Edgar Filing: CALAMOS CONVERTIBLE & HIGH INCOME FUND

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: 811-21080

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, 2015

DATE OF REPORTING PERIOD: January 31, 2015

ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED)

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	CORPORATE BONDS (58.1%)
		*Consumer Discretionary (11.3%)*
	1,678,000	Altice, SA^* 7.750%, 05/15/22	$	1,735,681
	373,000	Brunswick Corp.*µ 4.625%, 05/15/21		370,902
	3,300,000	Century Communities, Inc.*µ 6.875%, 05/15/22		3,221,625
	2,237,000	Chrysler Group, LLCµ 8.000%, 06/15/19		2,362,831
	1,165,000	Cogeco Cable, Inc.*µ 4.875%, 05/01/20		1,175,194
	6,369,000	Cooper Tire & Rubber Company^µ 8.000%, 12/15/19		7,133,280
	5,637,000	Dana Holding Corp.^µ 6.750%, 02/15/21		6,021,021
	6,058,000	DISH DBS Corp.µ 7.875%, 09/01/19		6,879,616
	4,567,000	Dufry Finance, SCA*µ 5.500%, 10/15/20		4,735,408
	1,678,000	GameStop Corp.^* 5.500%, 10/01/19		1,710,511
	3,226,000	Golden Nugget Escrow, Inc.^*µ 8.500%, 12/01/21		3,221,967
	969,000	Goodyear Tire & Rubber Company^µ 8.250%, 08/15/20		1,035,619
	5,126,000	Hasbro, Inc.^µ 6.600%, 07/15/28		6,163,631
	4,940,000	Jaguar Land Rover Automotive, PLC*µ 8.125%, 05/15/21		5,449,437
		L Brands, Inc.µ
	2,796,000	7.600%, 07/15/37		3,150,742
	1,118,000	5.625%, 02/15/22		1,214,428
	806,000	6.950%, 03/01/33		871,488
	1,533,000	Liberty Interactive, LLCµ 8.250%, 02/01/30		1,700,672
		Meritage Homes Corp.µ
	3,822,000	7.150%, 04/15/20		4,082,374
	2,037,000	7.000%, 04/01/22		2,147,762
	1,957,000	NCL Corp., Ltd. - Class Cµ 5.000%, 02/15/18		1,980,239
		Neiman Marcus Group Ltd., LLC^*
	694,000	8.750%, 10/15/21		728,266
	555,000	8.000%, 10/15/21		576,159
	3,034,000	Netflix, Inc.µ 5.375%, 02/01/21		3,143,982
	3,169,000	Numericable Group, SA*µ 6.000%, 05/15/22		3,244,264
	2,880,000	Outerwall, Inc.µ 6.000%, 03/15/19		2,811,600
	2,610,000	Penske Automotive Group, Inc. 5.375%, 12/01/24		2,658,938


PRINCIPAL AMOUNT			VALUE

	2,801,000	Royal Caribbean Cruises, Ltd.^µ 7.500%, 10/15/27	$	3,205,394
		Ryland Group, Inc.µ
	5,592,000	6.625%, 05/01/20		5,896,065
	1,566,000	5.375%, 10/01/22		1,524,893
	3,961,000	Service Corp. Internationalµ 7.500%, 04/01/27		4,461,076
	3,057,000	Six Flags Entertainment Corp.*µ 5.250%, 01/15/21		3,099,034
	3,003,000	Taylor Morrison Communities, Inc.*µ 5.250%, 04/15/21		2,843,466
	3,355,000	Time, Inc.^* 5.750%, 04/15/22		3,250,156
		Toll Brothers Finance Corp.
	4,708,000	5.625%, 01/15/24^		5,061,100
	1,258,000	4.000%, 12/31/18µ		1,279,229

				110,148,050

		*Consumer Staples (2.5%)*
	1,118,000	Alphabet Holding Company, Inc. 7.750%, 11/01/17		972,660
	3,822,000	Fidelity & Guaranty Life Holdings, Inc.*µ 6.375%, 04/01/21		4,063,264
	6,128,000	JBS USA, LLC*µ 7.250%, 06/01/21		6,338,650
	5,592,000	Land O’Lakes, Inc.*µ 6.000%, 11/15/22		5,990,430
	2,850,000	Post Holdings, Inc.µ 7.375%, 02/15/22		2,908,781
	3,355,000	Smithfield Foods, Inc.µ 6.625%, 08/15/22		3,562,591

				23,836,376

		*Energy (10.4%)*
	3,479,000	Atwood Oceanics, Inc.µ 6.500%, 02/01/20		3,155,018
		Berry Petroleum Company, LLC
	2,796,000	6.375%, 09/15/22µ		1,985,160
	839,000	6.750%, 11/01/20		612,470
	1,431,000	Bill Barrett Corp.^ 7.000%, 10/15/22		1,192,202
	1,300,000	Blue Racer Midstream, LLC / Blue Racer Finance Corp.*µ 6.125%, 11/15/22		1,287,000
	2,796,000	Bonanza Creek Energy, Inc.µ 6.750%, 04/15/21		2,512,905
	3,029,000	Calfrac Holdings, LP*µ 7.500%, 12/01/20		2,595,474
		Calumet Specialty Products Partners, LPµ
	3,076,000	7.625%, 01/15/22		2,795,315
	1,864,000	9.625%, 08/01/20		1,847,690
	763,000	6.500%, 04/15/21*		660,949

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

		Carrizo Oil & Gas, Inc.µ
	4,567,000	7.500%, 09/15/20	$	4,484,223
	3,481,000	8.625%, 10/15/18		3,489,703
	6,469,000	Cimarex Energy Company^µ 5.875%, 05/01/22		6,756,062
	7,177,000	Drill Rigs Holdings, Inc.*µ 6.500%, 10/01/17		5,683,287
	3,262,000	Energy Transfer Equity, LPµ 5.875%, 01/15/24		3,388,403
	6,991,000	Gulfmark Offshore, Inc.^µ 6.375%, 03/15/22		5,409,286
	4,525,000	Gulfport Energy Corp.µ 7.750%, 11/01/20		4,508,031
	3,602,000	Halcon Resources Corp.^µ 9.750%, 07/15/20		2,422,345
	932,000	Holly Energy Partners, LPµ 6.500%, 03/01/20		910,448
	6,058,000	Laredo Petroleum, Inc.µ 7.375%, 05/01/22		5,777,817
		Linn Energy, LLCµ
	1,957,000	6.250%, 11/01/19‡		1,500,774
	1,864,000	7.750%, 02/01/21^		1,420,135
	1,398,000	8.625%, 04/15/20		1,120,148
	932,000	6.500%, 05/15/19^		728,125
		Oasis Petroleum, Inc.µ
	4,343,000	6.500%, 11/01/21		3,981,988
	1,398,000	6.875%, 01/15/23		1,285,286
	2,395,000	Pacific Drilling, SA*µ 5.375%, 06/01/20		1,796,250
	2,593,000	Petroleum Geo-Services, ASA*µ 7.375%, 12/15/18		2,200,809
	1,122,000	Pioneer Energy Services Corp.µ 6.125%, 03/15/22		784,699
	1,534,000	Rice Energy, Inc.^ 6.250%, 05/01/22		1,484,145
	6,058,000	SEACOR Holdings, Inc.µ 7.375%, 10/01/19		6,285,175
	1,557,000	Seventy Seven Operating, LLCµ 6.625%, 11/15/19		1,131,744
	3,542,000	SM Energy Companyµ 6.500%, 11/15/21		3,497,725
	3,776,000	Trinidad Drilling, Ltd.*µ 7.875%, 01/15/19		3,540,000
	9,321,000	W&T Offshore, Inc.^µ 8.500%, 06/15/19		6,000,394
	2,899,000	Western Refining, Inc.µ 6.250%, 04/01/21		2,835,584

				101,066,769

		*Financials (2.8%)*
	2,736,000	AON Corp.µ 8.205%, 01/01/27		3,541,410


PRINCIPAL AMOUNT			VALUE

	3,614,000	Black Knight InfoServ, LLCµ 5.750%, 04/15/23	$	3,845,874
	1,305,000	DuPont Fabros Technology, LPµ 5.875%, 09/15/21		1,359,647
	2,680,000	First Cash Financial Services, Inc.µ 6.750%, 04/01/21		2,775,475
	2,069,000	iStar Financial, Inc.µ 4.875%, 07/01/18		2,048,310
		Jefferies Finance, LLC*µ
	4,521,000	7.375%, 04/01/20		4,193,227
	1,379,000	6.875%, 04/15/22		1,244,548
	2,414,000	Nationstar Mortgage, LLC / Nationstar Capital Corp.µ 6.500%, 07/01/21		2,098,671
	6,058,000	Neuberger Berman Group, LLC*µ 5.875%, 03/15/22		6,427,508

				27,534,670

		*Health Care (7.0%)*
	3,449,000	Alere, Inc.µ 6.500%, 06/15/20		3,515,824
	3,989,000	Community Health Systems, Inc.µ 7.125%, 07/15/20		4,253,271
	3,323,000	Crimson Merger Sub, Inc.^* 6.625%, 05/15/22		2,897,241
	3,449,000	DaVita HealthCare Partners, Inc.^µ 5.125%, 07/15/24		3,541,692
		Endo International, PLC*µ
	6,245,000	7.000%, 12/15/20^		6,553,347
	1,398,000	7.000%, 07/15/19		1,467,900
		HCA Holdings, Inc.µ
	1,981,000	6.250%, 02/15/21		2,146,909
	1,864,000	5.875%, 05/01/23		2,027,100
	9,041,000	HCA, Inc.^µ 7.750%, 05/15/21		9,679,520
	8,393,000	Hologic, Inc.µ 6.250%, 08/01/20		8,760,194
	5,592,000	Teleflex, Inc.µ 6.875%, 06/01/19		5,822,670
	6,385,000	Tenet Healthcare Corp.µ 6.750%, 02/01/20		6,788,053
		Valeant Pharmaceuticals International, Inc.^*µ
	6,991,000	7.000%, 10/01/20		7,384,244
	2,144,000	7.250%, 07/15/22		2,299,440
	1,025,000	VPII Escrow Corp.*µ 6.750%, 08/15/18		1,090,344

				68,227,749

		*Industrials (8.9%)*
	4,893,000	ACCO Brands Corp.^µ 6.750%, 04/30/20		5,220,219

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	6,525,000	Deluxe Corp.µ 6.000%, 11/15/20	$	6,786,000
	3,001,000	DigitalGlobe, Inc.*µ 5.250%, 02/01/21		2,882,836
	5,805,000	Dycom Investments, Inc.^µ 7.125%, 01/15/21		6,098,878
	2,908,000	Edgen Murray Corp.*µ 8.750%, 11/01/20		3,178,807
	2,507,000	Garda World Security Corp.^*µ 7.250%, 11/15/21		2,458,427
	2,959,000	GrafTech International, Ltd.^ 6.375%, 11/15/20		2,522,548
	5,182,000	H&E Equipment Services, Inc.µ 7.000%, 09/01/22		4,942,332
		Icahn Enterprises, LPµ
	4,398,000	5.875%, 02/01/22		4,502,452
	2,461,000	6.000%, 08/01/20		2,591,741
	578,000	4.875%, 03/15/19		588,838
	3,262,000	Manitowoc Company, Inc.µ 8.500%, 11/01/20		3,529,076
	1,510,000	Meritor, Inc.µ 6.750%, 06/15/21		1,572,288
		Michael Baker International, LLC*µ
	3,262,000	8.250%, 10/15/18		3,235,496
	1,655,000	8.875%, 04/15/19		1,498,809
	3,132,000	Navistar International Corp.^ 8.250%, 11/01/21		3,061,530
	1,775,000	Nortek, Inc.µ 8.500%, 04/15/21		1,892,594
	7,210,000	Rexel, SA*µ 6.125%, 12/15/19		7,570,500
	5,089,000	Terex Corp.µ 6.000%, 05/15/21		5,165,335
	2,330,000	Titan International, Inc.µ 6.875%, 10/01/20		2,013,994
	2,470,000	TransDigm, Inc.µ 5.500%, 10/15/20		2,426,775
	2,274,000	Triumph Group, Inc.µ 4.875%, 04/01/21		2,252,681
	2,423,000	United Continental Holdings, Inc.µ 6.375%, 06/01/18		2,589,581
		United Rentals North America, Inc.µ
	6,058,000	7.625%, 04/15/22		6,678,945
	1,585,000	6.125%, 06/15/23		1,654,344

				86,915,026

		*Information Technology (6.2%)*
	3,542,000	Activision Blizzard, Inc.*µ 5.625%, 09/15/21		3,792,154
		Amkor Technology, Inc.^µ
	3,458,000	6.375%, 10/01/22		3,436,388
	2,739,000	6.625%, 06/01/21		2,790,356


PRINCIPAL AMOUNT			VALUE

	8,855,000	Belden, Inc.*µ 5.500%, 09/01/22	$	8,888,206
	2,796,000	Cardtronics, Inc.*µ 5.125%, 08/01/22		2,747,070
	2,144,000	Equinix, Inc.µ 5.375%, 04/01/23		2,225,740
	7,457,000	Hughes Satellite Systems Corp.µ 7.625%, 06/15/21		8,160,754
	7,457,000	J2 Global, Inc.µ 8.000%, 08/01/20		8,062,881
	3,411,000	Nuance Communications, Inc.*µ 5.375%, 08/15/20		3,442,978
	1,864,000	NXP Semiconductors, NV*µ 5.750%, 02/15/21		1,967,685
	4,721,000	Sungard Data Systems, Inc.µ 6.625%, 11/01/19		4,756,408
	3,635,000	ViaSat, Inc.µ 6.875%, 06/15/20		3,794,031
	5,592,000	Viasystems, Inc.^*µ 7.875%, 05/01/19		5,924,025

				59,988,676

		*Materials (4.2%)*
	1,490,000	Chemtura Corp.µ 5.750%, 07/15/21		1,468,581
		First Quantum Minerals, Ltd.*
	1,741,000	7.000%, 02/15/21µ		1,453,735
	1,741,000	6.750%, 02/15/20		1,479,850
	8,389,000	FMG Resources^* 8.250%, 11/01/19		7,466,210
	6,413,000	Greif, Inc.µ 7.750%, 08/01/19		7,270,739
		INEOS Group Holdings, SA^*
	2,610,000	6.125%, 08/15/18		2,513,756
	1,305,000	5.875%, 02/15/19		1,240,566
		New Gold, Inc.*µ
	5,126,000	7.000%, 04/15/20^		5,119,592
	1,389,000	6.250%, 11/15/22		1,373,374
	2,470,000	PH Glatfelter Companyµ 5.375%, 10/15/20		2,527,119
	969,000	Sealed Air Corp.*µ 5.250%, 04/01/23		1,006,549
	5,369,000	Trinseo Materials Operating, SCA^ 8.750%, 02/01/19		5,449,535
	2,899,000	United States Steel Corp.^ 6.875%, 04/01/21		2,891,752

				41,261,358

		*Telecommunication Services (3.7%)*
	2,287,000	CenturyLink, Inc.µ 6.750%, 12/01/23		2,570,748
		Frontier Communications Corp.µ
	2,996,000	7.625%, 04/15/24		3,173,887

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	308,000	6.875%, 01/15/25	$	312,813
		Intelsat, SA
	5,909,000	7.750%, 06/01/21^		5,879,455
	429,000	8.125%, 06/01/23		435,167
	2,470,000	SBA Communications Corp.µ 5.625%, 10/01/19		2,590,413
		Sprint Corp.
	12,532,000	7.875%, 09/15/23		12,759,142
	1,575,000	7.125%, 06/15/24		1,532,672
	1,100,000	7.250%, 09/15/21µ		1,102,750
	5,257,000	T-Mobile USA, Inc.^µ 6.625%, 04/01/23		5,463,994

				35,821,041

		*Utilities (1.1%)*
	1,911,000	AES Corp.µ 7.375%, 07/01/21		2,131,960
	5,383,000	AmeriGas Finance Corp.^µ 7.000%, 05/20/22		5,645,421
	2,441,000	Calpine Corp.*µ 7.875%, 01/15/23		2,736,971

				10,514,352

		TOTAL CORPORATE BONDS (Cost $570,092,678)		565,314,067

	CONVERTIBLE BONDS (53.5%)
		*Consumer Discretionary (11.5%)*
	7,200,000	HomeAway, Inc.^*µ 0.125%, 04/01/19		6,556,104
		Iconix Brand Group, Inc.µ
	6,400,000	1.500%, 03/15/18^		7,540,832
	2,200,000	2.500%, 06/01/16		2,591,182
		Jarden Corp.µ
	9,000,000	1.125%, 03/15/34^*		10,307,610
	6,800,000	1.500%, 06/15/19		9,061,374
	2,650,000	KB Home^µ 1.375%, 02/01/19		2,434,224
	19,150,000	Liberty Interactive, LLC (Time Warner Cable, Inc., Time Warner, Inc.)§ 0.750%, 03/30/43		24,878,627
	5,699,000	Liberty Media Corp.^µ 1.375%, 10/15/23		5,546,808
	11,800,000	MGM Resorts International^µ 4.250%, 04/15/15		12,989,794
	9,852,000	Priceline Group, Inc.^µ 1.000%, 03/15/18		12,302,882
	5,600,000	Standard Pacific Corp.^µ 1.250%, 08/01/32		6,170,864
	13,675,000	Tesla Motors, Inc.^µ 1.250%, 03/01/21		11,802,345

				112,182,646


PRINCIPAL AMOUNT				VALUE

			*Energy (0.8%)*
	8,770,000		Chesapeake Energy Corp. 2.250%, 12/15/38	$	8,079,713

			*Financials (4.9%)*
			Ares Capital Corp.^µ
	8,200,000		4.750%, 01/15/18		8,523,572
	4,500,000		5.750%, 02/01/16		4,637,587
	1,800,000	EUR	Azimut Holding, S.p.A.µ 2.125%, 11/25/20		2,338,606
	4,000,000		IAS Operating Partnership, LP*µ 5.000%, 03/15/18		3,811,180
	1,382,000		Jefferies Group, Inc.µ 3.875%, 11/01/29		1,429,099
	5,000,000		MGIC Investment Corp.^µ 2.000%, 04/01/20		6,852,000
	3,408,000		PRA Group, Inc.µ 3.000%, 08/01/20		3,509,473
	5,500,000		Prologis, Inc. 3.250%, 03/15/15		6,358,000
	4,800,000		Spirit Realty Capital, Inc.µ 2.875%, 05/15/19		4,908,744
	4,600,000		Starwood Property Trust, Inc.µ 4.550%, 03/01/18		5,011,447

					47,379,708

			*Health Care (13.4%)*
	5,795,000		Acorda Therapeutics, Inc.µ 1.750%, 06/15/21		6,762,243
	14,400,000		Anthem, Inc.µ 2.750%, 10/15/42		26,344,728
	6,375,000		BioMarin Pharmaceutical, Inc.^µ 1.500%, 10/15/20		8,214,251
	6,600,000		Cepheid^* 1.250%, 02/01/21		7,231,851
	6,500,000		Cubist Pharmaceuticals, Inc. 1.875%, 09/01/20		8,953,750
	3,700,000		Depomed, Inc.µ 2.500%, 09/01/21		4,285,729
	3,500,000		Emergent Biosolutions, Inc.^µ 2.875%, 01/15/21		4,027,188
	680,000		Gilead Sciences, Inc. 1.625%, 05/01/16		3,127,653
	3,100,000		Hologic, Inc.‡ 2.000%, 12/15/37		4,296,522
			Illumina, Inc.^*
	7,400,000		0.000%, 06/15/19		8,377,503
	7,250,000		0.500%, 06/15/21		8,559,459
	1,610,000		Incyte Corp. 1.250%, 11/15/20		2,663,681
	3,600,000		Insulet Corp.µ 2.000%, 06/15/19		3,530,808

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	3,100,000	Isis Pharmaceuticals, Inc.* 1.000%, 11/15/21	$	3,760,006
	3,700,000	Jazz Investments I, Ltd.^* 1.875%, 08/15/21		4,294,590
	5,250,000	Medicines Company* 2.500%, 01/15/22		5,711,737
	3,943,000	Medidata Solutions, Inc.µ 1.000%, 08/01/18		4,228,217
		Molina Healthcare, Inc.µ
	4,400,000	1.625%, 08/15/44^		4,800,598
	3,520,000	1.625%, 08/15/44*		3,858,800
	3,600,000	Salix Pharmaceuticals, Ltd.µ 1.500%, 03/15/19		7,575,048

				130,604,362

		*Industrials (0.8%)*
	2,258,000	Air Lease Corp.µ 3.875%, 12/01/18		3,080,160
	4,600,000	Huron Consulting Group, Inc.*µ 1.250%, 10/01/19		5,191,031

				8,271,191

		*Information Technology (20.6%)*
	7,400,000	AOL, Inc.^*µ 0.750%, 09/01/19		7,707,581
	3,700,000	Citrix Systems, Inc.^* 0.500%, 04/15/19		3,835,346
	5,680,000	Euronet Worldwide, Inc.^*µ 1.500%, 10/01/44		5,428,490
	3,000,000	Finisar Corp. 0.500%, 12/15/33		2,868,825
	10,800,000	Intel Corp.^ 3.250%, 08/01/39		17,556,372
	6,900,000	InvenSense, Inc.^µ 1.750%, 11/01/18		6,446,359
	7,300,000	LinkedIn Corp.* 0.500%, 11/01/19		7,705,113
	11,000,000	Mentor Graphics Corp.^µ 4.000%, 04/01/31		13,485,835
	3,250,000	Micron Technology, Inc. 2.125%, 02/15/33		8,766,452
	2,500,000	Novellus Systems, Inc.^µ 2.625%, 05/15/41		5,515,013
	6,400,000	NVIDIA Corp. 1.000%, 12/01/18		7,198,432
	3,800,000	NXP Semiconductors, NV* 1.000%, 12/01/19		4,073,619
	9,000,000	ON Semiconductor Corp.^µ 2.625%, 12/15/26		10,702,620
	5,537,000	Palo Alto Networks, Inc.^*µ 0.000%, 07/01/19		7,227,335
	9,700,000	Salesforce.com, Inc.^µ 0.250%, 04/01/18		10,856,143


PRINCIPAL AMOUNT			VALUE

	19,200,000	SanDisk Corp.^µ 0.500%, 10/15/20	$	20,478,816
	13,000,000	ServiceNow, Inc.^µ 0.000%, 11/01/18		15,478,190
		SunEdison, Inc.*µ
	9,425,000	0.250%, 01/15/20^		8,805,259
	1,750,000	2.000%, 10/01/18		2,491,195
	5,725,000	SunPower Corp. 0.750%, 06/01/18		6,749,031
	3,525,000	Synchronoss Technologies, Inc.µ 0.750%, 08/15/19		3,789,992
	2,900,000	Take-Two Interactive Software, Inc.µ 1.000%, 07/01/18		4,275,108
		Twitter, Inc.*µ
	3,450,000	1.000%, 09/15/21^		3,095,357
	3,450,000	0.250%, 09/15/19		3,120,094
	4,000,000	Verint Systems, Inc.^µ 1.500%, 06/01/21		4,260,860
	7,400,000	Yahoo!, Inc. 0.000%, 12/01/18		8,004,950

				199,922,387

		*Materials (1.5%)*
	7,700,000	Cemex, SAB de CVµ 3.250%, 03/15/16		8,350,496
		RTI International Metals, Inc.µ
	3,200,000	1.625%, 10/15/19		2,958,880
	2,900,000	3.000%, 12/01/15^		2,942,848

				14,252,224

		TOTAL CONVERTIBLE BONDS (Cost $495,703,950)		520,692,231

	U.S. GOVERNMENT AND AGENCY SECURITIES (0.1%)
		United States Treasury Note
	513,000	0.250%, 12/15/15~		513,381
	47,000	0.375%, 06/30/15^		47,060

		TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $559,873)		560,441

	SYNTHETIC CONVERTIBLE SECURITIES (5.0%) ¤
	*Corporate Bonds (4.2%)*
		*Consumer Discretionary (0.8%)*
	122,000	Altice, SA^* 7.750%, 05/15/22		126,194
	27,000	Brunswick Corp.*µ 4.625%, 05/15/21		26,848
	241,000	Century Communities, Inc.*µ 6.875%, 05/15/22		235,276
	163,000	Chrysler Group, LLCµ 8.000%, 06/15/19		172,169

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	85,000	Cogeco Cable, Inc.*µ 4.875%, 05/01/20	$	85,744
	464,000	Cooper Tire & Rubber Company^µ 8.000%, 12/15/19		519,680
	411,000	Dana Holding Corp.^µ 6.750%, 02/15/21		438,999
	442,000	DISH DBS Corp.µ 7.875%, 09/01/19		501,946
	333,000	Dufry Finance, SCA*µ 5.500%, 10/15/20		345,279
	122,000	GameStop Corp.^* 5.500%, 10/01/19		124,364
	235,000	Golden Nugget Escrow, Inc.^*µ 8.500%, 12/01/21		234,706
	71,000	Goodyear Tire & Rubber Company^µ 8.250%, 08/15/20		75,881
	374,000	Hasbro, Inc.^µ 6.600%, 07/15/28		449,707
	360,000	Jaguar Land Rover Automotive, PLC*µ 8.125%, 05/15/21		397,125
		L Brands, Inc.µ
	204,000	7.600%, 07/15/37		229,882
	82,000	5.625%, 02/15/22		89,073
	59,000	6.950%, 03/01/33		63,794
	112,000	Liberty Interactive, LLCµ 8.250%, 02/01/30		124,250
		Meritage Homes Corp.µ
	278,000	7.150%, 04/15/20		296,939
	148,000	7.000%, 04/01/22		156,048
	143,000	NCL Corp., Ltd. - Class Cµ 5.000%, 02/15/18		144,698
		Neiman Marcus Group Ltd., LLC^*
	51,000	8.750%, 10/15/21		53,518
	40,000	8.000%, 10/15/21		41,525
	221,000	Netflix, Inc.µ 5.375%, 02/01/21		229,011
	231,000	Numericable Group, SA*µ 6.000%, 05/15/22		236,486
	210,000	Outerwall, Inc.µ 6.000%, 03/15/19		205,012
	190,000	Penske Automotive Group, Inc. 5.375%, 12/01/24		193,563
	204,000	Royal Caribbean Cruises, Ltd.^µ 7.500%, 10/15/27		233,452
		Ryland Group, Inc.µ
	408,000	6.625%, 05/01/20		430,185
	114,000	5.375%, 10/01/22		111,008
	289,000	Service Corp. Internationalµ 7.500%, 04/01/27		325,486
	223,000	Six Flags Entertainment Corp.*µ 5.250%, 01/15/21		226,066


PRINCIPAL AMOUNT			VALUE

	219,000	Taylor Morrison Communities, Inc.*µ 5.250%, 04/15/21	$	207,366
	245,000	Time, Inc.^* 5.750%, 04/15/22		237,344
		Toll Brothers Finance Corp.
	343,000	5.625%, 01/15/24^		368,725
	92,000	4.000%, 12/31/18µ		93,553

				8,030,902

		*Consumer Staples (0.2%)*
	82,000	Alphabet Holding Company, Inc. 7.750%, 11/01/17		71,340
	278,000	Fidelity & Guaranty Life Holdings, Inc.*µ 6.375%, 04/01/21		295,549
	447,000	JBS USA, LLC*µ 7.250%, 06/01/21		462,366
	408,000	Land O’Lakes, Inc.*µ 6.000%, 11/15/22		437,070
	208,000	Post Holdings, Inc.µ 7.375%, 02/15/22		212,290
	245,000	Smithfield Foods, Inc.µ 6.625%, 08/15/22		260,159

				1,738,774

		*Energy (0.8%)*
	253,000	Atwood Oceanics, Inc.µ 6.500%, 02/01/20		229,439
		Berry Petroleum Company, LLC
	204,000	6.375%, 09/15/22µ		144,840
	61,000	6.750%, 11/01/20		44,530
	104,000	Bill Barrett Corp.^ 7.000%, 10/15/22		86,645
	95,000	Blue Racer Midstream, LLC / Blue Racer Finance Corp.*µ 6.125%, 11/15/22		94,050
	204,000	Bonanza Creek Energy, Inc.µ 6.750%, 04/15/21		183,345
	221,000	Calfrac Holdings, LP*µ 7.500%, 12/01/20		189,369
		Calumet Specialty Products Partners, LPµ
	224,000	7.625%, 01/15/22		203,560
	136,000	9.625%, 08/01/20		134,810
	56,000	6.500%, 04/15/21*		48,510
		Carrizo Oil & Gas, Inc.µ
	333,000	7.500%, 09/15/20		326,964
	254,000	8.625%, 10/15/18		254,635
	471,000	Cimarex Energy Company^µ 5.875%, 05/01/22		491,901
	523,000	Drill Rigs Holdings, Inc.*µ 6.500%, 10/01/17		414,151
	238,000	Energy Transfer Equity, LPµ 5.875%, 01/15/24		247,223

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	509,000	Gulfmark Offshore, Inc.^µ 6.375%, 03/15/22	$	393,839
	330,000	Gulfport Energy Corp.µ 7.750%, 11/01/20		328,762
	263,000	Halcon Resources Corp.^µ 9.750%, 07/15/20		176,868
	68,000	Holly Energy Partners, LPµ 6.500%, 03/01/20		66,428
	442,000	Laredo Petroleum, Inc.µ 7.375%, 05/01/22		421,557
		Linn Energy, LLCµ
	143,000	6.250%, 11/01/19‡		109,663
	136,000	7.750%, 02/01/21^		103,615
	102,000	8.625%, 04/15/20		81,728
	68,000	6.500%, 05/15/19^		53,125
		Oasis Petroleum, Inc.µ
	317,000	6.500%, 11/01/21		290,649
	102,000	6.875%, 01/15/23		93,776
	175,000	Pacific Drilling, SA*µ 5.375%, 06/01/20		131,250
	189,000	Petroleum Geo-Services, ASA*µ 7.375%, 12/15/18		160,414
	82,000	Pioneer Energy Services Corp.µ 6.125%, 03/15/22		57,349
	112,000	Rice Energy, Inc.^ 6.250%, 05/01/22		108,360
	442,000	SEACOR Holdings, Inc.µ 7.375%, 10/01/19		458,575
	113,000	Seventy Seven Operating, LLCµ 6.625%, 11/15/19		82,137
	258,000	SM Energy Companyµ 6.500%, 11/15/21		254,775
	275,000	Trinidad Drilling, Ltd.*µ 7.875%, 01/15/19		257,813
	679,000	W&T Offshore, Inc.^µ 8.500%, 06/15/19		437,106
	211,000	Western Refining, Inc.µ 6.250%, 04/01/21		206,384

				7,368,145

		*Financials (0.2%)*
	199,000	AON Corp.µ 8.205%, 01/01/27		257,581
	263,000	Black Knight InfoServ, LLCµ 5.750%, 04/15/23		279,874
	95,000	DuPont Fabros Technology, LPµ 5.875%, 09/15/21		98,978
	195,000	First Cash Financial Services, Inc.µ 6.750%, 04/01/21		201,947
	151,000	iStar Financial, Inc.µ 4.875%, 07/01/18		149,490
		Jefferies Finance, LLC*µ
	329,000	7.375%, 04/01/20		305,147
	101,000	6.875%, 04/15/22		91,153


PRINCIPAL AMOUNT			VALUE

	176,000	Nationstar Mortgage, LLC / Nationstar Capital Corp.µ 6.500%, 07/01/21	$	153,010
	442,000	Neuberger Berman Group, LLC*µ 5.875%, 03/15/22		468,960

				2,006,140

		*Health Care (0.5%)*
	251,000	Alere, Inc.µ 6.500%, 06/15/20		255,863
	291,000	Community Health Systems, Inc.µ 7.125%, 07/15/20		310,279
	242,000	Crimson Merger Sub, Inc.^* 6.625%, 05/15/22		210,994
	251,000	DaVita HealthCare Partners, Inc.^µ 5.125%, 07/15/24		257,746
		Endo International, PLC*µ
	455,000	7.000%, 12/15/20^		477,465
	102,000	7.000%, 07/15/19		107,100
		HCA Holdings, Inc.µ
	144,000	6.250%, 02/15/21		156,060
	136,000	5.875%, 05/01/23		147,900
	659,000	HCA, Inc.^µ 7.750%, 05/15/21		705,542
	612,000	Hologic, Inc.µ 6.250%, 08/01/20		638,775
	408,000	Teleflex, Inc.µ 6.875%, 06/01/19		424,830
	465,000	Tenet Healthcare Corp.µ 6.750%, 02/01/20		494,353
		Valeant Pharmaceuticals International, Inc.^*µ
	509,000	7.000%, 10/01/20		537,631
	156,000	7.250%, 07/15/22		167,310
	75,000	VPII Escrow Corp.*µ 6.750%, 08/15/18		79,781

				4,971,629

		*Industrials (0.6%)*
	357,000	ACCO Brands Corp.^µ 6.750%, 04/30/20		380,874
	475,000	Deluxe Corp.µ 6.000%, 11/15/20		494,000
	219,000	DigitalGlobe, Inc.*µ 5.250%, 02/01/21		210,377
	423,000	Dycom Investments, Inc.^µ 7.125%, 01/15/21		444,414
	212,000	Edgen Murray Corp.*µ 8.750%, 11/01/20		231,743
	183,000	Garda World Security Corp.^*µ 7.250%, 11/15/21		179,454

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	216,000	GrafTech International, Ltd.^ 6.375%, 11/15/20	$	184,140
	378,000	H&E Equipment Services, Inc.µ 7.000%, 09/01/22		360,517
		Icahn Enterprises, LPµ
	320,000	5.875%, 02/01/22		327,600
	179,000	6.000%, 08/01/20		188,509
	42,000	4.875%, 03/15/19		42,788
	238,000	Manitowoc Company, Inc.µ 8.500%, 11/01/20		257,486
	110,000	Meritor, Inc.µ 6.750%, 06/15/21		114,538
		Michael Baker International, LLC*µ
	238,000	8.250%, 10/15/18		236,066
	121,000	8.875%, 04/15/19		109,581
	228,000	Navistar International Corp.^ 8.250%, 11/01/21		222,870
	129,000	Nortek, Inc.µ 8.500%, 04/15/21		137,546
	525,000	Rexel, SA*µ 6.125%, 12/15/19		551,250
	371,000	Terex Corp.µ 6.000%, 05/15/21		376,565
	170,000	Titan International, Inc.µ 6.875%, 10/01/20		146,944
	180,000	TransDigm, Inc.µ 5.500%, 10/15/20		176,850
	166,000	Triumph Group, Inc.µ 4.875%, 04/01/21		164,444
	177,000	United Continental Holdings, Inc.µ 6.375%, 06/01/18		189,169
		United Rentals North America, Inc.µ
	442,000	7.625%, 04/15/22		487,305
	115,000	6.125%, 06/15/23		120,031

				6,335,061

		*Information Technology (0.4%)*
	258,000	Activision Blizzard, Inc.*µ 5.625%, 09/15/21		276,221
		Amkor Technology, Inc.^µ
	252,000	6.375%, 10/01/22		250,425
	200,000	6.625%, 06/01/21		203,750
	645,000	Belden, Inc.*µ 5.500%, 09/01/22		647,419
	204,000	Cardtronics, Inc.*µ 5.125%, 08/01/22		200,430
	156,000	Equinix, Inc.µ 5.375%, 04/01/23		161,947
	543,000	Hughes Satellite Systems Corp.µ 7.625%, 06/15/21		594,246
	543,000	J2 Global, Inc.µ 8.000%, 08/01/20		587,119


PRINCIPAL AMOUNT			VALUE

	249,000	Nuance Communications, Inc.*µ 5.375%, 08/15/20	$	251,334
	136,000	NXP Semiconductors, NV*µ 5.750%, 02/15/21		143,565
	344,000	Sungard Data Systems, Inc.µ 6.625%, 11/01/19		346,580
	265,000	ViaSat, Inc.µ 6.875%, 06/15/20		276,594
	408,000	Viasystems, Inc.^*µ 7.875%, 05/01/19		432,225

				4,371,855

		*Materials (0.3%)*
	109,000	Chemtura Corp.µ 5.750%, 07/15/21		107,433
		First Quantum Minerals, Ltd.*
	127,000	7.000%, 02/15/21µ		106,045
	127,000	6.750%, 02/15/20		107,950
	611,000	FMG Resources^* 8.250%, 11/01/19		543,790
	467,000	Greif, Inc.µ 7.750%, 08/01/19		529,461
		INEOS Group Holdings, SA^*
	190,000	6.125%, 08/15/18		182,994
	95,000	5.875%, 02/15/19		90,309
		New Gold, Inc.*µ
	374,000	7.000%, 04/15/20^		373,532
	101,000	6.250%, 11/15/22		99,864
	180,000	PH Glatfelter Companyµ 5.375%, 10/15/20		184,163
	71,000	Sealed Air Corp.*µ 5.250%, 04/01/23		73,751
	391,000	Trinseo Materials Operating, SCA^ 8.750%, 02/01/19		396,865
	211,000	United States Steel Corp.^ 6.875%, 04/01/21		210,473

				3,006,630

		*Telecommunication Services (0.3%)*
	167,000	CenturyLink, Inc.µ 6.750%, 12/01/23		187,720
		Frontier Communications Corp.µ
	218,000	7.625%, 04/15/24		230,944
	22,000	6.875%, 01/15/25		22,344
		Intelsat, SA
	431,000	7.750%, 06/01/21^		428,845
	31,000	8.125%, 06/01/23		31,446
	180,000	SBA Communications Corp.µ 5.625%, 10/01/19		188,775
		Sprint Corp.
	913,000	7.875%, 09/15/23		929,548
	115,000	7.125%, 06/15/24		111,909
	80,000	7.250%, 09/15/21µ		80,200

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	383,000	T-Mobile USA, Inc.^µ 6.625%, 04/01/23	$	398,080

				2,609,811

		*Utilities (0.1%)*
	139,000	AES Corp.µ 7.375%, 07/01/21		155,072
	392,000	AmeriGas Finance Corp.^µ 7.000%, 05/20/22		411,110
	178,000	Calpine Corp.*µ 7.875%, 01/15/23		199,582

				765,764

		TOTAL CORPORATE BONDS		41,204,711

	*U.S. Government and Agency Securities (0.0%)*
		United States Treasury Note
	37,000	0.250%, 12/15/15~		37,027
	3,000	0.375%, 06/30/15^		3,004

		TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES		40,031

NUMBER OF CONTRACTS			VALUE
	*Purchased Options (0.8%) #*
		*Consumer Discretionary (0.1%)*
	4,025	Lennar Corp. Call, 05/15/15, Strike $47.00		835,188

		*Health Care (0.3%)*
	1,650	Gilead Sciences, Inc. Call, 05/15/15, Strike $97.50		1,963,500
	4,500	Mylan, Inc. Call, 04/17/15, Strike $55.00		1,071,000

				3,034,500

		*Information Technology (0.4%)*
	4,485	Micron Technology, Inc. Call, 01/15/16, Strike $25.00		3,016,162
	1,030	Twitter, Inc. Call, 06/19/15, Strike $40.00		391,400

				3,407,562

		TOTAL PURCHASED OPTIONS		7,277,250

		TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $48,485,601)		48,521,992

NUMBER OF SHARES			VALUE
	CONVERTIBLE PREFERRED STOCKS (15.5%)
		*Consumer Staples (1.8%)*
	62,000	Bunge, Ltd.µ 4.875%		6,835,500


NUMBER OF SHARES			VALUE

	34,250	Post Holdings, Inc. 5.250%	$	3,323,791
	150,000	Tyson Foods, Inc. 4.750%		7,255,500

				17,414,791

		*Energy (2.2%)*
	20,816	Chesapeake Energy Corp.^*µ 5.750%		21,156,607

		*Financials (4.6%)*
	310,000	Affiliated Managers Group, Inc.^µ 5.150%		19,006,875
	71,400	American Tower Corp. 5.250%		7,836,150
	105,000	Crown Castle International Corp. 4.500%		11,426,100
	116,667	Weyerhaeuser Company 6.375%		6,734,019

				45,003,144

		*Industrials (3.7%)*
	65,800	Genesee & Wyoming, Inc. 5.000%		7,114,954
		Stanley Black & Decker, Inc.^
	102,760	4.750%µ		13,718,460
	18,250	6.250%		2,100,028
	220,000	United Technologies Corp.^µ 7.500%		13,186,800

				36,120,242

		*Telecommunication Services (0.8%)*
	181,000	Intelsat, SA 5.750%		7,929,610

		*Utilities (2.4%)*
	66,876	Dominion Resources, Inc. 6.375%		3,458,827
	145,000	Exelon Corp.^ 6.500%		7,592,200
	175,000	NextEra Energy, Inc. 5.599%		12,522,125

				23,573,152

		TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $139,263,907)		151,197,546

	COMMON STOCKS (1.8%)
		*Financials (1.8%)*
	17,300	American International Group, Inc.µ		845,451
	299,522	MetLife, Inc.		13,927,773

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2015 (UNAUDITED)


NUMBER OF SHARES			VALUE
	215,000	Och-Ziff Capital Management Group, LLC - Class Aµ	$	2,384,350

		TOTAL COMMON STOCKS (Cost $19,023,835)		17,157,574

	SHORT TERM INVESTMENT (5.7%)
	55,063,174	Fidelity Prime Money Market Fund - Institutional Class (Cost $55,063,174)		55,063,174

	TOTAL INVESTMENTS (139.7%) (Cost $1,328,193,018)			1,358,507,025

	LIABILITIES, LESS OTHER ASSETS (-39.7%)			(385,999,638	)

	NET ASSETS (100.0%)		$	972,507,387

NUMBER OF CONTRACTS			VALUE
	WRITTEN OPTIONS (0.0%) #
		*Information Technology (0.0%)*
	1,030	Twitter, Inc. Call, 06/19/15, Strike $50.00 (Premium $271,694)		(127,720	)

NOTES TO SCHEDULE OF INVESTMENTS


^		Security, or portion of security, is on loan.
*		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.
µ		Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $800,487,397. $188,380,372 of the collateral has been re-registered by one of the counterparties, BNP (see Note 3 - Borrowings).
‡		Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2015.
§		Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
~		Security, or portion of security, is segregated as collateral for swaps. The aggregate value of such securities is $550,408.
¤		The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security.
#		Non-income producing security.

FOREIGN CURRENCY ABBREVIATION


EUR		European Monetary Unit

Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. 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	1.160% quarterly	3 month LIBOR	04/19/17	$	68,000,000	$	(643,017	)

						$	(643,017	)

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 principal 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 principal 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 in 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, 2015.

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, 2015. 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, 2015 was as follows:


Cost basis of investments	$	1,347,756,853

Gross unrealized appreciation		80,345,145
Gross unrealized depreciation		(69,594,973	)

Net unrealized appreciation (depreciation)	$	10,750,172

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 $240.0 million and a lending agreement, (“Lending Agreement”) as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”, together with the BNP Agreement, “Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to a limit of $240.0 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, 2015, the average borrowings under the Agreements were $400.0 million. For the period ended January 31, 2015, the average interest rate was 0.71%. As of January 31, 2015, the amount of total outstanding borrowings was $400.0 million ($200.0 million under the BNP Agreement and $200.0 million under the SSB Agreement), which approximates fair value. The interest rate applicable to the borrowings on January 31, 2015 was 0.79%.

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 BNP 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 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, 2015, the Fund used approximately $106.7 million of its cash collateral to offset the SSB Agreement, representing 7.8% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.46%, 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 Measurement

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 Fund’s 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	$	—	$	565,314,067	$	—	$	565,314,067
Convertible Bonds		—		520,692,231		—		520,692,231
U.S. Government and Agency Securities		—		560,441		—		560,441
Synthetic Convertible Securities (Corporate Bonds)		—		41,204,711		—		41,204,711
Synthetic Convertible Securities (U.S. Government and Agency Securities)		—		40,031		—		40,031
Synthetic Convertible Securities (Purchased Options)		7,277,250		—		—		7,277,250
Convertible Preferred Stocks		88,352,648		62,844,898		—		151,197,546
Common Stocks U.S.		17,157,574		—		—		17,157,574
Short Term Investment		55,063,174		—		—		55,063,174

Total	$	167,850,646	$	1,190,656,379	$	—	$	1,358,507,025


Liabilities:
Written Options	$	127,720	$	—	$	—	$	127,720
Interest Rate Swaps		—		643,017		—		643,017

Total	$	127,720	$	643,017	$	—	$	770,737

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 & High Income Fund

By:		/s/ John P. Calamos, Sr.
Name:		John P. Calamos, Sr.
Title:		Principal Executive Officer
Date:		March 23, 2015

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 & High Income Fund

By:		/s/ John P. Calamos, Sr.
Name:		John P. Calamos, Sr.
Title:		Principal Executive Officer
Date:		March 23, 2015

By:		/s/ Nimish S. Bhatt
Name:		Nimish S. Bhatt
Title:		Principal Financial Officer
Date:		March 23, 2015