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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:
  1345 Avenue of the Americas,
 
  New York, NY 10105
 
    
Name and Address of Agent for Service:
  Lawrence G. Altadonna
 
  1345 Avenue of the Americas,
 
  New York, NY 10105
 
    
Registrant’s telephone number, including area code:
  212-739-3371
 
    
Date of Fiscal Year End:
  April 30, 2010
 
    
Date of Reporting Period:
   January 31, 2010
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 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.
 
 

 

 

Item 1. Schedule of Investments
PIMCO New York Municipal Income Fund Schedule of Investments
January 31, 2010 (unaudited)
                     
Principal                
Amount         Credit Rating      
(000s)         (Moody’s/S&P)   Value*  
 
NEW YORK MUNICIPAL BONDS & NOTES—87.0%            
$ 1,600    
Erie Cnty. Industrial Dev. Agcy. Rev.,
           
       
Orchard Park, Inc. Project, 6.00%, 11/15/36, Ser. A
   NR/NR   $ 1,303,968  
       
Liberty Dev. Corp. Rev., Goldman Sachs Headquarters,
            
  120    
5.25%, 10/1/35
   A1/A     120,666  
  11,290    
5.25%, 10/1/35 (e)
   A1/A     11,352,660  
  1,925    
5.50%, 10/1/37
   A1/A     1,944,019  
       
Long Island Power Auth. Rev., Ser. A,
            
  750    
5.00%, 9/1/34 (AMBAC)
   A3/A-     758,527  
  2,300    
5.75%, 4/1/39
   A3/A-     2,483,264  
       
Metropolitan Transportation Auth. Rev.,
            
  8,150    
5.00%, 7/1/30, Ser. A (AMBAC)
   A1/AA-     8,265,974  
  1,375    
5.125%, 1/1/29, Ser. A
   A1/AA-     1,403,504  
  2,000    
5.25%, 11/15/31, Ser. E
   A2/A     2,036,600  
  1,600    
Nassau Cnty. Industrial Dev. Agcy. Rev.,
           
       
Amsterdam at Harborside, 6.70%, 1/1/43, Ser. A
   NR/NR     1,458,720  
  5    
New York City, GO, 5.25%, 6/1/28, Ser. J
   Aa3/AA     5,185  
       
New York City Industrial Dev. Agcy. Rev.,
            
  1,000    
Liberty Interactive Corp., 5.00%, 9/1/35
   Ba2/BB+     758,580  
  900    
Queens Baseball Stadium, 6.50%, 1/1/46 (AGC)
   Aa3/AAA     1,006,362  
  1,820    
Vaughn College Aeronautics, 5.25%, 12/1/36, Ser. B
   NR/BB+     1,409,626  
  3,200    
Yankee Stadium, 7.00%, 3/1/49 (AGC)
   Aa3/AAA     3,707,872  
       
New York City Municipal Water Finance Auth. Water & Sewer Rev.,
            
  5,105    
4.75%, 6/15/31, Ser. A (FGIC-NPFGC)
   Aa2/AAA     5,110,207  
  3,000    
5.00%, 6/15/32, Ser. A
   Aa2/AAA     3,046,980  
  2,500    
5.00%, 6/15/40, Ser. FF-2
   Aa3/AA+     2,542,875  
  5,000    
5.125%, 6/15/33, Ser. C
   Aa2/AAA     5,129,950  
  5,000    
5.25%, 6/15/25, Ser. D
   Aa2/AAA     5,183,700  
  5,000    
Second Generation Resolutions, 4.75%, 6/15/35, Ser. DD (e)
   Aa3/AA+     5,024,400  
       
New York City Transitional Finance Auth. Rev.,
            
  2,150    
4.75%, 11/1/23, Ser. B
   Aa1/AAA     2,173,069  
  5,000    
5.25%, 1/15/39, Ser. S-3
   A1/AA-     5,173,050  
  300    
New York City Trust for Cultural Res. Rev., Julliard School,
            
       
5.00%, 1/1/34, Ser. A
   Aa2/AA     314,946  
  1,000    
Niagara Falls Public Water Auth. Water & Sewer Rev.,
            
       
5.00%, 7/15/34, Ser. A (NPFGC)
   Baa1/A     1,014,510  
       
Port Auth. of New York & New Jersey Rev., Ser. 132,
            
  2,000    
5.00%, 9/1/29
   Aa3/AA-     2,082,680  
  4,300    
5.00%, 9/1/38
   Aa3/AA-     4,412,574  
       
State Dormitory Auth. Rev.,
            
  3,850    
Lenox Hill Hospital, 5.50%, 7/1/30
   Ba1/NR     3,540,075  
  1,825    
Mount Sinai Health, 6.50%, 7/1/25, Ser. A
   A2/NR     1,861,610  
  1,300    
Mount Sinai School of Medicine, 5.125%, 7/1/39
   A3/A-     1,300,416  
  1,500    
New York Univ. Hospital Center, 5.00%, 7/1/26, Ser. A
   Baa2/BB+     1,438,305  
  300    
North Shore-Long Island Jewish Health System, 5.50%, 5/1/37, Ser. A
   Baa1/A-     303,723  
  4,995    
NY & Presbyterian Hospital, 4.75%, 8/1/27 (AMBAC-FHA)
   WR/NR     4,983,212  
  2,900    
Orange Regional Medical Center, 6.25%, 12/1/37
   Ba1/NR     2,615,191  
  1,000    
Pratt Institute, 5.125%, 7/1/39, Ser. C (AGC)
   Aa3/NR     1,037,380  
       
Sloan-Kettering Center Memorial,
            
  2,500    
4.50%, 7/1/35, Ser. A1
   Aa2/AA     2,429,800  
  4,000    
5.00%, 7/1/34, Ser. 1
   Aa2/AA     4,043,520  
       
Teachers College,
            
  1,500    
5.00%, 7/1/32 (NPFGC)
   A1/NR     1,518,600  
  1,800    
5.50%, 3/1/39
   A1/NR     1,868,940  
  1,275    
Winthrop Univ. Hospital Assoc., 5.25%, 7/1/31, Ser. A (AMBAC)
   WR/NR     1,285,264  
  2,000    
State Environmental Facs. Corp. Rev., 5.125%, 6/15/31, Ser. D
   Aaa/AAA     2,064,840  
  1,800    
State Urban Dev. Corp. Rev., 5.00%, 3/15/36, Ser. B-1 (e)
   NR/AAA     1,858,446  

 

 

PIMCO New York Municipal Income Fund Schedule of Investments
January 31, 2010 (unaudited)
                     
Principal                
Amount         Credit Rating      
(000s)         (Moody’s/S&P)   Value*  
 
       
Triborough Bridge & Tunnel Auth. Rev.,
            
$ 755    
5.00%, 1/1/32, Ser. A
   Aa2/AA-   $ 765,812  
  3,000    
5.25%, 11/15/34, Ser. A-2 (e)
   Aa2/AA-     3,157,110  
  2,945    
Warren & Washington Cntys. Industrial Dev. Agcy. Rev., Glens Falls Hospital Project, 5.00%, 12/1/27, Ser. C (AGM)
   Aa3/AAA     3,024,191  
  400    
Yonkers Industrial Dev. Agcy. Rev., Sarah Lawrence College Project, 6.00%, 6/1/41, Ser. A
   NR/BBB+     405,088  
       
 
          
       
Total New York Municipal Bonds & Notes (cost—$115,966,935)
         118,725,991  
       
 
          
       
 
            
OTHER MUNICIPAL BONDS & NOTES—7.6%            
       
California—1.1%
            
  1,500    
Los Angeles Department of Water & Power Rev., 5.00%, 7/1/39, Ser. A-1 (AMBAC)
   Aa3/AA-     1,512,870  
       
 
          
       
 
            
       
Louisiana—0.5%
            
  750    
Tobacco Settlement Financing Corp. Rev., 5.875%, 5/15/39, Ser. 2001-B
   Baa3/BBB     701,865  
       
 
          
       
 
            
       
Puerto Rico—5.7%
            
       
Aqueduct & Sewer Auth. Rev., Ser. A,
            
  3,100    
6.00%, 7/1/38
   Baa3/BBB-     3,165,410  
  1,000    
6.00%, 7/1/44
   Baa3/BBB-     1,020,430  
       
Sales Tax Financing Corp. Rev., Ser. A,
            
  2,000    
5.50%, 8/1/42 (a)
   A2/A+     1,988,000  
  1,500    
5.75%, 8/1/37
   A2/A+     1,543,080  
       
 
          
       
 
         7,716,920  
       
 
          
       
 
            
       
U.S. Virgin Islands—0.3%
            
  500    
Virgin Islands Public Finance Auth. Rev.
   Baa2/BBB     450,815  
       
 
          
       
Total Other Municipal Bonds & Notes (cost—$9,899,853)
         10,382,470  
       
 
          
       
 
            
OTHER VARIABLE RATE NOTES (b)—1.4%            
       
Puerto Rico—1.4%
            
  2,500    
Commonwealth of Puerto Rico, Public Improvements, GO, 0.817%, 7/1/19, Ser. A (AGC) (cost—$2,137,020)
   Aa3/AAA     1,917,250  
       
 
          
       
 
            
SHORT-TERM INVESTMENTS—4.0%            
Corporate Notes (d)—2.2%            
       
Financial Services—2.2%
            
  2,900    
American General Finance Corp., 4.625%, 9/1/10
   B2/BB+     2,833,248  
  200    
International Lease Finance Corp., 0.482%, 5/24/10, FRN
   B1/BB+     196,066  
       
 
          
       
Total Corporate Notes (cost—$2,620,514)
         3,029,314  
       
 
          
       
 
            
New York Variable Rate Demand Notes (b)(c)—1.8%            
  1,500    
Syracuse Industrial Dev. Agcy. Rev., Syracuse Univ. Project, 0.15%, 2/1/10, Ser. A-2
   VMIG1/A-1+     1,500,000  
  1,000    
Tompkins Cnty. Industrial Dev. Agcy. Rev., Cornell Univ., 0.21%, 2/1/10, Ser. A-1
   VMIG1/A-1+     1,000,000  
       
 
          
       
Total New York Variable Rate Demand Notes (cost—$2,500,000)
         2,500,000  
       
 
          
       
Total Short-Term Investments (cost—$5,120,514)
         5,529,314  
       
 
          
       
 
            
       
Total Investments (cost—$133,124,322)—100.0%
       $ 136,555,025  
       
 
          

 

 

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 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 for those securities 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. Securities purchased on a when-issued or delayed delivery basis are marked to market daily until settlement at the forward settlement value. 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 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)   Delayed-delivery. To be settled/delivered after January 31, 2010.
 
(b)   Variable Rate Notes—Instruments whose interest rates change on a 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 January 31, 2010.
 
(c)   Maturity date shown is date of next put.
 
(d)   All or partial amount segregated as collateral for reverse repurchase agreements.
 
(e)   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:
AGC—insured by Assured Guaranty Corp.
AGM—insured by Assured Guaranty Municipal Corp.
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. The interest rate disclosed reflects the rate in effect on January 31, 2010.
GO—General Obligation Bond
NPFGC—insured by National Public Finance Guarantee Corp.
NR—Not Rated
WR—Withdrawn Rating

Other Investments:
Open reverse repurchase agreements at January 31, 2010:
                                         
Counterparty   Rate   Trade Date   Maturity Date   Principal & Interest   Principal
 
Barclays Bank
     0.75 %     1/6/10       2/9/10     $ 2,708,410     $ 2,707,000  
 
                                        
The weighted average daily balance of reverse repurchase agreements outstanding during the nine months ended January 31, 2010 was $3,706,188 at a weighted average interest rate of 0.75%. The total market value of underlying collateral (refer to the Schedule of Investments for positions segregated as collateral for reverse repurchase agreements) for open reverse repurchase agreements at January 31, 2010 was $3,029,314.
The Fund received $156,387 in principal value of U.S. government agency securities as collateral for reverse repurchase agreements outstanding. Collateral received as securities cannot be pledged.

 

 

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 nine months ended January 31, 2010 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.
A summary of the inputs used at January 31, 2010 in valuing the Fund’s assets and liabilities is listed below:
                                 
            Level 2 -   Level 3 -    
            Other Significant   Significant    
    Level 1 -   Observable   Unobservable   Value at
    Quoted Prices   Inputs   Inputs   1/31/10
 
Investments in Securities — Assets
                                
Municipal Bonds & Notes
     —     $ 118,725,991       —     $ 118,725,991  
Other Municipal Bonds & Notes
     —       10,382,470       —       10,382,470  
Other Variable Rate Notes
     —       1,917,250       —       1,917,250  
Short-Term Investments
     —       5,529,314       —       5,529,314  
 
Total Investments
     —     $ 136,555,025       —     $ 136,555,025  
 
In January 2010, the Financial Accounting Standards Board released ASU 2010-06, “Improving Disclosures About Fair Value Measurements“ ASU 2010-06 is effective for annual and interim reporting periods beginning after December 15, 2009. At this time the Fund management is in the process of reviewing ASU 2010-06 to determine future applicability.

 

 

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
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: March 22 , 2010
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: March 22, 2010
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: March 22, 2010
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: March 22, 2010