| UNITED STATES | OMB APPROVAL | ||
| SECURITIES AND EXCHANGE COMMISSION | OMB Number: 3235-0578 | ||
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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, 2007
Date of Reporting Period: February 28, 2007
Form N-Q is to be used by the registered management investment company, other than a small business investment company 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
Notes to Schedule of Investments:
Item 2. Controls and Procedures
(a) The registrant's President and Chief Executive Officer and Principal Financial Officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of
1940, as amended 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. Prior to reaching this conclusion, the principal officers had become aware of matters relating to the Registrant's participation in certain inverse floater structures that required enhancements to certain controls. The Registrant's management determined that controls relating to the review and analysis of relevant terms and conditions of certain transfers of securities under the provisions of Statement of Financial Accounting Standards No. 140 “Accounting for Transfers and Servicing of Financial Assets and Extinguishments of Liabilities” (“SFAS 140”) were not effective. The Registrant’s Management has taken
such further actions as are necessary to revise its disclosure controls and
procedures in order to increase the effectiveness of these controls with respect
to the accounting treatment of transfers of certain inverse floater
transactions. However, as discussed above, the registrant enhanced controls
related to the accounting treatment of transfers of certain inverse floater
transactions.
(b) In December 2006, the principal executive and financial
officers became aware of matters relating to the Registrant’s purchase of
certain inverse floating rate obligations that required enhancements to certain
controls. The Registrant’s management determined that controls relating to
the review and analysis of the relevant contractual terms and conditions of
transfers of securities in connection with the purchase of certain inverse
floating rate obligations were not effective in identifying whether these
transfers qualified for sale accounting under the provisions of SFAS 140. The
Registrant’s management has taken such further actions as are necessary to
revise its controls and procedures in order to increase the effectiveness of
these controls and procedures in identifying such transactions that require
accounting treatment under SFAS 140.
Item 3. Exhibits
(a) Exhibit 99.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
Date: April 27, 2007
By /s/ Lawrence G. Altadonna
Date: April 27, 2007
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 dated indicated.
By /s/ Brian S. Shlissel
Date: April 27, 2007
By /s/ Lawrence G. Altadonna
Date: April 27, 2007
PIMCO New York Municipal Income Fund II Schedule of Investments
February 28, 2007 (unaudited)
Amount
Credit Rating
(Moody's/S&P)
Value*
Buffalo Municipal Water Finance Auth., Water System Rev.,
Ser. B, (Pre-refunded @ $100, 7/1/12) (FSA)(a),
$250
5.00%, 7/1/27
Aaa/AAA
$266,928
1,000
5.125%, 7/1/32
Aaa/AAA
1,073,710
2,400
Erie Cnty. Industrial Dev. Agcy., Orchard Park Rev., 6.00%, 11/15/36
NR/NR
2,580,504
10,000
Erie Cnty. Tobacco Asset Securitization Corp. Rev.,
6.50%, 7/15/32, (Pre-refunded @ $101, 7/15/10) (a)
NR/AAA
10,985,100
2,500
Liberty Dev. Corp. Rev., Goldman Sachs Headquarters, 5.25%, 10/1/35 (g)
Aa3/AA-
2,938,975
Metropolitan Transportation Auth. Rev.,
1,850
5.00%, 11/15/30, Ser. A (FSA)
Aaa/AAA
1,950,011
10,000
5.25%, 11/15/31, Ser. E
A2/A
10,656,500
7,000
5.35%, 7/1/31, Ser. B
A1/AAA
7,500,570
4,130
Mortgage Agcy. Rev., 4.75%, 10/1/27, Ser 128 (g)
Aa1/NR
4,265,175
4,000
New York City, GO, 5.00%, 3/1/33, Ser. I
A1/AA-
4,180,800
New York City Health & Hospital Corp. Rev., Ser. A,
1,100
5.375%, 2/15/26
A2/A-
1,151,139
2,000
5.45%, 2/15/26
A2/A-
2,110,520
New York City Industrial Dev. Agcy. Rev.,
1,000
Eger Harbor, 4.95%, 11/20/32 (GNMA)
NR/AA+
1,039,860
1,230
Staten Island Univ. Hospital, 6.45%, 7/1/32
B2/NR
1,302,226
1,500
United Jewish Appeal Fed., 5.00%, 7/1/27
Aa2/NR
1,593,330
New York City Municipal Water Finance Auth., Water & Sewer System Rev.,
7,500
4.50%, 6/15/33, Ser. C (g)
NR/NR
7,601,850
3,055
4.75%, 6/15/25, Ser. D (MBIA-IBC)
Aaa/AAA
3,105,560
5,000
5.00%, 6/15/32, Ser. A (g)
Aa2/AA+
5,192,500
15,000
5.125%, 6/15/34, Ser. A (g)
Aa2/AA+
15,846,000
10,000
New York City Transitional Finance Auth. Rev., 5.00%, 11/1/27, Ser. B
Aa1/AAA
10,532,200
7,785
New York City Trust for Cultural Res. Rev., 5.00%, 2/1/34 (FGIC)(g)
NR/NR
8,269,694
3,600
Port Auth. New York & New Jersey Rev., 5.00%, 4/15/32, Ser. 125 (FSA)
Aaa/AAA
3,825,072
7,500
State Dormitory Auth. Lease Rev., State Univ. Dormitory Facs.,
5.00%, 7/1/32, (Pre-refunded @ $100, 7/1/12) (a)
Aa3/AA-
8,000,325
State Dormitory Auth. Rev.,
2,600
Catholic Health of Long Island, 5.10%, 7/1/34
Baa1/BBB
2,704,468
7,490
Court Facs., 5.50%, 5/15/31 (AMBAC)(g)
NR/NR
9,287,825
2,000
Kaleida Health Hospital, 5.05%, 2/15/25 (FHA)
NR/AAA
2,096,520
5,300
Lenox Hill Hospital, 5.50%, 7/1/30
Ba2/NR
5,568,604
Long Island Univ. (Radian),
1,320
5.25%, 9/1/28
Aa3/AA
1,387,148
80
5.25%, 9/1/28, (Pre-refunded @ $102, 9/1/09) (a)
Aa3/AA
84,678
8,850
North General Hospital, 5.00%, 2/15/25
NR/AA-
9,266,215
5,000
Rochester Hospital, 5.00%, 12/1/35 (Radian)(g)
NR/NR
5,316,100
1,500
Sloan-Kettering Center Memorial, 5.00%, 7/1/34, Ser. 1
Aa2/AA
1,577,850
5,000
St. Barnabas Hospital, 5.00%, 2/1/31, Ser. A (AMBAC-FHA)
Aaa/AAA
5,243,200
8,600
State Personal Income Tax, 5.00%, 3/15/32, (Pre-refunded @ $100, 3/15/13) (a)
Aa3/AAA
9,247,064
1,250
Student Housing Corp., 5.125%, 7/1/34 (FGIC)
Aaa/AAA
1,349,950
4,270
Teachers College, 5.00%, 7/1/32 (MBIA)
Aaa/NR
4,501,946
2,000
Yeshiva Univ., 5.125%, 7/1/34 (AMBAC)
Aaa/NR
2,159,920
2,000
State Environmental Facs. Corp., State Clean Water & Drinking Rev., 5.125%, 6/15/31
Aaa/AAA
2,121,600
6,100
State Urban Dev. Corp., Personal Income Tax Rev.,
5.00%, 3/15/33, Ser. C-1, (Pre-refunded @ $100, 3/15/13) (a)
Aa3/AAA
6,558,964
Tobacco Settlement Asset Backed, Inc. Rev., Ser.1,
25,000
5.00%, 6/1/34
NR/BBB
25,442,500
25,000
5.75%, 7/15/32, (Pre-refunded @ $100, 7/15/12) (a)
Aaa/AAA
27,585,250
10,000
6.375%, 7/15/39, (Pre-refunded @ $101, 7/15/09) (a)
Aaa/AAA
10,721,200
PIMCO New York Municipal Income Fund II Schedule of Investments
February 28, 2007 (unaudited)
Amount
Credit Rating
(000)
(Moody's/S&P)
Value*
Triborough Bridge & Tunnel Auth. Rev. (FGIC-TCRS),
$710
5.00%, 1/1/32
Aaa/AAA
$745,266
3,990
5.00%, 1/1/32, (Pre-refunded @ $100, 1/1/12) (a)
Aaa/AAA
4,236,861
2,000
Warren & Washington Cntys. Industrial Dev. Agcy. Fac. Rev., Glens Falls Hospital,
5.00%, 12/1/35, Ser. A (FSA)
Aaa/AAA
2,113,360
750
Westchester Cnty. Industrial Dev. Agcy. Continuing Care Retirement Rev.,
Kendal on Hudson, 6.50%, 1/1/34
NR/NR
806,940
Total New York Municipal Bonds & Notes (cost—$241,215,161)
256,091,978
OTHER MUNICIPAL BONDS & NOTES—6.0%
California—3.1%
Alameda Unified School Dist., Alameda Cnty., GO, Ser. A (FSA),
3,500
zero coupon, 8/1/24
Aaa/AAA
1,680,455
3,000
zero coupon, 8/1/25
Aaa/AAA
1,373,490
5,000
California Cnty., Tobacco Securitization Agcy. Rev.,
Baa3/NR
zero coupon, 6/1/28
4,296,450
3,130
Covina Valley Unified School Dist., GO, zero coupon, 6/1/25, Ser. B (FGIC)
Aaa/AAA
1,443,181
8,793,576
Colorado—0.0%
210
Dawson Ridge Dist. No. 1, GO, zero coupon, 10/1/22, Ser. A
Aaa/NR
108,929
Puerto Rico—2.9%
5,675
Children's Trust Fund, Tobacco Settlement Rev., 5.625%, 5/15/43
Baa3/BBB
5,983,493
1,500
Commonwealth Highway & Transportation Auth. Rev.,
5.25%, 7/1/38, Ser. D, (Pre-refunded @ $100, 7/1/12) (a)
Baa3/AAA
1,619,580
750
Electric Power Auth., Power Rev., 5.125%, 7/1/29, Ser. NN
A3/BBB+
796,680
8,399,753
Total Other Municipal Bonds & Notes (cost—$15,695,851)
17,302,258
NEW YORK VARIABLE RATE NOTES (b)(c)(d)—2.8%
5,595
Long Island Power Auth. Electric System Rev.,
10.69%, 12/1/26, Ser. 339 (MBIA-IBC)
Aaa/NR
6,432,571
1,300
State Urban Dev. Corp. Rev., 9.737%, 3/15/35
NR/AAA
1,728,675
Total New York Variable Rate Notes (cost—$7,025,099)
8,161,246
OTHER VARIABLE RATE NOTES (d)—0.7%
Puerto Rico—0.7%
1,900
Public Finance Corp. Rev., 5.75%, 8/1/27, Ser. A (cost—$2,005,436)
Ba1/BBB-
2,046,699
NEW YORK VARIABLE RATE DEMAND NOTES (d)(e)—1.3%
2,900
Long Island Power Auth. Electric System Rev., 3.61%, 3/1/07, Ser. 1B
VMIG1/A-1+
2,900,000
300
New York City, GO, 3.63%, 3/1/07, Ser. B (MBIA)
VMIG1/A-1+
300,000
600
New York City Transitional Finance Auth. Rev., 3.60%, 3/1/07, Ser. 3, VRN
VMIG1/A-1+
600,000
Total New York Variable Rate Demand Notes (cost—$3,800,000)
3,800,000
U.S. TREASURY BILLS (f)—0.4%
1,045
4.795%-4.805%, 3/15/07 (cost—$1,043,051)
1,043,051
Total Investments (cost—$270,784,548)—100.0%
$288,445,232
*
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. 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
guidelines 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 are valued at the last sale price on the exchange that is the
primary market for such securities, or the 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 options and 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. The Fund's net asset value is 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).
(b)
144A Security - 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)
Inverse Floaters - The interest rate shown bears an inverse relationship to the interest rate on another security or the value of an
index.
(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, 2007.
(e)
Maturity date shown is date of next put.
(f)
All or partial amount segregated as collateral for futures contracts.
(g)
Residual Interest Bonds held in trust - 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
FSA - insured by Financial Security Assurance, Inc.
GNMA - insured by Government National Mortgage Association
GO - General Obligation Bond
IBC - Insurance Bond Certificate
MBIA - insured by Municipal Bond Investors Assurance
NR - Not Rated
Radian - insured by Radian Guaranty, Inc.
TCRS - Temporary Custodian Receipts
Other Investments:
(1) Futures contracts outstanding at February 28, 2007:
Type
Long:
U.S. Treasury Notes 5 yr. Futures
$131,133
Short:
U.S. Treasury Bond Futures
(65)
39,610
(303)
4,734
(34)
(19,125)
$156,352
President & Chief Executive Officer
Treasurer, Principal Financial & Accounting Officer
President & Chief Executive Officer
Treasurer, Principal Financial & Accounting Officer