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UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 |
OMB APPROVAL |
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OMB Number: 3235-0578 |
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Expires: April 30, 2010 |
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Estimated average burden |
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hours per response: 10.5 |
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FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-21338 |
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Nicholas-Applegate Convertible & Income Fund II |
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(Exact name of registrant as specified in charter) |
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1345 Avenue of the Americas, New York, New York |
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10105 |
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(Address of principal executive offices) |
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(Zip code) |
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Lawrence G. Altadonna 1345 Avenue of the Americas, New York, New York 10105 |
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(Name and address of agent for service) |
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Registrant’s telephone number, including area code: |
212-739-3371 |
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Date of fiscal year end: |
February 28, 2010 |
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Date of reporting period: |
November 30, 2009 |
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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 respond 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, 100 F Street, NE, Washington, DC 20549-2001. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
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Nicholas-Applegate Convertible & Income Fund II Schedule of Investments |
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November 30, 2009 (unaudited) |
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Principal |
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Credit Rating |
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Value* |
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CORPORATE BONDS & NOTES — 47.5% |
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Advertising—1.0% |
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$ 6,940 |
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Affinion Group, Inc., 11.50%, 10/15/15 |
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Caa1/B- |
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$7,252,300 |
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Aerospace & Defense—0.8% |
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1,270 |
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BE Aerospace, Inc., 8.50%, 7/1/18 |
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Ba3/BB |
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1,317,625 |
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4,060 |
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DigitalGlobe, Inc., 10.50%, 5/1/14 (a) (b) |
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Ba3/BB |
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4,364,500 |
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5,682,125 |
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Apparel—1.1% |
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7,865 |
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Levi Strauss & Co., 9.75%, 1/15/15 |
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B2/B+ |
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8,277,912 |
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Auto Components—2.9% |
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8,265 |
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Exide Technologies, 10.50%, 3/15/13, Ser. B |
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B3/B- |
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8,265,000 |
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9,700 |
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Stoneridge, Inc., 11.50%, 5/1/12 |
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B3/B+ |
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9,312,000 |
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4,540 |
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Tenneco, Inc., 8.625%, 11/15/14 |
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Caa2/CCC |
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4,471,900 |
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22,048,900 |
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Banks—0.6% |
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5,044 |
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GMAC LLC, 6.75%, 12/1/14 (a) (b) |
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Ca/CCC |
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4,564,820 |
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Commercial Services & Supplies—2.6% |
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8,445 |
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Cenveo Corp., 7.875%, 12/1/13 |
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Caa1/B- |
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7,779,956 |
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10,040 |
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Hertz Corp., 10.50%, 1/1/16 |
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B3/CCC+ |
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10,491,800 |
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1,580 |
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Interface, Inc., 9.50%, 2/1/14 |
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B3/B- |
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1,574,075 |
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19,845,831 |
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Construction & Engineering—1.2% |
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9,240 |
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MasTec, Inc., 7.625%, 2/1/17 |
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B1/B+ |
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8,824,200 |
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Distribution/Wholesale—0.6% |
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3,980 |
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KAR Holdings, Inc., 8.75%, 5/1/14 |
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B3/CCC |
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4,198,900 |
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Diversified Financial Services—2.1% |
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Ford Motor Credit Co. LLC, |
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9,205 |
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7.00%, 10/1/13 |
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B3/B- |
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8,993,414 |
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6,220 |
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9.875%, 8/10/11 |
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B3/B- |
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6,457,635 |
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15,451,049 |
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Diversified Telecommunication—1.0% |
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7,850 |
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Cincinnati Bell, Inc., 8.375%, 1/15/14 |
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B2/B- |
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7,840,188 |
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Electric—0.6% |
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6,385 |
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Energy Future Holdings Corp., 10.875%, 11/1/17 |
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Caa3/B- |
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4,517,388 |
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Electrical Components & Equipment—0.8% |
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5,500 |
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Anixter, Inc., 10.00%, 3/15/14 |
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Ba2/BB+ |
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6,036,250 |
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Electrical Equipment—0.3% |
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2,570 |
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Baldor Electric Co., 8.625%, 2/15/17 |
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B3/B |
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2,634,250 |
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Entertainment—1.2% |
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8,700 |
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AMC Entertainment, Inc., 11.00%, 2/1/16 |
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Caa1/CCC+ |
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9,091,500 |
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Food & Staples Retailing—0.8% |
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7,090 |
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Rite Aid Corp., 8.625%, 3/1/15 |
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Caa3/CCC |
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5,902,425 |
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Health Care Providers & Services—4.6% |
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Alliance HealthCare Services, Inc., |
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2,325 |
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7.25%, 12/15/12 |
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B3/B |
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2,330,812 |
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4,310 |
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8.00%, 12/1/16 (a) (b) |
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B3/B |
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4,266,900 |
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10,755 |
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AMR Holdings Co., Inc., 10.00%, 2/15/15 |
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Ba3/B+ |
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11,346,525 |
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2,200 |
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Apria Healthcare Group, Inc., 11.25%, 11/1/14 (a) (b) |
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Ba2/BB+ |
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2,420,000 |
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5,985 |
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Hanger Orthopedic Group, Inc., 10.25%, 6/1/14 |
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B3/B- |
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6,374,025 |
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5,685 |
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HCA, Inc., 9.25%, 11/15/16 |
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B2/BB- |
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6,026,100 |
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2,435 |
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Health Net, Inc., 6.375%, 6/1/17 |
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Ba3/BB- |
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2,179,325 |
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34,943,687 |
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Home Builders—0.8% |
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6,100 |
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K Hovnanian Enterprises, Inc., 10.625%, 10/15/16 (a) (b) |
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B1/CCC+ |
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6,252,500 |
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Hotels Restaurants & Leisure—1.0% |
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7,195 |
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MGM Mirage, 11.375%, 3/1/18 (a) (b) |
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Caa2/CCC+ |
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6,241,663 |
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1,000 |
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Royal Caribbean Cruises Ltd., 11.875%, 7/15/15 |
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Ba3/BB- |
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1,125,000 |
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7,366,663 |
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Household Durables—0.6% |
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1,575 |
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DR Horton, Inc., 6.50%, 4/15/16 |
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Ba3/BB- |
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1,519,875 |
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2,890 |
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Jarden Corp., 7.50%, 5/1/17 |
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B3/B- |
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2,875,550 |
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4,395,425 |
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Independent Power Producers & Energy Traders—0.1% |
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1,140 |
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NRG Energy, Inc., 8.50%, 6/15/19 |
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B1/BB- |
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1,157,100 |
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Internet Software & Services—0.8% |
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5,500 |
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Terremark Worldwide, Inc., 12.00%, 6/15/17 (a) (b) |
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B2/B- |
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6,029,375 |
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IT Services—1.4% |
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2,505 |
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Stream Global Services, Inc., 11.25%, 10/1/14 (a) (b) |
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B1/B+ |
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2,498,738 |
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Unisys Corp. (a) (b), |
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4,057 |
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12.75%, 10/15/14 |
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Ba3/BB- |
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4,543,840 |
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2,975 |
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14.25%, 9/15/15 |
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Ba3/BB- |
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3,361,750 |
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10,404,328 |
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Leisure Time—2.0% |
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6,720 |
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NCL Corp., Ltd., 11.75%, 11/15/16 (a) (b) |
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B3/B+ |
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6,661,200 |
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8,145 |
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Travelport LLC, 11.875%, 9/1/16 |
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Caa1/CC |
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8,185,725 |
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14,846,925 |
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Lodging—0.3% |
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2,143 |
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Mandalay Resort Group, 1.042%, 3/21/33, FRN (e) (g) |
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Caa2/CCC+ |
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2,314,523 |
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Metals & Mining—0.6% |
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4,500 |
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Steel Dynamics, Inc., 7.375%, 11/1/12 |
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Ba2/BB+ |
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4,511,250 |
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Miscellaneous Manufacturing—2.1% |
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8,635 |
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Harland Clarke Holdings Corp., 9.50%, 5/15/15 |
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Caa1/B- |
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8,149,281 |
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7,790 |
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Polypore, Inc., 8.75%, 5/15/12 |
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B3/B- |
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7,731,575 |
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15,880,856 |
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Oil, Gas & Consumable Fuels—2.3% |
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4,740 |
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Chesapeake Energy Corp., 6.875%, 1/15/16 |
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Ba3/BB |
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4,574,100 |
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7,470 |
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OPTI Canada, Inc., 8.25%, 12/15/14 |
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Caa3/B |
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6,013,350 |
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6,250 |
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SandRidge Energy, Inc., 9.875%, 5/15/16 (a) (b) |
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B3/B- |
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6,437,500 |
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17,024,950 |
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Packaging & Containers—0.3% |
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2,580 |
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Berry Plastics Escrow LLC, 8.875%, 9/15/14 (a) (b) |
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Caa1/CCC |
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2,367,150 |
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Paper & Forest Products—2.2% |
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1,509 |
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Louisiana-Pacific Corp., 13.00%, 3/15/17 (a) (b) |
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Ba3/BBB- |
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1,614,630 |
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10,030 |
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Neenah Paper, Inc., 7.375%, 11/15/14 |
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B2/B+ |
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8,876,550 |
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NewPage Corp., |
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1,000 |
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11.375%, 12/31/14 (a) (b) |
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B2/CCC+ |
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990,000 |
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11,055 |
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12.00%, 5/1/13 |
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Caa3/CCC- |
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5,237,306 |
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16,718,486 |
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Pipelines—1.0% |
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8,900 |
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Dynegy Holdings, Inc., 7.75%, 6/1/19 |
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B3/B |
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7,320,250 |
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Real Estate—0.3% |
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1,750 |
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CB Richard Ellis Services, Inc., 11.625%, 6/15/17 |
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Ba3/B+ |
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1,942,500 |
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Retail—1.4% |
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2,125 |
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El Pollo Loco, Inc., 11.75%, 11/15/13 |
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Caa2/CCC |
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1,923,125 |
|
1,430 |
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GameStop Corp., 8.00%, 10/1/12 |
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Ba1/BB+ |
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1,478,262 |
|
6,665 |
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Neiman Marcus Group, Inc., 10.375%, 10/15/15 |
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Caa3/CCC+ |
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|
6,048,488 |
|
885 |
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Sally Holdings LLC, 10.50%, 11/15/16 |
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Caa1/B- |
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|
951,375 |
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10,401,250 |
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Semiconductors & Semiconductor Equipment—0.9% |
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|
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6,570 |
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Amkor Technology, Inc., 9.25%, 6/1/16 |
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B2/B+ |
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|
6,799,950 |
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Software—1.0% |
|
|
|
|
|
|
8,105 |
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First Data Corp., 9.875%, 9/24/15 |
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Caa1/B- |
|
|
7,253,975 |
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|
|
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Telecommunications—3.7% |
|
|
|
|
|
|
3,150 |
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Centennial Cellular Operating Co., 10.125%, 6/15/13 |
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WR/A |
|
|
3,260,250 |
|
11,640 |
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Hawaiian Telcom Communications, Inc., 12.50%, 5/1/15, Ser. B (f) |
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WR/NR |
|
|
1,164 |
|
6,300 |
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Hughes Network Systems LLC, 9.50%, 4/15/14 |
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B1/B |
|
|
6,394,500 |
|
5,155 |
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Intelsat Jackson Holdings Ltd., 9.50%, 6/15/16 |
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B3/B+ |
|
|
5,419,194 |
|
6,130 |
|
Nextel Communications, Inc., 7.375%, 8/1/15 |
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Ba2/BB |
|
|
5,700,900 |
|
4,615 |
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Sprint Capital Corp., 8.75%, 3/15/32 |
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Ba3/BB |
|
|
3,974,669 |
|
2,770 |
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West Corp., 11.00%, 10/15/16 |
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Caa1/B- |
|
|
2,804,625 |
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|
|
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||
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|
|
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27,555,302 |
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Textiles Apparel & Luxury Goods—0.6% |
|
|
|
|
|
|
4,535 |
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Oxford Industries, Inc., 11.375%, 7/15/15 |
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B1/BB- |
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4,965,825 |
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|
|
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Wireless Telecommunication Services—1.9% |
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|
|
|
|
|
3,320 |
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Crown Castle International Corp., 9.00%, 1/15/15 |
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B1/B+ |
|
|
3,527,500 |
|
10,160 |
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Millicom International Cellular S.A., 10.00%, 12/1/13 |
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B1/NR |
|
|
10,528,300 |
|
|
|
|
|
|
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||
|
|
|
|
|
|
|
|
14,055,800 |
|
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|
Total Corporate Bonds & Notes (cost-$364,156,948) |
|
|
|
|
356,676,108 |
|
|
|
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|
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|
||
|
|
|
Nicholas-Applegate Convertible & Income Fund II Schedule of Investments |
|
November 30, 2009 (unaudited) |
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
Credit Rating |
|
Value* |
|
|
CONVERTIBLE BONDS & NOTES — 29.8% |
|||||||
|
|
|
Aerospace & Defense—0.7% |
|
|
|
|
|
|
$ 5,975 |
|
Orbital Sciences Corp., 2.438%, 1/15/27 |
|
NR/BB- |
|
|
$5,205,719 |
|
|
|
|
|
|
|
||
|
|
|
Banks—0.8% |
|
|
|
|
|
|
6,195 |
|
National City Corp., 4.00%, 2/1/11 |
|
A3/A |
|
|
6,272,437 |
|
|
|
|
|
|
|
||
|
|
|
Commercial Services & Supplies—1.1% |
|
|
|
|
|
|
1,715 |
|
Bowne & Co., Inc., 6.00%, 10/1/33 (c) |
|
B3/CCC+ |
|
|
1,642,113 |
|
6,855 |
|
Covanta Holding Corp., 1.00%, 2/1/27 |
|
Ba3/B |
|
|
6,323,738 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
7,965,851 |
|
|
|
|
|
|
|
||
|
|
|
Computers—1.0% |
|
|
|
|
|
|
6,895 |
|
Maxtor Corp., 2.375%, 8/15/12 |
|
NR/B |
|
|
7,377,650 |
|
|
|
|
|
|
|
||
|
|
|
Diversified Telecommunication Services—1.3% |
|
|
|
|
|
|
5,415 |
|
QWest Communications International, 3.50%, 11/15/25 |
|
B1/B+ |
|
|
5,435,306 |
|
4,405 |
|
TW Telecom, Inc., 2.375%, 4/1/26 |
|
B3/B- |
|
|
4,471,075 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
9,906,381 |
|
|
|
|
|
|
|
||
|
|
|
Electrical Equipment—2.8% |
|
|
|
|
|
|
7,555 |
|
EnerSys, 3.375%, 6/1/38 (c) |
|
B2/BB |
|
|
6,705,063 |
|
7,110 |
|
General Cable Corp., 0.875%, 11/15/13 |
|
B1/B+ |
|
|
6,176,812 |
|
10,875 |
|
JA Solar Holdings Co., Ltd., 4.50%, 5/15/13 |
|
NR/NR |
|
|
8,101,875 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
20,983,750 |
|
|
|
|
|
|
|
||
|
|
|
Electronic Equipment, Instruments & Components—0.8% |
|
|
|
|
|
|
6,490 |
|
Anixter International, Inc., 1.00%, 2/15/13 |
|
NR/BB- |
|
|
6,019,475 |
|
|
|
|
|
|
|
||
|
|
|
Energy Equipment & Services—0.6% |
|
|
|
|
|
|
4,835 |
|
Hornbeck Offshore Services, Inc., 1.625%, 11/15/26 (c) |
|
NR/BB- |
|
|
4,085,575 |
|
|
|
|
|
|
|
||
|
|
|
Entertainment—0.8% |
|
|
|
|
|
|
5,175 |
|
Macrovision Corp., 2.625%, 8/15/11 |
|
NR/B |
|
|
6,190,594 |
|
|
|
|
|
|
|
||
|
|
|
Health Care Equipment & Supplies—0.6% |
|
|
|
|
|
|
3,795 |
|
Inverness Medical Innovations, Inc., 3.00%, 5/15/16 |
|
NR/B- |
|
|
4,359,506 |
|
|
|
|
|
|
|
||
|
|
|
Health Care Providers & Services—0.8% |
|
|
|
|
|
|
7,830 |
|
Omnicare, Inc., 3.25%, 12/15/35, Ser. OCR |
|
B3/B+ |
|
|
6,322,725 |
|
|
|
|
|
|
|
||
|
|
|
Internet Software & Services—1.2% |
|
|
|
|
|
|
6,130 |
|
Equinix, Inc., 2.50%, 4/15/12 |
|
NR/B- |
|
|
6,513,125 |
|
2,845 |
|
VeriSign, Inc., 3.25%, 8/15/37 |
|
NR/NR |
|
|
2,382,687 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
8,895,812 |
|
|
|
|
|
|
|
||
|
|
|
IT Services—0.9% |
|
|
|
|
|
|
7,075 |
|
Alliance Data Systems Corp., 1.75%, 8/1/13 |
|
NR/NR |
|
|
6,960,031 |
|
|
|
|
|
|
|
||
|
|
|
Life Sciences Tools & Services—0.6% |
|
|
|
|
|
|
4,100 |
|
Life Technologies Corp., 3.25%, 6/15/25 |
|
NR/BB+ |
|
|
4,797,000 |
|
|
|
|
|
|
|
||
|
|
|
Machinery—0.9% |
|
|
|
|
|
|
6,830 |
|
AGCO Corp., 1.25%, 12/15/36 |
|
NR/BB |
|
|
6,684,863 |
|
|
|
|
|
|
|
||
|
|
|
Media—2.5% |
|
|
|
|
|
|
5,920 |
|
Interpublic Group of Cos, Inc., 4.25%, 3/15/23 |
|
Ba3/B+ |
|
|
5,786,800 |
|
6,420 |
|
Liberty Media LLC, 3.125%, 3/30/23 |
|
B1/BB- |
|
|
6,444,075 |
|
6,920 |
|
Regal Entertainment Group, 6.25%, 3/15/11 (a) (b) |
|
NR/NR |
|
|
6,928,650 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
19,159,525 |
|
|
|
|
|
|
|
||
|
|
|
Metals & Mining—0.1% |
|
|
|
|
|
|
880 |
|
Steel Dynamics, Inc., 5.125%, 6/15/14 |
|
NR/BB+ |
|
|
1,080,200 |
|
|
|
|
|
|
|
||
|
|
|
Oil, Gas & Consumable Fuels—2.5% |
|
|
|
|
|
|
6,900 |
|
Nabors Industries, Inc., 0.94%, 5/15/11 |
|
NR/BBB+ |
|
|
6,779,250 |
|
6,325 |
|
Peabody Energy Corp., 4.75%, 12/15/41 |
|
Ba3/B+ |
|
|
6,230,125 |
|
6,070 |
|
Transocean, Inc., 1.625%, 12/15/37 |
|
Baa2/BBB+ |
|
|
6,009,300 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
19,018,675 |
|
|
|
|
|
|
|
||
|
|
|
Pharmaceuticals—0.8% |
|
|
|
|
|
|
5,595 |
|
Mylan, Inc., 1.25%, 3/15/12 |
|
NR/BB- |
|
|
5,727,881 |
|
|
|
|
|
|
|
||
|
|
|
Real Estate Investment Trusts (REITs)—4.9% |
|
|
|
|
|
|
4,550 |
|
Boston Properties LP, 3.75%, 5/15/36 |
|
NR/A- |
|
|
4,703,562 |
|
7,275 |
|
Developers Diversified Realty Corp., 3.00%, 3/15/12 |
|
NR/BB |
|
|
6,683,906 |
|
5,435 |
|
Digital Realty Trust LP, 5.50%, 4/15/29 (a) (b) |
|
NR/NR |
|
|
6,990,769 |
|
5,480 |
|
Health Care REIT, Inc., 4.75%, 12/1/26 |
|
Baa2/BBB- |
|
|
6,110,200 |
|
6,065 |
|
ProLogis, 2.25%, 4/1/37 |
|
NR/BBB- |
|
|
5,632,869 |
|
6,540 |
|
Vornado Realty Trust, 3.625%, 11/15/26 |
|
Baa2/BBB |
|
|
6,572,700 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
36,694,006 |
|
|
|
|
|
|
|
||
|
|
|
Semiconductors & Semiconductor Equipment—2.7% |
|
|
|
|
|
|
12,500 |
|
Advanced Micro Devices, Inc., 5.75%, 8/15/12 |
|
NR/B- |
|
|
12,296,875 |
|
2,015 |
|
Micron Technology, Inc., 4.25%, 10/15/13 |
|
NR/NR |
|
|
3,324,750 |
|
4,790 |
|
ON Semiconductor Corp., zero coupon, 4/15/24 |
|
NR/B+ |
|
|
4,843,887 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
20,465,512 |
|
|
|
|
|
|
|
||
|
|
|
Software—0.8% |
|
|
|
|
|
|
5,285 |
|
Nuance Communications, Inc., 2.75%, 8/15/27 |
|
NR/B- |
|
|
5,727,619 |
|
|
|
|
|
|
|
||
|
|
|
Textiles, Apparel & Luxury Goods—0.6% |
|
|
|
|
|
|
4,880 |
|
Iconix Brand Group, Inc., 1.875%, 6/30/12 |
|
B2/B |
|
|
4,276,100 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Bonds & Notes (cost-$188,913,229) |
|
|
|
|
224,176,887 |
|
|
|
|
|
|
|
||
|
|
|
Nicholas-Applegate Convertible & Income Fund II Schedule of Investments |
|
November 30, 2009 (unaudited) |
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
Credit Rating |
|
Value* |
|
|
CONVERTIBLE PREFERRED STOCK — 20.8% |
|||||||
|
|
|
Capital Markets—0.6% |
|
|
|
|
|
|
|
|
Lehman Brothers Holdings, Inc. (d) (e) (f), |
|
|
|
|
|
|
802 |
|
6.00%, 10/12/10, Ser. GIS (General Mills, Inc.) |
|
WR/NR |
|
|
$2,580,029 |
|
123 |
|
28.00%, 3/6/09, Ser. RIG (Transocean, Inc.) |
|
WR/NR |
|
|
1,672,561 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
4,252,590 |
|
|
|
|
|
|
|
||
|
|
|
Chemicals—0.5% |
|
|
|
|
|
|
102 |
|
Celanese Corp., 4.25%, 12/31/49 |
|
NR/NR |
|
|
3,866,634 |
|
|
|
|
|
|
|
||
|
|
|
Commercial Banks—1.8% |
|
|
|
|
|
|
33 |
|
Fifth Third Bancorp, 8.50%, 12/31/49, Ser. G |
|
Baa3/BB |
|
|
4,023,360 |
|
10 |
|
Wells Fargo & Co., 7.50%, 12/31/49, Ser. L |
|
Ba1/A- |
|
|
9,232,200 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
13,255,560 |
|
|
|
|
|
|
|
||
|
|
|
Commercial Services & Supplies—1.0% |
|
|
|
|
|
|
133 |
|
Avery Dennison Corp., 7.875%, 11/15/20 |
|
NR/BB+ |
|
|
5,434,380 |
|
79 |
|
United Rentals, Inc., 6.50%, 8/1/28 |
|
Caa2/CCC |
|
|
2,313,195 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
7,747,575 |
|
|
|
|
|
|
|
||
|
|
|
Consumer Finance—0.9% |
|
|
|
|
|
|
11 |
|
SLM Corp., 7.25%, 12/15/10 |
|
Ba3/BB- |
|
|
6,855,400 |
|
|
|
|
|
|
|
||
|
|
|
Diversified Financial Services—3.1% |
|
|
|
|
|
|
11 |
|
Bank of America Corp., 7.25%, 12/31/49, Ser. L |
|
Ba3/B |
|
|
9,488,325 |
|
|
|
Credit Suisse Securities USA LLC, |
|
|
|
|
|
|
287 |
|
10.00%, 9/1/10 |
|
Aa2/A- |
|
|
6,672,942 |
|
210 |
|
10.00%, 9/9/10 |
|
Aa2/A- |
|
|
6,958,259 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
23,119,526 |
|
|
|
|
|
|
|
||
|
|
|
Electric—1.1% |
|
|
|
|
|
|
187 |
|
AES Trust III, 6.75%, 10/15/29 |
|
B3/B |
|
|
8,516,464 |
|
|
|
|
|
|
|
||
|
|
|
Food Products—1.8% |
|
|
|
|
|
|
148 |
|
Archer-Daniels-Midland Co., 6.25%, 6/1/11 |
|
NR/BBB+ |
|
|
6,295,335 |
|
|
|
Bunge Ltd., |
|
|
|
|
|
|
70 |
|
4.875%, 12/31/49 |
|
Ba1/BB |
|
|
6,014,212 |
|
2 |
|
5.125%, 12/1/10 |
|
NR/BB |
|
|
1,049,750 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
13,359,297 |
|
|
|
|
|
|
|
||
|
|
|
Housewares—1.0% |
|
|
|
|
|
|
201 |
|
Newell Financial Trust I, 5.25%, 12/1/27 |
|
WR/BB |
|
|
7,356,131 |
|
|
|
|
|
|
|
||
|
|
|
Insurance—1.4% |
|
|
|
|
|
|
38 |
|
Assured Guaranty Ltd., 8.50%, 6/1/12 |
|
NR/NR |
|
|
3,558,116 |
|
261 |
|
XL Capital Ltd., 10.75%, 8/15/11 |
|
Baa2/BBB- |
|
|
7,346,526 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
10,904,642 |
|
|
|
|
|
|
|
||
|
|
|
Machinery—1.1% |
|
|
|
|
|
|
10 |
|
Stanley Works, 5.125%, 5/17/12, FRN |
|
A3/BBB+ |
|
|
8,222,400 |
|
|
|
|
|
|
|
||
|
|
|
Media—0.3% |
|
|
|
|
|
|
3 |
|
Interpublic Group of Cos, 5.25%, 12/31/49 |
|
NR/CCC+ |
|
|
2,245,789 |
|
|
|
|
|
|
|
||
|
|
|
Metals & Mining—1.1% |
|
|
|
|
|
|
72 |
|
Freeport-McMoRan Copper & Gold, Inc., 6.75%, 5/1/10 |
|
NR/BB |
|
|
8,534,694 |
|
|
|
|
|
|
|
||
|
|
|
Oil, Gas & Consumable Fuels—1.6% |
|
|
|
|
|
|
35 |
|
ATP Oil & Gas Corp., 8.00%, 12/31/49 (a) (b) (g) |
|
NR/NR |
|
|
3,345,600 |
|
93 |
|
Chesapeake Energy Corp., 5.00%, 12/31/49 |
|
NR/B |
|
|
7,654,700 |
|
6 |
|
Whiting Petroleum Corp., 6.25%, 12/31/49 |
|
NR/B |
|
|
955,298 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
11,955,598 |
|
|
|
|
|
|
|
||
|
|
|
Pharmaceuticals—1.1% |
|
|
|
|
|
|
21 |
|
Merck & Co., Inc., 6.00%, 8/13/10 |
|
A2/A- |
|
|
5,313,967 |
|
2 |
|
Mylan, Inc., 6.50%, 11/15/10 |
|
NR/B |
|
|
2,669,304 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
7,983,271 |
|
|
|
|
|
|
|
||
|
|
|
Real Estate Investment Trusts (REITs)—2.4% |
|
|
|
|
|
|
395 |
|
Alexandria Real Estate Equities, Inc., 7.00%, 12/31/49 |
|
NR/NR |
|
|
7,939,568 |
|
246 |
|
FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A |
|
Caa3/C |
|
|
2,645,346 |
|
118 |
|
Simon Property Group, Inc., 6.00%, 12/31/49, Ser. I |
|
Baa1/BBB |
|
|
7,361,063 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
17,945,977 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Preferred Stock (cost-$177,887,089) |
|
|
|
|
156,121,548 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
|
|
COMMON STOCK — 0.1% |
|
|
|
|
|
||
|
|
|
IT Services—0.1% |
|
|
|
|
|
|
34 |
|
Unisys Corp. (cost-$542,394) (g) |
|
|
|
|
1,097,478 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS — 1.8% |
|||||||
|
|
|
Time Deposit—1.8% |
|
|
|
|
|
|
$ 13,560 |
|
Citibank- London, 0.03%, 12/1/09 (cost-$13,560,235) |
|
|
|
|
13,560,235 |
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments (cost-$745,059,895)—100.0% |
|
|
|
|
$751,632,256 |
|
|
|
|
|
|
|
||
|
|
|
Nicholas-Applegate Convertible & Income Fund II Schedule of Investments |
|
November 30, 2009 (unaudited) |
Notes to Schedule of Investments:
|
|
|
|
|
|
* |
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services. |
|
|
|
|
|
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Portfolio securities and other financial instruments for which market quotations are not readily available or for which a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to procedures established by the Board of Trustees or persons acting at their discretion pursuant to procedures established by the Board of Trustees. The Fund’s investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using 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. Synthetic convertible securities are valued based on quotations obtained from unaffiliated brokers who are the principal market-makers in such securities. Such valuations are derived by the brokers from proprietary models which are generally based on readily available market information including valuations of the common stock underlying the synthetic security, and the volatility observed in the market on such common stocks. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days 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 and these differences could be material. 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. |
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(a) |
144A—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. |
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(b) |
Private Placement—Restricted as to resale and may not have a readily available market. Securities with an aggregate market value of $79,879,585, representing 10.6% of total investments. |
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(c) |
Step Bond—Coupon is a fixed rate for an initial period then resets at a specific date and rate. |
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(d) |
Securities exchangeable or convertible into securities of an entity different than the issuer or structured by the issuer to provide exposure to securities of an entity different than the issuer. Such entity is identified in the parenthetical. |
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(e) |
Fair-Valued—Securities with an aggregate value of $6,567,113, representing 0.9% of total investments. |
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(f) |
In default. |
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(g) |
Non-income producing. |
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Glossary: |
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FRN — Floating Rate Note. The interest rate disclosed reflects the rate in effect on November 30, 2009. |
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NR — Not Rated |
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WR — Withdrawn rating |
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Nicholas-Applegate Convertible & Income Fund II Schedule of Investments |
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November 30, 2009 (unaudited) |
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Fair Value Measurements |
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Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below: |
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• Level 1 — quoted prices in active markets for identical investments that the Fund has the ability to access |
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• Level 2 — valuations
based on other significant observable inputs (including quoted prices for
similar investments, interest
rates, prepayment speeds, credit risk, etc.) |
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• Level 3 — valuations based on significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in the aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used.
The valuation techniques used by the Fund to measure fair value during the nine months ended November 30, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs. When fair-valuing securities, the Fund utilized multi-dimensional relational pricing models.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
A summary of the inputs used at November 30, 2009 in valuing the Fund’s assets and liabilities is listed below:
| Level 1- Quoted Prices |
Level 2- Other Significant Observable Inputs |
Level 3- Significant Observable Inputs |
Value at 11/30/09 |
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| Investments in Securities - Assets | |||||||||||
| Common Stock | $ | 1,097,478 | – | – | $ | 1,097,478 | |||||
| Convertible Bonds & Notes | – | $ | 224,176,887 | – | 224,176,887 | ||||||
| Convertible Preferred Stock: | |||||||||||
| Capital Markets | – | – | $ | 4,252,590 | 4,252,590 | ||||||
| Diversified Financial Services | 9,488,325 | 13,631,201 | – | 23,119,526 | |||||||
| All Other | 128,749,432 | – | – | 128,749,432 | |||||||
| Corporate Bonds & Notes: | |||||||||||
| Lodging | – | – | 2,314,523 | 2,314,523 | |||||||
| All Other | – | 354,361,585 | – | 354,361,585 | |||||||
| Short-Term Investments | – | 13,560,235 | – | 13,560,235 | |||||||
| Total Investments in Securities - Assets | $ | 139,335,235 | $ | 605,729,908 | $ | 6,567,113 | $ | 751,632,256 | |||
A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended November 30, 2009, was as follows:
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Beginning Balance 2/28/09 |
Net Purchases (Sales) and Settlements |
Accrued Discounts |
Total Realized Gain (Loss) |
Total Change in Unrealized Appreciation/ Depreciation |
Transfers in and/or out of Level 3 |
Ending Balance 11/30/09 |
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| Investments in Securities - Assets | |||||||||||||
| Convertible Bonds & Notes: | |||||||||||||
| Retail | $12,894,124 | ($17,785,000 | ) | $17,013 | – | $4,873,863 | – | – | |||||
| Convertible Preferred Stock: | |||||||||||||
| Capital Markets | 4,252,590 | – | – | – | – | – | $4,252,590 | ||||||
| Corporate Bonds & Notes: | |||||||||||||
| Lodging | 2,314,523 | – | – | – | – | – | 2,314,523 | ||||||
| Total Investments in Securities - Assets | $19,461,237 | ($17,785,000 | ) | $17,013 | – | $4,873,863 | – | $6,567,113 |
There was no change in unrealized appreciation/depreciation of investments, which the Fund held at November 30, 2009.
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))), 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 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
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(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
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By /s/ Brian S. Shlissel |
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President & Chief Executive Officer |
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Date: January 19, 2010 |
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By /s/ Lawrence G. Altadonna |
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Treasurer, Principal Financial & Accounting Officer |
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Date: January 19, 2010 |
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.
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By /s/ Brian S. Shlissel |
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President & Chief Executive Officer |
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Date: January 19, 2010 |
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By /s/ Lawrence G. Altadonna |
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Treasurer, Principal Financial & Accounting Officer |
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Date: January 19, 2010 |