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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: 811-21284

 

 

AGIC Convertible & Income Fund

(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 Schedule of Investments

November 30, 2011 (unaudited)

 

		Principal Amount (000s)				Value*
CORPORATE BONDS & NOTES—47.0%
				Advertising—0.8%
		$8,230		Affinion Group, Inc., 11.50%, 10/15/15		$	7,201,250
				Aerospace & Defense—0.2%
		1,730		BE Aerospace, Inc., 8.50%, 7/1/18			1,877,050
				Airlines—0.7%
		6,250		United Airlines, Inc., 12.00%, 11/1/13 (a)(b)			6,484,375
				Apparel—0.1%
		750		Quiksilver, Inc., 6.875%, 4/15/15			701,250
				Auto Manufacturers—0.7%
		7,410		Chrysler Group LLC, 8.25%, 6/15/21 (a)(b)(c)			6,422,247
				Chemicals—0.7%
		9,005		Momentive Performance Materials, Inc., 11.50%, 12/1/16			6,483,600
				Commercial Services—2.8%
		10,945		Cenveo Corp., 10.50%, 8/15/16 (a)(b)			9,303,250
		5,705		DynCorp International, Inc., 10.375%, 7/1/17			4,991,875
		11,000		National Money Mart Co., 10.375%, 12/15/16			11,742,500
							26,037,625
				Construction & Engineering—1.1%
		9,695		MasTec, Inc., 7.625%, 2/1/17			10,143,394
				Consumer Finance—0.4%
		5,775		Springleaf Finance Corp., 6.90%, 12/15/17			3,912,563
				Diversified Consumer Services—0.4%
		4,105		Cambium Learning Group, Inc., 9.75%, 2/15/17			4,125,525
				Diversified Financial Services—1.5%
		10,085		Community Choice Financial, Inc., 10.75%, 5/1/19 (a)(b)			9,958,937
		3,995		International Lease Finance Corp., 6.375%, 3/25/13			3,975,025
							13,933,962
				Diversified Telecommunications—1.0%
		10,275		Cincinnati Bell, Inc., 8.75%, 3/15/18			9,196,125
				Electric—1.3%
		8,705		Edison Mission Energy, 7.00%, 5/15/17			5,505,912
				Texas Competitive Electric Holdings Co. LLC,
		750		11.50%, 10/1/20 (a)(b)			626,250
		10,800		15.00%, 4/1/21			6,426,000
							12,558,162
				Electronic Equipment, Instruments & Components—1.0%
		8,785		Kemet Corp., 10.50%, 5/1/18			9,290,137
				Energy Equipment & Services—1.1%
		9,795		Pioneer Drilling Co., 9.875%, 3/15/18			10,150,069
				Food & Staples Retailing—1.0%
		9,655		Rite Aid Corp., 8.625%, 3/1/15			9,027,425
				Health Care Providers & Services—1.5%
		7,125		ExamWorks Group, Inc., 9.00%, 7/15/19 (a)(b)			6,394,687
		9,910		Rotech Healthcare, Inc., 10.50%, 3/15/18			7,680,250
							14,074,937
				Healthcare-Services—0.2%
		3,280		Alliance HealthCare Services, Inc., 8.00%, 12/1/16			2,246,800
				Home Builders—0.8%
				K Hovnanian Enterprises, Inc.,
		7,360		2.00%, 11/1/21 (a)(b)			3,128,000
		5,575		10.625%, 10/15/16			4,446,063
							7,574,063
				Hotels, Restaurants & Leisure—1.7%
		6,270		DineEquity, Inc., 9.50%, 10/30/18			6,520,800
		8,405		MGM Resorts International, 11.375%, 3/1/18			9,098,412
							15,619,212
				Household Durables—0.8%
		5,045		Beazer Homes USA, Inc., 9.125%, 5/15/19			3,317,088
		3,950		Jarden Corp., 7.50%, 5/1/17			4,206,750
							7,523,838
				Household Products/Wares—0.7%
		7,610		Reynolds Group Issuer, Inc., 9.875%, 8/15/19 (a)(b)			7,001,200
				Internet Software & Services—0.9%
		9,060		Earthlink, Inc., 8.875%, 5/15/19			8,607,000

 

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AGIC Convertible & Income Fund Schedule of Investments

November 30, 2011 (unaudited)

 

		Principal Amount (000s)				Value*
				IT Services—0.9%
		$2,615		Stream Global Services, Inc., 11.25%, 10/1/14		$	2,680,375
				Unisys Corp., (a)(b)
		3,085		12.75%, 10/15/14			3,505,331
		2,174		14.25%, 9/15/15			2,470,208
							8,655,914
				Leisure Time—1.6%
				NCL Corp. Ltd.,
		1,000		9.50%, 11/15/18			1,060,000
		9,900		11.75%, 11/15/16			11,484,000
		8,855		Travelport LLC, 11.875%, 9/1/16			2,922,150
							15,466,150
				Lodging—1.0%
		12,385		Caesars Entertainment Operating Co., Inc., 12.75%, 4/15/18			9,257,788
				Media—1.6%
		6,155		McClatchy Co., 11.50%, 2/15/17			5,739,537
		6,750		Media General, Inc., 11.75%, 2/15/17			6,311,250
		2,555		Sirius XM Radio, Inc., 8.75%, 4/1/15 (a)(b)			2,784,950
							14,835,737
				Metals & Mining—0.5%
		5,465		Thompson Creek Metals Co., Inc., 7.375%, 6/1/18 (a)(b)			4,617,925
				Miscellaneous Manufacturing—0.8%
		10,150		Harland Clarke Holdings Corp., 9.50%, 5/15/15			7,561,750
				Oil & Gas—2.4%
		9,050		Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17			9,321,500
		6,915		Milagro Oil & Gas, 10.50%, 5/15/16 (a)(b)			4,944,225
		8,425		United Refining Co., 10.50%, 2/28/18			7,982,687
							22,248,412
				Oil & Gas Services—0.0%
		219		Allis-Chalmers Energy, Inc., 9.00%, 1/15/14			217,905
				Oil, Gas & Consumable Fuels—1.7%
		8,750		SandRidge Energy, Inc., 9.875%, 5/15/16 (a)(b)			9,056,250
		6,260		Western Refining, Inc., 11.25%, 6/15/17 (a)(b)			6,995,550
							16,051,800
				Paper & Forest Products—0.2%
		2,041		Louisiana-Pacific Corp., 13.00%, 3/15/17			2,020,590
				Personal Products—0.1%
		780		Revlon Consumer Products Corp., 9.75%, 11/15/15			834,600
				Retail—1.9%
		11,630		Neiman Marcus Group, Inc., 10.375%, 10/15/15			12,090,316
		5,115		Sally Holdings LLC, 10.50%, 11/15/16			5,396,376
							17,486,692
				Semiconductors & Semiconductor Equipment—1.5%
		4,075		Advanced Micro Devices, Inc., 8.125%, 12/15/17			4,166,688
				Freescale Semiconductor, Inc.,
		5,035		10.125%, 3/15/18 (a)(b)			5,362,275
		4,345		10.75%, 8/1/20			4,475,350
							14,004,313
				Software—1.1%
				First Data Corp.,
		8,440		9.875%, 9/24/15			7,701,500
		2,850		12.625%, 1/15/21 (a)(b)			2,365,500
							10,067,000
				Specialty Retail—0.4%
		4,160		Brown Shoe Co., Inc., 7.125%, 5/15/19			3,931,200
				Telecommunications—5.7%
		5,845		Intelsat Jackson Holdings S.A., 9.50%, 6/15/16			6,108,025
		9,115		ITC Deltacom, Inc., 10.50%, 4/1/16			9,445,419
		8,220		Nextel Communications, Inc., 7.375%, 8/1/15			7,274,700
		5,090		NII Capital Corp., 8.875%, 12/15/19			5,420,850
		10,480		West Corp., 11.00%, 10/15/16			11,095,700
		13,585		WireCo WorldGroup, 9.75%, 5/15/17 (a)(b)			13,924,625
							53,269,319
				Textiles, Apparel & Luxury Goods—0.8%
		1,000		Liz Claiborne, Inc., 10.50%, 4/15/19 (a)(b)			1,065,000
		5,965		Oxford Industries, Inc., 11.375%, 7/15/15			6,561,500
							7,626,500
				Trading Companies & Distributors—0.3%
		2,355		Aircastle Ltd., 9.75%, 8/1/18			2,472,750

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AGIC Convertible & Income Fund Schedule of Investments

November 30, 2011 (unaudited)

 

		Principal Amount (000s)				Value*
				Transportation—2.4%
		$9,825		Quality Distribution LLC, 9.875%, 11/1/18		$	9,898,687
		8,610		Swift Services Holdings, Inc., 10.00%, 11/15/18			8,997,450
		8,570		Western Express, Inc., 12.50%, 4/15/15 (a)(b)			3,213,750
							22,109,887
				Wireless Telecommunication Services—0.7%
		6,050		Crown Castle International Corp., 9.00%, 1/15/15			6,609,625
				Total Corporate Bonds & Notes (cost-$470,346,101)			439,537,666
		Shares
		CONVERTIBLE PREFERRED STOCK—28.4%
				Airlines—0.9%
		313,435		Continental Airlines Finance Trust II, 6.00%, 11/15/30			8,658,642
				Auto Components—1.2%
		226,835		Goodyear Tire & Rubber Co., 5.875%, 4/1/14			10,976,546
				Automobiles—0.9%
		238,015		General Motors Co., 4.75%, 12/1/13, Ser. B			8,125,832
				Capital Markets—2.0%
		177,590		AMG Capital Trust I, 5.10%, 4/15/36			8,006,467
		168,220		The Goldman Sachs Group, Inc., 6.00%, 3/2/12 (Wellpoint, Inc.) (d)			10,989,140
							18,995,607
				Commercial Banks—2.4%
		81,250		Fifth Third Bancorp, 8.50%, 6/30/13, Ser. G (e)			11,543,188
		10,160		Wells Fargo & Co., 7.50%, 3/15/13, Ser. L (e)			10,708,640
							22,251,828
				Commercial Services & Supplies—0.7%
		150,256		United Rentals, Inc., 6.50%, 8/1/28			6,977,513
				Diversified Financial Services—2.9%
		15,075		Bank of America Corp., 7.25%, 1/30/13, Ser. L (e)			11,682,974
		65,270		Citigroup, Inc., 7.50%, 12/15/12			5,498,998
		189,635		Credit Suisse Securities USA LLC, 7.00%, 8/9/12 (Baxter International, Inc.) (d)			9,769,995
							26,951,967
				Electric Utilities—2.4%
				NextEra Energy, Inc.,
		25,000		7.00%, 9/1/13			1,315,000
		183,475		8.375%, 6/1/12			9,265,487
		207,365		PPL Corp., 9.50%, 7/1/13			11,828,100
							22,408,587
				Food Products—1.0%
		101,190		Bunge Ltd., 4.875%, 12/1/11 (e)			9,853,376
				Health Care Providers & Services—1.1%
		11,340		HealthSouth Corp., 6.50%, 12/31/49, Ser. A (e)			9,925,335
				Household Durables—2.2%
		259,380		Newell Financial Trust I, 5.25%, 12/1/27			11,120,918
		83,445		Stanley Black & Decker, Inc., 4.75%, 11/17/15			9,524,412
							20,645,330
				Insurance—1.4%
		78,565		Assured Guaranty Ltd., 8.50%, 6/1/12			3,226,665
		161,660		MetLife, Inc., 5.00%, 9/11/13			9,827,311
							13,053,976
				IT Services—0.5%
		64,885		Unisys Corp., 6.25%, 3/1/14			4,504,317
				Multi-Utilities—1.3%
		239,645		AES Trust III, 6.75%, 10/15/29			11,764,173
				Oil, Gas & Consumable Fuels—2.2%
		157,125		Apache Corp., 6.00%, 8/1/13			8,937,270
		36,250		ATP Oil & Gas Corp., 8.00%, 10/1/14 (a)(b)(e)			1,409,219
		119,250		Chesapeake Energy Corp., 5.00%, 12/31/49 (e)			10,180,968
							20,527,457
				Professional Services—1.0%
		170,790		Nielsen Holdings NV, 6.25%, 2/1/13			9,799,930
				Real Estate Investment Trust—3.2%
		439,700		Alexandria Real Estate Equities, Inc., 7.00%, 4/20/13 (e)			10,328,553
		434,200		FelCor Lodging Trust, Inc., 1.95%, 12/31/49, Ser. A (e)			9,270,170
		208,680		Health Care REIT, Inc., 6.50%, 4/20/18, Ser. I (e)			10,204,452
							29,803,175
				Road & Rail—1.1%
		1,096,595		2010 Swift Mandatory Common Exchange Security Trust, 6.00%, 12/31/13 (b)			10,421,820
				Total Convertible Preferred Stock (cost-$276,393,708)			265,645,411

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AGIC Convertible & Income Fund Schedule of Investments

November 30, 2011 (unaudited)

 

		Principal Amount (000s)				Value*
CONVERTIBLE BONDS & NOTES—23.2%
				Aerospace & Defense—1.0%
		$10,460		GenCorp, Inc., 4.063%, 12/31/39		$	9,623,200
				Capital Markets—1.5%
		10,755		Ares Capital Corp., 5.75%, 2/1/16 (a)(b)			10,217,250
		4,055		BGC Partners, Inc., 4.50%, 7/15/16 (a)(b)			3,679,913
							13,897,163
				Diversified Telecommunication Services—1.0%
		7,410		Level 3 Communications, Inc., 15.00%, 1/15/13			9,123,562
				Electrical Equipment—1.8%
		10,060		EnerSys, 3.375%, 6/1/38 (f)			9,971,975
		9,675		JA Solar Holdings Co., Ltd., 4.50%, 5/15/13			6,627,375
							16,599,350
				Electronic Equipment, Instruments & Components—0.9%
		7,055		Anixter International, Inc., 1.00%, 2/15/13			8,148,525
				Health Care Equipment & Supplies—0.7%
		2,785		Alere, Inc., 3.00%, 5/15/16			2,624,863
		4,885		NuVasive, Inc., 2.75%, 7/1/17			3,572,156
							6,197,019
				Hotels, Restaurants & Leisure—1.6%
		9,075		MGM Resorts International, 4.25%, 4/15/15			8,439,750
		8,630		Morgans Hotel Group Co., 2.375%, 10/15/14			7,055,025
							15,494,775
				Internet Software & Services—1.1%
		2,620		Digital River, Inc., 2.00%, 11/1/30 (a)(b)			2,154,950
		7,670		Equinix, Inc., 2.50%, 4/15/12			7,928,862
							10,083,812
				IT Services—1.0%
		6,725		Alliance Data Systems Corp., 1.75%, 8/1/13			9,179,625
				Machinery—2.7%
		3,400		AGCO Corp., 1.25%, 12/15/36			4,386,000
		12,875		Greenbrier Cos, Inc., 3.50%, 4/1/18 (a)(b)(c)			12,046,172
		12,480		Meritor, Inc., 4.625%, 3/1/26 (f)			9,344,400
							25,776,572
				Media—2.0%
		7,480		Interpublic Group of Cos, Inc., 4.25%, 3/15/23			7,667,000
				Liberty Media LLC,
		8,080		3.125%, 3/30/23			8,867,800
		4,400		3.50%, 1/15/31			2,431,000
							18,965,800
				Metals & Mining—0.6%
		4,910		Steel Dynamics, Inc., 5.125%, 6/15/14			5,339,625
				Oil, Gas & Consumable Fuels—1.1%
		6,350		Peabody Energy Corp., 4.75%, 12/15/41			6,675,438
		3,685		Petroleum Development Corp., 3.25%, 5/15/16 (a)(b)			3,850,825
							10,526,263
				Pharmaceuticals—0.7%
		6,920		Mylan, Inc., 1.25%, 3/15/12			6,954,600
				Real Estate Investment Trust—1.8%
		8,150		Boston Properties LP, 3.75%, 5/15/36			9,260,437
		6,900		Health Care REIT, Inc., 4.75%, 12/1/26			7,452,000
							16,712,437
				Semiconductors & Semiconductor Equipment—2.5%
		15,580		Advanced Micro Devices, Inc., 5.75%, 8/15/12			15,755,275
		9,920		SunPower Corp., 4.75%, 4/15/14			7,415,200
							23,170,475
				Software—1.0%
		6,335		Nuance Communications, Inc., 2.75%, 8/15/27			8,971,944
				Thrifts & Mortgage Finance—0.2%
		4,025		MGIC Investment Corp., 5.00%, 5/1/17			2,153,375
				Total Convertible Bonds & Notes (cost-$201,363,321)			216,918,122

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AGIC Convertible & Income Fund Schedule of Investments

November 30, 2011 (unaudited)

 

		Principal Amount (000s)				Value*
YANKEE BOND—0.3%
				Marine—0.3%
		$4,805		DryShips, Inc., 5.00%, 12/1/14 (cost-$4,987,257)		$	3,249,381
SHORT-TERM INVESTMENT—1.1%
				Time Deposit—1.1%
		10,365		Citibank-London, 0.03%, 12/1/11 (cost-$10,364,548)			10,364,548
				Total Investments (cost-$963,454,935)(g)—100.0%		$	935,715,128

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 $142,982,864, representing 15.3% 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 $18,468,419, representing 2.0% 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 $965,263,610. Gross unrealized appreciation was $57,462,426, gross unrealized depreciation was $87,010,908 and net unrealized depreciation was $29,548,482. 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.

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.

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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			—				—			$	6,422,247			$	6,422,247
All Other			—			$	433,115,419				—				433,115,419
Convertible Preferred Stock:
Airlines			—				8,658,642				—				8,658,642
Capital Markets			—				18,995,607				—				18,995,607
Commercial Banks		$	10,708,640				11,543,188				—				22,251,828
Commercial Services & Supplies			–				6,977,513				—				6,977,513
Diversified Financial Services			17,181,972				9,769,995				—				26,951,967
Health Care Providers & Services			–				9,925,335				—				9,925,335
Household Durables			9,524,412				11,120,918				—				20,645,330
Insurance			9,827,311				3,226,665				—				13,053,976
Oil, Gas & Consumable Fuels			8,937,270				11,590,187				—				20,527,457
Professional Services			—				9,799,930				—				9,799,930
Road & Rail			—				10,421,820				—				10,421,820
All Other			97,436,006				—				—				97,436,006
Convertible Bonds & Notes:
Machinery			—				13,730,400				12,046,172				25,776,572
All Other			—				191,141,550				—				191,141,550
Yankee Bond			—				3,249,381				—				3,249,381
Short-Term Investment			—				10,364,548				—				10,364,548
Total Investments in Securities—Assets		$	153,615,611			$	763,631,098			$	18,468,419			$	935,715,128

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			—			$	6,344,100				—			$	17,779				—			$	60,368				—				—			$	6,422,247
Hotels, Restaurants & Leisure		$	2,575,929				—			$	(2,069,091	)			—			$	(1,298,981	)			792,143				—				—				—
Convertible Preferred Stock:
Capital Markets			4,759,862				—				(8,414,747	)			—				(33,912,502	)			37,567,387				—				—				—
Convertible Bonds & Notes:
Machinery			—				11,205,205								69,238				—				771,729				—				—				12,046,172
Total Investments		$	7,335,791			$	17,549,305			$	(10,483,838	)		$	87,017			$	(35,211,483	)		$	39,191,627				—				—			$	18,468,419

The net change in unrealized appreciation/depreciation of Level 3 investments which the Fund held at November 30, 2011 was $832,097.

* 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

 

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