|
UNITED STATES |
OMB
APPROVAL |
||
|
SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549
FORM N-Q |
OMB
Number: 3235-0578 |
||
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
|
Investment Company Act File Number: 811-21284 |
Registrant Name: Nicholas-Applegate Convertible & Income Fund
Address of Principal Executive Offices: 1345 Avenue of the Americas New York, New York 10105
Name and Address of Agent for Service: Lawrence G. Altadonna – 1345 Avenue of the Americas New York, New York 10105
Registrant’s telephone number, including area code: 212-739-3371
Date of Fiscal Year End: February 28, 2007
Date of Reporting Period: November 30, 2006
Form N-Q is to be used by the registered management investment company, other than a small business investment company registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b 1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
|
Nicholas-Applegate Convertible & Income Fund Schedule of Investments | ||||||
|
November 30, 2006 (unaudited) | ||||||
|
Principal |
|
|
|
|
| |
|
Amount |
|
|
|
Credit Rating |
| |
|
(000) |
|
|
|
(Moody's/S&P) |
Value* | |
|
CORPORATE BONDS & NOTES-41.5% |
|
|
| |||
|
|
|
Advertising-0.7% |
|
|
| |
|
$10,700 |
|
Affinion Group, Inc., 11.50%, 10/15/15 |
Caa1/B- |
$11,288,500 | ||
|
|
|
|
|
| ||
|
|
|
Apparel-1.1% |
|
| ||
|
|
|
Levi Strauss & Co., |
|
| ||
|
2,000 |
|
9.75%, 1/15/15 |
B3/B- |
2,147,500 | ||
|
12,990 |
|
12.25%, 12/15/12 |
B3/B- |
14,500,087 | ||
|
|
|
|
|
16,647,587 | ||
|
|
|
Automotive-1.2% |
|
| ||
|
7,485 |
|
General Motors Corp., 8.375%, 7/15/33 |
Caa1/B- |
6,820,706 | ||
|
10,890 |
|
Goodyear Tire & Rubber Co., 11.25%, 3/1/11 |
B2/B- |
12,060,675 | ||
|
|
|
|
|
18,881,381 | ||
|
|
|
Chemicals-3.2% |
|
| ||
|
8,090 |
|
Georgia Gulf Corp., 10.75%, 10/15/16 (a) |
|
B2/B |
7,705,725 | |
|
4,703 |
|
Huntsman LLC, 11.625%, 10/15/10 |
Ba3/BB- |
5,196,815 | ||
|
|
|
Lyondell Chemical Co., |
|
| ||
|
5,115 |
|
10.875%, 5/1/09 |
B2/B |
5,217,300 | ||
|
5,435 |
|
11.125%, 7/15/12 |
Ba2/BB |
5,883,387 | ||
|
13,590 |
|
Mosaic Global Holdings, Inc., 11.25%, 6/1/11, Ser. B |
B1/BB |
14,354,437 | ||
|
5,125 |
|
PolyOne Corp., 10.625%, 5/15/10 |
B2/B+ |
5,483,750 | ||
|
4,830 |
|
Rhodia S.A., 10.25%, 6/1/10 |
B2/B- |
5,518,275 | ||
|
|
|
|
|
|
49,359,689 | |
|
|
|
Coal-0.5% |
|
| ||
|
8,170 |
|
James River Coal Co., 9.375%, 6/1/12 |
Caa2/CCC- |
7,189,600 | ||
|
|
|
|
|
| ||
|
|
|
Commercial Services-2.1% |
|
| ||
|
9,905 |
|
Cenveo Corp., 7.875%, 12/1/13 |
B3/B- |
9,558,325 | ||
|
9,715 |
|
Hertz Corp., 10.50%, 1/1/16 (a) |
B2/B |
10,589,350 | ||
|
12,335 |
|
Vertrue, Inc., 9.25%, 4/1/14 |
Ba3/B |
12,890,075 | ||
|
|
|
|
|
33,037,750 | ||
|
|
|
Computers-0.5% |
|
| ||
|
8,515 |
|
Unisys Corp., 8.00%, 10/15/12 |
B2/B+ |
8,302,125 | ||
|
|
|
|
|
| ||
|
|
|
Electric-2.7% |
|
| ||
|
13,025 |
|
AES Corp., 9.50%, 6/1/09 |
B1/B |
13,936,750 | ||
|
12,750 |
|
Mission Energy Holdings Co., 13.50%, 7/15/08 |
B2/B |
14,152,500 | ||
|
12,630 |
|
PSEG Energy Holdings LLC, 10.00%, 10/1/09 |
Ba3/BB- |
13,829,850 | ||
|
|
|
|
|
41,919,100 | ||
|
|
|
Electronics-1.5% |
|
| ||
|
13,155 |
|
IMAX Corp., 9.625%, 12/1/10 |
Caa1/B- |
11,346,187 | ||
|
12,170 |
|
Stoneridge, Inc., 11.50%, 5/1/12 |
B2/B |
12,291,700 | ||
|
|
|
|
|
23,637,887 | ||
|
|
|
Financial Services-2.9% |
|
| ||
|
11,080 |
|
Alamosa Delaware, Inc., 11.00%, 7/31/10 |
Baa3/BBB+ |
12,020,703 | ||
|
8,725 |
|
AMR Holdings Co., 10.00%, 2/15/15 |
B3/B- |
9,444,812 | ||
|
10,795 |
|
Ford Motor Credit Co., 7.00%, 10/1/13 |
B1/B |
10,354,057 | ||
|
4,945 |
|
MedCath Holdings Corp., 9.875%, 7/15/12 |
Caa1/B- |
5,315,875 | ||
|
7,550 |
|
Sally Holdings LLC, 10.50%, 11/15/16 (a) |
Caa1/CCC+ |
7,748,188 | ||
|
|
|
|
|
44,883,635 | ||
|
|
|
Food Products-0.9% |
|
| ||
|
12,805 |
|
Pilgrim's Pride Corp., 9.625%, 9/15/11 |
Ba3/BB- |
13,445,250 | ||
|
|
|
|
|
| ||
|
|
|
Healthcare-0.9% |
|
| ||
|
7,275 |
|
Alliance Imaging, Inc., 7.25%, 12/15/12 |
B3/B- |
6,765,750 | ||
|
6,475 |
|
Hanger Orthopedic Group, Inc., 10.25%, 6/1/14 |
Caa2/CCC+ |
6,653,063 | ||
|
|
|
|
|
13,418,813 | ||
|
|
|
Home Builders-0.7% |
|
| ||
|
12,160 |
|
William Lyon Homes, Inc., 10.75%, 4/1/13 |
B3/B |
11,460,800 | ||
|
|
|
|
|
| ||
|
|
|
Home Furnishings-1.8% |
|
| ||
|
11,370 |
|
Central Garden & Pet Co., 9.125%, 2/1/13 |
B2/B |
11,824,800 | ||
|
14,600 |
|
Jarden Corp., 9.75%, 5/1/12 |
B3/B- |
15,439,500 | ||
|
|
|
|
|
27,264,300 | ||
|
|
|
Machinery-0.9% |
|
| ||
|
12,940 |
|
Case New Holland, Inc., 9.25%, 8/1/11 |
Ba3/BB |
13,732,575 | ||
|
|
||||||
|
Nicholas-Applegate Convertible & Income Fund Schedule of Investments |
||||||
|
November 30, 2006 (unaudited) |
||||||
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moody's/S&P) |
Value* |
|
|
|
|
Manufacturing-0.5% |
|
|
||
|
$6,875 |
|
Clarke American Corp., 11.75%, 12/15/13 |
B3/B- |
$7,150,000 |
||
|
|
|
|
|
|
||
|
|
|
Metals & Mining-2.5% |
|
|
||
|
7,710 |
|
AK Steel Corp., 7.875%, 2/15/09 |
B2/B+ |
7,710,000 |
||
|
11,665 |
|
Freeport-McMoRan Copper & Gold, Inc., 10.125%, 2/1/10 |
B1/B+ |
12,306,575 |
||
|
4,855 |
|
PNA Group, Inc., 10.75%, 9/1/16 (a) |
B3/B- |
5,024,925 |
||
|
13,420 |
|
United States Steel LLC, 10.75%, 8/1/08 |
Ba1/BB |
14,594,250 |
||
|
|
|
|
|
39,635,750 |
||
|
|
|
Miscellaneous-0.8% |
|
|
||
|
11,903 |
|
Dow Jones CDX High Yield, 10.50%, 12/29/09 (a) (b) |
NR/NR |
12,661,285 |
||
|
|
|
|
|
|
||
|
|
|
Multi-Media-1.9% |
|
|
||
|
12,870 |
|
CCH I LLC, 11.00%, 10/1/15 |
Caa2/CCC- |
12,676,950 |
||
|
6,450 |
|
Lodgenet Entertainment Corp., 9.50%, 6/15/13 |
B2/B- |
6,901,500 |
||
|
10,835 |
|
Sirius Satellite Radio, Inc., 9.625%, 8/1/13 |
Caa1/CCC |
10,753,738 |
||
|
|
|
|
|
30,332,188 |
||
|
|
|
Office Furnishings-1.1% |
|
|
||
|
|
|
Interface, Inc., |
|
|
||
|
5,375 |
|
9.50%, 2/1/14 |
B3/CCC+ |
5,616,875 |
||
|
6,490 |
|
10.375%, 2/1/10 |
B1/B |
7,090,325 |
||
|
3,791 |
|
Tempur-Pedic, Inc., 10.25%, 8/15/10 |
B2/B |
4,094,280 |
||
|
|
|
|
|
16,801,480 |
||
|
|
|
Oil & Gas-0.4% |
|
|
||
|
5,000 |
|
Seitel, Inc., 11.75%, 7/15/11 |
B3/NR |
6,225,000 |
||
|
|
|
|
|
|
||
|
|
|
Paper Products-1.2% |
|
|
||
|
5,096 |
|
Buckeye Technologies, Inc., 9.25%, 9/15/08 |
Caa1/B |
5,096,000 |
||
|
12,945 |
|
NewPage Corp., 12.00%, 5/1/13 |
Caa1/CCC+ |
13,656,975 |
||
|
|
|
|
|
18,752,975 |
||
|
|
|
Pharmaceuticals-0.5% |
|
|
||
|
7,180 |
|
Leiner Health Products, Inc., 11.00%, 6/1/12 |
Caa1/CCC |
7,287,700 |
||
|
|
|
|
|
|
||
|
|
|
Pipelines-0.9% |
|
|
||
|
13,330 |
|
Sonat, Inc., 7.625%, 7/15/11 |
B2/B |
13,829,875 |
||
|
|
|
|
|
|
||
|
|
|
Retail-4.2% |
|
|
||
|
14,420 |
|
Bon-Ton Stores, Inc., 10.25%, 3/15/14 |
B3/B- |
14,852,600 |
||
|
5,420 |
|
EPL Finance Corp., 11.75%, 11/15/13 |
Caa1/CCC+ |
5,772,300 |
||
|
2,090 |
|
GSC Holdings Corp., 8.00%, 10/1/12 |
B1/B+ |
2,178,825 |
||
|
8,036 |
|
Mothers Work, Inc., 11.25%, 8/1/10 |
Caa1/B- |
8,488,025 |
||
|
9,710 |
|
Neiman-Marcus Group, Inc., 10.375%, 10/15/15 |
B3/B- |
10,741,688 |
||
|
10,000 |
|
R.H. Donnelley, Inc., 10.875%, 12/15/12 |
B2/B |
10,900,000 |
||
|
11,310 |
|
Star Gas Partners L.P., 10.25%, 2/15/13, Ser. B |
Caa3/B- |
11,719,988 |
||
|
|
|
|
|
64,653,426 |
||
|
|
|
Semi-Conductors-0.5% |
|
|
||
|
8,090 |
|
Freescale Semiconductor, Inc., 10.125%, 12/15/16 (a) |
B2/B |
8,181,012 |
||
|
|
|
|
|
|
|
|
|
|
|
Telecommunications-4.2% |
|
|
||
|
8,475 |
|
Hawaiian Telcom Communications, Inc., 12.50%, 5/1/15, Ser. B |
B3/CCC+ |
8,835,188 |
||
|
12,400 |
|
Intelsat Bermuda Ltd, 11.25%, 6/15/16 (a) |
Caa1/B |
13,593,500 |
||
|
12,805 |
|
Level 3 Financing, Inc., 12.25%, 3/15/13 |
B2/CCC- |
14,469,650 |
||
|
13,800 |
|
Millicom International Cellular S.A., 10.00%, 12/1/13 |
B2/B- |
14,955,750 |
||
|
12,680 |
|
Nortel Networks Ltd, 10.75%, 7/15/16 (a) |
B3/B- |
13,583,450 |
||
|
|
|
|
|
65,437,538 |
||
|
|
|
Transportation-0.4% |
|
|
||
|
5,870 |
|
PHI, Inc., 7.125%, 4/15/13 (a) |
B2/BB- |
5,635,200 |
||
|
|
|
|
|
|
||
|
|
|
Travel Services-0.8% |
|
|
||
|
12,940 |
|
TDS Investor Corp., 11.875%, 9/1/16 (a) |
Caa1/B- |
12,713,550 |
||
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
|
|
Total Corporate Bonds & Notes (cost-$627,168,800) |
|
643,765,971 |
||
|
|
|
|
|
|
|
|
|
Nicholas-Applegate Convertible & Income Fund Schedule of Investments |
||||||
|
November 30, 2006 (unaudited) |
||||||
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moody's/S&P) |
Value* |
|
|
CONVERTIBLE PREFERRED STOCK-29.4% |
|
|
|
|||
|
|
|
Automotive-2.2% |
|
|
||
|
511 |
|
Ford Motor Co., Capital Trust II, 6.50%, 1/15/32 |
Caa2/CCC- |
$17,735,170 |
||
|
785 |
|
General Motors Corp., 5.25%, 3/6/32, Ser. B |
Caa1/B- |
16,304,450 |
||
|
|
|
|
|
34,039,620 |
||
|
|
|
Banking-1.0% |
|
|
||
|
289 |
|
Washington Mutual Capital Trust, 5.375%, 5/3/41 |
Baa1/BBB |
16,083,518 |
||
|
|
|
|
|
|
||
|
|
|
Commercial Services-1.0% |
|
|
||
|
305 |
|
United Rentals, Inc., 6.50%, 8/1/28 |
B3/B- |
14,935,788 |
||
|
|
|
|
|
|
||
|
|
|
Electric-4.6% |
|
|
||
|
445 |
|
AES Trust III, 6.75%, 10/15/29 |
B3/B |
21,923,637 |
||
|
342 |
|
Entergy Corp., 7.625%, 2/17/09 |
|
NR/BBB |
20,195,392 |
|
|
110 |
|
NRG Energy, Inc., 5.75%, 3/16/09 |
B2/CCC+ |
29,989,187 |
||
|
|
|
|
|
72,108,216 |
||
|
|
|
Financial Services-10.4% |
|
|
||
|
560 |
|
Citigroup Funding, Inc., 0.00%, 9/27/08, Ser. GNW (c) |
Aa1/AA- |
17,640,000 |
||
|
410 |
|
E*Trade Financial Corp., 6.125%, 11/18/08 |
Ba3/NA |
12,710,000 |
||
|
684 |
|
Goldman Sachs Group, Inc., 12.00%, 12/12/07, Ser. CSCO |
NR/NR |
18,243,438 |
||
|
|
|
Lehman Brothers Holdings, Inc., |
|
|
||
|
610 |
|
6.25%, 10/15/07, Ser. GIS |
A1/A+ |
16,653,000 |
||
|
505 |
|
20.00%, 3/17/07, Ser. HPQ |
A1/A+ |
16,826,600 |
||
|
261 |
|
20.00%, 8/15/07, Ser. UTX |
A1/A+ |
15,752,089 |
||
|
|
|
Morgan Stanley, |
|
|
||
|
215 |
|
20.00%, 12/14/06, Ser. WLP |
Aa3/A+ |
14,560,875 |
||
|
280 |
|
20.00%, 12/22/06, Ser. XOM |
Aa3/A+ |
16,803,540 |
||
|
590 |
|
20.00%, 3/9/07, Ser. T |
Aa3/A+ |
16,458,050 |
||
|
540 |
|
20.00%, 6/2/07, Ser. DIS |
Aa3/A+ |
15,819,300 |
||
|
|
|
|
|
161,466,892 |
||
|
|
|
Insurance-4.2% |
|
|
||
|
425 |
|
Genworth Financial, Inc., 6.00%, 5/16/07 |
A2/A |
14,994,000 |
||
|
554 |
|
Metlife, Inc., 6.375%, 8/15/08 |
NR/BBB+ |
16,802,292 |
||
|
540 |
|
Platinum Underwriters Holdings Ltd, 6.00%, 2/15/09, Ser. A |
NR/BB+ |
16,335,000 |
||
|
720 |
|
XL Capital Ltd, 6.50%, 5/15/07 |
A3/A- |
16,588,800 |
||
|
|
|
|
|
64,720,092 |
||
|
|
|
Oil & Gas-1.5% |
|
|
||
|
203 |
|
Chesapeake Energy Corp., 5.00%, 12/31/49 |
NR/B |
22,978,550 |
||
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals-1.1% |
|
|
||
|
306 |
|
Schering-Plough Corp., 6.00%, 9/14/07 |
Baa3/BBB |
16,554,871 |
||
|
|
|
|
|
|
||
|
|
|
Real Estate-1.1% |
|
|
||
|
677 |
|
FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A, REIT |
B2/B- |
17,173,800 |
||
|
|
|
|
|
|
||
|
|
|
Telecommunications-1.2% |
|
|
||
|
330 |
|
Crown Castle International Corp., 6.25%, 8/15/12 |
NR/NR |
18,397,500 |
||
|
|
|
|
|
|
||
|
|
|
Waste Disposal-1.1% |
|
|
||
|
51 |
|
Allied Waste Industries, Inc., 6.25%, 3/1/08, Ser. D |
Caa1/B |
17,276,025 |
||
|
|
|
|
|
|
||
|
|
|
Total Convertible Preferred Stock (cost-$441,644,762) |
|
455,734,872 |
||
|
|
|
|
|
|
|
|
|
CONVERTIBLE BONDS & NOTES-23.0% |
||||||
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
(000) |
|
|
|
|
|
|
|
|
|
Airlines-1.4% |
|
|
||
|
$20,572 |
|
Continental Airlines, Inc., 4.50%, 2/1/07 |
Caa1/CCC+ |
22,089,185 |
||
|
|
|
|
|
|
||
|
|
|
Banks-0.9% |
|
|
||
|
14,000 |
|
UBS AG Jersey Branch, 22.00%, 8/15/07 (a) |
NR/NR |
14,262,500 |
||
|
|
|
|
|
|
|
|
|
Nicholas-Applegate Convertible & Income Fund Schedule of Investments |
||||||
|
November 30, 2006 (unaudited) |
||||||
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
Credit Rating |
|
|
|
(000) |
|
|
|
(Moody's/S&P) |
Value* |
|
|
|
|
Commercial Services-2.9% |
|
|
||
|
$9,100 |
|
Bowne & Co., Inc., 5.00%, 10/1/33 |
B2/B- |
$9,445,800 |
||
|
13,440 |
|
Memberworks, Inc., 5.50%, 10/1/10 |
NR/B- |
15,304,800 |
||
|
20,614 |
|
Quebecor World USA, Inc., 6.00%, 10/1/07 |
B3/B- |
20,382,093 |
||
|
|
|
|
|
45,132,693 |
||
|
|
|
Computers-1.2% |
|
|
||
|
16,400 |
|
Maxtor Corp., 6.80%, 4/30/10 |
Ba1/NR |
18,778,000 |
||
|
|
|
|
|
|
||
|
|
|
Electric-1.3% |
|
|
||
|
6,075 |
|
PG&E Corp., 9.50%, 6/30/10 |
NR/NR |
20,169,000 | ||
|
|
|
|
|
| ||
|
|
|
Multi-Media-1.4% |
|
| ||
|
20,995 |
|
EchoStar Communications Corp., 5.75%, 5/15/08 |
B1/B |
21,414,900 | ||
|
|
|
|
|
| ||
|
|
|
Oil & Gas-1.2% |
|
| ||
|
14,100 |
|
Devon Energy Corp., 4.95%, 8/15/08 |
Baa2/BBB |
19,405,125 | ||
|
|
|
|
|
| ||
|
|
|
Pharmaceuticals-1.1% |
|
| ||
|
16,950 |
|
Sepracor, Inc., 5.00%, 2/15/07 |
NR/B- |
16,950,000 | ||
|
|
|
|
|
| ||
|
|
|
Retail-1.3% |
|
| ||
|
21,008 |
|
Sonic Automotive, Inc., 5.25%, 5/7/09 |
B2/B |
20,010,120 | ||
|
|
|
|
|
| ||
|
|
|
Semi-Conductors-1.4% |
|
| ||
|
4,363 |
|
Amkor Technology, Inc., 5.00%, 3/15/07, Ser. AMKR |
Caa3/CCC |
4,357,546 | ||
|
16,750 |
|
Fairchild Semiconductor Corp., 5.00%, 11/1/08 |
NR/B |
16,687,188 | ||
|
|
|
|
|
21,044,734 | ||
|
|
|
Telecommunications-7.4% |
|
| ||
|
19,000 |
|
American Tower Corp., 5.00%, 2/15/10 |
Ba3/BB- |
19,023,750 | ||
|
15,900 |
|
CenturyTel, Inc., 4.75%, 8/1/32 |
Baa2/BBB |
17,191,875 | ||
|
3,200 |
|
Ciena Corp., 3.75%, 2/1/08 |
B2/B |
3,116,000 | ||
|
20,550 |
|
Level 3 Communications, Inc., 6.00%, 3/15/10 |
Caa3/CCC- |
18,803,250 | ||
|
19,800 |
|
Lucent Technologies, Inc., 8.00%, 8/1/31 |
B3/B |
19,923,750 | ||
|
20,500 |
|
Nextel Communications, Inc., 5.25%, 1/15/10 |
Baa3/BBB+ |
20,346,250 | ||
|
16,845 |
|
Nortel Networks Corp., 4.25%, 9/1/08 |
B3/B- |
16,276,481 | ||
|
|
|
|
|
114,681,356 | ||
|
|
|
Trucking/Leasing-1.5% |
|
| ||
|
17,500 |
|
GATX Corp., 7.50%, 2/1/07 |
Baa3/BBB |
23,778,125 | ||
|
|
|
|
|
| ||
|
|
|
Total Convertible Bonds & Notes (cost-$345,480,212) |
|
357,715,738 | ||
|
| ||||||
|
U.S. GOVERNMENT SECURITIES-1.9% |
|
|
| |||
|
|
|
United States Treasury Notes, |
|
| ||
|
10,785 |
|
10.375%, 11/15/12 |
|
11,338,162 | ||
|
16,275 |
|
12.00%, 8/15/13 |
|
18,221,653 | ||
|
|
|
Total U.S. Government Securities (cost-$32,088,019) |
|
29,559,815 | ||
|
|
|
|
|
|
|
|
|
Common Stock-0.5% |
|
|
| |||
|
Shares |
|
|
|
|
| |
|
(000) |
|
|
|
|
| |
|
|
|
Oil & Gas-0.5% |
|
| ||
|
169 |
|
Hess Corp. (cost-$4,563,348) |
|
|
8,516,844 | |
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS-3.7% |
|
|
| |||
|
Principal |
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
(000) |
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes – 0.9% |
|
|
||
|
|
|
Hotels/Gaming-0.7% |
|
|
||
|
$10,500 |
|
Mandalay Resort Group, Inc., 10.25%, 8/1/07, Ser. B |
B1/B+ |
10,788,750 |
||
|
|
|
|
|
|
||
|
|
|
Real Estate-0.2% |
|
|
||
|
2,715 |
|
Host Marriot L.P., 9.50%, 1/15/07, Ser. I, REIT |
NR/NR |
2,725,181 |
||
|
|
|
|
|
|
||
|
|
|
Total Corporate Bonds & Notes (cost-$13,450,970) |
|
13,513,931 |
||
|
Nicholas-Applegate Convertible & Income Fund Schedule of Investments | ||||||
|
November 30, 2006 (unaudited) | ||||||
|
Principal |
|
|
|
|
| |
|
Amount |
|
|
|
|
| |
|
(000) |
|
|
|
|
Value* | |
|
|
|
Time Deposit-2.8% |
|
| ||
|
$44,186 |
|
Bank of America – London, 4.61%, 12/01/06 |
|
$44,186,232 | ||
|
|
|
(cost-$44,186,232) |
|
| ||
|
|
|
|
|
| ||
|
|
|
Total Short-Term Investments (cost-$57,637,202) |
|
57,700,163 | ||
|
|
|
|
|
| ||
|
|
|
Total Investments (cost-$1,508,582,343)—100.0% |
|
$1,552,993,403 | ||
|
|
|
|
|
|
|
|
|
Other Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate cap agreement outstanding at November 30, 2006: |
|
|
|
|||
|
|
|
Notional |
Termination |
|
Payment received |
Unrealized |
|
Counterparty |
|
Amount |
Date |
Premium |
by Fund |
Depreciation |
|
UBS AG |
|
$525,000,000 |
1/15/08 |
$15,041,250 |
1 month LIBOR-BBA over 3% strike price |
$(2,692,250) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notes to Schedule of Investments |
|
|
|
|
||
| * | Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to guidelines established by the Board of Trustees. The Fund’s investments are valued daily by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the last quoted bid price on corporate bonds and notes or the last quoted mean price on convertible securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original 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. The Fund’s net asset value is determined daily as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (“NYSE”) on each day the NYSE is open for business. | |
| (a) | 144A-security — Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated these securities are not considered to be illiquid. |
|
| (b) | Credit-linked trust certificate. |
|
| (c) | Variable rate security. Interest rate disclosed reflects the rate in effect on November 30, 2006. |
LIBOR — London
Interbank Offered Rate
NR — Not Rated
REIT — Real Estate Investment Trust
Item 2. Controls and Procedures
(a) The registrant’s President and Chief Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant’s internal controls or in factors that could affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 3. Exhibits
(a) Exhibit 99.302 Cert. – Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: Nicholas-Applegate Convertible & Income Fund
By /s/ Brian S. Shlissel
President & Chief Executive Officer
Date: January 24, 2007
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: January 24, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dated indicated.
By /s/ Brian S. Shlissel
President & Chief Executive Officer
Date: January 24, 2007
By /s/ Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Date: January 24, 2007