Eaton Vance Insured New York Municipal Bond FundII
 
 
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-21218
Investment Company Act File Number
Eaton Vance Insured New York Municipal Bond Fund II
(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
(Address of Principal Executive Offices)
Maureen A. Gemma
Eaton Vance Management, 255 State Street, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number, Including Area Code)
September 30
Date of Fiscal Year End
December 31, 2008
Date of Reporting Period
 
 

 

 

TABLE OF CONTENTS

Item 1. Schedule of Investments
Item 2. Controls and Procedures
Signatures
EX-99.CERT Section 302 Certifications
Item 1. Schedule of Investments

 

 

Eaton Vance Insured New York Municipal Bond Fund II   as of December 31, 2008
     
PORTFOLIO OF INVESTMENTS (Unaudited)    
Tax-Exempt Investments — 203.6%
                 
Principal Amount            
(000's omitted)     Security   Value  
 
Hospital — 2.4%        
$ 750    
Suffolk County Industrial Development Agency, (Huntington Hospital), 5.875%, 11/1/32
   $ 585,345  
       
 
      
       
 
   $ 585,345  
       
 
      
Industrial Development Revenue — 3.6%        
$ 310    
Liberty Development Corp., (Goldman Sachs Group, Inc.), 5.25%, 10/1/35
   $ 234,964  
  600    
Liberty Development Corp., (Goldman Sachs Group, Inc.), 5.25%, 10/1/35(1)
     454,805  
  235    
Liberty Development Corp., (Goldman Sachs Group, Inc.), 5.50%, 10/1/37
     183,822  
       
 
      
       
 
   $ 873,591  
       
 
      
Insured-Electric Utilities — 8.3%        
$ 500    
Long Island Power Authority, (BHAC), 5.50%, 5/1/33
   $ 509,435  
  500    
Long Island Power Authority, (BHAC), 6.00%, 5/1/33
     531,625  
  1,195    
New York Power Authority, (MBIA), 4.50%, 11/15/47
     973,232  
       
 
      
       
 
   $ 2,014,292  
       
 
      
Insured-Escrowed/Prerefunded — 2.1%        
$ 1,385    
New York Dormitory Authority, (Memorial Sloan-Kettering Cancer Center), (MBIA), Escrowed to Maturity, 0.00%, 7/1/30
   $ 502,672  
       
 
      
       
 
   $ 502,672  
       
 
      
Insured-General Obligations — 20.6%        
$ 535    
Brentwood Union Free School District, (AGC), 4.75%, 11/15/23(2)
   $ 539,590  
  560    
Brentwood Union Free School District, (AGC), 5.00%, 11/15/24
     576,212  
  2,245    
New York Dormitory Authority, (School Districts Financing Program), (MBIA), 5.00%, 10/1/30
     2,032,152  
  1,000    
New York, (FSA), 5.00%, 4/1/22
     1,016,340  
  185    
Wantagh Union Free School District, (AGC), 4.50%, 11/15/19
     193,745  
  190    
Wantagh Union Free School District, (AGC), 4.50%, 11/15/20
     195,312  
  210    
Wantagh Union Free School District, (AGC), 4.75%, 11/15/22
     213,919  
  220    
Wantagh Union Free School District, (AGC), 4.75%, 11/15/23
     221,731  
       
 
      
       
 
   $ 4,989,001  
       
 
      
Insured-Hospital — 5.8%        
$ 500    
New York City Health and Hospital Corp., (FSA), 5.50%, 2/15/20(2)
   $ 545,130  
  1,000    
New York Dormitory Authority, (Health Quest Systems), (AGC), 5.125%, 7/1/37(1)
     864,205  
       
 
      
       
 
   $ 1,409,335  
       
 
      
Insured-Housing — 3.6%        
$ 1,000    
New York City Housing Corp., (MBIA), 4.95%, 11/1/33
   $ 866,390  
       
 
      
       
 
   $ 866,390  
       
 
      

1

 

 

                 
Principal Amount            
(000's omitted)     Security   Value  
 
Insured-Lease Revenue/Certificates of Participation — 14.7%        
$ 3,085    
Hudson Infrastructure Corp., (MBIA), 4.50%, 2/15/47
   $ 2,017,096  
  950    
New York City Transitional Finance Authority, (BHAC), 5.50%, 7/15/38(3)
     961,220  
  795    
Puerto Rico Public Buildings Authority, (CIFG), 5.25%, 7/1/36
     584,365  
       
 
      
       
 
   $ 3,562,681  
       
 
      
Insured-Other Revenue — 22.0%        
$ 1,930    
New York City Cultural Resource Trust, (American Museum of Natural History), (MBIA), 5.00%, 7/1/44
   $ 1,760,585  
  2,500    
New York City Cultural Resource Trust, (Museum of Modern Arts), (AMBAC), (BHAC), 5.125%, 7/1/31(1)
   2,459,062  
  1,785    
New York Industrial Development Agency, (Yankee Stadium), (MBIA), 4.75%, 3/1/46
     1,109,342  
       
 
      
       
 
   $ 5,328,989  
       
 
      
Insured-Private Education — 37.9%        
$ 1,000    
New York City Industrial Development Agency, (New York University), (AMBAC), 5.00%, 7/1/31
   $ 947,020  
  1,440    
New York Dormitory Authority, (Barnard College), (FGIC), (MBIA), 5.00%, 7/1/24
     1,421,669  
  2,000    
New York Dormitory Authority, (Brooklyn Law School), (XLCA), 5.125%, 7/1/30
     1,658,700  
  85    
New York Dormitory Authority, (Fordham University), (AGC), (BHAC), 5.00%, 7/1/38
     81,095  
  2,250    
New York Dormitory Authority, (Fordham University), (AGC), (BHAC), 5.00%, 7/1/38(1)
     2,146,691  
  1,000    
New York Dormitory Authority, (New York University), (AMBAC), (BHAC), 5.00%, 7/1/31(1)
     940,225  
  500    
New York Dormitory Authority, (Skidmore College), (FGIC), (MBIA), 5.00%, 7/1/33
     467,215  
  110    
New York Dormitory Authority, (University of Rochester), (MBIA), 5.00%, 7/1/27
     104,154  
  5,425    
Oneida County Industrial Development Agency, (Hamilton College), (MBIA), 0.00%, 7/1/32
     1,418,637  
       
 
      
       
 
   $ 9,185,406  
       
 
      
Insured-Public Education — 5.0%        
$ 1,500    
New York Dormitory Authority, (City University), (AMBAC), 5.25%, 7/1/30
   $ 1,199,850  
       
 
      
       
 
   $ 1,199,850  
       
 
      
Insured-Special Tax Revenue — 24.6%        
$ 700    
New York Convention Center Development Corp., Hotel Occupancy Tax, (AMBAC), 4.75%, 11/15/45
   $ 559,797  
  1,900    
New York Convention Center Development Corp., Hotel Occupancy Tax, (AMBAC), 5.00%, 11/15/44
     1,619,218  
  1,700    
Puerto Rico Infrastructure Financing Authority, (AMBAC), 0.00%, 7/1/35
     252,246  
  20,540    
Puerto Rico Sales Tax Financing, (MBIA), 0.00%, 8/1/44
     1,763,359  
  3,350    
Puerto Rico Sales Tax Financing, (MBIA), 0.00%, 8/1/45
     267,296  
  2,105    
Puerto Rico Sales Tax Financing, (MBIA), 0.00%, 8/1/46
     155,602  
  690    
Sales Tax Asset Receivables Corp., (AMBAC), 5.00%, 10/15/29
     675,110  
  690    
Sales Tax Asset Receivables Corp., (AMBAC), 5.00%, 10/15/32
     665,760  
       
 
      
       
 
   $ 5,958,388  
       
 
      
Insured-Transportation — 29.8%        
$ 2,000    
Metropolitan Transportation Authority, (AGC), (FGIC), 5.25%, 11/15/31
   $ 1,880,760  
  990    
New York Thruway Authority, (AMBAC), 5.50%, 4/1/20
     1,081,426  
  2,500    
Port Authority of New York and New Jersey, (FSA), 5.00%, 11/1/27(1)
     2,368,137  
  500    
Port Authority of New York and New Jersey, (FSA), 5.00%, 8/15/33
     469,025  
  600    
Puerto Rico Highway and Transportation Authority, (AMBAC), 5.25%, 7/1/38
     427,002  
  550    
Puerto Rico Highway and Transportation Authority, (MBIA), 5.25%, 7/1/35
     405,466  
  600    
Triborough Bridge and Tunnel Authority, (MBIA), 5.00%, 11/15/32
     566,436  
       
 
      
       
 
   $ 7,198,252  
       
 
      

2

 

 

                 
Principal Amount            
(000's omitted)     Security   Value  
 
Insured-Water and Sewer — 16.0%        
$ 905    
Nassau County Sewer and Storm Water Finance Authority, (BHAC), 5.375%, 11/1/28
   $ 920,485  
  2,750    
New York City Municipal Water Finance Authority, (Water and Sewer System), (AMBAC), (BHAC), 5.00%, 6/15/38(1)
     2,623,747  
  350    
Suffolk County Water Authority, (MBIA), 4.50%, 6/1/25
     322,973  
       
 
      
       
 
   $ 3,867,205  
       
 
      
Private Education — 7.2%        
$ 1,000    
Dutchess County Industrial Development Agency, (Marist College), 5.00%, 7/1/22
   $ 933,360  
  1,000    
New York City Industrial Development Agency, (St. Francis College), 5.00%, 10/1/34
     807,740  
       
 
      
       
 
   $ 1,741,100  
       
 
      
         
Total Tax-Exempt Investments — 203.6%
(identified cost $56,969,539)
   $ 49,282,497  
       
 
      
         
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (54.7)%   $ (13,250,463 )
       
 
      
         
Other Assets, Less Liabilities — (48.9)%   $ (11,823,485 )
       
 
      
         
Net Assets Applicable to Common Shares — 100.0%   $ 24,208,549  
       
 
      
     
AGC
  -  Assured Guaranty Corp.
 
    
AMBAC
  -  AMBAC Financial Group, Inc.
 
    
BHAC
  -  Berkshire Hathaway Assurance Corp.
 
    
CIFG
  -  CIFG Assurance North America, Inc.
 
    
FGIC
  -  Financial Guaranty Insurance Company
 
    
FSA
  -  Financial Security Assurance, Inc.
 
    
MBIA
  -  Municipal Bond Insurance Association
 
    
XLCA
  -  XL Capital Assurance, Inc.
 
    
 
  The Fund invests primarily in debt securities issued by New York municipalities. In addition, 15.9% of the Fund’s net assets at December 31, 2008 were invested in municipal obligations issued by Puerto Rico. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at December 31, 2008, 93.5% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution ranged from 1.2% to 32.8% of total investments.
 
    
(1)
  Security represents the underlying municipal bond of a tender option bond trust.
 
    
(2)
  Security (or a portion thereof) has been pledged as collateral for open swap contracts.
 
    
(3)
  Security (or a portion thereof) has been segregated to cover margin requirements on open financial futures contracts.

3

 

 

A summary of financial instruments at December 31, 2008 is as follows:
Futures Contracts
                                 
Expiration           Aggregate           Net Unrealized  
Date   Contracts   Position   Cost   Value   Depreciation  
 
3/09  
61 U.S. Treasury Bond
   Short   $ (7,600,479 )   $ (8,420,859 )   $ (820,380 )
   
 
                          
Interest Rate Swaps
                                 
            Annual   Floating   Effective Date/    
    Notional   Fixed Rate   Rate   Termination   Net Unrealized  
Counterparty   Amount   Paid By Fund   Paid To Fund   Date   Depreciation  
 
JPMorgan Chase Co.
  $ 762,500       4.743 %   3-month
USD-LIBOR-BBA 		  September 14, 2009 /
September 14, 2039 		  $ (287,817 )
Merrill Lynch Capital Services, Inc.
    2,000,000       4.682     3-month
USD-LIBOR-BBA 		  April 1, 2009 /
April 1, 2039 		    (755,600 )
Morgan Stanley Capital Services, Inc.
    950,000       4.691     3-month
USD-LIBOR-BBA 		  June 11, 2009 /
June 11, 2039 		    (356,492 )
 
                             
 
                          $ (1,399,909 )
 
                              
The effective date represents the date on which the Fund and the counterparty to the interest rate swap contract begin interest payment accruals.
At December 31, 2008, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
The cost and unrealized appreciation (depreciation) of investments of the Fund at December 31, 2008, as determined on a federal income tax basis, were as follows:
         
Aggregate cost
   $ 45,650,871  
 
      
Gross unrealized appreciation
   $ 566,490  
Gross unrealized depreciation
     (8,269,864 )
 
      
Net unrealized depreciation
   $ (7,703,374 )
 
      
The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157 (FAS 157), “Fair Value Measurements”, effective October 1, 2008. FAS 157 established a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
  •   Level 1 – quoted prices in active markets for identical investments
 
  •   Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
 
  •   Level 3 – significant unobservable inputs (including a fund’s own assumptions 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.
At December 31, 2008, the inputs used in valuing the Fund’s investments, which are carried at value, were as follows:
                         
            Investments in     Other Financial  
        Valuation Inputs   Securities     Instruments*  
Level 1  
Quoted Prices
   $ —     $ (820,380 )
Level 2  
Other Significant Observable Inputs
     49,282,497       (1,399,909 )
Level 3  
Significant Unobservable Inputs
     —       —  
       
 
            
Total  
 
   $ 49,282,497     $ (2,220,289 )
       
 
            
*   Other financial instruments include futures and interest rate swap contracts not reflected in the Portfolio of Investments, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Fund held no investments or other financial instruments as of September 30, 2008 whose fair value was determined using Level 3 inputs.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

4

 

 

Item 2. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.

 

 

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.
Eaton Vance Insured New York Municipal Bond Fund II
         
By:
  /s/ Cynthia J. Clemson
 
Cynthia J. Clemson 		   
 
  President    
 
        
Date:
  February 23, 2009    
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/ Cynthia J. Clemson
 
Cynthia J. Clemson 		   
 
  President    
 
        
Date:
  February 23, 2009    
 
        
By:
  /s/ Barbara E. Campbell    
 
       
 
  Barbara E. Campbell    
 
  Treasurer    
 
        
Date:
  February 23, 2009