| UNITED STATES | OMB
APPROVAL
OMB Number: 3235-0578 Expires: April 30, 2010 Estimated average burden hours per response: 10.5 |
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| 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: 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, 2009
Date of Reporting Period: February 28, 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, 450 Fifth Street, NW, Washington, DC 20549-0609. 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, 2009 (unaudited) |
||||||
| Principal | ||||||
| Amount | Credit Rating | |||||
| (000) | (Moody's/S&P) | Value | * | |||
| NEW YORK MUNICIPAL BONDS & NOTES—90.5% | ||||||
| $2,400 | Erie Cnty. Industrial Dev. Agcy., Orchard Park Rev., | |||||
| 6.00%, 11/15/36 | NR/NR | $1,487,424 | ||||
| 10,000 | Erie Cnty. Tobacco Asset Securitization Corp. Rev., | |||||
| 6.50%, 7/15/32, (Pre-refunded @ $101, 7/15/10) (a) | NR/AAA | 10,817,300 | ||||
| Liberty Dev. Corp. Rev., | ||||||
| 4,120 | 5.25%, 10/1/35 (d) | A1/A | 3,376,422 | |||
| Goldman Sachs Headquarters, | ||||||
| 3,000 | 5.25%, 10/1/35 | A1/A | 2,458,560 | |||
| 3,500 | 5.50%, 10/1/37 | A1/A | 2,926,280 | |||
| Metropolitan Transportation Auth. Rev., | ||||||
| 1,850 | 5.00%, 11/15/30, Ser. A (FSA) | Aa3/AAA | 1,830,538 | |||
| 8,000 | 5.25%, 11/15/31, Ser. E | A2/A | 7,792,400 | |||
| 7,000 | 5.35%, 7/1/31, Ser. B | A1/AAA | 6,909,630 | |||
| 3,570 | Mortgage Agcy. Rev., 4.75%, 10/1/27, Ser. 128 | Aa1/NR | 3,335,594 | |||
| 2,400 | Nassau Cnty. Industrial Dev. Agcy. Rev., Amsterdam at Harborside, | |||||
| 6.70%, 1/1/43, Ser. A | NR/NR | 1,823,472 | ||||
| 4,000 | New York City, GO, 5.00%, 3/1/33, Ser. I | Aa3/AA | 3,710,160 | |||
| New York City Health & Hospital Corp. Rev., | ||||||
| 1,100 | 5.375%, 2/15/26, Ser. A | A1/A+ | 1,095,721 | |||
| 2,000 | 5.45%, 2/15/26, Ser. A | A1/A+ | 2,002,080 | |||
| New York City Industrial Dev. Agcy. Rev., | ||||||
| 975 | Eger Harbor, 4.95%, 11/20/32, Ser. A (GNMA) | NR/AA+ | 855,270 | |||
| 1,415 | Liberty Interactive Corp., 5.00%, 9/1/35 | Ba2/BB+ | 948,517 | |||
| 1,500 | Queens Baseball Stadium, 6.50%, 1/1/46 | Aa2/AAA | 1,590,330 | |||
| 1,205 | Staten Island Univ. Hospital, 6.45%, 7/1/32, Ser. C | Ba2/NR | 923,307 | |||
| 1,500 | United Jewish Appeal Fed., 5.00%, 7/1/27 | Aa1/NR | 1,516,665 | |||
| Yankee Stadium, | ||||||
| 5,000 | 5.00%, 3/1/31, (FGIC) | Baa3/BBB- | 4,083,500 | |||
| 2,400 | 5.00%, 3/1/36, (MBIA) | Baa1/AA | 1,886,400 | |||
| 4,900 | 7.00%, 3/1/49 | Aa2/AAA | 5,233,837 | |||
| 1,500 | New York City Municipal Water Finance Auth. Rev., | |||||
| 5.25%, 6/15/40, Ser. EE | Aa3/AA+ | 1,505,790 | ||||
| New York City Transitional Finance Auth. Rev., | ||||||
| 10,000 | 5.00%, 11/1/27, Ser. B | Aa1/AAA | 10,079,100 | |||
| 5,000 | 5.25%, 1/15/39, Ser. S-3 | A1/AA- | 4,824,450 | |||
| 7,785 | New York City Trust for Cultural Res. Rev., | |||||
| 5.00%, 2/1/34, (MBIA-FGIC) | Aa3/AA- | 7,664,722 | ||||
| 3,600 | Port Auth. of New York & New Jersey Rev., | |||||
| 5.00%, 4/15/32, Ser. 125 (FSA) | Aa3/AAA | 3,607,848 | ||||
| State Dormitory Auth. Rev., | ||||||
| 3,000 | 5.00%, 3/15/38, Ser. A | NR/AAA | 2,897,490 | |||
| 80 | 5.25%, 9/1/28, (Pre-refunded @ $102, 9/1/09) (Radian)(a) | A3/BBB+ | 83,390 | |||
| 1,320 | 5.25%, 9/1/28, (Radian) | A3/BBB+ | 1,169,718 | |||
| 7,490 | 5.50%, 5/15/31, Ser. A (AMBAC) | Aa3/AA- | 7,404,165 | |||
| 2,600 | Catholic Health of Long Island, 5.10%, 7/1/34 | Baa1/BBB | 2,216,188 | |||
| 2,000 | Kaleida Health Hospital, 5.05%, 2/15/25, (FHA) | NR/AAA | 1,879,360 | |||
| 5,300 | Lenox Hill Hospital, 5.50%, 7/1/30 | Ba1/NR | 4,028,795 | |||
| 1,000 | New York Univ. Hospital, 5.625%, 7/1/37, Ser. B | Ba2/BB | 675,810 | |||
| 5,850 | North General Hospital, 5.00%, 2/15/25 | NR/AA- | 5,525,032 | |||
| 5,000 | Rochester General Hospital, 5.00%, 12/1/35, (Radian) | A3/BBB+ | 3,539,050 | |||
| Teachers College, | ||||||
| 4,270 | 5.00%, 7/1/32, (MBIA) | A1/NR | 4,289,172 | |||
| 3,000 | 5.50%, 3/1/39 | A1/NR | 2,935,320 | |||
| 3,000 | Yeshiva Univ., 5.125%, 7/1/34, (AMBAC) | Aa2/NR | 2,705,700 | |||
| PIMCO
New York Municipal Income Fund II Schedule of Investments February 28, 2009 (unaudited) |
||||||
| Principal | ||||||
| Amount | Credit Rating | |||||
| (000) | (Moody's/S&P) | Value | * | |||
| $1,000 | State Thruway Auth. Rev., 4.75%, 1/1/29, Ser. G (FSA) | Aa3/AAA | $937,980 | |||
| 6,000 | State Urban Dev. Corp. Rev., 5.00%, 3/15/36, Ser. B-1 (d) | NR/AAA | 5,818,260 | |||
| 14,500 | Tobacco Settlement Asset Backed, Inc. Rev., | |||||
| 5.75%, 7/15/32, Ser. 1, (Pre-refunded @ $100, 7/15/12) (a) | Aaa/AAA | 16,493,460 | ||||
| Triborough Bridge & Tunnel Auth. Rev., | ||||||
| 710 | 5.00%, 1/1/32, (FGIC-TCRS) | Aa2/AA- | 705,172 | |||
| 5,000 | 5.25%, 11/15/34 (d) | Aa2/AA- | 5,079,350 | |||
| 1,815 | Ulster Cnty. Industrial Dev. Agcy. Rev., 6.00%, 9/15/37, Ser. A | NR/NR | 1,198,608 | |||
| 2,000 | Warren & Washington Cntys. Industrial Dev. Agcy. Rev., | |||||
| Glens Falls Hospital, 5.00%, 12/1/35, Ser. A (FSA) | Aa3/AAA | 1,931,200 | ||||
| 750 | Westchester Cnty. Industrial Dev. Agcy. Continuing Care | |||||
| Retirement Rev., Kendal on Hudson, 6.50%, 1/1/34, | ||||||
| (Pre-refunded @ $100, 1/1/13) (a) | NR/NR | 878,190 | ||||
| Total New York Municipal Bonds & Notes (cost—$171,957,006) | 166,676,727 | |||||
| OTHER MUNICIPAL BONDS & NOTES—4.9% | ||||||
| Puerto Rico—4.9% | ||||||
| 4,600 | Aqueduct & Sewer Auth. Rev., 6.00%, 7/1/38, Ser. A | Baa3/BBB- | 4,190,324 | |||
| 5,675 | Children's Trust Fund Tobacco Settlement Rev., 5.625%, 5/15/43 | Baa3/BBB | 3,797,029 | |||
| Sales Tax Financing Corp. Rev., | ||||||
| 14,250 | zero coupon, 8/1/54, Ser. A (AMBAC) | A1/A+ | 569,002 | |||
| 12,900 | zero coupon, 8/1/56, Ser. A | A1/A+ | 407,898 | |||
| Total Other Municipal Bonds & Notes (cost—$12,490,708) | 8,964,253 | |||||
| CORPORATE BONDS & NOTES (c)—2.0% | ||||||
| 4,300 | American General Finance Corp., 4.625%, 9/1/10 | Baa1/BB+ | 2,095,201 | |||
| 1,900 | CIT Group, Inc., 5.80%, 7/28/11 | Baa2/BBB+ | 1,424,244 | |||
| 300 | International Lease Finance Corp., 1.469%, 5/24/10, FRN | Baa1/BBB+ | 212,022 | |||
| Total Corporate Bonds & Notes (cost—$4,384,864) | 3,731,467 | |||||
| OTHER VARIABLE RATE NOTES (b)—1.0% | ||||||
| Puerto Rico—1.0% | ||||||
| 1,900 | Public Finance Corp. Rev., 5.75%, 8/1/27, Ser. A (cost—$1,965,345) | Ba1/BBB- | 1,870,037 | |||
| SHORT-TERM INVESTMENTS (c)—1.6% | ||||||
| Corporate Notes—1.6% | ||||||
| American General Finance Corp., | ||||||
| 700 | 1.785%, 10/2/09, FRN | Baa1/BB+ | 611,923 | |||
| 500 | 4.625%, 5/15/09 | Baa1/BB+ | 429,773 | |||
| 1,900 | CIT Group, Inc., 4.125%, 11/3/09 | Baa2/BBB+ | 1,775,305 | |||
| 200 | International Lease Finance Corp., 1.494%, 1/15/10, FRN | Baa1/BBB+ | 160,644 | |||
| Total Corporate Notes (cost—$2,950,002) | 2,977,645 | |||||
| Total Investments (cost-$193,747,925)—100.0% | $184,220,129 | |||||
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 pricing services. |
|
Portfolio securities and other financial instruments for which market quotations are not readily available or if 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. Prices obtained from 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 options, futures and options on futures are valued at the settlement price determined by the relevant exchange. 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 daily 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) |
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). |
| (b) |
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, 2009. |
| (c) |
All or partial amount segregated as collateral for reverse repurchase agreements. |
| (d) |
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, maturity date shown is date of next rate change and the interest rate disclosed reflects the rate in effect on February 28, 2009.
FSA—insured by Financial Security Assurance, Inc.
GNMA—insured by Government National Mortgage Association
GO—General Obligation Bond
MBIA—insured by Municipal Bond Investors Assurance
NR—Not Rated
Radian—insured by Radian Guaranty, Inc.
TCRS—Temporary Custodian Receipts
Other Investments:
(1) Open reverse repurchase agreements at February 28, 2009:
| Counterparty | Rate | Trade Date | Maturity Date | Principal & Interest | Principal | ||
| Barclays Bank | 0.90% | 1/28/09 | 3/2/09 | $964,747 | $964,000 | ||
| 0.90% | 2/25/09 | 3/12/09 | 4,343,326 | 4,343,000 | |||
| Credit Suisse First Boston | 0.85% | 2/19/09 | 3/6/09 | 348,074 | 348,000 | ||
| $5,655,000 |
| Collateral for open reverse repurchase agreements at February 28, 2009 as reflected in the Schedule of Investments: | |||||||||
| Market | |||||||||
| Counterparty | Description | Rate | Maturity Date | Principal | Value | ||||
| Barclays Bank | American General Finance Corp. | 1.785% | 10/2/09 | $700,000 | $611,923 | ||||
| American General Finance Corp. | 4.625% | 5/15/09 | 500,000 | 429,773 | |||||
| American General Finance Corp. | 4.625% | 9/1/10 | 4,300,000 | 2,095,201 | |||||
| CIT Group, Inc. | 4.125% | 11/3/09 | 1,900,000 | 1,775,305 | |||||
| CIT Group, Inc. | 5.80% | 7/28/11 | 1,900,000 | 1,424,244 | |||||
| Credit Suisse First Boston | International Lease Finance Corp. | 1.469% | 5/24/10 | 300,000 | 212,022 | ||||
| International Lease Finance Corp. | 1.494% | 1/15/10 | 200,000 | 160,644 | |||||
| $6,709,112 | |||||||||
Fair Value Measurements–Effective June 1, 2008, the Fund adopted Financial Accounting Standards Board ("FASB") Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“SFAS 157”). This standard 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 this standard, 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 SFAS 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 valuation techniques used by the Fund to measure fair value during the nine months ended February 28, 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.
The following is a summary of the inputs used at February 28, 2009 in valuing the Fund’s investments carried at value:
| Investments in | |||
| Valuation Inputs | Securities | ||
| Level 1 - Quoted Prices | $ | — | |
| Level 2 - Other Significant Observable Inputs | 184,220,129 | ||
| Level 3 - Significant Unobservable Inputs | — | ||
| Total | $ | 184,220,129 | |
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: April 20, 2009
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: April 20, 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: April 20, 2009
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: April 20, 2009