<PAGE>   1
                                    FORM 10-Q

                       SECURITIES AND EXCHANGE COMMISSION

                              Washington, DC 20549

(Mark One)

[X]      QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
         EXCHANGE ACT OF 1934

For the quarterly period ended       March 31, 1997

                                       OR

[ ]      TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
         EXCHANGE ACT OF 1934

For the transition period from___________________to__________________

Commission file number 0-2300

                        PW Preferred Yield Fund II, L.P.
             (Exact name of registrant as specified in its charter)



          Delaware                                               84-1180783
   (State of organization)                                    (I.R.S. Employer
                                                             Identification No.)




98 North Washington Street
   Boston, Massachusetts                                             02114
   (Address of principal                                           (Zip Code)
    executive offices)

        Registrant's telephone number, including area code (617)854-5800


         Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes X No____.


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                        PW Preferred Yield Fund II, L.P.
                      Quarterly Report on Form 10-Q for the
                          Quarter Ended March 31, 1997

                                Table of Contents


                                                                          Page
                                                                          ----

  Part I.   FINANCIAL INFORMATION

            Item 1.    Financial Statements                                 2

                       Balance Sheets - March 31, 1997 and
                       December 31, 1996 (unaudited)                        2

                       Statements of Income for the three months
                       ended March 31, 1997 and 1996 (unaudited)            3

                       Statements of Partners' Equity for the
                       three months ended March 31, 1997
                       and 1996 (unaudited)                                 4

                       Statements of Cash Flows for the three
                       months ended March 31, 1997 and
                       1996 (unaudited)                                     5

                       Notes to Financial Statements (unaudited)            6

            Item 2.    Management's Discussion and Analysis of
                       Financial Condition and Results of Operations       10


  Part II.  OTHER INFORMATION

            Item 1.     Legal Proceedings                                  14

            Item 6.     Exhibits and Reports on Form 8-K                   15



                                       1
<PAGE>   3
                          Part I. FINANCIAL INFORMATION

Item 1.    Financial Statements

                        PW PREFERRED YIELD FUND II, L.P.

             BALANCE SHEETS -- MARCH 31, 1997 AND DECEMBER 31, 1996
                                   (unaudited)

<TABLE>
<CAPTION>
                                                                1997              1996
                                                                ----              ----
<S>                                                          <C>               <C>        
                                   ASSETS

 Cash and cash equivalents                                  $    649,131       $ 2,524,801
 Rent and other receivables, net                               1,484,128         1,175,409
 Equipment on operating leases, net of
   accumulated depreciation of $18,489,707
   and $19,793,564, respectively and                          15,734,101        14,736,716
   write downs of $567,830 and
   $775,154 at March 31, 1997 and
   December 31, 1996, respectively. 
 Equipment held for sale or lease, net of
   accumulated depreciation of $883,055 at
   March 31, 1997 and December 31, 1996 and                      154,700           134,700
   write downs of $116 040 at
   March 31, 1997. 
 Other assets, net                                                23,055            25,405
                                                             -----------       -----------
     Total Assets                                            $18,045,115       $18,597,031
                                                             ===========       ===========

                      LIABILITIES AND PARTNERS' EQUITY

LIABILITIES:

   Accounts payable and accrued liabilities                  $   146,202       $   129,281
   Payable to affiliates (Note 2)                                222,673           260,996
   Deferred rental income                                        143,500           125,500
   Distributions payable to partners                             362,415           353,731
                                                             -----------       -----------
     Total Liabilities                                           874,790           869,508
                                                             ===========       -----------

   COMMITMENTS AND CONTINGENCIES (NOTE 3)

 PARTNERS' EQUITY:

   General Partners                                              704,039           653,082
   Limited Partners:
     Class A (54,027 Units
       outstanding)                                           14,420,587        14,978,906
     Class B                                                   2,045,699         2,095,535
                                                             -----------       -----------
       Total Partners' Equity                                 17,170,325        17,727,523
                                                             -----------       -----------
         Total Liabilities and Partners' Equity              $18,045,115       $18,597,031
                                                             ===========       ===========
</TABLE>


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<PAGE>   4
                        PW PREFERRED YIELD FUND II, L.P.

                              STATEMENTS OF INCOME

               FOR THE THREE MONTHS ENDED MARCH 31, 1997 AND 1996
                                   (unaudited)



<TABLE>
<CAPTION>
                                                          1997              1996
                                                          ----              ----
<S>                                                    <C>               <C>        
REVENUE:
   Rentals from operating leases                       $ 1,819,239       $ 1,998,370
   Interest                                                 20,983            19,266
   Loss on disposition of equipment, net                    (9,729)           (1,746)
                                                       -----------       -----------
                                                         1,830,493         2,015,890
                                                       -----------       -----------

EXPENSES:
   Depreciation and amortization                         1,395,815         1,559,179
   Management fees and disposition fees (Note 2)            97,675            83,800
   General and administrative (Note 2)                      25,775            27,359
                                                       -----------       -----------
                                                         1,519,265         1,670,338
                                                       -----------       -----------

NET INCOME                                             $   311,228       $   345,552
                                                       ===========       ===========

NET INCOME ALLOCATED:
   To the General Partners                             $    94,378       $    79,620
   To the Class A Limited Partners                         184,552           225,066
   To the Class B Limited Partner                           32,298            40,866
                                                       -----------       -----------
                                                       $   311,228       $   345,552
                                                       ===========       ===========

NET INCOME PER WEIGHTED AVERAGE
   NUMBER OF UNITS OF CLASS A LIMITED
   PARTNER INTEREST OUTSTANDING                        $      3.42       $      4.17
                                                       ===========       ===========

WEIGHTED AVERAGE NUMBER OF
   UNITS OF CLASS A LIMITED PARTNER
   INTEREST OUTSTANDING                                     54,027            54,027
                                                       ===========       ===========
</TABLE>






                   The accompanying notes are an integral part
                         of these financial statements.


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<PAGE>   5
                        PW PREFERRED YIELD FUND II, L.P.

                         STATEMENTS OF PARTNERS' EQUITY

               FOR THE THREE MONTHS ENDED MARCH 31, 1997 AND 1996
                                   (unaudited)


   
<TABLE>
<CAPTION>
                                                     Class A              Class B
                                  General            Limited              Limited
                                  Partners           Partners             Partner               Total
                                  --------           --------             -------               -----
<S>                             <C>                 <C>                 <C>                 <C>         
Balance, January 1, 1997        $    653,082        $ 14,978,906        $  2,095,535        $ 17,727,523

   Net income                         94,378             184,552              32,298             311,228

   Distributions declared            (43,421)           (742,871)            (82,134)           (868,426)
   to partners                            
                                 ------------        ------------        ------------        ------------
   

Balance, March 31, 1997         $    704,039        $ 14,420,587        $  2,045,699        $ 17,170,325
                                ============        ============        ============        ============


Balance, January 1, 1996        $    530,336        $ 17,381,975        $  2,309,032        $ 20,221,343

   Net income                         79,620             225,066              40,866             345,552

   Distributions declared            (43,421)           (742,871)            (82,134)           (868,426)
                                ------------        ------------        ------------        ------------

Balance, March 31, 1996         $    566,535        $ 16,864,170        $  2,267,764        $ 19,698,469
                                ============        ============        ============        ============
</TABLE>



                   The accompanying notes are an integral part
                         of these financial statements.


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<PAGE>   6
                        PW PREFERRED YIELD FUND II, L.P.

                            STATEMENTS OF CASH FLOWS

               FOR THE THREE MONTHS ENDED MARCH 31, 1997 AND 1996
                                   (unaudited)


<TABLE>
<CAPTION>
                                                                  1997               1996
                                                               -----------        -----------
<S>                                                            <C>                <C>        
CASH FLOWS FROM OPERATING ACTIVITIES:
   Net income                                                  $   311,228        $   345,552
   Adjustments to reconcile net income to net
     cash provided by operating activities:
       Depreciation and amortization                             1,395,815          1,559,179
       Loss on disposition of equipment, net                         9,729              1,746
       Change in assets and liabilities:
         Rent and other receivables                                158,285           (116,224)
         Accounts payable and accrued liabilities                   16,921            (11,532)
         Payable to affiliates                                     (38,323)            60,249
         Deferred rental income                                     18,000            (30,000)
                                                               -----------        -----------
           Net cash provided by operating activities             1,871,655          1,808,970
                                                               -----------        -----------

CASH FLOWS FROM INVESTING ACTIVITIES:
   Purchases of equipment on operating leases                   (3,256,955)                --
   Proceeds from sales of equipment                                369,372             33,800
                                                               -----------        -----------
           Net cash (used in) provided by investing
              activities                                        (2,887,583)            33,800
                                                               -----------        -----------

CASH FLOWS FROM FINANCING ACTIVITIES:
   Cash distributions paid to partners                            (859,742)          (859,742)
                                                               -----------        -----------
           Net cash used in financing activities                  (859,742)          (859,742)
                                                               -----------        -----------

NET (DECREASE) INCREASE IN CASH AND
   CASH EQUIVALENTS                                             (1,875,670)           983,028

CASH AND CASH EQUIVALENTS AT
   BEGINNING OF PERIOD                                           2,524,801          1,141,970
                                                               -----------        -----------

CASH AND CASH EQUIVALENTS AT
   END OF PERIOD                                               $   649,131        $ 2,124,998
                                                               ===========        ===========
</TABLE>


                   The accompanying notes are an integral part
                         of these financial statements.



                                       5
<PAGE>   7
                        PW PREFERRED YIELD FUND II, L.P.

                          NOTES TO FINANCIAL STATEMENTS

                                 MARCH 31, 1997
                                   (unaudited)

1.       GENERAL

         The accompanying unaudited interim financial statements include all
adjustments (consisting solely of normal recurring adjustments) which are, in
the opinion of the General Partners, necessary to fairly present the financial
position of the Partnership as of March 31, 1997 and the results of its
operations, changes in partners' equity and cash flows for the three months then
ended.

         These financial statements should be read in conjunction with the
Significant Accounting Policies and other Notes to Financial Statements included
in the Partnership's audited financial statements for the year ended December
31, 1996.

2.       TRANSACTIONS WITH AFFILIATES


                        Acquisition and Operating Stages

         Acquisition of Equipment Pursuant to its investment objectives, the
Partnership acquires, on an all-cash basis, certain leased equipment from Equis
Financial Group L.P ("EFG") (formerly American Finance Group or AFG), an
affiliate of the Managing General Partner.

         The purchase price of the equipment acquired from EFG is equal to the
lesser of the adjusted cost of the equipment or the appraised value of the
equipment at the time of its acquisition by the Partnership ("EFG carrying
value"). The adjusted cost of the equipment is equal to the price paid by EFG,
plus the cost of an appraisal, EFG's cost of interim financing for the equipment
and any taxes paid by EFG, less certain interim rentals received by EFG with
respect to the equipment.

         Acquisition Fee The Managing General Partner, or its affiliates,
receives or is entitled to receive a fee equal to (i) 2.25% of the purchase
price of equipment purchased with net offering proceeds from the sale of Units,
and (ii) 3.0% of the purchase price of equipment purchased with reinvested
Partnership income as compensation for evaluating, selecting, negotiating and
consummating the acquisition of the equipment. There was no acquisition fee
payable with respect to the equipment purchased with the Class B Limited
Partner's cash contributions. The Partnership paid acquisition fees totaling
$94,863 during the three months ended March 31, 1997.

         Management Fees The General Partners receive a monthly fee in an amount
equal to 2.0% of gross rentals for Full Payout Leases, as defined in the
Partnership Agreement

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<PAGE>   8
(in general, leases for which rent due over the non-cancelable lease term
exceeds the Partnership's cost of the equipment), and 5.0% of gross rentals for
other leases (payable 66.67% to the Managing General Partner and 33.33% to the
Administrative General Partner) as compensation for services rendered in
connection with the management of the equipment. Management fees of $72,554 were
earned by the General Partners with respect to the rentals earned by the
Partnership during the three months ended March 31, 1997.

         Disposition Fees The General Partners, or their affiliates, are
entitled to receive a subordinated disposition fee in an amount equal to the
lesser of (i) 50% of the fee that would be charged by an unaffiliated party, or
(ii) 3% of the gross contract price relating to each sale of equipment (payable
50% to the Managing General Partner or its affiliates and 50% to the
Administrative General Partner) as compensation for negotiating and consummating
sales of equipment. Subordinated disposition fees payable with respect to sales
and dispositions during the quarter ended March 31, 1997 aggregated $25,121.
Cumulative subordinated disposition fees totaled $72,689 at such date. These
fees, which were charged to operations, are not currently payable since their
payment is subordinated to the Class A Limited Partners having received cash
distributions equal to their capital contributions, plus an 8% annual cumulative
return (as defined in the Partnership Agreement).


3.       LITIGATION

         In November 1994, a series of purported class actions (the "New York
Limited Partnership Actions") were filed in the United States District Court for
the Southern District of New York concerning PaineWebber Incorporated sale and
sponsorship of various limited partnership investments, including those offered
by the Partnership. The lawsuits were brought against PaineWebber Incorporated
and PaineWebber Group, Inc. (together, "PaineWebber"), among others, by
allegedly dissatisfied partnership investors. In March 1995, after the actions
were consolidated under the title In re: PaineWebber Limited Partnerships
Litigation, the plaintiffs amended their complaint to assert claims against a
variety of other defendants, including the Administrative General Partner of the
Partnership.

         The amended complaint in the New York Limited Partnership Actions
alleged that, in connection with the sale of interests in the Partnership,
PaineWebber and the Administrative General Partner (1) failed to provide
adequate disclosure of the risks involved with the Partnership; (2) made false
and misleading representations about the safety of the investments and the
Partnership's anticipated performance; and (3) marketed the Partnership to
investors for whom such investments were not suitable. The plaintiffs also
alleged that following the sale of the Partnership investments PaineWebber and
the Administrative General Partner misrepresented financial information about
the Partnership's value and performance. The amended complaint alleged that
PaineWebber and the Administrative General Partner violated the Racketeer
Influenced and Corrupt Organizations Act ("RICO") and the federal securities
laws. The plaintiffs sought unspecified damages, including reimbursement for all
sums invested by them in the 

                                       7
<PAGE>   9
partnerships, as well as disgorgement of all fees and other income derived by
PaineWebber from the Limited Partnerships. In addition, the plaintiffs also
sought treble damages under RICO.

         On May 30, 1995, the U.S. District Court certified class action
treatment of the plaintiff's claims in the class action entitled, In re:
PaineWebber Limited Partnerships Litigation.

         In January 1996, PaineWebber signed a memorandum of understanding with
the plaintiffs in the class action outl;ining the terms under which the parties
agreed to settle the case. A definitive settlement agreement was signed in July
1996 and in March 1997. The District Court approved the settlement as fair and
reasonable. Under the terms of the settlement, PaineWebber agreed to pay $125
million and additional consideration to class members. The investors who had
objected to the settlement have appealed the District Court's approval to the
United States Court of Appeals for the Second Circuit.

         Under certain circumstances, pursuant to the Partnership Agreement and
other contractual obligations, PaineWebber and its affiliates, including the
Administrative General Partner were entitled to indemnification from the
Partnership for expenses and liabilities in connection with the above
litigation. PaineWebber and the affiliates have agreed to not seek
indemnification from the Partnership for any amounts payable in connection with
the aforementioned litigation.


                                       8
<PAGE>   10
Item 2. Management's Discussion and Analysis of Financial Condition and Results
        of Operations

LIQUIDITY AND CAPITAL RESOURCES

         Upon formation of the Partnership, the General Partners each
contributed $500 to the capital of the Partnership. On September 10, 1992, the
Partnership commenced a "best efforts" offering of 200,000 Units of Class A
Limited Partner Interest ("Units") at $500 per Unit ($100,000,000).

         The Partnership had its final admission of Class A Limited Partners on
July 26, 1994 receiving gross proceeds of $428,500 from the sale of 857 units.
In total, the Partnership received gross offering proceeds of $27,013,500 from
the sale of 54,027 Units, of which $1,895,500 was received during 1994,
$8,314,500 was received during 1993 and $16,803,500 was received during 1992.
The Partnership incurred $3,260,594 of aggregate sales commissions and other
offering expenses in connection with the sale of these Units, thus receiving
$23,752,906 of net offering proceeds.

         The Class B Limited Partner was required to contribute cash to the
Partnership in an amount equal to 12.5% of the aggregate purchase price of the
equipment purchased with the offering proceeds received from the sale of Units
and the cash contributed by the Class B Limited Partner. The Class B Limited
Partner contributed $231,098, $1,022,543 and $2,031,736 during 1994, 1993 and
1992, respectively.

         The Partnership conducted no activities and recognized no profits or
losses prior to the initial closing for the sale of Units on November 16, 1992,
at which time the Partnership commenced operations. The Partnership acquired a
portion of its equipment portfolio following each of the five closings which
have been held for the sale of Units. The Partnership used the net contributed
capital to purchase $27,002,464 of equipment, of which $1,898,275, $8,415,175
and $16,689,014 was purchased during 1994, 1993 and 1992, respectively (not
including equipment purchased pursuant to the Partnership's reinvestment
program) and the balance of $35,819 was retained as working capital.

         The Partnership commenced its equipment reinvestment phase during 1993
by investing excess cash flows available after the payment of the distributions
to the partners in additional equipment. As of March 31, 1997, equipment
purchased pursuant to the reinvestment program including acquisition fees and
expenses totaled $17,760,563, of which $3,256,955 was acquired during the
quarter ended March 31, 1997. As of March 31, 1997, the Partnership had
approximately $250,000 of cash generated from operating activities and sales of
equipment in excess of accrued distributions which is available for reinvestment
in additional equipment. Additional equipment will be purchased pursuant to the
reinvestment program during 1997 and in future years during the reinvestment
period (which will end in either 1999 or 2000, at the General Partners'
discretion).

         The Partnership invests working capital and cash flow from operations
prior to its distribution to the partners or its reinvestment in additional
equipment in short-term highly liquid investments. Theses investments are
primarily short-term commercial paper 

                                       9
<PAGE>   11
issued by large domestic corporations.

         Cash and cash equivalents decreased $1,875,670 from $2,524,801 at
December 31, 1996 to $649,131 at March 31, 1997. This was due primarily to the
purchase of equipment subject to lease pursuant to the reinvestment program
totalling $3,256,955, which utilized the cash available for reinvestment at
December 31, 1996 of $2,135,000 plus a portion of the cash generated during the
1997 Quarter.

         Rent and other receivables net increased $308,719 from $1,175,409 at
December 31, 1996 to $1,484,128 at March 31, 1997. The primary reason for the
increase was a net increase in receivables from equipment sales totalling
$467,004 partially offset by a decrease in rents receivable.

         During the three months ended March 31, 1997, the Partnership sold
equipment originally purchased for purchase prices aggregating $3,264,000 for
amount totalling $836,000 including amount receivable at March 31, 1997.

         During the three months ended March 31, 1997, the Partnership declared
distributions of cash flow received from operations in the amount of $868,426.
Distributions to the Class A Limited Partners represented an annualized
distribution rate of 11% of their contributed capital and all distributions to
the Class B Limited Partner represented an annualized distribution rate of 10%
of its contributed capital.

         The General Partners believe that the Partnership will generate
sufficient cash flow from operations during 1997 to enable the Partnership to
meet current operating requirements, to continue to fund cash distributions to
the Class A Limited Partners at an annualized rate of 11% on their capital
contributions and to the Class B Limited Partner at an annualized rate of 10% on
its capital contributions (substantial portions of which will constitute returns
of capital) and to provide excess cash for reinvestment in additional leased
equipment.

         Distributions may be characterized for tax, accounting and economic
purposes as a return of capital, a return on capital or both. The portion of
each cash distribution by a partnership, which exceeds its net income for the
fiscal period, may be deemed a return of capital. Based upon the amount of net
income reported by the Partnership for accounting purposes, approximately 75%,
respectively, of the 11% cash distributions to the Class A Limited Partners for
the quarter ended March 31, 1997 constituted a return of capital. Additionally,
since inception, approximately 78% of the Class A Limited Partner's 11% cash
distributions constituted a return of capital. However, the total actual return
on capital over a leasing partnership's life can only be determined at the
termination of the Partnership after all residual cash flows (which include
proceeds from the re-leasing and sale of equipment after initial lease terms
expire) have been realized.

                                       10
<PAGE>   12
Litigation

         See Footnote 3, "Legal Matters", for a discussion of certain litigation
to which the Partnership is a party.


RESULTS OF OPERATIONS

         Substantially all of the Partnership's revenue during the three months
ended March 31, 1997 was generated from the leasing of the equipment to
unaffiliated third parties under triple net leases which were in effect at the
time the equipment was acquired by the Partnership. The balance of the
Partnership's revenue consisted of interest income from temporary investments
and net gain on sales and dispositions of equipment.

         Under the terms of the triple net leases, all expenses related to the
ownership and operation of the equipment during the three months ended March 31,
1997 were paid for by the lessees. The Partnership recorded depreciation expense
pertaining to the equipment and incurred management fees and certain general and
administrative expenses in connection with the operations of the Partnership.
General and administrative expenses consisted primarily of investor reporting
expenses and transfer agent and audit fees.



                                       11
<PAGE>   13
1997 Compared to 1996

         The Partnership reported net income of $311,228 for the three months
ended March 31, 1997 ("1997 Quarter") as compared to $345,552 for the three
months ended March 31, 1996 ("1996 Quarter").

         Rental income decreased by 9% or $179,131 during the 1997 Quarter as
compared to the 1996 Quarter, principally due to the sale of equipment upon
lease expiration subsequent to the 1996 Quarter (which was earning rental
revenue in the 1996 Quarter) and the renewal of certain equipment at lower
rates, partially offset by rentals from equipment purchased on or after March
31, 1996.

         Interest income increased by 9% or $1,717 in the 1997 Quarter as
compared to the 1996 Quarter due to an increase in funds available for
reinvestment. These funds are invested in short term highly liquid investments
until utilized to purchase additional equipment.

         Depreciation and amortization expense decreased by 10% or $163,364 in
the 1997 Quarter as compared to the 1996 Quarter due to a decrease in equipment
subject to operating leases (attributable to equipment sold subsequent to the
1996 Quarter offset by equipment purchased subsequent to the 1996 Quarter), and
was consistent with the decrease in rental income.

         Management fees and subordinated dispositions fees increased by 17% or
$13,875 in the 1997 Quarter as compared to the 1996 Quarter. Management fees
decreased by $10,778 from $83,332 to $72,554 or 13% due to a decrease in rental
revenues on which such fees are based. Subordinated disposition fees were
$25,121 in the 1997 Quarter as compared to $468 in the 1996 Quarter, an increase
of $24,653, which were based upon the sales proceeds generated (including
receivables) in the respective periods.

         General and administrative expenses decreased by 6% or $1,584 in the
1997 Quarter as compared to the 1996 Quarter which reflected the Partnership's
level of operations.





                                       12
<PAGE>   14
                           Part II. OTHER INFORMATION


Item 1.  Legal Proceedings

         In November 1994, a series of purported class actions (the "New York
Limited Partnership Actions") were filed in the United States District Court for
the Southern District of New York concerning PaineWebber Incorporated sale and
sponsorship of various limited partnership investments, including those offered
by the Partnership. The lawsuits were brought against PaineWebber Incorporated
and PaineWebber Group, Inc. (together, "PaineWebber"), among others, by
allegedly dissatisfied partnership investors. In March 1995, after the actions
were consolidated under the title In re: PaineWebber Limited Partnerships
Litigation, the plaintiffs amended their complaint to assert claims against a
variety of other defendants, including the Administrative General Partner of the
Partnership.

         The amended complaint in the New York Limited Partnership Actions
alleged that, in connection with the sale of interests in the Partnership,
PaineWebber and the Administrative General Partner (1) failed to provide
adequate disclosure of the risks involved with the Partnership; (2) made false
and misleading representations about the safety of the investments and the
Partnership's anticipated performance; and (3) marketed the Partnership to
investors for whom such investments were not suitable. The plaintiffs also
alleged that following the sale of the Partnership investments PaineWebber and
the Administrative General Partner misrepresented financial information about
the Partnership's value and performance. The amended complaint alleged that
PaineWebber and the Administrative General Partner violated the Racketeer
Influenced and Corrupt Organizations Act ("RICO") and the federal securities
laws. The plaintiffs sought unspecified damages, including reimbursement for all
sums invested by them in the partnerships, as well as disgorgement of all fees
and other income derived by PaineWebber from the Limited Partnerships. In
addition, the plaintiffs also sought treble damages under RICO.

         On May 30, 1995, the U.S. District Court certified class action
treatment of the plaintiff's claims in the class action entitled, In re:
PaineWebber Limited Partnerships Litigation.

         In January 1996, PaineWebber signed a memorandum of understanding with
the plaintiffs in the class action outlining the terms under which the parties
agreed to settle the case. A definitive settlement agreement was signed in July
1996 and in March 1997. The District Court approved the settlement as fair and
reasonable. Under the terms of the settlement, PaineWebber agreed to pay $125
million and additional consideration to class members. The investors who had
objected to the settlement have appealed the District Court's approval to the
United States Court of Appeals for the Second Circuit.

         Under certain circumstances, pursuant to the Partnership Agreement and
other contractual obligations, PaineWebber and its affiliates, including the
Administrative General Partner were entitled to indemnification from the
Partnership for expenses and liabilities in connection with the above
litigation. PaineWebber and the affiliates have 

                                       13
<PAGE>   15
agreed to not seek indemnification from the Partnership for any amounts payable
in connection with the aforementioned litigation.

Item 6.  Exhibits and Reports on Form 8-K

           (a)    None

           (b)    The Partnership did not file any reports on Form 8-K during
                  the first quarter of the fiscal year ending December 31, 1997.



                                       14
<PAGE>   16
                                    SIGNATURE

         Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.


                                PW Preferred Yield Fund II, L.P.
                                (Registrant)


                                By:      General Equipment Management II, Inc.
                                         A General Partner


Date:  May 12, 1997                      By:     /s/ Joseph P. Ciavarella
                                                 ------------------------
                                                 Joseph P. Ciavarella
                                                 Vice President, Secretary,
                                                 Treasurer and Chief Financial
                                                 and Accounting Officer



                                       15