UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

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: 1633 Broadway, New York, New York 10019

Name and Address of Agent for Service: Lawrence G. Altadonna – 1633 Broadway, New York, New York 10019

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

Date of Fiscal Year End: May 31, 2012

Date of Reporting Period: February 29, 2012

 

 

 

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Item 1. Schedule of Investments

PIMCO New York Municipal Income Fund II Schedule of Investments

February 29, 2012 (unaudited)

 

 

 

Principal Amount (000s)						Value*
	NEW YORK MUNICIPAL BONDS & NOTES—90.6%
	$1,000			Chautauqua Cnty. Industrial Dev. Agcy. Rev., Dunkirk Power Project, 5.875%, 4/1/42		$	1,072,700
	2,400			Erie Cnty. Industrial Dev. Agcy. Rev., Orchard Park, Inc. Project, 6.00%, 11/15/36, Ser. A			2,145,288
	9,000			Hudson Yards Infrastructure Corp. Rev., 5.75%, 2/15/47, Ser. A			10,159,830
				Liberty Dev. Corp. Rev.,
	1,400			5.625%, 7/15/47			1,486,100
	3,000			1 World Trade Center Project, 5.00%, 12/15/41			3,288,990
	1,300			Bank of America Tower at One Bryant Park Project, 6.375%, 7/15/49			1,409,642
				Goldman Sachs Headquarters,
	4,120			5.25%, 10/1/35 (f)			4,559,604
	3,000			5.25%, 10/1/35			3,320,100
	3,500			5.50%, 10/1/37			4,040,085
	500			Long Island Power Auth. Rev., 5.00%, 9/1/34, Ser. A (AMBAC)			519,905
				Metropolitan Transportation Auth. Rev.,
	2,000			5.00%, 11/15/34, Ser. B			2,212,100
	7,300			5.25%, 11/15/31, Ser. E			7,503,232
	7,000			5.35%, 7/1/31, Ser. B			7,099,400
	5,000			5.50%, 11/15/39, Ser. A			5,513,500
	7,000			Monroe Cnty. Industrial Dev. Corp. Rev., Unity Hospital Rochester Project, 5.50%, 8/15/40 (FHA) (f)			7,889,420
	2,870			Mortgage Agcy. Rev., 4.75%, 10/1/27, Ser. 128			2,924,674
	2,400			Nassau Cnty. Industrial Dev. Agcy. Rev., Amsterdam at Harborside, 6.70%, 1/1/43, Ser. A			1,939,152
	4,000			New York City, GO, 5.00%, 3/1/33, Ser. I			4,089,960
	1,500			New York City Health & Hospital Corp. Rev., 5.00%, 2/15/30, Ser. A			1,646,115
				New York City Industrial Dev. Agcy. Rev.,
	975			Eger Harbor Project, 4.95%, 11/20/32, Ser. A (GNMA)			1,004,289
	1,415			Liberty Interactive Corp., 5.00%, 9/1/35			1,416,783
	1,500			Queens Baseball Stadium, 6.50%, 1/1/46 (AGC)			1,633,995
	1,135			Staten Island Univ. Hospital Project, 6.45%, 7/1/32, Ser. C (Pre-refunded @ $101, 7/1/12) (b)			1,168,153
	1,500			United Jewish Appeal Federation Project, 5.00%, 7/1/27, Ser. A			1,591,020
				Yankee Stadium,
	750			5.00%, 3/1/31 (FGIC)			773,692
	1,900			5.00%, 3/1/36 (NPFGC)			1,939,767
	4,900			7.00%, 3/1/49 (AGC)			5,713,841
				New York City Municipal Water Finance Auth. Water & Sewer Rev.,
	1,000			5.25%, 6/15/40, Ser. EE			1,110,840
	500			Second Generation Resolutions, 5.00%, 6/15/39, Ser. GG-1			544,105
				New York City Transitional Finance Auth. Rev.,
	3,745			5.00%, 11/1/27, Ser. B			3,845,853
	2,255			5.00%, 11/1/27, Ser. B (Pre-refunded @ $100, 11/1/12) (b)			2,325,559
	5,000			5.25%, 1/15/39, Ser. S-3			5,452,950
	6,000			New York Liberty Dev. Corp. Rev., 4 World Trade Center Project, 5.75%, 11/15/51			6,769,620

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PIMCO New York Municipal Income Fund II Schedule of Investments

February 29, 2012 (unaudited) (continued)

 

 

 

Principal Amount (000s)						Value*
	$1,000			Onondaga Cnty. Rev., Syracuse Univ. Project, 5.00%, 12/1/36		$	1,119,330
				Port Auth. of New York & New Jersey Rev.,
	3,600			5.00%, 4/15/32, Ser. 125 (AGM)			3,651,480
	1,400			JFK International Air Terminal, 6.00%, 12/1/36			1,571,752
				State Dormitory Auth. Rev.,
	3,000			5.00%, 3/15/38, Ser. A			3,282,090
	7,490			5.50%, 5/15/31, Ser. A (AMBAC)			9,377,929
	2,600			Catholic Health of Long Island, 5.10%, 7/1/34			2,683,668
	1,500			Fordham Univ., 5.50%, 7/1/36, Ser. A			1,683,495
	1,320			Long Island Univ., 5.25%, 9/1/28 (Radian)			1,321,175
				Memorial Sloan-Kettering Cancer Center,
	2,750			5.00%, 7/1/35, Ser. 1			2,933,315
	2,000			5.00%, 7/1/36, Ser. A-1			2,158,140
	2,000			Mount Sinai Hospital, 5.00%, 7/1/31, Ser. A			2,144,580
	2,100			New York Univ., 5.00%, 7/1/38, Ser. A			2,277,177
	1,000			New York Univ. Hospital Center, 5.625%, 7/1/37, Ser. B			1,064,320
	600			North Shore-Long Island Jewish Health System, 5.50%, 5/1/37, Ser. A			666,522
	5,000			Rochester General Hospital, 5.00%, 12/1/35 (Radian)			5,011,450
				Teachers College,
	4,270			5.00%, 7/1/32 (NPFGC)			4,293,570
	3,000			5.50%, 3/1/39			3,272,010
	1,000			The New School, 5.50%, 7/1/40			1,100,770
	3,000			Yeshiva Univ., 5.125%, 7/1/34 (AMBAC)			3,126,750
	5,000			State Environmental Facs. Corp. Rev., 5.125%, 6/15/38, Ser. A			5,555,100
	1,000			State Thruway Auth. Rev., 4.75%, 1/1/29, Ser. G (AGM)			1,079,900
	6,000			State Urban Dev. Corp. Rev., 5.00%, 3/15/36, Ser. B-1 (f)			6,587,700
	5,000			Triborough Bridge & Tunnel Auth. Rev., 5.25%, 11/15/34, Ser. A-2 (f)			5,703,550
	3,435			Troy Rev., Rensselaer Polytechnic Institute, 5.125%, 9/1/40, Ser. A			3,677,614
	1,815			Ulster Cnty. Industrial Dev. Agcy. Rev., 6.00%, 9/15/37, Ser. A			1,257,741
	2,000			Warren & Washington Cntys. Industrial Dev. Agcy. Rev., Glens Falls Hospital Project, 5.00%, 12/1/35, Ser. A (AGM)			2,018,740
	1,490			Westchester Cnty. Healthcare Corp. Rev., 6.125%, 11/1/37, Ser. C-2			1,665,284
	1,000			Yonkers Economic Dev. Corp. Rev., 6.00%, 10/15/30, Ser. A			1,008,610
	600			Yonkers Industrtial Dev. Agcy. Rev., Sarah Lawrence College Project, 6.00%, 6/1/41, Ser. A			647,724
				Total New York Municipal Bonds & Notes (cost—$175,786,225)			190,051,750
	OTHER MUNICIPAL BONDS & NOTES—6.4%
				Florida—0.5%
	1,000			Clearwater Rev., 5.25%, 12/1/39, Ser. A			1,119,130
				Louisiana—0.5%
	1,000			East Baton Rouge Sewerage Commission Rev., 5.25%, 2/1/39, Ser. A			1,104,560

 

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PIMCO New York Municipal Income Fund II Schedule of Investments

February 29, 2012 (unaudited) (continued)

 

 

 

Principal Amount (000s)						Value*
				Ohio—0.5%
	$1,435			Buckeye Tobacco Settlement Financing Auth. Rev., 5.875%, 6/1/47, Ser. A-2		$	1,068,501
				Puerto Rico—4.4%
	5,675			Children’s Trust Fund Rev., 5.625%, 5/15/43			5,620,917
				Sales Tax Financing Corp. Rev.,
	2,000			5.00%, 8/1/40, Ser. A (AGM) (f)			2,091,540
	1,300			5.25%, 8/1/43, Ser. A-1			1,407,211
							9,119,668
				U. S. Virgin Islands—0.5%
	1,000			Public Finance Auth. Rev., 6.00%, 10/1/39, Ser. A			1,092,630
				Total Other Municipal Bonds & Notes (cost—$12,785,256)			13,504,489
	NEW YORK VARIABLE RATE NOTES (a)(c)(d)(e)—2.9%
	5,000			JPMorgan Chase Putters/Drivers Trust Rev.,
				10.865%, 7/1/33, Ser. 3382 (cost—$4,880,959)			6,048,350
	SHORT-TERM INVESTMENTS—0.1%
				U.S. Treasury Obligations (g)—0.1%
	199			U.S. Treasury Bills, 0.025%, 4/5/12 (cost—$198,995)			198,995
				Total Investments (cost—$193,651,435) (h)—100.0%		$	209,803,584

 

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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 (“NAV”) 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. Security with an aggregate value of $6,048,350 representing 2.9% of total investments.

 

(b)

Pre-refunded bonds are collateralized by U.S. Government or other eligible securities which are held in escrow and used to pay principal and interest and retire the bonds at the earliest refunding date (payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate).

 

(c)	144A—Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

 

(d)	Inverse Floater—The interest rate shown bears an inverse relationship to the interest rate on another security or the value of an index. The interest rate disclosed reflects the rate in effect on February 29, 2012.

 

(e)

Variable Rate Notes—Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on February 29, 2012.

 

(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.

 

(g)	Rates reflect the effective yields at purchase date.

 

(h)

At February 29, 2012, the cost basis of portfolio securities for federal income tax purposes was $179,584,385. Gross unrealized appreciation was $17,435,818, gross unrealized depreciation was $1,320,049 and net unrealized appreciation was $16,115,769. The difference between book and tax cost is 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.

Radian—insured by Radian Guaranty, Inc.

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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 29, 2012 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 and 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 and 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.

U.S. Treasury Obligations — U.S. Treasury obligations are valued by independent pricing services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The models also take into consideration data received from active market makers and broker-dealers, yield curves, and the spread over comparable U.S. Treasury issues. The spreads change daily in response to market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable, the values of U.S. Treasury obligations 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 29, 2012 in valuing the Fund’s assets and liabilities is listed below (refer to the Schedule of Investments for detailed information on Investments in Securities):

 

		Level 1 - Quoted Prices				Level 2 - Other Significant Observable Inputs				Level 3 - Significant Unobservable Inputs				Value at 2/29/12
Investments in Securities - Assets
New York Municipal Bonds & Notes			—			$	190,051,750				—			$	190,051,750
Other Municipal Bonds & Notes			—				13,504,489				—				13,504,489
New York Variable Rate Notes			—				6,048,350				—				6,048,350
Short-Term Investments			—				198,995				—				198,995
Total Investments			—			$	209,803,584				—			$	209,803,584

There were no significant transfers between Levels 1 and 2 during the nine months ended February 29, 2012.

 

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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 control 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

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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 20, 2012

By /s/ Lawrence G. Altadonna

Treasurer, Principal Financial & Accounting Officer

Date: April 20, 2012

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 20, 2012

By /s/ Lawrence G. Altadonna

Treasurer, Principal Financial & Accounting Officer

Date: April 20, 2012