UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
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OMB APPROVAL |
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OMB Number: 3235-0578 |
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Expires: April 30, 2010 |
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Estimated average burden |
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hours per response: 10.5 |
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act File Number: 811-21077
Registrant Name: PIMCO California Municipal Income Fund II
| Address of Principal Executive Offices: | 1345 Avenue of the Americas |
| New York, New York 10105 | |
| Name and Address of Agent for Service: | Lawrence G. Altadonna 1345 Avenue of the Americas New York, New York 10105 |
Registrant’s telephone number, including area code: 212-739-3371
Date of Fiscal Year End: May 31, 2010
Date of Reporting Period: August 31, 2009
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 30b 1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-2001. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
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PIMCO California Municipal Income Fund II Schedule of Investments |
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August 31, 2009 (unaudited) |
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Principal |
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Amount |
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Credit Rating |
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(000) |
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(Moody’s/S&P) |
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Value* |
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CALIFORNIA MUNICIPAL BONDS & NOTES—91.5% |
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$5,300 |
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Assoc. of Bay Area Gov’t Finance Auth. Rev., Odd Fellows Home, |
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5.20%, 11/15/22, Ser. A (CA Mtg. Ins.) |
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NR/A |
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$5,388,510 |
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2,000 |
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Bay Area Gov’t Assoc. Lease Rev., 5.00%, 7/1/32, Ser. 2002-1 (AMBAC) |
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NR/AA- |
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2,042,840 |
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Bay Area Toll Auth. Rev., San Francisco Bay Area, |
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5,000 |
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5.00%, 4/1/34, Ser. F1 |
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Aa3/AA |
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5,097,650 |
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20,000 |
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5.00%, 4/1/39, Ser. F-1 (h) |
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Aa3/AA |
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20,263,800 |
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1,000 |
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Chula Vista Rev., 5.875%, 2/15/34, Ser. B |
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Aa3/A+ |
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1,015,080 |
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1,410 |
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Community College Financing Auth. Lease Rev., |
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5.00%, 8/1/27, Ser. A (AMBAC) |
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NR/NR |
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1,280,365 |
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9,760 |
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Coronado Community Dev. Agcy., Tax Allocation, 4.875%, 9/1/35 (AMBAC) |
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NR/A |
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7,862,656 |
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Corona-Norco Unified School Dist. Public Financing Auth., Special Tax, |
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1,110 |
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5.10%, 9/1/25 (AMBAC) |
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NR/NR |
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1,116,727 |
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305 |
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5.65%, 9/1/16, Ser. A |
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NR/NR |
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292,260 |
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160 |
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5.75%, 9/1/17, Ser. A |
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NR/NR |
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152,608 |
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530 |
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6.00%, 9/1/20, Ser. A |
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NR/NR |
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498,316 |
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1,000 |
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6.00%, 9/1/25, Ser. A |
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NR/NR |
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904,670 |
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4,150 |
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6.10%, 9/1/32, Ser. A |
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NR/NR |
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3,582,529 |
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3,000 |
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Dinuba Financing Auth. Lease Rev., 5.10%, 8/1/32 (NPFGC) |
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Baa1/A |
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2,959,950 |
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8,300 |
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El Dorado Irrigation Dist. & El Dorado Water Agcy., CP, |
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5.75%, 8/1/39, Ser. A |
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Aa2/AAA |
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8,527,752 |
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1,500 |
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Foothill Eastern Corridor Agcy. Toll Road Rev., |
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5.875%, 1/15/27 (IBC-NPFGC) |
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Baa1/A |
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1,366,800 |
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1,440 |
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Fremont Community Dist., Special Tax, 5.30%, 9/1/30 |
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NR/NR |
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1,055,736 |
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Golden State Tobacco Securitization Corp. Rev., |
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13,885 |
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5.00%, 6/1/45 (AMBAC-TCRS) |
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Baa2/A- |
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11,889,170 |
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1,500 |
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5.00%, 6/1/45, Ser. A |
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Baa2/A- |
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1,284,390 |
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6,000 |
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5.00%, 6/1/45, Ser. A (FGIC-TCRS) |
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Baa2/A- |
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5,137,560 |
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500 |
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Hartnell Community College Dist., GO, 1.00%, 8/1/34, Ser. D (d) |
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A1/AA- |
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205,675 |
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Health Facs. Financing Auth. Rev., Ser. A, |
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Adventist Health Systems, |
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500 |
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5.00%, 3/1/33 |
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NR/A |
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431,460 |
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250 |
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5.75%, 9/1/39 |
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NR/A |
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242,025 |
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Catholic Healthcare West, |
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495 |
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5.00%, 7/1/28 |
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A2/A |
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447,297 |
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3,000 |
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6.00%, 7/1/39 |
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A2/A |
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2,917,320 |
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Children’s Hospital of Orange Cnty., |
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500 |
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6.50%, 11/1/38 |
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NR/A |
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502,415 |
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175 |
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Infrastructure & Economic Dev. Bank Rev., 5.25%, 2/1/38 |
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A1/A+ |
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165,146 |
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1,000 |
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Lancaster Redev. Agcy., Tax Allocation, 6.875%, 8/1/39 (d) |
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NR/A |
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995,510 |
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5,300 |
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Livermore-Amador Valley Water Management Agcy. Rev., |
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5.00%, 8/1/31, Ser. A (AMBAC) |
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A1/NR |
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5,189,230 |
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7,500 |
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Long Beach Bond Finance Auth. Rev., Long Beach Natural Gas, |
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5.50%, 11/15/37, Ser. A |
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A2/A |
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6,567,750 |
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10,000 |
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Long Beach Unified School Dist., GO, 5.25%, 8/1/33, Ser. A (h) |
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Aa3/AA- |
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10,208,700 |
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Los Angeles, CP (NPFGC), |
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9,895 |
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5.00%, 2/1/27 |
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A1/AA- |
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9,898,958 |
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2,685 |
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5.00%, 10/1/27, Ser. AU |
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A2/AA- |
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2,716,925 |
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10,000 |
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Los Angeles Community College Dist., GO, 5.00%, 8/1/33, Ser. F-1 (h) |
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Aa2/AA |
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10,049,500 |
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Los Angeles Department of Water & Power Rev., |
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15,000 |
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4.75%, 7/1/30, Ser. A-2 (FSA) (h) |
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Aa3/AAA |
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15,135,900 |
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16,950 |
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5.125%, 7/1/41, Ser. A (FGIC-NPFGC-TCRS) |
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Aa3/AA |
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16,973,560 |
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11,000 |
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Los Angeles Unified School Dist., GO, 5.00%, 1/1/34, Ser. I |
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Aa3/AA- |
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11,024,640 |
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PIMCO California Municipal Income Fund II Schedule of Investments |
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August 31, 2009 (unaudited) |
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Principal |
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Amount |
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Credit Rating |
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(000) |
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(Moody’s/S&P) |
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Value |
* |
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Manteca Redev. Agcy., Tax Allocation, |
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$7,295 |
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5.00%, 10/1/32 (FSA) |
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Aa3/AAA |
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$6,958,555 |
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10,000 |
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5.00%, 10/1/36 (AMBAC) |
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NR/A |
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7,767,000 |
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5,330 |
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Manteca Unified School Dist., Special Tax, |
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5.00%, 9/1/29, Ser. C (NPFGC) |
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Baa1/A |
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5,412,828 |
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4,000 |
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Merced Cnty., CP, Juvenile Justice Correctional Fac., |
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5.00%, 6/1/32 (AMBAC) |
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A3/NR |
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3,867,800 |
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5,000 |
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Metropolitan Water Dist. of Southern California Rev., |
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5.00%, 7/1/37, Ser. A (h) |
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Aa2/AAA |
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5,083,850 |
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4,700 |
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Moreno Valley Unified School Dist. Community Facs. Dist., |
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Special Tax, 5.20%, 9/1/36 |
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NR/NR |
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3,125,406 |
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1,400 |
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M-S-R Energy Auth. Rev., 6.50%, 11/1/39, Ser. B (d) |
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NR/A |
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1,412,824 |
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5,000 |
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Oakland Unified School Dist., GO, 6.125%, 8/1/29, Ser. A |
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Baa1/BBB+ |
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5,124,650 |
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10,000 |
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Placentia-Yorba Linda Unified School Dist., CP, |
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5.00%, 10/1/32 (FGIC-NPFGC) |
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A2/A+ |
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9,958,900 |
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3,510 |
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Riverside, CP, 5.00%, 9/1/33 (AMBAC) |
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NR/A+ |
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3,308,877 |
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Riverside Unified School Dist. Community Facs. Dist. No. 15, |
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Special Tax, Ser. A, |
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1,000 |
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5.15%, 9/1/25 |
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NR/NR |
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775,400 |
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1,000 |
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5.25%, 9/1/30 |
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NR/NR |
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752,830 |
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1,000 |
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5.25%, 9/1/35 |
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NR/NR |
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729,960 |
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Roseville Redev. Agcy., Tax Allocation, Ser. B (NPFGC), |
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3,730 |
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5.00%, 9/1/27 |
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A3/A |
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3,210,523 |
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3,365 |
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5.00%, 9/1/32 |
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A3/A |
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2,686,751 |
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1,985 |
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5.00%, 9/1/33 |
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A3/A |
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1,569,659 |
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7,500 |
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San Bernardino Community College Dist., GO, 6.25%, 8/1/33, Ser. A |
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Aa3/AA- |
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8,234,925 |
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4,300 |
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San Diego Cnty. Water Auth., CP, 5.00%, 5/1/29, Ser. A (NPFGC) |
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Aa3/AA+ |
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4,351,299 |
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San Diego Public Facs. Financing Auth. Rev., |
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655 |
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5.00%, 5/15/29, Ser. A (FGIC-NPFGC) |
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A2/A+ |
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659,297 |
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11,000 |
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5.00%, 8/1/32 (NPFGC) |
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A2/A+ |
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10,999,560 |
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4,000 |
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5.25%, 8/1/38, Ser. A |
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A1/AA- |
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4,056,640 |
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1,000 |
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5.25%, 5/15/39, Ser. A |
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A2/A+ |
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1,018,180 |
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Fire & Life Safety Facs., |
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1,500 |
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5.00%, 4/1/32, Ser. B (NPFGC) |
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Baa1/A |
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1,356,945 |
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2,800 |
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San Diego Regional Building Auth. Rev., |
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Cnty. Operations Center & Annex, 5.375%, 2/1/36, Ser. A |
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A1/AA+ |
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2,811,144 |
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5,000 |
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San Diego Unified School Dist., GO, 4.75%, 7/1/27, Ser. D-2 (FSA) |
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Aa2/AAA |
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5,071,500 |
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San Francisco City & Cnty., |
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300 |
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5.25%, 4/1/31, CP, Ser. A |
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A1/AA- |
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300,882 |
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5,585 |
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Airports Commission Rev., 4.50%, 5/1/28, Ser. 2 (NPFGC) |
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A1/A |
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5,177,965 |
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10,190 |
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San Jose Libraries & Parks Project, GO, 5.125%, 9/1/31 |
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Aa1/AAA |
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10,376,273 |
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14,970 |
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San Jose Libraries, Parks & Public Safety Projects, GO, |
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5.00%, 9/1/32 (NPFGC) (h) |
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Aa1/AAA |
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15,248,891 |
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9,150 |
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San Jose Unified School Dist., Santa Clara Cnty., GO, |
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5.00%, 8/1/27, Ser. A (FSA) |
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Aa3/AAA |
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9,391,194 |
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1,730 |
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San Rafael City High School Dist., GO, 5.00%, 8/1/27, Ser. B (FSA) |
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Aa3/AAA |
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1,777,990 |
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1,280 |
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San Rafael Elementary School Dist., GO, 5.00%, 8/1/27, Ser. B (FSA) |
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Aa3/AAA |
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1,315,507 |
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1,260 |
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Santa Cruz Cnty., CP, 5.25%, 8/1/32 |
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A3/NR |
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1,262,633 |
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1,500 |
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Santa Cruz Cnty. Redev. Agcy., Tax Allocation, 7.00%, 9/1/36, Ser. A |
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A2/A |
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1,584,975 |
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State, GO, |
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2,500 |
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5.00%, 9/1/31 |
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Baa1/A |
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2,438,125 |
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|
900 |
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5.00%, 12/1/37 |
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Baa1/A |
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|
855,558 |
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7,000 |
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5.00%, 4/1/38 |
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Baa1/A |
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6,643,070 |
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11,000 |
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6.00%, 4/1/38 |
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Baa1/A |
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11,656,700 |
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PIMCO California Municipal Income Fund II Schedule of Investments |
||||||||||
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August 31, 2009 (unaudited) |
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|
Principal |
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|
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|||
|
Amount |
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|
|
Credit Rating |
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|
|
|||
|
(000) |
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|
(Moody’s/S&P) |
|
Value* |
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|||
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$7,915 |
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State Public Works Board Rev., Regents Univ., |
|
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|
|
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|
|
|
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5.00%, 3/1/33, Ser. A |
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Aa2/AA- |
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$7,860,861 |
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Statewide Communities Dev. Auth. Rev., |
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|
|
|
|
|
|
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3,455 |
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Bentley School, 6.75%, 7/1/32 (a)(b) |
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NR/NR |
|
|
2,989,577 |
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|
|
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Catholic Healthcare West, |
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|
|
|
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|
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1,800 |
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5.50%, 7/1/31, Ser. D |
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A2/A |
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1,716,336 |
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|
1,800 |
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5.50%, 7/1/31, Ser. E |
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|
A2/A |
|
|
1,716,318 |
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|
1,250 |
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Huntington Park Chapter School Project, 5.25%, 7/1/42, Ser. A |
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NR/NR |
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|
782,612 |
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|
|
2,770 |
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Kaiser Permanente, 5.50%, 11/1/32, Ser. A |
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|
NR/A+ |
|
|
2,644,242 |
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9,700 |
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Los Angeles Jewish Home, 5.50%, 11/15/33 (CA St. Mtg.) |
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NR/A |
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9,396,584 |
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Methodist Hospital Project (FHA), |
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|
|
|
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2,000 |
|
6.25%, 8/1/24 |
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Aa2/AA |
|
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2,177,100 |
|
|
|
2,400 |
|
6.625%, 8/1/29 |
|
|
Aa2/AA |
|
|
2,636,760 |
|
|
|
8,800 |
|
6.75%, 2/1/38 |
|
|
Aa2/AA |
|
|
9,603,176 |
|
|
|
500 |
|
Peninsula Project, 5.00%, 11/1/29 |
|
|
NR/NR |
|
|
343,055 |
|
|
|
3,700 |
|
St. Joseph, 5.75%, 7/1/47, Ser. A (FGIC) |
|
|
A1/AA- |
|
|
3,689,011 |
|
|
|
1,365 |
|
Windrush School, 5.50%, 7/1/37 |
|
|
NR/NR |
|
|
986,349 |
|
|
|
1,510 |
|
Statewide Financing Auth. Tobacco Settlement Rev., |
|
|
|
|
|
|
|
|
|
|
|
5.625%, 5/1/29, Ser. A |
|
|
Baa3/NR |
|
|
1,364,376 |
|
|
|
|
|
Tobacco Securitization Agcy. Rev., |
|
|
|
|
|
|
|
|
|
4,500 |
|
Alameda Cnty., 6.00%, 6/1/42 |
|
|
Baa3/NR |
|
|
3,680,145 |
|
|
|
1,800 |
|
Stanislaus Funding, 5.875%, 6/1/43, Ser. A |
|
|
Baa3/NR |
|
|
1,442,268 |
|
|
|
|
|
Univ. of California Rev., |
|
|
|
|
|
|
|
|
|
5,500 |
|
4.75%, 5/15/35, Ser. F (FSA) (h) |
|
|
Aa1/AAA |
|
|
5,379,770 |
|
|
|
5,000 |
|
4.75%, 5/15/35, Ser. G (FGIC-NPFGC) (h) |
|
|
Aa1/AA |
|
|
4,819,900 |
|
|
|
5,650 |
|
4.75%, 5/15/38, Ser. B |
|
|
Aa2/AA- |
|
|
5,312,751 |
|
|
|
|
|
Ventura Cnty. Community College Dist., GO, |
|
|
|
|
|
|
|
|
|
10,000 |
|
5.00%, 8/1/27, Ser. A (NPFGC) (h) |
|
|
Aa3/AA |
|
|
10,220,300 |
|
|
|
5,000 |
|
5.50%, 8/1/33, Ser. C |
|
|
Aa3/AA |
|
|
5,148,750 |
|
|
|
1,555 |
|
Ventura Unified School Dist., GO, 5.00%, 8/1/32, Ser. F (FSA) |
|
|
Aa3/AAA |
|
|
1,563,288 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total California Municipal Bonds & Notes (cost—$412,857,483) |
|
|
|
|
|
429,199,975 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
CALIFORNIA VARIABLE RATE NOTES (a)(c)(f)—3.3% |
||||||||||
|
|
6,035 |
|
Desert Community College Dist., GO, |
|
|
|
|
|
|
|
|
|
|
|
7.86%, 8/1/32, Ser. 3016 (FSA) (e) |
|
|
NR/AAA |
|
|
6,148,699 |
|
|
|
4,000 |
|
Los Angeles Community College Dist., GO, |
|
|
|
|
|
|
|
|
|
|
|
zero coupon, 8/1/33, Ser. 3096 (b)(d)(e) |
|
|
NR/AA |
|
|
4,058,600 |
|
|
|
5,000 |
|
San Diego Community College Dist., GO, 8.265%, 2/1/17 |
|
|
NR/AA+ |
|
|
5,363,950 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total California Variable Rate Notes (cost—$14,961,735) |
|
|
|
|
|
15,571,249 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
OTHER MUNICIPAL BONDS & NOTES—1.6% |
||||||||||
|
|
|
|
New York—0.7% |
|
|
|
|
|
|
|
|
|
1,250 |
|
Liberty Dev. Corp. Rev., Goldman Sachs Headquarters, 5.25%, 10/1/35 |
|
|
A1/A |
|
|
1,222,163 |
|
|
|
1,900 |
|
New York City Municipal Water Finance Auth. Rev., |
|
|
|
|
|
|
|
|
|
|
|
5.00%, 6/15/37, Ser. D (h) |
|
|
Aa2/AAA |
|
|
1,918,848 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
3,141,011 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Puerto Rico—0.9% |
|||||||
|
|
2,200 |
|
Aqueduct & Sewer Auth. Rev., 6.00%, 7/1/38, Ser. A |
|
|
Baa3/BBB- |
|
|
2,207,260 |
|
|
|
2,505 |
|
Public Building Auth. Rev., Gov’t Facs., 5.00%, 7/1/36, Ser. I (GTD) |
|
|
Baa3/BBB- |
|
|
2,072,687 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
4,279,947 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total Other Municipal Bonds & Notes (cost—$7,192,482) |
|
|
|
|
|
7,420,958 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
||||||||||
|
|
|
|
Financial Services—0.6% |
|
|
|
|
|
|
|
|
|
3,540 |
|
International Lease Finance Corp., 5.40%, 2/15/12 (cost—$2,782,268) |
|
|
Baa3/BBB+ |
|
|
2,921,877 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS (g)—3.0% |
||||||||||
|
Corporate Notes—3.0% |
|
|
|
|
|
|||||
|
|
|
|
Financial Services—3.0% |
|
|
|
|
|
|
|
|
|
|
|
American General Finance Corp., |
|
|
|
|
|
|
|
|
|
500 |
|
3.875%, 10/1/09 |
|
|
Baa3/BB+ |
|
|
495,258 |
|
|
|
6,000 |
|
5.375%, 9/1/09 |
|
|
Baa3/BB+ |
|
|
6,000,000 |
|
|
|
|
|
International Lease Finance Corp., |
|
|
|
|
|
|
|
|
|
700 |
|
0.627%, 5/24/10, FRN |
|
|
Baa3/BBB+ |
|
|
650,539 |
|
|
|
500 |
|
0.909%, 1/15/10, FRN |
|
|
Baa3/BBB+ |
|
|
484,040 |
|
|
|
1,839 |
|
4.375%, 11/1/09 |
|
|
Baa3/BBB+ |
|
|
1,818,370 |
|
|
|
5,000 |
|
SLM Corp., 0.664%, 7/26/10, FRN |
|
|
Ba1/BBB- |
|
|
4,574,650 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
Total Corporate Notes (cost—$13,999,079) |
|
|
|
|
|
14,022,857 |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments (cost—$451,793,047)—100.0% |
|
|
|
|
|
$469,136,916 |
|
|
|
|
|
|
|
|
|
|
|||
Notes to Schedule of Investments:
|
|
|
|
* |
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or independent pricing services. |
|
|
|
|
|
Portfolio securities and other financial instruments for which market quotations are not readily available or for which a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Trustees, or persons acting at their discretion pursuant to procedures established by the Board of Trustees. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the last quoted mean price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Exchange-traded futures and options on futures are valued at the settlement price determined by the relevant exchange. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement value. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. |
|
|
|
|
|
The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold and these differences could be material. The Fund’s net asset value is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“NYSE”) on each day the NYSE is open for business. |
|
|
|
|
(a) |
Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $18,560,826, representing 4.0% of total investments. |
|
(b) |
Illiquid security. |
|
(c) |
144A 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) |
When-issued or delayed-delivery security. To be settled/delivered after August 31, 2009. |
|
(e) |
Inverse Floater—The interest rate shown bears an inverse relationship to the interest rate on another security or the value of an index. The interest rate disclosed reflects the rate in effect on August 31, 2009. |
|
(f) |
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 August 31, 2009. |
|
(g) |
All or partial amount segregated as collateral for reverse repurchase agreements. |
|
(h) |
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. |
|
FHA—insured by Federal Housing Administration |
|
FRN—Floating Rate Note. The interest rate disclosed reflects the rate in effect on August 31, 2009. |
|
FSA—insured by Financial Security Assurance, Inc. |
|
GO—General Obligation Bond |
|
GTD—Guaranteed |
|
IBC—Insurance Bond Certificate |
|
NPFGC—insured by National Public Finance Guarantee Corporation |
|
NR—Not Rated |
|
TCRS—Temporary Custodian Receipts |
Other Investments:
(A) The weighted average daily balance of reverse repurchase agreements outstanding during the three months ended August 31, 2009 was $18,283,202 at a weighted average interest rate of 0.83%. The total market value of underlying collateral (refer to the Schedule of Investments for positions segregated as collateral for reverse repurchase agreement) for open reverse repurchase agreements at August 31, 2009 was $16,944,734. Open reverse repurchase agreements at August 31, 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Rate |
|
Trade Date |
|
Maturity Date |
|
Principal & Interest |
|
Principal |
|
|||||||||||
|
Barclays Bank |
|
|
|
0.75 |
% |
|
|
|
8/4/09 |
|
|
|
|
9/4/09 |
|
|
|
$6,097,555 |
|
|
$6,094,000 |
|
|
|
|
|
|
0.75 |
% |
|
|
|
8/6/09 |
|
|
|
|
9/4/09 |
|
|
|
2,864,551 |
|
|
2,863,000 |
|
|
|
|
|
|
1.50 |
% |
|
|
|
8/20/09 |
|
|
|
|
9/1/09 |
|
|
|
4,412,205 |
|
|
4,410,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$13,367,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Fair Value Measurements–The Fund has adopted Financial Accounting Standards Board (“FASB”) Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of the fair value measurements. Under FAS 157, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy under FAS 157 are described below:
|
|
• |
Level 1 – |
quoted prices in active markets for identical investments that the Fund has the ability to access |
|
|
• |
Level 2 – |
valuations based on other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) or quotes from inactive exchanges |
|
• |
Level 3 – |
valuations based on significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The Fund has adopted FASB Staff Position No. 157-4, “Determining Fair Value When the Volume and Level of Activity for the Asset or Liability have Significantly Decreased and Identifying Transactions that are not Orderly” (“FAS-157-4”). FAS 157-4 provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement. FAS 157-4 emphasizes that even if there has been a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation techniques used, the objective of a fair value measurement remains the same.
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in the aggregate, that is significant to fair value measurement.
The valuation techniques used by the Fund to measure fair value during the three months ended August 31, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
A summary of the inputs used as of August 31, 2009, in valuing the Fund’s assets and liabilities is listed below by investment type.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 2 - |
|
Level 3 - |
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Significant |
|
Significant |
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 - |
|
Observable |
|
Unobservable |
|
Value at |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices |
|
Inputs |
|
Inputs |
|
8/31/2009 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities - Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California Municipal Bonds & Notes |
|
|
— |
|
$ |
429,199,975 |
|
|
— |
|
$ |
429,199,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California Variable Rate Notes |
|
|
— |
|
|
15,571,249 |
|
|
— |
|
|
15,571,249 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Municipal Bonds & Notes |
|
|
— |
|
|
7,420,958 |
|
|
— |
|
|
7,420,958 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes |
|
|
— |
|
|
2,921,877 |
|
|
— |
|
|
2,921,877 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments |
|
|
— |
|
|
14,022,857 |
|
|
— |
|
|
14,022,857 |
|
|
|
|
|
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
|
— |
|
$ |
469,136,916 |
|
|
— |
|
$ |
469,136,916 |
|
|
|
|
|
|
|
|||||||||
(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.
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 II
By /s/ Brian S. Shlissel
President & Chief Executive Officer
Date: October 16, 2009
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: October 16, 2009
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: October 16, 2009
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: October 16, 2009