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
		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, 2013
Date of Reporting Period:		July 31, 2012

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Item 1. Schedule of Investments

PIMCO New York Municipal Income Fund Schedule of Investments

July 31, 2012 (unaudited)

 

 

Principal Amount (000s)						Value*
	NEW YORK MUNICIPAL BONDS & NOTES—95.2%
	$1,600			Erie Cnty. Industrial Dev. Agcy. Rev., Orchard Park, Inc. Project, 6.00%, 11/15/36, Ser. A		$	1,632,448
				Hudson Yards Infrastructure Corp. Rev., Ser. A,
	2,000			5.25%, 2/15/47			2,226,600
	4,000			5.75%, 2/15/47			4,694,360
				Liberty Dev. Corp. Rev.,
	1,500			Bank of America Tower at One Bryant Park Project, 6.375%, 7/15/49			1,724,400
				Goldman Sachs Headquarters,
	120			5.25%, 10/1/35			139,516
	11,290			5.25%, 10/1/35 (b)			13,126,093
	1,925			5.50%, 10/1/37			2,311,328
				Long Island Power Auth. Rev., Ser. A,
	750			5.00%, 9/1/34 (AMBAC)			784,148
	4,500			5.75%, 4/1/39			5,253,795
	2,000			Metropolitan Transportation Auth. Rev., 5.25%, 11/15/31, Ser. E			2,025,580
	1,600			Nassau Cnty. Industrial Dev. Agcy. Rev., Amsterdam at Harborside, 6.70%, 1/1/43, Ser. A			1,059,008
	3,500			New York City Health & Hospital Corp. Rev., 5.00%, 2/15/30, Ser. A			3,968,825
				New York City Industrial Dev. Agcy. Rev.,
	1,000			Liberty Interactive Corp., 5.00%, 9/1/35			1,027,490
	900			Pilot Queens Baseball Stadium, 6.50%, 1/1/46 (AGC)			1,057,203
	3,200			Yankee Stadium, 7.00%, 3/1/49 (AGC)			3,890,624
	2,000			New York City Municipal Water Finance Auth. Rev., Second Generation Resolutions, 5.00%, 6/15/32, Ser. HH			2,345,000
				New York City Municipal Water Finance Auth. Water & Sewer Rev.,
	2,500			5.00%, 6/15/40, Ser. FF-2			2,780,225
	5,000			Second Generation Resolutions, 4.75%, 6/15/35, Ser. DD (b)			5,428,700
	5,000			New York City Transitional Finance Auth. Rev., 5.25%, 1/15/39, Ser. S-3			5,589,900
				New York Liberty Dev. Corp. Rev.,
	2,000			1 World Trade Center Project, 5.00%, 12/15/41			2,268,520
	5,000			4 World Trade Center Project, 5.75%, 11/15/51			5,815,900
	1,000			Niagara Falls Public Water Auth. Water & Sewer Rev., 5.00%, 7/15/34, Ser. A (NPFGC)			1,011,540
	600			Onondaga Cnty. Rev., Syracuse Univ. Project, 5.00%, 12/1/36			688,038
				Port Auth. of New York & New Jersey Rev.,
	4,300			5.00%, 9/1/38, Ser. 132			4,438,116
	1,000			JFK International Air Terminal, 6.00%, 12/1/36			1,151,880
				State Dormitory Auth. Rev.,
	500			5.00%, 7/1/35, Ser. A			560,225
	1,000			5.00%, 3/15/38, Ser. A			1,135,240
	1,000			Fordham Univ., 5.50%, 7/1/36, Ser. A			1,147,820
	2,000			Mount Sinai Hospital, 5.00%, 7/1/31, Ser. A			2,194,180
	1,300			Mount Sinai School of Medicine, 5.125%, 7/1/39			1,418,638
	4,500			New York Univ., 5.00%, 7/1/38, Ser. C			4,971,240
	1,225			NYU Hospitals Center, 6.00%, 7/1/40, Ser. A			1,439,620
	1,000			Pratt Institute, 5.125%, 7/1/39, Ser. C (AGC)			1,099,600
				Sloan-Kettering Center Memorial,
	2,500			4.50%, 7/1/35, Ser. A-1			2,670,925
	4,000			5.00%, 7/1/34, Ser. 1 (Pre-refunded @ $100, 7/1/13) (a)			4,173,920
	1,800			Teachers College, 5.50%, 3/1/39			1,997,550
	1,250			The New School, 5.50%, 7/1/40			1,438,187
	1,275			Winthrop Univ. Hospital Assoc., 5.25%, 7/1/31, Ser. A (AMBAC)			1,276,632

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PIMCO New York Municipal Income Fund Schedule of Investments

July 31, 2012 (unaudited) (continued)

 

 

 

Principal Amount (000s)						Value*
				State Thruway Auth. Rev., Ser. I
	$2,000			5.00%, 1/1/37		$	2,248,960
	6,145			5.00%, 1/1/42			6,883,690
	1,800			State Urban Dev. Corp. Rev., 5.00%, 3/15/36, Ser. B-1 (b)			2,048,094
	3,000			Triborough Bridge & Tunnel Auth. Rev., 5.25%, 11/15/34, Ser. A-2 (b)			3,461,760
	3,000			Troy Capital Res. Corp. Rev., Rensselaer Polytechnic Institute Project, 5.125%, 9/1/40, Ser. A			3,324,780
	5,860			Troy Industrial Dev. Auth. Rev., Rensselaer Polytechnic Institute Project, 4.625%, 9/1/26			6,651,569
	1,455			TSACS, Inc. Rev., 5.125%, 6/1/42, Ser. 1			1,079,363
	2,945			Warren & Washington Cntys. Industrial Dev. Agcy. Rev., Glens Falls Hospital Project, 5.00%, 12/1/27, Ser. C (AGM)			3,040,860
	910			Westchester Cnty. Healthcare Corp. Rev., 6.125%, 11/1/37, Ser. C-2			1,066,929
	200			Yonkers Economic Dev. Corp. Rev., Charter School of Educational Excellence Project, 6.00%, 10/15/30, Ser. A			209,466
	400			Yonkers Industrial Dev. Agcy. Rev., Sarah Lawrence College Project, 6.00%, 6/1/41, Ser. A			455,816
				Total New York Municipal Bonds & Notes (cost—$120,361,914)			132,434,301
	OTHER MUNICIPAL BONDS & NOTES—4.8%
				Louisiana—0.5%
	750			Tobacco Settlement Financing Corp. Rev., 5.875%, 5/15/39, Ser. 2001-B			767,812
				Ohio—1.2%
	2,000			Buckeye Tobacco Settlement Financing Auth. Rev., 5.875%, 6/1/47, Ser. A-2			1,622,500
				Puerto Rico—2.7%
	1,000			Aqueduct & Sewer Auth. Rev., 6.00%, 7/1/44, Ser. A Sales Tax Financing Corp. Rev.,			1,066,900
	1,000			5.25%, 8/1/43, Ser. A-1			1,070,240
	1,500			5.75%, 8/1/37, Ser. A			1,676,220
							3,813,360
				U. S. Virgin Islands—0.4%
	500			Virgin Islands Public Finance Auth. Rev., 5.00%, 10/1/39, Ser. A-1			519,475
				Total Other Municipal Bonds & Notes (cost—$5,992,554)			6,723,147
				Total Investments (cost—$126,354,468) (c)—100.0%		$	139,157,448

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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. 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.

The Board of Trustees has adopted methods for valuing portfolio securities and other financial derivative instruments in circumstances where market quotes are not readily available and has delegated the responsibility for applying the valuation methods to the Investment Manager and Pacific Investment Management Company LLC (the “Sub-Adviser”), an affiliate of the Investment Manager. The Valuation Committee has been established by the Board of Trustees to oversee the implementation of the Fund’s valuation methods and to make fair value determinations on behalf of the Board of Trustees as instructed. The Sub-Adviser monitors the continual appropriateness of methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Sub-Adviser determines that a valuation method may no longer be appropriate, another valuation method may be selected, or the Valuation Committee will be convened to consider the matter and take any appropriate action in accordance with procedures set forth by the Board of Trustees. The Board of Trustees shall review the appropriateness of the valuation methods and these methods may be amended or supplemented from time to time by the Valuation Committee.

If third party evaluated vendor pricing is neither available nor deemed to be reliable of fair value, the Sub-Adviser may elect to obtain market quotations (“broker quotes”) directly from a broker-dealer.

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)

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)	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.

 

(c)

At July 31, 2012, the cost basis of portfolio securities for federal income tax purposes was $117,553,968. Gross unrealized appreciation was $13,434,127; gross unrealized depreciation was $540,992; and net unrealized appreciation was $12,893,135. 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.

NPFGC—insured by National Public Finance Guarantee Corp.

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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, which may include, but not limited to, quoted prices for similar assets or liabilities, interest rates, yield curves, volatilities, prepayment speeds, loss securities, credit risks and default rates or other market corroborated inputs.

 

•

Level 3 – valuations based on significant unobservable inputs (including the Sub-Adviser’s or Valuation Committee’s own assumptions and single source broker quote in determining the fair value of investments)

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 of asset 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.

A summary of the inputs used at July 31, 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 7/31/12
Investments in Securities - Assets
New York Municipal Bonds & Notes			—			$	132,434,301				—			$	132,434,301
Other Municipal Bonds & Notes			—				6,723,147				—				6,723,147
Total Investments			—			$	139,157,448				—			$	139,157,448

The valuation techniques used by the Fund to measure fair value during the three months ended July 31, 2012 maximized the use of observable inputs and minimized the use of unobservable inputs.

The Fund’s policy is to recognize transfers between levels at the end of the reporting period. An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in 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 techniques used. Assets categorized as Level 1 or 2 as of period end may have been transferred between Levels 1 and 2 since the prior period due to changes in the valuation method utilized in valuing the investments.

At July 31, 2012 there were no transfers between Levels 1 and 2.

 

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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

 

By		/s/ Brian S. Shlissel
President & Chief Executive Officer
Date: September 25, 2012
By		/s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: September 25, 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: September 25, 2012
By		/s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: September 25, 2012