UNITED STATES
                                                    SECURITIES AND EXCHANGE COMMISSION OMB APPROVAL
                                                     Washington, DC 20549 OMB Number: 3235-0578
  Expires: February 28, 2006
                                                        FORM N-Q Estimated average burden
  hours per response: 20.0
                                                      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: 2/28/06

Date of Reporting Period: 11/30/05

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, 2005 (unaudited) 
Principal        
Amount     Credit Rating    
(000)     (Moody’s/S&P)   Value* 
CORPORATE BONDS & NOTES—42.2%     
  Apparel—0.9%     
  Levi Strauss & Co.,     
$  2,000        9.75%, 1/15/15  Caa2/B-   $ 2,080,000 
7,055        12.25%, 12/15/12  Caa2/B-   7,883,962 
3,085   Phillips-Van Heusen Corp., 8.125%, 5/1/13  B1/BB   3,254,675 
580   Warnaco, Inc., 8.875%, 6/15/13  B1/BB-   627,850 
      13,846,487 
  Automotive—0.8%     
3,335   Goodyear Tire & Rubber Co., 11.00%, 3/1/11, Ser. AI (a)  B3/NR   3,710,187 
11,543   HLI Operating Co., Inc., 10.50%, 6/15/10  Caa3/B-   9,003,540 
      12,713,727 
  Chemicals—4.1%     
5,713   Huntsman LLC, 11.625%, 10/15/10  Ba3/BB-   6,491,396 
13,590   IMC Global, Inc., 11.25%, 6/1/11  Ba3/BB   14,745,150 
  Lyondell Chemical Co.,     
3,120        9.625%, 5/1/07, Ser. A  B1/BB-   3,268,200 
5,115        10.875%, 5/1/09  B3/B   5,319,600 
5,435        11.125%, 7/15/12  B1/BB-   6,114,375 
5,125   PolyOne Corp., 10.625%, 5/15/10  B3/B+   5,278,750 
12,450   Resolution Performance Products LLC, 13.50%, 11/15/10  Caa2/B-   13,150,313 
7,440   Rhodia S.A., 10.25%, 6/1/10  B3/CCC+   8,202,600 
      62,570,384 
  Commercial Services—1.1%     
11,990   Integrated Electrical Services, Inc., 9.375%, 2/1/09, Ser. C  Caa3/C   6,294,750 
10,005   Vertrue, Inc., 9.25%, 4/1/14  B2/B   10,305,150 
      16,599,900 
  Electric—3.2%     
13,025   AES Corp., 9.50%, 6/1/09  B1/B-   14,034,438 
12,750   Mission Energy Holdings Co., 13.50%, 7/15/08  B2/CCC+   14,821,875 
11,755   PSEG Energy Holdings LLC, 10.00%, 10/1/09  Ba3/BB-   12,901,112 
7,180   Reliant Energy, Inc., 9.50%, 7/15/13  B1/B+   7,323,600 
      49,081,025 
  Electronics—2.2%     
9,095   IMAX Corp., 9.625%, 12/1/10  B3/B-   9,595,225 
10,100   Sanmina-SCI Corp., 10.375%, 1/15/10  Ba2/BB-   11,034,250 
12,400   Stoneridge, Inc., 11.50%, 5/1/12  B1/B+   12,772,000 
      33,401,475 
  Environmental Control—0.8%     
10,495   Aleris International, Inc., 10.375%, 10/15/10  B2/B+   11,478,906 
  Financial Services—1.3%     
11,080   Alamosa Delaware, Inc., 11.00%, 7/31/10  Caa1/CCC+   12,575,800 
6,245   AMR Holdings Co., 10.00%, 2/15/15 (a)  Caa1/B-   6,588,475 
1,000   Medcath Holdings Corp., 9.875%, 7/15/12  Caa1/B-   1,065,000 
      20,229,275 
  Food Products—0.8%     
11,645   Pilgrim's Pride Corp., 9.625%, 9/15/11  Ba2/BB-   12,314,588 
 
  Healthcare—0.6%     
5,730   Alliance Imaging, Inc., 7.25%, 12/15/12  B3/B-   4,813,200 
3,941   Hanger Orthopedic Group, Inc., 11.25%, 6/15/09  NR/CCC+   3,970,557 
      8,783,757 
  Home Builders—1.6%     
12,325   Ryland Group, Inc., 9.125%, 6/15/11  Ba2/BB+   13,067,470 
11,620   William Lyon Homes, Inc., 10.75%, 4/1/13  B2/B   11,968,600 
      25,036,070 
  Household Products—1.7%     
10,290   Central Garden & Pet Co., 9.125%, 2/1/13  B1/B+   10,830,225 
13,910   Jarden Corp., 9.75%, 5/1/12  B3/B-   14,327,300 
      25,157,525 

Nicholas-Applegate Convertible & Income Fund Schedule of Investments 
November 30, 2005 (unaudited) 
Principal        
Amount     Credit Rating    
(000)     (Moody’s/S&P)   Value* 
  Iron/Steel—1.9%     
$    7,710   AK Steel Corp., 7.875%, 2/15/09  B1/B+   $ 7,363,050 
6,040   Oregon Steel Mills, Inc., 10.00%, 7/15/09  Ba3/B+   6,477,900 
14,170   United States Steel Corp., 10.75%, 8/1/08  Ba2/BB   15,640,138 
      29,481,088 
  Leisure—0.5%     
7,295   Equinox Holdings, Inc., 9.00%, 12/15/09  B3/B-   7,495,612 
 
  Lodging—0.7%     
10,500   Mandalay Resort Group, Inc., 10.25%, 8/1/07, Ser. B  Ba3/B+   11,208,750 
 
  Machinery—1.0%     
14,940   Case New Holland, Inc., 9.25%, 8/1/11  Ba3/BB-   15,836,400 
 
  Metals & Mining—0.8%     
11,665   Freeport-McMoRan Copper & Gold, Inc., 10.125%, 2/1/10  B1/B+   12,773,175 
 
  Miscellaneous—2.3%     
35,170   Dow Jones CDX High Yield, 10.50%, 12/29/09 (a)(b)  NR/NR   34,290,750 
 
  Multi-Media—3.9%     
12,870   CCH I LLC, 11.00%, 10/1/15 (a)  Caa3/CCC-   11,036,025 
2,715   CSC Holdings, Inc., 10.50%, 5/15/16  B2/B+   2,911,838 
5,700   Lodgenet Entertainment Corp., 9.50%, 6/15/13  B3/B-   6,213,000 
9,340   Mediacom Broadband LLC, 11.00%, 7/15/13  B2/B   10,040,500 
6,665   Salem Communications Holding Corp., 9.00%, 7/1/11, Ser. B  B2/B-   7,031,575 
8,140   Sirius Satellite Radio, Inc., 9.625%, 8/1/13 (a)  Caa1/CCC   7,956,850 
11,911   XM Satellite Radio, Inc., 12.00%, 6/15/10  Caa1/CCC+   13,399,875 
      58,589,663 
  Office/Business Equipment—0.4%     
5,565   Xerox Corp., 9.75%, 1/15/09  Ba2/BB-   6,163,238 
 
  Office Furnishings—1.1%     
  Interface, Inc.,     
5,375        9.50%, 2/1/14  Caa1/CCC   5,375,000 
6,490        10.375%, 2/1/10  B2/B-   6,976,750 
3,791   Tempur-Pedic, Inc., 10.25%, 8/15/10  B2/B   4,080,064 
      16,431,814 
  Oil & Gas— 1.1%     
10,500   Petroleum Geo-Services ASA, 10.00%, 11/5/10  B1/B+   11,891,250 
5,000   Seitel, Inc., 11.75%, 7/15/11  B3/NR   5,525,000 
      17,416,250 
  Paper Products—1.1%     
5,096   Buckeye Technologies, Inc., 9.25%, 9/15/08  Caa1/B   5,096,000 
9,935   Georgia-Pacific Corp., 9.375%, 2/1/13  Ba1/BB+   11,139,619 
      16,235,619 
  Pharmaceuticals—0.7%     
10,955   Leiner Health Products Corp., 11.00%, 6/1/12  Caa1/CCC+   10,188,150 
 
  Pipelines—1.2%     
4,275   Dynegy Holdings, Inc., 10.125%, 7/15/13 (a)  B3/B-   4,788,000 
13,330   Sonat, Inc., 7.625%, 7/15/11  Caa1/B-   13,296,675 
      18,084,675 
  Real Estate—0.2%     
2,715   Host Marriot L.P., 9.50%, 1/15/07, Ser. I, REIT  Ba2/BB-   2,830,388 
 
  Retail—3.4%     
5,420   EPL Finance Corp., 11.75%, 11/15/13 (a)  Caa1/CCC+   5,365,800 
3,250   GSC Holdings Corp., 8.00%, 10/1/12 (a)  Ba3/B+   3,136,250 
4,240   Mothers Work, Inc., 11.25%, 8/1/10  Caa1/B-   4,006,800 
8,675   Neiman-Marcus Group, Inc., 10.375%, 10/15/15 (a)  B3/B-   8,772,594 
10,000   R.H. Donnelley, Inc., 10.875%, 12/15/12  B2/B+   11,325,000 
13,575   Rite Aid Corp., 12.50%, 9/15/06  NR/B+   14,185,875 
5,085   United Auto Group, Inc., 9.625%, 3/15/12  B3/B   5,262,975 
      52,055,294 

Nicholas-Applegate Convertible & Income Fund Schedule of Investments 
November 30, 2005 (unaudited) 
Principal        
Amount     Credit Rating    
(000)     (Moody’s/S&P)   Value* 
  Semi-Conductors—0.8%     
$    9,085   Amkor Technology, Inc., 10.50%, 5/1/09  Caa3/CCC   $ 8,199,212 
3,795   Avago Technologies Finance, 10.125%, 12/1/13 (a)  B3/B   3,870,900 
      12,070,112 
  Telecommunications—2.0%     
7,000   Hawaiian Telcom Communications, Inc., 12.50%, 5/1/15 (a)  Caa1/B-   6,160,000 
13,800   Millicom International Cellular S.A., 10.00%, 12/1/13  B3/B-   14,265,750 
8,860   Time Warner Telecom, Inc., 10.125%, 2/1/11  Caa1/CCC+   9,258,700 
      29,684,450 
 
  Total Corporate Bonds & Notes (cost-$649,226,721)    642,048,547 
         
 
CONVERTIBLE BONDS & NOTES—32.2%     
  Aerospace—0.2%     
2,000   GenCorp, Inc., 4.00%, 1/16/24  Caa2/B   2,607,500 
 
  Airlines—1.2%     
20,572   Continental Airlines, Inc., 4.50%, 2/1/07  Caa2/CCC+   18,926,240 
 
  Auto Parts & Equipment—1.2%     
11,900   Goodyear Tire & Rubber Co., 4.00%, 6/15/34 (a)  B3/B-   18,415,250 
 
  Chemicals—0.9%     
6,760   Millennium Chemicals, Inc., 4.00%, 11/15/23  B1/BB-    13,359,450 
 
  Commercial Services—3.0%     
9,100   Bowne & Co., Inc., 5.00%, 10/1/33  B2/B-   9,850,750 
20,614   Quebecor World USA, Inc., 6.00%, 10/1/07  Ba3/B+   20,768,605 
13,440   Vertrue, Inc., 5.50%, 10/1/10  NR/B-   14,750,400 
      45,369,755 
  Computers—1.1%     
17,400   Maxtor Corp., 6.80%, 4/30/10  B2/NR   16,769,250 
 
  Electric—1.1%     
6,075   PG&E Corp., 9.50%, 6/30/10  NR/NR   16,934,063 
 
  Electrical Components & Equipment—0.6%     
7,250   Artesyn Technologies, Inc., 5.50%, 8/15/10  NR/NR   10,095,625 
 
  Financial Services—1.2%     
18,800   E*Trade Financial Corp., 6.00%, 2/1/07  NR/B-   19,082,000 
 
  Household Products—0.9%     
7,300   American Greetings Corp., 7.00%, 7/15/06  Ba2/BB+   13,979,500 
 
  Metals & Mining—1.5%     
12,600   Freeport-McMoRan Copper & Gold, Inc., 7.00%, 2/11/11  NR/B+   22,191,750 
 
  Multi-Media—1.3%     
20,995   EchoStar Communications Corp., 5.75%, 5/15/08  B2/B   20,548,856 
 
  Oil & Gas—1.1%     
14,100   Devon Energy Corp., 4.95%, 8/15/08  Baa2/BBB   16,426,500 
 
  Pharmaceuticals—2.4%     
9,650   Ligand Pharmaceuticals, Inc., 6.00%, 11/16/07  NR/NR   15,234,938 
20,950   Sepracor, Inc., 5.00%, 2/15/07  NR/CCC+   20,845,250 
      36,080,188 
  Real Estate—0.6%     
8,500   Capital Automotive, 6.00%, 5/15/24, REIT  NR/NR   9,296,875 
 
  Retail—2.0%     
6,105   Guitar Center, Inc., 4.00%, 7/15/13  B1/BB-   9,561,956 
21,008   Sonic Automotive, Inc., 5.25%, 5/7/09  B3/B   20,614,100 
      30,176,056 

Nicholas-Applegate Convertible & Income Fund Schedule of Investments 
November 30, 2005 (unaudited) 
Principal        
Amount     Credit Rating    
(000)     (Moody’s/S&P)   Value* 
  Semi-Conductors—2.5%     
$  15,900   Advanced Micro Devices, Inc., 4.75%, 2/1/22 (c)  B3/B-   $ 18,543,375 
  Amkor Technology, Inc.,     
2,363        5.00%, 3/15/07  Caa3/CCC   2,162,145 
17,379        5.75%, 6/1/06  Caa3/CCC   17,183,486 
      37,889,006 
  Telecommunications—7.0%     
19,000   American Tower Corp., 5.00%, 2/15/10  B1/BB-   19,000,000 
15,900   CenturyTel, Inc., 4.75%, 8/1/32  Baa2/BBB+   16,237,875 
7,090   Crown Castle International, Inc., 4.00%, 7/15/10  NR/NR   18,239,025 
19,800   Lucent Technologies, Inc., 8.00%, 8/1/31  B3/CCC+   20,196,000 
20,500   Nextel Communications, Inc., 5.25%, 1/15/10  Baa2/A-   20,653,750 
12,345   Nortel Networks Corp., 4.25%, 9/1/08  B3/B-   11,635,162 
      105,961,812 
  Transportation—0.9%     
9,150   Yellow Roadway Corp., 5.00%, 8/8/23  Ba1/BBB-   13,976,625 
 
  Trucking/Leasing—1.5%     
18,500   GATX Corp., 7.50%, 2/1/07  Baa3/BBB-   22,500,625 
 
  Total Convertible Bonds & Notes (cost-$478,106,256)    490,586,926 
         
 
CONVERTIBLE PREFERRED STOCK—19.4%     
Shares        
(000)        
 
  Automotive—0.6%     
284   Ford Motor Co. Capital Trust II, 6.50%, 1/15/32  Ba2/B+   8,758,652 
 
  Banking—1.1%     
322   Washington Mutual Capital Trust, 5.375%, 5/3/41  Baa1/BBB   17,063,928 
 
  Commercial Services—1.4%     
495   United Rentals Trust I, 6.50%, 8/1/28  Caa2/B   20,356,875 
 
  Electric—2.7%     
447   AES Trust III, 6.75%, 10/15/29  B3/CCC+   20,463,440 
315   FPL Group, Inc., 8.00%, 2/16/06  NR/A-   19,963,579 
      40,427,019 
 
  Financial Services—0.2%     
100   Citigroup Funding, Inc., 4.583%, 9/27/08, Ser. GNW (c)  Aa1/AA-   3,324,800 
  Food—1.1%     
747   Albertson's, Inc., 7.25%, 5/16/07  Baa3/BBB-   17,421,894 
 
  Holding Companies—1.2%     
178   Williams Cos., Inc., 5.50%, 6/1/33  NR/B-   18,559,200 
 
  Insurance—3.8%     
460   Genworth Financial, Inc., 6.00%, 5/16/07  A2/A   17,503,000 
137   Metlife, Inc., 6.375%, 8/15/08, Ser. B  NR/BBB+   3,901,418 
765   PMI Group, Inc., 5.875, 11/15/06  A1/A   18,895,500 
782   XL Capital Ltd, 6.50%, 5/15/07  A3/A-   17,258,740 
      57,558,658 
  Iron/Steel—0.5%     
46   U.S. Steel Corp., 7.00%, 6/15/06, Ser. B  NR/B   7,007,375 
 
  Office/Business Equipment—1.1%     
137   Xerox Corp., 6.25%, 7/1/06  B1/B-   16,511,760 

Nicholas-Applegate Convertible & Income Fund Schedule of Investments 
November 30, 2005 (unaudited) 
Shares     Credit Rating    
(000)     (Moody’s/S&P)   Value* 
  Oil & Gas—3.4%     
190   Amerada Hess Corp., 7.00%, 12/01/06  Ba3/BB   $ 19,769,500 
104   Chesapeake Energy Corp., 5.00%, 12/31/49  B2/B   18,760,019 
403   ONEOK, Inc., 8.50%, 2/16/06  Baa2/BBB   13,447,525 
      51,977,054 
  Pharmaceuticals—1.7%     
521   Schering-Plough Corp., 6.00%, 9/14/07  Baa3/BBB   26,456,640 
 
  Telecommunications—0.6%     
175   Crown Castle International Corp., 6.25%, 8/15/12  NR/NR   9,537,500 
 
  Total Convertible Preferred Stock (cost-$276,258,723)    294,961,345 
         
 
U.S. GOVERNMENT SECURITIES—2.5%     
Principal        
Amount        
(000)         
 
  United States Treasury Notes,     
$     16,275        10.375%, 11/15/12    18,074,152 
16,275        12.00%, 8/15/13    19,398,417 
  Total U.S Government Securities (cost-$38,152,062)    37,472,569 
         
 
COMMON STOCK—1.0%     
Shares        
(000)        
 
  Insurance—1.0%     
498   Platinum Underwriters Holdings Ltd. (cost-$15,661,118)    15,184,066 
         
 
SHORT-TERM INVESTMENTS—2.7%     
Principal        
Amount        
(000)        
 
  Time Deposits—2.7%     
$     40,328   Bank of America, 3.49%, due 12/01/05    40,327,857 
1,091   HSBC Bank, 3.49%, due 12/01/05    1,091,288 
  Total Short-Term Investments (cost-$41,419,145)    41,419,145 
 
  Total Investments (cost-$1,498,824,025)—100%    $ 1,521,672,598 

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 for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, may be 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, dealer quotations, or are valued at the last sale price on the exchange that is the primary market for such securities, or the last quoted bid 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. Prices obtained from 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 investments 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 at the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange.
 
(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, 2005.
 
Glossary: 
NR – Not Rated 
REIT – Real Estate Investment Trust 

Other Investments:

Interest rate cap agreements outstanding at November 30, 2005:

  Notional       Unrealized
  Amount Termination    Payment received  Appreciation
Counterparty  (000) Date  Premium  by Fund  (Depreciation)
UBS AG  $525,000 1/15/06  $5,131,875  1 month LIBOR-BBA 
      over 2% strike price  $(2,454,315) 
UBS AG    525,000 1/15/08  15,041,250  1 month LIBOR-BBA 
      over 3% strike price   3,234,750
        $    780,435  
     
     
LIBOR—London Interbank Offered Rate  


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 25, 2006

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

Date: January 25, 2006

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dated indicated.

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

Date: January 25, 2006

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

Date: January 25, 2006