UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

       OMB APPROVAL
OMB Number: 3235-0578 
Expires: February 28, 2006 
Estimated average burden 
hours per response: 20.0
 
     
     

Investment Company Act File Number: 811-21238

Registrant Name: NICHOLAS-APPLEGATE CONVERTIBLE & INCOME FUND II

Address of Principal Executive Offices: 1345 Avenue of the Americas New York, New York 10105

Name and Address of Agent for Service: Lawrence G. Altadonna – 1345 Avenue of the Americas New York, New York 10105

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

Date of Fiscal Year End: February 28, 2007

Date of Reporting Period: May 31, 2006

Form N-Q is to be used by the registered management investment company, other than a small business investment company 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 30b 1-5 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, 2006 (unaudited) 
Principal        
Amount     Credit Rating    
(000)     (Moody's/S&P) Value*   
CORPORATE BONDS & NOTES—40.7%     
  Advertising—0.7%     
$   9,150   Affinion Group, Inc., 11.50%, 10/15/15 (a)  Caa1/B- $ 9,310,125   
 
 
  Apparel—1.0%     
  Levi Strauss & Co.,     
2,000          9.75%, 1/15/15  B3/B- 2,075,000   
8,705          12.25%, 12/15/12  B3/B- 9,793,125   
2,010   Oxford Industries, Inc., 8.875%, 6/1/11  B2/B 2,060,250   
 
    13,928,375   
 
  Auto Manufacturers—0.4%     
6,830   General Motors Corp., 8.375%, 7/15/33  B3/B 5,182,262   
 
 
  Automotive—1.4%     
9,260   Goodyear Tire & Rubber Co., 11.25%, 3/1/11  B3/B- 10,371,200   
10,030   HLI Operating Co., Inc., 10.50%, 6/15/10  Caa3/CCC 8,274,750   
 
    18,645,950   
 
  Chemicals—2.6%     
3,998   Huntsman LLC, 11.625%, 10/15/10  Ba3/BB- 4,437,780   
11,410   IMC Global, Inc., 11.25%, 6/1/11  Ba3/BB 12,051,812   
  Lyondell Chemical Co.,     
4,315          10.875%, 5/1/09  B3/B 4,401,300   
4,565          11.125%, 7/15/12  B1/BB- 5,021,500   
4,765   PolyOne Corp., 10.625%, 5/15/10  B3/B+ 5,134,288   
3,609   Rhodia S.A., 10.25%, 6/1/10  B3/CCC+ 3,983,434   
 
    35,030,114   
 
  Commercial Services—1.4%     
4,600   Hertz Corp., 10.50%, 1/1/16 (a)  B3/B 4,979,500   
3,795   Rent-Way, Inc., 11.875%, 6/15/10  B3/B- 3,927,825   
9,665   Vertrue, Inc., 9.25%, 4/1/14  B2/B 9,809,975   
 
    18,717,300   
 
  Computers—0.4%     
5,525   Unisys Corp., 8.00%, 10/15/12  Ba3/BB- 5,186,594   
 
 
  Electric—2.5%     
10,645   AES Corp., 9.50%, 6/1/09  B1/B 11,390,150   
10,250   Mission Energy Holdings Co., 13.50%, 7/15/08  B2/B- 11,569,687   
9,820   PSEG Energy Holdings LLC, 10.00%, 10/1/09  Ba3/BB- 10,728,350   
 
    33,688,187   
 
  Electronics—1.5%     
10,015   IMAX Corp., 9.625%, 12/1/10  B3/B- 10,465,675   
10,335   Stoneridge, Inc., 11.50%, 5/1/12  B2/B 9,921,600   
 
    20,387,275   
 
  Environmental Control—0.7%     
9,060   Aleris International, Inc., 10.375%, 10/15/10  B2/B+ 9,898,050   
 
 
  Financial Services—2.1%     
9,400   Alamosa Delaware, Inc., 11.00%, 7/31/10  Caa1/A- 10,363,500   
5,835   AMR Holdings Co., 10.00%, 2/15/15  Caa1/B- 6,243,450   
9,205   Ford Motor Credit Co., 7.00%, 10/1/13  Ba2/BB- 7,940,463   
3,450   MedCath Holdings Corp., 9.875%, 7/15/12  Caa1/B- 3,510,375   
 
    28,057,788   
 
  Food Products—1.0%     
12,575   Pilgrim's Pride Corp., 9.625%, 9/15/11  Ba2/BB- 13,172,313   
 
 
  Healthcare—0.8%     
6,325    Alliance Imaging, Inc., 7.25%, 12/15/12  B3/B-   5,676,688   
5,525    Hanger Orthopedic Group, Inc., 10.25%, 6/1/14 (a)  B3/CCC+   5,518,094   
 
        11,194,782   
 
    Home Builders—1.7%       
11,500    Ryland Group, Inc., 9.125%, 6/15/11  Ba2/BB+   12,017,500   
10,260    William Lyon Homes, Inc., 10.75%, 4/1/13  B2/B   10,170,225   
 
        22,187,725   
 


Nicholas-Applegate Convertible & Income Fund II Schedule of Investments 
May 31, 2006 (unaudited) 
Principal        
Amount     Credit Rating    
(000)     (Moody's/S&P) Value*   
  Home Furnishings—1.8%     
$   9,670   Central Garden & Pet Co., 9.125%, 2/1/13  B2/B $ 10,201,850   
13,400   Jarden Corp., 9.75%, 5/1/12  B3/B- 13,668,000   
 
    23,869,850   
 
  Hotels/Gaming—0.9%     
11,080   Mandalay Resort Group, Inc., 10.25%, 8/1/07, Ser. B  Ba3/B+ 11,606,300   
 
 
  Machinery—0.9%     
10,730   Case New Holland, Inc., 9.25%, 8/1/11  Ba3/BB- 11,400,625   
 
 
  Manufacturing—0.5%     
5,825   Clarke American Corp., 11.75%, 12/15/13 (a)  B2/B- 6,145,375   
 
 
  Metals & Mining—2.6%     
6,490   AK Steel Corp., 7.875%, 2/15/09  B1/B+ 6,441,325   
9,835   Freeport-McMoRan Copper & Gold, Inc., 10.125%, 2/1/10  B1/B+ 10,474,275   
5,710   Oregon Steel Mills, Inc., 10.00%, 7/15/09  Ba3/B+ 5,995,500   
11,450   United States Steel LLC, 10.75%, 8/1/08  Ba1/BB 12,423,250   
 
    35,334,350   
 
  Miscellaneous—1.3%     
17,729   Dow Jones CDX High Yield, 10.50%, 12/29/09 (a) (b)  NR/NR 18,105,394   
 
 
  Multi-Media—2.6%     
12,291   CCH I LLC, 11.00%, 10/1/15  Caa3/CCC- 10,631,715   
2,975   Lodgenet Entertainment Corp., 9.50%, 6/15/13  B3/B- 3,183,250   
7,860   Mediacom Broadband LLC, 11.00%, 7/15/13  B2/B 8,292,300   
5,735   Salem Communications Holding Corp., 9.00%, 7/1/11, Ser. B  B2/B- 6,000,244   
6,860   Sirius Satellite Radio, Inc., 9.625%, 8/1/13  Caa1/CCC 6,517,000   
 
    34,624,509   
 
  Office/Business Equipment—0.4%     
5,195   Xerox Corp., 9.75%, 1/15/09  Ba2/BB+ 5,617,094   
 
 
  Office Furnishings—1.1%     
  Interface, Inc.,     
4,625          9.50%, 2/1/14  Caa1/CCC 4,821,562   
5,625          10.375%, 2/1/10  B2/B- 6,180,469   
3,199   Tempur-Pedic, Inc., 10.25%, 8/15/10  B2/B 3,390,940   
 
    14,392,971   
 
  Oil & Gas—0.4%     
5,000   Seitel, Inc., 11.75%, 7/15/11  B3/NR 5,650,000   
 
 
  Paper Products—1.0%     
4,013   Buckeye Technologies, Inc., 9.25%, 9/15/08  Caa1/B 4,013,000   
8,750   NewPage Corp., 12.00%, 5/1/13  Caa2/CCC+ 9,362,500   
 
    13,375,500   
 
  Pharmaceuticals—0.7%     
9,310   Leiner Health Products, Inc., 11.00%, 6/1/12  Caa1/CCC+ 9,100,525   
 
 
  Pipelines—0.9%     
12,240   Sonat, Inc., 7.625%, 7/15/11  B2/B 12,469,500   
 
 
  Retail—4.1%     
12,160   Bon-Ton Stores, Inc., 10.25%, 3/15/14 (a)  B2/B- 11,369,600   
4,580   EPL Finance Corp., 11.75%, 11/15/13 (a)  Caa1/CCC+ 5,358,600   
4,210   GSC Holdings Corp., 8.00%, 10/1/12 (a)  Ba3/B+   4,188,950   
5,345   Mothers Work, Inc., 11.25%, 8/1/10  Caa1/B-   5,585,525   
8,290   Neiman-Marcus Group, Inc., 10.375%, 10/15/15 (a)  B3/B-   8,725,225   
10,000   R.H. Donnelley, Inc., 10.875%, 12/15/12  B2/B   11,000,000   
8,520   Star Gas Partners L.P., 10.25%, 2/15/13  Caa3/B-   8,860,800   
 
        55,088,700   
 

Nicholas-Applegate Convertible & Income Fund II Schedule of Investments 
May 31, 2006 (unaudited) 
Principal        
Amount     Credit Rating    
(000)     (Moody's/S&P) Value*   
  Semi-Conductors—1.0%     
  Amkor Technology, Inc.,     
$   2,305          9.25%, 6/1/16  Caa1/CCC+ $ 2,212,800   
11,010          10.50%, 5/1/09  Caa3/CCC 11,202,675   
 
    13,415,475   
 
  Telecommunications—2.0%     
6,305   Hawaiian Telcom Communications, Inc., 12.50%, 5/1/15, Ser. B  Caa1/CCC+ 6,754,231   
7,633   Level 3 Financing, Inc., 12.25%, 3/15/13 (a)  B3/CCC- 8,281,805   
10,380   Millicom International Cellular S.A., 10.00%, 12/1/13  B3/B- 11,625,600   
 
    26,661,636   
 
  Transportation—0.3%     
3,935   PHI, Inc., 7.125%, 4/15/13 (a)  B1/BB- 3,836,625   
 
 
  Total Corporate Bonds & Notes (cost-$548,070,479)  545,281,269   
 
 
CONVERTIBLE PREFERRED STOCK—28.0%     
Shares        
(000)         
       
  Automotive—0.6%     
209   Ford Motor Co., Capital Trust II, 6.50%, 1/15/32  B2/B- 6,070,984   
100   General Motors Corp., 6.25%, 7/15/33  B3/B 1,999,000   
 
    8,069,984   
 
  Banking—1.2%     
275   Washington Mutual Capital Trust, 5.375%, 5/3/41  Baa1/BBB 15,688,750   
 
 
  Commercial Services—1.6%     
436   United Rentals, Inc., 6.50%, 8/1/28  Caa2/B- 20,982,500   
 
 
  Electric—2.4%     
344   AES Trust III, 6.75%, 10/15/29  B3/B 16,152,360   
63   NRG Energy, Inc., 5.75%, 3/16/09  B3/CCC+ 15,954,750   
 
    32,107,110   
 
  Financial Services—8.0%     
220   Citigroup Funding, Inc., 5.02%, 9/27/08 (c)  Aa1/AA- 7,053,200   
395   E*Trade Financial Corp., 6.125%, 11/18/08  Ba3/NA 12,442,500   
  Lehman Brothers Holdings, Inc.,     
675          6.25%, 10/15/07  A1/A+ 18,090,000   
455          20.00%, 3/17/07  A1/A+ 14,400,750   
  Morgan Stanley,     
190          20.00%, 12/14/06  Aa3/A+ 13,312,350   
250          20.00%, 12/22/06  Aa3/A+ 14,223,972   
535          20.00%, 3/9/07  Aa3/A+ 13,431,175   
492          20.00%, 6/2/07  Aa3/A+ 14,913,091   
 
    107,867,038   
 
  Food—0.7%     
371   Albertson's, Inc., 7.25%, 5/16/07  B2/B 9,265,000   
 
 
  Insurance—5.2%     
408   Genworth Financial, Inc., 6.00%, 5/16/07  A2/A 14,800,400   
706   Metlife, Inc., 6.375%, 8/15/08  NR/BBB+ 19,535,295   
220   Platinum Underwriters Holdings Ltd., 6.00%, 2/15/09  NR/BB+ 6,077,500   
580   PMI Group, Inc., 5.875, 11/15/06  A1/A 15,080,000   
690   XL Capital Ltd., 6.50%, 5/15/07  A3/A- 14,697,000   
 
    70,190,195   
 
  Iron/Steel—0.7%     
43   U.S. Steel Corp., 7.00%, 6/15/06, Ser. B  NR/B 9,073,787   
 
  Office/Business Equipment—1.0%     
123   Xerox Corp., 6.25%, 7/1/06  B1/B+ 13,980,180   
 

Nicholas-Applegate Convertible & Income Fund II Schedule of Investments 
May 31, 2006 (unaudited) 
Shares     Credit Rating    
(000)     (Moody's/S&P) Value*   
  Oil & Gas—2.2%     
119   Amerada Hess Corp., 7.00%, 12/01/06  Ba3/BB 15,083,250   
138   Chesapeake Energy Corp., 5.00%, 12/31/49  NR/B $ 14,331,200   
 
    29,414,450   
 
  Pharmaceuticals—1.1%     
296   Schering-Plough Corp., 6.00%, 9/14/07  Baa3/BBB 14,900,028   
 
 
  Real Estate—1.1%     
606   FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A, REIT  B2/CCC+ 14,986,125   
 
 
  Telecommunications—1.2%     
285   Crown Castle International Corp., 6.25%, 8/15/12  NR/NR 15,532,500   
 
  Waste Disposal—1.0%     
40   Allied Waste Industries, Inc., 6.25%, 3/1/08  Caa3/B 13,061,300   
 
 
  Total Convertible Preferred Stock (cost-$366,608,480)  375,118,947   
 
 
CONVERTIBLE BONDS & NOTES—26.2%     
Principal        
Amount        
(000)        
       
  Airlines—1.2%     
$   16,300   Continental Airlines, Inc., 4.50%, 2/1/07  Caa2/CCC+ 16,055,500   
 
             
  Automotive—1.3%         
18,535   Sonic Automotive, Inc., 5.25%, 5/7/09 
B3/B
 
18,164,300 
 
       
 
             
  Commercial Services—3.3%     
10,125   Bowne & Co., Inc., 5.00%, 10/1/33  B2/B- 10,821,114   
11,000   Memberworks, Inc., 5.50%, 10/1/10  NR/B- 12,581,250   
3,000   Quanta Services, Inc., 4.00%, 7/1/07  NR/NR 2,962,500   
17,985   Quebecor World USA, Inc., 6.00%, 10/1/07  B2/B 17,760,188   
 
    44,125,052   
 
  Computers—1.2%     
14,400   Maxtor Corp., 6.80%, 4/30/10  B2/NR 15,984,000   
 
 
  Electric—1.2%     
5,425   PG&E Corp., 9.50%, 6/30/10  NR/NR 15,773,187   
 
 
  Electrical Components & Equipment—0.8%     
8,150   Artesyn Technologies, Inc., 5.50%, 8/15/10  NR/NR 11,158,165   
 
 
  Household Products—0.9%     
7,050   American Greetings Corp., 7.00%, 7/15/06  Ba3/NR 11,473,875   
 
 
  Insurance—0.2%     
2,150   American Equity Investment Life Holding Co., 5.25%, 12/6/24  NR/BB+ 2,531,625   
 
 
  Metals & Mining—0.9%     
6,725   Freeport-McMoRan Copper & Gold, Inc., 7.00%, 2/11/11  NR/B+ 12,567,344   
 
 
  Multi-Media—1.4%     
18,500   EchoStar Communications Corp., 5.75%, 5/15/08  B2/B 18,291,875   
 
 
  Oil & Gas—1.1%     
12,500   Devon Energy Corp., 4.95%, 8/15/08  Baa2/BBB 14,937,500   
 
 
  Pharmaceuticals—1.6%     
1,850   Ligand Pharmaceuticals, Inc., 6.00%, 11/16/07  NR/NR 3,279,125   
18,550   Sepracor, Inc., 5.00%, 2/15/07  NR/B- 18,503,625   
 
    21,782,750   
 


Nicholas-Applegate Convertible & Income Fund II Schedule of Investments 
May 31, 2006 (unaudited) 
Principal        
Amount     Credit Rating    
(000)     (Moody's/S&P) Value*   
  Semi-Conductors—2.4%     
  Amkor Technology, Inc.,     
$   14,300          5.00%, 3/15/07  Caa3/CCC $ 14,139,125   
3,000          5.75%, 6/1/06  NR/NR 3,000,000   
15,000   Fairchild Semiconductor Corp., 5.00%, 11/1/08  NR/B 14,850,000   
 
    31,989,125   
 
  Telecommunications—6.3%     
16,250   American Tower Corp., 5.00%, 2/15/10  B1/BB- 16,229,687   
13,600   CenturyTel, Inc., 4.75%, 8/1/32  Baa2/BBB 14,076,000   
2,800   Ciena Corp., 3.75%, 2/1/08  B2/B 2,702,000   
7,500   Level 3 Communications, Inc., 6.00%, 3/15/10  Ca/CCC- 6,215,625   
17,500   Lucent Technologies, Inc., 8.00%, 8/1/31  B3/CCC+ 17,696,875   
18,500   Nextel Communications, Inc., 5.25%, 1/15/10  Baa2/A- 18,291,875   
9,940   Nortel Networks Corp., 4.25%, 9/1/08  B3/B- 9,455,425   
 
    84,667,487   
 
  Transportation—0.8%     
8,100   YRC Worldwide, Inc., 5.00%, 8/8/23  Ba1/BBB- 10,418,625   
 
 
  Trucking/Leasing—1.6%     
15,900   GATX Corp., 7.50%, 2/1/07  Baa3/BBB 21,007,875   
 
 
  Total Convertible Bonds & Notes (cost-$352,278,005)  350,928,285   
 
 
U.S. GOVERNMENT SECURITIES—1.9%     
  United States Treasury Notes,     
9,215      10.375%, 11/15/12  9,897,850   
13,725      12.00%, 8/15/13  15,707,631   
 
  Total U.S. Government Securities (cost-$26,966,611)  25,605,481   
 
 
SHORT-TERM INVESTMENTS—3.2%     
  Corporate Bonds & Notes—1.4     
  Chemicals—0.3%     
4,435   Lyondell Chemical Co., 9.625%, 5/1/07, Ser. A  B1/BB- 4,562,506   
 
 
  Real Estate—0.2%     
2,285   Host Marriot L.P., 9.50%, 1/15/07, Ser. I, REIT  Ba2/BB- 2,327,844   
 
 
  Retail—0.9%     
11,460   Rite Aid Corp., 12.50%, 9/15/06  NR/B+ 11,631,900   
 
       
  Total Corporate Bonds & Notes (cost-$19,401,124)  18,552,250   
 
 
  Time Deposit—1.8%     
24,514   Bank of America – London, 4.36%, 6/1/06  24,513,793   
 
  Total Short-Term Investments (cost-$43,191,174)  43,036,043   
 
  Total Investments (cost-$1,337,114,749)—100.0%  $ 1,339,970,025   
 

 


Other Investments:

Interest rate cap agreement outstanding at May 31, 2006:

  Notional        
  Amount Termination    Payment received  Unrealized 
Counterparty  (000) Date  Premium  by Fund  Appreciation 
      1 month LIBOR-BBA   
UBS AG  $505,000 1/15/08  $14,468,250  over 3% strike price  $4,624,750 

LIBOR—London Interbank Offered Rate

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. The Fund’s investments are valued daily by an independent pricing service or dealer quotations, using the last sale price on the exchange that is the primary market for such securities, or the last quoted bid price on corporate bonds and notes or the last quoted mean price on convertible 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 maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. The prices used by the Fund to value securities may differ from the value that would be realized if the securities were sold. The Fund’s net asset values is determined daily as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“NYSE”) on each day the NYSE is open for business.
(a) 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) Credit-linked trust certificate.
(c) Variable rate security. Interest rate disclosed reflects the rate in effect on May 31, 2006.

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



Item 2. Controls and Procedures

(a) The registrant’s President and Chief Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended 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 or in factors that could affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

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 26, 2006

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

Date: July 26, 2006

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 dated indicated.

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

Date: July 26, 2006

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

Date: July 26, 2006