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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

 

Investment Company Act File Number:		811-10381
Registrant Name:		PIMCO New York Municipal Income Fund
Address of Principal Executive Offices:		1633 Broadway, 41st Floor
		New York, NY 10019
Name and Address of Agent for Service:		Lawrence G. Altadonna
		1633 Broadway, 41st Floor
		New York, NY 10019
Registrant’s telephone number, including area code:		212-739-3371
Date of Fiscal Year End:		April 30, 2012
Date of Reporting Period:		July 31, 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 30b1-5 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.

 

 

 

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Item 1. Schedule of Investments

PIMCO New York Municipal Income Fund Schedule of Investments

July 31, 2011 (unaudited)

 

Principal Amount (000s)						Credit  Rating (Moody’s/S&P)		Value*
	NEW YORK MUNICIPAL BONDS & NOTES—90.4%
	$1,600			Erie Cnty. Industrial Dev. Agcy. Rev.,
				Orchard Park, Inc. Project, 6.00%, 11/15/36, Ser. A		NR/NR		$	1,171,008
				Liberty Dev. Corp. Rev.,
	1,500			6.375%, 7/15/49		NR/BBB-			1,541,805
				Goldman Sachs Headquarters,
	120			5.25%, 10/1/35		A1/A			120,482
	11,290			5.25%, 10/1/35 (c)		A1/A			11,335,386
	1,925			5.50%, 10/1/37		A1/A			1,962,518
				Long Island Power Auth. Rev., Ser. A,
	750			5.00%, 9/1/34 (AMBAC)		A3/A-			755,708
	4,500			5.75%, 4/1/39		A3/A-			4,806,675
				Metropolitan Transportation Auth. Rev.,
	6,650			5.00%, 7/1/30, Ser. A (AMBAC)		Aa3/AA-			6,690,299
	1,250			5.00%, 11/15/32, Ser. B-2		Aa3/AA			1,298,825
	1,375			5.125%, 1/1/29, Ser. A		Aa3/AA-			1,393,961
	2,000			5.25%, 11/15/31, Ser. E		A2/A			2,013,140
	1,600			Nassau Cnty. Industrial Dev. Agcy. Rev.,
				Amsterdam at Harborside, 6.70%, 1/1/43, Ser. A		NR/NR			1,512,144
	5			New York City, GO, 5.25%, 6/1/28, Ser. J,
				(Pre-refunded @ $100, 6/1/13) (a)		Aa2/AAA			5,446
	3,500			New York City Health & Hospital Corp. Rev., 5.00%, 2/15/30, Ser. A		Aa3/A+			3,541,160
				New York City Industrial Dev. Agcy. Rev.,
	1,000			Liberty Interactive Corp., 5.00%, 9/1/35		Ba2/BB+			908,880
	900			Queens Baseball Stadium, 6.50%, 1/1/46 (AGC)		Aa3/AA+			923,301
	1,820			Vaughn College Aeronautics, 5.25%, 12/1/36, Ser. B		NR/BB+			1,531,184
	3,200			Yankee Stadium, 7.00%, 3/1/49 (AGC)		Aa3/AA+			3,525,216
	2,000			New York City Municipal Water Finance Auth. Rev.,
				Second Generation Resolutions, 5.00%, 6/15/32, Ser. HH		Aa2/AA+			2,103,280
				New York City Municipal Water Finance Auth. Water & Sewer Rev.,
	2,500			5.00%, 6/15/40, Ser. FF-2		Aa2/AA+			2,542,125
	5,000			Second Generation Resolutions, 4.75%, 6/15/35, Ser. DD (c)		Aa2/AA+			5,020,050
				New York City Transitional Finance Auth. Rev.,
	15			4.75%, 11/1/23, Ser. B		Aaa/AAA			15,037
	5,000			5.25%, 1/15/39, Ser. S-3		Aa3/AA-			5,111,100
	300			New York City Trust for Cultural Res. Rev.,
				Julliard School, 5.00%, 1/1/34, Ser. A		Aa2/AA			310,692
	1,000			Niagara Falls Public Water Auth. Water & Sewer Rev.,
				5.00%, 7/15/34, Ser. A (NPFGC)		Baa1/BBB			968,140
	600			Onondaga Cnty. Rev., Syracuse Univ. Project, 5.00%, 12/1/36		Aa3/A+			615,546
				Port Auth. of New York & New Jersey Rev.,
	2,000			5.00%, 9/1/29, Ser. 132		Aa2/AA-			2,059,060
	4,300			5.00%, 9/1/38, Ser. 132		Aa2/AA-			4,392,407
	1,000			JFK International Air Terminal, 6.00%, 12/1/36		Baa3/BBB-			1,021,380
				State Dormitory Auth. Rev.,
	500			5.00%, 7/1/35, Ser. A		Aa2/NR			513,360
	1,000			5.00%, 3/15/38, Ser. A		NR/AAA			1,027,350
	3,000			Columbia Univ., 5.00%, 10/1/41		Aaa/AAA			3,159,570
	1,000			Fordham Univ., 5.50%, 7/1/36, Ser. A		A2/A			1,035,490
	3,850			Lenox Hill Hospital, 5.50%, 7/1/30		Baa3/NR			3,853,504
	1,300			Mount Sinai School of Medicine, 5.125%, 7/1/39		A3/A-			1,293,253
	4,500			New York Univ., 5.00%, 7/1/38, Ser. C		Aa3/AA-			4,599,990
	300			North Shore-Long Island Jewish Health System, 5.50%, 5/1/37, Ser. A		A3/A-			305,079
	1,225			NYU Hospitals Center, 6.00%, 7/1/40, Ser. A		Baa1/BBB+			1,292,326

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PIMCO New York Municipal Income Fund Schedule of Investments

July 31, 2011 (unaudited) (continued)

 

Principal Amount (000s)						Credit Rating (Moody’s/S&P)		Value*
	$2,900			Orange Regional Medical Center, 6.25%, 12/1/37		Ba1/NR		$	2,794,701
	1,000			Pratt Institute, 5.125%, 7/1/39, Ser. C (AGC)		Aa3/NR			1,008,690
				Sloan-Kettering Center Memorial,
	2,500			4.50%, 7/1/35, Ser. A-1		Aa2/AA			2,418,100
	4,000			5.00%, 7/1/34, Ser. 1		Aa2/AA			4,024,440
				Teachers College,
	1,500			5.00%, 7/1/32 (NPFGC)		A1/NR			1,507,890
	1,800			5.50%, 3/1/39		A1/NR			1,843,578
	1,250			The New School, 5.50%, 7/1/40		A3/A-			1,289,000
	1,275			Winthrop Univ. Hospital Assoc., 5.25%, 7/1/31, Ser. A (AMBAC)		WR/NR			1,278,200
				State Environmental Facs. Corp. Rev.,
	2,800			5.25%, 12/15/23, Ser. A		NR/AAA			3,129,140
	2,000			New York City Municipal Water Project, 5.125%, 6/15/31, Ser. D		Aaa/AAA			2,020,420
	1,800			State Urban Dev. Corp. Rev., 5.00%, 3/15/36, Ser. B-1 (c)		NR/AAA			1,853,892
	250			Suffolk Cnty. Industrial Dev. Agcy. Rev.,
				New York Institute of Technology, 5.00%, 3/1/26		Baa2/BBB+			250,478
	3,000			Triborough Bridge & Tunnel Auth. Rev., 5.25%, 11/15/34, Ser. A-2 (c)		Aa2/AA-			3,151,500
	800			Troy Rev., Rensselaer Polytechnic Institute, 5.125%, 9/1/40, Ser. A		A3/A-			785,136
	1,455			TSACS, Inc. Rev., 5.125%, 6/1/42, Ser. 1		NR/BBB-			1,019,489
	2,945			Warren & Washington Cntys. Industrial Dev. Agcy. Rev.,
				Glens Falls Hospital Project, 5.00%, 12/1/27, Ser. C (AGM)		Aa3/AA+			3,005,078
	910			Westchester Cnty. Healthcare Corp. Rev., 6.125%, 11/1/37, Ser. C-2		A3/BBB			927,572
	200			Yonkers Economic Dev. Corp. Rev., 6.00%, 10/15/30, Ser. A		NR/BB+			188,264
	400			Yonkers Industrial Dev. Agcy. Rev.,
				Sarah Lawrence College Project, 6.00%, 6/1/41, Ser. A		WR/BBB			414,348
				Total New York Municipal Bonds & Notes (cost—$117,782,177)					119,185,793
	OTHER MUNICIPAL BONDS & NOTES—9.0%
				Louisiana—0.6%
	750			Tobacco Settlement Financing Corp. Rev., 5.875%, 5/15/39, Ser. 2001-B		Baa3/A-			748,395
				New Jersey—0.5%
	1,000			Tobacco Settlement Financing Corp. Rev., 4.75%, 6/1/34, Ser. 1-A		Baa3/BB+			687,490
				Ohio—1.1%
	2,000			Buckeye Tobacco Settlement Financing Auth. Rev.,
				5.875%, 6/1/47, Ser. A-2		Baa3/BB-			1,480,500
				Puerto Rico—6.5%
	1,000			Aqueduct & Sewer Auth. Rev., 6.00%, 7/1/44, Ser. A		Baa1/BBB-			1,002,740
	1,000			Electric Power Auth. Rev., 5.25%, 7/1/40, Ser. XX		A3/BBB+			972,420
				Sales Tax Financing Corp. Rev.,
	3,000			5.25%, 8/1/41, Ser. C		A1/A+			2,955,420
	2,000			5.50%, 8/1/42, Ser. A		A1/A+			2,013,480
	1,500			5.75%, 8/1/37, Ser. A		A1/A+			1,541,550
									8,485,610
				U. S. Virgin Islands—0.3%
	500			Virgin Islands Public Finance Auth. Rev., 5.00%, 10/1/39, Ser. A-1		Baa2/BBB			439,765
				Total Other Municipal Bonds & Notes (cost—$11,440,882)					11,841,760

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PIMCO New York Municipal Income Fund Schedule of Investments

July 31, 2011 (unaudited) (continued)

 

Principal Amount (000s)				Value*
SHORT-TERM INVESTMENTS—0.6%
		U.S. Treasury Obligations (b)(d)—0.6%
		U.S. Treasury Bills,
$850		0.01%-0.089%,8/25/11-9/15/11 (cost—$849,934)		$	849,934
		Total Investments (cost—$130,072,993)(e)—100.0%		$	131,877,487

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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 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)

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 theearliest refunding date (payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate).

 

(b)	All or partial amount segregated for the benefit of the counterparty as collateral for derivatives.

 

(c)	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.

 

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

 

(e)

At July 31, 2011, the cost basis of investments for federal income tax purposes was $121,272,493. Gross unrealized appreciation $4,359,291, gross unrealized depreciation was $2,834,968 and net unrealized appreciation was $1,524,323. The difference between book and tax cost basis 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.

GO—General Obligation Bond

NPFGC—insured by National Public Finance Guarantee Corp.

NR—Not Rated

WR—Withdrawn Rating

Other Investments:

Interest rate swap agreements outstanding at July 31, 2011:

 

Swap Counterparty		Notional  Amount (000s)								Rate Type								Market Value				Upfront Premiums Paid(Received)				Unrealized Depreciation
						Termination Date				Payments Made				Payments Received
Citigroup		$	4,200				6/20/42				4.75	%			3-Month USD-LIBOR			$	(561,780	)		$	(89,600	)		$	(472,180	)
Goldman Sachs			800				6/20/42				4.75	%			3-Month USD-LIBOR				(107,006	)			6,320				(113,326	)
JPMorgan Chase			1,400				6/20/42				4.75	%			3-Month USD-LIBOR				(187,260	)			(12,908	)			(174,352	)
																		$	(856,046	)		$	(96,188	)		$	(759,858	)

 

LIBOR—London Inter-Bank Offered Rate

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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 three months ended July 31, 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 and Variable Rate Notes — Municipal bonds 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 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.

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 July 31, 2011 in valuing the Fund's assets and liabilities is listed below:

 

		Level 1—   Quoted Prices				Level 2—   Other Significant Observable Inputs				Level 3—   Significant Unobservable Inputs				Value at 7/31/11
Investments in Securities—Assets
New York Municipal Bonds & Notes			—			$	119,185,793				—			$	119,185,793
Other Municipal Bonds & Notes			—				11,841,760				—				11,841,760
Short Term Investments			—				849,934				—				849,934
Total Investments in Securities—Assets			—			$	131,877,487				—			$	131,877,487
Other Financial Instruments*—Liabilities
Interest Rate Contracts			—			$	(759,858	)			—			$	(759,858	)
Total Investments			—			$	131,117,629				—			$	131,117,629

 

*	Other financial instruments 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 three months ended July 31, 2011.

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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 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

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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

 

By		/s/    Brian S. Shlissel
		President & Chief Executive Officer
		Date: September 22, 2011

 

By		/s/    Lawrence G. Altadonna
		Treasurer, Principal Financial & Accounting Officer
		Date: September 22, 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: September 22, 2011

 

By		/s/ Lawrence G. Altadonna
		Treasurer, Principal Financial & Accounting Officer
		Date: September 22, 2011