UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT 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: 1111 East Warrenville Road, Naperville,
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors, LLC
1111 East Warrenville Road
Naperville, Illinois
60563-1493
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2005
DATE OF REPORTING PERIOD: November 1, 2004 through April 30, 2005
ITEM 1. REPORTS TO SHAREHOLDERS
[PHOTO OMITTED]
CALAMOS(R) CONVERTIBLE AND HIGH INCOME FUND
SEMIANNUAL REPORT APRIL 30, 2005
[LOGO](R)
CALAMOS INVESTMENTS(R)
Table of Contents
President's Letter ........................................................ 1
Schedule of Investments ................................................... 3
Statement of Assets and Liabilities ....................................... 11
Statement of Operations ................................................... 12
Statement of Changes In Net Assets ........................................ 13
Notes to Financial Statements ............................................. 14
Financial Highlights ...................................................... 21
Report of Independent Registered Public
Accounting Firm ........................................................ 22
Other Information ......................................................... 23
President's Letter
[PHOTO OMITTED]
Dear Shareholder,
This semi-annual report covers the period of November 1, 2004, to April 30,
2005, a period where the convertible market declined and high-yield markets were
generally flat. Although the CALAMOS CONVERTIBLE AND HIGH INCOME FUND (NYSE:
CHY) dropped slightly in price during the period, it produced a steady,
significant monthly dividend for shareholders, and continues to trade at a
premium to its underlying portfolio's NAV (net asset value). As a refresher to
some of our shareholders, a closed-end fund is traded on an exchange, where
buyers and sellers determine the price of the fund. The fund thus may trade at a
premium (higher than NAV) or at a discount (lower than NAV).
Designed to provide total return through a combination of capital appreciation
and current income, the Fund makes use of convertible and high-yield securities
in a flexible, opportunistic manner to achieve this goal. It is important to
note that while convertible and high-yield bonds provide income to the
portfolio, they also provide the opportunity for capital appreciation, as they
are more equity sensitive than traditional fixed income bonds. By dynamically
combining these securities, we aim for long term total return, combining
significant current income with equity market participation.
For the semi-annual period, questions over the strength of the economy dampened
high yield bonds, while convertibles dropped due to declines in the volatility
of equities and excessive selling by hedge funds. We think the market was driven
by short-term concerns during this semi-annual period, while our portfolios
remained positioned to take advantage of longer-term trends. We viewed the
convertible market as substantially undervalued in the first portion of 2005,
and invested in additional opportunities which we believe offered potentially
significant upside yet met our investment team's risk-management criteria.
A recent development worth noting is the Board of Trustees' ratification of a
level-rate distribution policy for the Fund, announced in June of 2005. We
recognize how important stability of income can be, particularly to closed-end
fund investors, and sought to formalize the Fund's aim to providing such
stability. At a monthly rate of $0.1219 per share, the Fund's distribution
represents an annualized rate 9.75% based on the Fund's
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
The views expressed in this report reflect those of Calamos Advisors LLC through
June 20, 2005. The manager's views are subject to change at any time based on
market and other conditions. This report is submitted for general information
for the shareholders of the fund.
Convertible and High Income Fund
President's Letter SEMIANNUAL REPORT 1
President's Letter
initial offering price of $15.00, and equates to $1.46 per share on an annual
basis. We believe that the adoption of a level rate distribution policy has the
potential to serve the long-term interests of you as a CHY shareholder, as
consistent, dependable distributions can be an important component of your total
return goals. If any distribution exceeds the Fund's net investment company
taxable income, the excess generally will be a tax-free return of capital.
Together, the Fund's portfolio management team's risk-managed approach,
communications efforts, and dividend policy are all designed to enhance the
value of your investment. We believe that the Fund's flexible mandate and its
focus on long-term total return provides the potential to create long term
wealth for shareholders, while our risk management and dividend commitment
provide downside protection and current, dependable income. As a portfolio
manager--and shareholder--I remain committed to striving to help you meet your
long-term investment goals. Thank you for your confidence in CALAMOS INVESTMENTS
and CHY.
Sincerely,
/s/ John P. Calamos
JOHN P. CALAMOS, SR.
Chairman, Chief Executive Officer and Co-Chief Investment Officer
Convertible and High Income Fund
2 SEMIANNUAL REPORT President's Letter
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
CORPORATE BONDS (103.7%)
CONSUMER DISCRETIONARY (21.8%)
$ 2,552,000 Accuride Corp.*
8.500%, 02/01/15 $ 2,411,640
2,784,000 Asbury Automotive Group, Inc.^
9.000%, 06/15/12 2,756,160
9,280,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 9,883,200
4,640,000 Broder Bros. Co.^
11.250%, 10/15/10 4,964,800
2,320,000 CBD Media, LLC
8.625%, 06/01/11 2,314,200
4,640,000 DEX Media, Inc.^
8.000%, 11/15/13 4,802,400
12,167,000 GBP EMI Group, PLC
9.750%, 05/20/08 25,170,188
General Motors Corp.^
7,331,000 8.250%, 07/15/23 5,620,282
742,000 7.125%, 07/15/13 589,955
Goodyear Tire & Rubber Company^
6,496,000 7.857%, 08/15/11 5,878,880
4,640,000 7.000%, 03/15/28 3,862,800
8,631,000 Hasbro, Inc.
6.600%, 07/15/28 9,101,053
5,846,000 Houghton Mifflin Company^
9.875%, 02/01/13 5,933,690
3,712,000 IMAX Corp.^
9.625%, 12/01/10 3,944,000
3,712,000 Inn of the Mountain Gods^
12.000%, 11/15/10 4,370,880
4,640,000 Interpublic Group of Companies, Inc.
7.250%, 08/15/11 4,836,527
2,784,000 Intrawest Corp.
7.500%, 10/15/13 2,784,000
J.C. Penney Company, Inc.
1,856,000 9.000%, 08/01/12^ 2,134,400
1,392,000 7.650%, 08/15/16 1,513,800
2,784,000 Jarden Corp.
9.750%, 05/01/12 2,978,880
4,594,000 Kellwood Company
7.625%, 10/15/17 4,900,213
3,480,000 La Quinta, Corp.^
8.875%, 03/15/11 3,762,750
3,248,000 Landry's Restaurants, Inc.*^
7.500%, 12/15/14 3,036,880
2,784,000 Mandalay Resort Group^
7.625%, 07/15/13 2,888,400
10,977,000 Oxford Industries, Inc.
8.875%, 06/01/11 11,416,080
928,000 Pinnacle Entertainment, Inc.^
8.250%, 03/15/12 914,080
7,424,000 Rent-A-Center, Inc.
7.500%, 05/01/10 7,386,880
4,176,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 3,410,029
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 3,480,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 $ 2,793,293
11,043,000 Royal Caribbean Cruises, Ltd.^
7.500%, 10/15/27 11,595,150
4,640,000 Russell Corp.^
9.250%, 05/01/10 4,837,200
8,816,000 Spanish Broadcasting Systems, Inc.
9.625%, 11/01/09 9,245,780
7,981,000 Vail Resorts, Inc.
6.750%, 02/15/14 7,901,190
6,496,000 Warnaco Group, Inc.^
8.875%, 06/15/13 7,048,160
Warner Music Group
1,856,000 GBP 8.125%, 04/15/14 3,699,052
1,856,000 7.375%, 04/15/14 1,865,280
WCI Communities, Inc.
6,032,000 7.875%, 10/01/13 6,032,000
2,784,000 6.625%, 03/15/15* 2,547,360
---------------
201,131,512
---------------
CONSUMER STAPLES (8.7%)
1,856,000 Central Garden & Pet Company^
9.125%, 02/01/13 2,004,480
5,104,000 Chattem, Inc.^
7.000%, 03/01/14 5,180,560
4,176,000 Chiquita Brands International, Inc.
7.500%, 11/01/14 3,841,920
5,248,000 Del Monte Foods Company
8.625%, 12/15/12 5,641,600
5,568,000 DIMON, Inc.
7.750%, 06/01/13 6,305,760
Dole Food Company, Inc.
4,494,000 8.875%, 03/15/11 4,786,110
4,139,000 8.625%, 05/01/09 4,376,992
2,096,000 Gold Kist, Inc.
10.250%, 03/15/14 2,378,960
12,528,000 Jean Coutu Group, Inc.^
8.500%, 08/01/14 11,870,280
3,712,000 Pinnacle Foods Holding^
8.250%, 12/01/13 3,099,520
5,939,000 Playtex Products, Inc.
8.000%, 03/01/11 6,369,578
Rayovac Corp.
10,208,000 8.500%, 10/01/13 10,539,760
2,784,000 7.375%, 02/01/15*^ 2,714,400
5,104,000 Revlon Consumer Products Corp.*^
9.500%, 04/01/11 4,938,120
1,856,000 Smithfield Foods, Inc.
7.750%, 05/15/13 1,995,200
1,856,000 Standard Commercial Corp.
8.000%, 04/15/12 2,136,720
1,950,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 2,086,500
---------------
80,266,460
---------------
Convertible and High Income Fund
Schedule of Investments SEMIANNUAL REPORT 3
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
ENERGY (10.5%)
Chesapeake Energy Corp.
$ 3,712,000 6.875%, 01/15/16^ $ 3,712,000
1,856,000 7.750%, 01/15/15 1,962,720
4,640,000 Forest Oil Corp.
8.000%, 12/15/11 5,057,600
10,115,000 General Maritime Corp.
10.000%, 03/15/13 11,050,638
Giant Industries, Inc.
5,568,000 8.000%, 05/15/14^ 5,623,680
1,987,000 11.000%, 05/15/12 2,275,115
10,533,000 Houston Exploration Company^
7.000%, 06/15/13 10,638,330
4,269,000 KCS Energy, Inc.
7.125%, 04/01/12 4,247,655
2,538,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 2,677,590
Overseas Shipholding Group, Inc.
2,784,000 7.500%, 02/15/24 2,686,560
937,000 8.750%, 12/01/13 1,040,070
4,292,000 Paramount Resources Ltd.
8.500%, 01/31/13 4,184,700
Petroleo Brasileiro, SA^
6,960,000 8.375%, 12/10/18 7,142,700
4,640,000 9.125%, 07/02/13 5,104,000
18,096,000 Premcor Refining Group, Inc.^
7.500%, 06/15/15 19,543,680
928,000 Stone Energy Corp.
6.750%, 12/15/14 886,240
2,784,000 Swift Energy Company
7.625%, 07/15/11 2,839,680
6,032,000 Whiting Petroleum Corp.
7.250%, 05/01/12 6,032,000
---------------
96,704,958
---------------
FINANCIALS (4.1%)
4,454,000 Fairfax Financial Holdings, Ltd.^
7.750%, 04/26/12 4,136,652
Host Marriott Corp.^
10,208,000 7.125%, 11/01/13 10,386,640
1,949,000 9.250%, 10/01/07 2,095,175
11,136,000 Leucadia National Corp.
7.000%, 08/15/13 11,191,680
Senior Housing Properties Trust
4,965,000 7.875%, 04/15/15 5,225,663
4,640,000 8.625%, 01/15/12 5,057,600
---------------
38,093,410
---------------
HEALTH CARE (8.8%)
9,289,000 Alpharma, Inc.*
8.625%, 05/01/11 9,056,775
15,103,000 Ameripath, Inc.^
10.500%, 04/01/13 15,178,515
12,064,000 Ardent Health Services, Inc.
10.000%, 08/15/13 14,671,030
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 13,549,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 $ 13,955,470
2,784,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 3,062,400
2,633,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 2,922,630
6,032,000 Quintiles Transnational Corp.
10.000%, 10/01/13 6,544,720
9,373,000 Tenet Healthcare Corp.*^
9.250%, 02/01/15 9,419,865
6,496,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 6,804,560
---------------
81,615,965
---------------
INDUSTRIALS (17.3%)
5,568,000 American Airlines, Inc.
7.250%, 02/05/09 5,289,600
2,320,000 Armor Holdings, Inc.^
8.250%, 08/15/13 2,470,800
974,000 EUR Aspropulsion Capital BV*
9.625%, 10/01/13 1,422,600
BE Aerospace, Inc.
2,784,000 8.875%, 05/01/11 2,818,800
1,856,000 8.500%, 10/01/10 2,004,480
2,784,000 Casella Waste Systems, Inc.
9.750%, 02/01/13 3,055,440
15,776,000 CNH Global, NV*
9.250%, 08/01/11 16,170,400
15,312,000 Esterline Technologies Corp.
7.750%, 06/15/13 16,077,600
2,315,000 Gardner Denver, Inc.*
8.000%, 05/01/13 2,326,575
1,392,000 GATX Corp.
8.875%, 06/01/09 1,585,283
3,684,000 General Cable Corp.
9.500%, 11/15/10 3,923,460
6,032,000 Hutchison Whampoa, Ltd.*^
6.250%, 01/24/14 6,378,725
7,888,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 8,479,600
JLG Industries, Inc.
7,053,000 8.250%, 05/01/08 7,335,120
3,248,000 8.375%, 06/15/12^ 3,394,160
7,006,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 8,021,870
Legrand Holding, SA
7,424,000 8.500%, 02/15/25^ 8,908,800
928,000 EUR 11.000%, 02/15/13 1,440,501
4,033,000 Manitowoc Company, Inc.
10.500%, 08/01/12 4,506,878
12,064,000 Mobile Mini, Inc.
9.500%, 07/01/13 13,270,400
4,640,000 Monitronics International, Inc.
11.750%, 09/01/10 4,976,400
Convertible and High Income Fund
4 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 2,227,000 Orbital Sciences Corp.
9.000%, 07/15/11 $ 2,427,430
Sequa Corp.
6,496,000 8.875%, 04/01/08 6,723,360
1,856,000 9.000%, 08/01/09 1,967,360
Terex Corp.
6,496,000 9.250%, 07/15/11 7,080,640
5,684,000 7.375%, 01/15/14^ 5,740,840
12,992,000 United Rentals, Inc.^
7.000%, 02/15/14 11,757,760
---------------
159,554,882
---------------
INFORMATION TECHNOLOGY (8.0%)
6,032,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 5,685,160
2,543,000 Arrow Electronics, Inc.
6.875%, 06/01/18 2,703,298
3,712,000 Celestica, Inc.^
7.875%, 07/01/11 3,712,000
1,856,000 Flextronics International, Ltd.
6.500%, 05/15/13 1,781,760
4,640,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 4,848,800
Iron Mountain, Inc.
3,712,000 GBP 7.250%, 04/15/14* 6,477,765
1,856,000 6.625%, 01/01/16^ 1,661,120
4,779,000 Lucent Technologies, Inc.
6.500%, 01/15/28 4,026,308
6,728,000 Motorola, Inc.^
7.500%, 05/15/25 7,882,881
4,640,000 Sanmina-Sci Corp.
10.375%, 01/15/10 5,104,000
3,712,000 Stratus Technologies, Inc.^
10.375%, 12/01/08 3,637,760
6,496,000 Telcordia Technologies*
10.000%, 03/15/13 6,301,120
19,024,000 Xerox Corp.
7.625%, 06/15/13 20,403,240
---------------
74,225,212
---------------
MATERIALS (18.7%)
Aleris International, Inc.
2,970,000 10.375%, 10/15/10 3,244,725
2,651,000 9.000%, 11/15/14* 2,717,275
8,352,000 Arch Western Finance, LLC^
6.750%, 07/01/13 8,414,640
4,640,000 Ball Corp.
6.875%, 12/15/12 4,790,800
5,568,000 Bowater, Inc.^
6.500%, 06/15/13 5,080,800
8,352,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 8,727,840
17,651,000 Equistar Chemicals, LP
10.625%, 05/01/11 19,769,120
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 11,925,000 Freeport-McMoRan Copper & Gold, Inc.^
10.125%, 02/01/10 $ 13,117,500
13,920,000 Georgia-Pacific Corp.^
8.000%, 01/15/14 14,964,000
2,300,000 Graham Packaging Holdings Company*^
9.875%, 10/15/14 2,208,000
5,568,000 IPSCO, Inc.
8.750%, 06/01/13 6,208,320
2,784,000 Massey Energy Company
6.950%, 03/01/07 2,846,640
8,352,000 Neenah Paper, Inc.*^
7.375%, 11/15/14 7,976,160
4,872,000 Novelis, Inc.*^
7.250%, 02/15/15 4,738,020
12,064,000 Polyone Corp.^
10.625%, 05/15/10 13,360,880
7,795,000 Pope & Talbot, Inc.
8.375%, 06/01/13 8,145,775
4,640,000 Sealed Air Corp.*
6.875%, 07/15/33 5,157,699
6,200,000 Steel Dynamics, Inc.
9.500%, 03/15/09^ 6,665,000
1,856,000 Stone Container Corp.
8.375%, 07/01/12 1,842,080
21,669,000 Texas Industries, Inc.
10.250%, 06/15/11 24,431,797
Union Carbide Corp.
4,501,000 7.875%, 04/01/23^ 4,936,616
3,016,000 7.500%, 06/01/25 3,236,482
---------------
172,580,169
---------------
TELECOMMUNICATION SERVICES (1.5%)
5,568,000 AT&T Corp.
9.750%, 11/15/31 6,960,000
6,496,000 Nextel Communications, Inc.
7.375%, 08/01/15 6,950,720
---------------
13,910,720
---------------
UTILITIES (4.3%)
6,447,000 AES Corp.
8.500%, 11/01/07 6,527,587
4,640,000 Centerpoint Energy, Inc.^
6.850%, 06/01/15 5,165,693
Edison International
5,568,000 9.875%, 04/15/11^ 6,319,680
3,712,000 10.000%, 08/15/08 4,073,920
4,640,000 Public Service Enterprise Group, Inc.^
8.625%, 02/15/08 4,895,200
11,693,000 Teco Energy, Inc.^
7.500%, 06/15/10 12,540,743
---------------
39,522,823
---------------
TOTAL CORPORATE BONDS
(Cost $925,143,610) 957,606,111
===============
Convertible and High Income Fund
Schedule of Investments SEMIANNUAL REPORT 5
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
CONVERTIBLE BONDS (2.4%)
CONSUMER DISCRETIONARY (1.0%)
$ 9,000,000 Walt Disney Company^
2.125%, 04/15/23 $ 9,495,000
---------------
INDUSTRIALS (1.0%)
5,500,000 GATX Corp.
7.500%, 02/01/07 6,386,875
2,160,000 Quanta Services Inc.
4.500%, 10/01/23 2,165,400
550,000 Titan International, Inc.
5.250%, 07/26/09 671,000
---------------
9,223,275
---------------
TELECOMMUNICATION SERVICES (0.4%)
Liberty Media Corp. (Sprint PCS Group)
4,142,000 3.750%, 02/15/30^ 2,454,135
1,974,000 4.000%, 11/15/29 1,297,905
---------------
3,752,040
---------------
TOTAL CONVERTIBLE BONDS
(Cost $22,695,989) 22,470,315
===============
SYNTHETIC CONVERTIBLE SECURITIES (9.5%)
CORPORATE BONDS (8.1%)
CONSUMER DISCRETIONARY (1.7%)
198,000 Accuride Corp.*
8.500%, 02/01/15 187,110
216,000 Asbury Automotive Group, Inc.^
9.000%, 06/15/12 213,840
720,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 766,800
360,000 Broder Bros. Co.^
11.250%, 10/15/10 385,200
180,000 CBD Media, LLC
8.625%, 06/01/11 179,550
360,000 DEX Media, Inc.^
8.000%, 11/15/13 372,600
944,000 GBP EMI Group, PLC
9.750%, 05/20/08 1,952,877
General Motors Corp.^
569,000 8.250%, 07/15/23 436,222
58,000 7.125%, 07/15/13 46,115
Goodyear Tire & Rubber Company^
504,000 7.857%, 08/15/11 456,120
360,000 7.000%, 03/15/28 299,700
669,000 Hasbro, Inc.
6.600%, 07/15/28 705,434
454,000 Houghton Mifflin Company^
9.875%, 02/01/13 460,810
288,000 IMAX Corp.^
9.625%, 12/01/10 306,000
288,000 Inn of the Mountain Gods^
12.000%, 11/15/10 339,120
360,000 Interpublic Group of Companies, Inc.
7.250%, 08/15/11 375,248
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 216,000 Intrawest Corp.
7.500%, 10/15/13 $ 216,000
J.C. Penney Company, Inc.
144,000 9.000%, 08/01/12^ 165,600
108,000 7.650%, 08/15/16 117,450
216,000 Jarden Corp.
9.750%, 05/01/12 231,120
356,000 Kellwood Company
7.625%, 10/15/17 379,729
270,000 La Quinta, Corp.^
8.875%, 03/15/11 291,938
252,000 Landry's Restaurants, Inc.*^
7.500%, 12/15/14 235,620
216,000 Mandalay Resort Group^
7.625%, 07/15/13 224,100
851,000 Oxford Industries, Inc.
8.875%, 06/01/11 885,040
72,000 Pinnacle Entertainment, Inc.^
8.250%, 03/15/12 70,920
576,000 Rent-A-Center, Inc.
7.500%, 05/01/10 573,120
324,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 264,571
270,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 216,721
857,000 Royal Caribbean Cruises, Ltd.^
7.500%, 10/15/27 899,850
360,000 Russell Corp.^
9.250%, 05/01/10 375,300
684,000 Spanish Broadcasting Systems, Inc.
9.625%, 11/01/09 717,345
619,000 Vail Resorts, Inc.
6.750%, 02/15/14 612,810
504,000 Warnaco Group, Inc.^
8.875%, 06/15/13 546,840
Warner Music Group
144,000 GBP 8.125%, 04/15/14 286,995
144,000 7.375%, 04/15/14 144,720
WCI Communities, Inc.
468,000 7.875%, 10/01/13 468,000
216,000 6.625%, 03/15/15* 197,640
---------------
15,604,175
---------------
CONSUMER STAPLES (0.7%)
144,000 Central Garden & Pet Company^
9.125%, 02/01/13 155,520
396,000 Chattem, Inc.^
7.000%, 03/01/14 401,940
324,000 Chiquita Brands International, Inc.
7.500%, 11/01/14 298,080
407,000 Del Monte Foods Company
8.625%, 12/15/12 437,525
432,000 DIMON, Inc.
7.750%, 06/01/13 489,240
Convertible and High Income Fund
6 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
Dole Food Company, Inc.
$ 349,000 8.875%, 03/15/11 $ 371,685
321,000 8.625%, 05/01/09 339,457
163,000 Gold Kist, Inc.
10.250%, 03/15/14 185,005
972,000 Jean Coutu Group, Inc.^
8.500%, 08/01/14 920,970
288,000 Pinnacle Foods Holding^
8.250%, 12/01/13 240,480
461,000 Playtex Products, Inc.
8.000%, 03/01/11 494,423
Rayovac Corp.
792,000 8.500%, 10/01/13 817,740
216,000 7.375%, 02/01/15*^ 210,600
396,000 Revlon Consumer Products Corp.*^
9.500%, 04/01/11 383,130
144,000 Smithfield Foods, Inc.
7.750%, 05/15/13 154,800
144,000 Standard Commercial Corp.
8.000%, 04/15/12 165,780
151,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 161,570
---------------
6,227,945
---------------
ENERGY (0.8%)
Chesapeake Energy Corp.
288,000 6.875%, 01/15/16^ 288,000
144,000 7.750%, 01/15/15 152,280
360,000 Forest Oil Corp.
8.000%, 12/15/11 392,400
785,000 General Maritime Corp.
10.000%, 03/15/13 857,613
Giant Industries, Inc.
432,000 8.000%, 05/15/14^ 436,320
154,000 11.000%, 05/15/12 176,330
817,000 Houston Exploration Company^
7.000%, 06/15/13 825,170
331,000 KCS Energy, Inc.
7.125%, 04/01/12 329,345
197,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 207,835
Overseas Shipholding Group, Inc.
216,000 7.500%, 02/15/24 208,440
73,000 8.750%, 12/01/13 81,030
333,000 Paramount Resources Ltd.
8.500%, 01/31/13 324,675
Petroleo Brasileiro, SA^
540,000 8.375%, 12/10/18 554,175
360,000 9.125%, 07/02/13 396,000
1,404,000 Premcor Refining Group, Inc.^
7.500%, 06/15/15 1,516,320
72,000 Stone Energy Corp.
6.750%, 12/15/14 68,760
216,000 Swift Energy Company
7.625%, 07/15/11 220,320
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 468,000 Whiting Petroleum Corp.
7.250%, 05/01/12 $ 468,000
---------------
7,503,013
---------------
FINANCIALS (0.3%)
346,000 Fairfax Financial Holdings, Ltd.^
7.750%, 04/26/12 321,347
Host Marriott Corp.^
792,000 7.125%, 11/01/13 805,860
151,000 9.250%, 10/01/07 162,325
864,000 Leucadia National Corp.
7.000%, 08/15/13 868,320
Senior Housing Properties Trust
385,000 7.875%, 04/15/15 405,213
360,000 8.625%, 01/15/12 392,400
---------------
2,955,465
---------------
HEALTH CARE (0.7%)
721,000 Alpharma, Inc.*
8.625%, 05/01/11 702,975
1,172,000 Ameripath, Inc.^
10.500%, 04/01/13 1,177,860
936,000 Ardent Health Services, Inc.
10.000%, 08/15/13 1,138,270
1,051,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 1,082,530
216,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 237,600
204,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 226,440
468,000 Quintiles Transnational Corp.
10.000%, 10/01/13 507,780
727,000 Tenet Healthcare Corp.*^
9.250%, 02/01/15 730,635
504,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 527,940
---------------
6,332,030
---------------
INDUSTRIALS (1.4%)
432,000 American Airlines, Inc.
7.250%, 02/05/09 410,400
180,000 Armor Holdings, Inc.^
8.250%, 08/15/13 191,700
76,000 EUR Aspropulsion Capital BV*
9.625%, 10/01/13 111,004
BE Aerospace, Inc.
216,000 8.875%, 05/01/11 218,700
144,000 8.500%, 10/01/10 155,520
216,000 Casella Waste Systems, Inc.
9.750%, 02/01/13 237,060
1,224,000 CNH Global, NV*
9.250%, 08/01/11 1,254,600
1,188,000 Esterline Technologies Corp.
7.750%, 06/15/13 1,247,400
180,000 Gardner Denver, Inc.*
8.000%, 05/01/13 180,900
Convertible and High Income Fund
Schedule of Investments SEMIANNUAL REPORT 7
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 108,000 GATX Corp.
8.875%, 06/01/09 $ 122,996
286,000 General Cable Corp.
9.500%, 11/15/10 304,590
468,000 Hutchison Whampoa, Ltd.*^
6.250%, 01/24/14 494,901
612,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 657,900
JLG Industries, Inc.
547,000 8.250%, 05/01/08 568,880
252,000 8.375%, 06/15/12^ 263,340
544,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 622,880
Legrand Holding, SA
576,000 8.500%, 02/15/25^ 691,200
72,000 EUR 11.000%, 02/15/13 111,763
313,000 Manitowoc Company, Inc.
10.500%, 08/01/12 349,777
936,000 Mobile Mini, Inc.
9.500%, 07/01/13 1,029,600
360,000 Monitronics International, Inc.
11.750%, 09/01/10 386,100
173,000 Orbital Sciences Corp.
9.000%, 07/15/11 188,570
Sequa Corp.
504,000 8.875%, 04/01/08 521,640
144,000 9.000%, 08/01/09 152,640
Terex Corp.
504,000 9.250%, 07/15/11 549,360
441,000 7.375%, 01/15/14^ 445,410
1,008,000 United Rentals, Inc.^
7.000%, 02/15/14 912,240
---------------
12,381,071
---------------
INFORMATION TECHNOLOGY (0.6%)
468,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 441,090
197,000 Arrow Electronics, Inc.
6.875%, 06/01/18 209,418
288,000 Celestica, Inc.^
7.875%, 07/01/11 288,000
144,000 Flextronics International, Ltd.
6.500%, 05/15/13 138,240
360,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 376,200
Iron Mountain, Inc.
288,000 GBP 7.250%, 04/15/14* 502,585
144,000 6.625%, 01/01/16^ 128,880
371,000 Lucent Technologies, Inc.
6.500%, 01/15/28 312,568
522,000 Motorola, Inc.^
7.500%, 05/15/25 611,603
360,000 Sanmina-Sci Corp.
10.375%, 01/15/10 396,000
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 288,000 Stratus Technologies, Inc.^
10.375%, 12/01/08 $ 282,240
504,000 Telcordia Technologies*
10.000%, 03/15/13 488,880
1,476,000 Xerox Corp.
7.625%, 06/15/13 1,583,010
---------------
5,758,714
---------------
MATERIALS (1.5%)
Aleris International, Inc.
230,000 10.375%, 10/15/10 251,275
206,000 9.000%, 11/15/14* 211,150
648,000 Arch Western Finance, LLC^
6.750%, 07/01/13 652,860
360,000 Ball Corp.
6.875%, 12/15/12 371,700
432,000 Bowater, Inc.^
6.500%, 06/15/13 394,200
648,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 677,160
1,369,000 Equistar Chemicals, LP
10.625%, 05/01/11 1,533,280
925,000 Freeport-McMoRan Copper & Gold, Inc.^
10.125%, 02/01/10 1,017,500
1,080,000 Georgia-Pacific Corp.^
8.000%, 01/15/14 1,161,000
178,000 Graham Packaging Holdings Company*^
9.875%, 10/15/14 170,880
432,000 IPSCO, Inc.
8.750%, 06/01/13 481,680
216,000 Massey Energy Company
6.950%, 03/01/07 220,860
648,000 Neenah Paper, Inc.*^
7.375%, 11/15/14 618,840
378,000 Novelis, Inc.*^
7.250%, 02/15/15 367,605
936,000 Polyone Corp.^
10.625%, 05/15/10 1,036,620
605,000 Pope & Talbot, Inc.
8.375%, 06/01/13 632,225
360,000 Sealed Air Corp.*
6.875%, 07/15/33 400,166
481,000 Steel Dynamics, Inc.
9.500%, 03/15/09^ 517,075
144,000 Stone Container Corp.
8.375%, 07/01/12 142,920
1,681,000 Texas Industries, Inc.
10.250%, 06/15/11 1,895,328
Union Carbide Corp.
349,000 7.875%, 04/01/23^ 382,777
234,000 7.500%, 06/01/25 251,106
---------------
13,388,207
---------------
Convertible and High Income Fund
8 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES (0.1%)
$ 432,000 AT&T Corp.
9.750%, 11/15/31 $ 540,000
504,000 Nextel Communications, Inc.
7.375%, 08/01/15 539,280
---------------
1,079,280
---------------
UTILITIES (0.3%)
500,000 AES Corp.
8.500%, 11/01/07 506,250
360,000 Centerpoint Energy, Inc.^
6.850%, 06/01/15 400,787
Edison International
432,000 9.875%, 04/15/11^ 490,320
288,000 10.000%, 08/15/08 316,080
360,000 Public Service Enterprise Group, Inc.^
8.625%, 02/15/08 379,800
907,000 Teco Energy, Inc.^
7.500%, 06/15/10 972,757
---------------
3,065,994
---------------
TOTAL CORPORATE BONDS 74,295,894
===============
NUMBER OF
CONTRACTS VALUE
-------------------------------------------------------------------------------
OPTIONS (1.4%)
CONSUMER DISCRETIONARY (0.3%)
600 eBay, Inc.#
Call, 01/20/07, Strike 42.50 204,000
3,100 Home Depot, Inc.#
Call, 01/20/07, Strike 40.00 1,023,000
2,900 YUM! Brands, Inc.#
Call, 01/20/07, Strike 50.00 1,392,000
---------------
2,619,000
---------------
CONSUMER STAPLES (0.2%)
1,600 Avon Products, Inc.#
Call, 01/20/07, Strike 45.00 664,000
1,400 Constellation Brands, Inc.#
Call, 01/20/07, Strike 55.00 1,148,000
2,000 Sara Lee Corp.#
Call, 01/20/07, Strike 22.50 305,000
---------------
2,117,000
---------------
ENERGY (0.1%)
1,600 Transocean, Inc.#
Call, 01/20/07, Strike 55.00 1,128,000
---------------
FINANCIALS (0.2%)
2,500 Allstate Corp.#
Call, 01/20/07, Strike 55.00 1,675,000
---------------
HEALTH CARE (0.3%)
1,100 UnitedHealth Group, Inc.#
Call, 01/20/07, Strike 85.00 2,420,000
---------------
NUMBER OF
CONTRACTS VALUE
-------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (0.3%)
2,000 Apple Computer, Inc.#
Call, 01/20/07, Strike 37.50 $ 1,620,000
5,100 Nokia Corp.#
Call, 01/20/07, Strike 15.00 1,530,000
---------------
3,150,000
---------------
TOTAL OPTIONS 13,109,000
===============
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $86,886,185) 87,404,894
===============
NUMBER OF
SHARES VALUE
-------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (25.6%)
CONSUMER DISCRETIONARY (4.2%)
1,005,000 Ford Motor Company Capital Trust II
6.500% 39,144,750
---------------
CONSUMER STAPLES (2.8%)
1,190,000 Albertson's, Inc.
7.250% 25,537,400
---------------
ENERGY (1.4%)
155,000 Amerada Hess Corp.
7.000% 12,606,150
---------------
FINANCIALS (10.1%)
14,800,000 Assurant, Inc.*
7.750% 15,088,600
505,000 Chubb Corp.
7.000% 15,069,200
215,000 Hartford Financial Services Group, Inc.
7.000% 14,190,000
450,000 Lehman Brothers Holdings, Inc.
6.250% 11,911,500
230,000 Merrill Lynch & Company, Inc.
6.750% 7,947,190
570,000 National Australia Bank, Ltd.
7.875% 21,603,000
150,000 Washington Mutual, Inc.
5.375% 7,702,500
---------------
93,511,990
---------------
HEALTH CARE (1.4%)
240,000 Baxter International, Inc.
7.000% 13,368,000
---------------
INDUSTRIALS (0.9%)
3,000,000 GBP BAE Systems, PLC
7.750% 7,830,711
---------------
INFORMATION TECHNOLOGY (0.4%)
75,000 Pioneer-Standard Financial Trust
6.750% 3,618,750
---------------
UTILITIES (4.4%)
450,000 Ameren Corp.
9.750% 12,640,500
Convertible and High Income Fund
Schedule of Investments SEMIANNUAL REPORT 9
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
-------------------------------------------------------------------------------
33,100 Southern Union Company
5.000% $ 1,659,965
375,000 TXU Corp.
8.125% 26,621,250
---------------
40,921,715
---------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $233,539,270) 236,539,466
===============
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
SHORT-TERM INVESTMENT (1.7%)
$ 15,116,000 Exxon Mobil Corporation
2.600%, 05/02/05
(Cost $15,114,908) 15,114,908
===============
NUMBER OF
SHARES VALUE
-------------------------------------------------------------------------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES
ON LOAN (23.1%)
213,189,372 Bank of New York Institutional Cash
Reserve Fund current rate 3.010%
(Cost $213,189,372) 213,189,372
===============
TOTAL INVESTMENTS (166.0%)
(Cost $1,496,569,334) 1,532,325,066
===============
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-23.1%) (213,189,372)
---------------
OTHER ASSETS, LESS LIABILITIES
(3.7%) 34,293,813
---------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING
DIVIDENDS PAYABLE (-46.6%) (430,250,365)
---------------
NET ASSETS APPLICABLE TO
COMMON SHAREHOLDERS
(100.0%) $ 923,179,142
===============
NOTES TO SCHEDULE OF INVESTMENTS
Note: Values for securities denominated in foreign currencies are shown in U.S.
dollars.
* 144A securities are those that are exempt from registration under Rule
144A of the Securities Act of 1933, as amended. These securities are
generally issued to qualified institutional buyers ("QIBs"), such as the
Fund. Any resale of these securities must generally be effected through a
sale that is exempt from registration (e.g. a sale to another QIB), or the
security must be registered for public sale. At April 30, 2005, the market
value of 144A securities that could not be exchanged to the registered
form was $118,537,200 or 12.8% of net assets applicable to common
shareholders of the Fund.
^ Security, or portion of security, is on loan.
# Non-Income producing security.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
FUND SECTOR ALLOCATION
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
CONSUMER DISCRETIONARY 20.6%
INDUSTRIALS 14.5%
MATERIALS 14.3%
FINANCIALS 10.4%
ENERGY 9.0%
CONSUMER STAPLES 8.7%
HEALTH CARE 8.0%
INFORMATION TECHNOLOGY 6.7%
UTILITIES 6.4%
TELECOMMUNICATION SERVICES 1.4%
Convertible and High Income Fund
10 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Statement of Assets and Liabilities
APRIL 30, 2005 (UNAUDITED)
-----------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value* (cost $1,496,569,334) $ 1,532,325,066
Cash with custodian (interest bearing) 189,413
Restricted cash deposited with broker (interest bearing) 150,000
Receivable for investments sold 7,234,327
Accrued interest and dividends receivables 27,654,967
Unrealized appreciation on interest rate swaps 6,599,979
Prepaid expenses 47,171
Other assets 12,834
-----------------------------------------------------------------------------------------------------------------------
Total assets 1,574,213,757
-----------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payable for investments purchased 6,642,553
Payable to investment advisor 785,488
Payable to financial accountant 12,934
Payable for deferred compensation to Trustees 12,834
Other accounts payable and accrued liabilities 141,069
Payable upon return of securities loaned 213,189,372
-----------------------------------------------------------------------------------------------------------------------
Total liabilities 220,784,250
-----------------------------------------------------------------------------------------------------------------------
PREFERRED SHARES
$25,000 liquidation value per share applicable to 17,200 shares, including dividends payable 430,250,365
-----------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 923,179,142
=======================================================================================================================
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized 61,444,211 shares issued and outstanding $ 875,297,016
Undistributed net investment income (loss) (3,264,068)
Accumulated net realized gain (loss) on investments, written options, foreign currency transactions
and interest rate swaps 8,761,754
Net unrealized appreciation (depreciation) on investments, written options, foreign currency
translations and interest rate swaps 42,384,440
-----------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 923,179,142
=======================================================================================================================
Net asset value per common share based on 61,444,211 shares issued and outstanding $ 15.02
=======================================================================================================================
* Includes $207,809,277 of securities loaned.
Convertible and High Income Fund
Statement of Assets and Liabilities SEMIANNUAL REPORT 11
See accompanying Notes to Financial Statements.
Statement of Operations
SIX MONTHS ENDED APRIL 30, 2005 (UNAUDITED)
------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 46,227,408
Dividends 5,876,393
Securities lending income 506,896
------------------------------------------------------------------------------------------------------------------------
Total investment income 52,610,697
------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 5,532,162
Financial accounting fees 80,532
Auction agent and rating agency fees 555,898
Printing and mailing fees 106,938
Accounting fees 98,866
Audit and legal fees 60,730
Custodian fees 45,225
Registration fees 24,125
Transfer agent fees 18,750
Trustees' fees 15,178
Other 43,732
------------------------------------------------------------------------------------------------------------------------
Total expenses 6,582,136
------------------------------------------------------------------------------------------------------------------------
Less expense waived (691,520)
------------------------------------------------------------------------------------------------------------------------
Net expenses 5,890,616
========================================================================================================================
NET INVESTMENT INCOME (LOSS) 46,720,081
========================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, WRITTEN OPTIONS, FOREIGN CURRENCY
AND INTEREST RATE SWAPS
NET REALIZED GAIN (LOSS) FROM:
Investments 15,079,750
Foreign currency transactions 2,953,276
Interest rate swaps (1,662,338)
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments (48,422,044)
Foreign currency translations (21,263)
Interest rate swaps 8,079,513
------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, WRITTEN OPTIONS, FOREIGN CURRENCY AND
INTEREST RATE SWAPS (23,993,106)
========================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 22,726,975
========================================================================================================================
DIVIDENDS TO PREFERRED SHAREHOLDERS FROM
Net investment income (5,311,835)
------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS $ 17,415,140
========================================================================================================================
Convertible and High Income Fund
12 SEMIANNUAL REPORT Statement of Operations
See accompanying Notes to Financial Statements.
Statement of Changes in Net Assets
For the Six
Months Ended For the
April 30, 2005 Year ended
(unaudited) October 31, 2004
-----------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income (loss) $ 46,720,081 $ 96,162,030
Net realized gain (loss) from investments, written options, foreign currency
transactions and interest rate swaps 16,370,688 (8,534,111)
Change in net unrealized appreciation/depreciation on investments, written
options, foreign currency translations and interest rate swaps (40,363,794) 47,353,283
Dividends to preferred shareholders from
Net investment income (5,311,835) (6,021,235)
---------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to common shareholders
resulting from operations 17,415,140 128,959,967
---------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO COMMON SHAREHOLDERS FROM
Net investment income (44,802,115) (88,670,835)
CAPITAL STOCK TRANSACTIONS
Reinvestment of dividends resulting in the issuance of common stock 5,529,591 13,595,460
Net increase (decrease) in net assets from capital stock transactions 5,529,591 13,595,460
---------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (21,857,384) 53,884,592
---------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Beginning of period 945,036,526 891,151,934
---------------------------------------------------------------------------------------------------------------------
End of period $ 923,179,142 $ 945,036,526
=====================================================================================================================
Undistributed net investment income (loss) $ (3,264,068) $ 129,801
Convertible and High Income Fund
Statement of Changes in Net Assets SEMIANNUAL REPORT 13
See accompanying Notes to Financial Statements.
Notes to Financial Statements (unaudited)
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 as a diversified, closed-end management
investment company. The Fund commenced operations on May 30, 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 convertible and non-convertible income securities.
"Managed Assets" means the total assets of the Fund (including any assets
attributable to any leverage that may be outstanding) minus total liabilities
(other than debt representing financial leverage).
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities, except exchange traded option securities, that are traded on a
securities exchange in the United States are valued at the last reported sale
price as of the time of valuation, or lacking any current reported sale at the
time of valuation, at the mean between the most recent bid and asked quotations.
Each security traded in the over-the-counter market and quoted on the NASDAQ
National Market System, is valued at the Nasdaq Official Closing Price ("NOCP"),
as determined by Nasdaq, or lacking an NOCP, the last current reported sale
price as of the time of valuation by Nasdaq, or lacking any current reported
sale on Nasdaq at the time of valuation, at the mean between the most recent bid
and asked quotations. Each option security traded on a securities exchange in
the United States is valued at the last current reported sale price as of the
time of valuation if the last current reported sale price falls within the
consolidated bid/ask quote for the option security. If the last current reported
sale price as of the time of valuation does not fall within the consolidated
bid/ask quote for such option security, such security is valued at the mid-point
of the consolidated bid/ask quote for the option security. Each over-the-counter
option that is not traded through the Options Clearing Corporation is valued by
the counterparty, or if the counterparty's price is not readily available then
by using the Black-Scholes method. Each other security traded over-the-counter
is valued at the mean between the most recent bid and asked quotations.
Short-term securities with maturities of 60 days or less are valued at amortized
cost, which approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is priced at a fair value following procedures and/or guidelines
approved by the Board of Trustees, which may include utilizing a systematic fair
valuation model provided by an independent pricing system. The Funds may also
use fair value pricing, if the value of a security it holds is, pursuant to
Board of Trustees' guidelines, 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 traded. These 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 is employed, the value of the portfolio
security used to calculate the Fund's net asset value may differ from quoted or
official closing prices.
Securities that are principally traded in a foreign market are valued at the
last current sale price at the time of valuation or lacking any current or
reported sale at the time of valuation, at the mean between the most recent bid
and asked quotations as of the close of the appropriate exchange or other
designated time. Trading in securities on European and Far Eastern securities
exchanges and over-the-counter markets is normally completed at various times
before the close of business on each day on which the New York Stock Exchange
("NYSE") is open. Trading of these 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 net
asset value is not calculated. As stated above, if the market prices are not
readily available or are not reflective of the fair value of the security, the
security will be priced at a fair value following procedures approved by the
Board of Trustees. In light of the judgment involved in fair value decisions,
there can be no assurance that a fair value assigned to a particular security is
accurate.
Convertible and High Income Fund
14 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (unaudited)
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. Short-term investment
transactions are recorded on a trade date basis. Long-term investment
transactions are recorded on a trade date plus one basis, except for fiscal
quarter ends, which are recorded on trade date. Net realized gains and losses
from investment transactions are reported on an identified cost basis. Interest
income is recognized using the accrual method and includes accretion of original
issue and market discount and amortization of premium.
Dividend income is recognized on the ex-dividend date, except that certain
dividends from foreign securities are recorded as soon as the information
becomes available.
FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by
a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
selected by the advisor from rates quoted by any major bank or dealer in the
particular currency market, as reported by a recognized quotation dissemination
service.
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of
foreign currency, foreign currency gains or losses realized between the trade
and settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Fund's books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized foreign exchange gains and
losses arise from changes (due to the changes in the exchange rate) in the value
of foreign currency and other assets and liabilities denominated in foreign
currencies held at period end.
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 among others, 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 market value should the counterparty not perform under the
contract. Put and call options purchased are accounted for in the same manner as
portfolio securities. The cost of securities acquired through the exercise of
call options is increased by premiums paid. The proceeds from securities sold
through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from investments. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a written call
option is exercised, the premium is added to the proceeds from the sale of the
underlying security or currency in determining whether the Fund has realized a
gain or loss. If a written put option is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. 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.
USE OF ESTIMATES. The preparation of financial statements in conformity with
U.S. generally accepted accounting principles requires management to make
estimates and assumptions that affect the amounts reported in the financial
statements and accompanying notes. Actual results may differ from those
estimates.
INCOME TAXES. No provision has been made for income taxes because the Fund's
policy is to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute to shareholders substantially all of its
taxable income and gains.
Dividends and distributions paid to shareholders are recorded on the ex-dividend
date. The amount of dividends and distributions from net investment income and
net realized capital gains is determined in accordance with Federal income tax
regulations, which may differ from U.S. generally accepted accounting
principles. To the extent these "book/tax" differences are permanent in nature
Convertible and High Income Fund
Notes to Financial Statements SEMIANNUAL REPORT 15
Notes to Financial Statements (unaudited)
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment. These differences are primarily due to differing treatments
for foreign currency transactions, contingent payment debt instruments and
methods of amortizing and accreting on fixed income securities. Financial
records are not adjusted for temporary differences.
NOTE 2 - INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with Calamos Advisors LLC ("Calamos
Advisors"), the Fund pays an annual fee, payable monthly, equal to 0.80% based
on the average weekly managed assets. Calamos Advisors has contractually agreed
to waive a portion of its management fee at the annual rate of 0.10% of the
average weekly managed assets of the Fund for the first five full years of the
Fund's operation (through May 31, 2008) and to waive a declining amount for an
additional three years (0.07% of the average weekly managed assets in 2009,
0.05% in 2010, and 0.03% in 2011).
Effective November 1, 2004 Calamos Advisors receives a fee payable monthly at
the annual rate of 0.0175% on the first $1 billion of combined assets; 0.0150%
on the next $1 billion of combined assets; and 0.0110% on combined assets above
$2 billion for financial accounting services (for purposes of this calculation
combined assets means the net assets of Calamos Investment Trust and Calamos
Advisors Trust, and the managed assets of Calamos Convertible and High Income
Fund, Calamos Convertible Opportunities and Income Fund and Calamos Strategic
Total Return Fund). Financial accounting services include, but are not limited
to, the following: managing expenses and expense payment processing; monitoring
the calculation of expense accrual amounts; calculating, tracking, and reporting
tax adjustments on all assets and monitoring trustee deferred compensation plan
accruals and valuations. The Fund will pay its pro rata share of the financial
accounting services fee payable to Calamos Advisors based on average assets of
the Fund.
Certain officers and trustees of the Fund are also officers and directors of
Calamos Financial Services LLC ("CFS") and Calamos Advisors. All officers and
affiliated trustees serve without direct compensation from the Fund.
The Fund has adopted a deferred compensation plan (the "Plan"). Under the Plan,
a trustee who is not an "interested person" of Calamos Advisors and has elected
to participate in the Plan (a "participating trustee") may defer receipt of all
or a portion of his compensation from the Fund. The deferred compensation
payable to the participating trustee is credited to the trustee's deferral
account as of the business day such compensation would have been paid to the
participating trustee. The value of a participating trustee's deferred
compensation account at any time is equal to what would be the value if the
amounts credited to the account had instead been invested in shares of one or
more of the Funds of the Trust as designated by the trustee. Thus, the value of
the account increases with contributions to the account or with increases in the
value of the measuring shares, and the value of the account decreases with
withdrawals from the account or with declines in the value of the measuring
shares. If a participating trustee retires, the trustee may elect to receive
payments under the plan in a lump sum or in equal installments over a period of
five years. If a participating trustee dies, any amount payable under the Plan
will be paid to the trustee's beneficiaries. Deferred compensation investments
of $12,834 are included in "Other assets" on the Statement of Assets and
Liabilities at April 30, 2005. The Fund's obligation to make payments under the
Plan is a general obligation of the Fund and is included in "Payable for
deferred compensation to Trustees" on the Statement of Assets and Liabilities at
April 30, 2005.
Convertible and High Income Fund
16 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (unaudited)
NOTE 3 - INVESTMENTS
Purchases and sales of investments other than short-term obligations for the six
months ended April 30, 2005 were as follows:
Purchases $284,444,764
Proceeds from sales 294,992,742
The following information is presented on an income tax basis as of April 30,
2005. Differences between amounts for financial statements and Federal income
tax purposes are primarily due to timing differences.
The cost basis of investments for federal income tax purposes at April 30, 2005
was as follows:
Cost basis of investments $ 1,500,114,737
---------------
Gross unrealized appreciation 62,640,349
Gross unrealized depreciation (30,430,020)
---------------
Net unrealized appreciation (depreciation) $ 32,210,329
===============
NOTE 4 - INCOME TAXES
Distributions during the fiscal year ended October 31, 2004 were characterized
for income tax purposes as follows:
DISTRIBUTIONS PAID FROM:
Net investment income $ 94,560,679
Capital gains --
As of October 31, 2004, the components of net assets on a tax basis were as
follows:
Undistributed ordinary income $ --
Undistributed capital gains --
-------------
Total undistributed earnings --
Accumulated capital and other losses (5,148,747)
Net unrealized gains/(losses) 80,625,688
-------------
Total accumulated earnings/(losses) 75,476,941
Other (207,840)
Paid-in capital 869,767,425
-------------
$ 945,036,526
-------------
Convertible and High Income Fund
Notes to Financial Statements SEMIANNUAL REPORT 17
Notes to Financial Statements (unaudited)
NOTE 5 - COMMON STOCK
There are unlimited common shares of beneficial interest authorized and
61,444,211 shares outstanding at April 30, 2005. Calamos Advisors LLC owned
15,751 of the outstanding shares. Transactions in common shares were as follows:
For the Six Months Ended For the Year Ended
April 30, 2005 (unaudited) October 31, 2004
---------------------------------------------------------------------------------------------------------
Beginning shares 61,091,942 60,208,549
Shares sold -- --
Shares issued through reinvestment of distributions 352,269 883,393
-----------------------------------
Ending shares 61,444,211 61,091,942
===================================
NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes in currency
exchange rates by entering into foreign currency contracts to purchase or sell
currencies. A forward foreign currency contract is a commitment to purchase or
sell a foreign currency at a future date at a negotiated forward rate. Risks
associated with such contracts include, among other things, movement in the
value of the foreign currency relative to the U.S. dollar and the ability of the
counterparty to perform. The net unrealized gain, if any, represents the credit
risk to the Fund on a forward foreign currency contract. The contracts are
valued daily at forward exchange rates and an unrealized gain or loss is
recorded. The Fund realizes a gain or loss upon settlement of the contracts.
There were no open forward foreign currency contracts at April 30, 2005.
NOTE 7 - SYNTHETIC CONVERTIBLE SECURITIES
The Fund may establish a "synthetic" convertible instrument by combining
separate securities that possess the economic characteristics similar to a
convertible security, i.e., fixed-income securities ("fixed-income component")
and the right to acquire equity securities ("convertible component"). The
fixed-income component is achieved by investing in non-convertible, fixed income
securities such as bonds, preferred stocks and money market instruments. The
convertible component is achieved by investing in warrants or options to buy
common stock at a certain exercise price, or options on a stock index. In
establishing a synthetic instrument, the Fund may pool a basket of fixed-income
securities and a basket of warrants or options that produce the economic
characteristics similar to a convertible security. Within each basket of
fixed-income securities and warrants or options, different companies may issue
the fixed-income and convertible components, which may be purchased separately
and at different times.
The Fund may purchase synthetic securities created by other parties, typically
investment banks, including convertible structured notes. Convertible structured
notes are fixed-income debentures linked to equity. Convertible structured notes
have the attributes of a convertible security; however, the investment bank that
issued the convertible note assumes the credit risk associated with the
investment, rather than the issuer of the underlying common stock into which the
note is convertible. Purchasing synthetic convertible securities may offer more
flexibility than purchasing a convertible security. Different companies may
issue the fixed-income and convertible components, which may be purchased
separately and at different times.
Convertible and High Income Fund
18 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (unaudited)
NOTE 8 - PREFERRED SHARES
There are unlimited shares of Auction Market Preferred Shares ("Preferred
Shares") authorized. The Preferred Shares have rights as determined by the Board
of Trustees. The 17,200 shares of Preferred Shares outstanding consist of six
series, 3,000 shares of M, 3,000 shares of TU, 3,000 shares of W, 3,000 shares
of TH, 3,000 shares of F, 2,200 shares of A. The Preferred Shares have a
liquidation value of $25,000 per share plus any accumulated but unpaid dividends
whether or not declared.
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven and twenty-eight days based on the results of an auction. Dividend rates
ranged from 1.65% to 3.41% for the six months ended April 30, 2005. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make other
distributions on shares of common stock or purchase any such shares if, at the
time of the declaration, distribution or purchase, asset coverage with respect
to the outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the option of the Fund, in whole or in
part, on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or the holders of common shares.
NOTE 9 - INTEREST RATE TRANSACTIONS
The Fund may enter into interest rate swap or cap transactions to attempt to
protect itself from increasing dividend or interest expense on its leverage
resulting from increasing short-term interest rates. A decline in interest rates
may result in a decline in the value of the swap or cap, which may result in a
decline in the net asset value of the Fund. In addition, if the counterparty to
an interest rate swap or cap defaults, the Fund would not be able to use the
anticipated receipts under the swap or cap to offset the dividend or interest
payments on the Fund's leverage. At the time an interest rate swap or cap
reaches its scheduled termination, there is a risk that the Fund would not be
able to obtain a replacement transaction or that the terms of the replacement
would not be as favorable as on the expiring transaction. In addition, if the
Fund is required to terminate any swap or cap early due to the Fund failing to
maintain a required 200% asset coverage of the liquidation value of the
outstanding Preferred Shares or the Fund loses its credit rating on its
Preferred Shares, then the Fund could be required to make a termination payment,
in addition to redeeming all or some of the Preferred Shares. Details of the
swap agreements outstanding as of April 30, 2005 were as follows:
UNREALIZED
TERMINATION NOTIONAL FIXED RATE FLOATING RATE APPRECIATION
COUNTERPARTY DATE AMOUNT (000) (FUND PAYS) (FUND RECEIVES) (DEPRECIATION)
---------------------------------------------------------------------------------------------------
Citibank NA October 27, 2006 $100,000 2.80% 1 month LIBOR $1,441,787
Citibank NA October 27, 2007 $200,000 3.27% 1 month LIBOR 3,575,189
Citibank NA October 27, 2008 $100,000 3.65% 1 month LIBOR 1,583,003
----------
$6,599,979
==========
Convertible and High Income Fund
Notes to Financial Statements SEMIANNUAL REPORT 19
Notes to Financial Statements (unaudited)
NOTE 10 - SECURITIES LENDING
During the six months ended April 30, 2005, the Fund lent certain of its
securities to broker-dealers and banks. Any such loan must be continuously
secured by collateral in cash or cash equivalents maintained on a current basis
in an amount at least equal to the market value of the securities loaned by the
Fund. The Fund continues to receive the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receives an additional
return that may be in the form of a fixed fee or a percentage of the collateral.
The Fund may pay reasonable fees to persons unaffiliated with the Fund for
services in arranging these loans. The Fund has the right to call the loan and
obtain the securities loaned at any time on notice of not more than five
business days. The Fund does not have the right to vote the securities during
the existence of the loan but could call the loan in an attempt to permit voting
of the securities in certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
In the event of bankruptcy or other default of the borrower, the Fund could
experience both delays in liquidating the loan collateral or recovering the
loaned securities and losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the period while the
Fund seeks to enforce its rights thereto, (b) possible subnormal levels of
income and lack of access to income during this period, and (c) the expenses of
enforcing its rights. In an effort to reduce these risks, Calamos Advisors LLC
and the security lending agent will monitor the creditworthiness of the firms to
which the Fund lends securities. At April 30, 2005, the Fund had securities
valued at $207,809,277 that were on loan to broker-dealers and banks and
$213,189,372 in cash or cash equivalent collateral.
Convertible and High Income Fund
20 SEMIANNUAL REPORT Notes to Financial Statements
Financial Highlights
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
---------------------------------------------
For the Six May 30,
Months Ended For the 2003*
April 30, Year Ended through
(unaudited) October 31, October 31,
---------------------------------------------
2005 2004 2003
---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginnning of period $ 15.47 $ 14.80 $ 14.32(a)
------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.77 1.60 0.44
------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) from investments, written options,
foreign currency and interest rate swaps (0.40) 0.63 0.46
------------------------------------------------------------------------------------------------------------------------------
Dividends to preferred shareholders from:
Net investment income (common share equivalent basis) (0.09) (0.10) (0.02)
------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.28 2.13 0.88
------------------------------------------------------------------------------------------------------------------------------
Less dividends to common shareholders from:
Net investment income (0.73) (1.46) (0.37)
------------------------------------------------------------------------------------------------------------------------------
Capital charge resulting from issuance of common and preferred shares -- -- (0.03)
------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 15.02 $ 15.47 $ 14.80
------------------------------------------------------------------------------------------------------------------------------
Market value, end of period $ 15.27 $ 16.74 $ 16.00
------------------------------------------------------------------------------------------------------------------------------
Total investment return based on (b):
Net asset value 1.73% 14.91% 5.92%
------------------------------------------------------------------------------------------------------------------------------
Market value (4.42)% 15.02% 9.36%
------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data:
Net assets applicable to common shareholders, end of period (000's omitted) $923,179 $945,037 $891,152
------------------------------------------------------------------------------------------------------------------------------
Preferred shares, at redemption value ($25,000 per share liquidation preference)
(000's omitted) $430,000 $430,000 $430,000
------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets applicable to common shareholders:
Net expenses (c) 1.23% 1.25% 1.11%
------------------------------------------------------------------------------------------------------------------------------
Gross expenses prior to waiver of expenses by the advisor (c) 1.38% 1.40% 1.24%
------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) (c) 9.77% 10.56% 7.85%
------------------------------------------------------------------------------------------------------------------------------
Preferred share dividends (c) 1.11% 0.65% 0.34%
------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss), net of preferred share dividends (c) 8.66% 9.91% 7.51%
------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 21% 27% 20%
------------------------------------------------------------------------------------------------------------------------------
Asset coverage per preferred share, at end of period (d) $ 78,688 $ 79,952 $ 76,811
------------------------------------------------------------------------------------------------------------------------------
* Commencement of operations.
(a) Net of sales load of $0.675 on initial shares issued and beginning net
asset value of $14.325.
(b) Total investment return is calculated assuming a purchase of common stock
on the opening of the first day and a sale on the closing of the last day
of the period reported. Dividends and distributions are assumed, for
purposes of this calculation, to be reinvested at prices obtained under
the Fund's dividend reinvestment plan. Total return is not annualized for
periods less than one year. Brokerage commissions are not reflected.
(c) Annualized for periods less than one year.
(d) Calculated by subtracting the Fund's total liabilities (not including
preferred shares) from the Fund's total assets and dividing this by the
number of preferred shares outstanding.
Convertible and High Income Fund
Financial Highlights SEMIANNUAL REPORT 21
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of CALAMOS Convertible and High Income
Fund:
We have reviewed the accompanying statement of assets and liabilities, including
the schedule of investments, of CALAMOS Convertible and High Income Fund (the
"Fund") as of April 30, 2005, and the related statements of operations and
changes in net assets and the financial highlights for the semi-annual period
then ended. These interim financial statements and financial highlights are the
responsibility of the Fund's management.
We conducted our review in accordance with standards of the Public Company
Accounting Oversight Board (United States). A review of interim financial
information consists principally of applying analytical procedures and making
inquiries of persons responsible for financial and accounting matters. It is
substantially less in scope than an audit conducted in accordance with the
standards of the Public Company Accounting Oversight Board (United States), the
objective of which is the expression of an opinion regarding the financial
statements taken as a whole. Accordingly, we do not express such an opinion.
Based on our review, we are not aware of any material modifications that should
be made to such interim financial statements and financial highlights for them
to be in conformity with accounting principles generally accepted in the United
States of America.
We have previously audited, in accordance with standards of the Public Company
Accounting Oversight Board (United States), the statement of changes in net
assets for the year ended October 31, 2004 and the financial highlights for the
year ended October 31, 2004 and for the period from May 30, 2003 (commencement
of operations) through October 31, 2003; and in our report dated December 21,
2004, we expressed an unqualified opinion on such statement of changes in net
assets and financial highlights.
/s/ Deloitte & Touche LLP
Chicago, Illinois
June 20, 2005
Convertible and High Income Fund
22 SEMIANNUAL REPORT Report of Independent Registered Public Accounting Firm
OTHER INFORMATION (UNAUDITED)
RESULTS OF SHAREHOLDER MEETING. The Annual Meeting of Shareholders of the Fund
was held on April 6, 2005 where shareholders voted on the elections of trustees.
With regard to the election, each trustee standing for election was elected by
the shareholders as follows:
# OF COMMON
TRUSTEES AND PREFERRED SHARES
--------------------------------------------------------------------------------
FOR WITHHELD
---------------------------
John P. Calamos, Sr. 57,949,240 387,069
Weston W. Marsh 57,965,603 370,706
# OF PREFERRED SHARES
---------------------------
FOR WITHHELD
---------------------------
William R. Rybak 17,136 32
The other trustees of the Fund whose terms did not expire in 2005 are Nick P.
Calamos, Joe F. Hanauer, John E. Neal and Stephen B. Timbers.
Convertible and High Income Fund
Other Information SEMIANNUAL REPORT 23
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[LOGO](R)
CALAMOS INVESTMENTS(R)
Calamos Investments | 1111 E. Warrenville Road | Naperville, IL 60563-1463 |
800.582.6959 | www.calamos.com
A description of the Calamos Proxy Voting Policies and Procedures is available
free of charge upon request by calling (800) 582-6959, by visiting the Calamos
website at www.calamos.com, or by writing Calamos at: Calamos Investments, Attn:
Client Services, 1111 E. Warrenville Road, Naperville, IL 60563. The Fund's
proxy voting record for the twelve month period ended June 30, 2004, is also
available upon request by calling or writing Calamos Investments and by visiting
the SEC Web site at www.sec.gov.
The Fund files a complete list of its portfolio holdings with the SEC for the
first and third quarters each fiscal year on Form N-Q. The Form N-Q is available
free of charge, upon request, by calling or writing Calamos Investments or by
visiting the SEC website. You may also review or, for a fee, copy the forms at
the SEC's Public Reference Room in Washington, D.C. (202) 942-8090.
FOR 24 HOUR SHAREHOLDER ASSISTANCE
800.432.8224
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB SITE
www.calamos.com
INVESTMENT ADVISOR
Calamos Advisors LLC
1111 E. Warrenville Road
Naperville, IL 60563-1463
FUND ACCOUNTING AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02111
CUSTODIAN AND TRANSFER AGENT
The Bank of New York
P.O. Box 11258
Church Street Station
New York, NY 10286
800.524.4458
INDEPENDENT ACCOUNTANTS
Deloitte and Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
AS OF JULY 15, 2005, CALAMOS INVESTMENTS
WILL BE LOCATED AT:
2020 CALAMOS COURT
NAPERVILLE, IL 60563
(C) 2005 Calamos Holdings LLC. All Rights Reserved.
Calamos(R), CALAMOS INVESTMENTS(R), STRATEGIES FOR SERIOUS MONEY(R)
and the Calamos(R) logo are registered trademarks of Calamos Holdings LLC.
CHYSAN 1791 2005
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in the Report to Shareholders in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
-------------------- ----------------- -------------- --------------------- ----------------------------
(C) TOTAL NUMBER (D) MAXIMUM NUMBER
(A) TOTAL OF SHARES (OR (OR APPROXIMATE DOLLAR
NUMBER OF (B) AVERAGE UNITS) PURCHASED VALUE) OF SHARES (OR
SHARES (OR PRICE PAID AS PART OF PUBLICLY UNITS) THAT MAY YET BE
UNITS) PER SHARE ANNOUNCED PLANS PURCHASED UNDER THE
PERIOD PURCHASED (OR UNIT) OR PROGRAMS PLANS OR PROGRAMS
-------------------- ----------------- -------------- --------------------- ----------------------------
November 1 to 0 0 0 0
November 30
-------------------- ----------------- -------------- --------------------- ----------------------------
December 1 to 4,108 $16.97 0 0
December 31
-------------------- ----------------- -------------- --------------------- ----------------------------
January 1 to 0 0 0 0
January 31
-------------------- ----------------- -------------- --------------------- ----------------------------
February 1 to 0 0 0 0
February 28
-------------------- ----------------- -------------- --------------------- ----------------------------
March 1 to 0 0 0 0
March 31
-------------------- ----------------- -------------- --------------------- ----------------------------
April 1 to April 0 0 0 0
30
-------------------- ----------------- -------------- --------------------- ----------------------------
Total 0 0 0 0
-------------------- ----------------- -------------- --------------------- ----------------------------
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
No material changes.
ITEM 11. 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-CSR 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 second fiscal quarter of the period covered by this
report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics -- Not applicable.
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) 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: June 29, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: June 29, 2005
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: June 29, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: June 29, 2005