N-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21319

 

 

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:

    Calamos Convertible and High Income Fund

 

ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:   

2020 Calamos Court, Naperville

Illinois 60563-2787

NAME AND ADDRESS OF AGENT FOR SERVICE:   

John P. Calamos, Sr., Chairman,

CEO and Co-CIO

Calamos Advisors LLC,

2020 Calamos Court,

Naperville, Illinois

60563-2787

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200

DATE OF FISCAL YEAR END: October 31, 2014

DATE OF REPORTING PERIOD: January 31, 2014

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  CORPORATE BONDS (57.8%)   
    Consumer Discretionary (10.3%)  
  1,603,000       

Bon-Ton Department Stores, Inc.^µ

8.000%, 06/15/21

     $1,554,910   
  322,000       

Brunswick Corp.µ*

4.625%, 05/15/21

     305,699   
  274,000       

Claire’s Stores, Inc.^*

7.750%, 06/01/20

     238,380   
  1,007,000       

Cogeco Cable, Inc.µ*

4.875%, 05/01/20

     986,860   
  5,504,000       

Cooper Tire & Rubber Company^µ

8.000%, 12/15/19

     6,026,880   
  5,794,000       

Dana Holding Corp.^µ

6.750%, 02/15/21

     6,268,384   
    DISH DBS Corp.µ  
  6,162,000        5.125%, 05/01/20     6,173,554   
  5,236,000        7.875%, 09/01/19     5,982,130   
  3,947,000       

Dufry Finance, SCAµ*

5.500%, 10/15/20

     4,075,277   
  2,788,000       

Golden Nugget Escrow, Inc.*

8.500%, 12/01/21

     2,850,730   
  838,000       

Goodyear Tire & Rubber Company^µ

8.250%, 08/15/20

     932,799   
  4,431,000       

Hasbro, Inc.^µ

6.600%, 07/15/28

     4,872,394   
   

Icahn Enterprises, LP*

  
  3,801,000        5.875%, 02/01/22     3,777,244   
  2,127,000        6.000%, 08/01/20     2,185,493   
  499,000       

4.875%, 03/15/19

     498,376   
  4,269,000       

Jaguar Land Rover Automotive, PLCµ*

8.125%, 05/15/21

     4,861,324   
   

L Brands, Inc.µ

  
  2,417,000        7.600%, 07/15/37     2,447,212   
  697,000        6.950%, 03/01/33^     690,030   
  604,000       

Lear Corp.µ*

4.750%, 01/15/23

     576,820   
  1,325,000       

Liberty Interactive, LLCµ

8.250%, 02/01/30

     1,410,297   
   

Meritage Homes Corp.µ

  
  3,303,000       

7.150%, 04/15/20

     3,608,527   
  1,760,000       

7.000%, 04/01/22^

     1,887,600   
  1,692,000       

NCL Corp. Ltd- Class C^

5.000%, 02/15/18

     1,757,565   
   

Neiman Marcus Group LTD, LLC*

  
  600,000       

8.750%, 10/15/21^

     631,500   
  479,000       

8.000%, 10/15/21

     502,651   
  2,622,000       

Netflix, Inc.µ*

5.375%, 02/01/21

     2,664,607   
  5,236,000       

Outerwall, Inc.µ

6.000%, 03/15/19

     5,399,625   
  959,000       

Quiksilver, Inc. / QS Wholesale, Inc.^µ*

7.875%, 08/01/18

     1,044,711   
  2,421,000       

Royal Caribbean Cruises, Ltd.^µ

7.500%, 10/15/27

     2,588,957   
   

Ryland Group, Inc.µ

  
  4,833,000        6.625%, 05/01/20     5,192,454   
  1,353,000        5.375%, 10/01/22     1,304,799   
    Sally Holdings, LLC / Sally Capital, Inc.µ  
  1,861,000        5.750%, 06/01/22^     1,894,731   
PRINCIPAL
AMOUNT		                 VALUE  
     
  947,000        5.500%, 11/01/23   $ 936,346   
    Service Corp. Internationalµ
  
  3,424,000        7.500%, 04/01/27     3,642,280   
  2,231,000        5.375%, 01/15/22*     2,265,859   
  2,642,000        Six Flags Entertainment Corp.µ*
5.250%, 01/15/21		     2,620,534   
  2,595,000        Taylor Morrison Communities, Inc.µ*
5.250%, 04/15/21		     2,534,991   
    Toll Brothers Finance Corp.
  
  3,222,000        5.625%, 01/15/24^     3,248,179   
  1,087,000        4.000%, 12/31/18µ     1,105,343   
  3,383,000        Viking Cruises, Ltd.*
8.500%, 10/15/22		     3,852,391   
     

 

 

  
        105,398,443   
     

 

 

  
    Consumer Staples (2.8%)  
  967,000        Alphabet Holding Company, Inc.*
7.750%, 11/01/17		     1,002,054   
  3,303,000        Fidelity & Guaranty Life Holdings, Inc.µ*
6.375%, 04/01/21		     3,451,635   
  5,297,000        JBS USA, LLCµ*
7.250%, 06/01/21		     5,548,607   
  4,833,000        Land O’Lakes, Inc.µ*
6.000%, 11/15/22		     5,008,196   
    Post Holdings, Inc.µ
  
  8,398,000        7.375%, 02/15/22^     8,943,870   
  387,000        7.375%, 02/15/22*     412,397   
  2,900,000        Smithfield Foods, Inc.µ
6.625%, 08/15/22		     3,068,562   
  1,450,000        Wells Enterprises, Inc.µ*
6.750%, 02/01/20		     1,491,688   
     

 

 

  
        28,927,009   
     

 

 

  
    Energy (12.5%)  
  3,006,000        Atwood Oceanics, Inc.µ
6.500%, 02/01/20		     3,220,177   
  2,417,000        Berry Petroleum Company
6.375%, 09/15/22		     2,462,319   
  2,417,000        Bonanza Creek Energy, Inc.
6.750%, 04/15/21		     2,531,807   
  1,676,000        BreitBurn Energy Partners, LP / BreitBurn Finance Corp.
7.875%, 04/15/22		     1,790,178   
  3,182,000        Bristow Group, Inc.µ
6.250%, 10/15/22		     3,374,909   
  2,618,000        Calfrac Holdings, LPµ*
7.500%, 12/01/20		     2,724,356   
    Calumet Specialty Products Partners, LP
  
  2,658,000        7.625%, 01/15/22     2,812,496   
  479,000        9.375%, 05/01/19µ     532,289   
    Calumet Specialty Products, LPµ
  
  2,107,000        9.375%, 05/01/19     2,338,770   
  1,611,000        9.625%, 08/01/20     1,831,506   
    Carrizo Oil & Gas, Inc.µ
  
  3,947,000        7.500%, 09/15/20     4,321,965   
  3,009,000        8.625%, 10/15/18     3,257,242   
  1,345,000        Chesapeake Oilfield Operating, LLCµ
6.625%, 11/15/19		     1,419,816   
  6,444,000        Cimarex Energy Company^µ
5.875%, 05/01/22		     6,907,162   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  6,203,000        Drill Rigs Holdings, Inc.^µ*
6.500%, 10/01/17		   $ 6,644,964   
  2,819,000        Energy Transfer Equity, LPµ
5.875%, 01/15/24		     2,822,524   
  2,014,000        EPL Oil & Gas, Inc.µ
8.250%, 02/15/18		     2,172,603   
  532,000        Forum Energy Technologies, Inc.µ*
6.250%, 10/01/21		     560,595   
  6,042,000        Gulfmark Offshore, Inc.µ
6.375%, 03/15/22		     6,109,972   
  5,832,000        Gulfport Energy Corp.µ
7.750%, 11/01/20		     6,298,560   
  4,028,000        Holly Energy Partners, LPµ
6.500%, 03/01/20		     4,224,365   
  5,236,000        Laredo Petroleum, Inc.
7.375%, 05/01/22		     5,769,417   
    Linn Energy, LLCµ  
  4,028,000        8.625%, 04/15/20^     4,380,450   
  2,417,000        7.000%, 11/01/19*^     2,457,787   
  1,611,000        7.750%, 02/01/21     1,708,667   
  806,000        6.500%, 05/15/19     829,173   
  1,289,000        Midstates Petroleum Company, Inc. / Midstates Petroleum Company, LLC
10.750%, 10/01/20		     1,403,399   
    Oasis Petroleum, Inc.µ  
  3,754,000        6.500%, 11/01/21     4,014,434   
  1,208,000        6.875%, 01/15/23     1,300,110   
  2,070,000        Pacific Drilling, SA*
5.375%, 06/01/20		     2,073,881   
  2,241,000        Petroleum Geo-Services, ASAµ*
7.375%, 12/15/18		     2,406,274   
  1,776,000        Pioneer Energy Services Corp.µ
9.875%, 03/15/18		     1,879,230   
  5,236,000        SEACOR Holdings, Inc.^µ
7.375%, 10/01/19		     5,762,872   
  2,014,000        SESI, LLC^µ
7.125%, 12/15/21		     2,233,023   
  3,061,000        SM Energy Companyµ
6.500%, 11/15/21		     3,265,704   
  3,544,000        Swift Energy Companyµ
8.875%, 01/15/20		     3,767,715   
  3,263,000        Trinidad Drilling, Ltd.^*
7.875%, 01/15/19		     3,501,607   
  8,619,000        W&T Offshore, Inc.^µ
8.500%, 06/15/19		     9,222,330   
  2,505,000        Western Refining, Inc.µ
6.250%, 04/01/21		     2,555,100   
     

 

 

  
        126,889,748   
     

 

 

  
    Financials (2.5%)  
  2,364,000        AON Corp.µ
8.205%, 01/01/27		     2,890,203   
  1,128,000        DuPont Fabros Technology, LP
5.875%, 09/15/21		     1,170,300   
  1,788,000        iStar Financial, Inc.µ
4.875%, 07/01/18		     1,803,645   
  3,907,000        Jefferies Finance, LLCµ*
7.375%, 04/01/20		     4,104,792   
  2,819,000        Michael Baker International, LLC / CDL Acquisition Company, Inc.µ*
8.250%, 10/15/18		     2,926,474   
  2,086,000        Nationstar Mortgage, LLC / Nationstar Capital Corp.µ
6.500%, 07/01/21		     1,969,966   
PRINCIPAL
AMOUNT		                 VALUE  
     
  5,236,000        Neuberger Berman Group LLCµ*
5.875%, 03/15/22		   $ 5,523,980   
    Nuveen Investments, Inc.*
  
  2,578,000        9.500%, 10/15/20^     2,660,174   
  2,578,000        9.125%, 10/15/17µ     2,642,450   
     

 

 

  
        25,691,984   
     

 

 

  
    Health Care (6.7%)  
  2,981,000        Alere, Inc.
6.500%, 06/15/20		     3,083,472   
    Community Health Systems, Inc.  
  8,700,000        7.125%, 07/15/20µ     9,303,562   
  1,228,000        6.875%, 02/01/22*     1,262,538   
  5,582,000        DaVita HealthCare Partners, Inc.^µ
6.625%, 11/01/20		     6,007,628   
    Endo Health Solutions, Inc.  
  5,397,000        7.000%, 12/15/20     5,771,417   
  1,208,000        7.000%, 07/15/19     1,291,805   
    HCA Holdings, Inc.µ  
  1,712,000        6.250%, 02/15/21     1,824,350   
  1,611,000        5.875%, 05/01/23     1,642,213   
  7,814,000        HCA, Inc.^µ
7.750%, 05/15/21		     8,566,097   
  7,254,000        Hologic, Inc.µ
6.250%, 08/01/20		     7,594,031   
  1,450,000        Salix Pharmaceuticals, Ltd.*
6.000%, 01/15/21		     1,516,156   
  4,833,000        Teleflex, Inc.µ
6.875%, 06/01/19		     5,095,794   
  5,518,000        Tenet Healthcare Corp.µ
6.750%, 02/01/20		     5,769,759   
    Valeant Pharmaceuticals International, Inc.^µ*  
  6,042,000        7.000%, 10/01/20     6,532,913   
  1,853,000        7.250%, 07/15/22     2,020,928   
  886,000        VPII Escrow Corp.*
6.750%, 08/15/18		     973,493   
     

 

 

  
        68,256,156   
     

 

 

  
    Industrials (8.0%)  
  4,229,000        ACCO Brands Corp.^µ
6.750%, 04/30/20		     4,207,855   
  7,653,000        Belden, Inc.µ*
5.500%, 09/01/22		     7,514,289   
  2,316,000        Clean Harbors, Inc.^
5.125%, 06/01/21		     2,321,790   
  5,639,000        Deluxe Corp.µ
6.000%, 11/15/20		     5,839,889   
  2,594,000        Digitalglobe, Inc.µ*
5.250%, 02/01/21		     2,556,711   
  5,017,000        Dycom Investments, Inc.µ
7.125%, 01/15/21		     5,299,206   
  2,513,000        Edgen Murray Corp.*
8.750%, 11/01/20		     2,908,798   
  2,167,000        Garda World Security Corp.*
7.250%, 11/15/21		     2,236,073   
  2,558,000        GrafTech International, Ltd.^
6.375%, 11/15/20		     2,641,135   
  4,479,000        H&E Equipment Services, Inc.µ
7.000%, 09/01/22		     4,879,311   
  2,819,000        Manitowoc Company, Inc.µ
8.500%, 11/01/20		     3,187,232   
  1,305,000        Meritor, Inc.µ
6.750%, 06/15/21		     1,364,541   
  2,707,000        Navistar International Corp.µ
8.250%, 11/01/21		     2,796,669   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  1,534,000        Nortek, Inc.µ
8.500%, 04/15/21		   $ 1,698,905   
  6,231,000        Rexel, SAµ*
6.125%, 12/15/19		     6,523,078   
    Terex Corp.µ  
  4,398,000        6.000%, 05/15/21     4,571,171   
  419,000        6.500%, 04/01/20     450,949   
  2,014,000        Titan International, Inc.µ*
6.875%, 10/01/20		     2,129,805   
    TransDigm, Inc.µ  
  2,135,000        5.500%, 10/15/20     2,120,322   
  1,573,000        7.750%, 12/15/18     1,685,076   
  1,966,000        Triumph Group, Inc.µ
4.875%, 04/01/21		     1,921,765   
  2,094,000        United Continental Holdings, Inc.^µ
6.375%, 06/01/18		     2,200,009   
    United Rentals North America, Inc.µ  
  5,236,000        7.625%, 04/15/22     5,906,862   
  4,431,000        6.125%, 06/15/23     4,597,163   
     

 

 

  
        81,558,604   
     

 

 

  
    Information Technology (6.8%)  
  886,000        ACI Worldwide, Inc.µ*
6.375%, 08/15/20		     914,795   
  3,061,000        Activision Blizzard, Inc.µ*
5.625%, 09/15/21		     3,171,961   
    Amkor Technology, Inc.µ  
  2,989,000        6.375%, 10/01/22^     3,069,329   
  2,368,000        6.625%, 06/01/21     2,477,520   
  7,151,000        Black Knight InfoServ, LLC
5.750%, 04/15/23		     7,541,016   
  1,130,000        ConvaTec Finance International, SA*
8.250%, 01/15/19		     1,167,431   
  1,853,000        Equinix, Inc.µ
5.375%, 04/01/23		     1,822,889   
  6,444,000        Hughes Satellite Systems Corp.µ
7.625%, 06/15/21		     7,285,747   
  6,444,000        J2 Global, Inc.^µ
8.000%, 08/01/20		     6,947,437   
  2,716,000        Magnachip Semiconductor, Inc.µ
6.625%, 07/15/21		     2,788,993   
  8,909,000        Nuance Communications, Inc.µ*
5.375%, 08/15/20		     8,730,820   
    NXP Semiconductors, NVµ*  
  1,611,000        5.750%, 02/15/21     1,671,413   
  644,000        5.750%, 03/15/23     646,415   
  6,428,000        Sanmina Corp.µ*
7.000%, 05/15/19		     6,841,802   
  4,080,000        Sungard Data Systems, Inc.µ
6.625%, 11/01/19		     4,284,000   
  3,142,000        ViaSat, Inc.µ
6.875%, 06/15/20		     3,318,738   
  4,833,000        Viasystems, Inc.µ*
7.875%, 05/01/19		     5,174,331   
  1,665,000        WEX, Inc.µ*
4.750%, 02/01/23		     1,531,800   
     

 

 

  
        69,386,437   
     

 

 

  
    Materials (3.9%)  
  1,288,000        Chemtura Corp.µ
5.750%, 07/15/21		     1,318,590   
  7,250,000        FMG Resources^*
8.250%, 11/01/19		     8,011,250   
PRINCIPAL
AMOUNT		                 VALUE  
     
  2,618,000        FQM (Akubra), Inc.µ*
8.750%, 06/01/20		   $ 2,986,156   
  5,542,000        Greif, Inc.µ
7.750%, 08/01/19		     6,304,025   
  2,256,000        INEOS Group Holdings, SA^*
6.125%, 08/15/18		     2,319,450   
    New Gold, Inc.µ*  
  4,431,000        7.000%, 04/15/20     4,527,928   
  1,200,000        6.250%, 11/15/22     1,156,500   
  2,135,000        PH Glatfelter Companyµ
5.375%, 10/15/20		     2,151,012   
    Sealed Air Corp.µ*  
  1,829,000        6.500%, 12/01/20     1,974,177   
  1,047,000        5.250%, 04/01/23     1,035,876   
  5,156,000        Trinseo Op/ Trinseo Finance, Inc.^*
8.750%, 02/01/19		     5,291,345   
  2,505,000        United States Steel Corp.^
6.875%, 04/01/21		     2,644,341   
     

 

 

  
        39,720,650   
     

 

 

  
    Telecommunication Services (2.7%)  
  4,169,000        Brightstar Corp.*
7.250%, 08/01/18		     4,499,914   
  1,977,000        CenturyLink, Inc.µ
6.750%, 12/01/23		     2,018,823   
  2,589,000        Frontier Communications Corp.µ
7.625%, 04/15/24		     2,572,819   
    Intelsat, SA*  
  5,107,000        7.750%, 06/01/21     5,493,217   
  371,000        8.125%, 06/01/23^     402,999   
  4,543,000        MetroPCS Wireless, Inc.*
6.625%, 04/01/23		     4,713,363   
  2,135,000        SBA Communications Corp.µ
5.625%, 10/01/19		     2,207,056   
    Sprint Corp.*  
  2,936,000        7.875%, 09/15/23µ     3,137,850   
  1,361,000        7.125%, 06/15/24     1,375,461   
  951,000        7.250%, 09/15/21µ     1,025,891   
     

 

 

  
        27,447,393   
     

 

 

  
    Utilities (1.6%)  
  3,262,000        AES Corp.^µ
7.375%, 07/01/21		     3,616,742   
  4,652,000        AmeriGas Finance Corp.^µ
7.000%, 05/20/22		     5,059,050   
    Calpine Corp.*  
  3,383,000        7.875%, 07/31/20     3,708,614   
  2,414,000        7.875%, 01/15/23     2,665,961   
  1,056,000        7.500%, 02/15/21     1,156,980   
     

 

 

  
        16,207,347   
     

 

 

  
    TOTAL CORPORATE BONDS
(Cost $565,176,011)		     589,483,771   
     

 

 

  
  CONVERTIBLE BONDS (45.5%)   
    Consumer Discretionary (9.0%)  
    Iconix Brand Group, Inc.  
  6,400,000        1.500%, 03/15/18µ*     8,392,864   
  2,200,000        2.500%, 06/01/16     2,880,086   
    Jarden Corp.  
  6,800,000        1.500%, 06/15/19µ*     8,266,454   
  5,817,000        1.875%, 09/15/18     8,151,391   
  2,650,000        KB Home^µ
1.375%, 02/01/19		     2,761,512   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  19,150,000        Liberty Interactive, LLC (Time Warner Cable, Inc., Time Warner, Inc.)µ*§
0.750%, 03/30/43		   $ 23,243,121   
  5,699,000        Liberty Media Corp.µ*
1.375%, 10/15/23		     5,302,321   
  11,800,000        MGM Resorts International^µ
4.250%, 04/15/15		     16,611,627   
  6,552,000        Priceline.com, Inc.^µ
1.000%, 03/15/18		     9,026,363   
  5,600,000        Standard Pacific Corp.µ
1.250%, 08/01/32		     7,273,308   
     

 

 

  
        91,909,047   
     

 

 

  
    Energy (1.4%)  
  11,000,000        Chesapeake Energy Corp.^µ
2.250%, 12/15/38		     10,258,765   
  3,700,000        Energy XXI Bermuda, Ltd.*
3.000%, 12/15/18		     3,535,480   
     

 

 

  
        13,794,245   
     

 

 

  
    Financials (4.7%)  
    Ares Capital Corp.^µ  
  8,200,000        4.750%, 01/15/18     8,796,386   
  4,500,000        5.750%, 02/01/16     4,875,930   
  4,000,000        IAS Operating Partnership, LP^*
5.000%, 03/15/18		     3,813,140   
  1,382,000        Jefferies Group, Inc.µ
3.875%, 11/01/29		     1,469,004   
    MGIC Investment Corp.  
  6,100,000        5.000%, 05/01/17     6,995,998   
  5,000,000        2.000%, 04/01/20     6,995,725   
  3,408,000        Portfolio Recovery Associates, Inc.µ*
3.000%, 08/01/20		     3,690,711   
  5,500,000        ProLogis, LP^
3.250%, 03/15/15		     6,300,992   
  4,600,000        Starwood Property Trust, Inc.
4.550%, 03/01/18		     5,272,336   
     

 

 

  
        48,210,222   
     

 

 

  
    Health Care (9.3%)  
    BioMarin Pharmaceutical, Inc.µ  
  4,177,000        0.750%, 10/15/18     4,476,282   
  3,975,000        1.500%, 10/15/20     4,315,439   
  13,750,000        Cubist Pharmaceuticals, Inc.^µ*
1.875%, 09/01/20		     16,298,425   
  3,500,000        Emergent Biosolutions, Inc.*
2.875%, 01/15/21		     3,666,250   
  2,509,000        Fluidigm Corp.
2.750%, 02/01/34		     2,772,445   
  5,400,000        Hologic, Inc.^µ‡
2.000%, 12/15/37		     6,181,488   
  2,985,000        Illumina, Inc.^µ*
0.250%, 03/15/16		     5,495,325   
  1,610,000        Incyte Corp, Ltd.µ*
1.250%, 11/15/20		     2,343,822   
  2,000,000        Medicines Companyµ
1.375%, 06/01/17		     2,783,400   
  6,343,000        Medidata Solutions, Inc.^µ*
1.000%, 08/01/18		     8,360,518   
  6,494,000        Molina Healthcare, Inc.µ*
1.125%, 01/15/20		     7,030,015   
  6,200,000        Salix Pharmaceuticals, Ltd.
1.500%, 03/15/19		     9,958,099   
PRINCIPAL
AMOUNT		                 VALUE  
     
  3,200,000        Vivus, Inc.µ*
4.500%, 05/01/20		   $ 2,510,000   
  14,400,000        WellPoint, Inc.^
2.750%, 10/15/42		     18,722,016   
     

 

 

  
        94,913,524   
     

 

 

  
    Industrials (3.2%)  
  4,808,000        Air Lease Corp.^
3.875%, 12/01/18		     6,615,183   
  4,350,000        Alliant Techsystems, Inc.µ
3.000%, 08/15/24		     8,171,910   
  1,750,000        Greenbrier Companies, Inc.
3.500%, 04/01/18		     2,232,493   
  11,700,000        Trinity Industries, Inc.^
3.875%, 06/01/36		     15,993,139   
     

 

 

  
        33,012,725   
     

 

 

  
    Information Technology (15.3%)  
  3,700,000        Cardtronics, Inc.µ*
1.000%, 12/01/20		     3,503,345   
  7,200,000        Concur Technologies, Inc.^*
0.500%, 06/15/18		     9,280,116   
  3,850,000        Cornerstone OnDemand, Inc.µ*
1.500%, 07/01/18		     4,860,933   
  850,000        Electronic Arts, Inc.^
0.750%, 07/15/16		     945,612   
  4,900,000        Finisar Corp.*
0.500%, 12/15/33		     5,233,347   
  6,900,000        InvenSense, Inc.µ*
1.750%, 11/01/18		     7,858,514   
  9,700,000        JDS Uniphase Corp.^*
0.625%, 08/15/33		     9,941,578   
  11,000,000        Mentor Graphics Corp.µ
4.000%, 04/01/31		     13,354,990   
  11,100,000        Micron Technology, Inc.µ
1.875%, 06/01/14		     17,901,247   
  7,200,000        Netsuite, Inc.^*
0.250%, 06/01/18		     8,076,924   
  3,700,000       

NVIDIA Corp.*

1.000%, 12/01/18

     3,767,451   
  4,100,000        Salesforce.com, Inc.^µ*
0.250%, 04/01/18		     4,732,917   
  28,000,000        SanDisk Corp.^µ*
0.500%, 10/15/20		     27,920,200   
  10,500,000        ServiceNow, Inc.*
0.000%, 11/01/18		     11,378,482   
  7,000,000        SINA Corp.*
1.000%, 12/01/18		     6,503,700   
  1,750,000        SunEdison, Inc.*
2.000%, 10/01/18		     2,083,174   
  7,500,000        Take-Two Interactive Software, Inc.µ
1.000%, 07/01/18		     8,437,838   
    Workday, Inc.*  
  3,850,000        1.500%, 07/15/20     4,918,895   
  3,850,000        0.750%, 07/15/18     4,790,671   
     

 

 

  
        155,489,934   
     

 

 

  
    Materials (2.6%)  
  8,700,000        Cemex SAB de CV
4.875%, 03/15/15		     10,521,867   
  5,900,000        Glencore Finance Europe, SAµ
5.000%, 12/31/14		     6,576,782   
    RTI International Metals, Inc.µ  
  3,200,000        1.625%, 10/15/19     3,252,384   
  2,900,000        3.000%, 12/01/15     3,147,500   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  2,900,000        Steel Dynamics, Inc.^µ
5.125%, 06/15/14		   $ 3,073,638   
     

 

 

  
        26,572,171   
     

 

 

  
    TOTAL CONVERTIBLE BONDS
(Cost $420,642,605)		     463,901,868   
     

 

 

  
  U.S. GOVERNMENT AND AGENCY SECURITIES (0.1%)   
    United States Treasury Note~  
  604,000        0.125%, 12/31/14     604,023   
  564,000        0.625%, 07/15/14     565,399   
     

 

 

  
    TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES
(Cost $1,169,217)		     1,169,422   
     

 

 

  
  SYNTHETIC CONVERTIBLE SECURITIES (16.4%) ¤   
  Corporate Bonds (13.9%)  
    Consumer Discretionary (2.5%)  
  387,000        Bon-Ton Department Stores, Inc.^µ
8.000%, 06/15/21		     375,390   
  78,000        Brunswick Corp.µ*
4.625%, 05/15/21		     74,051   
  66,000        Claire’s Stores, Inc.^*
7.750%, 06/01/20		     57,420   
  243,000        Cogeco Cable, Inc.µ*
4.875%, 05/01/20		     238,140   
  1,329,000        Cooper Tire & Rubber Company^µ
8.000%, 12/15/19		     1,455,255   
  1,398,000        Dana Holding Corp.^µ
6.750%, 02/15/21		     1,512,461   
    DISH DBS Corp.µ  
  1,488,000        5.125%, 05/01/20     1,490,790   
  1,264,000        7.875%, 09/01/19     1,444,120   
  953,000        Dufry Finance, SCAµ*
5.500%, 10/15/20		     983,972   
  673,000        Golden Nugget Escrow, Inc.*
8.500%, 12/01/21		     688,142   
  202,000        Goodyear Tire & Rubber Company^µ
8.250%, 08/15/20		     224,851   
  1,069,000        Hasbro, Inc.^µ
6.600%, 07/15/28		     1,175,488   
    Icahn Enterprises, LP*  
  917,000        5.875%, 02/01/22     911,269   
  513,000        6.000%, 08/01/20     527,108   
  121,000        4.875%, 03/15/19     120,849   
  1,031,000        Jaguar Land Rover Automotive, PLCµ*
8.125%, 05/15/21		     1,174,051   
    L Brands, Inc.µ  
  583,000        7.600%, 07/15/37     590,287   
  168,000        6.950%, 03/01/33^     166,320   
  146,000        Lear Corp.µ*
4.750%, 01/15/23		     139,430   
  320,000        Liberty Interactive, LLCµ
8.250%, 02/01/30		     340,600   
    Meritage Homes Corp.µ  
  797,000        7.150%, 04/15/20     870,722   
  425,000        7.000%, 04/01/22^     455,813   
  408,000        NCL Corp. Ltd- Class C^
5.000%, 02/15/18		     423,810   
PRINCIPAL
AMOUNT		                 VALUE  
     
    Neiman Marcus Group LTD, LLC*  
  145,000        8.750%, 10/15/21^   $ 152,613   
  116,000        8.000%, 10/15/21     121,728   
  633,000        Netflix, Inc.µ
5.375%, 02/01/21		     643,286   
  1,264,000        Outerwall, Inc.µ
6.000%, 03/15/19		     1,303,500   
  231,000        Quiksilver, Inc. / QS Wholesale, Inc.^µ*
7.875%, 08/01/18		     251,646   
  584,000        Royal Caribbean Cruises, Ltd.^µ
7.500%, 10/15/27		     624,515   
    Ryland Group, Inc.µ  
  1,167,000        6.625%, 05/01/20     1,253,796   
  327,000        5.375%, 10/01/22     315,351   
    Sally Holdings, LLC / Sally Capital, Inc.µ  
  449,000        5.750%, 06/01/22^     457,138   
  228,000        5.500%, 11/01/23     225,435   
    Service Corp. Internationalµ  
  826,000        7.500%, 04/01/27     878,657   
  539,000        5.375%, 01/15/22*     547,422   
  638,000        Six Flags Entertainment Corp.µ*
5.250%, 01/15/21		     632,816   
  627,000        Taylor Morrison Communities, Inc.µ*
5.250%, 04/15/21		     612,501   
    Toll Brothers Finance Corp.  
  778,000        5.625%, 01/15/24^     784,321   
  263,000        4.000%, 12/31/18µ     267,438   
  817,000        Viking Cruises, Ltd.*
8.500%, 10/15/22		     930,359   
     

 

 

  
        25,442,861   
     

 

 

  
    Consumer Staples (0.7%)  
  233,000        Alphabet Holding Company, Inc.*
7.750%, 11/01/17		     241,446   
  797,000        Fidelity & Guaranty Life Holdings, Inc.µ*
6.375%, 04/01/21		     832,865   
  1,278,000        JBS USA, LLCµ*
7.250%, 06/01/21		     1,338,705   
  1,167,000        Land O’ Lakes, Inc.µ*
6.000%, 11/15/22		     1,209,304   
    Post Holdings, Inc.µ  
  2,027,000        7.375%, 02/15/22^     2,158,755   
  93,000        7.375%, 02/15/22*     99,103   
  700,000        Smithfield Foods, Inc.µ
6.625%, 08/15/22		     740,687   
  350,000        Wells Enterprises, Inc.µ*
6.750%, 02/01/20		     360,063   
     

 

 

  
        6,980,928   
     

 

 

  
    Energy (3.0%)  
  726,000        Atwood Oceanics, Inc.µ
6.500%, 02/01/20		     777,727   
  583,000        Berry Petroleum Company
6.375%, 09/15/22		     593,931   
  583,000        Bonanza Creek Energy, Inc.
6.750%, 04/15/21		     610,693   
  404,000        BreitBurn Energy Partners, LP /
BreitBurn Finance Corp.
7.875%, 04/15/22		     431,523   
  768,000        Bristow Group, Inc.µ
6.250%, 10/15/22		     814,560   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  632,000        Calfrac Holdings, LPµ*
7.500%, 12/01/20		   $ 657,675   
  642,000        Calumet Specialty Products Partners, LP
7.625%, 01/15/22		     679,316   
    Calumet Specialty Products, LPµ  
  624,000        9.375%, 05/01/19     692,785   
  389,000        9.625%, 08/01/20     442,244   
    Carrizo Oil & Gas, Inc.µ  
  953,000        7.500%, 09/15/20     1,043,535   
  726,000        8.625%, 10/15/18     785,895   
  325,000        Chesapeake Oilfield Operating, LLCµ
6.625%, 11/15/19		     343,078   
  1,556,000        Cimarex Energy Company^µ
5.875%, 05/01/22		     1,667,837   
  1,497,000        Drill Rigs Holdings, Inc.^µ*
6.500%, 10/01/17		     1,603,661   
  681,000        Energy Transfer Equity, LPµ
5.875%, 01/15/24		     681,851   
  486,000        EPL OIl & Gas, Inc.µ
8.250%, 02/15/18		     524,273   
  128,000        Forum Energy Technologies, Inc.µ*
6.250%, 10/01/21		     134,880   
  1,458,000        Gulfmark Offshore, Inc.µ
6.375%, 03/15/22		     1,474,402   
  1,408,000        Gulfport Energy Corp.µ
7.750%, 11/01/20		     1,520,640   
  972,000        Holly Energy Partners, LPµ
6.500%, 03/01/20		     1,019,385   
  1,264,000        Laredo Petroleum, Inc.
7.375%, 05/01/22		     1,392,770   
    Linn Energy, LLCµ  
  972,000        8.625%, 04/15/20^     1,057,050   
  583,000        7.000%, 11/01/19*^     592,838   
  389,000        7.750%, 02/01/21     412,583   
  194,000        6.500%, 05/15/19     199,578   
  311,000        Midstates Petroleum Company, Inc. / Midstates Petroleum Company, LLC
10.750%, 10/01/20		     338,601   
    Oasis Petroleum, Inc.µ  
  906,000        6.500%, 11/01/21     968,854   
  292,000        6.875%, 01/15/23     314,265   
  500,000        Pacific Drilling, SA*
5.375%, 06/01/20		     500,938   
  541,000        Petroleum Geo-Services, ASAµ*
7.375%, 12/15/18		     580,899   
  429,000        Pioneer Energy Services Corp.µ
9.875%, 03/15/18		     453,936   
  1,264,000        SEACOR Holdings, Inc.^µ
7.375%, 10/01/19		     1,391,190   
  486,000        SESI, LLC^µ
7.125%, 12/15/21		     538,853   
  739,000        SM Energy Companyµ
6.500%, 11/15/21		     788,421   
  856,000        Swift Energy Companyµ
8.875%, 01/15/20		     910,035   
  788,000        Trinidad Drilling, Ltd.^*
7.875%, 01/15/19		     845,622   
  2,081,000        W&T Offshore, Inc.^µ
8.500%, 06/15/19		     2,226,670   
  605,000        Western Refining, Inc.µ
6.250%, 04/01/21		     617,100   
     

 

 

  
        30,630,094   
     

 

 

  
PRINCIPAL
AMOUNT		                 VALUE  
     
    Financials (0.6%)  
  571,000        AON Corp.µ
8.205%, 01/01/27		   $ 698,099   
  272,000        DuPont Fabros Technology, LP
5.875%, 09/15/21		     282,200   
  432,000        iStar Financial, Inc.µ
4.875%, 07/01/18		     435,780   
  943,000        Jefferies Finance, LLCµ*
7.375%, 04/01/20		     990,740   
  681,000        Michael Baker International, LLC / CDL Acquisition Company, Inc.µ*
8.250%, 10/15/18		     706,963   
  504,000        Nationstar Mortgage, LLC / Nationstar Capital Corp.µ
6.500%, 07/01/21		     475,965   
  1,264,000        Neuberger Berman Group LLCµ*
5.875%, 03/15/22		     1,333,520   
    Nuveen Investments, Inc.*  
  622,000        9.500%, 10/15/20^     641,826   
  622,000        9.125%, 10/15/17µ     637,550   
     

 

 

  
        6,202,643   
     

 

 

  
    Health Care (1.6%)  
  719,000        Alere, Inc.
6.500%, 06/15/20		     743,716   
    Community Health Systems, Inc.  
  2,100,000        7.125%, 07/15/20µ     2,245,687   
  297,000        6.875%, 02/01/22*     305,353   
  1,348,000        DaVita HealthCare Partners, Inc.µ
6.625%, 11/01/20		     1,450,785   
    Endo Health Solutions, Inc.  
  1,303,000        7.000%, 12/15/20     1,393,396   
  292,000        7.000%, 07/15/19     312,258   
    HCA Holdings, Inc.µ  
  413,000        6.250%, 02/15/21     440,103   
  389,000        5.875%, 05/01/23     396,537   
  1,886,000        HCA, Inc.^µ
7.750%, 05/15/21		     2,067,527   
  1,751,000        Hologic, Inc.µ
6.250%, 08/01/20		     1,833,078   
  350,000        Salix Pharmaceuticals, Ltd.*
6.000%, 01/15/21		     365,969   
  1,167,000        Teleflex, Inc.µ
6.875%, 06/01/19		     1,230,456   
  1,332,000        Tenet Healthcare Corp.µ
6.750%, 02/01/20		     1,392,772   
    Valeant Pharmaceuticals International, Inc.^µ*  
  1,458,000        7.000%, 10/01/20     1,576,462   
  447,000        7.250%, 07/15/22     487,509   
  214,000        VPII Escrow Corp.*
6.750%, 08/15/18		     235,133   
     

 

 

  
        16,476,741   
     

 

 

  
    Industrials (1.9%)  
  1,021,000        ACCO Brands Corp.^µ
6.750%, 04/30/20		     1,015,895   
  1,847,000        Belden, Inc.µ*
5.500%, 09/01/22		     1,813,523   
  559,000        Clean Harbors, Inc.^
5.125%, 06/01/21		     560,398   
  1,361,000        Deluxe Corp.µ
6.000%, 11/15/20		     1,409,486   
  626,000        Digitalglobe, Inc.µ*
5.250%, 02/01/21		     617,001   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  1,211,000        Dycom Investments, Inc.µ
7.125%, 01/15/21		   $ 1,279,119   
  607,000        Edgen Murray Corp.*
8.750%, 11/01/20		     702,602   
  523,000        Garda World Security Corp.*
7.250%, 11/15/21		     539,671   
  617,000        GrafTech International, Ltd.^
6.375%, 11/15/20		     637,053   
  1,081,000        H&E Equipment Services, Inc.µ
7.000%, 09/01/22		     1,177,614   
  681,000        Manitowoc Company, Inc.µ
8.500%, 11/01/20		     769,956   
  315,000        Meritor, Inc.µ
6.750%, 06/15/21		     329,372   
  653,000        Navistar International Corp.µ
8.250%, 11/01/21		     674,631   
  370,000        Nortek, Inc.µ
8.500%, 04/15/21		     409,775   
  1,504,000        Rexel, SAµ*
6.125%, 12/15/19		     1,574,500   
    Terex Corp.µ  
  1,062,000        6.000%, 05/15/21     1,103,816   
  101,000        6.500%, 04/01/20     108,701   
  486,000        Titan International, Inc.µ*
6.875%, 10/01/20		     513,945   
    TransDigm, Inc.µ  
  515,000        5.500%, 10/15/20     511,459   
  380,000        7.750%, 12/15/18     407,075   
  474,000        Triumph Group, Inc.µ
4.875%, 04/01/21		     463,335   
  506,000        United Continental Holdings, Inc.^µ
6.375%, 06/01/18		     531,616   
    United Rentals North America, Inc.µ  
  1,264,000        7.625%, 04/15/22     1,425,950   
  1,069,000        6.125%, 06/15/23     1,109,087   
     

 

 

  
        19,685,580   
     

 

 

  
    Information Technology (1.6%)  
  214,000        ACI Worldwide, Inc.µ*
6.375%, 08/15/20		     220,955   
  739,000        Activision Blizzard, Inc.µ*
5.625%, 09/15/21		     765,789   
    Amkor Technology, Inc.µ  
  721,000        6.375%, 10/01/22     740,377   
  571,000        6.625%, 06/01/21     597,409   
  1,726,000        Black Knight InfoServ, LLC
5.750%, 04/15/23		     1,820,136   
  273,000        ConvaTec Finance International, SA*
8.250%, 01/15/19		     282,043   
  447,000        Equinix, Inc.µ
5.375%, 04/01/23		     439,736   
  1,556,000        Hughes Satellite Systems Corp.µ
7.625%, 06/15/21		     1,759,252   
  1,556,000        J2 Global, Inc.^µ
8.000%, 08/01/20		     1,677,562   
  656,000        Magnachip Semiconductor, Inc.µ
6.625%, 07/15/21		     673,630   
  2,151,000        Nuance Communications, Inc.µ*
5.375%, 08/15/20		     2,107,980   
    NXP Semiconductors, NVµ*  
  389,000        5.750%, 02/15/21     403,588   
  156,000        5.750%, 03/15/23     156,585   
PRINCIPAL
AMOUNT		                 VALUE  
     
  1,552,000        Sanmina Corp.µ*
7.000%, 05/15/19		   $ 1,651,910   
  985,000        Sungard Data Systems, Inc.µ
6.625%, 11/01/19		     1,034,250   
  758,000        ViaSat, Inc.µ
6.875%, 06/15/20		     800,638   
  1,167,000        Viasystems, Inc.µ*
7.875%, 05/01/19		     1,249,419   
  402,000        WEX, Inc.µ*
4.750%, 02/01/23		     369,840   
     

 

 

  
        16,751,099   
     

 

 

  
    Materials (0.9%)  
  311,000        Chemtura Corp.µ
5.750%, 07/15/21		     318,386   
  1,750,000        FMG Resources^*
8.250%, 11/01/19		     1,933,750   
  632,000       

FQM (Akubra), Inc.µ*

8.750%, 06/01/20

     720,875   
  1,338,000       

Greif, Inc.µ

7.750%, 08/01/19

     1,521,975   
  544,000       

INEOS Group Holdings, SA^*

6.125%, 08/15/18

     559,300   
    New Gold, Inc.µ*  
  1,069,000        7.000%, 04/15/20     1,092,384   
  290,000        6.250%, 11/15/22     279,488   
  515,000       

PH Glatfelter Companyµ

5.375%, 10/15/20

     518,863   
    Sealed Air Corp.µ*  
  441,000        6.500%, 12/01/20     476,004   
  253,000        5.250%, 04/01/23     250,312   
  1,244,000       

Trinseo Op/ Trinseo Finance, Inc.^*

8.750%, 02/01/19

     1,276,655   
  605,000       

United States Steel Corp.^

6.875%, 04/01/21

     638,653   
     

 

 

  
        9,586,645   
     

 

 

  
    Telecommunication Services (0.7%)  
  1,006,000       

Brightstar Corp.*

7.250%, 08/01/18

     1,085,851   
  477,000       

CenturyLink, Inc.µ

6.750%, 12/01/23

     487,091   
  625,000       

Frontier Communications Corp.µ

7.625%, 04/15/24

     621,094   
    Intelsat, SA*  
  1,233,000        7.750%, 06/01/21     1,326,246   
  89,000        8.125%, 06/01/23^     96,676   
  1,097,000       

MetroPCS Wireless, Inc.*

6.625%, 04/01/23

     1,138,137   
  515,000        SBA Communications Corp.µ  
    5.625%, 10/01/19     532,381   
    Sprint Corp.*  
  709,000        7.875%, 09/15/23µ     757,744   
  329,000        7.125%, 06/15/24     332,496   
  229,000        7.250%, 09/15/21µ     247,034   
     

 

 

  
        6,624,750   
     

 

 

  
    Utilities (0.4%)  
  788,000       

AES Corp.µ

7.375%, 07/01/21

     873,695   
  1,123,000       

AmeriGas Finance Corp.^µ

7.000%, 05/20/22

     1,221,263   
    Calpine Corp.*  
  817,000        7.875%, 07/31/20     895,636   
  583,000        7.875%, 01/15/23     643,851   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  255,000        7.500%, 02/15/21   $ 279,384   
     

 

 

  
        3,913,829   
     

 

 

  
    TOTAL CORPORATE BONDS     142,295,170   
     

 

 

  
  U.S. Government and Agency Securities (0.0%)   
    United States Treasury Note~  
  146,000        0.125%, 12/31/14     146,006   
  136,000        0.625%, 07/15/14     136,337   
     

 

 

  
    TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES     282,343   
     

 

 

  
NUMBER OF
CONTRACTS		                 VALUE  
  Purchased Options (2.5%) #   
    Consumer Discretionary (0.2%)  
  1,990        Lennar Corp.
Call, 01/17/15, Strike $37.00		     1,378,075   
  575        Michael Kors Holdings, Ltd.
Call, 01/17/15, Strike $82.50		     595,125   
     

 

 

  
        1,973,200   
     

 

 

  
    Energy (0.2%)  
  822       

Continental Resources, Inc.

Call, 01/17/15, Strike $105.00

     1,491,930   
     

 

 

  
    Health Care (1.6%)  
  630       

Celgene Corp.

Call, 01/17/15, Strike $135.00

     2,000,250   
    Gilead Sciences, Inc.  
  4,300        Call, 01/17/15, Strike $72.50     6,890,750   
  1,500        Call, 01/17/15, Strike $60.00     3,708,750   
  4,240        Mylan, Inc.
Call, 01/17/15, Strike $45.00		     2,491,000   
  215       

Regeneron Pharmaceuticals, Inc.

Call, 01/17/15, Strike $250.00

     1,509,300   
     

 

 

  
        16,600,050   
     

 

 

  
    Information Technology (0.5%)  
  220       

Apple, Inc.

Call, 01/17/15, Strike $500.00

     948,750   
  200       

Google, Inc.

Call, 01/17/15, Strike $1,020.00

     4,146,000   
     

 

 

  
        5,094,750   
     

 

 

  
    TOTAL PURCHASED OPTIONS     25,159,930   
     

 

 

  
    TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $155,187,363)		     167,737,443   
     

 

 

  
NUMBER OF
SHARES		                 VALUE  
  CONVERTIBLE PREFERRED STOCKS (16.3%)   
    Consumer Staples (0.6%)  
  62,000        Bunge, Ltd.
4.875%		     6,401,500   
     

 

 

  
    Energy (2.9%)  
  25,966        Chesapeake Energy Corp.*
5.750%		     29,661,322   
     

 

 

  
NUMBER OF
SHARES		                 VALUE  
     
    Financials (4.0%)  
  310,000        Affiliated Managers Group, Inc.µ
5.150%		   $ 18,774,375   
  523,000        MetLife, Inc.
5.000%		     15,245,450   
  116,667        Weyerhaeuser Company^
6.375%		     6,253,351   
     

 

 

  
        40,273,176   
     

 

 

  
    Industrials (5.8%)  
  65,800       

Genesee & Wyoming, Inc.

5.000%

     8,057,210   
    Stanley Black & Decker, Inc.^  
  102,760        4.750%µ     12,345,586   
  36,500        6.250%     3,713,875   
  550,000       

United Technologies Corp.^µ

7.500%

     35,436,500   
     

 

 

  
        59,553,171   
     

 

 

  
    Telecommunication Services (1.9%)  
  105,000        Crown Castle International Corp.
4.500%		     10,299,450   
  181,000       

Intelsat, SA

5.750%

     9,507,025   
     

 

 

  
        19,806,475   
     

 

 

  
    Utilities (1.1%)  
  175,000       

NextEra Energy, Inc.µ

5.599%

     10,736,250   
     

 

 

  
    TOTAL CONVERTIBLE PREFERRED STOCKS
 (Cost $ 150,199,835)		     166,431,894   
     

 

 

  
  COMMON STOCK (0.1%)   
    Financials (0.1%)  
  17,300       

American International Group, Inc.µ

(Cost $ 778,500)

     829,708   
     

 

 

  
  SHORT TERM INVESTMENT (1.5%)   
  15,528,924       

Fidelity Prime Money Market Fund - Institutional Class

(Cost $ 15,528,924)

     15,528,924   
     

 

 

  

 
 

      TOTAL INVESTMENTS (137.7%)
(Cost $1,308,682,455)

     1,405,083,030   
     

 

 

  
  LIABILITIES, LESS OTHER ASSETS (-37.7%)     (384,837,656 ) 
     

 

 

  
  NET ASSETS (100.0%)   $ 1,020,245,374   
     

 

 

  

NOTES TO SCHEDULE OF INVESTMENTS

^   Security, or portion of security, is on loan.
µ   Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $820,593,467. $181,663,192 of the collateral has been re-registered by one of the counterparties, BNP (see Note 3 - Borrowings).
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

*   Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.
§   Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
‡   Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2014.
~   Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for swaps. The aggregate value of such securities is $1,451,766.
¤   The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security.
#   Non-income producing security.

Note: The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.

 

 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

INTEREST RATE SWAPS

 

Counterparty    Fixed  Rate
(Fund Pays)		      Floating Rate
(Fund Receives)		      Termination
Date 		     Notional
Amount		        Unrealized
Appreciation/
(Depreciation)		  
BNP Paribas, SA    2.430% quarterly      3 month LIBOR      04/14/14      $ 115,000,000         $ (635,844 ) 
BNP Paribas, SA    1.160% quarterly      3 month LIBOR      04/19/17        68,000,000           (621,571 ) 
                      

 

 

  
                       $ (1,257,415 ) 
                      

 

 

  

 

See accompanying Notes to Schedule of Investments

NOTE 1 — ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization. Calamos Convertible and High Income Fund (the “Fund”) was organized as a Delaware statutory trust on March 12, 2003 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on May 28, 2003. The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest at least 80% of its managed assets in a diversified portfolio of convertibles and non-convertible income securities. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).

Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principle exchange at the time each Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time a Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principle exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.

If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.

When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.

Investment Transactions. Investment transactions are recorded on a trade date basis as of January 31, 2014.

Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.

Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.

NOTE 2 — INVESTMENTS

The following information is presented on a federal income tax basis as of January 31, 2014. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.

The cost basis of investments for federal income tax purposes at January 31, 2014 was as follows:

 

Cost basis of investments

    $ 1,334,019,842   
  

 

 

  

Gross unrealized appreciation

      101,842,011   

Gross unrealized depreciation

      (30,778,823 ) 
  

 

 

  

Net unrealized appreciation (depreciation)

    $ 71,063,188   
  

 

 

  

NOTE 3 — BORROWINGS

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $200.0 million and a lending agreement, as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to an initial limit of $200.0 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. Interest on the SSB agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is .20%). For the period ended January 31, 2014, the average borrowings under the Agreements were $395.0 million. For the period ended January 31, 2014, the average interest rate was 0.61%. As of January 31, 2014, the amount of total outstanding borrowings was $395.0 million, which approximates fair value. The interest rate applicable to the borrowings on January 31, 2014 was 0.89%.

The Lending Agreement with BNP is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the BNP Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.

Under the terms of the Lending Agreement with BNP, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Fund’s custodian for the ultimate delivery of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.

Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the securities Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. As of January 31, 2014, the Fund used approximately $98.2 million of its cash collateral to offset the SSB Agreement, representing 6.9% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.22%, which can fluctuate depending on interest rates.

NOTE 4 — INTEREST RATE SWAPS

The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.

NOTE 5 — FAIR VALUE MEASUREMENTS

Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:

 

  •  

Level 1 — Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

 

  •  

Level 2 — Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

 

  •  

Level 3 — Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Funds’ investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.

The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:

 

     Level 1      Level 2      Level 3      Total  

Assets:

            

Corporate Bonds

    $ —       $ 589,483,771       $ —       $ 589,483,771   

Convertible Bonds

      —         463,901,868         —         463,901,868   

U.S. Government and Agency Securities

      —         1,169,422         —         1,169,422   

Synthetic Convertible Securities (Corporate Bonds)

      —         142,295,170         —         142,295,170   

Synthetic Convertible Securities (U.S. Government and Agency Securities)

      —         282,343         —         282,343   

Synthetic Convertible Securities (Purchased Options)

      25,159,930         —         —         25,159,930   

Convertible Preferred Stocks

      100,858,447         65,573,447         —         166,431,894   

Common Stock

      829,708         —         —         829,708   

Short Term Investment

      15,528,924         —         —         15,528,924   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 142,377,009       $ 1,262,706,021       $ —       $ 1,405,083,030   
  

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities:

            

Interest Rate Swaps

    $ —       $ 1,257,415       $ —       $ 1,257,415   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ —       $ 1,257,415       $ —       $ 1,257,415   
  

 

 

     

 

 

     

 

 

     

 

 

  

ITEM 2. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.

b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) 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) Certification of Principal Executive Officer.

(b) Certification of Principal Financial Officer.

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.

 

Calamos Convertible and High Income Fund
By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:  

March 24, 2014

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

 

Calamos Convertible and High Income Fund
By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:  

March 24, 2014

By:   /s/     Nimish S. Bhatt
Name:   Nimish S. Bhatt
Title:   Principal Financial Officer
Date:  

March 24, 2014