N-Q
     
 
   
 
  OMB APPROVAL
 
  OMB Number: 3235-0578
 
  Expires: April 30, 2010
 
  Estimated average burden
 
  hours per response: 10.5
 
   
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
     
Investment Company Act File Number:
  811-21188
 
    
Registrant Name:
  PIMCO California Municipal Income Fund III
 
    
Address of Principal Executive Offices:
  1345 Avenue of the Americas,
 
  New York, NY 10105
 
    
Name and Address of Agent for Service:
  Lawrence G. Altadonna
 
  1345 Avenue of the Americas,
 
  New York, NY 10105
 
    
Registrant’s telephone number, including area code:
  212-739-3371
 
    
Date of Fiscal Year End:
  September 30, 2008
 
    
Date of Reporting Period:
  June 30, 2008
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
 
 

 

 

Item 1. Schedule of Investments
PIMCO California Municipal Income Fund III Schedule of Investments
June 30, 2008 (unaudited)
   
                     
Principal                
Amount         Credit Rating      
(000)         (Moody’s/S&P)   Value*  
 
CALIFORNIA MUNICIPAL BONDS & NOTES—93.7%            
       
Assoc. of Bay Area Gov’t Finance Auth. Rev., Odd Fellows Home,
            
$ 3,200    
5.20%, 11/15/22
   NR/A+   $ 3,252,224  
  11,725    
5.35%, 11/15/32
   NR/A+     11,823,959  
       
Burbank Public Finance Auth., Tax Allocation, San Fernando Redev. Project,
            
  1,135    
5.50%, 12/1/28
   NR/BBB     1,110,439  
  1,000    
5.50%, 12/1/33
   NR/BBB     968,060  
  2,000    
Butte-Glenn Community College Dist.,
           
       
GO, 5.00%, 8/1/26, Ser. A (MBIA)
   Aaa/NR     2,051,260  
  2,000    
Capistrano Unified School Dist.,
           
       
Community Fac. Dist., Special Tax,
           
     
6.00%, 9/1/32, (Pre-refunded @ $100, 9/1/13) (b)
   NR/NR     2,246,160  
  500    
Carson Public Financing Auth.,
            
       
Special Assessment, 5.00%, 9/2/31, Ser. B
   NR/NR     419,170  
  1,000    
Cathedral City Public Financing Auth.,
           
       
Tax Allocation, 5.00%, 8/1/33, Ser. A (MBIA)
   Aaa/AAA     980,350  
  1,150    
Ceres Redev. Agcy., Tax Allocation, 5.00%, 11/1/33 (MBIA)
   Aaa/AAA     1,127,253  
       
Ceres Unified School Dist., GO (FGIC),
            
  2,825    
zero coupon, 8/1/28
   A3/A     879,422  
  2,940    
zero coupon, 8/1/29
   A3/A     860,538  
       
Chula Vista Community Facs. Dist., Special Tax,
            
       
Eastlake Woods,
            
  675    
6.15%, 9/1/26
   NR/NR     670,626  
  1,620    
6.20%, 9/1/33
   NR/NR     1,587,503  
       
Otay Ranch Village,
            
  1,990    
5.125%, 9/1/36
   NR/NR     1,653,909  
  1,600    
5.75%, 9/1/33
   NR/NR     1,474,384  
  1,000    
City of Carlsbad, Special Assessment, 6.00%, 9/2/34
   NR/NR     981,780  
       
Contra Costa Cnty. Public Financing Auth., Tax Allocation, Ser. A,
            
  1,415    
5.625%, 8/1/33
   NR/BBB     1,417,094  
  6,585    
5.625%, 8/1/33, (Pre-refunded @ $100, 8/1/13) (b)
   NR/BBB     7,269,313  
  3,775    
Cucamonga School Dist., CP, 5.20%, 6/1/27
   NR/A-     3,716,790  
       
Educational Facs. Auth. Rev.,
            
  2,455    
Loyola Marymount Univ., zero coupon, 10/1/34, (MBIA)
   Aaa/NR     576,164  
  5,000    
Pepperdine Univ., 5.00%, 9/1/33, Ser. A (FGIC)
   Aa3/A     4,971,300  
       
Fremont Community Dist., Special Tax,
            
  1,250    
5.30%, 9/1/30
   NR/NR     1,088,225  
  5,000    
6.30%, 9/1/31
   NR/NR     4,933,550  
  9,500    
Fresno School Unified Dist., GO, 6.00%, 8/1/26, Ser. A (MBIA)
   Aaa/AAA     9,798,870  
  4,380    
Glendale Electric Works Rev., 5.00%, 2/1/27, (MBIA)
   Aaa/AAA     4,455,029  
       
Golden State Tobacco Securitization Corp. Rev.,
            
  10,000    
5.00%, 6/1/33, Ser. A-1
   Baa3/BBB     8,160,000  
  10,000    
5.00%, 6/1/35, Ser. A (FGIC)
   A2/A     9,435,300  
  10,000    
5.00%, 6/1/35, Ser. A (FGIC)(g)
   A2/A     9,435,300  
  4,000    
5.00%, 6/1/45, Ser. A (FGIC-TCRS)(g)
   A2/AAA     3,644,360  
  9,000    
5.00%, 6/1/45 (AMBAC-TCRS)(g)
   Aaa/AAA     8,358,570  
  16,795    
6.25%, 6/1/33, Ser. A-1
   Aaa/AAA     18,155,227  
  38,490    
6.75%, 6/1/39, Ser. A-1, (Pre-refunded @ $100, 6/1/13) (b)
   Aaa/AAA     43,568,371  
       
Health Facs. Finance Auth. Rev.,
            
  6,000    
Cottage Health System, 5.00%, 11/1/33, Ser. B (MBIA)
   Aaa/AAA     5,923,200  
       
Paradise VY Estates (CA Mtg. Ins.),
            
  2,000    
5.125%, 1/1/22
   NR/A+     2,023,580  
  1,550    
5.25%, 1/1/26
   NR/A+     1,563,562  

 

 

PIMCO California Municipal Income Fund III Schedule of Investments
June 30, 2008 (unaudited)
                     
Principal                
Amount         Credit Rating      
(000)         (Moody’s/S&P)   Value*  
 
       
Infrastructure & Economic Dev. Bank Rev.,
            
$ 7,750    
Bay Area Toll Bridges, 5.00%, 7/1/36,
            
       
(Pre-refunded @ $100, 1/1/28) (AMBAC)(b)(g)
   Aaa/AAA   $ 8,166,717  
       
Kaiser Assistance Corp.,
            
  3,000    
5.50%, 8/1/31, Ser. B
   A2/A     3,018,300  
  8,000    
5.55%, 8/1/31, Ser. A
   NR/A+     8,066,400  
  20    
Lancaster Financing Auth., Tax Allocation, 4.75%, 2/1/34 (MBIA)
   Aaa/AAA     18,313  
  825    
Lee Lake Water Dist. Community Facs. Dist. No. 2,
            
       
Montecito Ranch, Special Tax, 6.125%, 9/1/32
   NR/NR     816,197  
  5,000    
Long Beach Community College Dist.,
           
       
GO, 5.00%, 5/1/28, Ser. A, (Pre-refunded @ $100, 5/1/13) (MBIA)(b)
   Aaa/AAA     5,380,900  
       
Los Angeles Department of Water & Power Rev. (g),
            
  6,000    
4.75%, 7/1/30, Ser. A-2 (FSA)
   Aaa/AAA     5,895,480  
  10,000    
5.00%, 7/1/30, Ser. A
   Aa3/AA-     10,057,000  
  20,000    
5.00%, 7/1/35, Ser. A (FSA)
   Aaa/AAA     20,211,600  
  5,280    
Modesto Irrigation Dist., CP, 5.00%, 7/1/33, Ser. A (MBIA)
   Aaa/AAA     5,250,168  
  4,585    
Moreno Valley Unified School Dist. Community Facs. Dist.,
            
       
Special Tax, 5.20%, 9/1/36
   NR/NR     3,758,187  
  5,000    
Oakland, GO, 5.00%, 1/15/33, Ser. A (MBIA)
   Aaa/AAA     4,868,950  
  1,545    
Oakland Redev. Agcy., Tax Allocation,
            
       
5.25%, 9/1/33, (Pre-refunded @ $100, 3/1/13)(b)
   NR/A     1,675,491  
  5,000    
Orange Cnty. Community Facs. Dist.,
           
       
Ladera Ranch, Special Tax, 5.55%, 8/15/33, Ser. A
   NR/NR     4,703,400  
  5,000    
Orange Cnty. Unified School Dist., CP, 4.75%, 6/1/29 (MBIA)
   Aaa/AAA     4,727,150  
       
Orange Cnty. Water Dist. Rev., CP, Ser. B (MBIA),
            
  1,000    
5.00%, 8/15/28
   Aaa/AAA     1,007,570  
  5,525    
5.00%, 8/15/34
   Aa2/AA+     5,537,976  
  2,000    
Palm Desert Financing Auth., Tax Allocation, 5.00%, 4/1/25, (MBIA)
   Aaa/AAA     2,021,720  
  1,410    
Pomona Public Financing Auth. Rev., 5.00%, 12/1/37, Ser. AF (MBIA)
   Aaa/AAA     1,293,788  
       
Poway Unified School Dist. Community Facs. Dist. No. 6, Special Tax,
            
  1,950    
5.125%, 9/1/28
   NR/BBB     1,807,670  
       
Area A,
            
  1,285    
6.05%, 9/1/25
   NR/NR     1,296,616  
  2,100    
6.125%, 9/1/33
   NR/NR     2,112,033  
  1,700    
Area B, 5.125%, 9/1/28
   NR/NR     1,489,387  
  5,000    
Riverside, CP, 5.00%, 9/1/33 (AMBAC)
   Aaa/AAA     4,901,450  
  500    
Rocklin Unified School Dist. Community Facs.,
           
       
Special Tax, 5.00%, 9/1/29 (MBIA)
   Aaa/AAA     501,545  
  1,360    
Sacramento City Financing Auth. Rev.,
           
       
North Natomas CFD No. 2, 6.25%, 9/1/23, Ser. A
   NR/NR     1,319,989  
  10,820    
Sacramento Cnty. Water Financing Auth. Rev.,
           
       
5.00%, 6/1/11, (Pre-refunded @ $100, 6/1/13) (AMBAC)(b)(g)
   Aaa/AAA     11,657,577  
  8,000    
Sacramento Municipal Utility Dist. Rev.,
           
       
5.00%, 8/15/33, Ser. R (MBIA)
   A1/AA     7,842,560  
  12,075    
San Diego Community College Dist., GO, 5.00%, 5/1/11, Ser. A (FSA)(g)
   Aaa/AAA     12,312,636  
       
San Diego Community Facs. Dist. No. 3, Special Tax, Ser. A (a),
            
  890    
5.60%, 9/1/21
   NR/NR     870,491  
  580    
5.70%, 9/1/26
   NR/NR     537,886  
  1,700    
5.75%, 9/1/36
   NR/NR     1,530,017  
       
San Diego Unified School Dist., GO, Ser. E (FSA),
            
  11,000    
5.00%, 7/1/26
   Aaa/AAA     11,662,090  
  8,425    
5.00%, 7/1/28
   Aaa/AAA     8,932,101  

 

 

PIMCO California Municipal Income Fund III Schedule of Investments
June 30, 2008 (unaudited)
                     
Principal                
Amount         Credit Rating      
(000)         (Moody’s/S&P)   Value*  
 
$ 1,500    
San Diego Univ. Foundation Auxiliary Organization,
           
       
Rev., 5.00%, 3/1/27, Ser. A (MBIA)
   Aaa/AAA   $ 1,523,445  
  3,000    
San Jose, Libraries & Parks, GO, 5.125%, 9/1/31
   Aa1/AAA     3,045,660  
  15,700    
San Marcos Public Facs. Auth.,
           
       
Tax Allocation, 5.00%, 8/1/33, Ser. A (FGIC)
   A3/A-     14,862,562  
       
Santa Ana Unified School Dist., GO, Ser. B (FGIC),
            
  2,515    
zero coupon, 8/1/26
   A3/A+     946,420  
  3,520    
zero coupon, 8/1/28
   A3/A+     1,165,859  
  2,500    
zero coupon, 8/1/30
   A3/A+     727,525  
  3,780    
zero coupon, 8/1/31
   A3/A+     1,033,225  
  3,770    
zero coupon, 8/1/32
   A3/A+     969,606  
       
Santa Margarita Water Dist., Special Tax,
            
  1,820    
6.25%, 9/1/29
   NR/NR     1,821,347  
  4,125    
6.25%, 9/1/29, (Pre-refunded @ $102, 9/1/09) (b)
   NR/NR     4,386,768  
  3,550    
Santa Monica Community College Dist.,
           
       
GO, zero coupon, 8/1/27, Ser. C (MBIA)
   Aaa/AAA     1,249,280  
  4,425    
South Tahoe JT Powers Financing Auth. Rev., 5.45%, 10/1/33
   NR/BBB     4,226,229  
       
Southern CA Public Power Auth., Power Project Rev., Ser. A,
            
       
(Pre-refunded @ $100, 7/1/13) (AMBAC)(b)(g),
            
  15,010    
5.00%, 7/1/33
   Aaa/AAA     16,190,386  
  4,095    
State Department Veteran Affairs Home Purchase Rev.,
           
       
5.35%, 12/1/27, Ser. A (AMBAC)
   Aaa/AAA     4,168,669  
       
State Public Works Board Lease Rev.,
            
  1,105    
Patton, 5.375%, 4/1/28
   A2/A     1,132,526  
  4,600    
Univ. CA M.I.N.D. Inst., 5.00%, 4/1/28, Ser. A
   Aa2/AA-     4,661,640  
       
State, GO,
            
  265    
5.00%, 6/1/37
   A1/A+     260,217  
  10,300    
5.00%, 11/1/37(g)
   A1/A+     10,112,643  
  4,000    
5.00%, 12/1/37
   A1/A+     3,927,280  
       
Statewide Community Dev. Auth. Rev.,
            
  1,150    
Baptist Univ., 5.50%, 11/1/38, Ser. A
   NR/NR     1,023,293  
  2,500    
Berkeley Montessori School, 7.25%, 10/1/33
   NR/NR     2,538,175  
       
Catholic Healthcare West,
            
  1,200    
5.50%, 7/1/31, Ser. D
   A2/A     1,190,736  
  1,200    
5.50%, 7/1/31, Ser. E
   A2/A     1,190,736  
  15,000    
Health Facs., Memorial Health Services, 5.50%, 10/1/33, Ser. A
   NR/A+     14,837,100  
  1,250    
Huntington Park Chapter School, 5.25%, 7/1/42, Ser. A
   NR/NR     1,031,087  
  3,505    
Internext Group, CP, 5.375%, 4/1/30
   NR/BBB     3,170,763  
  7,300    
Jewish Home, 5.50%, 11/15/33 (CA St. Mtg.)
   NR/A+     7,404,317  
  10,000    
Sutter Health, 5.50%, 8/15/34, Ser. B
   Aa3/AA-     10,083,500  
  2,500    
Valleycare Health, 5.125%, 7/15/31, Ser. A
   NR/NR     2,081,875  
  975    
Windrush School, 5.50%, 7/1/37
   NR/NR     848,474  
  2,000    
Tamalpais Union High School Dist., GO, 5.00%, 8/1/26 (MBIA)
   Aaa/AAA     2,034,560  
  2,000    
Temecula Public Financing Auth. Community Facs. Dist.,
           
       
Crowne Hill, Special Tax, 6.00%, 9/1/33, Ser. A
   NR/NR     1,865,180  
       
Tobacco Securitization Agcy. Rev.,
           
       
Alameda Cnty.,
            
  8,100    
5.875%, 6/1/35
   Baa3/NR     7,421,544  
  7,000    
6.00%, 6/1/42
   Baa3/NR     6,407,170  
  4,860    
Gold Cnty., zero coupon, 6/1/33
   NR/BBB     736,047  
  2,000    
Kern Cnty., 6.125%, 6/1/43, Ser. A
   NR/BBB     1,863,140  
  5,000    
Tobacco Securitization Auth. of Southern California Rev.,
5.00%, 6/1/37, Ser. A-1
   Baa3/BBB     3,927,450  

 

 

PIMCO California Municipal Income Fund III Schedule of Investments
June 30, 2008 (unaudited)
                     
Principal                
Amount         Credit Rating      
(000)         (Moody’s/S&P)   Value*  
 
$ 2,950    
Torrance Medical Center Rev., 5.50%, 6/1/31, Ser. A
   A1/A+   $ 2,973,541  
       
Univ. Rev. (FSA)(g),
            
  5,500    
4.75%, 5/15/35
   Aaa/AAA     5,361,125  
  21,125    
5.00%, 9/1/33, Ser. Q, (Pre-refunded @ $101, 9/1/11) (b)
   Aaa/AAA     22,621,284  
  2,355    
5.00%, 9/1/34, Ser. Q, (Pre-refunded @ $101, 9/1/11) (b)
   Aaa/AAA     2,521,805  
  1,000    
West Basin Municipal Water Dist. Rev.,
           
       
CP, 5.00%, 8/1/30, Ser. A (MBIA)
   Aaa/AAA     984,200  
  2,500    
William S. Hart Union High School Dist., Special Tax, 6.00%, 9/1/33
   NR/NR     2,390,525  
  2,750    
Woodland Finance Auth., Lease Rev., 5.00%, 3/1/32 (XLCA)
   A3/A-     2,738,478  
       
 
          
       
Total California Municipal Bonds & Notes (cost—$527,637,108)
         531,487,589  
       
 
          
       
 
            
OTHER MUNICIPAL BONDS & NOTES—4.6%            
       
Florida—0.7%
            
  4,720    
Sarasota Cnty. Health Fac. Auth. Rev., 5.625%, 7/1/27
   NR/NR     4,174,651  
       
 
          
       
 
            
       
Indiana—0.8%
            
  5,000    
Vigo Cnty. Hospital Auth. Rev., 5.70%, 9/1/37 (c)
   NR/NR     4,356,700  
       
 
          
       
 
            
       
Pennsylvania—0.7%
            
       
Allegheny Cnty. Hospital Dev. Auth. Rev., Ser. A,
            
  1,000    
5.00%, 11/15/28
   Ba2/BB     830,890  
  4,000    
5.375%, 11/15/40
   Ba2/BB     3,302,320  
       
 
          
       
 
         4,133,210  
       
 
          
       
 
            
       
Puerto Rico—2.1%
            
       
Electric Power Auth. Power Rev., Ser. NN, (Pre-refunded @ $100, 7/1/13) (b),
            
  1,185    
5.125%, 7/1/29
   A3/AAA     1,282,122  
  315    
5.125%, 7/1/29
   A3/BBB+     340,068  
       
Public Building Auth. Rev., Gov’t Facs.,
            
  4,420    
5.00%, 7/1/36, Ser. I (GTD)
   Baa3/BBB-     4,148,082  
  290    
5.25%, 7/1/36, Ser. D
   Baa3/BBB-     286,645  
       
Sales Tax Financing Corp. Rev., Ser. A,
            
  23,200    
zero coupon, 8/1/47 (AMBAC)
   Aaa/AAA     2,437,392  
  29,200    
zero coupon, 8/1/54 (AMBAC)
   Aaa/AAA     2,003,412  
  26,300    
zero coupon, 8/1/56
   A1/A+     1,483,846  
       
 
          
       
 
         11,981,567  
       
 
          
       
 
            
       
South Dakota—0.3%
            
  2,000    
Minnehaha Cnty. Health Facs. Rev., Bethany Lutheran, 5.50%, 12/1/35
   NR/NR     1,696,100  
       
 
          
       
Total Other Municipal Bonds & Notes (cost—$30,238,852)
         26,342,228  
       
 
          
       
 
            
CALIFORNIA VARIABLE RATE NOTES (a)(c)(d)(e)—0.8%            
       
Los Angeles Unified School Dist., GO (MBIA),
            
  1,745    
18.026%, 1/1/23
   NR/NR     1,530,505  
  2,090    
20.635%, 1/1/11
   NR/NR     3,117,193  
       
 
          
       
Total California Variable Rate Notes (cost—$4,731,043)
         4,647,698  
       
 
          
       
 
            
OTHER VARIABLE RATE NOTES (e)—0.7%            
       
Puerto Rico—0.7%
            
  3,800    
Public Finance Corp. Rev., 5.75%, 8/1/27, Ser. A (cost—$3,958,040)
   Ba1/BBB-     3,827,816  
       
 
          

 

 

PIMCO California Municipal Income Fund III Schedule of Investments
June 30, 2008 (unaudited)
                     
Principal                
Amount         Credit Rating      
(000)         (Moody’s/S&P)   Value*  
 
SHORT-TERM INVESTMENTS—0.2%            
  California Municipal Bonds & Notes—0.1%            
$ 1,000    
Alameda Public Financing Auth. Rev., 7.00%, 6/1/09 (cost—$997,798)
   NR/NR   $ 728,760  
       
 
          
       
 
            
  U.S. Treasury Bills (f)—0.1%            
  450    
1.97%, 9/11/08 (cost—$448,227)
         448,227  
       
 
          
       
Total Short-Term Investments (cost—$1,446,025)
         1,176,987  
       
 
          
       
 
            
       
Total Investments (cost—$568,011,068)—100.0%
       $ 567,482,318  
       
 
          

 

 

Notes to Schedule of Investments:
 
*   Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security are fair valued, in good faith, pursuant to guidelines established by the Board of Trustees or person’s acting at their discretion pursuant to procedures established by the Board of Trustees. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or are valued at the last sale price on the exchange that is the primary market for such securities, or the last quoted bid price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Exchange traded options and futures are valued at the settlement price determined by the relevant exchange. Short-term investments maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold. The Fund’s net asset value is normally determined daily as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NewYork Stock Exchange (“NYSE”) on each day the NYSE is open for business.
 
(a)   Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $7,586,092, representing 1.34% of total investments.
 
(b)   Pre-refunded bonds are collateralized by U.S. Government or other eligible securities which are held in escrow and used to pay principal and interest and retire the bonds at the earliest refunding date (payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate).
 
(c)   144A Security—Security exempt from registration, under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.
 
(d)   Inverse Floater—The interest rate shown bears an inverse relationship to the interest rate on another security or the value of an index.
 
(e)   Variable Rate Notes—Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on June 30, 2008.
 
(f)   All or partial amount segregated as collateral for futures contracts.
 
(g)   Residual Interest Bonds held in Trust—Securities represent underlying bonds transferred to a separate securitization trust established in a tender option bond transaction in which the Fund acquired the residual interest certificates. These securities serve as collateral in a financing transaction.
Glossary:
AMBAC—insured by American Municipal Bond Assurance Corp.
CA Mtg. Ins.—insured by California Mortgage Insurance
CA St. Mtg.—insured by California State Mortgage
CP—Certificates of Participation
FGIC—insured by Financial Guaranty Insurance Co.
FSA—insured by Financial Security Assurance, Inc.
GO—General Obligation Bond
GTD—Guaranteed
MBIA—insured by Municipal Bond Investors Assurance
NR—Not Rated
TCRS—Temporary Custodian Receipts
XLCA—insured by XL Capital Assurance
Other Investments:
(1) Futures contracts outstanding at June 30, 2008:
                                 
            Market              
            Value     Expiration     Unrealized  
  Type   Contracts     (000)     Date     Depreciation  
 
Short: U.S. Treasury Bond Futures
     (1,296 )   $ (149,810 )     9/19/08     $ (736,374 )
 
                              
The Fund pledged $4,270,000 in cash as collateral for futures contracts.
(2) Transactions in options written for the nine months ended June 30, 2008:
                 
      Contracts   Premiums
 
Options outstanding, September 30, 2007
     —     $ —  
Options written
     1,285       918,253  
Options expired
     (1,285 )     (918,253 )
               
Options outstanding, June 30, 2008
     —     $ —  
         

 

 

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