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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: 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: August 31, 2006

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

PIMCO New York Municipal Income Fund II Schedule of Investments
August 31, 2006 (unaudited)
Principal
Amount
Credit Rating
(000)
 
(Moody's/S&P)
 
Value*
 
NEW YORK MUNICIPAL BONDS & NOTES—82.0%
     
    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
  $ 267,945
1,000  
           5.125%, 7/1/32
Aaa/AAA
    1,078,280
2,400   Erie Cnty. Industrial Dev. Agcy., Orchard Park Rev., 6.00%, 11/15/36
NR/NR
    2,532,696
10,000   Erie Cnty. Tobacco Asset Securitization Corp. Rev.,
     
         6.50%, 7/15/32, (Pre-refunded @ $101, 7/15/10) (a)
Ba1 /AAA
    11,107,300
    Met. Transportation Auth. Rev.,
     
1,850        5.00%, 11/15/30, Ser. A (FSA)
Aaa/AAA
    1,923,704
10,000        5.25%, 11/15/31, Ser. E
A2 /A
    10,549,900
7,000   Met. Transportation Auth. Service Contract Rev., 5.35%, 7/1/31, Ser. B
A1 /AAA
    7,437,360
4,000   New York City, GO, 5.00%, 3/1/33, Ser. I
A1 /AA-
    4,125,000
    New York City Health & Hospital Corp. Rev.,
     
1,100        5.375%, 2/15/26, Ser. A
A2 /A-
    1,141,668
2,000        5.45%, 2/15/26, Ser. A
A2 /A-
    2,091,720
    New York City Industrial Dev. Agcy. Rev.,
     
1,000        Eger Harbor, 4.95%, 11/20/32 (GNMA)
NR/AA+
    1,025,000
1,500        Staten Island Univ. Hospital, 5.00%, 7/1/27
Aa2 /NR
    1,572,060
1,230        United Jewish Appeal Fed., 6.45%, 7/1/32
B2 /NR
    1,267,650
3,055   New York City Municipal Water Finance Auth., Water & Sewer System Rev.,
     
         4.75%, 6/15/25, Ser. D (MBIA-IBC)
Aaa/AAA
    3,096,792
10,000   New York City Transitional Finance Auth. Rev., 5.00%, 11/1/27, Ser. B
Aa1 /AAA
    10,418,300
3,600   Port Auth. New York & New Jersey Rev., 5.00%, 4/15/32, Ser. 125 (FSA)
Aaa/AAA
    3,783,852
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-
    8,018,025
    State Dormitory Auth. Rev.,
     
2,600        Catholic Health of Long Island, 5.10%, 7/1/34
Baa1/BBB
    2,662,088
2,000        Kaleida Health Hospital, 5.05%, 2/15/25 (FHA)
NR/AAA
    2,094,620
5,300        Lenox Hill Hospital, 5.50%, 7/1/30
Ba2 /NR
    5,397,149
1,400        Long Island Univ., 5.25%, 9/1/28 (Radian)
Aa3 /AA
    1,466,780
8,850        North General Hospital, 5.00%, 2/15/25
NR/AA-
    9,159,839
5,000        Saint Barnabas Hospital, 5.00%, 2/1/31, Ser. A (AMBAC-FHA)
Aaa/AAA
    5,185,850
1,500        Sloan-Kettering Center Memorial, 5.00%, 7/1/34, Ser. 1
Aa2 /AA
    1,551,540
8,600        State Personal Income Tax, 5.00%, 3/15/32, (Pre-refunded @ $100, 3/15/13) (a)
Aa3 /AAA
    9,258,244
1,250        Student Housing Corp., 5.125%, 7/1/34 (FGIC)
Aaa/AAA
    1,327,175
4,270        Teachers College, 5.00%, 7/1/32 (MBIA)
Aaa/NR
    4,451,219
2,000        Yeshiva Univ., 5.125%, 7/1/34 (AMBAC)
Aaa/NR
    2,123,480
    State Environmental Facs. Corp. Rev.,
     
7,000        5.00%, 10/15/35
AAA/AAA
    7,403,900
2,000        State Clean Water & Drinking Rev., 5.125%, 6/15/31
Aaa/AAA
    2,111,700
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
    6,566,894
    Tobacco Settlement Asset Backed, Inc. Rev., Ser.1,
     
25,000        5.00%, 6/1/34
NR/BBB
    25,036,250
25,000        5.75%, 7/15/32, (Pre-refunded @ $100, 7/15/12) (a)
Aaa/AAA
    27,717,500
10,000        6.375%, 7/15/39, (Pre-refunded @ $101, 7/15/09) (a)
Aaa/AAA
    10,845,600
    Triborough Bridge & Tunnel Auth. Rev. (FGIC-TCRS),
     
710        5.00%, 1/1/32
Aaa/AAA
    737,811
3,990        5.00%, 1/1/32, (Pre-refunded @ $100, 1/1/12) (a)
Aaa/AAA
    4,254,058
2,000   Warren & Washington Cntys. Industrial Dev. Agcy. Fac. Rev., Glens Falls Hospital,
     
         5.00%, 12/1/35, Ser. A (FSA)
Aaa/AAA
    2,081,100
750   Westchester Cnty. Industrial Dev. Agcy. Continuing Care Retirement Rev.,
     
         Kendal on Hudson, 6.50%, 1/1/34
NR/NR
    796,035
 
    Total New York Municipal Bonds & Notes (cost—$190,295,615)
    203,666,084

PIMCO New York Municipal Income Fund II Schedule of Investments
August 31, 2006 (unaudited)
Principal
 
       
Amount
 
Credit Rating
       
(000)
 
(Moody's/S&P)
 
Value*
 
OTHER MUNICIPAL BONDS & NOTES—6.7%
       
    California—3.3%
       
    Alameda Unified School Dist., Alameda Cnty., GO, Ser. A (FSA),
       
$  3,500        zero coupon, 8/1/24
Aaa/AAA
 
$
1,558,655  
3,000        zero coupon, 8/1/25
Aaa/AAA
    1,272,240  
5,000   California Cnty., Tobacco Settlement Agcy. Rev., zero coupon, 6/1/28
Baa3/NR
    4,113,950  
3,130   Covina Valley Unified School Dist., GO, zero coupon, 6/1/25, Ser. B (FGIC)
Aaa/AAA
    1,337,449  
     
    8,282,294  
 
    Colorado—0.1%
       
210   Dawson Ridge Dist. No. 1, GO, zero coupon, 10/1/22, Ser. A
Aaa/NR
    102,557  
 
    Puerto Rico—3.3%
       
5,675   Children's Trust Fund, Tobacco Settlement Rev., 5.625%, 5/15/43
Baa3/BBB
    5,871,071  
1,500   Commonwealth Highway & Transportation Auth. Rev.,
       
         5.25%, 7/1/38, Ser. D, (Pre-refunded @ $100, 7/1/12) (a)
Baa3/AAA
    1,627,185  
750   Electric Power Auth., Power Rev., 5.125%, 7/1/29, Ser. NN
A3/BBB+
    781,238  
     
    8,279,494  
 
    Total Other Municipal Bonds & Notes (cost—$15,488,525)
    16,664,345  
 
NEW YORK VARIABLE RATE NOTES (b)(c)(d)—10.1%
       
561   Liberty Dev. Corp. Rev., 14.36%, 10/1/35, Ser. 1251
Aa3 /NR
    1,052,812  
5,595   Long Island Power Auth. Electric System Rev.,
       
         11.66%, 12/1/26, Ser. 339 (MBIA-IBC)(b)
Aaa/NR
    6,674,555  
715   Mortgage Agcy. Rev., 9.176%, 10/1/27, Ser. 1199
Aa1 /NR
    783,905  
    New York City Municipal Water Finance Auth., Water & Sewer System Rev.
       
1,250        7.423%, 6/15/32
NR/NR
    1,394,950  
3,750        7.923%, 6/15/34
NR/NR
    4,430,550  
1,500        7.93%, 6/15/33, Ser. 1249
Aa2 /NR
    1,540,800  
1,950   New York City Trust for Cultural Res. Rev., 7.417%, 2/1/34 (FGIC)
NR/NR
    2,297,061  
    State Dormitory Auth. Rev.,
       
2,475        8.146%, 5/15/31 (AMBAC)
NR/AAA
    3,936,240  
1,250        Drivers, 8.885%, 6/1/13, Ser. 931 (Radian)
Aa3 /NR
    1,459,900  
1,300   State Urban Dev. Corp. Rev., 10.697%, 3/15/35
NR/AAA
    1,612,325  
 
    Total New York Variable Rate Notes (cost—$23,904,591)
    25,183,098  
 
OTHER VARIABLE RATE NOTES (d)—0.8%
       
    Puerto Rico—0.8%
       
1,900   Public Finance Corp. Rev., 5.75%, 8/1/27, Ser. A (cost—$2,014,785)
Ba1 /BBB-
    2,044,742  
 
U.S. TREASURY BILLS (e)—0.5%
       
1,095   4.72%-4.93%, 9/14/06 (cost—$1,093,097)
    1,093,097  
 
    Total Investments before options written (cost—$232,796,613)—100.1%
    248,651,366  
 
OPTIONS WRITTEN (f)—(0.1)%
       
Contracts    
       
    Call Options—(0.1)%
       
    U.S. Treasury Notes 10 yr. Futures, Chicago Board of Trade,
       
341        strike price $108, expires 11/21/06 (premiums received—$62,829)
    (181,156 )
 
    Total Investments net of options written (cost—$232,733,784)—100.0%
  $ 248,470,210  

Notes to Schedule of Investments:

* 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 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. 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) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate).
  (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) Residual Interest Municipal Bonds ("RIBS")/Residual Interest Tax Exempt Bonds ("RITES") - 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 August 31, 2006.
  (e) All or partial amount segregated as collateral for options written and futures contracts.
  (f) Non-income producing.

 

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 August 31, 2006:                
   
                     
   
       
   
     
   
 
    Type
 		 
Notional
Amount
(000)
   
 
Expiration
Date
   
Unrealized
Appreciation
(Depreciation)
 
Long:   U.S. Treasury Notes 5 yr. Futures December 2006   $ 2,330     12/31/06    
$
54,609  
    U.S. Treasury Notes 10 yr. Futures December 2006     390     12/19/06    
17,063  
Short:   U.S. Treasury Bond Futures September 2006     (680 )   9/20/06    
(251,125 )
    U.S. Treasury Bond Futures December 2006     (3,030 )   12/19/06    
(52,078 )
    U.S. Treasury Notes 10 yr. Futures September 2006     (820 )   9/20/06    
 
 (34,594 )
                     
$
(266,125 )
 
(2) Transactions in options written for the three months ended August 31, 2006:                
   
                Contracts    
 
 Premiums  
Options outstanding, May 31, 2006           0    
$
0  
Options written           1,187    
168,798  
Options expired           (505 )  
(59,124 )
Options terminated in closing transactions           (341 )  
 
 (46,845 )
Options outstanding, August 31, 2006           341    
$
62,829  

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.

(b) There were no significant changes in the registrant's internal controls or in factors that could affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

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: October 17, 2006

By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer

Date: October 17, 2006

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
President & Chief Executive Officer

Date: October 17, 2006

By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer

Date: October 17, 2006