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

 

 

AGIC Convertible & Income Fund II

(Registrant Name)

 

 

1633 Broadway, New York, NY 10019

(Address of Principal Executive Offices) (Zip code)

 

 

Lawrence G. Altadonna – 1633 Broadway, New York, NY 10019

(Name and Address of Agent for Service)

 

 

212-739-3371

Registrant’s telephone number, including area code:

Date of Fiscal Year End: February 29, 2012

Date of Reporting Period: November 30, 2011

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.

 

 

 

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Item 1.

Schedule of Investments

AGIC Convertible & Income Fund II Schedule of Investments

November 30, 2011 (unaudited)

 

		Principal Amount (000s)				Value*
CORPORATE BONDS & NOTES—46.7%
				Advertising—0.8%
		$6,335		Affinion Group, Inc., 11.50%, 10/15/15		$	5,543,125
				Aerospace & Defense—0.1%
		620		BE Aerospace, Inc., 8.50%, 7/1/18			672,700
				Airlines—0.7%
		4,750		United Airlines, Inc., 12.00%, 11/1/13 (a)(b)			4,928,125
				Apparel—0.1%
		750		Quiksilver, Inc., 6.875%, 4/15/15			701,250
				Auto Manufacturers—0.7%
		5,590		Chrysler Group LLC, 8.25%, 6/15/21 (a)(b)(c)			4,844,853
				Chemicals—0.6%
		6,330		Momentive Performance Materials, Inc., 11.50%, 12/1/16			4,557,600
				Commercial Services—2.8%
		8,255		Cenveo Corp., 10.50%, 8/15/16 (a)(b)			7,016,750
		4,295		DynCorp International, Inc., 10.375%, 7/1/17			3,758,125
		8,250		National Money Mart Co., 10.375%, 12/15/16			8,806,875
							19,581,750
				Construction & Engineering—1.2%
		8,380		MasTec, Inc., 7.625%, 2/1/17			8,767,575
				Consumer Finance—0.4%
		4,110		Springleaf Finance Corp., 6.90%, 12/15/17			2,784,525
				Diversified Consumer Services—0.4%
		3,100		Cambium Learning Group, Inc., 9.75%, 2/15/17			3,115,500
				Diversified Financial Services—1.5%
		7,465		Community Choice Financial, Inc., 10.75%, 5/1/19 (a)(b)			7,371,687
		3,005		International Lease Finance Corp., 6.375%, 3/25/13			2,989,975
							10,361,662
				Diversified Telecommunications—1.0%
		7,705		Cincinnati Bell, Inc., 8.75%, 3/15/18			6,895,975
				Electric—1.3%
		6,780		Edison Mission Energy, 7.00%, 5/15/17			4,288,350
		8,200		Texas Competitive Electric Holdings Co. LLC, 15.00%, 4/1/21			4,879,000
							9,167,350
				Electronic Equipment, Instruments & Components—1.0%
		6,815		Kemet Corp., 10.50%, 5/1/18			7,206,863
				Energy Equipment & Services—1.2%
		8,005		Pioneer Drilling Co., 9.875%, 3/15/18			8,295,181
				Food & Staples Retailing—0.9%
		7,090		Rite Aid Corp., 8.625%, 3/1/15			6,629,150
				Health Care Providers & Services—1.5%
		5,335		ExamWorks Group, Inc., 9.00%, 7/15/19 (a)(b)			4,788,163
		7,590		Rotech Healthcare, Inc., 10.50%, 3/15/18			5,882,250
							10,670,413
				Healthcare-Services—0.4%
		4,435		Alliance HealthCare Services, Inc., 8.00%, 12/1/16			3,037,975
				Home Builders—0.8%
				K Hovnanian Enterprises, Inc.,
		5,575		2.00%, 11/1/21 (a)(b)			2,369,375
		4,340		10.625%, 10/15/16			3,461,150
							5,830,525
				Hotels, Restaurants & Leisure—1.7%
		4,730		DineEquity, Inc., 9.50%, 10/30/18			4,919,200
		6,395		MGM Resorts International, 11.375%, 3/1/18			6,922,587
							11,841,787
				Household Durables—0.6%
		3,920		Beazer Homes USA, Inc., 9.125%, 5/15/19			2,577,400
		1,390		Jarden Corp., 7.50%, 5/1/17			1,480,350
							4,057,750
				Household Products/Wares—0.7%
		5,725		Reynolds Group Issuer, Inc., 9.875%, 8/15/19 (a)(b)			5,267,000
				Internet Software & Services—0.9%
		6,840		Earthlink, Inc., 8.875%, 5/15/19			6,498,000

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AGIC Convertible & Income Fund II Schedule of Investments

November 30, 2011 (unaudited)

 

		Principal Amount (000s)				Value*
				IT Services—1.0%
		$1,985		Stream Global Services, Inc., 11.25%, 10/1/14		$	2,034,625
				Unisys Corp., (a)(b)
		2,705		12.75%, 10/15/14			3,073,556
		1,931		14.25%, 9/15/15			2,194,099
							7,302,280
				Leisure Time—1.7%
				NCL Corp. Ltd.,
		810		9.50%, 11/15/18			858,600
		7,320		11.75%, 11/15/16			8,491,200
		8,145		Travelport LLC, 11.875%, 9/1/16			2,687,850
							12,037,650
				Lodging—1.0%
		9,455		Caesars Entertainment Operating Co., Inc., 12.75%, 4/15/18			7,067,612
				Media—1.6%
		4,525		McClatchy Co., 11.50%, 2/15/17			4,219,563
		5,100		Media General, Inc., 11.75%, 2/15/17			4,768,500
		1,945		Sirius XM Radio, Inc., 8.75%, 4/1/15 (a)(b)			2,120,050
							11,108,113
				Metals & Mining—0.5%
		3,975		Thompson Creek Metals Co., Inc., 7.375%, 6/1/18 (a)(b)			3,358,875
				Miscellaneous Manufacturing—0.8%
		7,715		Harland Clarke Holdings Corp., 9.50%, 5/15/15			5,747,675
				Oil & Gas—2.4%
		7,000		Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17			7,210,000
		5,220		Milagro Oil & Gas, 10.50%, 5/15/16 (a)(b)			3,732,300
		5,990		United Refining Co., 10.50%, 2/28/18			5,675,525
							16,617,825
				Oil & Gas Services—0.0%
		219		Allis-Chalmers Energy, Inc., 9.00%, 1/15/14			217,905
				Oil, Gas & Consumable Fuels—1.7%
		6,250		SandRidge Energy, Inc., 9.875%, 5/15/16 (a)(b)			6,468,750
		4,740		Western Refining, Inc., 11.25%, 6/15/17 (a)(b)			5,296,950
							11,765,700
				Paper & Forest Products—0.2%
		1,509		Louisiana-Pacific Corp., 13.00%, 3/15/17			1,493,910
				Personal Products—0.1%
		500		Revlon Consumer Products Corp., 9.75%, 11/15/15			535,000
				Retail—1.5%
		9,165		Neiman Marcus Group, Inc., 10.375%, 10/15/15			9,527,751
		885		Sally Holdings LLC, 10.50%, 11/15/16			933,684
							10,461,435
				Semiconductors & Semiconductor Equipment—1.5%
		2,705		Advanced Micro Devices, Inc., 8.125%, 12/15/17			2,765,863
				Freescale Semiconductor, Inc.,
		3,806		10.125%, 3/15/18 (a)(b)			4,053,390
		3,360		10.75%, 8/1/20			3,460,800
							10,280,053
				Software—1.1%
				First Data Corp.,
		6,905		9.875%, 9/24/15			6,300,813
		2,150		12.625%, 1/15/21 (a)(b)			1,784,500
							8,085,313
				Specialty Retail—0.4%
		3,140		Brown Shoe Co., Inc., 7.125%, 5/15/19			2,967,300
				Telecommunications—5.8%
		4,505		Intelsat Jackson Holdings S.A., 9.50%, 6/15/16			4,707,725
		6,835		ITC Deltacom, Inc., 10.50%, 4/1/16			7,082,769
		6,130		Nextel Communications, Inc., 7.375%, 8/1/15			5,425,050
		3,860		NII Capital Corp., 8.875%, 12/15/19			4,110,900
		8,370		West Corp., 11.00%, 10/15/16			8,861,737
		10,275		WireCo WorldGroup, 9.75%, 5/15/17 (a)(b)			10,531,875
							40,720,056
				Textiles, Apparel & Luxury Goods—0.8%
		750		Liz Claiborne, Inc., 10.50%, 4/15/19 (a)(b)			798,750
		4,535		Oxford Industries, Inc., 11.375%, 7/15/15			4,988,500
							5,787,250
				Trading Companies & Distributors—0.3%
		2,145		Aircastle Ltd., 9.75%, 8/1/18			2,252,250

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AGIC Convertible & Income Fund II Schedule of Investments

November 30, 2011 (unaudited)

 

		Principal Amount (000s)				Value*
				Transportation—2.3%
		$7,175		Quality Distribution LLC, 9.875%, 11/1/18		$	7,228,812
		6,590		Swift Services Holdings, Inc., 10.00%, 11/15/18			6,886,550
		6,430		Western Express, Inc., 12.50%, 4/15/15 (a)(b)			2,411,250
							16,526,612
				Wireless Telecommunication Services—0.7%
		4,820		Crown Castle International Corp., 9.00%, 1/15/15			5,265,850
				Total Corporate Bonds & Notes (cost-$355,777,736)			330,855,298
		Shares
CONVERTIBLE PREFERRED STOCK—28.5%
				Airlines—0.9%
		239,795		Continental Airlines Finance Trust II, 6.00%, 11/15/30			6,624,337
				Auto Components—1.2%
		173,075		Goodyear Tire & Rubber Co., 5.875%, 4/1/14			8,375,099
				Automobiles—0.9%
		181,510		General Motors Co., 4.75%, 12/1/13, Ser. B			6,196,751
				Capital Markets—2.0%
		134,390		AMG Capital Trust I, 5.10%, 4/15/36			6,058,839
		127,350		The Goldman Sachs Group, Inc., 6.00%, 3/2/12 (Wellpoint, Inc.) (d)			8,319,266
							14,378,105
				Commercial Banks—2.4%
		61,835		Fifth Third Bancorp, 8.50%, 6/30/13, Ser. G (e)			8,784,898
		7,740		Wells Fargo & Co., 7.50%, 3/15/13, Ser. L (e)			8,157,960
							16,942,858
				Commercial Services & Supplies—0.6%
		95,317		United Rentals, Inc., 6.50%, 8/1/28			4,426,283
				Diversified Financial Services—2.9%
		11,515		Bank of America Corp., 7.25%, 1/30/13, Ser. L (e)			8,924,010
		49,715		Citigroup, Inc., 7.50%, 12/15/12			4,188,489
		144,625		Credit Suisse Securities USA LLC, 7.00%, 8/9/12 (Baxter International, Inc.) (d)			7,451,080
							20,563,579
				Electric Utilities—2.4%
				NextEra Energy, Inc.,
		25,000		7.00%, 9/1/13			1,315,000
		136,925		8.375%, 6/1/12			6,914,713
		158,835		PPL Corp., 9.50%, 7/1/13			9,059,948
							17,289,661
				Food Products—1.1%
		77,130		Bunge Ltd., 4.875%, 12/1/11 (e)			7,510,534
				Health Care Providers & Services—1.1%
		8,660		HealthSouth Corp., 6.50%, 12/31/49, Ser. A (e)			7,579,665
				Household Durables—2.2%
		200,850		Newell Financial Trust I, 5.25%, 12/1/27			8,611,444
		63,635		Stanley Black & Decker, Inc., 4.75%, 11/17/15			7,263,299
							15,874,743
				Insurance—1.4%
		59,885		Assured Guaranty Ltd., 8.50%, 6/1/12			2,459,477
		123,390		MetLife, Inc., 5.00%, 9/11/13			7,500,878
							9,960,355
				IT Services—0.5%
		49,485		Unisys Corp., 6.25%, 3/1/14			3,435,249
				Multi-Utilities—1.3%
		186,560		AES Trust III, 6.75%, 10/15/29			9,158,230
				Oil, Gas & Consumable Fuels—2.2%
		111,500		Apache Corp., 6.00%, 8/1/13			6,342,120
		27,600		ATP Oil & Gas Corp., 8.00%, 10/1/14 (a)(b)(e)			1,072,950
		93,350		Chesapeake Energy Corp., 5.00%, 12/31/49 (e)			7,969,756
							15,384,826
				Professional Services—1.1%
		130,210		Nielsen Holdings NV, 6.25%, 2/1/13			7,471,450
				Real Estate Investment Trust—3.2%
		335,200		Alexandria Real Estate Equities, Inc., 7.00%, 4/20/13 (e)			7,873,848
		330,475		FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A (e)			7,055,641
		159,235		Health Care REIT, Inc., 6.50%, 4/20/18, Ser. I (e)			7,786,592
							22,716,081

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AGIC Convertible & Income Fund II Schedule of Investments

November 30, 2011 (unaudited)

 

		Shares				Value*
				Road & Rail—1.1%
		836,265		2010 Swift Mandatory Common Exchange Security Trust, 6.00%, 12/31/13 (b)		$	7,947,695
				Total Convertible Preferred Stock (cost-$208,046,241)			201,835,501
		Principal Amount (000s)
CONVERTIBLE BONDS & NOTES—23.2%
				Aerospace & Defense—1.0%
		$7,975		GenCorp, Inc., 4.063%, 12/31/39			7,337,000
				Capital Markets—1.5%
		8,165		Ares Capital Corp., 5.75%, 2/1/16 (a)(b)			7,756,750
		3,100		BGC Partners, Inc., 4.50%, 7/15/16 (a)(b)			2,813,250
							10,570,000
				Diversified Telecommunication Services—1.0%
		5,650		Level 3 Communications, Inc., 15.00%, 1/15/13			6,956,562
				Electrical Equipment—1.6%
		7,675		EnerSys, 3.375%, 6/1/38 (f)			7,607,844
		5,760		JA Solar Holdings Co., Ltd., 4.50%, 5/15/13			3,945,600
							11,553,444
				Electronic Equipment, Instruments & Components—0.9%
		5,620		Anixter International, Inc., 1.00%, 2/15/13			6,491,100
				Health Care Equipment & Supplies—0.7%
		2,125		Alere, Inc., 3.00%, 5/15/16			2,002,813
		3,720		NuVasive, Inc., 2.75%, 7/1/17			2,720,250
							4,723,063
				Hotels, Restaurants & Leisure—1.7%
		6,935		MGM Resorts International, 4.25%, 4/15/15			6,449,550
		6,570		Morgans Hotel Group Co., 2.375%, 10/15/14			5,370,975
							11,820,525
				Internet Software & Services—1.1%
		2,000		Digital River, Inc., 2.00%, 11/1/30 (a)(b)			1,645,000
		6,130		Equinix, Inc., 2.50%, 4/15/12			6,336,887
							7,981,887
				IT Services—1.0%
		5,130		Alliance Data Systems Corp., 1.75%, 8/1/13			7,002,450
				Machinery—2.7%
		2,495		AGCO Corp., 1.25%, 12/15/36			3,218,550
		9,450		Greenbrier Cos, Inc., 3.50%, 4/1/18 (a)(b)(c)			8,841,656
		9,545		Meritor, Inc., 4.625%, 3/1/26 (f)			7,146,819
							19,207,025
				Media—2.2%
		5,920		Interpublic Group of Cos, Inc., 4.25%, 3/15/23			6,068,000
				Liberty Media LLC,
		6,420		3.125%, 3/30/23			7,045,950
		4,925		3.50%, 1/15/31			2,721,062
							15,835,012
				Metals & Mining—0.6%
		3,785		Steel Dynamics, Inc., 5.125%, 6/15/14			4,116,188
				Oil, Gas & Consumable Fuels—1.1%
		4,825		Peabody Energy Corp., 4.75%, 12/15/41			5,072,281
		2,815		Petroleum Development Corp., 3.25%, 5/15/16 (a)(b)			2,941,675
							8,013,956
				Pharmaceuticals—0.8%
		5,595		Mylan, Inc., 1.25%, 3/15/12			5,622,975
				Real Estate Investment Trust—1.6%
		4,550		Boston Properties LP, 3.75%, 5/15/36			5,169,937
		5,480		Health Care REIT, Inc., 4.75%, 12/1/26			5,918,400
							11,088,337
				Semiconductors & Semiconductor Equipment—2.5%
		11,635		Advanced Micro Devices, Inc., 5.75%, 8/15/12			11,765,894
		7,550		SunPower Corp., 4.75%, 4/15/14			5,643,625
							17,409,519
				Software—1.0%
		4,835		Nuance Communications, Inc., 2.75%, 8/15/27			6,847,569
				Thrifts & Mortgage Finance—0.2%
		3,040		MGIC Investment Corp., 5.00%, 5/1/17			1,626,400
				Total Convertible Bonds & Notes (cost-$152,117,542)			164,203,012

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AGIC Convertible & Income Fund II Schedule of Investments

November 30, 2011 (unaudited)

 

		Principal Amount (000s)				Value*
YANKEE BOND—0.4%
				Marine—0.4%
		$3,655		DryShips, Inc., 5.00%, 12/1/14 (cost-$3,793,050)		$	2,471,694
SHORT-TERM INVESTMENT—1.2%
				Time Deposit—1.2%
		8,774		Citibank-London, 0.03%, 12/1/11 (cost-$8,773,676)			8,773,676
				Total Investments (cost-$728,508,245)(g)—100.0%		$	708,139,181

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.

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. 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. 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 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 ("NAV") 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.

 

(a)	Private Placement — Restricted as to resale may not have a readily available market. Securities with an aggregate market value of $107,481,579, representing 15.2% of total investments.

(b)	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.

(c)	Fair-Valued — Securities with an aggregate value of $13,686,509, representing 1.9% of total investments.

(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 (synthetic convertible securities). Such entity is identified in the parenthetical.

(e)	Perpetual maturity. The date shown is the next call date.

(f)	Step Bond — Coupon is a fixed rate for an initial period then resets at a specific date and rate.

(g)

At November 30, 2011, the cost basis of portfolio securities for federal income tax purposes was $729,774,702. Gross unrealized appreciation was $44,031,378, gross unrealized depreciation was $65,666,899 and net unrealized depreciation was $21,635,521. The difference between book and tax cost basis was attributable to the differing treatment of bond premium amortization and wash sale loss deferrals.

Glossary:

REIT — Real Estate Investment Trust

Fair Value Measurements

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:

•

Level 1 — quoted prices in active markets for identical investments that the Fund has the ability to access

•

Level 2 — valuations based on other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) or quotes from inactive exchanges

 

•

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, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs.

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The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Fund generally uses to evaluate how to classify each major category of assets and liabilities, for Level 2 and Level 3, in accordance with Generally Accepted Accounting Principles.

Equity Securities (Common and Preferred Stock) — Equity securities traded in inactive markets and certain foreign equity securities are valued using inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from independent pricing services that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable, the values of equity securities are categorized as Level 2. To the extent that these inputs are unobservable the values are categorized as Level 3.

Convertible Bonds & Notes — Convertible bonds and notes are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of convertible bonds and notes are categorized as Level 2. To the extent that these inputs are unobservable the values are categorized as Level 3.

Corporate Bonds & Notes — Corporate bonds and notes are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and option adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are valued by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of corporate bonds and notes are categorized as Level 2. To the extent that these inputs are unobservable the values are categorized as Level 3.

The Fund's policy is to recognize transfers between levels at the end of the reporting period.

A summary of the inputs used at November 30, 2011 in valuing the Fund’s assets and liabilities is listed below (Refer to Schedule of Investments for detailed information on Investments in Securities):

 

		Level 1— Quoted Prices				Level 2— Other Significant Observable Inputs				Level 3— Significant Unobservable Inputs				Value at 11/30/11
Investments in Securities—Assets
Corporate Bonds & Notes:
Auto Manufacturers			—				—			$	4,844,853			$	4,844,853
All Other			—			$	326,010,445				—				326,010,445
Convertible Preferred Stock:
Airlines			—				6,624,337				—				6,624,337
Capital Markets			—				14,378,105				—				14,378,105
Commercial Banks		$	8,157,960				8,784,898				—				16,942,858
Commercial Services & Supplies			—				4,426,283				—				4,426,283
Diversified Financial Services			13,112,499				7,451,080				—				20,563,579
Health Care Providers & Services			—				7,579,665				—				7,579,665
Household Durables			7,263,299				8,611,444				—				15,874,743
Insurance			7,500,878				2,459,477				—				9,960,355
Oil, Gas & Consumable Fuels			6,342,120				9,042,706				—				15,384,826
Professional Services			—				7,471,450				—				7,471,450
Road & Rail			—				7,947,695				—				7,947,695
All Other			74,681,605				—				—				74,681,605
Convertible Bonds & Notes:
Machinery			—				10,365,369				8,841,656				19,207,025
All Other			—				144,995,987				—				144,995,987
Yankee Bond			—				2,471,694				—				2,471,694
Short-Term Investment			—				8,773,676				—				8,773,676
Total Investments in Securities—Assets		$	117,058,361			$	577,394,311			$	13,686,509			$	708,139,181

There were no significant transfers between Levels 1 and 2 during the nine months ended November 30, 2011.

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A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the nine months ended November 30, 2011, was as follows:

 

		Beginning Balance 2/28/11				Purchases				Sales				Accrued Discounts (Premiums)				Net Realized Gain (Loss)				Net Change in Unrealized Appreciation/ Depreciation				Transfers into Level 3*				Transfers out of Level 3*				Ending Balance 11/30/11
Investments in Securities—Assets
Corporate Bonds & Notes:
Auto Manufacturers			—			$	4,785,900				—			$	13,412				—			$	45,541				—				—			$	4,844,853
Hotels, Restaurants & Leisure		$	2,314,523				—			$	(1,859,119	)			—			$	(1,167,161	)			711,757				—				—				—
Convertible Preferred Stock:
Capital Markets			4,252,590				—				(7,521,464	)			—				(30,250,744	)			33,519,618				—				—				—
Convertible Bonds & Notes:
Machinery			—				8,188,539				—				51,438				—				601,679				—				—				8,841,656
Total Investments		$	6,567,113			$	12,974,439			$	(9,380,583	)		$	64,850			$	(31,417,905	)		$	34,878,595				—				—			$	13,686,509

The net change in unrealized appreciation/depreciation of Level 3 investments which the Fund held at November 30, 2011 was $647,220.

* There were no transfers into and out of Level 3 during the nine months ended November 30, 2011.

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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 control 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

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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: AGIC Convertible & Income Fund II

 

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

Date: January 27, 2012

 

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

Date: January 27, 2012

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: January 27, 2012

 

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

Date: January 27, 2012