Certified Semi-annual Shareholder Report for Management Investment Companies (n-csrs)

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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: 811-10381

PIMCO New York Municipal Income Fund

(Exact name of registrant as specified in charter)

1633 Broadway, New York, NY 10019

(Address of principal executive offices)

Bijal Y. Parikh

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, 2022

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Table of Contents
Item 1.

Reports to Shareholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1).


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LOGO

 

PIMCO CLOSED-END FUNDS

Semiannual Report

 

June 30, 2022

 

PIMCO Municipal Income Fund | PMF | NYSE

 

PIMCO Municipal Income Fund II | PML | NYSE

 

PIMCO Municipal Income Fund III | PMX | NYSE

 

PIMCO California Municipal Income Fund | PCQ | NYSE

 

PIMCO California Municipal Income Fund II | PCK | NYSE

 

PIMCO California Municipal Income Fund III | PZC | NYSE

 

PIMCO New York Municipal Income Fund | PNF | NYSE

 

PIMCO New York Municipal Income Fund II | PNI | NYSE

 

PIMCO New York Municipal Income Fund III | PYN | NYSE

 


Table of Contents

Table of Contents

 

            Page  
     

Letter from the Chair of the Board & President

        2  

Important Information About the Funds

        4  

Financial Highlights

        18  

Statements of Assets and Liabilities

        24  

Statements of Operations

        26  

Statements of Changes in Net Assets

        28  

Statements of Cash Flows

        31  

Notes to Financial Statements

        70  

Glossary

        89  

Distribution Information

        90  

Changes to Boards of Trustees

        92  

Approval of Investment Management Agreement

        93  
     
Fund    Fund
Summary
     Schedule of
Investments
 
     

PIMCO Municipal Income Fund

     8        33  

PIMCO Municipal Income Fund II

     9        38  

PIMCO Municipal Income Fund III

     10        44  

PIMCO California Municipal Income Fund

     11        49  

PIMCO California Municipal Income Fund II

     12        53  

PIMCO California Municipal Income Fund III

     13        57  

PIMCO New York Municipal Income Fund

     14        61  

PIMCO New York Municipal Income Fund II

     15        64  

PIMCO New York Municipal Income Fund III

     16        67  


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Letter from the Chair of the Board & President

 

Dear Shareholder,

 

We hope that you and your family are remaining safe and healthy during these challenging times. We continue to work tirelessly to navigate markets and manage the assets that you have entrusted with us. Following this letter is the PIMCO Closed-End Funds Semiannual Report, which covers the six-month reporting period ended June 30, 2022. On the subsequent pages, you will find specific details regarding investment results and a discussion of the factors that most affected performance during the reporting period.

 

For the six-month reporting period ended June 30, 2022

 

The global economy continued to be affected by the COVID-19 pandemic (“COVID-19”) and its variants. Looking back, fourth quarter 2021 U.S. annualized gross domestic product (“GDP”) grew 6.9%. The economy then experienced a setback, as first quarter 2022 GDP growth was -1.6%. Finally, the Commerce Department’s initial estimate for second quarter 2022 GDP growth — released after the reporting period ended — was -0.9%.

 

In the U.S., the Federal Reserve Board (the “Fed”) took several steps to tighten monetary policy to combat elevated inflation. The Fed reduced the monthly pace of its net asset purchases of Treasury securities and agency mortgage-backed securities in November 2021 and again in December. The Fed ended its monthly asset purchases in mid-March 2022. The Fed then raised the federal funds rate 0.25% to a range between 0.25% and 0.50% in March 2022, its first rate hike since 2018. The central bank then raised rates 0.50% in its May 2022 meeting and 0.75% in its June meeting. Finally, on July 27, 2022 — after the reporting period ended — the Fed raised rates 0.75%, to a range between 2.25% and 2.50%.

 

Economies outside the U.S. also continued to be impacted by the pandemic. The war in Ukraine and its repercussions also led to increased uncertainties around the world. In its April 2022 World Economic Outlook Update, the International Monetary Fund (“IMF”) said it expects U.S. gross domestic product (“GDP”) growth to be 3.7% in 2022, compared to 5.7% in 2021. Elsewhere, the IMF expects 2022 GDP to grow 2.8% in the eurozone (from 5.3% in 2021), 3.7% in the U.K. (from 7.4% in 2021) and 2.4% in Japan (from 1.6% in 2021).

 

Several other central banks began tightening monetary policy during the period. In December 2021, the Bank of England (the “BoE”) surprised the market and raised rates for the first time since COVID-19 began. The BoE again raised rates at its meetings in February, March, May and June 2022. The European Central Bank (the “ECB”) indicated that it intended to raise rates at its September 2022 meeting. Elsewhere, the Bank of Japan (the “BoJ”) maintained its loose monetary policy and appears likely to remain accommodative in the near future given the headwinds facing its economy.

 

During the reporting period, short- and long-term U.S. Treasury yields moved sharply higher. The yield on the benchmark 10-year U.S. Treasury note was 2.98% on June 30, 2022, versus 1.52% on December 31, 2021. The Bloomberg Global Treasury Index (USD Hedged), which tracks fixed-rate, local currency government debt of investment grade countries, including developed and emerging markets, returned -8.07%. Meanwhile, the Bloomberg Global Aggregate Credit Index (USD Hedged), a widely used index of global investment grade credit bonds, returned -12.83%. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, were also weak. The ICE BofAML Developed Markets High Yield Constrained Index (USD Hedged), a widely used index of below-investment-grade bonds, returned -13.85%, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global (USD Hedged), returned -18.83%. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned -14.53%.

 

The municipal (or “muni”) market experienced periods of volatility and generated a negative return. All told, the Bloomberg Municipal Bond Index (USD Unhedged) returned -8.98% during the six months ended June 30, 2022. The muni market was negatively impacted by sharply rising interest rates, along with fund outflows, as the current outflow cycle is now the worst on record.

 

       
2   PIMCO CLOSED-END FUNDS            


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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 you financial advisor or call the Funds’ shareholder servicing agent at (844) 33-PIMCO. We also invite you to visit our website at pimco.com to learn more about our views.

 

Sincerely,

 

LOGO   LOGO
LOGO   LOGO
Deborah A. DeCotis   Eric D. Johnson
Chair of the Board of Trustees   President

 

Past performance is no guarantee of future results. Unless otherwise noted, index returns reflect the reinvestment of income distributions and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an unmanaged index.

 

         SEMIANNUAL REPORT     |     JUNE 30, 2022     3
    


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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 may trend upward, rising rates would negatively impact the performance of most bond funds, and fixed-income securities and other instruments held by a Fund are likely to decrease in value. A wide variety of factors can cause interest rates or yields of U.S. Treasury securities (or yields of other types of bonds) to rise (e.g., central bank monetary policies, inflation rates, general economic conditions). In addition, changes in interest rates can be sudden and unpredictable, and there is no guarantee that Fund management will anticipate such movement accurately. A Fund may lose money as a result of movement in interest rates.

 

As of the date of this report, interest rates in the United States and many parts of the world, including certain European countries, are ascending from historically low levels. Thus, the Funds currently face a heightened level of risk associated with rising interest rates and/or bond yields. This could be driven by a variety of factors, including but not limited to central bank monetary policies, changing inflation or real growth rates, general economic conditions, increasing bond issuances or reduced market demand for low yielding investments. Further, while bond markets have steadily grown over the past three decades, dealer inventories of corporate bonds are near historic lows in relation to market size. As a result, there has been a significant reduction in the ability of dealers to “make markets.”

 

Bond funds and individual bonds with a longer duration (a measure used to determine 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. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets or negatively impact a Fund’s performance or cause a Fund to incur losses.

 

Classifications of the Funds’ portfolio holdings in this report are made according to financial reporting standards. The classification of a particular portfolio holding as shown in the Allocation Breakdown and Schedule of Investments and other sections of this report may differ from the classification used for the Funds’ compliance calculations, including those used in the Funds’ prospectus, investment objectives, regulatory, and other investment limitations and policies, which may be based on different asset class, sector or geographical classifications. Each Fund is separately monitored for compliance with respect to prospectus and regulatory requirements.

The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure.

 

Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Funds’ performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds’ service providers and disrupt the Funds’ operations.

 

The United States’ enforcement of restrictions on U.S. investments in certain issuers and tariffs on goods from other countries, each with a focus on China, has contributed to international trade tensions and may impact portfolio securities.

 

The United Kingdom’s withdrawal from the European Union may impact Fund returns. The withdrawal may cause substantial volatility in foreign exchange markets, lead to weakness in the exchange rate of the British pound, result in a sustained period of market uncertainty, and destabilize some or all of the other European Union member countries and/or the Eurozone.

 

The Funds may invest in certain instruments that rely in some fashion upon the London Interbank Offered Rate (“LIBOR”). LIBOR is an average interest rate, determined by the ICE Benchmark Administration, that banks charge one another for the use of short-term money. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has announced plans to ultimately phase out the use of LIBOR. The transition may result in a reduction in the value of certain instruments held by a Fund or a reduction in the effectiveness of related Fund transactions such as hedges. There remains uncertainty regarding future utilization of LIBOR and the nature of any replacement rate (e.g., the Secured Overnight Financing Rate, which is intended to replace U.S. dollar LIBOR and measures the cost of overnight borrowings through repurchase agreement transactions collateralized with U.S. Treasury securities). Any potential effects of the transition away from LIBOR on the Fund or on certain instruments in which the Fund invests can be difficult to ascertain, and they may vary depending on a variety of factors. The transition may also result in a reduction in the value of certain instruments held by a Fund or a reduction in the effectiveness of related Fund transactions such as hedges. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to a Fund.

 

 

       
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Investing in the municipal bond market involves the risks of investing in debt securities generally and certain other risks. The amount of public information available about the municipal bonds in which a Fund may invest is generally less than that for corporate equities or bonds, and the investment performance of a Fund’s investment in municipal bonds may therefore be more dependent on the analytical abilities of PIMCO than its investments in taxable bonds. 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, by litigation, legislation or political events, or by the bankruptcy of the issuer. Issuers of municipal securities also might seek protection under the bankruptcy laws. In the event of bankruptcy of such an issuer, a Fund 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.

 

A fund that has substantial exposures to 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 advanced 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 has substantial exposures to 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 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 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 investment management companies, such as the Funds, frequently trade at a discount from their net asset value (“NAV”) and may trade at a price that is less than the initial offering price and/or the NAV of such shares. Further, if a Fund’s shares trade at a price that is more than the initial offering price and/or the NAV 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 NAV thereafter.

 

The Funds may be subject to various risks as described in each Fund’s prospectus and in the Principal and Other Risks in the Notes to Financial Statements.

 

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. Historical NAV performance for a Fund may have been positively impacted by fee waivers or expense limitations in place during some or all of the periods shown, if applicable. Future performance (including total return or yield) and distributions may be negatively impacted by the expiration or reduction of any such fee waivers or expense limitations.

 

The dividend rate that a Fund pays on its common shares may vary as portfolio and market conditions change, and will depend on a number of factors, including without limit the amount of a Fund’s undistributed

 

 

         SEMIANNUAL REPORT     |     JUNE 30, 2022     5
    


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Important Information About the Funds   (Cont.)  

 

net investment income and net short- and long-term capital gains, as well as the costs of any leverage obtained by a Fund. As portfolio and market conditions change, the rate of distributions on the common shares and a Fund’s dividend policy could change. There can be no assurance that a change in market conditions or other factors will not result in a change in a Fund distribution rate or that the rate will be sustainable in the future.

 

The following table discloses the inception date and diversification status of each Fund:

 

Fund Name         Inception
Date
    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     Diversified

PIMCO New York Municipal Income Fund III

      10/31/02     Non-diversified

 

An investment in a Fund is not a bank deposit 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 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 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 (including this report) from or on behalf of a Fund creates a contract between or among any shareholders 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 its most recent prospectus 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 Advisers Act of 1940, as amended. 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 30th, are available without charge, upon request, by calling the Funds at (844) 33-PIMCO, on the Funds’ website at www.pimco.com, and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.

 

The Funds file portfolio holdings information with the SEC on Form N-PORT within 60 days of the end of each fiscal quarter. The Funds’ complete schedules of securities holdings as of the end of each fiscal quarter will be made available to the public on the SEC’s website at www.sec.gov and on PIMCO’s website at www.pimco.com, and will be made available, upon request, by calling PIMCO at (844) 33-PIMCO.

 

SEC rules allow shareholder reports to be delivered to investors by providing access to such reports online free of charge and by mailing a notice that the report is electronically available. Investors may elect to receive all reports in paper free of charge by contacting their financial intermediary or, if invested directly with a Fund, investors can inform the Fund by calling (844) 33-PIMCO. Any election to receive reports in paper will apply to all funds held with the fund complex if invested directly with a Fund or to all funds held in the investor’s account if invested through a financial intermediary, such as a broker-dealer or bank.

 

In April 2020, the SEC adopted amended rules modifying the registration, communications, and offering processes for registered closed-end funds and interval funds. Among other things, the amendments: (1) permit qualifying closed-end funds to use a short-form registration statement to offer securities in eligible transactions and certain funds to qualify as Well Known Seasoned Issuers; (2) permit interval funds to pay registration fees based on net issuance of shares in a manner similar to mutual funds; (3) require closed-end funds and interval funds to include additional disclosures in their annual reports; and (4) require certain information to be filed in interactive data format. The new rules have phased compliance dates, with some requirements having already taken effect and others requiring compliance as late as February 1, 2023.

 

 

       
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In October 2020, the SEC adopted a rule related to the use of derivatives, short sales, reverse repurchase agreements and certain other transactions by registered investment companies that rescinds and withdraws the guidance of the SEC and its staff regarding asset segregation and cover transactions that was applicable to the Funds as of the date of this report. Subject to certain exceptions, the rule requires funds that trade derivatives and other transactions that create future payment or delivery obligations to comply with a value-at-risk leverage limit and certain derivatives risk management program and reporting requirements. These requirements may limit the ability of the Funds to use derivatives and reverse repurchase agreements and similar financing transactions as part of their investment strategies and may increase the cost of the Funds’ investments and cost of doing business, which could adversely affect investors. The rule went into effect on February 19, 2021. The compliance date for the new rule and related recordkeeping requirements is August 19, 2022.

 

In October 2020, the SEC adopted a rule regarding the ability of a fund to invest in other funds. The rule allows a fund to acquire shares of another fund in excess of certain limitations currently imposed by the Investment Company Act of 1940 (the “Act”) without obtaining individual exemptive relief from the SEC, subject to certain conditions. The rule also includes the rescission of certain exemptive relief from the SEC and guidance from the SEC staff for funds to invest in other funds. The effective date for the rule was January 19, 2021, and the compliance date for the rule was January 19, 2022.

 

In December 2020, the SEC adopted a rule addressing fair valuation of fund investments. The new rule sets forth requirements for good faith determinations of fair value as well as for the performance of fair value determinations, including related oversight and reporting obligations. The new rule also defines “readily available market quotations” for purposes of the definition of “value” under the Act, and the SEC noted that this definition will apply in all contexts under the Act. The effective date for the rule was March 8, 2021. The compliance date for the new rule and the associated recordkeeping requirements is September 8, 2022.

 

In May 2022, the SEC proposed amendments to a current rule governing fund naming conventions. In general, the current rule requires funds with certain types of names to adopt a policy to invest at least 80% of their assets in the type of investment suggested by the name. The proposed amendments would expand the scope of the current rule in a number of ways that would result in an expansion of the types of fund names that would require the fund to adopt an 80% investment policy under the rule. Additionally, the proposed amendments would modify the circumstances under which a fund may deviate from its 80% investment policy and address the use and

valuation of derivatives instruments for purposes of the rule. The proposal’s impact on the Funds will not be known unless and until any final rulemaking is adopted.

 

In May 2022, the SEC proposed a framework that would require certain registered funds (such as the Funds) to disclose their environmental, social, and governance (“ESG”) investing practices. Among other things, the proposed requirements would mandate that funds meeting three pre-defined classifications (i.e., integrated, ESG focused and/or impact funds) provide prospectus and shareholder report disclosure related to the ESG factors, criteria and processes used in managing the fund. The proposal’s impact on the Funds will not be known unless and until any final rulemaking is adopted.

 

 

         SEMIANNUAL REPORT     |     JUNE 30, 2022     7
    


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PIMCO Municipal Income Fund

 

  Symbol on NYSE - PMF

 

Allocation Breakdown

as of June 30, 2022§

 

Municipal Bonds & Notes

 

Health, Hospital & Nursing Home Revenue

    21.5%  

Highway Revenue Tolls

    8.9%  

Ad Valorem Property Tax

    7.8%  

Natural Gas Revenue

    6.3%  

Sales Tax Revenue

    5.7%  

Tobacco Settlement Funded

    5.3%  

Miscellaneous Revenue

    5.2%  

Electric Power & Light Revenue

    5.0%  

Industrial Revenue

    4.6%  

Sewer Revenue

    4.1%  

Local or Guaranteed Housing

    3.1%  

Special Assessment

    3.0%  

Income Tax Revenue

    2.8%  

Appropriations

    2.5%  

College & University Revenue

    1.9%  

Port, Airport & Marina Revenue

    1.3%  

Nuclear Revenue

    1.2%  

Lease (Appropriation)

    1.2%  

Transit Revenue

    1.1%  

Other

    6.4%  

Short-Term Instruments

    1.1%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information

as of (June 30, 2022)(1)

 

Market Price

    $11.52  

NAV

    $10.30  

Premium/(Discount) to NAV

    11.84%  

Market Price Distribution Rate(2)

    5.63%  

NAV Distribution Rate(2)

    6.29%  

Total Effective Leverage(3)

    46.42%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2022  
        6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(06/29/01)
 
LOGO   Market Price     (22.17)%       (18.76)%       1.95%       3.24%       5.42%  
LOGO   NAV     (20.54)%       (19.68)%       1.09%       4.12%       5.57%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

*

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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates 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 in accordance with its policies and good accounting practices, 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 estimated 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 provided to shareholders when such information is available.

 

(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 investment objective is to seek to provide current income exempt from federal income tax.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Select exposure to taxable municipal bonds contributed to performance, as holdings outperformed the general municipal market.

 

»   There were no other material contributors for the Fund.

 

»   Duration positioning detracted from performance, as benchmark municipal yields increased.

 

»   Exposure to the revenue segment detracted from performance, as the segment underperformed the general municipal market.

 

»   Exposure to the healthcare sector detracted from performance, as the sector underperformed the general municipal market.

 

       
8   PIMCO CLOSED-END FUNDS            


Table of Contents

PIMCO Municipal Income Fund II

 

  Symbol on NYSE - PML

 

Allocation Breakdown

as of June 30, 2022§

 

Municipal Bonds & Notes

 

Health, Hospital & Nursing Home Revenue

    23.5%  

Highway Revenue Tolls

    10.0%  

Ad Valorem Property Tax

    6.9%  

Natural Gas Revenue

    6.6%  

Sales Tax Revenue

    5.5%  

Tobacco Settlement Funded

    5.1%  

Industrial Revenue

    4.2%  

Sewer Revenue

    4.0%  

College & University Revenue

    3.9%  

Income Tax Revenue

    2.9%  

Local or Guaranteed Housing

    2.9%  

Miscellaneous Revenue

    2.7%  

Water Revenue

    2.7%  

Appropriations

    2.6%  

Electric Power & Light Revenue

    2.2%  

Port, Airport & Marina Revenue

    2.2%  

Lease (Appropriation)

    1.8%  

Transit Revenue

    1.4%  

Fuel Sales Tax Revenue

    1.0%  

Other

    6.8%  

Short-Term Instruments

    1.1%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information

as of (June 30, 2022)(1)

 

Market Price

    $10.74  

NAV

    $9.52  

Premium/(Discount) to NAV

    12.82%  

Market Price Distribution Rate(2)

    6.59%  

NAV Distribution Rate(2)

    7.44%  

Total Effective Leverage(3)

    46.03%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2022  
        6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(06/28/02)
 
LOGO   Market Price     (24.15)%       (24.62)%       1.68%       4.26%       4.91%  
LOGO   NAV     (20.46)%       (19.73)%       1.32%       4.23%       4.68%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

*

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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates 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 in accordance with its policies and good accounting practices, 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 estimated 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 provided to shareholders when such information is available.

 

(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 investment objective is to seek to provide current income exempt from federal income tax.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Select exposure to taxable municipal bonds contributed to performance, as holdings outperformed the general municipal market.

 

»   There were no other material contributors for this Fund.

 

»   Duration positioning detracted from performance, as benchmark municipal yields increased.

 

»   Exposure to the revenue segment detracted from performance, as the segment underperformed the general municipal market.

 

»   Exposure to the healthcare sector detracted from performance, as the sector underperformed the general municipal market.

 

        
SEMIANNUAL REPORT
 
  |     JUNE 30, 2022     9
    


Table of Contents

PIMCO Municipal Income Fund III

 

  Symbol on NYSE - PMX

 

Allocation Breakdown

as of June 30, 2022§

 

Municipal Bonds & Notes

 

Health, Hospital & Nursing Home Revenue

    18.1%  

Highway Revenue Tolls

    8.7%  

Natural Gas Revenue

    7.0%  

Sales Tax Revenue

    6.6%  

Ad Valorem Property Tax

    6.5%  

Sewer Revenue

    5.8%  

Local or Guaranteed Housing

    5.1%  

Electric Power & Light Revenue

    4.2%  

Tobacco Settlement Funded

    3.9%  

Industrial Revenue

    3.8%  

Water Revenue

    3.6%  

College & University Revenue

    3.3%  

Appropriations

    3.1%  

Miscellaneous Revenue

    2.7%  

Port, Airport & Marina Revenue

    2.4%  

Income Tax Revenue

    2.4%  

Fuel Sales Tax Revenue

    1.8%  

Transit Revenue

    1.3%  

Nuclear Revenue

    1.3%  

General Fund

    1.3%  

Other

    6.4%  

Short-Term Instruments

    0.7%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information

as of (June 30, 2022)(1)

 

Market Price

    $9.22  

NAV

    $8.70  

Premium/(Discount) to NAV

    5.98%  

Market Price Distribution Rate(2)

    5.99%  

NAV Distribution Rate(2)

    6.34%  

Total Effective Leverage(3)

    45.47%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2022  
        6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(10/31/02)
 
LOGO   Market Price     (25.63)%       (25.75)%       0.80%       3.27%       4.30%  
LOGO   NAV     (21.59)%       (20.93)%       1.02%       4.58%       4.45%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

*

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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates 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 in accordance with its policies and good accounting practices, 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 estimated 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 provided to shareholders when such information is available.

 

(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 investment objective is to seek to provide current income exempt from federal income tax.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Select exposure to taxable municipal bonds contributed to performance, as holdings outperformed the general municipal market.

 

»   There were no other material contributors for this Fund.

 

»   Duration positioning detracted from performance, as municipal yields increased.

 

»   Exposure to the revenue segment detracted from performance, as the segment underperformed the general municipal market.

 

»   Exposure to the special tax sector detracted from performance, as the sector underperformed the general municipal market.

 

       
10   PIMCO CLOSED-END FUNDS            


Table of Contents

PIMCO California Municipal Income Fund

 

  Symbol on NYSE - PCQ

 

Allocation Breakdown

as of June 30, 2022§

 

Municipal Bonds & Notes

 

Ad Valorem Property Tax

    22.4%  

Health, Hospital & Nursing Home Revenue

    14.6%  

Electric Power & Light Revenue

    7.1%  

College & University Revenue

    5.9%  

Natural Gas Revenue

    5.9%  

Lease (Abatement)

    5.4%  

Sales Tax Revenue

    5.2%  

Local or Guaranteed Housing

    5.1%  

General Fund

    4.1%  

Tobacco Settlement Funded

    4.0%  

Port, Airport & Marina Revenue

    3.8%  

Water Revenue

    2.5%  

Lease (Non-Terminable)

    2.0%  

Sewer Revenue

    1.8%  

Transit Revenue

    1.8%  

Special Assessment

    1.2%  

Special Tax

    1.1%  

Highway Revenue Tolls

    1.1%  

Other

    2.2%  

Short-Term Instruments

    2.8%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information

as of (June 30, 2022)(1)

 

Market Price

    $15.41  

NAV

    $10.90  

Premium/(Discount) to NAV

    41.38%  

Market Price Distribution Rate(2)

    5.06%  

NAV Distribution Rate(2)

    7.16%  

Total Effective Leverage(3)

    46.59%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2022  
        6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(06/29/01)
 
LOGO   Market Price     (14.89)%       (15.17)%       3.37%       5.85%       6.57%  
LOGO   NAV     (20.08)%       (19.06)%       0.94%       4.10%       5.48%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

*

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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates 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 in accordance with its policies and good accounting practices, 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 estimated 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 provided to shareholders when such information is available.

 

(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 investment objective is to seek to provide current income exempt from federal and California income tax.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Exposure to the pre-refunded segment contributed to performance, as the segment outperformed the general municipal market.

 

»   Select exposure to taxable municipal bonds contributed to performance, as holdings outperformed the general municipal market.

 

»   There were no other material contributors for this Fund.

 

»   Duration positioning detracted from performance, as municipal yields increased.

 

»   Exposure to the revenue segment detracted from performance, as the segment underperformed the general municipal market.

 

»   Exposure to the industrial revenue sector detracted from performance, as the sector underperformed the general municipal market.

 

         SEMIANNUAL REPORT     |     JUNE 30, 2022     11
    


Table of Contents

PIMCO California Municipal Income Fund II

 

  Symbol on NYSE - PCK

 

Allocation Breakdown

as of June 30, 2022§

 

Municipal Bonds & Notes

 

Ad Valorem Property Tax

    25.6%  

Health, Hospital & Nursing Home Revenue

    13.7%  

Natural Gas Revenue

    8.1%  

Local or Guaranteed Housing

    5.9%  

General Fund

    5.6%  

Sales Tax Revenue

    5.0%  

Electric Power & Light Revenue

    4.9%  

Tobacco Settlement Funded

    4.6%  

Sewer Revenue

    4.4%  

Port, Airport & Marina Revenue

    3.8%  

College & University Revenue

    3.6%  

Lease (Abatement)

    3.3%  

Highway Revenue Tolls

    2.6%  

Lease (Non-Terminable)

    2.0%  

Special Assessment

    1.2%  

Special Tax

    1.1%  

Other

    4.3%  

Short-Term Instruments

    0.3%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information

as of (June 30, 2022)(1)

 

Market Price

    $6.86  

NAV

    $6.85  

Premium/(Discount) to NAV

    0.15%  

Market Price Distribution Rate(2)

    5.60%  

NAV Distribution Rate(2)

    5.61%  

Total Effective Leverage(3)

    46.09%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2022        
        6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(06/28/02)
 
LOGO   Market Price     (24.75)%       (25.31)%       (2.72)%       2.04%       2.81%  
LOGO   NAV     (22.92)%       (21.97)%       0.53%       4.29%       3.44%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

*

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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates 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 in accordance with its policies and good accounting practices, 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 estimated 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 provided to shareholders when such information is available.

 

(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 investment objective is to seek to provide current income exempt from federal and California income tax.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   There were no material contributors for this Fund.

 

»   Duration positioning detracted from performance, as benchmark municipal yields increased.

 

»   Exposure to the industrial revenue sector detracted from performance, as the sector underperformed the broad municipal market.

 

»   Exposure to the healthcare sector detracted from performance, as the sector underperformed the broad municipal market.

 

       
12   PIMCO CLOSED-END FUNDS            


Table of Contents

PIMCO California Municipal Income Fund III

 

  Symbol on NYSE - PZC

 

Allocation Breakdown

as of June 30, 2022§

 

Municipal Bonds & Notes

 

Ad Valorem Property Tax

    22.7%  

Health, Hospital & Nursing Home Revenue

    15.5%  

Electric Power & Light Revenue

    7.9%  

Tobacco Settlement Funded

    6.1%  

Local or Guaranteed Housing

    6.0%  

Natural Gas Revenue

    5.3%  

College & University Revenue

    4.7%  

Sales Tax Revenue

    4.3%  

General Fund

    3.4%  

Port, Airport & Marina Revenue

    3.2%  

Lease (Abatement)

    3.2%  

Highway Revenue Tolls

    2.9%  

Lease (Non-Terminable)

    2.2%  

Special Tax

    1.8%  

Transit Revenue

    1.8%  

Sewer Revenue

    1.7%  

Special Assessment

    1.2%  

Water Revenue

    1.1%  

Miscellaneous Revenue

    1.1%  

Other

    2.9%  

Short-Term Instruments

    1.0%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information

as of (June 30, 2022)(1)

 

Market Price

    $8.26  

NAV

    $8.05  

Premium/(Discount) to NAV

    2.61%  

Market Price Distribution Rate(2)

    5.52%  

NAV Distribution Rate(2)

    5.66%  

Total Effective Leverage(3)

    45.23%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2022  
        6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(10/31/02)
 
LOGO   Market Price     (23.65)%       (24.49)%       (3.43)%       2.73%       3.41%  
LOGO   NAV     (19.05)%       (18.19)%       0.98%       4.08%       3.68%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

*

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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2)

Distribution rates 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 in accordance with its policies and good accounting practices, 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 estimated 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 provided to shareholders when such information is available.

 

(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 investment objective is to seek to provide current income exempt from federal and California income tax.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Exposure to the pre-refunded segment contributed to performance, as the segment outperformed the general municipal market.

 

»   Select exposure to taxable municipal bonds contributed to performance, as holdings outperformed the general municipal market.

 

»   Select exposure to the tobacco sector contributed to performance, as holdings outperformed the general municipal market.

 

»   Duration positioning detracted from performance, as municipal yields increased.

 

»   Exposure to the revenue segment detracted from performance, as the segment underperformed the general municipal market.

 

»   Exposure to the industrial revenue sector detracted from performance, as the sector underperformed the general municipal market.

 

         SEMIANNUAL REPORT     |     JUNE 30, 2022     13
    


Table of Contents

PIMCO New York Municipal Income Fund

 

  Symbol on NYSE - PNF

 

Allocation Breakdown

as of June 30, 2022§

 

Municipal Bonds & Notes

 

Water Revenue

    15.6%  

Income Tax Revenue

    12.4%  

Ad Valorem Property Tax

    11.7%  

Transit Revenue

    9.0%  

Health, Hospital & Nursing Home Revenue

    8.0%  

Tobacco Settlement Funded

    6.4%  

College & University Revenue

    6.1%  

Miscellaneous Revenue

    5.9%  

Sales Tax Revenue

    5.4%  

Local or Guaranteed Housing

    5.3%  

Port, Airport & Marina Revenue

    5.1%  

Industrial Revenue

    2.2%  

Highway Revenue Tolls

    2.0%  

Electric Power & Light Revenue

    1.5%  

Miscellaneous Taxes

    1.2%  

Other

    1.2%  

Short-Term Instruments

    1.0%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information

as of (June 30, 2022)(1)

 

Market Price

    $9.16  

NAV

    $9.36  

Premium/(Discount) to NAV

    (2.14)%  

Market Price Distribution Rate(2)

    5.50%  

NAV Distribution Rate(2)

    5.38%  

Total Effective Leverage(3)

    43.96%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2022  
        6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(06/29/01)
 
LOGO   Market Price     (23.57)%       (26.07)%       (2.17)%       2.40%       3.59%  
LOGO   NAV     (20.97)%       (20.24)%       (0.15)%       3.45%       3.97%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

*

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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates 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 in accordance with its policies and good accounting practices, 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 estimated 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 provided to shareholders when such information is available.

 

(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 investment objective is to seek to provide current income exempt from federal, New York State and New York City income tax.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Select exposure to taxable municipal bonds contributed to performance, as holdings outperformed the general municipal market.

 

»   There were no other material contributors for this Fund.

 

»   Duration positioning detracted from performance, as municipal yields increased.

 

»   Exposure to the revenue segment detracted from performance, as the segment underperformed the general municipal market.

 

»   Exposure to the special tax sector detracted from performance, as the sector underperformed the general municipal market.

 

       
14   PIMCO CLOSED-END FUNDS            


Table of Contents

PIMCO New York Municipal Income Fund II

 

  Symbol on NYSE - PNI

 

Allocation Breakdown

as of June 30, 2022§

 

Municipal Bonds & Notes

 

Health, Hospital & Nursing Home Revenue

    10.7%  

Income Tax Revenue

    10.7%  

College & University Revenue

    10.7%  

Tobacco Settlement Funded

    9.6%  

Water Revenue

    6.7%  

Lease (Appropriation)

    6.3%  

Miscellaneous Revenue

    6.1%  

Port, Airport & Marina Revenue

    6.0%  

Transit Revenue

    5.9%  

Highway Revenue Tolls

    4.9%  

Sales Tax Revenue

    4.5%  

Local or Guaranteed Housing

    4.0%  

Ad Valorem Property Tax

    3.5%  

Electric Power & Light Revenue

    3.0%  

Industrial Revenue

    2.9%  

Other

    1.0%  

Short-Term Instruments

    3.5%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information

as of (June 30, 2022)(1)

 

Market Price

    $8.74  

NAV

    $8.90  

Premium/(Discount) to NAV

    (1.80)%  

Market Price Distribution Rate(2)

    5.50%  

NAV Distribution Rate(2)

    5.40%  

Total Effective Leverage(3)

    46.48%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2022        
        6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(06/28/02)
 
LOGO   Market Price     (21.04)%       (24.06)%       (1.02)%       1.75%       3.57%  
LOGO   NAV     (21.83)%       (20.95)%       0.13%       3.55%       4.02%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

*

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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2)

Distribution rates 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 in accordance with its policies and good accounting practices, 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 estimated 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 provided to shareholders when such information is available.

 

(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 investment objective is to seek to provide current income exempt from federal, New York State and New York City income tax.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   There were no material contributors for this Fund.

 

»   Duration positioning detracted from performance, as benchmark municipal yields increased.

 

»   Exposure to the special tax sector detracted from performance, as the sector underperformed the broad municipal market.

 

»   Exposure to the transportation sector detracted from performance, as the sector underperformed the broad municipal market.

 

         SEMIANNUAL REPORT     |     JUNE 30, 2022     15
    


Table of Contents

PIMCO New York Municipal Income Fund III

 

  Symbol on NYSE - PYN

 

Allocation Breakdown

as of June 30, 2022§

 

Municipal Bonds & Notes

 

Income Tax Revenue

    13.3%  

Tobacco Settlement Funded

    13.0%  

Ad Valorem Property Tax

    11.1%  

Health, Hospital & Nursing Home Revenue

    10.0%  

Industrial Revenue

    7.0%  

Miscellaneous Revenue

    6.6%  

College & University Revenue

    6.1%  

Water Revenue

    6.1%  

Port, Airport & Marina Revenue

    5.9%  

Transit Revenue

    5.6%  

Sales Tax Revenue

    4.7%  

Local or Guaranteed Housing

    4.3%  

Electric Power & Light Revenue

    2.0%  

Highway Revenue Tolls

    1.2%  

Other

    2.0%  

Short-Term Instruments

    1.1%  
   

% of Investments, at value.

 

  § 

Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

Fund Information

as of (June 30, 2022)(1)

 

Market Price

    $7.84  

NAV

    $7.17  

Premium/(Discount) to NAV

    9.34%  

Market Price Distribution Rate(2)

    5.43%  

NAV Distribution Rate(2)

    5.94%  

Total Effective Leverage(3)

    43.47%  

 

 

 

Average Annual Total Return(1) for the period ended June 30, 2022        
        6 Month*     1 Year     5 Year     10 Year     Commencement
of Operations
(10/31/02)
 
LOGO   Market Price     (13.55)%       (23.23)%       0.51%       2.90%       2.79%  
LOGO   NAV     (19.99)%       (19.18)%       (0.15)%       3.29%       2.61%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

*

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. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares. Total return, market price, NAV, market price distribution rate, and NAV distribution rate will fluctuate with changes in market conditions. Performance current to the most recent month-end is available at www.pimco.com or via (844) 33-PIMCO. Performance is calculated assuming all dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. Performance does not reflect any brokerage commissions in connection with the purchase or sale of Fund shares.

 

(2) 

Distribution rates 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 in accordance with its policies and good accounting practices, 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 estimated 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 provided to shareholders when such information is available.

 

(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 investment objective is to seek to provide current income exempt from federal, New York State and New York City income tax.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Select exposure to taxable municipal bonds contributed to performance, as holdings outperformed the general municipal market.

 

»   There were no other material contributors for this Fund.

 

»   Duration positioning detracted from performance, as benchmark municipal yields increased.

 

»   Exposure to the revenue segment detracted from performance, as the segment underperformed the general municipal market.

 

»   Exposure to the special tax sector detracted from performance, as the sector underperformed the general municipal market.

 

       
16   PIMCO CLOSED-END FUNDS            


Table of Contents

 

 

 

(THIS PAGE INTENTIONALLY LEFT BLANK)


Table of Contents
Financial Highlights              

 

          Investment Operations     Less Distributions
to Preferred
Shareholders(c)
          Less Distributions to Common Shareholders(d)        
                                           
Selected Per Share Data for the Year or
Period Ended^:
  Net Asset
Value
Beginning
of Year
or Period(a)
   

Net
Investment
Income
(Loss)(b)

    Net
Realized/
Unrealized
Gain (Loss)
    From Net
Investment
Income
    From Net
Realized
Capital
Gains
    Net Increase
(Decrease)
in Net Assets
Applicable
to Common
Shareholders
Resulting
from
Operations
    From Net
Investment
Income
    From Net
Realized
Capital
Gains
    Tax Basis
Return of
Capital
    Total     Increase
Resulting from
Tender of
ARPS(c)
 

PIMCO Municipal Income Fund

                     

01/01/2022 - 06/30/2022+

  $   13.33     $   0.35     $   (3.04   $   (0.02   $   0.00     $   (2.71   $   (0.32   $ 0.00     $   0.00     $   (0.32   $   0.00  

12/31/2021

    13.22       0.71       0.06       (0.01     0.00       0.76       (0.65     0.00       0.00       (0.65     0.00  

12/31/2020

    13.35       0.74       (0.07     (0.07     0.00       0.60       (0.65       (0.08     0.00       (0.73     0.00  

12/31/2019

    12.36       0.81       1.07       (0.16     0.00       1.72       (0.72     (0.01     0.00       (0.73     0.00  

12/31/2018

    12.87       0.89       (0.65     (0.16     0.00       0.08       (0.72     0.00       0.00       (0.72     0.13  

12/31/2017

    12.44       0.91       0.36       (0.10     0.00       1.17       (0.74     0.00       0.00       (0.74     0.00  

PIMCO Municipal Income Fund II

                     

01/01/2022 - 06/30/2022+

  $ 12.37     $ 0.31     $ (2.79   $ (0.02   $ 0.00     $ (2.50   $ (0.35   $ 0.00     $ 0.00     $ (0.35   $ 0.00  

12/31/2021

    12.42       0.66       0.00       0.00       0.00       0.66       (0.71     0.00       0.00       (0.71     0.00  

12/31/2020

    12.50       0.69       (0.01     (0.05     0.00       0.63       (0.71     0.00       0.00       (0.71     0.00  

12/31/2019

    11.62       0.77       1.01       (0.12     0.00       1.66       (0.78     0.00       0.00       (0.78     0.00  

12/31/2018

    12.13       0.81       (0.57     (0.13     0.00       0.11       (0.78     0.00       0.00       (0.78     0.16  

12/31/2017

    11.81       0.81       0.37       (0.08     0.00       1.10       (0.78     0.00       0.00       (0.78     0.00  

PIMCO Municipal Income Fund III

                     

01/01/2022 - 06/30/2022+

  $ 11.41     $ 0.30     $ (2.71   $ (0.02   $ 0.00     $ (2.43   $ (0.28   $ 0.00     $ 0.00     $ (0.28   $ 0.00  

12/31/2021

    11.36       0.59       0.01       0.00       0.00       0.60       (0.55     0.00       0.00       (0.55     0.00  

12/31/2020

    11.34       0.62       0.01       (0.05     0.00       0.58       (0.55     (0.01     0.00       (0.56     0.00  

12/31/2019

    10.49       0.72       0.87       (0.12     0.00       1.47       (0.62     0.00       0.00       (0.62     0.00  

12/31/2018

    11.06       0.76       (0.57     (0.13     0.00       0.06       (0.67     (0.11     0.00       (0.78     0.15  

12/31/2017

    10.67       0.77       0.38       (0.08     0.00       1.07       (0.68     0.00       0.00       (0.68     0.00  

PIMCO California Municipal Income Fund

                     

01/01/2022 - 06/30/2022+

  $ 14.08     $ 0.35     $ (3.12   $ (0.02   $ 0.00     $ (2.79   $ (0.39   $ 0.00     $ 0.00     $ (0.39   $ 0.00  

12/31/2021

    14.28       0.71       (0.12     (0.01     0.00       0.58       (0.78     0.00       0.00       (0.78     0.00  

12/31/2020

    14.20       0.74       0.20       (0.07     0.00       0.87       (0.78     (0.01     0.00       (0.79     0.00  

12/31/2019

    13.32       0.80       1.16       (0.16     0.00       1.80       (0.92     0.00       0.00       (0.92     0.00  

12/31/2018

    14.20       0.92       (0.94     (0.17     0.00       (0.19     (0.92     0.00       0.00       (0.92     0.23  

12/31/2017

    13.83       0.97       0.43       (0.11     0.00       1.29       (0.92     0.00       0.00       (0.92     0.00  

PIMCO California Municipal Income Fund II

                     

01/01/2022 - 06/30/2022+

  $ 9.11     $ 0.21     $ (2.27   $ (0.01   $ 0.00     $ (2.07   $ (0.19   $ 0.00     $ 0.00     $ (0.19   $ 0.00  

12/31/2021

    9.13       0.40       (0.04     0.00       0.00       0.36       (0.38     0.00       0.00       (0.38     0.00  

12/31/2020

    8.98       0.41       0.17       (0.04     0.00       0.54       (0.38     (0.01     0.00       (0.39     0.00  

12/31/2019

    8.29       0.50       0.87       (0.10     0.00       1.27       (0.42     (0.16     0.00       (0.58     0.00  

12/31/2018

    8.69       0.54       (0.57     (0.11     0.00       (0.14     (0.42     0.00       0.00       (0.42     0.16  

12/31/2017

    8.39       0.60       0.34       (0.07     0.00       0.87       (0.56     0.00       (0.01     (0.57     0.00  

PIMCO California Municipal Income Fund III

                     

01/01/2022 - 06/30/2022+

  $ 10.20     $ 0.25     $ (2.15   $ (0.02   $ 0.00     $ (1.92   $ (0.23   $ 0.00     $ 0.00     $ (0.23   $ 0.00  

12/31/2021

    10.29       0.52       (0.15     0.00       0.00       0.37       (0.46     0.00       0.00       (0.46     0.00  

12/31/2020

    10.20       0.52       0.09       (0.05     0.00       0.56       (0.46     (0.01     0.00       (0.47     0.00  

12/31/2019

    9.46       0.56       0.80       (0.11     0.00       1.25       (0.51     0.00       0.00       (0.51     0.00  

12/31/2018

    9.98       0.64       (0.68     (0.12     0.00       (0.16     (0.54     0.00       0.00       (0.54     0.18  

12/31/2017

    9.67       0.67       0.35       (0.08     0.00       0.94       (0.63     0.00       0.00       (0.63     0.00  

PIMCO New York Municipal Income Fund

                     

01/01/2022 - 06/30/2022+

  $ 12.13     $ 0.24     $ (2.74   $ (0.02   $ 0.00     $ (2.52   $ (0.25   $ 0.00     $ 0.00     $ (0.25   $ 0.00  

12/31/2021

    12.01       0.54       0.09       (0.01     0.00       0.62       (0.50     0.00       0.00       (0.50     0.00  

12/31/2020

    12.15       0.60       (0.17     (0.06     0.00       0.37       (0.50     (0.01     0.00       (0.51     0.00  

12/31/2019

    11.29       0.68       0.96       (0.13     0.00       1.51       (0.65     0.00       0.00       (0.65     0.00  

12/31/2018

    12.06       0.70       (0.77     (0.13     0.00       (0.20     (0.68     0.00       0.00       (0.68     0.11  

12/31/2017

    11.62       0.69       0.51       (0.08     0.00       1.12       (0.68     0.00       0.00       (0.68     0.00  

 

       
18   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
        

 

Common Share         
    
Ratios/Supplemental Data
 
                        Ratios to Average Net Assets Applicable to Common Shareholders     Portfolio
Turnover
Rate
 
Net Asset
Value End of
Year or
Period(a)
    Market Price
End of Year
or Period
    Total
Investment
Return(e)
        
    
Net Assets
Applicable
to Common
Shareholders
End of Year
or Period
(000s)
    Expenses(f)(g)     Expenses
Excluding
Waivers(f)(g)
    Expenses
Excluding
Interest
Expense(f)
    Expenses
Excluding
Interest
Expense
and
Waivers(f)
    Net
Investment
Income (Loss)(f)
 
                          
$   10.30     $   11.52       (22.17 )%    $   268,561       1.56 %*      1.56 %*      1.25 %*      1.25 %*      6.19 %*      11
  13.33       15.22       15.11       347,062       1.36       1.36       1.19       1.19       5.33       18  
  13.22       13.85       (2.99     343,020       1.59       1.59       1.23       1.23       5.71       21  
  13.35       15.10       26.76       345,113       1.92       1.92       1.18       1.18       6.20       16  
  12.36       12.55       2.22       318,313       1.77       1.77       1.23       1.23       7.16       24  
  12.87       13.00       (4.44     330,523       1.37       1.37       1.21       1.21       7.16       12  
 

    

    

 

 

                 
$ 9.52     $ 10.74       (24.15 )%    $ 604,911       1.55 %*      1.55 %*      1.13 %*      1.13 %*      5.94 %*      12
  12.37       14.61       7.47       783,316       1.30       1.30       1.08       1.08       5.32       13  
  12.42       14.30       (4.81     782,327       1.59       1.59       1.11       1.11       5.70       20  
  12.50       15.87       25.88       782,682       2.06       2.06       1.06       1.06       6.25       12  
  11.62       13.31       7.57       723,713       1.93       1.93       1.13       1.13       6.94       23  
  12.13       13.18       14.85       751,337       1.30       1.30       1.10       1.10       6.74       12  
 

    

    

 

 

                 
$ 8.70     $ 9.22       (25.63 )%    $ 289,932       1.62 %*      1.62 %*      1.20 %*      1.20 %*      6.18 %*      12
  11.41       12.75       12.32       379,521       1.37       1.37       1.15       1.15       5.18       9  
  11.36       11.89       (0.54     376,741       1.64       1.64       1.18       1.18       5.57       25  
  11.34       12.58       19.03       374,805       2.04       2.04       1.14       1.14       6.48       14  
  10.49       11.14       3.39       345,557       1.89       1.89       1.19       1.19       7.11       25  
  11.06       11.58       8.19       363,063       1.39       1.39       1.19       1.19       7.07       14  
 

    

    

 

 

                 
$ 10.90     $ 15.41       (14.89 )%    $ 206,377       1.66 %*      1.66 %*      1.26 %*      1.26 %*      5.85 %*      16
  14.08       18.58       7.99       266,321       1.44       1.44       1.20       1.20       5.05       11  
  14.28       17.98       (4.94     269,561       1.67       1.67       1.22       1.22       5.28       15  
  14.20       19.86       29.47       267,390       2.09       2.09       1.18       1.18       5.75       16  
  13.32       16.15       (0.66     250,306       2.10       2.10       1.23       1.23       6.80       29  
  14.20       17.28       16.74       266,019       1.60       1.60       1.21       1.21       6.86       13  
 

    

    

 

 

                 
$ 6.85     $ 6.86       (24.75 )%    $ 220,478       1.62 %*      1.62 %*      1.27 %*      1.27 %*      5.41 %*      14
  9.11       9.35       7.99       293,165       1.41       1.41       1.21       1.21       4.44       11  
  9.13       9.03       (5.58     293,591       1.62       1.62       1.23       1.23       4.68       19  
  8.98       10.00       36.01       288,138       1.99       1.99       1.18       1.18       5.61       16  
  8.29       7.83       (19.01     265,245       1.88       1.88       1.29       1.29       6.51       37  
  8.69       10.17       17.31       277,787       1.49       1.49       1.24       1.24       6.94       14  
 

    

    

 

 

                 
$ 8.05     $ 8.26       (23.65 )%    $ 180,556       1.66 %*      1.66 %*      1.26 %*      1.26 %*      5.77 %*      16
  10.20       11.10       13.11       228,733       1.45       1.45       1.21       1.21       5.06       13  
  10.29       10.25       (5.89     230,271       1.68       1.68       1.23       1.23       5.13       13  
  10.20       11.41       25.66       227,745       2.12       2.12       1.20       1.20       5.59       16  
  9.46       9.53       (3.49     210,974       2.13       2.13       1.25       1.25       6.70       21  
  9.98       10.44       (2.46     221,976       1.65       1.65       1.23       1.23       6.77       9  
 

    

    

 

 

                 
$ 9.36     $ 9.16       (23.57 )%    $ 73,502       1.46 %*      1.46 %*      1.26 %*      1.26 %*      4.69 %*      19
  12.13       12.29       9.70       95,190       1.25       1.25       1.20       1.20       4.44       23  
  12.01       11.68       (11.51     94,059       1.52       1.52       1.23       1.23       5.13       26  
  12.15       13.80       24.04       95,010       1.97       1.97       1.19       1.19       5.74       25  
  11.29       11.70       (2.90     87,913       1.81       1.81       1.27       1.27       6.11       22  
  12.06       12.78       13.44       93,564       1.55       1.55       1.30       1.30       5.73       22  

 

         SEMIANNUAL REPORT     |     JUNE 30, 2022     19
    


Table of Contents
Financial Highlights   (Cont.)  

 

          Investment Operations     Less Distributions
to Preferred
Shareholders(c)
          Less Distributions to Common Shareholders(d)        
                                           
Selected Per Share Data for the Year or
Period Ended^:
  Net Asset
Value
Beginning
of Year
or Period(a)
   

Net
Investment
Income
(Loss)(b)

    Net
Realized/
Unrealized
Gain (Loss)
    From Net
Investment
Income
    From Net
Realized
Capital
Gains
    Net Increase
(Decrease)
in Net Assets
Applicable
to Common
Shareholders
Resulting
from
Operations
    From Net
Investment
Income
    From Net
Realized
Capital
Gains
    Tax Basis
Return of
Capital
    Total     Increase
Resulting from
Tender of
ARPS(c)
 

PIMCO New York Municipal Income Fund II

                     

01/01/2022 - 06/30/2022+

  $   11.66     $   0.24     $   (2.74   $   (0.02   $   0.00     $   (2.52   $   (0.24   $   0.00     $   0.00     $   (0.24   $   0.00  

12/31/2021

    11.50       0.48       0.17       (0.01     0.00       0.64       (0.48     0.00       0.00       (0.48     0.00  

12/31/2020

    11.59       0.56       (0.12     (0.05     0.00       0.39       (0.48     0.00       0.00       (0.48     0.00  

12/31/2019

    10.67       0.63       0.93       (0.13     0.00       1.43       (0.51     0.00       0.00       (0.51     0.00  

12/31/2018

    11.17       0.71       (0.73     (0.15     0.00       (0.17     (0.57     0.00       (0.04     (0.61     0.28  

12/31/2017

    10.71       0.72       0.46       (0.10     0.00       1.08       (0.60     0.00       (0.02     (0.62     0.00  

PIMCO New York Municipal Income Fund III

                     

01/01/2022 - 06/30/2022+

  $ 9.20     $ 0.21     $ (2.01   $ (0.02   $ 0.00     $ (1.82   $ (0.21   $ 0.00     $ 0.00     $ (0.21   $ 0.00  

12/31/2021

    9.15       0.44       0.05       (0.01     0.00       0.48       (0.43     0.00       0.00       (0.43     0.00  

12/31/2020

    9.29       0.48       (0.14     (0.05     0.00       0.29       (0.42     0.00       (0.01     (0.43     0.00  

12/31/2019

    8.66       0.55       0.66       (0.13     0.00       1.08       (0.41     0.00       (0.04     (0.45     0.00  

12/31/2018

    9.27       0.57       (0.61     (0.13     0.00       (0.17     (0.49     0.00       (0.02     (0.51     0.07  

12/31/2017

    8.95       0.56       0.36       (0.08     0.00       0.84       (0.52     0.00       0.00       (0.52     0.00  

 

       
20   PIMCO CLOSED-END FUNDS      See Accompanying Notes  


Table of Contents
        

 

Common Share         
    
Ratios/Supplemental Data
 
                        Ratios to Average Net Assets Applicable to Common Shareholders     Portfolio
Turnover
Rate
 
Net Asset
Value End of
Year or
Period(a)
    Market Price
End of Year
or Period
    Total
Investment
Return(e)
        
    
Net Assets
Applicable
to Common
Shareholders
End of Year
or Period
(000s)
    Expenses(f)(g)     Expenses
Excluding
Waivers(f)(g)
    Expenses
Excluding
Interest
Expense(f)
    Expenses
Excluding
Interest
Expense
and
Waivers(f)
    Net
Investment
Income (Loss)(f)
 
 

    

    

 

 

                 
$ 8.90     $ 8.74       (21.04 )%    $ 99,655       1.78 %*      1.78 %*      1.38 %*      1.38 %*      4.84 %*      19
    11.66         11.35       8.87         130,581       1.57       1.57       1.31       1.31       4.18       14  
  11.50       10.87       (5.82     128,709       1.84       1.84       1.35       1.35       4.97       22  
  11.59       12.07       20.57       129,596       2.16       2.16       1.27       1.27       5.62       17  
  10.67       10.47       (7.67     119,014       2.15       2.15       1.40       1.40       6.64       24  
  11.17       12.00       5.77       124,295       1.63       1.63       1.35       1.35       6.51       16  
 

    

    

 

 

                 
$ 7.17     $ 7.84       (13.55 )%    $ 41,180       1.78 %*      1.78 %*      1.56 %*      1.56 %*      5.42 %*      17
  9.20       9.31       8.99       52,786       1.62       1.62       1.49       1.49       4.78       16  
  9.15       8.93       (2.75     52,414       1.80       1.80       1.49       1.49       5.32       27  
  9.29       9.63       16.76       53,135       2.19       2.19       1.47       1.47       6.06       14  
  8.66       8.65       (7.67     49,484       2.18       2.18       1.54       1.54       6.45       24  
  9.27       9.92       4.34       52,884       1.83       1.83       1.57       1.57       6.07       12  

 

         SEMIANNUAL REPORT     |     JUNE 30, 2022     21
    


Table of Contents
Financial Highlights   (Cont.)  

 

Ratios/Supplemental Data

 

    ARPS     RVMTP(5)  
Selected Per Share Data for the Year or
Period Ended^:
  Total Amount
Outstanding
    Asset Coverage per
Preferred Share(1)
    Involuntary
Liquidating
Preference per
Preferred  Share(2)
    Average
Market Value
per ARPS(3)
    Total Amount
Outstanding
    Asset Coverage per
Preferred Share(1)
    Involuntary
Liquidating
Preference per
Preferred  Share(2)
    Average
Market Value
per RVMTP(4)
 

PIMCO Municipal Income Fund

               
1/1/2022 - 6/30/2022+   $   166,700,000     $   60,330     $   25,000       N/A     $   23,300,000     $   241,320     $   100,000       N/A  
12/31/2021     166,700,000       70,665       25,000       N/A       23,300,000       282,660       100,000       N/A  
12/31/2020     166,700,000       70,133       25,000       N/A       23,300,000       280,530       100,000       N/A  
12/31/2019     166,700,000       70,395       25,000       N/A       23,300,000       281,580       100,000       N/A  
12/31/2018     166,700,000       66,868       25,000       N/A       23,300,000       267,440       100,000       N/A  
12/31/2017     190,000,000       68,475       25,000       N/A       N/A       N/A       100,000       N/A  

PIMCO Municipal Income Fund II

               
1/1/2022 - 6/30/2022+   $ 298,275,000     $ 66,203     $ 25,000       N/A     $ 68,700,000     $ 264,810     $ 100,000       N/A  
12/31/2021     298,275,000       78,363       25,000       N/A       68,700,000       313,450       100,000       N/A  
12/31/2020     298,275,000       78,293       25,000       N/A       68,700,000       313,170       100,000       N/A  
12/31/2019     298,275,000       78,308       25,000       N/A       68,700,000       313,230       100,000       N/A  
12/31/2018     298,275,000       74,285       25,000       N/A       68,700,000       297,110       100,000       N/A  
12/31/2017     367,000,000       76,136       25,000       N/A       N/A       N/A       100,000       N/A  

PIMCO Municipal Income Fund III

               
1/1/2022 - 6/30/2022+   $ 154,700,000     $ 63,343     $ 25,000       N/A     $ 34,300,000     $ 253,370     $ 100,000       N/A  
12/31/2021     154,700,000       75,200       25,000       N/A       34,300,000       300,800       100,000       N/A  
12/31/2020     154,700,000       74,833       25,000       N/A       34,300,000       299,330       100,000       N/A  
12/31/2019     154,700,000       74,565       25,000       N/A       34,300,000       298,260       100,000       N/A  
12/31/2018     154,700,000       70,693       25,000       N/A       34,300,000       282,740       100,000       N/A  
12/31/2017     189,000,000       73,007       25,000       N/A       N/A       N/A       100,000       N/A  

PIMCO California Municipal Income Fund

               
1/1/2022 - 6/30/2022+   $ 120,625,000     $ 59,410     $ 25,000       N/A     $ 29,300,000     $ 237,640     $ 100,000       N/A  
12/31/2021     120,625,000       69,408       25,000       N/A       29,300,000       277,630       100,000       N/A  
12/31/2020     120,625,000       69,948       25,000       N/A       29,300,000