PIMCO NEW YORK MUNICIPAL INCOME FUND II

Regulatory Filings • Apr 18, 2011

N-Q 1 c65136_n-q.htm

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FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act File Number: 811-21078

PIMCO New York Municipal Income Fund II
(Registrant Name)

1345 Avenue of the Americas New York, New York
(Address of Principal Executive Offices)

Lawrence G. Altadonna – 1345 Avenue of the Americas New York, New York 10105
(Name and Address of Agent for Service)

Registrant’s telephone number, including area code: 212-739-3371

Date of Fiscal Year End:	May 31, 2011
Date of Reporting Period:	February 28, 2011

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 respond 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 |
| --- |
| February 28, 2011 (unaudited) |

Principal — Amount		Credit Rating
(000s)		(Moody’s/S&P)	Value*
NEW YORK
MUNICIPAL BONDS & NOTES—89.9%
$1,000	Chautauqua
Cnty. Industrial Dev. Agcy. Rev.,
	Dunkirk
Power Project, 5.875%, 4/1/42	Baa3/BB+	$955,380
2,400	Erie Cnty.
Industrial Dev. Agcy. Rev.,
	Orchard
Park, Inc. Project, 6.00%, 11/15/36, Ser. A	NR/NR	1,682,904
	Goldman
Sachs Headquarters,
3,000	5.25%,
10/1/35	A1/A	2,935,020
4,120	5.25%,
10/1/35 (e)	A1/A	4,030,761
3,500	5.50%,
10/1/37	A1/A	3,573,850
	Liberty Dev. Corp. Rev.,
500	6.375%,
7/15/49	NR/BBB-	499,595
500	Long Island Power Auth.
Rev., 5.00%, 9/1/34, Ser. A (AMBAC)	A3/A-	480,625
	Metropolitan Transportation Auth. Rev.,
1,850	5.00%,
11/15/30, Ser. A (AGM)	Aa3/AA+	1,850,462
2,000	5.00%,
11/15/34, Ser. B	NR/AA	1,975,240
7,300	5.25%,
11/15/31, Ser. E	A2/A	7,321,754
7,000	5.35%,
7/1/31, Ser. B	Aa3/AA-	7,038,640
5,000	5.50%,
11/15/39, Ser. A	NR/AA	5,100,100
7,000	Monroe Cnty. Industrial Dev. Corp. Rev.,
	Unity
Hospital Rochester Project, 5.50%, 8/15/40 (FHA) (e)	Aa2/AA-	7,232,750
2,870	Mortgage Agcy. Rev., 4.75%, 10/1/27, Ser. 128	Aa1/NR	2,814,064
2,400	Nassau Cnty. Industrial Dev. Agcy. Rev.,
	Amsterdam
at Harborside, 6.70%, 1/1/43, Ser. A	NR/NR	2,162,928
4,000	New York City, GO, 5.00%, 3/1/33, Ser. I	Aa2/AA	4,010,520
1,500	New York City Health & Hospital Corp. Rev., 5.00%,
2/15/30, Ser. A	Aa3/A+	1,441,365
	New York City Industrial Dev. Agcy. Rev.,
975	Eger Harbor
Project, 4.95%, 11/20/32, Ser. A (GNMA)	NR/AA+	950,859
1,415	Liberty
Interactive Corp., 5.00%, 9/1/35	Ba2/BB+	1,202,495
1,500	Queens
Baseball Stadium, 6.50%, 1/1/46 (AGC)	Aa3/AA+	1,596,180
1,170	Staten
Island Univ. Hospital Project, 6.45%, 7/1/32, Ser. C	Baa3/NR	1,142,096
1,500	United
Jewish Appeal Federation Project, 5.00%, 7/1/27, Ser. A	Aa1/NR	1,530,285
	Yankee
Stadium,
750	5.00%,
3/1/31 (FGIC)	Baa3/BBB-	689,512
2,400	5.00%,
3/1/36 (NPFGC)	Baa1/BBB	2,108,136
4,900	7.00%,
3/1/49 (AGC)	Aa3/AA+	5,386,913
	New York City Municipal Water Finance Auth. Water &
Sewer Rev.,
1,500	5.25%,
6/15/40, Ser. EE	Aa2/AA+	1,505,880
500	Second
Generation Resolutions, 5.00%, 6/15/39, Ser. GG-1	Aa2/AA+	490,315
	New York City Transitional Finance Auth. Rev.,
6,000	5.00%,
11/1/27, Ser. B	Aaa/AAA	6,163,320
5,000	5.25%,
1/15/39, Ser. S-3	Aa3/AA-	5,006,050
	New York City Trust for Cultural Res. Rev.,
2,700	Julliard
School, 5.00%, 1/1/34, Ser. A	Aa2/AA	2,727,702
6,785	Wildlife
Conservation Society, 5.00%, 2/1/34 (FGIC-NPFGC)	Aa3/AA-	6,675,626
	Port Auth. of New York & New Jersey Rev.,
3,600	5.00%,
4/15/32, Ser. 125 (AGM)	Aa2/AA+	3,624,552
1,400	JFK
International Air Terminal, 6.00%, 12/1/36	Baa3/BBB-	1,371,286
	State Dormitory Auth. Rev.,
3,000	5.00%,
3/15/38, Ser. A	NR/AAA	2,943,240
7,490	5.50%,
5/15/31, Ser. A (AMBAC)	Aa3/AA-	7,701,967
2,600	Catholic
Health of Long Island,
	5.10%,
7/1/34	A3/BBB+	2,405,858
2,000	Kaleida
Health Hospital,
	5.05%,
2/15/25 (FHA)	NR/NR	2,009,720
5,300	Lenox Hill
Hospital, 5.50%, 7/1/30	Baa3/NR	4,992,971
1,320	Long Island
Univ., 5.25%, 9/1/28 (Radian)	Baa3/NR	1,319,987

| PIMCO
New York Municipal Income Fund II Schedule of Investments |
| --- |
| February 28, 2011 (unaudited) |

Principal — Amount		Credit Rating
(000s)		(Moody’s/S&P)	Value*
	Memorial
Sloan-Kettering Cancer Center,
$2,750	5.00%,
7/1/35, Ser. 1	Aa2/AA	$2,711,720
2,000	5.00%,
7/1/36, Ser. A-1	Aa2/AA	1,963,220
2,100	New York
Univ., 5.00%, 7/1/38, Ser. A	Aa3/AA-	2,044,917
1,000	New York
Univ. Hospital Center, 5.625%, 7/1/37, Ser. B	Baa1/BBB+	935,560
5,850	North
General Hospital, 5.00%, 2/15/25	NR/AA-	5,780,444
600	North
Shore-Long Island Jewish Health System, 5.50%, 5/1/37, Ser. A	Baa1/A-	575,088
5,000	Rochester
General Hospital, 5.00%, 12/1/35 (Radian)	WR/NR	4,411,850
	Teachers
College,
4,270	5.00%,
7/1/32 (NPFGC)	A1/NR	4,280,034
3,000	5.50%,
3/1/39	A1/NR	3,009,600
1,000	The New
School, 5.50%, 7/1/40	A3/A-	999,920
3,000	Yeshiva
Univ., 5.125%, 7/1/34 (AMBAC)	Aa3/NR	3,022,110
5,000	State Environmental Facs. Corp. Rev., 5.125%, 6/15/38,
Ser. A	Aa1/AA+	5,014,650
1,000	State Thruway Auth. Rev., 4.75%, 1/1/29, Ser. G (AGM)	Aa3/AA+	988,090
6,000	State Urban Dev. Corp. Rev., 5.00%, 3/15/36, Ser. B-1 (e)	NR/AAA	5,915,580
	Triborough Bridge & Tunnel Auth. Rev.,
710	5.00%,
1/1/32, Ser. A (FGIC-TCRS)	Aa2/AA-	711,037
5,000	5.25%,
11/15/34, Ser. A-2 (e)	Aa2/AA-	5,081,900
150	Troy Rev., Rensselaer Polytechnic Institute, 5.125%,
9/1/40, Ser. A	A3/A	137,354
1,815	Ulster Cnty. Industrial Dev. Agcy. Rev., 6.00%, 9/15/37,
Ser. A	NR/NR	1,363,954
2,000	Warren & Washington Cntys. Industrial Dev. Agcy. Rev.,
	Glens Falls
Hospital Project, 5.00%, 12/1/35, Ser. A (AGM)	Aa3/AA+	1,915,000
1,490	Westchester Cnty. Healthcare Corp. Rev., 6.125%, 11/1/37,
Ser. C-2	A3/BBB	1,443,303
1,000	Yonkers Economic Dev. Corp. Rev., 6.00%, 10/15/30, Ser. A	NR/BB+	908,930
600	Yonkers Industrial Dev. Agcy. Rev.,
	Sarah
Lawrence College Project, 6.00%, 6/1/41, Ser. A	NR/BBB	601,482
	Total New York Municipal Bonds & Notes
(cost—$173,052,308)		172,466,651
OTHER MUNICIPAL
BONDS & NOTES—7.2%
	Florida—1.0%
1,000	Clearwater Rev., 5.25%, 12/1/39, Ser. A	Aa3/AA-	1,002,700
1,000	Miami-Dade Cnty. Airport Rev., 5.50%, 10/1/36, Ser. A	A2/A-	965,370
			1,968,070
	Louisiana—0.6%
1,000	East Baton Rouge Sewerage Commission Rev., 5.25%, 2/1/39,
Ser. A	Aa2/AA-	1,009,620
	Ohio—0.5%
1,435	Buckeye Tobacco Settlement Financing Auth. Rev.,
	5.875%, 6/1/47, Ser. A-2	Baa3/BB-	951,677
	Puerto Rico—4.6%
5,675	Children’s Trust Fund Rev., 5.625%, 5/15/43	Baa3/BBB	4,360,443
	Sales Tax Financing Corp. Rev., Ser. A,
14,250	zero
coupon, 8/1/54, (AMBAC)	Aa2/AA-	731,025
2,000	5.00%,
8/1/40, (AGM) (e)	Aa3/AA+	1,852,200
1,000	5.50%,
8/1/42	A1/A+	933,620
1,000	5.75%,
8/1/37	A1/A+	990,560
			8,867,848
	U. S. Virgin Islands—0.5%
1,000	Public Finance Auth. Rev., 6.00%, 10/1/39, Ser. A	Baa3/NR	1,007,940
	Total Other Municipal Bonds & Notes (cost—$15,943,459)		13,805,155

| PIMCO
New York Municipal Income Fund II Schedule of Investments |
| --- |
| February 28, 2011 (unaudited) |

Principal Amount (000s)		Credit Rating (Moody’s/S&P)	Value*
NEW YORK
VARIABLE RATE NOTES (a)(b)(c)(d) —2.9%
	JPMorgan Chase Putters/Drivers Trust Rev.,
$5,000	12.181%,
7/1/33, Ser. 3382	Aa1/NR	$5,011,150
500	12.856%,
6/15/31, Ser. 3223	NR/AA+	520,870
	Total New York Variable Rate Notes (cost—$5,393,824)		5,532,020
	Total Investments (cost—$194,389,591) (f)— 100.0%		$191,803,826

Notes to Schedule of Investments:

| * |
| --- |
| 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 $5,532,020, representing 2.9% 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) | 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 February 28, 2011. |
| (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 February 28, 2011. |
| (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) | At February 28, 2011, the
cost basis of investments for federal income tax purposes was $180,322,540.
Aggregate gross unrealized appreciation for securities in which there was an
excess value over tax cost was $4,258,212; aggregate gross unrealized
depreciation for securities in which there was an excess of tax cost over
value was $6,820,187; and net unrealized depreciation for federal income tax
purposes was $2,561,975. The difference between book and tax cost was attributable
to inverse floater transactions. |

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) Interest rate swap agreements outstanding at February 28, 2011:

| Swap
Counterparty | Notional
Amount (000s) | Termination Date | Rate
Type — Payments Made | Payments Received | Market Value | | | | Unrealized Depreciation | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Bank of America | $5,000 | 6/20/42 | (4.75 | ) % | 3-Month
USD-LIBOR | $(138,563 | ) | $(45,950 | ) | $(92,613 | ) |
| Citigroup | 6,300 | 6/20/42 | (4.75 | ) % | 3-Month
USD-LIBOR | (174,589 | ) | (107,100 | ) | (67,489 | ) |
| Goldman Sachs | 3,500 | 6/20/42 | (4.75 | ) % | 3-Month
USD-LIBOR | (96,994 | ) | 27,650 | | (124,644 | ) |
| Morgan Stanley | 5,200 | 6/20/42 | (4.75 | ) % | 3-Month
USD-LIBOR | (144,106 | ) | 83,200 | | (227,306 | ) |
| | | | | | | $(554,252 | ) | $(42,200 | ) | $(512,052 | ) |
| LIBOR - London Inter-Bank
Offered Rate | | | | | | | | | | | |

(B) Reverse repurchase agreements:

The weighted average daily balance of reverse repurchase agreements outstanding during the nine months ended February 28, 2011 was $3,912,118 at a weighted average interest rate of 0.68%. There were no open reverse repurchase agreements at February 28, 2011.

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 nine months ended February 28, 2011 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. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities, for Level 2 and Level 3, in accordance with Generally Accepted Accounting Principles.

Municipal Bonds & Notes and Variable Rate Notes — Municipal bonds & notes and variable rate notes 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 or note, state of issuance, benchmark yield curves, and bond or note insurance. To the extent that these inputs are observable, the values of municipal bonds & notes and variable rate notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

Interest Rate Swaps — Interest rate swaps are valued by independent pricing services using pricing models that are based on real-time intraday snapshots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps is monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable, the values of interest rate swaps 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 February 28, 2011 in valuing the Fund’s assets and liabilities is listed below:

| | | Level
2 - Other Significant Observable Inputs | | | Value
at 2/28/11 | |
| --- | --- | --- | --- | --- | --- | --- |
| Investments
in Securities - Assets | | | | | | |
| New York Municipal Bonds
& Notes | — | $ 172,466,651 | | — | $ 172,466,651 | |
| Other Municipal Bonds &
Notes | — | 13,805,155 | | — | 13,805,155 | |
| New York Variable Rate
Notes | — | 5,532,020 | | — | 5,532,020 | |
| Total
Investments in Securities - Assets | — | $ 191,803,826 | | — | $ 191,803,826 | |
| Other Financial Instruments* - Liabilities Interest Rate Contracts | — | $ (512,052 | ) | — | $ (512,052 | ) |
| Total
Investments | — | $ 191,291,774 | | — | $ 191,291,774 | |

*Other Financial Instruments are derivatives not reflected in the Schedule of Investments, such as swap agreements, which are valued at the unrealized appreciation (depreciation) of the instrument.

There were no significant transfers between Levels 1 and 2 during the nine months ended February 28, 2011.

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: April
18, 2011 |
| By /s/
Lawrence G. Altadonna |
| Treasurer,
Principal Financial & Accounting Officer |
| Date: April
18, 2011 |

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: April
18, 2011 |
| By /s/
Lawrence G. Altadonna |
| Treasurer,
Principal Financial & Accounting Officer |
| Date: April
18, 2011 |