PIMCO NEW YORK MUNICIPAL INCOME FUND II

Regulatory Filings • Oct 16, 2009

N-Q 1 c58992_n-q.htm

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549

OMB APPROVAL
OMB Number: 3235-0578
Expires: April 30, 2010
Estimated average burden
hours per response: 10.5

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act File Number: 811-21078

Registrant Name: PIMCO New York 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

| PIMCO
New York Municipal Income Fund II Schedule of Investments | | | | |
| --- | --- | --- | --- | --- |
| August 31, 2009 (unaudited) | | | | |
| Principal | | | | |
| Amount | | Credit Rating | | |
| (000) | | (Moody’s/S&P) | Value | * |
| NEW YORK
MUNICIPAL BONDS & NOTES—86.0% | | | | |
| $2,400 | Erie Cnty. Industrial Dev. Agcy. Rev., | | | |
| | Orchard
Park, Inc. Project, 6.00%, 11/15/36, Ser. A | NR/NR | $1,631,904 | |
| | Liberty Dev. Corp. Rev., Goldman Sachs Headquarters, | | | |
| 4,120 | 5.25%,
10/1/35 (f) | A1/A | 4,028,248 | |
| 3,000 | 5.25%,
10/1/35 | A1/A | 2,933,190 | |
| 3,500 | 5.50%,
10/1/37 | A1/A | 3,524,850 | |
| | Metropolitan Transportation Auth. Rev., | | | |
| 1,850 | 5.00%,
11/15/30, Ser. A (FSA) | Aa3/AAA | 1,878,805 | |
| 2,000 | 5.00%,
11/15/34, Ser. B | NR/AA | 2,025,380 | |
| 8,000 | 5.25%,
11/15/31, Ser. E | A2/A | 8,067,280 | |
| 7,000 | 5.35%,
7/1/31, Ser. B | A1/AAA | 7,089,110 | |
| 5,000 | 5.50%,
11/15/39, Ser. A | NR/AA | 5,215,900 | |
| 2,870 | Mortgage Agcy. Rev., 4.75%, 10/1/27, Ser. 128 | Aa1/NR | 2,865,408 | |
| 2,400 | Nassau Cnty. Industrial Dev. Agcy. Rev., | | | |
| | Amsterdam
at Harborside, 6.70%, 1/1/43, Ser. A | NR/NR | 1,873,896 | |
| | New York City Health & Hospital Corp. Rev., Ser. A, | | | |
| 1,100 | 5.375%,
2/15/26 | A1/A+ | 1,109,372 | |
| 2,000 | 5.45%, 2/15/26 | A1/A+ | 2,020,460 | |
| | New York City Industrial Dev. Agcy. Rev., | | | |
| 975 | Eger Harbor
Project, 4.95%, 11/20/32, Ser. A (GNMA) | NR/AA+ | 947,739 | |
| 1,415 | Liberty
Interactive Corp., 5.00%, 9/1/35 | Ba2/BB+ | 1,025,479 | |
| 1,500 | Queens
Baseball Stadium, 6.50%, 1/1/46 | Aa2/AAA | 1,629,840 | |
| 1,190 | Staten
Island Univ. Hospital Project, 6.45%, 7/1/32, Ser. C | Ba2/NR | 1,036,811 | |
| 1,500 | United
Jewish Appeal Fed. Project, 5.00%, 7/1/27, Ser. A | Aa1/NR | 1,555,845 | |
| | Yankee
Stadium, | | | |
| 5,000 | 5.00%,
3/1/31 (FGIC) | Baa3/BBB- | 4,669,150 | |
| 2,400 | 5.00%,
3/1/36 (NPFGC) | Baa1/A | 2,159,664 | |
| 4,900 | 7.00%,
3/1/49 | Aa2/AAA | 5,403,671 | |
| | New York City Municipal Water Finance Auth. Rev., | | | |
| 1,500 | 5.25%,
6/15/40, Ser. EE | Aa3/AA+ | 1,578,420 | |
| 500 | Second Gen. Resolution, 5.00%, 6/15/39, Ser. GG-1 | Aa3/AA+ | 506,920 | |
| | New York City Transitional Finance Auth. Rev., | | | |
| 9,000 | 5.00%,
11/1/27, Ser. B | Aa1/AAA | 9,283,140 | |
| 5,000 | 5.25%,
1/15/39, Ser. S-3 | A1/AA- | 5,122,350 | |
| | New York City Trust for Cultural Res. Rev., | | | |
| 2,700 | Julliard
School, 5.00%, 1/1/34, Ser. A | Aa2/AA | 2,789,262 | |
| 7,785 | Wildlife
Conservation Society, 5.00%, 2/1/34 (FGIC-NPFGC) | Aa3/AA- | 7,898,427 | |
| 4,000 | New York City, GO, 5.00%, 3/1/33, Ser. I | Aa3/AA | 4,030,560 | |
| 3,600 | Port Auth. of New York & New Jersey Rev., | | | |
| | 5.00%,
4/15/32, Ser. 125 (FSA) | Aa3/AAA | 3,691,080 | |
| | State Dormitory Auth. Rev., | | | |
| 3,000 | 5.00%,
3/15/38, Ser. A | NR/AAA | 3,068,460 | |
| 1,320 | 5.25%,
9/1/28 (Radian) | Baa3/BBB- | 1,237,078 | |
| 7,490 | 5.50%,
5/15/31, Ser. A (AMBAC) | A1/AA- | 7,920,450 | |
| 2,600 | Catholic
Health of Long Island, 5.10%, 7/1/34 | Baa1/BBB+ | 2,239,770 | |
| 2,000 | Kaleida
Health Hospital, 5.05%, 2/15/25 (FHA) | NR/AAA | 2,014,980 | |
| 5,300 | Lenox Hill
Hospital, 5.50%, 7/1/30 | Ba1/NR | 4,384,372 | |
| | Memorial
Sloan-Kettering Cancer Center, | | | |
| 2,750 | 5.00%,
7/1/35, Ser. 1 | Aa2/AA | 2,734,022 | |
| 2,000 | 5.00%,
7/1/36, Ser. A1 | Aa2/AA | 1,982,340 | |
| 2,100 | New York
Univ., 5.00%, 7/1/38, Ser. A | Aa3/AA- | 2,129,799 | |
| 1,000 | New York
Univ. Hospital, 5.625%, 7/1/37, Ser. B | Baa2/BB+ | 865,090 | |
| 5,850 | North
General Hospital, 5.00%, 2/15/25 | NR/AA- | 5,890,306 | |
| 600 | North
Shore-Long Island Jewish Health System, 5.50%, 5/1/37, Ser. A (c) | Baa1/A- | 588,018 | |
| 5,000 | Rochester
General Hospital, 5.00%, 12/1/35 (Radian) | NR/BBB- | 4,226,700 | |

| PIMCO
New York Municipal Income Fund II Schedule of Investments | | | | |
| --- | --- | --- | --- | --- |
| August 31, 2009 (unaudited) | | | | |
| Principal | | | | |
| Amount | | Credit Rating | | |
| (000) | | (Moody’s/S&P) | Value | * |
| | Teachers College, | | | |
| $4,270 | 5.00%,
7/1/32 (NPFGC) | A1/NR | $4,303,263 | |
| 3,000 | 5.50%,
3/1/39 | A1/NR | 3,062,250 | |
| 3,000 | Yeshiva
Univ., 5.125%, 7/1/34 (AMBAC) | Aa3/NR | 3,023,370 | |
| 5,000 | State
Environmental Facs. Corp. Rev., 5.125%, 6/15/38, Ser. A | Aa1/AA+ | 5,180,650 | |
| 1,000 | State
Thruway Auth. Rev., 4.75%, 1/1/29, Ser. G (FSA) | Aa3/AAA | 1,012,630 | |
| 6,000 | State Urban
Dev. Corp. Rev., 5.00%, 3/15/36, Ser. B-1 (f) | NR/AAA | 6,127,680 | |
| | Triboro
Bridge & Tunnel Auth. Rev., | | | |
| 710 | 5.00%,
1/1/32, Ser. A (FGIC-TCRS) | Aa2/AA- | 717,874 | |
| 5,000 | 5.25%,
11/15/34, Ser. A-2 (f) | Aa2/AA- | 5,248,850 | |
| 1,815 | Ulster
Cnty. Industrial Dev. Agcy. Rev., 6.00%, 9/15/37, Ser. A | NR/NR | 1,301,954 | |
| 2,000 | Warren
& Washington Cntys. Industrial Dev. Agcy. Rev., | | | |
| | Glens Falls
Hospital Project, 5.00%, 12/1/35, Ser. A (FSA) | Aa3/AAA | 1,971,080 | |
| | Total New
York Municipal Bonds & Notes (cost—$168,393,545) | | 168,823,147 | |
| OTHER MUNICIPAL BONDS &
NOTES—7.8% | | | | |
| | California—0.5% | | | |
| 1,000 | Health
Facs. Financing Auth. Rev., | | | |
| | Catholic
Healthcare West, 6.00%, 7/1/39, Ser. A | A2/A | 972,440 | |
| | Florida—1.0% | | | |
| 1,000 | Clearwater
Water Rev., 5.25%, 12/1/39, Ser. A | A2/AA- | 1,010,180 | |
| 1,000 | Miami-Dade
Cnty. Rev., 5.50%, 10/1/36, Ser. A | A2/A- | 1,002,250 | |
| | | | 2,012,430 | |
| | Louisiana—0.5% | | | |
| 1,000 | Parish of
East Baton Rouge Rev., 5.25%, 2/1/39, Ser. A | A1/AA- | 1,019,290 | |
| | Puerto
Rico—5.8% | | | |
| 4,600 | Aqueduct
& Sewer Auth. Rev., 6.00%, 7/1/38, Ser. A | Baa3/BBB- | 4,615,180 | |
| 5,675 | Children’s
Trust Fund Tobacco Settlement Rev., 5.625%, 5/15/43 | Baa3/BBB | 4,238,204 | |
| | Sales Tax
Financing Corp. Rev., Ser. A, | | | |
| 14,250 | zero
coupon, 8/1/54 (AMBAC) | A1/AA- | 848,872 | |
| 12,900 | zero
coupon, 8/1/56 | Aa3/AA- | 677,766 | |
| 1,000 | 5.75%,
8/1/37 | A2/A+ | 1,027,310 | |
| | | | 11,407,332 | |
| | Total Other
Municipal Bonds & Notes (cost—$17,421,406) | | 15,411,492 | |
| NEW YORK VARIABLE RATE NOTES (a)(b)(d) —3.1% | | | | |
| | JPMorgan
Chase Putters/Drivers Trust Rev., | | | |
| 5,000 | 7.804%,
7/1/33, Ser. 3382 | Aa1/NR | 5,410,450 | |
| 500 | 8.357%,
6/15/31, Ser. 3223 | NR/AA+ | 560,635 | |
| | Total New
York Variable Rate Notes (cost—$5,393,508) | | 5,971,085 | |
| CORPORATE BONDS & NOTES (e) —2.5% | | | | |
| 4,300 | American
General Finance Corp., 4.625%, 9/1/10 | Baa3/BB+ | 3,744,204 | |
| 1,900 | CIT Group,
Inc., 5.80%, 7/28/11 | Ca/CC | 1,131,640 | |
| | Total
Corporate Bonds & Notes (cost—$4,661,751) | | 4,875,844 | |
| SHORT-TERM INVESTMENTS (e) —0.6% | | | | |
| Corporate
Notes—0.6% | | | | |
| 700 | American
General Finance Corp., 0.945%, 10/2/09, FRN | Baa3/BB+ | 693,480 | |
| | International Lease Finance Corp., FRN, | | | |
| 300 | 0.627%, 5/24/10 | Baa3/BBB+ | 278,803 | |
| 200 | 0.909%, 1/15/10 | Baa3/BBB+ | 193,616 | |
| | Total Corporate Notes (cost—$1,127,714) | | 1,165,899 | |
| | Total Investments (cost—$196,997,924) —100.0% | | $196,247,467 | |

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 $5,971,085, representing 3.1%
of total investments. |
| (b) | 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. |
| (c) | Delayed-delivery
security. To be settled/delivered after August 31, 2009. |
| (d) | 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. |
| (e) | All
or partial amount segregated as collateral for reverse repurchase agreements. |
| (f) | 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. |
| 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. |
| GNMA—insured
by Government National Mortgage Association |
| GO—General
Obligation Bond |
| NPFGC—insured
by National Public Finance Guarantee Corporation |
| NR—Not
Rated |
| Radian—insured
by Radian Guaranty, Inc. |
| 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 $5,910,695 at a weighted average interest rate of 0.82%. 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 $6,041,742. Open reverse repurchase agreements at August 31, 2009:

Counterparty	Rate	Trade Date	Maturity Date
Barclays
Bank	0.75 %	8/6/09	9/4/09	$3,380,830	$3,379,000
	1.50 %	8/6/09	9/4/09	813,881	813,000
Credit
Suisse First Boston	0.75 %	8/17/09	9/17/09	407,127	407,000
					$4,599,000

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 at August 31, 2009, in valuing the Fund’s assets and liabilities is listed below by investment type.

		Level 2 - — Other Significant	Level 3 - — Significant
Level 1 -		Observable	Unobservable	Value at
Quoted Prices		Inputs	Inputs	8/31/2009
Investments
in Securities - Assets
New York Municipal Bonds & Notes	—	$ 168,823,147	—	$ 168,823,147
Other Municipal Bonds & Notes	—	15,411,492	—	15,411,492
New York Variable Rate Notes	—	5,971,085	—	5,971,085
Corporate Bonds & Notes	—	4,875,844	—	4,875,844
Short-Term
Investments	—	1,165,899	—	1,165,899
Total Investments in Securities	—	$ 196,247,467	—	$ 196,247,467

Item 2. Controls and Procedures

(a) The registrant’s President & Chief Executive Officer and Treasurer, 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 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 New York 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