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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21338  

Nicholas Applegate Convertible & Income Fund II
(Exact name of registrant as specified in charter)
 
1345 Avenue of the Americas, New York, NY   10105
     (Address of principal executive offices)   (Zip code)
 
Lawrence G. Altadonna
1345 Avenue of the Americas,
New York, NY 10105
(Name and address of agent for service)

Registrant’s telephone number, including area code: 212-739-3371  

Date of fiscal year end: February 28, 2009  
 
Date of reporting period: May 31, 2008  
   

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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments

Nicholas-Applegate Convertible & Income Fund II Schedule of Investments
May 31, 2008 (unaudited)

Shares       Credit Rating      
(000)       (Moody's/S&P)   Value*  
CONVERTIBLE PREFERRED STOCK-45.5%          
    Agriculture-1.7%          
    Bunge Ltd.,          
82      4.875%, 12/31/49   Ba1/BB   $11,844,000  
8      5.125%, 12/1/10   NR/BB   8,700,000  
            20,544,000  
    Automotive-1.7%          
    General Motors Corp.,          
511      5.25%, 3/6/32, Ser. B   Caa1/B   8,290,042  
750      6.25%, 7/15/33, Ser. C   Caa1/B   12,382,500  
            20,672,542  
    Banking-7.8%          
    Bank of America Corp.,          
16      7.25%, 12/31/49, Ser. L   A1/A+   16,204,230  
273      10.00%, 5/11/09, Ser. JNJ (Johnson & Johnson) (e)   Aa2/AA   18,340,411  
    Wachovia Corp.,          
483      13.15%, 3/30/09, Ser. GE (General Electric Co.) (e)   Aa3/AA-   14,981,278  
392      14.10%, 4/1/09, Ser. JPM (JP Morgan Chase & Co.) (e)   Aa3/AA-   16,741,350  
292   Washington Mutual Capital Trust, 5.375%, 5/1/41, Ser. UNIT   Ba1/BB+   8,459,282  
162   Wells Fargo Co., 8.00%, 6/1/08, Ser. AAPL (Apple, Inc.) (e)   Aa1/AA+   22,049,468  
            96,776,019  
    Commercial Services-0.7%          
287   United Rentals, Inc., 6.50%, 8/1/28   B3/B-   8,963,219  
 
    Electric-4.4%          
367   AES Trust III, 6.75%, 10/15/29   B3/B-   18,045,351  
273   Entergy Corp., 7.625%, 2/17/09   NR/BBB   19,328,400  
48   NRG Energy, Inc., 5.75%, 3/16/09   B2/CCC+   17,007,000  
            54,380,751  
    Financial Services-13.0%          
338   Citigroup Funding, Inc., 4.583%, 9/27/08, Ser. GNW (Genworth Financial, Inc.) (d) (e)   Aa3/AA-   7,874,118  
348   Citigroup, Inc., 6.50%, 12/31/49, Ser. T   A2/A   16,922,103  
    Credit Suisse,          
632      11.00%, 3/16/09, Ser. MSFT (Microsoft Corp.) (e)   Aa1/AA-   17,186,322  
298      11.00%, 4/25/09, Ser. KO (Coca-Cola Corp.) (e)   Aa1/AA-   18,613,125  
    Eksportfinans A/S,          
371      10.00%, 3/12/09, Ser. HPQ (Hewlett Packard Co.) (e)   Aaa/AA+   16,411,194  
1,101      13.00%, 11/1/08, Ser. TWX (Time Warner, Inc.) (e)   Aaa/A+   16,617,550  
745   Goldman Sachs Group, Inc., 9.75%, 12/19/08, Ser. CSCO (Cisco Systems, Inc.) (e)   Aa3/NR   19,167,830  
    Lehman Brothers Holdings, Inc.,          
802      6.00%, 10/12/10, Ser. GIS (General Mills, Inc.) (e)   A1/A+   19,862,409  
228      8.50%, 8/25/08, Ser. UTX (United Technologies Corp.) (e)   A1/A+   15,325,240  
123      28.00%, 3/6/09, Ser. RIG (Transocean, Inc.) (e)   A1/A+   13,191,477  
            161,171,368  
    Hand/Machine Tools-1.4%          
20   Stanley Works, 4.344%, 5/17/12 (d)   A2/A   17,203,900  
 
    Insurance-3.5%          
531   Metlife, Inc., 6.375%, 8/15/08   NR/BBB+   15,429,848  
598   Platinum Underwriters Holdings Ltd., 6.00%, 2/15/09, Ser. A   NR/BB+   18,866,900  
635   XL Capital Ltd., 7.00%, 2/15/09   Baa1/A-   8,839,200  
            43,135,948  
    Investment Company-1.4%          
239   Vale Capital Ltd., 5.50%, 6/15/10, Ser. RIO (Companhia Vale do Rio Doce) (e)   NR/NR   17,756,972  
 
    Metals & Mining-1.5%          
113   Freeport-McMoRan Copper & Gold, Inc., 6.75%, 5/1/10   NR/BB   18,695,768  
 
    Oil & Gas-1.4%          
112   Chesapeake Energy Corp., 5.00%, 12/31/49   NR/B   17,347,475  
 
    Pharmaceuticals-1.4%          
87   Schering-Plough Corp., 6.00%, 8/13/10   Baa3/BBB   16,970,219  
 
    Real Estate (REIT)-1.2%          
777   FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A   B2/B-   15,331,071  

Nicholas-Applegate Convertible & Income Fund II Schedule of Investments
May 31, 2008 (unaudited)

Shares       Credit Rating      
(000)       (Moody's/S&P)   Value*  
    Sovereign-2.9%          
    Svensk Exportkredit AB,          
459         10.00%, 10/20/08, Ser. TEVA (Teva Pharmaceutical Industries Ltd.) (e)   Aa1/AA+   $19,756,790  
203         12.50%, 12/12/08, Ser. XOM (Exxon Mobil Corp.) (e)   Aa1/AA+   17,030,562  
            36,787,352  
    Telecommunications-1.5%          
310   Crown Castle International Corp., 6.25%, 8/15/12   NR/NR   18,832,500  
 
    Total Convertible Preferred Stock (cost-$579,558,089)       564,569,104  
CORPORATE BONDS & NOTES-40.5%          
Principal              
Amount              
(000)              
    Advertising-0.8%          
$9,900   Affinion Group, Inc., 11.50%, 10/15/15   B3/B-   10,110,375  
 
    Apparel-1.0%          
6,820   Levi Strauss & Co., 9.75%, 1/15/15   B2/B+   7,178,050  
5,160   Oxford Industries, Inc., 8.875%, 6/1/11   B1/B+   5,031,000  
            12,209,050  
    Automotive-2.0%          
7,205   Accuride Corp., 8.50%, 2/1/15   B3/B-   5,980,150  
3,385   American Axle & Manufacturing, Inc., 7.875%, 3/1/17   Ba3/BB-   2,894,175  
12,120   Exide Technologies, 10.50%, 3/15/13, Ser. B   Caa1/CCC+   11,817,000  
6,425   General Motors Corp., 8.375%, 7/15/33   Caa1/B   4,433,250  
            25,124,575  
    Chemicals-0.3%          
4,110   Momentive Performance Materials, Inc., 9.75%, 12/1/14   B3/B   3,832,575  
 
    Coal-0.4%          
5,580   James River Coal Co., 9.375%, 6/1/12   Ca/CC   5,496,300  
 
    Commercial Services-1.6%          
11,580   Cenveo Corp., 7.875%, 12/1/13   B3/B   10,103,550  
9,440   Hertz Corp., 10.50%, 1/1/16   B2/B   9,463,600  
            19,567,150  
    Computers-0.7%          
8,925   Unisys Corp., 8.00%, 10/15/12   B2/B+   8,077,125  
 
    Electric-1.8%          
10,895   AES Corp., 9.50%, 6/1/09   B1/BB-   11,303,563  
6,440   Energy Future Holdings Corp., 10.875%, 11/1/17 (a) (b)   B3/B-   6,745,900  
4,600   Texas Competitive Electric Holdings Co. LLC, 10.25%, 11/1/15 (a) (b)   B3/CCC   4,720,750  
            22,770,213  
    Electronics-0.9%          
10,335   Stoneridge, Inc., 11.50%, 5/1/12   B2/B+   10,774,238  
 
    Financial Services-3.1%          
10,755   AMR Holdings Co., 10.00%, 2/15/15   B1/B-   11,507,850  
9,205   Ford Motor Credit Co., 7.00%, 10/1/13   B1/B   7,749,137  
6,930   GMAC LLC, 6.75%, 12/1/14   B2/B   5,371,907  
8,710   KAR Holdings, Inc., 8.75%, 5/1/14   B3/CCC+   8,143,850  
3,223   MedCath Holdings Corp., 9.875%, 7/15/12   Caa1/B-   3,368,035  
5,430   Residential Capital LLC, 6.375%, 6/30/10   Ca/CC   2,932,200  
            39,072,979  
    Healthcare-1.8%          
5,865   Alliance Imaging, Inc., 7.25%, 12/15/12   B3/B-   5,747,700  
7,985   Hanger Orthopedic Group, Inc., 10.25%, 6/1/14   Caa1/CCC+   8,264,475  
4,615   HCA, Inc, 9.25%, 11/15/16   B2/BB-   4,886,131  
3,075   Healthcare Net, Inc., 6.375%, 6/1/17   Ba2/BB+   2,782,875  
            21,681,181  
    Home Furnishings-1.4%          
9,210   Central Garden & Pet Co., 9.125%, 2/1/13   Caa1/CCC+   8,358,075  
9,760   Jarden Corp., 7.50%, 5/1/17   B3/B   8,759,600  
            17,117,675  

Nicholas-Applegate Convertible & Income Fund II Schedule of Investments
May 31, 2008 (unaudited)

Principal              
Amount       Credit Rating      
(000)       (Moody's/S&P)   Value*  
    Manufacturing-2.4%          
$11,965   Harland Clarke Holdings Corp., 9.50%, 5/15/15   Caa1/B-   $9,871,125  
1,845   Park-Ohio Industries, Inc., 8.375%, 11/15/14   B3/B-   1,598,231  
8,290   Polypore, Inc., 8.75%, 5/15/12   B3/B-   8,331,450  
10,385   Sally Holdings LLC, 10.50%, 11/15/16   Caa1/CCC+   10,177,300  
            29,978,106  
    Metals & Mining-1.4%          
7,090   PNA Group, Inc., 10.75%, 9/1/16   B3/B-   7,019,100  
10,875   RathGibson, Inc., 11.25%, 2/15/14   B3/B   10,766,250  
            17,785,350  
    Miscellaneous-0.6%          
6,723   Dow Jones CDX High Yield, 10.50%, 12/29/09 (a) (b) (c)   NR/NR   7,050,745  
 
    Multi-Media-1.4%          
10,021   CCH I LLC, 11.00%, 10/1/15   Caa3/CCC   8,567,955  
9,110   Mediacom LLC, 9.50%, 1/15/13   B3/B-   8,745,600  
            17,313,555  
    Office Furnishings-0.8%          
    Interface, Inc.,          
4,165      9.50%, 2/1/14   B3/B-   4,373,250  
5,715      10.375%, 2/1/10   B1/BB-   6,029,325  
            10,402,575  
 
    Packaging & Containers-0.5%          
6,920   Smurfit-Stone Container Enterprises, Inc., 8.375%, 7/1/12   B3/B-   6,470,200  
 
    Paper Products-1.6%          
8,730   Neenah Paper, Inc., 7.375%, 11/15/14   B2/B+   7,857,000  
11,055   NewPage Corp., 12.00%, 5/1/13   B3/CCC+   11,745,938  
            19,602,938  
 
    Pipelines-0.7%          
8,900   Dynegy Holdings, Inc., 7.75%, 6/1/19   B2/B   8,477,250  
 
    Retail-4.9%          
7,550   Bon-Ton Stores, Inc., 10.25%, 3/15/14   Caa1/CCC+   5,473,750  
6,450   Burlington Coat Factory Warehouse Corp., 11.125%, 4/15/14   B3/CCC+   5,514,750  
7,125   El Pollo Loco Finance Corp., 11.75%, 11/15/13   Caa1/CCC+   6,875,625  
10,975   Michaels Stores, Inc., 10.00%, 11/1/14   B2/CCC   10,206,750  
11,295   Neiman-Marcus Group, Inc., 10.375%, 10/15/15   B3/B   11,732,681  
4,090   R.H. Donnelley, Inc., 8.875%, 1/15/16, Ser. A-3   B3/B-   2,822,100  
10,960   Rite Aid Corp., 8.625%, 3/1/15   Caa1/CCC+   8,603,600  
9,650   Star Gas Partners L.P., 10.25%, 2/15/13, Ser. B   Caa3/CCC   9,601,750  
            60,831,006  
    Semi-Conductors-1.5%          
9,690   Amkor Technology, Inc., 9.25%. 6/1/16   B1/B+   9,665,775  
10,595   Freescale Semiconductor, Inc., 10.125%, 12/15/16   B3/B-   8,979,262  
            18,645,037  
    Software-0.8%          
10,605   First Data Corp., 9.875%, 9/24/15 (a) (b)   B3/B   9,610,781  
 
    Telecommunications-6.3%          
8,295   Centennial Cellular Operating Co., 10.125%, 6/15/13   B2/B   8,668,275  
4,440   Centennial Communications Corp., 10.00%, 1/1/13   Caa1/CCC+   4,462,200  
925   Cincinnati Bell, Inc., 8.375%, 1/15/14   B2/B-   925,000  
5,190   Cricket Communications, Inc., 9.375%, 11/1/14   B3/B-   5,034,300  
11,640   Hawaiian Telcom Communications, Inc., 12.50%, 5/1/15, Ser. B   Caa3/CCC   2,997,300  
12,198   Level 3 Financing, Inc., 12.25%, 3/15/13   Caa1/CCC+   12,746,910  
8,315   MasTec, Inc., 7.625%, 2/1/17   B1/B+   7,317,200  
13,510   Millicom International Cellular S.A., 10.00%, 12/1/13   B1/BB   14,421,925  
10,820   Nortel Networks Ltd., 10.75%, 7/15/16   B3/B-   10,738,850  
12,155   West Corp., 11.00%, 10/15/16   Caa1/B-   10,817,950  
            78,129,910  
    Theaters-0.9%          
11,060   AMC Entertainment, Inc., 11.00%, 2/1/16   B2/CCC+   11,281,200  
 
    Travel Services-0.9%          
12,440   Travelport LLC, 11.875%, 9/1/16   Caa1/CCC+   11,475,900  
 
    Total Corporate Bonds & Notes (cost-$531,015,192)       502,887,989  

Nicholas-Applegate Convertible & Income Fund II Schedule of Investments
May 31, 2008 (unaudited)

   Principal              
   Amount       Credit Rating      
(000)       (Moody's/S&P)   Value*  
CONVERTIBLE BONDS & NOTES-9.3%          
    Automotive-1.1%          
$14,260   Ford Motor Co., 4.25%, 12/15/36   Caa1/CCC+   $13,636,125  
 
    Commercial Services-0.3%          
3,125   Bowne & Co., Inc., 5.00%, 10/1/33   B1/B-   3,168,125  
 
    Computers-1.5%          
17,260   Maxtor Corp., 6.80%, 4/30/10   Ba1/NR   18,468,200  
 
    Hotels/Gaming-0.2%          
2,125   Mandalay Resort Group, Inc., 3.349%, 3/21/33 (d)   Ba2/BB   3,006,875  
 
    Internet-1.2%          
13,320   Amazon.com, Inc., 4.75%, 2/1/09   Ba2/B+   14,801,850  
 
    Real Estate (REIT)-0.8%          
10,750   Developers Diversified Realty Corp., 3.00%, 3/15/12   NR/BBB   9,661,563  
 
    Retail-1.4%          
18,535   Sonic Automotive, Inc., 5.25%, 5/7/09   B2/B   18,071,660  
 
    Telecommunications-2.8%          
20,000   Level 3 Communications, Inc., 6.00%, 3/15/10   Caa3/CCC   18,250,000  
16,885   Nextel Communications, Inc., 5.25%, 1/15/10   Baa3/BB   16,209,600  
            34,459,600  
 
    Total Convertible Bonds & Notes (cost-$117,646,143)       115,273,998  
 
 
U.S. GOVERNMENT SECURITIES-2.6%          
   Principal              
   Amount              
(000)              
    United States Treasury Notes,          
$21,565      12.00%, 8/15/13       21,977,776  
9,225      13.25%, 5/15/14       10,143,902  
    Total U.S. Government Securities (cost-$35,613,665)       32,121,678  
 
SHORT-TERM INVESTMENT-2.1%          
    Time Deposit-2.1%          
25,467   Bank of America—London, 1.46%, 6/2/08       25,467,108  
       (cost-$25,467,108)          
 
    Total Investments (cost-$1,289,300,197)—100.0%       $1,240,319,877  

Notes to Schedule of Investments:

*   

Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, are fair valued, in good faith, pursuant to guidelines established by the Board of Trustees or persons acting at their discretion pursuant to procedures approved by the Board of Trustees. The Fund's investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or 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 for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. 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 exceeded 60 days. The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold. The Fund's net asset value is normally determined 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.

   
   
**     

Amount less than 500.

 
  (a)

144A Security-Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

 
  (b)

Private Placement. Restricted as to resale and may not have a readily available market. Securities with an aggregate market value of $28,128,176, representing 2.27% of total investments.

 
  (c)

Credit-linked trust certificate.

 
  (d)

Variable Rate Notes. Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate.). The interest rate disclosed reflects the rate in effect on May 31, 2008.

 
  (e)

Securities exchangeable or convertible into securities of an entity different than the issuer. Such entity is identified in the parenthetical.

 

Glossary:
NR—Not Rated
REIT—Real Estate Investment Trust

Fair Value Measurements—Effective March 1, 2008, the Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"). This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of the fair value measurements. The three levels of the fair value hierarchy under FAS 157 are described 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 the 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.

The following is a summary of the inputs used at May 31, 2008 in valuing the Fund's investments carried at value:


           
  Valuation Inputs   Investments in Securities    
  Level 1 — Quoted Prices   $   304,924,624    
  Level 2 — Other Significant Observable Inputs   925,369,278    
  Level 3 — Significant Unobservable Inputs   10,025,975    
  Total   $1,240,319,877    
           
A roll forward of fair value measurement using significant unobservable inputs (Level 3) at May 31, 2008, were as follows:
           
           
      Investments in Securities    
  Beginning balance, 2/29/08   $ 3,006,875    
  Net purchases (sales) and settlements   -    
  Accrued discounts (premiums)   -    
  Total realized and unrealized gain (loss)   744,450    
  Transfers in and/or out of Level 3   6,274,650    
  Ending balance, 5/31/08   $10,025,975    

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: Nicholas-Applegate Convertible & Income Fund II

By /s/ Brian S. Shlissel
President & Chief Executive Officer

Date: July 23, 2008

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

Date: July 23, 2008

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: July 23, 2008

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

Date: July 23, 2008