been in existence) ended December 31, 2015. The Trustees also reviewed the Fund Scoring Summaries prepared by PIMCO at the Independent Trustees’ request comparing each Fund’s fees/expenses and performance against those of its Lipper performance universe and Lipper expense universe by identifying a quadrant designation based on the average of six different measures of fees/expenses versus performance (one-year, three-year and five-year performance for the period ended December 31, 2015, in each case, versus a Fund’s management fees or total expense ratio). The Fund Scoring Summaries were based both on net assets and averaged managed assets and in each case both inclusive and exclusive of interest and borrowing expenses. In addition, the Trustees also reviewed fact cards for each Fund that included summary information regarding each Fund, including investment objective and strategy, portfolio managers, assets under management, outstanding leverage, net asset value and market performance comparisons, comparative fee and expense information, premium/discount information and information regarding PIMCO’s estimated profitability.

 

In addition, it was noted that the Trustees considered matters bearing on the Funds and their advisory arrangements at their meetings throughout the year, including a review of performance data at each regular meeting.

Among other information, the Trustees took into account the following regarding particular Funds.

 

PMF

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper performance universe, consisting of 75 funds for one-year performance, 73 funds for three-year performance, 70 funds for five-year performance and 67 funds for ten-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year, five-year and ten-year periods ended December 31, 2015.

 

The Trustees noted that the Lipper expense group for the Fund consisted of a total of 13 funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the group ranged from $122.5 million to $554.8 million, and that seven of the funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 75 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on average managed assets and average net assets was below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was at the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense universe.

 

PML

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper performance universe, consisting of 75 funds for one-year performance, 73 funds for three-year performance, 70 funds for five-year performance and 67 funds for ten-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year and five-year periods and fifth quintile performance for the ten-year period ended December 31, 2015.

 

 

72   PIMCO CLOSED-END FUNDS     


(Unaudited)

 

 

The Trustees noted that the Lipper expense group for the Fund consisted of a total of 11 funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the group ranged from $307.6 million to $606.1 million, and that six of the funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 75 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe.

 

PMX

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper performance universe, consisting of 75 funds for one-year performance, 73 funds for three-year performance, 70 funds for five-year performance and 67 funds for ten-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year and five-year periods and fifth quintile performance for the ten-year period ended December 31, 2015.

 

The Trustees noted that the Lipper expense group for the Fund consisted of a total of 12 funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the group ranged from $140.4 million to $606.1 million, and that nine of the funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 75 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe.

PCQ

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper performance universe, consisting of 19 funds for one-year, three-year and five-year performance and 18 funds for ten-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year, five-year and ten-year periods ended December 31, 2015.

 

The Trustees noted that the Lipper expense group for the Fund consisted of a total of six funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the group ranged from $101.6 million to $645.8 million, and that three of the funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 19 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe.

 

PCK

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper performance universe, consisting of 19 funds for one-year, three-year and five-year performance and 18 funds for ten-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year and five-year periods and fifth quintile performance for the ten-year period ended December 31, 2015.

 

The Trustees noted that the Lipper expense group for the Fund consisted of a total of six funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the group ranged from $101.6 million to $645.8 million, and that three of the funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 19 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total

 

 

  SEMIANNUAL REPORT   JUNE 30, 2016   73


Approval of Investment Management Agreement (Cont.)

 

expense ratio (excluding interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe.

 

PZC

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper performance universe, consisting of 19 funds for one-year, three-year and five-year performance and 18 funds for ten-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year and five-year periods and fifth quintile performance for the ten-year period ended December 31, 2015.

 

The Trustees noted that the Lipper expense group for the Fund consisted of a total of six funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the group ranged from $101.6 million to $645.8 million, and that three of the funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 19 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average managed assets was below the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe.

 

PNF

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper performance universe, consisting of 17 funds for one-year, three-year, five-year and ten-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year and five-year periods and fourth quintile performance for the ten-year period ended December 31, 2015.

 

The Trustees noted that the Lipper expense group for the Fund consisted of a total of five funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in

the group ranged from $56.4 million to $290.4 million, and that three of the funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 17 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on average managed assets was at the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on average net assets was below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on average managed assets was below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense universe.

 

PNI

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper performance universe, consisting of 17 funds for one-year, three-year, five-year and ten-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year and five-year periods and fifth quintile performance for the ten-year period ended December 31, 2015.

 

The Trustees noted that the Lipper expense group for the Fund consisted of a total of five funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the group ranged from $56.4 million to $290.4 million, and that three of the funds in the group were larger in asset size than the Fund. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 17 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was below the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe.

 

 

74   PIMCO CLOSED-END FUNDS     


(Unaudited)

 

 

PYN

 

With respect to the Fund’s common share total return performance (based on net asset value) relative to its respective Lipper performance universe, consisting of 17 funds for one-year, three-year, five-year and ten-year performance, the Trustees noted that the Fund had first quintile performance for the one-year, three-year and five-year periods and fifth quintile performance for the ten-year period ended December 31, 2015.

 

The Trustees noted that the Lipper expense group for the Fund consisted of a total of five funds, including the Fund. The Trustees also noted that the average net assets of the common shares of the funds in the group ranged from $53.7 million to $290.4 million. The Trustees noted that the Lipper expense universe for the Fund consisted of a total of 17 funds, including the Fund. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was at the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense group. The Trustees noted that the Fund’s total expense ratio (excluding interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (excluding interest and borrowing expenses) of the funds in its Lipper expense group and Lipper expense universe. The Trustees noted that the Fund’s total expense ratio (including interest and borrowing expenses) calculated on both average managed assets and average net assets was above the median total expense ratio (including interest and borrowing expenses) of the funds in its Lipper expense universe.

 

In addition to their review of Fund performance based on net asset value, the Trustees also considered the market value performance of each Fund’s common shares and related share price premium and/or discount information based on the materials provided by Lipper and PIMCO.

 

The Trustees also considered the management fees charged by PIMCO to other funds and accounts with similar strategies to those of the Funds, including any similar open-end funds. The Trustees noted that the management fees paid by the Funds are generally higher than the fees paid by any open-end funds offered for comparison, but were advised by PIMCO that there are additional portfolio management challenges in managing closed-end funds such as the Funds, such as those associated with less liquid holdings, the use of leverage, issues relating to trading on a national exchange and attempting to meet a regular dividend.

 

The Trustees also took into account that the Funds have Preferred Shares outstanding, which increases the amount of management fees

payable by the Funds under the Agreement (because each Fund’s fees are calculated on net assets including assets attributable to preferred shares outstanding). In this regard, the Trustees took into account that PIMCO has a financial incentive for the Funds to continue to use leverage, which may create a conflict of interest between PIMCO, on one hand, and the Funds’ common shareholders, on the other. The Trustees further noted that this incentive may be greater under the Unified Fee Arrangements because the contractual management fee rates under the Unified Fee Agreements are higher for each Fund than the Fund’s management fee would otherwise be if it did not cover the Fund’s Operating Expenses — i.e., in comparison to their non-unified management fee rates in place prior to September 6, 2014. Therefore, the total fees paid by each Fund to PIMCO under the Unified Fee Arrangements will vary more with increases and decreases in applicable leverage incurred by a Fund than under its prior non-unified fee arrangement, all things being equal. The Trustees considered information provided by PIMCO and related presentations as to why each Fund’s use of leverage continues to be appropriate and in the best interests of the respective Fund under current market conditions. The Trustees also considered PIMCO’s representation that it will use leverage for the Funds solely as it determines to be in the best interests of the Funds from an investment perspective and without regard to the level of compensation PIMCO receives.

 

The Trustees also considered estimated profitability analyses provided by PIMCO, which included, among other information, (i) the estimated profitability to PIMCO with respect to each Fund for the one-year period ended December 31, 2015, (ii) information comparing the estimated profitability to PIMCO with respect to all of the closed-end funds advised by PIMCO, including the Funds, for the one-year period ended December 31, 2015 for serving as the Funds’ investment manager to the profitability to PIMCO with respect to all of the closed-end funds advised by PIMCO, including the Funds, for the one-year period ended December 31, 2014 for serving as the sub-adviser from January 1, 2014 through the close of business on September 5, 2014, and for serving as the Funds’ investment manager from September 6, 2014 through December 31, 2014; (iii) PIMCO’s estimated pre- and post-distribution operating margin for each Fund, as well as PIMCO’s estimated pre- and post-distribution operating margin for all of the closed-end funds advised by PIMCO, including the Funds; and (iv) an overview of PIMCO’s estimated profitability with respect to all of the closed-end funds advised by PIMCO, including the Funds, compared to PIMCO’s profitability with respect to its other clients, including PIMCO-advised separate accounts, open-end funds and hedge funds and private equity funds. The Trustees also took into account explanations from PIMCO regarding how certain corporate and shared expenses were allocated among the Funds and other funds and accounts

 

 

  SEMIANNUAL REPORT   JUNE 30, 2016   75


Approval of Investment Management Agreement (Cont.)

 

(Unaudited)

 

managed by PIMCO for purposes of developing profitability estimates. Based on the profitability analyses provided by PIMCO, the Trustees determined, taking into account the various assumptions made, that such profitability did not appear to be excessive.

 

The Trustees also took into account the entrepreneurial and business risk PIMCO has undertaken as investment manager and sponsor of the Funds.

 

The Trustees also took into account that the Funds do not currently have any breakpoints in their management fees and, as closed-end investment companies, the Funds did not at the time of the review intend to raise additional assets, so the assets of the Funds were expected to grow (if at all) principally through the investment performance of each Fund and/or the increased use of leverage. The Trustees also considered that the Unified Fee Arrangements provide inherent economies of scale because a Fund maintains competitive fixed unified fees even if the particular Fund’s assets decline and/or operating costs rise. The Trustees further considered that, in contrast, breakpoints are a proxy for charging higher fees on lower asset levels and that when a fund’s assets decline, breakpoints may reverse, which causes expense ratios to increase. The Trustees also considered that, unlike the Funds’ Unified Fee Arrangements, funds with “pass through” administrative fee structures may experience increased expense ratios when fixed dollar fees are charged against declining fund assets. The Trustees also considered that the Unified Fee Arrangements protect shareholders from a rise in operating costs that may result from, including, among other things, PIMCO’s investments in various business enhancements and infrastructure. The Trustees noted that PIMCO has made extensive investments in these areas.

 

Additionally, the Trustees considered so-called “fall-out benefits” to PIMCO, such as reputational value derived from serving as investment manager to the Funds and research, statistical and quotation services PIMCO may receive from broker-dealers executing the Funds’ portfolio transactions on an agency basis.

 

After reviewing these and other factors described herein, the Trustees concluded, with respect to each Fund, within the context of their overall conclusions regarding the Agreement and based on the information provided and related representations made by management, that they were satisfied with PIMCO’s responses and efforts relating to the investment performance of the Funds. The Trustees also concluded that the fees payable under the Agreement represent reasonable compensation in light of the nature, extent and quality of services provided by PIMCO. Based on their evaluation of factors that they deemed to be material, including those factors described above, the Trustees, including the Independent Trustees,

unanimously concluded that the continuation of the Agreement was in the interests of each Fund and its shareholders, and should be approved.

 

 

76   PIMCO CLOSED-END FUNDS     


General Information

 

Investment Manager

Pacific Investment Management Company LLC

1633 Broadway

New York, NY 10019

 

Custodian

State Street Bank and Trust Company

801 Pennsylvania Avenue

Kansas City, MO 64105

 

Transfer Agent, Dividend Paying Agent and Registrar

American Stock Transfer & Trust Company, LLC

6201 15th Avenue

Brooklyn, NY 11219

 

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1100 Walnut Street, Suite 1300

Kansas City, MO 64106

 

This report is submitted for the general information of the shareholders of PIMCO Municipal Income Fund, PIMCO Municipal Income Fund II, PIMCO Municipal Income Fund III, PIMCO California Municipal Income Fund, PIMCO California Municipal Income Fund II, PIMCO California Municipal Income Fund III, PIMCO New York Municipal Income Fund, PIMCO New York Municipal Income Fund II, and PIMCO New York Municipal Income Fund III.


LOGO

 

CEF4012SAR_063016


Item 2. Code of Ethics.

The information required by this Item 2 is only required in an annual report on this Form N-CSR.

 

Item 3. Audit Committee Financial Expert.

The information required by this Item 3 is only required in an annual report on this Form N-CSR.

 

Item 4. Principal Accountant Fees and Services.

The information required by this Item 4 is only required in an annual report on this Form N-CSR.

 

Item 5. Audit Committee of Listed Registrants.

The information required by this Item 5 is only required in an annual report on this Form N-CSR.

 

Item 6. Schedule of Investments.

The Schedule of Investments is included as part of the reports to shareholders under Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

The information required by this Item 7 is only required in an annual report on this Form N-CSR.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Effective June 1, 2016, Joseph Deane is no longer a portfolio manager of the Fund.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

None.

 

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.

 

Item 11. Controls and Procedures.

 

  (a) The principal executive officer and principal financial & accounting officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) provide reasonable assurances that material information relating to the Registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.

 

  (b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12. Exhibits.

 

  (a)(1) Exhibit 99.CODE—Code of Ethics is not applicable for semiannual reports.

 

  (a)(2) Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

 

  (b) Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.


Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

   PIMCO Municipal Income Fund
   By:   

/s/    PETER G. STRELOW

      Peter G. Strelow
      President (Principal Executive Officer)
   Date:    August 26, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   By:   

/s/    PETER G. STRELOW

      Peter G. Strelow
      President (Principal Executive Officer)
   Date:    August 26, 2016
   By:   

/s/    WILLIAM G. GALIPEAU

      William G. Galipeau
      Treasurer (Principal Financial & Accounting Officer)
   Date:    August 26, 2016