<PAGE>   1

                                   Form 10-Q

                       SECURITIES AND EXCHANGE COMMISSION
                              Washington, DC 20549

Quarterly report pursuant to section 13 or 15(d) of the Securities Exchange Act
                                    of 1934


For the quarterly period                          Commission file number:
ended SEPTEMBER 30, 1996                                  0-18016        
      ------------------                          -----------------------
                                             
                                              
                        ALLIED CAPITAL CORPORATION II
           ------------------------------------------------------
           (exact name of Registrant as specified in its charter)


       MARYLAND                                         52-1628801     
-----------------------                           ---------------------
(State or jurisdiction of                             (IRS Employer
incorporation or organization)                     Identification  No.)
                                                  
                      C/O ALLIED CAPITAL ADVISERS, INC.
                             1666 K STREET, N.W.
                                  9TH FLOOR
                           WASHINGTON, DC   20006
              -------------------------------------------------
                  (Address of principal executive offices)


Registrant's telephone number, including area code: (202) 331-1112
                                                    --------------


Indicate by check mark whether the Registrant (1) has filed all reports
required to be filed by Section 12 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter periods as the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.  YES   X    NO  
                                           --- -----  --  -----

On November 8, 1996 there were 7,367,089 shares outstanding of the Registrant's
common stock, $1 par value.
<PAGE>   2


                 ALLIED CAPITAL CORPORATION II AND SUBSIDIARIES
                                FORM 10-Q INDEX


<TABLE>
<S>                                                                                                             <C>
PART I. FINANCIAL INFORMATION

  Item 1.  Financial Statements

             Consolidated Balance Sheet as of September 30, 1996
             and December 31, 1995  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .        1

             Consolidated Statement of Operations - For the Three and Nine Months Ended
             September 30, 1996 and 1995  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .        2

             Consolidated Statement of Changes in Net Assets - For the Nine Months Ended
             September 30, 1996 and 1995  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .        3

             Consolidated Statement of Cash Flows - For the Nine Months Ended
             September 30, 1996 and 1995  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .        4

             Notes to Consolidated Financial Statements   . . . . . . . . . . . . . . . . . . . . . . . .        5

  Item 2.  Management's Discussion and Analysis of Financial Condition
             and Results of Operations  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .        6


PART II.   OTHER INFORMATION

  Item 1.  Legal Proceedings  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .        9

  Item 2.  Changes in Securities  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .        9

  Item 3.  Defaults Upon Senior Securities  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .        9

  Item 4.  Submission of Matters to a Vote of Security Holders  . . . . . . . . . . . . . . . . . . . . .        9

  Item 5.  Other Information  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .        9

  Item 6.  Exhibits and Reports on Form 8-K   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .        9

  Signatures  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .       10
</TABLE>
<PAGE>   3

                         PART I - Financial Information

Item 1. Financial Statements



                 ALLIED CAPITAL CORPORATION II AND SUBSIDIARIES
                           CONSOLIDATED BALANCE SHEET
                    (in thousands, except number of shares)

<TABLE>
<CAPTION>
                                                                 September 30, 1996      December 31, 1995
                                                                 ------------------      -----------------
                                                                    (unaudited)
<S>                                                                       <C>                   <C>
ASSETS

Investments at value:

  Loans and debt securities (cost: 1996 - $87,550; 1995  -
    $86,474)  . . . . . . . . . . . . . . . . . . . . . . . .             $ 83,368              $ 84,235

  Equity securities (cost: 1996 - $6,598; 1995 -                                                        
    $5,538) . . . . . . . . . . . . . . . . . . . . . . . . .               14,420                13,548

  Other investment assets (cost: 1996 - $63; 1995 - 
    $1,514) . . . . . . . . . . . . . . . . . . . . . . . . .                   20                 1,424
                                                                           -------               -------

         Total investments  . . . . . . . . . . . . . . . . .               97,808                99,207

Cash and cash equivalents . . . . . . . . . . . . . . . . . .               10,262                 6,227

Other assets  . . . . . . . . . . . . . . . . . . . . . . . .                1,651                 1,735
                                                                           -------               -------

         Total assets . . . . . . . . . . . . . . . . . . . .             $109,721              $107,169
                                                                           =======               =======
LIABILITIES AND SHAREHOLDERS' EQUITY

Liabilities:

  Investment advisory fee payable . . . . . . . . . . . . . .             $    634              $    639

  Dividends and distributions payable . . . . . . . . . . . .                    -                 3,403

  Other liabilities . . . . . . . . . . . . . . . . . . . . .                  248                 1,146
                                                                           -------               -------

         Total liabilities  . . . . . . . . . . . . . . . . .                  882                 5,188
                                                                           -------               -------

Commitments and Contingencies

Shareholders' Equity:

Common stock, $1 par value; 20,000,000 shares authorized;

  7,367,089 and 7,104,005 shares issued and outstanding at
    9/30/96 and 12/31/95  . . . . . . . . . . . . . . . . . .                7,367                 7,104

Additional paid-in capital  . . . . . . . . . . . . . . . . .               96,471                92,225

Notes receivable from sale of common stock  . . . . . . . . .               (3,170)               (2,495)

Net unrealized appreciation on investments  . . . . . . . . .                3,597                 5,681

Undistributed (distributions in excess of) accumulated                                                   
earnings  . . . . . . . . . . . . . . . . . . . . . . . . . .                4,574                  (534)
                                                                           -------               -------
          Total shareholders' equity  . . . . . . . . . . . .              108,839               101,981
                                                                           -------               -------

          Total liabilities and shareholders' equity  . . . .             $109,721              $107,169
                                                                           =======               =======
</TABLE>




   THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS





                                       1
<PAGE>   4

                 ALLIED CAPITAL CORPORATION II AND SUBSIDIARIES
                      CONSOLIDATED STATEMENT OF OPERATIONS
                    (in thousands, except per share amounts)
                                  (unaudited)


<TABLE>
<CAPTION>
                                                        For the Three Months         For the Nine Months
                                                         Ended September 30,         Ended September 30,
                                                         ------------------         -------------------- 
                                                                                                  
                                                          1996         1995         1996            1995
                                                          ----         ----         ----            ----
<S>                                                     <C>          <C>          <C>             <C>
Investment income:                                                                                

  Interest  . . . . . . . . . . . . . . . . .           $2,765       $2,940       $8,852          $ 8,390
                                                                                                  
  Other income  . . . . . . . . . . . . . . .               25          218           71              508
                                                         -----        -----        -----            -----
    Total investment income . . . . . . . . .            2,790        3,158        8,923            8,898
                                                         -----        -----        -----            -----
                                                                                                  
                                                                                                  
                                                                                                  
Expenses:                                                                                         

  Investment advisory fee . . . . . . . . . .              634          591        1,862            1,805
                                                                                                  
  Legal and accounting fees . . . . . . . . .                7           96          160              279

  Other operating expenses  . . . . . . . . .               25           89          249              321
                                                         -----        -----        -----            -----
                                                                                                  
    Total expenses  . . . . . . . . . . . . .              666          776        2,271            2,405
                                                         -----        -----        -----            -----
                                                                                                  
                                                                                                  
Net investment income . . . . . . . . . . . .            2,124        2,382        6,652            6,493
                                                                                                  
Net realized gain on investments  . . . . . .              684        3,097        6,141            3,193
                                                         -----        -----        -----            -----
Net investment income before net unrealized                                                       
  appreciation (depreciation) on 
  investments . . . . . . . . . . . . . . . .            2,808        5,479       12,793            9,686
                                                                                                  
Net unrealized appreciation (depreciation) on                                                     
  investments . . . . . . . . . . . . . . . .             (260)         732       (2,084)           5,116
                                                         -----        -----        -----            -----
Net increase in net assets resulting from                                                                
  operations  . . . . . . . . . . . . . . . .           $2,548       $6,211      $10,709          $14,802
                                                         =====        =====       ======           ======
                                                                                                  

Earnings per share  . . . . . . . . . . . . .           $ 0.34       $ 0.89      $  1.47          $  2.13
                                                         =====        =====        =====            =====


Weighted average number of shares and share
  equivalents outstanding . . . . . . . . . .            7,386        6,978        7,287            6,959
                                                         =====        =====        =====            =====
</TABLE>



   THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS





                                       2
<PAGE>   5
                 ALLIED CAPITAL CORPORATION II AND SUBSIDIARIES
                CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
                    (in thousands, except per share amounts)
                                  (unaudited)

<TABLE>
<CAPTION>
                                                            For the Nine Months Ended
                                                                   September 30,
                                                                   ------------ 

                                                                1996           1995
                                                                ----           ----
<S>                                                           <C>            <C>
Increase in net assets resulting from operations:

    Net investment income . . . . . . . . . . . . . .         $  6,652       $  6,493

    Net realized gain on investments  . . . . . . . .            6,141          3,193

    Net unrealized appreciation (depreciation) on                                    
      investments . . . . . . . . . . . . . . . . . .           (2,084)         5,116
                                                               -------        -------
        Net increase in net assets resulting from                                    
          operations  . . . . . . . . . . . . . . . .           10,709         14,802
                                                               -------        -------

Distributions to shareholders . . . . . . . . . . . .           (7,685)        (5,621)
                                                               -------        ------- 


Capital share transactions:

  Net (increase) decrease in notes receivable from                
    sale of common stock . . . . . . . . . . . . . . .            (675)           252

  Issuance of common shares upon the exercise of stock           
    options  . . . . . . . . . . . . . . . . . . . . .           1,379             99

  Issuance of common shares in lieu of cash                      
    distributions  . . . . . . . . . . . . . . . . . .           3,130             -
                                                               -------        ------- 

      Net increase in net assets resulting from                  
        capital share transactions . . . . . . . . . .           3,834            351
                                                               -------        ------- 


Net increase in net assets  . . . . . . . . . . . . .            6,858          9,532


Net assets at beginning of period . . . . . . . . . .          101,981         97,475
                                                               -------        ------- 


Net assets at end of period . . . . . . . . . . . . .         $108,839       $107,007
                                                               =======        =======


Net asset value per share . . . . . . . . . . . . . .         $  14.77       $  15.41
                                                               =======        =======


Shares outstanding at end of period . . . . . . . . .            7,367          6,945
                                                               =======        =======
</TABLE>





   THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS





                                       3
<PAGE>   6
                 ALLIED CAPITAL CORPORATION II AND SUBSIDIARIES
                      CONSOLIDATED STATEMENT OF CASH FLOWS
                                 (in thousands)
                                  (unaudited)
<TABLE>
<CAPTION>
                                                        For the Nine Months Ended
                                                              September 30,
                                                              ------------ 
     
                                                           1996            1995
                                                           ----            ----
<S>                                                       <C>            <C>
Cash Flows From Operating Activities:

  Net increase in net assets resulting from               
    operations  . . . . . . . . . . . . . . . . .         $10,709        $14,802

  Adjustments to reconcile net increase in net
    assets resulting from operations to net cash 
    provided by operating activities:

     Net unrealized (appreciation) depreciation             
       on investments   . . . . . . . . . . . . .           2,084         (5,116)

     Net realized gain on investments . . . . . .          (6,141)        (3,193)

     Amortization of loan discounts and fees  . .          (1,237)          (648)

  Changes in assets and liabilities:

     Other assets . . . . . . . . . . . . . . . .              84            359

     Investment advisory fee payable  . . . . . .              (5)            11

     Other liabilities  . . . . . . . . . . . . .            (898)          (434)
                                                           ------        ------- 
        Net cash provided by operating 
          activities  . . . . . . . . . . . . . .           4,596          5,781

Cash Flows From Investing Activities:

     Investments in small business concerns . . .         (17,383)       (21,831)

     Collections from loans and debt securities                                 
       and other investment assets  . . . . . . .          16,175         26,320

     Net proceeds from sale of equity 
       securities . . . . . . . . . . . . . . . .           7,801          2,785

     Net purchase of U.S. government 
       securities . . . . . . . . . . . . . . . .               -            748

     Collections from notes receivable from sale   
      of common stock . . . . . . . . . . . . . .             325            352
                                                           ------         ------ 

        Net cash provided by investing 
          activities  . . . . . . . . . . . . . .           6,918          8,374
                                                           ------         ------ 

Cash Flows From Financing Activities:

     Issuance of common shares  . . . . . . . . .             479              -

     Dividends and distributions paid . . . . . .          (7,958)        (7,980)
                                                           ------         ------ 
        Net cash used in financing activities . .          (7,479)        (7,980)
                                                           ------         ------ 

Net increase in cash and cash equivalents . . . .           4,035          6,175

Cash and cash equivalents, beginning of 
  period  . . . . . . . . . . . . . . . . . . . .           6,227         11,591
                                                           ------         ------ 

Cash and cash equivalents, end of period  . . . .         $10,262        $17,766
                                                           ======         ======
</TABLE>

   THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS





                                       4
<PAGE>   7
                 ALLIED CAPITAL CORPORATION II AND SUBSIDIARIES
                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
                               SEPTEMBER 30, 1996
                                  (UNAUDITED)

NOTE 1. GENERAL

        In the opinion of management, the accompanying unaudited consolidated
        financial statements of Allied Capital Corporation II and subsidiaries
        (the Company) contain all adjustments (consisting of only normal
        recurring accruals) necessary to present fairly the Company's
        consolidated financial position as of September 30, 1996 and the
        results of operations, changes in net assets, and cash flows for the
        periods indicated. Certain information and footnote disclosures
        normally included in the financial statements prepared in accordance
        with generally accepted accounting principles have been condensed or
        omitted.  It is suggested that these consolidated financial statements
        be read in conjunction with the financial statements and notes thereto
        included in the Company's December 31, 1995 Annual Report.  The results
        of operations for the nine months ended September 30, 1996 are not
        necessarily indicative of the operating results to be expected for the
        full year.  Certain reclassifications have been made to the 1995
        financial statements in order to conform to the 1996 presentation.

NOTE 2. DISTRIBUTIONS

        The Company's board of directors declared a third quarter dividend
        equivalent to $0.38 per share payable on September 30, 1996 to
        shareholders of record as of September 13, 1996.  In connection with
        this dividend, the Company paid cash of $1,999,000 and distributed new
        shares of common stock to participants in the dividend reinvestment
        plan with a value of $785,000 for a total dividend of $2,784,000.  The
        Company's board of directors have declared dividends equivalent to
        $1.06 per share for the nine months ended September 30, 1996.  In
        connection with these dividends, the Company paid cash of $5,513,000
        and distributed new shares of common stock to participants in the
        dividend reinvestment plan with a value of $2,172,000 for a total
        dividend of $7,685,000.

NOTE 3. COMMITMENTS

        The Company had loan commitments outstanding equal to $3,376,000 at
        September 30, 1996 to invest in various existing and prospective
        portfolio companies.





                                       5
<PAGE>   8
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
        OF OPERATIONS 

        RESULTS OF OPERATIONS

        For the Third Quarter Ended September 30, 1996 and 1995.

        The net increase in net assets resulting from operations for the
        quarter ended September 30, 1996 was $2.5 million, a decrease of 59%
        compared to the net increase in net assets resulting from operations
        for the quarter ended September 30, 1995 of $6.2 million.  Earnings
        were $0.34 per share for the third quarter of 1996 as compared to $0.89
        per share for the same quarter in 1995.  

        Net investment income decreased 11% to $2.1 million for the quarter
        ended September 30, 1996 from $2.4 million for the quarter ended
        September 30, 1995. Total investment income decreased 12% in the third
        quarter of 1996 as compared to the same quarter of 1995.  While the
        Company's investments in loans and debt securities that earn a current
        return at September 30, 1996 increased as compared to September 30,
        1995, the third quarter of 1995 included income that did not recur in
        the same quarter of 1996. In the quarter ended September 30, 1995,
        other investment income included a prepayment penalty on the early
        payoff of a debt totaling $270,000, the recovery of litigation costs
        from prior periods of $99,000, and income from an equity participation
        in one portfolio company of $113,000.  

        Total expenses decreased 14% to $666,000 for the quarter ended
        September 30, 1996 from $776,000 for the comparable period last year. 
        The Company's investment advisory fee increased 7% to $634,000 for the
        quarter ended September 30, 1996 as compared to $591,000 in the
        previous comparable period. While total assets of $109.7 million at
        September 30, 1996 were 1% higher than $108.7 million at September 30,
        1995, cash and cash equivalents at September 30, 1996 were $7.5 million
        lower than the prior year.  A lower fee is paid on cash and cash
        equivalents, as compared to the fee paid on assets invested in small
        business concerns.  Legal and accounting fees decreased to $7,000 for
        the three months ended September 30, 1996 from $96,000 for the three
        months ended September 30, 1995.  This is due to the decreased legal
        cost of various corporate and portfolio company matters in 1996.  One
        lawsuit which was pending against the Company related to a portfolio
        company was settled in early 1995. Other operating expenses decreased
        72% for the third quarter of 1996 as compared to the third quarter of
        1995.

        Net realized gains on investments were $684,000 for the quarter ended
        September 30, 1996, as the Company successfully liquidated certain
        equity investments in the portfolio and received early payoffs of
        outstanding loans in its portfolio.  Net realized gains on investments
        were $3.1 million for the third quarter of 1995. Net gains are
        realized when the Company sells or otherwise liquidates its
        investments, and as a result may vary significantly from quarter to
        quarter.  

        Net unrealized depreciation on investments for the three months ended
        September 30, 1996 was $260,000 as compared to net unrealized
        appreciation on investments of $732,000 for the three months ended
        September 30, 1995.  The Company sold two portfolio investments during 
        the third quarter that had net unrealized depreciation at June 30, 1996
        of $352,000.  When the investments were sold, net unrealized
        depreciation was reduced by $352,000 and the actual net loss realized
        on these investments was included in net realized gain on investments. 
        The remaining net unrealized depreciation of $612,000 for the third 
        quarter of 1996 is due to the net decrease in the value of the 
        Company's investments.

        For the Nine Months Ended September 30, 1996 and 1995.

        Net increase in net assets resulting from operations was $10.7 million,
        or $1.47 per share, for the nine months ended September 30, 1996,
        compared to $14.8 million, or $2.13 per share, for the same period in
        1995.  Net investment income and net realized gains for the nine months
        ended September 30, 1996 increased 2% and 92%, respectively, over the
        comparable nine month period of the prior year.  These increases,
        however, were offset by a significant decline in the net unrealized
        appreciation in the investment portfolio of 140.7%.

        During the nine months ended September 30, 1996, the Company realized
        net gains on the sale of investments which had net unrealized 
        appreciation totaling $3.0 million, or $0.41 per share, that had been





                                       6
<PAGE>   9
        previously recognized into net income as net unrealized appreciation.
        Thus, upon the realization of these gains, the year-to-date 1996 net
        increase in net assets resulting from operations reflects an offsetting
        decrease in net unrealized appreciation for the same amount.  As
        investments in the portfolio appreciate or depreciate, the increase or
        decrease in value is recognized into net income as the change in net 
        unrealized appreciation.  When gains or losses are realized upon the
        disposition of an investment, the effect on net income is computed by
        reducing or increasing net income by an amount equal to any net 
        unrealized appreciation or depreciation on the investment recognized 
        in prior periods, and increasing or decreasing net income by the 
        amount of the recognized gain or loss.

        LIQUIDITY AND CAPITAL RESOURCES

        Total assets increased $2.5 million to $109.7 million as of September
        30, 1996 from $107.2 million as of December 31, 1995.  Total
        investments as of September 30, 1996 decreased $1.4 million from
        December 31, 1995 as total repayments and changes in investment
        valuations during the first nine months of 1996 were greater than new
        investments to small businesses of $17.4 million.  Cash and cash
        equivalents increased to $10.3 million as of September 30, 1996 from
        $6.2 million at December 31, 1995 due to principal repayments on loans
        and debt securities and proceeds received from investment dispositions.

        The Company believes that it has adequate capital to continue to
        satisfy its operating needs, commitments and other future investment
        opportunities that may arise over the next year.

        PORTFOLIO CHANGES

        For the nine months ended September 30, 1996, overall the Company's
        portfolio depreciated by $2.1 million due to the sale of certain
        investments which resulted in realized gains (losses), changes in
        investment values from the change in market prices for public equity
        investments, and changes in value of certain private investments. 
       
        The disposition of certain portfolio investments resulted in unrealized
        appreciation (depreciation) and the recognition of realized gains
        (losses) during the nine months ended September 30, 1996 as follows:

<TABLE>
<CAPTION>
                                                                  Unrealized          Realized
                                                                Appreciation              Gain
                                                              (Depreciation)            (Loss)
                                                              --------------       -----------
                 <S>                                            <C>                <C>
                 Garden Ridge Corporation (stock) *             $(1,190,000)       $1,349,000
                 Garden Ridge Corporation (warrants)             (1,703,000)        3,060,000
                 June Broadcasting, Inc.                         (1,530,000)        1,714,000
                 Labor Ready, Inc. *                               (181,000)        1,474,000
                 SunStates Refrigerated Services, Inc. *            579,000          (579,000)
                 SunStates Refrigerated Services, Inc. **         1,006,000        (1,029,000)
                 Other                                               10,000           152,000

                 *  Sale of certain stock only.
                 ** Sale of certain loans only.
</TABLE>

        The Company's public equity investments which appreciated (depreciated)
        in value during the nine months ended September 30, 1996 were:
<TABLE>
<CAPTION>
                                                                      Unrealized
                                                                    Appreciation
                                                                  (Depreciation)
                                                                  --------------
                 <S>                                                 <C>
                 Allied Waste Industries, Inc.                       $1,224,000
                 Au Bon Pain                                           (118,000)
                 Garden Ridge Corporation                               354,000
                 Labor Ready, Inc.                                      944,000
                 Montgomery Tank Lines                                   96,000
                 Nobel Education Dynamics, Inc.                       1,259,000
                 Quality Software Products Holdings, PLC               (240,000)
</TABLE>





                                       7
<PAGE>   10
        In addition, the Company's investments in the following private
        companies also had unrealized depreciation during the nine months ended
        September 30, 1996: Enviroplan, Inc. - $926,000; SunStates Refrigerated
        Services, Inc. - $848,000; and Williams Brothers Lumber Company -
        $683,000.  The remaining investment portfolio had net unrealized
        depreciation during the nine months ended September 30, 1996 of
        $137,000.

        Statements included in this filing concerning the Company's future
        prospects are "forward looking statements" under the Federal securities
        laws.  There can be no assurance that future results will be achieved
        and actual results could differ materially from forecasts and
        estimates.  Important factors that could cause actual results to differ
        materially are included but are not limited to those listed in the
        Company's quarterly reports as filed on Form 10-Q and annual report as
        filed on Form 10-K.





                                       8
<PAGE>   11
                          Part II. OTHER INFORMATION


Item 1. LEGAL PROCEEDINGS
        
        The Company is not a defendant in any material pending legal proceeding
        and no such material proceedings are known to be contemplated.

Item 2. CHANGES IN SECURITIES
        
        No material changes have occurred in the securities of the Registrant.

Item 3. DEFAULTS UPON SENIOR SECURITIES
        
        Not applicable.

Item 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

        None.

Item 5. OTHER INFORMATION
        
        None.

Item 6. EXHIBITS AND REPORTS ON FORM 8-K
        
        (a)  List of Exhibits
        
        11  Statement of Computation of Earnings Per Share
        
        (b)  Reports on Form 8-K
        
        No reports on Form 8-K were filed by the Company during the quarter
        ended September 30, 1996.





                                       9
<PAGE>   12
                                  SIGNATURES

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

                                ALLIED CAPITAL CORPORATION II     
                                -----------------------------                 
                                      (Registrant)
                                
                                
                                
                                /s/ Jon A. DeLuca                 
                                ----------------------------------
Date: November  13, 1996        Jon A. DeLuca 
      ------------------        Executive Vice President and
                                Chief Financial Officer





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