BLACKROCK NEW YORK MUNICIPAL INCOME TRUST II

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 811-21124

Name of Fund: BlackRock New York Municipal Income Trust II (BFY)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock New York

            Municipal Income Trust II, 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 08/31/2014

Date of reporting period: 05/31/2014

Item 1 – Schedule of Investments

Schedule of Investments May 31, 2014 (Unaudited)

   

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New York — 142.2%

                 

Corporate — 13.4%

  

  

City of New York New York Industrial Development Agency, ARB, American Airlines, Inc., JFK International Airport, AMT (a):

     

7.63%, 8/01/25

    $ 1,600      $ 1,760,304   

7.75%, 8/01/31

      1,500        1,654,185   

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/28

      330        352,127   

County of Chautauqua New York Industrial Development Agency, RB, NRG Dunkirk Power Project, 5.88%, 4/01/42

      500        537,915   

County of Essex New York Industrial Development Agency, RB, International Paper Co. Project,
Series A, AMT, 6.63%, 9/01/32

      200        223,728   

County of Suffolk New York Industrial Development Agency, RB, KeySpan Generation LLC, Port Jefferson, AMT, 5.25%, 6/01/27

      2,500        2,512,650   

New York Liberty Development Corp., RB, Goldman Sachs Headquarters, 5.25%, 10/01/35

      1,030        1,203,771   

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project,
Series A, AMT, 5.25%, 11/01/42

      625        634,731   

Port Authority of New York & New Jersey, ARB, Continental Airlines, Inc. & Eastern Air Lines, Inc. Project, LaGuardia, AMT, 9.13%, 12/01/15

      1,305        1,331,857   
    

 

 

  
               10,211,268   

County/City/Special District/School District — 36.6%

     

Buffalo & County of Erie New York Industrial Land Development Corp., Refunding RB, Buffalo State College Foundation Housing Corp. Project, Series A, 5.38%, 10/01/41

      280        305,348   

City of New York New York, GO, Fiscal 2014, Sub-Series D-1, 5.00%, 8/01/31

      690        787,994   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

County/City/Special District/School District (continued)

  

City of New York New York, GO, Refunding, Series E:

     

5.50%, 8/01/25

    $ 1,280      $ 1,572,954   

5.00%, 8/01/30

      500        569,675   

City of New York New York, GO:

     

Series A-1, Fiscal 2009, 4.75%, 8/15/25

      500        567,010   

Sub-Series G-1, 6.25%, 12/15/31

      250        296,443   

Sub-Series I-1, 5.38%, 4/01/36

      450        517,270   

City of New York New York Convention Center Development Corp., RB, Hotel Unit Fee Secured (AMBAC):

     

5.00%, 11/15/35

      2,250        2,359,170   

5.00%, 11/15/44

      250        262,353   

4.75%, 11/15/45

      640        646,906   

City of New York New York Housing Development Corp., RB, Fund Grant Program, New York City Housing Authority Program, Series B1:

     

5.25%, 7/01/32

      915        1,043,265   

5.00%, 7/01/33

      400        442,404   

City of New York New York Industrial Development Agency, RB, PILOT:

     

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/35 (b)

      500        198,450   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/42 (b)

      1,750        442,872   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/45 (b)

      500        105,865   

Queens Baseball Stadium (AGC), 6.38%, 1/01/39

      100        116,736   

Queens Baseball Stadium (AMBAC), 5.00%, 1/01/39

      500        508,950   

Yankee Stadium Project (NPFGC), 4.75%, 3/01/46

      740        750,360   

City of New York New York Industrial Development Agency, Refunding ARB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/22

      350        385,780   

City of New York New York Transitional Finance Authority Future Tax Secured, RB:

     

5.00%, 11/01/27

      5        5,019   

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME TRUST II    MAY 31, 2014    1

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

County/City/Special District/School District (concluded)

  

  

City of New York New York Transitional Finance Authority Future Tax Secured, RB (concluded):

     

Fiscal 2012, Sub-Series D-1, 5.00%, 11/01/38

    $ 825      $ 915,461   

Sub-Series B-1, 5.00%, 11/01/36

      340        383,942   

City of Syracuse New York, GO, Airport Terminal Security & Access, Series A, AMT (AGM), 4.75%, 11/01/31

      500        528,125   

Hudson Yards Infrastructure Corp., RB, Series A:

     

Senior, Fiscal 2012, 5.75%, 2/15/47

      1,550        1,770,472   

5.00%, 2/15/47

      2,850        2,945,019   

(AGM), 5.00%, 2/15/47

      850        881,067   

(NPFGC), 4.50%, 2/15/47

      1,510        1,528,407   

New York Liberty Development Corp., Refunding RB:

     

2nd Priority, Bank of America Tower at 1 Bryant Park Project, Class 2, 5.63%, 7/15/47

      1,400        1,539,398   

2nd Priority, Bank of America Tower at 1 Bryant Park Project, Class 3, 6.38%, 7/15/49

      500        547,660   

4 World Trade Center Project, 5.00%, 11/15/31

      1,000        1,096,330   

4 World Trade Center Project, 5.00%, 11/15/44

      1,250        1,350,825   

4 World Trade Center Project, 5.75%, 11/15/51

      670        751,378   

7 World Trade Center Project, Class 2, 5.00%, 9/15/43

      1,100        1,178,276   

7 World Trade Center Project, Class 3, 5.00%, 3/15/44

      690        722,113   
    

 

 

  
               28,023,297   

Education — 25.2%

     

Albany Industrial Development Agency, RB, New Covenant Charter School Project, Series A (c)(d):

     

7.00%, 5/01/25

      345        51,785   

7.00%, 5/01/35

      220        33,022   
Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Education (continued)

  

  

Amherst Development Corp., Refunding RB, University at Buffalo Foundation Faculty-Student Housing Corp., Series A (AGM):

     

4.38%, 10/01/30

    $ 500      $ 524,650   

4.63%, 10/01/40

      275        288,051   

Build NYC Resource Corp., RB, Series A:

     

Bronx Charter School for Excellence Project, 5.50%, 4/01/43

      450        464,256   

Bronx Charter School for International Cultures & The Arts Project, 5.00%, 4/15/33

      400        362,276   

City of New York New York Trust for Cultural Resources, RB, Juilliard School, Series A, 5.00%, 1/01/39

      500        559,295   

City of New York New York Trust for Cultural Resources, Refunding RB, Series A:

     

American Museum of National History, 5.00%, 7/01/37 (e)

      440        498,868   

Carnegie Hall, 4.75%, 12/01/39

      700        730,618   

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project, Series A, 5.13%, 9/01/40

      1,295        1,386,647   

City of Yonkers New York Industrial Development Agency, RB, Sarah Lawrence College Project, Series A, 6.00%, 6/01/41

      500        549,690   

County of Cattaraugus New York, St. Bonaventure University Project, 5.00%, 5/01/39

      125        129,749   

County of Dutchess New York Industrial Development Agency, RB, Bard College Civic Facility, Series A-2, 4.50%, 8/01/36

      640        593,325   

County of Herkimer New York Industrial Development Agency, RB, College Foundation, Inc., Student Housing Project,
6.25%, 8/01/34

      385        385,412   

 

                
2    BLACKROCK NEW YORK MUNICIPAL INCOME TRUST II    MAY 31, 2014   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Education (continued)

     

County of Madison New York Capital Resource Corp., Refunding RB, Colgate University Project,
Series A, 4.50%, 7/01/39

    $ 265      $ 282,911   

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project,
Series A, 5.00%, 7/01/31

      1,000        1,119,340   

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project,
Series A, 5.00%, 7/01/38

      240        263,882   

County of Nassau New York Industrial Development Agency, Refunding RB, New York Institute of Technology Project, Series A, 4.75%, 3/01/26

      350        367,703   

County of St. Lawrence New York Industrial Development Agency, RB, Clarkson University Project:

     

6.00%, 9/01/34

      150        174,978   

5.38%, 9/01/41

      650        713,680   

County of Tompkins New York Development Corp., RB, Ithaca College Project (AGM), 5.50%, 7/01/33

      450        501,957   

Geneva Development Corp., Refunding RB, Hobart and William Smith Colleges, 5.25%, 9/01/44

      400        444,208   

State of New York Dormitory Authority, RB:

     

Convent of the Sacred Heart (AGM), 5.75%, 11/01/40

      500        562,055   

Fordham University, Series A, 5.50%, 7/01/36

      150        168,678   

State University Dormitory Facilities, Series A, 5.00%, 7/01/39

      250        266,965   

State University Dormitory Facilities, Series A, 5.00%, 7/01/41

      670        728,189   

University of Rochester, Series A, 5.13%, 7/01/39

      250        283,913   

State of New York Dormitory Authority, Refunding RB:

     

Brooklyn Law School, 5.75%, 7/01/33

      250        269,705   
Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Education (concluded)

     

State of New York Dormitory Authority, Refunding RB (concluded):

     

Fordham University, 5.00%, 7/01/44

    $ 640      $ 708,922   

New York University, Series A, 5.00%, 7/01/37

      600        664,674   

Rochester Institute of Technology, 5.00%, 7/01/38

      690        754,191   

Skidmore College, Series A, 5.25%, 7/01/29

      200        228,254   

Skidmore College, Series A, 5.25%, 7/01/31

      300        339,318   

State University Dormitory Facilities, Series A, 5.25%, 7/01/30

      1,220        1,409,564   

State University Dormitory Facilities, Series A, 5.25%, 7/01/32

      700        798,714   

State University Dormitory Facilities, Series A, 5.00%, 7/01/42

      370        405,505   

Teachers College, 5.50%, 3/01/39

      650        702,292   

Teachers College, Series A, 5.00%, 7/01/31

      525        583,543   
    

 

 

  
               19,300,785   

Health — 22.1%

     

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc.,
Series A, 5.75%, 7/01/40

      300        332,367   

County of Genesee New York Industrial Development Agency, Refunding RB, United Memorial Medical Center Project, 5.00%, 12/01/27

      250        250,078   

County of Monroe New York Industrial Development Corp., RB, Rochester General Hospital Project, Series A:

     

5.00%, 12/01/32

      180        194,753   

5.00%, 12/01/37

      250        267,870   

County of Monroe New York Industrial Development Corp., Refunding RB:

     

Rochester General Hospital Project, Series B, 3.60%, 12/01/32

      250        241,013   

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME TRUST II    MAY 31, 2014    3

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Health (continued)

     

County of Monroe New York Industrial Development Corp., Refunding RB (concluded):

     

Unity Hospital of Rochester Project (FHA), 5.50%, 8/15/40

    $ 1,425      $ 1,642,911   

County of Saratoga New York Industrial Development Agency, RB, Saratoga Hospital Project,
Series B, 5.25%, 12/01/32

      350        364,864   

County of Suffolk New York Industrial Development Agency, Refunding RB, Jefferson’s Ferry Project,
5.00%, 11/01/28

      450        466,047   

County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien:

     

Remarketing, Series A, 5.00%, 11/01/30

      1,000        1,071,580   

Series B, 6.00%, 11/01/30

      150        171,204   

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project:

     

4.00%, 1/01/23

      920        934,867   

5.00%, 1/01/34

      500        529,305   

State of New York Dormitory Authority, RB:

     

General Purpose, Series E, 5.00%, 2/15/37

      1,000        1,110,510   

Healthcare, Series A, 5.00%, 3/15/38

      500        563,020   

New York Hospital Medical Center-Queens (FHA), 4.75%, 2/15/37

      305        313,403   

New York State Association for Retarded Children, Inc., Series A, 6.00%, 7/01/32

      250        286,460   

New York University Hospitals Center, Series A, 5.75%, 7/01/31

      425        476,008   

New York University Hospitals Center, Series B, 5.63%, 7/01/37

      530        581,717   

North Shore-Long Island Jewish Obligated Group, Series A, 5.50%, 5/01/37

      750        814,402   

State of New York Dormitory Authority, Refunding RB:

     

Miriam Osborn Memorial Home Association, 5.00%, 7/01/29

      130        138,449   
Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Health (concluded)

     

State of New York Dormitory Authority, Refunding RB (concluded):

     

Mount Sinai Hospital, Series A, 5.00%, 7/01/26

    $ 500      $ 557,450   

New York University Hospital Center, Series A, 5.00%, 7/01/36

      1,000        1,040,810   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/32

      1,000        1,081,860   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/41

      750        801,465   

North Shore-Long Island Jewish Obligated Group, Series E, 5.50%, 5/01/33

      500        545,760   

St. Luke’s Roosevelt Hospital (FHA), 4.90%, 8/15/31

      2,000        2,081,600   
    

 

 

  
               16,859,773   

Housing — 3.7%

     

City of New York New York Housing Development Corp., RB, M/F Housing, Series J-2-A, AMT, 4.75%, 11/01/27

      1,420        1,463,708   

State of New York HFA, RB, M/F Housing, Highland Avenue Senior Apartments, Series A, AMT (SONYMA),
5.00%, 2/15/39

      1,000        1,012,800   

State of New York Mortgage Agency, Refunding RB, 48th Series, 3.70%, 10/01/38

      360        351,061   
    

 

 

  
               2,827,569   

State — 9.8%

     

City of New York New York Transitional Finance Authority, BARB, Fiscal 2013, Series S-1, 4.00%, 7/15/42

      1,000        1,010,340   

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund, Sub-Series B-1, 5.00%, 11/15/31

      750        852,855   

State of New York, GO, Series A, 5.00%, 2/15/39

      500        561,105   

State of New York Dormitory Authority, ERB, Series B, 5.75%, 3/15/36

      300        349,416   

 

                
4    BLACKROCK NEW YORK MUNICIPAL INCOME TRUST II    MAY 31, 2014   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

State (concluded)

     

State of New York Dormitory Authority, RB:

     

General Purpose, Series B, 5.00%, 3/15/37

    $ 1,070      $ 1,189,369   

General Purpose, Series B, 5.00%, 3/15/42

      1,000        1,092,910   

General, Purpose, Series C, 5.00%, 3/15/34

      1,000        1,121,140   

Series C, 5.00%, 12/15/31

      500        549,480   

State of New York Thruway Authority, RB, Transportation, Series A, 5.00%, 3/15/32

      160        182,175   

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 3/15/30

      500        574,255   
    

 

 

  
               7,483,045   

Transportation — 18.9%

     

Metropolitan Transportation Authority, RB:

     

Series A-1, 5.25%, 11/15/34

      270        306,831   

Series C, 6.50%, 11/15/28

      750        901,702   

Series E, 5.00%, 11/15/38

      1,000        1,094,580   

Series H, 5.00%, 11/15/25

      1,000        1,162,320   

Metropolitan Transportation Authority, Refunding RB, Series F:

     

5.00%, 11/15/30

      1,500        1,679,790   

(AGM), 4.00%, 11/15/30

      500        519,645   

New York Liberty Development Corp., RB, 1 World Trade Center Port Authority Construction, 5.25%, 12/15/43

      500        550,935   

Port Authority of New York & New Jersey, ARB, Special Project, JFK International Air Terminal LLC Project, Series 8, 6.00%, 12/01/42

      1,000        1,113,520   

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, AMT:

     

146th Series (AGM), 4.50%, 12/01/34

      750        763,320   

147th Series, 4.75%, 4/15/37

      500        511,840   

177th Series, 4.00%, 1/15/43

      1,500        1,479,780   

178th Series, 5.00%, 12/01/43

      430        462,658   
Municipal Bonds    Par  
(000)		     Value  

New York (concluded)

                 

Transportation (concluded)

     

State of New York Thruway Authority, Refunding RB, General, Series I:

     

5.00%, 1/01/37

    $ 1,735      $ 1,899,773   

5.00%, 1/01/42

      1,030        1,108,651   

Triborough Bridge & Tunnel Authority, Refunding RB:

     

CAB, Sub-Series A, 0.00%, 11/15/32 (b)

      505        243,516   

General, CAB, Series B, 0.00%, 11/15/32 (b)

      1,000        482,630   

Sub-Series A, 5.00%, 11/15/30

      150        172,016   
    

 

 

  
               14,453,507   

Utilities — 12.5%

     

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System,
Series B, 5.00%, 6/15/36

      500        534,330   

Long Island Power Authority, RB, Electric System:

     

CAB, Series A (AGM), 0.00%, 6/01/28 (b)

      3,515        2,159,335   

General, Series C (CIFG), 5.25%, 9/01/29

      1,000        1,200,150   

Long Island Power Authority, Refunding RB, Electric System, Series A, 5.50%, 4/01/24

      500        565,885   

State of New York Environmental Facilities Corp., Refunding RB:

     

Revolving Funds New York City Municipal Water Finance Authority Projects, 2nd General Resolution, Series B, 5.00%, 6/15/36

      350        394,870   

State Clean Water and Drinking Water Revolving New York City Municipal Water Finance Authority Projects, Series A, 5.00%, 6/15/37

      1,500        1,685,670   

Utility Debt Securitization Authority, Refunding RB, Restructuring, Series E, 5.00%, 12/15/41

      2,690        3,038,166   
    

 

 

  
               9,578,406   
Total Municipal Bonds in New York              108,737,650   

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME TRUST II    MAY 31, 2014    5

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Multi-State — 5.8%

                 

Housing — 5.8%

     

Centerline Equity Issuer Trust (f)(g):

     

Series A-4-1, 5.75%, 5/15/15

    $ 500      $ 520,765   

Series A-4-2, 6.00%, 5/15/19

      1,000        1,156,010   

Series B-3-1, 6.00%, 5/15/15

      1,500        1,562,550   

Series B-3-2, 6.30%, 5/15/19

      1,000        1,168,310   
    

 

 

  
               4,407,635   

Puerto Rico — 1.3%

                 

Housing — 1.3%

     

Puerto Rico Housing Finance Authority, Refunding RB, M/F Housing, Subordinate, Capital Fund Modernization,
5.13%, 12/01/27

      1,000        1,004,580   
Total Municipal Bonds — 149.3%              114,149,865   
    
                  
Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (h)		        

New York — 13.2%

                 

County/City/Special District/School District — 0.7%

  

  

City of New York New York, GO, Sub-Series I-1, 5.00%, 3/01/36

      500        560,615   

Education — 0.8%

     

New York City Trust for Cultural Resources, Refunding RB, Wildlife Conservation Society, Series A, 5.00%, 8/01/33

      510        573,725   

State — 3.3%

     

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-3, 5.25%, 1/15/39

      1,300        1,462,662   

State of New York Dormitory Authority, RB, General Purpose, Series C, 5.00%, 3/15/41

      1,000        1,093,080   
    

 

 

  
               2,555,742   

Municipal Bonds Transferred to

Tender Option Bond (TOB) Trusts (h)

   

Par  

(000)

     Value  

New York (concluded)

                 

Transportation — 4.4%

     

New York Liberty Development Corp., RB, 1 World Trade Center Port Authority Consolidated Bonds, 5.25%, 12/15/43

    $ 1,995      $ 2,198,231   

Port Authority of New York & New Jersey, ARB, Consolidated, 169th Series, AMT, 5.00%, 10/15/26

      1,000        1,134,320   
    

 

 

  
               3,332,551   

Utilities — 4.0%

     

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009,
Series A, 5.75%, 6/15/40

      240        275,925   

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution:

     

Fiscal 2011, Series HH, 5.00%, 6/15/32

      1,500        1,697,655   

Fiscal 2012, Series BB, 5.00%, 6/15/44

      1,005        1,094,077   
    

 

 

  
               3,067,657   
Total Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts — 13.2%		         10,090,290   
Total Long-Term Investments
(Cost — $115,983,309) — 162.5%		         124,240,155   
    
                  
Short-Term Securities    Shares         

BIF New York Municipal Money
Fund, 0.00% (i)(j)

      1,255,154        1,255,154   

Total Short-Term Securities

(Cost — $1,255,154) — 1.6%

              1,255,154   

 

                
6    BLACKROCK NEW YORK MUNICIPAL INCOME TRUST II    MAY 31, 2014   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

 

           Value  
Total Investments
(Cost — $117,238,463*) — 164.1%		   $ 125,495,309   
Other Assets Less Liabilities — 1.5%     1,095,861   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (7.5%)

     (5,725,838 ) 
VRDP Shares, at Liquidation Value — (58.1%)     (44,400,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%   $ 76,465,332   
    

 

 

  

 

*   As of May 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 111,545,618   
 

 

 

  

Gross unrealized appreciation

   $ 8,987,402   

Gross unrealized depreciation

     (763,018 ) 
 

 

 

  

Net unrealized appreciation

   $ 8,224,384   
 

 

 

  

 

Notes to Schedule of Investments

 

(a)   Variable rate security. Rate shown is as of report date.

 

(b)   Zero-coupon bond.

 

(c)   Non-income producing security.

 

(d)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

(e)   When-issued security. Unsettled when-issued transactions were as follows:

 

Counterparty   Value        Unrealized
Appreciation		  

Morgan Stanley & Co. LLC

   $ 498,868         $ 3,265   

 

(f)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(g)   Represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

(h)   Represent bonds transferred to a TOB. In exchange for which the Trust acquired residual interest certificates. These bonds serve as collateral in a financing transaction.

 

(i)   Investments in issuers considered to be an affiliate of the Trust during the period ended May 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2013		        Net Activity        Shares Held
at May 31,
2014		        Income  

BIF New York Municipal Money Fund

        2,552,420           (1,297,266 )         1,255,154         $ 288   

 

(j)   Represents the current yield as of report date.

 

Portfolio Abbreviations

 

AGC      Assured Guarantee Corp.
AGM      Assured Guaranty Municipal Corp.

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME TRUST II    MAY 31, 2014    7

Schedule of Investments (continued)

    BlackRock New York Municipal Income Trust II (BFY)

 

 

AMBAC      American Municipal Bond Assurance Corp.
AMT      Alternative Minimum Tax (subject to)
ARB      Airport Revenue Bonds
BARB      Building Aid Revenue Bonds
CAB      Capital Appreciation Bonds
CIFG      CDC IXIS Financial Guaranty
ERB      Education Revenue Bonds
FHA      Federal Housing Administration
GO      General Obligation Bonds
HFA      Housing Finance Agency
M/F      Multi-Family
NPFGC      National Public Finance Guarantee Corp.
PILOT      Payment in Lieu of Taxes
RB      Revenue Bonds
SONYMA      State of New York Mortgage Agency

 

Ÿ  

Financial futures contracts outstanding as of May 31, 2014 were as follows:

 

 

Contracts
Sold		     Issue   Exchange   Expiration   Notional
Value		     Unrealized
Depreciation		  
  (112 )    10-Year U.S. Treasury Note   Chicago Board of Trade   September 2014   $ 14,057,750      $ (57,907 ) 

 

 

Ÿ  

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Ÿ  

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  Ÿ  

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

  Ÿ  

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of May 31, 2014:

 

                
8    BLACKROCK NEW YORK MUNICIPAL INCOME TRUST II    MAY 31, 2014   

Schedule of Investments (concluded)

   

BlackRock New York Municipal Income Trust II (BFY)

 

 

     Level 1     Level 2     Level 3   Total  

Assets:

        
Investments:        

Long-Term Investments1

     —      $ 124,240,155      —   $ 124,240,155   

Short-Term Securities

   $ 1,255,154        —      —     1,255,154   
 

 

 

  

Total

   $ 1,255,154      $ 124,240,155      —   $ 125,495,309   
 

 

 

  

 

1   See above Schedule of Investments for values in each sector.

      

     Level 1     Level 2     Level 3   Total  
Derivative Financial Instruments2        

Liabilities:

        

Interest rate contracts

   $ (57,907 )      —      —   $ (57,907 ) 

 

2  Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of May, 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1     Level 2     Level 3   Total  

Assets:

        
Cash pledged for financial futures contracts   $ 147,000        —      —   $ 147,000   

Liabilities:

        

TOB trust certificates

     —      $ (5,725,307 )    —     (5,725,307 ) 

VRDP Shares

     —        (44,400,000 )    —     (44,400,000 ) 
 

 

 

  

Total

   $ 147,000      $ (50,125,307 )    —   $ (49,978,307 ) 
 

 

 

  

There were no transfers between levels during the period ended May 31, 2014.

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME TRUST II    MAY 31, 2014    9

Item 2 – Controls and Procedures

 

2(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

 

2(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

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.

 

 

BlackRock New York Municipal Income Trust II

 

By:

   

/s/ John M. Perlowski

   
     John M. Perlowski   
     Chief Executive Officer (principal executive officer) of
     BlackRock New York Municipal Income Trust II
 

Date: July 23, 2014

   
  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/ John M. Perlowski

   
     John M. Perlowski   
     Chief Executive Officer (principal executive officer) of
     BlackRock New York Municipal Income Trust II
 

Date: July 23, 2014

   
 

By:

   

/s/ Neal J. Andrews

   
     Neal J. Andrews   
     Chief Financial Officer (principal financial officer) of
     BlackRock New York Municipal Income Trust II
 

Date: July 23, 2014