PIMCO NEW YORK MUNICIPAL INCOME FUND II

Regulatory Filings • Oct 25, 2010

N-Q 1 c63013_n-q.htm

UNITED STATES	OMB APPROVAL
SECURITIES AND EXCHANGE COMMISSION	OMB Number: 3235-0578 Expires: April 30, 2013 Estimated average burden hours per response: 5.6
Washington, DC 20549
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, 2011

Date of Reporting Period: August 31, 2010

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, 2010 (unaudited) | | | | |
| Principal Amount (000s) | | Credit Rating (Moody’s/S&P) | Value | * |
| NEW YORK
MUNICIPAL BONDS & NOTES—84.8% | | | | |
| $1,000 | Chautauqua
Cnty. Industrial Dev. Agcy. Rev., Dunkirk Power Project, 5.875%, 4/1/42 | Baa3/BB+ | $1,055,010 | |
| 2,400 | Erie Cnty.
Industrial Dev. Agcy. Rev., Orchard Park, Inc. Project, 6.00%, 11/15/36, Ser. A | NR/NR | 2,049,936 | |
| | Liberty Dev. Corp. Rev., | | | |
| 500 | 6.375%,
7/15/49 | NR/BBB- | 534,670 | |
| | Goldman
Sachs Headquarters, | | | |
| 3,000 | 5.25%,
10/1/35 | A1/A | 3,190,980 | |
| 4,120 | 5.25%,
10/1/35 (e) | A1/A | 4,382,279 | |
| 3,500 | 5.50%,
10/1/37 | A1/A | 3,868,970 | |
| 500 | Long Island Power Auth. Rev., 5.00%, 9/1/34, Ser. A
(AMBAC) | A3/A- | 516,055 | |
| | Metropolitan Transportation Auth. Rev., | | | |
| 1,850 | 5.00%,
11/15/30, Ser. A (AGM) | Aa3/AAA | 1,941,427 | |
| 2,000 | 5.00%,
11/15/34, Ser. B | NR/AA | 2,157,360 | |
| 8,000 | 5.25%,
11/15/31, Ser. E | A2/A | 8,404,560 | |
| 7,000 | 5.35%,
7/1/31, Ser. B | Aa3/AAA | 7,327,110 | |
| 5,000 | 5.50%,
11/15/39, Ser. A | NR/AA | 5,534,350 | |
| 2,870 | Mortgage Agcy. Rev., 4.75%, 10/1/27, Ser. 128 | Aa1/NR | 2,937,072 | |
| 2,400 | Nassau Cnty. Industrial Dev. Agcy. Rev., Amsterdam at
Harborside, | | | |
| | 6.70%,
1/1/43, Ser. A | NR/NR | 2,428,728 | |
| 4,000 | New York City, GO, 5.00%, 3/1/33, Ser. I | Aa2/AA | 4,153,760 | |
| | New York City Health & Hospital Corp. Rev., Ser. A, | | | |
| 1,100 | 5.375%,
2/15/26 | A1/A+ | 1,122,638 | |
| 2,000 | 5.45%,
2/15/26 | A1/A+ | 2,043,820 | |
| | New York City Industrial Dev. Agcy. Rev., | | | |
| 975 | Eger Harbor
Project, 4.95%, 11/20/32, Ser. A (GNMA) | NR/AA+ | 1,000,174 | |
| 1,415 | Liberty
Interactive Corp., 5.00%, 9/1/35 | Ba2/BB+ | 1,317,690 | |
| 1,500 | Queens
Baseball Stadium, 6.50%, 1/1/46 (AGC) | Aa3/AAA | 1,704,105 | |
| 1,170 | Staten
Island Univ. Hospital Project, 6.45%, 7/1/32, Ser. C | Baa3/NR | 1,188,439 | |
| 1,500 | United
Jewish Appeal Federation Project, 5.00%, 7/1/27, Ser. A | Aa1/NR | 1,592,595 | |
| | Yankee
Stadium, | | | |
| 2,750 | 5.00%,
3/1/31 (FGIC) | Baa3/BBB- | 2,833,188 | |
| 2,400 | 5.00%,
3/1/36 (NPFGC) | Baa1/A | 2,418,528 | |
| 4,900 | 7.00%,
3/1/49 (AGC) | Aa3/AAA | 5,787,243 | |
| | New York City Municipal Water Finance Auth. Water &
Sewer Rev., | | | |
| 1,500 | 5.25%,
6/15/40, Ser. EE | Aa2/AA+ | 1,658,685 | |
| 500 | Second
Generation Resolutions, 5.00%, 6/15/39, Ser. GG-1 | Aa2/AA+ | 538,230 | |
| | New York City Transitional Finance Auth. Rev., | | | |
| 9,000 | 5.00%,
11/1/27, Ser. B | Aaa/AAA | 9,454,680 | |
| 5,000 | 5.25%,
1/15/39, Ser. S-3 | Aa3/AA- | 5,455,300 | |
| | New York City Trust for Cultural Res. Rev., | | | |
| 2,700 | Julliard
School, 5.00%, 1/1/34, Ser. A | Aa2/AA | 2,955,528 | |
| 6,785 | Wildlife
Conservation Society, 5.00%, 2/1/34 (FGIC-NPFGC) | Aa3/AA- | 7,082,726 | |
| 3,600 | Port Auth. of New York & New Jersey Rev., | | | |
| | 5.00%,
4/15/32, Ser. 125 (AGM) | Aa2/AAA | 3,726,720 | |
| | State Dormitory Auth. Rev., | | | |
| 3,000 | 5.00%,
3/15/38, Ser. A | NR/AAA | 3,260,250 | |

| PIMCO
New York Municipal Income Fund II Schedule of Investments | | | | |
| --- | --- | --- | --- | --- |
| August 31, 2010 (unaudited) | | | | |
| Principal Amount (000s) | | Credit Rating (Moody’s/S&P) | Value | * |
| $7,490 | 5.50%,
5/15/31, Ser. A (AMBAC) | Aa3/AA- | $8,815,730 | |
| 2,600 | Catholic
Health of Long Island, 5.10%, 7/1/34 | A3/BBB+ | 2,626,702 | |
| 2,000 | Kaleida
Health Hospital, 5.05%, 2/15/25 (FHA) | NR/NR | 2,075,040 | |
| 5,300 | Lenox Hill
Hospital, 5.50%, 7/1/30 | Ba1/NR | 5,302,279 | |
| 1,320 | Long Island
Univ., 5.25%, 9/1/28 (Radian) | Baa3/NR | 1,330,164 | |
| | Memorial
Sloan-Kettering Cancer Center, | | | |
| 2,750 | 5.00%,
7/1/35, Ser. 1 | Aa2/AA | 2,878,453 | |
| 2,000 | 5.00%,
7/1/36, Ser. A-1 | Aa2/AA | 2,119,380 | |
| 2,100 | New York
Univ., 5.00%, 7/1/38, Ser. A | Aa3/AA- | 2,239,839 | |
| 1,000 | New York
Univ. Hospital Center, 5.625%, 7/1/37, Ser. B | Baa2/BBB | 1,041,570 | |
| 5,850 | North
General Hospital, 5.00%, 2/15/25 | NR/AA- | 6,004,382 | |
| 600 | North
Shore-Long Island Jewish Health System, 5.50%, 5/1/37, Ser. A | Baa1/A- | 632,478 | |
| 5,000 | Rochester General Hospital, 5.00%,
12/1/35 (Radian) | WR/NR | 4,978,300 | |
| | Teachers College, | | | |
| 4,270 | 5.00%,
7/1/32 (NPFGC) | A1/NR | 4,352,624 | |
| 3,000 | 5.50%,
3/1/39 | A1/NR | 3,229,590 | |
| 3,000 | Yeshiva
Univ., 5.125%, 7/1/34 (AMBAC) | Aa3/NR | 3,126,090 | |
| 5,000 | State Environmental Facs. Corp. Rev., 5.125%, 6/15/38,
Ser. A | Aa1/AA+ | 5,451,550 | |
| 1,000 | State Thruway Auth. Rev., 4.75%, 1/1/29, Ser. G (AGM) | Aa3/AAA | 1,047,340 | |
| 6,000 | State Urban Dev. Corp. Rev., 5.00%, 3/15/36, Ser. B-1 (e) | NR/AAA | 6,552,480 | |
| | Triborough Bridge & Tunnel Auth. Rev., | | | |
| 710 | 5.00%,
1/1/32, Ser. A (FGIC-TCRS) | Aa2/AA- | 733,018 | |
| 5,000 | 5.25%,
11/15/34, Ser. A-2 (e) | Aa2/AA- | 5,517,500 | |
| 150 | Troy Rev., Rensselaer Polytechnic Institute, 5.125%,
9/1/40, Ser. A | A3/A | 155,159 | |
| 1,815 | Ulster Cnty. Industrial Dev. Agcy. Rev., 6.00%, 9/15/37,
Ser. A | NR/NR | 1,506,958 | |
| 2,000 | Warren & Washington Cntys. Industrial Dev. Agcy. Rev., | | | |
| | Glens Falls
Hospital Project, 5.00%, 12/1/35, Ser. A (AGM) | Aa3/AAA | 2,041,840 | |
| 600 | Yonkers Industrial Dev. Agcy. Rev., | | | |
| | Sarah
Lawrence College Project, 6.00%, 6/1/41, Ser. A | NR/BBB+ | 643,782 | |
| | Total New York Municipal Bonds & Notes
(cost—$167,895,428) | | 180,025,054 | |
| OTHER MUNICIPAL
BONDS & NOTES—10.1% | | | | |
| | California—0.5% | | | |
| 1,000 | Health Facs. Financing Auth. Rev., | | | |
| | Catholic
Healthcare West, 6.00%, 7/1/39, Ser. A | A2/A | 1,080,960 | |
| | Florida—1.0% | | | |
| 1,000 | Clearwater Rev., 5.25%, 12/1/39, Ser. A | Aa3/AA- | 1,080,490 | |
| 1,000 | Miami-Dade Cnty. Airport Rev., 5.50%, 10/1/36, Ser. A | A2/A- | 1,067,670 | |
| | | | 2,148,160 | |
| | Louisiana—0.5% | | | |
| 1,000 | East Baton Rouge Sewerage Commission Rev., 5.25%, 2/1/39,
Ser. A | Aa2/AA- | 1,086,270 | |
| | Puerto Rico—7.6% | | | |
| 4,600 | Aqueduct & Sewer Auth. Rev., 6.00%, 7/1/38, Ser. A | Baa1/BBB- | 4,987,550 | |
| 5,675 | Children’s Trust Fund Rev., 5.625%, 5/15/43 | Baa3/BBB | 5,011,706 | |

| PIMCO
New York Municipal Income Fund II Schedule of Investments | | | | |
| --- | --- | --- | --- | --- |
| August 31, 2010 (unaudited) | | | | |
| Principal Amount (000s) | | Credit Rating (Moody’s/S&P) | Value | * |
| | Puerto Rico (continued) | | | |
| | Sales Tax Financing Corp. Rev., Ser. A, | | | |
| $14,250 | zero
coupon, 8/1/54 (AMBAC) | Aa2/AA- | $980,115 | |
| 12,900 | zero
coupon, 8/1/56 | Aa2/AA- | 778,386 | |
| 2,000 | 5.00%,
8/1/40 (AGM) (e) | Aa3/AAA | 2,069,740 | |
| 1,000 | 5.50%,
8/1/42 | A1/A+ | 1,063,360 | |
| 1,000 | 5.75%, 8/1/37 | A1/A+ | 1,084,770 | |
| | | | 15,975,627 | |
| | U. S. Virgin Islands—0.5% | | | |
| 1,000 | Public Finance Auth. Rev., 6.00%, 10/1/39, Ser. A | Baa3/NR | 1,079,020 | |
| | Total Other Municipal Bonds & Notes (cost—$21,493,302) | | 21,370,037 | |
| NEW YORK
VARIABLE RATE NOTES (a)(b)(c)(f) — 3.1% | | | | |
| | JPMorgan Chase Putters/Drivers Trust Rev., | | | |
| 5,000 | 7.804%,
7/1/33, Ser. 3382 | Aa1/NR | 5,910,650 | |
| 500 | 8.25%,
6/15/31, Ser. 3223 | NR/AA+ | 618,820 | |
| | Total New York Variable Rate Notes (cost—$5,393,715) | | 6,529,470 | |
| SHORT-TERM
INVESTMENTS—2.0% | | | | |
| | Corporate Notes (d) — 2.0% | | | |
| | Financial Services—2.0% | | | |
| 4,300 | American General Finance Corp., 4.625%, 9/1/10
(cost—$4,300,000) | B3/B | 4,300,000 | |
| | Total Investments (cost—$199,082,445)— 100.0% | | $212,224,561 | |

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, on the basis of
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 mean between the last
quoted bid and ask price. 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. 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 $6,529,470 representing 3.1% of total investments.
(b)	144A—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)	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, 2010.
(d)	All or partial amount segregated
for the benefit of the counterparty as collateral for reverse repurchase
agreements.
(e)	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.
(f)	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, 2010.

Glossary:
AGC—insured by Assured Guaranty
Corp.
AGM—insured by Assured Guaranty
Municipal Corp.
AMBAC—insured by American
Municipal Bond Assurance Corp.
FGIC—insured by Financial Guaranty
Insurance Co.
FHA—insured by Federal Housing
Administration
GNMA—insured by Government
National Mortgage Association
GO—General Obligation Bond
NPFGC—insured by National Public
Finance Guarantee Corp.
NR—Not Rated
Radian—insured by Radian
Guaranty, Inc.
TCRS—Temporary Custodian Receipts
WR—Withdrawn Rating

Other Investments:

(A) Open reverse repurchase agreement at August 31, 2010 was:

Counterparty — Bank of America	Rate — 0.64%	8/10/10	9/1/10	Principal & Interest — $3,939,359	$3,937,725

The weighted average daily balance of reverse repurchase agreements outstanding during the three months ended August 31, 2010 was $3,912,118 at a weighted average interest rate of 0.68%. The total market value of underlying collateral (refer to the Schedule of Investments for positions segregated for the benefit of the counterparty as collateral for reverse repurchase agreements) for open reverse repurchase agreements at August 31, 2010 was $4,300,000.

At August 31, 2010 the Fund held $81,313 in principal value of U.S. Government Agency securities as collateral for open reverse repurchase agreements. Collateral received in the form of securities will not be pledged.

Fair Value Measurements 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 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) |

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 objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used.

The valuation techniques used by the Fund to measure fair value during the three months ended August 31, 2010 maximized the use of observable inputs and minimized the use of unobservable inputs.

The inputs or methodology used for valuing securities is not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities in accordance with Generally Accepted Accounting Principles (“GAAP”).

Municipal Bonds — Municipal bonds are valued by independent pricing services based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable, the values of municipal bonds are categorized as Level 2. To the extent that these inputs are unobservable the values are categorized as Level 3.

Corporate Bonds — Corporate bonds are generally comprised of two main categories consisting of investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and options adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are values by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of corporate bonds are categorized as Level 2. To the extent that these inputs are unobservable the values are categorized as Level 3.

The Fund’s policy is to recognize transfers between levels at the end of the reporting period.

A summary of the inputs used at August 31, 2010 in valuing the Fund’s assets and liabilities is listed below:

Investments in Securities - Assets
New York Municipal Bonds & Notes	—	$180,025,054	—	$180,025,054
Other Municipal Bonds & Notes	—	21,370,037	—	21,370,037
New York Variable Rate Notes	—	6,529,470	—	6,529,470
Short-Term Investments	—	4,300,000	—	4,300,000
Total Investments	—	$212,224,561	—	$212,224,561

There were no transfers between Levels 1 and 2 during the three months ended August 31, 2010.

| 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 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 New York Municipal Income Fund II

By /s/ Brian S. Shlissel President & Chief Executive Officer

Date: October 25, 2010

By /s/ Lawrence G. Altadonna Treasurer, Principal Financial & Accounting Officer

Date: October 25, 2010

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 25, 2010

By /s/ Lawrence G. Altadonna Treasurer, Principal Financial & Accounting Officer Date: October 25, 2010