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 Asset Management,
Inc., 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, 2003
DATE OF REPORTING PERIOD: May 30, 2003 through October 31, 2003
ITEM 1. REPORTS TO STOCKHOLDERS
CALAMOS CONVERTIBLE
AND HIGH INCOME FUND
ANNUAL REPORT OCTOBER 31, 2003
[CALAMOS INVESTMENTS LOGO]
Strategies for Serious Money(TM)
PRESIDENT'S LETTER
--------------------------------------------------------------------------------
[PRESIDENT PHOTO]
--------------------------------------------------------------------------------
Dear Shareholder:
In our debut report for the CALAMOS Convertible and High Income Fund, I
am pleased to have the chance to thank you for your decision to invest in the
Fund. For shareholders that are new to CALAMOS INVESTMENTS, we welcome you. To
all our shareholders, we appreciate the confidence you have entrusted with us.
As always, we remain focused on delivering long-term performance and exceptional
client service.
CALAMOS has been researching and investing in higher-yielding,
lower-quality portfolios of straight and convertible bonds for 25 years. Our
quantitative research and qualitative analysis of companies, industries, and the
economic environment enable us to identify both risks and opportunities for the
Fund, constructing an appropriate mix of securities that aims to provide
shareholders with significant total return through a combination of current
yield and upside capital appreciation.
ONE WAY TO USE THE FUND'S DIVIDEND TO YOUR ADVANTAGE IS THROUGH THE
FUND'S DIVIDEND REINVESTMENT PLAN. I encourage you to consider participating in
this program as a means to increase your number of shares in the Fund at
significant cost savings. For example, when the Fund's market price is at a
premium to its net asset value (NAV), dividends automatically reinvested through
the plan purchase shares either at NAV or at 95% of the market price, whichever
is greater. With more shares, investors increase their power of compounding, and
the plan's cost savings and convenience make that prospect even more attractive.
Again, thank you for entrusting your investment with the CALAMOS
Convertible and High Income Fund. We pledge our continued commitment to serving
you with Strategies for Serious Money.
Sincerely,
/S/ JOHN P. CALAMOS
John P. Calamos, Sr.
Chairman, Chief Executive Officer, and
Chief Investment Officer
The views expressed in this report reflect those of CALAMOS ASSET MANAGEMENT,
INC. only through October 31, 2003. The manager's views are subject to change at
any time based on market and other conditions.
Strategies for Serious Money (R) 1
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS OCTOBER 31, 2003
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
CORPORATE BONDS (108.3%)
BASIC INDUSTRIES (18.2%)
$ 2,000,000 Airgas, Inc.
9.125%, 10/01/11 $ 2,245,000
Ball Corp.
4,000,000 6.875%, 12/15/12(a) 4,190,000
1,000,000 6.875%, 12/15/12 1,047,500
12,000,000 Boise Cascade Corp.
7.000%, 11/01/13 12,312,936
6,000,000 Bowater Inc.(a)
6.500%, 06/15/13 5,526,228
6,500,000 Buckeye Technologies, Inc.(a)
8.500%, 10/01/13 6,825,000
2,500,000 Century Aluminum Company
11.750%, 04/15/08 2,762,500
19,020,000 Equistar Chemicals, LP(a)
10.625%, 05/01/11 19,971,000
12,850,000 Freeport-McMoRan Copper &
Gold, Inc.
10.125%, 02/01/10 14,713,250
15,000,000 Georgia-Pacific Corp.
8.000%, 01/15/14 16,200,000
IMC Global, Inc.
3,000,000 10.875%, 08/01/13(a) 3,112,500
2,000,000 10.875%, 06/01/08 2,075,000
6,000,000 IPSCO, Inc.(a)
8.750%, 06/01/13 6,480,000
1,000,000 Jarden Corp.
9.750%, 05/01/12 1,097,500
2,735,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 2,673,462
13,000,000 Mobile Mini, Inc.(a)
9.500%, 07/01/13 14,300,000
3,000,000 Phelps Dodge Corp.
9.500%, 06/01/31 3,899,133
13,000,000 Polyone Corp.
10.625%, 05/15/10 11,895,000
8,400,000 Pope & Talbot, Inc.
8.375%, 06/01/13 8,232,000
5,000,000 Sealed Air Corp.(a)
6.875%, 07/15/33 5,167,235
2,345,000 Shaw Group, Inc.(a)
10.750%, 03/15/10 2,485,700
2,000,000 Smurfit-Stone Container Corp.
8.375%, 07/01/12 2,120,000
1,681,000 Steel Dynamics, Inc.
9.500%, 03/15/09 1,857,505
6,500,000 Unifi, Inc.
6.500%, 02/01/08 5,752,500
Union Carbide Corp.
2,500,000 7.875%, 04/01/23 2,225,000
2,500,000 6.700%, 04/01/09 2,412,500
1,250,000 7.500%, 06/01/25 1,087,500
--------------
162,665,949
--------------
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
CAPITAL GOODS - INDUSTRIAL (10.8%)
$ 8,500,000 Allied Waste Industries, Inc.
10.000%, 08/01/09 $ 9,286,250
2,000,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 2,090,000
3,000,000 Casella Waste Systems, Inc.
9.750%, 02/01/13 3,300,000
17,000,000 CNH Global NV, Inc.(a)
9.250%, 08/01/11 18,955,000
General Motors Corp.
7,900,000 8.250%, 07/15/23 8,330,945
800,000 7.125%, 07/15/13 833,955
500,000 Hines Nurseries, Inc.(a)
10.250%, 10/01/11 537,500
3,200,000 IMCO Recycling, Inc.(a)
10.375%, 10/15/10 3,184,000
8,500,000 Jacuzzi Brands, Inc.(a)
9.625%, 07/01/10 9,052,500
7,600,000 JLG Industries, Inc.
8.250%, 05/01/08 8,094,000
7,550,000 Laidlaw Global Securities,
Inc.(a)
10.750%, 06/15/11 8,191,750
5,000,000 Manitowoc Company, Inc.
10.500%, 08/01/12 5,700,000
2,000,000 Navistar International Corp.
8.000%, 02/01/08 2,045,000
8,500,000 SPX Corp.
6.250%, 06/15/11 8,563,750
7,000,000 Terex Corporation
9.250%, 07/15/11 7,752,500
--------------
95,917,150
--------------
CAPITAL GOODS - TECHNOLOGY (10.2%)
2,740,000 Arrow Electronics, Inc.
6.875%, 06/01/18 2,714,981
1,050,000 EUR Aspropulsion Capital BV(a)
9.625%, 10/01/13 1,295,389
16,500,000 Esterline Technologies
Corp.(a)
7.750%, 06/15/13 17,696,250
2,000,000 Flextronics International,
Ltd.(a)
6.500%, 05/15/13 1,985,000
Legrand, SA
8,000,000 8.500%, 02/15/25 8,440,000
5,000,000 10.500%, 02/15/13 5,850,000
1,000,000 EUR 11.000%, 02/15/13 1,380,470
5,000,000 Monitronics International,
Inc.(a)
11.750%, 09/01/10 5,137,500
7,250,000 Motorola, Inc.
7.500%, 05/15/25 7,780,606
2,000,000 Orbital Sciences Corp.
9.000%, 07/15/11 2,140,000
5,000,000 Rayovac Corp.(a)
8.500%, 10/01/13 5,225,000
2 See accompanying Notes to Schedule of Investments.
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS OCTOBER 31, 2003
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
Sequa Corp.
$ 7,000,000 8.875%, 04/01/08 $ 7,673,750
2,000,000 9.000%, 08/01/09 2,210,000
20,500,000 Xerox Corp.
7.625%, 06/15/13 21,012,500
--------------
90,541,446
--------------
CONSUMER CYCLICAL (16.0%)
6,500,000 Bally Total Fitness
Holding Corp.(a)
10.500%, 07/15/11 6,760,000
2,000,000 BE Aerospace, Inc.(a)
8.500%, 10/01/10 2,070,000
5,000,000 Broder Bros. Company(a)
11.250%, 10/15/10 5,150,000
Delta Air Lines, Inc.
14,750,000 7.900%, 12/15/09 12,058,125
6,160,000 10.000%, 08/15/08(a) 5,343,800
3,500,000 10.125%, 05/15/10 2,966,250
11,111,000 GBP EMI Group, PLC
9.750%, 05/20/08 19,529,837
4,000,000 Inn of the Mountain Gods(a)
12.000%, 11/15/10 4,200,000
5,000,000 Interpublic Group of
Companies, Inc.
7.250%, 08/15/11 5,325,000
J.C. Penney Company, Inc.
5,750,000 7.950%, 04/01/17 6,195,625
2,000,000 9.000%, 08/01/12 2,330,000
1,500,000 7.650%, 08/15/16 1,590,000
4,700,000 Kellwood Company
7.625%, 10/15/17 4,799,875
3,750,000 La Quinta Corp.(a)
8.875%, 03/15/11 4,157,812
2,000,000 Moore North America, Inc.(a)
7.875%, 01/15/11 2,170,000
9,828,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 10,626,525
5,000,000 Perry Ellis International,
Inc.(a)
8.875%, 09/15/13 5,212,500
5,000,000 Rent-A-Center, Inc.
7.500%, 05/01/10 5,325,000
11,900,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 11,126,500
5,000,000 Russell Corp.
9.250%, 05/01/10 5,275,000
8,000,000 Tower Automotive, Inc.(a)
12.000%, 06/01/13 7,400,000
5,000,000 Toys 'R' Us, Inc.
7.875%, 04/15/13 5,533,250
7,000,000 Warnaco Group, Inc.(a)
8.875%, 06/15/13 7,525,000
--------------
142,670,099
--------------
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
CONSUMER GROWTH STAPLES (14.0%)
$ 10,850,000 Alpharma, Inc.(a)
8.625%, 05/01/11 $ 10,877,125
1,000,000 American Greetings Corp.
11.750%, 07/15/08 1,146,250
16,275,000 Ameripath, Inc.
10.500%, 04/01/13 17,251,500
13,000,000 Ardent Health Services,
Inc.(a)
10.000%, 08/15/13 13,975,000
13,600,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 13,430,000
6,500,000 CBD Media LLC(a)
8.625%, 06/01/11 7,003,750
5,000,000 Charter Communications, Inc.
9.625%, 11/15/09 4,050,000
8,300,000 Hasbro, Inc.
6.600%, 07/15/28 7,594,500
6,300,000 Houghton Mifflin Company
9.875%, 02/01/13 6,843,375
13,500,000 Mediacom Communications Corp.
9.500%, 01/15/13 12,892,500
1,750,000 Payless Shoesource, Inc.(a)
8.250%, 08/01/13 1,715,000
1,250,000 Psychiatric Solutions, Inc.(a)
10.625%, 06/15/13 1,378,125
6,500,000 Quintiles Transnational
Corp.(a)
10.000%, 10/01/13 6,890,000
10,000,000 Rite Aid Corp.
6.875%, 08/15/13 9,550,000
9,500,000 Spanish Broadcasting System,
Inc.
9.625%, 11/01/09 9,903,750
--------------
124,500,875
--------------
CONSUMER STAPLES (4.0%)
5,655,000 Del Monte Foods Company(a)
8.625%, 12/15/12 6,277,050
6,000,000 DIMON, Inc.(a)
7.750%, 06/01/13 6,210,000
Dole Food Company, Inc.
13,600,000 8.875%, 03/15/11 14,756,000
4,460,000 8.625%, 05/01/09 4,839,100
1,000,000 Seminis, Inc.(a)
10.250%, 10/01/13 1,075,000
2,000,000 Smithfield Foods, Inc.
7.750%, 05/15/13 2,170,000
--------------
35,327,150
--------------
CREDIT CYCLICALS (5.5%)
13,190,000 EUR Heidelberg Cement Finance(a)
7.375%, 07/15/10 16,219,476
23,350,000 Texas Industries, Inc.(a)
10.250%, 06/15/11 26,152,000
6,500,000 WCI Communities, Inc.(a)
7.875%, 10/01/13 6,760,000
--------------
49,131,476
--------------
See accompanying Notes to Schedule of Investments. 3
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS OCTOBER 31, 2003
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
ENERGY (11.8%)
$ 9,000,000 Arch Coal, Inc.(a)
6.750%, 07/01/13 $ 9,360,000
2,000,000 Chesapeake Energy Corp.
7.750%, 01/15/15 2,170,000
5,000,000 Forest Oil Corp.
8.000%, 12/15/11 5,400,000
3,000,000 Giant Industries, Inc.
11.000%, 05/15/12 3,135,000
11,350,000 Houston Exploration Company(a)
7.000%, 06/15/13 11,548,625
4,950,000 KCS Energy, Inc.
8.875%, 01/15/06 4,925,250
3,000,000 Massey Energy Company
6.950%, 03/01/07 3,007,500
1,500,000 Nuevo Energy Company
9.375%, 10/01/10 1,642,500
4,780,000 Offshore Logistics, Inc.
6.125%, 06/15/13 4,612,700
5,350,000 Paramount Resources, Ltd.
7.875%, 11/01/10 5,350,000
5,000,000 Petrobras International
Finance Company
9.125%, 07/02/13 5,225,000
19,500,000 Premcor, Inc.
7.500%, 06/15/15 20,036,250
4,300,000 Swift Energy Company
10.250%, 08/01/09 4,708,500
5,000,000 Tesoro Petroleum Corp.
9.000%, 07/01/08 5,062,500
4,000,000 Tom Brown, Inc.
7.250%, 09/15/13 4,200,000
13,000,000 Williams Cos., Inc.
8.625%, 06/01/10 14,300,000
--------------
104,683,825
--------------
FINANCIAL (6.1%)
5,000,000 Fairfax Financial Holdings,
Ltd.
6.875%, 04/15/08 4,850,000
Host Marriott, LP
11,000,000 7.125%, 11/01/13 (a) 11,006,875
2,100,000 9.250%, 10/01/07 2,328,375
12,000,000 Leucadia National Corp.(a)
7.000%, 08/15/13 11,850,000
13,000,000 LNR Property Corp.(a)
7.625%, 07/15/13 13,455,000
Senior Housing Properties
Trust
5,350,000 7.875%, 04/15/15 5,657,625
5,000,000 8.625%, 01/15/12 5,475,000
--------------
54,622,875
--------------
TELECOMMUNICATIONS (3.6%)
3,000,000 AT&T Corp.
8.500%, 11/15/31 3,413,430
Lucent Technologies, Inc.
16,050,000 7.250%, 07/15/06 16,451,250
5,000,000 5.500%, 11/15/08 4,675,000
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
Nortel Networks Corp.
$ 5,000,000 7.400%, 06/15/06 $ 5,275,000
2,500,000 6.125%, 02/15/06 2,571,875
--------------
32,386,555
--------------
TRANSPORTATION (1.5%)
1,500,000 GATX Corp.
8.875%, 06/01/09 1,660,740
9,400,000 General Maritime Corp.
10.000%, 03/15/13 10,551,500
1,010,000 Overseas Shipholding Group,
Inc.
8.750%, 12/01/13 1,095,850
--------------
13,308,090
--------------
UTILITIES (6.6%)
7,250,000 AES Corp.
8.500%, 11/01/07 7,231,875
28,000,000 Calpine Corp.
8.500%, 02/15/11 20,160,000
4,000,000 CenterPoint Energy, Inc.(a)
6.850%, 06/01/15 4,039,468
Edison International
6,000,000 9.875%, 04/15/11 5,550,000
4,000,000 10.000%, 08/15/08 3,740,000
5,000,000 PSEG Energy Holdings LLC
8.625%, 02/15/08 5,200,000
12,600,000 TECO Energy, Inc.
7.500%, 06/15/10 13,009,500
--------------
58,930,843
--------------
TOTAL CORPORATE BONDS
(Cost $933,873,659) 964,686,333
==============
CONVERTIBLE BONDS (12.2%)
CAPITAL GOODS - TECHNOLOGY (5.8%)
1,500,000 Advanced Energy Industries,
Inc.
5.250%, 11/15/06 1,428,750
Amkor Technology, Inc.
7,000,000 5.750%, 06/01/06 7,052,500
3,000,000 5.000%, 03/15/07 2,966,250
7,000,000 Brocade Communications
Systems, Inc.
2.000%, 01/01/07 6,256,250
4,000,000 Computer Network Technology
Corp.
3.000%, 02/15/07 3,575,000
11,800,000 Conexant Systems, Inc.
4.000%, 02/01/07 10,428,250
14,000,000 Kulicke & Soffa Industries,
Inc.
4.750%, 12/15/06 13,545,000
7,000,000 Wind River Systems, Inc.
3.750%, 12/15/06 6,387,500
--------------
51,639,500
--------------
CONSUMER GROWTH STAPLES (3.1%)
5,500,000 Alexion Pharmaceuticals, Inc.
5.750%, 03/15/07 4,503,125
1,000,000 Alpharma, Inc.
3.000%, 06/01/06 1,175,000
4 See accompanying Notes to Schedule of Investments.
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS OCTOBER 31, 2003
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
Charter Communications, Inc.
$ 6,500,000 5.750%, 10/15/05 $ 5,882,500
2,500,000 4.750%, 06/01/06 2,137,500
5,200,000 Enzon Pharmaceuticals, Inc.
4.500%, 07/01/08 4,420,000
10,000,000 Quanta Services, Inc.
4.000%, 07/01/07 9,125,000
--------------
27,243,125
--------------
CONSUMER STAPLES (2.5%)
22,045,000 EUR Parmalat Soparfi, SA
6.125%, 05/23/32 22,520,003
--------------
FINANCIAL (0.4%)
7,800,000 Providian Financial Corp.(c)
0.000%, 02/15/21 3,753,750
--------------
TELECOMMUNICATIONS (0.4%)
Liberty Media Corp.
(Sprint PCS Group)
4,142,000 3.750%, 02/15/30 2,593,927
1,974,000 4.000%, 11/15/29 1,290,502
--------------
3,884,429
--------------
TOTAL CONVERTIBLE BONDS
(Cost $101,805,598) 109,040,807
==============
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (19.7%)
CAPITAL GOODS - INDUSTRIAL (4.6%)
225,000 Cummins, Inc.
7.000% 13,837,500
590,000 Ford Motor Company Capital
Trust II
6.500% 27,405,500
--------------
41,243,000
--------------
CAPITAL GOODS - TECHNOLOGY (2.5%)
525,000 Electronic Data Systems Corp.
7.625% 10,841,250
235,000 Raytheon Company
8.250% 11,867,500
--------------
22,708,750
--------------
CONSUMER GROWTH STAPLES (4.4%)
440,000 Cendant Corp.
7.750% 21,296,000
810,000 Equity Securities Trust I
6.500% 17,949,600
--------------
39,245,600
--------------
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------
FINANCIAL (2.1%)
500,000 National Australia Bank, Ltd.
7.875% $ 18,560,000
--------------
TELECOMMUNICATIONS (2.9%)
532,000 ALLTEL Corp.
7.750% 26,068,000
--------------
UTILITIES (3.2%)
450,000 Ameren Corp.
9.750% 12,915,000
65,000 Calpine Capital Trust III
5.000% 2,697,500
375,000 TXU Corp.
8.125% 12,423,750
--------------
28,036,250
--------------
TOTAL CONVERTIBLE PREFERRED
STOCK
(Cost $178,002,416) 175,861,600
==============
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
SHORT TERM INVESTMENTS (47.7%)
$ 50,000,000 Exxon Mobil Corp.
0.860%, 11/03/03 49,997,611
5,563,000 Federal Home Loan Mortgage
Corporation Discount Note
0.800%, 11/03/03 5,562,743
369,375,956 Bank of New York Institutional
Cash Reserve Fund(b),
current rate 1.140% 369,375,956
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $424,936,310) 424,936,310
==============
TOTAL INVESTMENTS (187.9%)
(Cost $1,638,617,983) 1,674,525,050
==============
LIABILITIES, LESS OTHER ASSETS (-39.7%) (353,370,116)
PREFERRED SHARES AT REDEMPTION VALUE, INCLUDING
DIVIDENDS PAYABLE (-48.2%) (430,000,000)
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
(100.0%) $ 891,151,934
==============
NOTES TO SCHEDULE OF INVESTMENTS
All security values are shown in U.S. Dollars
(a) 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 be effected through a sale that is exempt
from registration (ie. a sale to another QIB), or the security must be
registered for public sale. At October 31, 2003, the market value of 144A
securities that can not currently be exchanged to the registered form is
$365,725,682 or 41.0% of net assets applicable to common shareholders of the
Fund.
(b) Security is purchased with the cash collateral from securities loaned.
(c) Non-income producing
FOREIGN CURRENCY ABBREVIATIONS
EUR: European Monetary Unit
GBP: Great Britain Pound
See accompanying Notes to Financial Statements. 5
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2003
------------------------------------------------------------------------------
ASSETS
Investments, at value* (cost $1,638,617,983) $1,674,525,050
Cash with custodian (interest bearing) 3,188,120
Receivable for investments sold 3,556,219
Accrued interest and dividends receivable 27,994,264
Prepaid expenses 37,567
Other assets 2,297
--------------
Total Assets 1,709,303,517
--------------
LIABILITIES
Payable upon return of securities loaned 369,375,956
Payable for investments purchased 17,058,090
Payable to investment adviser 778,728
Unrealized depreciation on interest rate swaps 562,524
Payable for deferred compensation to trustees 2,297
Other accounts payable and accrued liabilities 373,988
--------------
Total Liabilities 388,151,583
--------------
PREFERRED SHARES
$25,000 liquidation value per share applicable to 17,200
shares, including dividends payable $ 430,000,000
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 891,151,934
==============
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized,
60,208,549 shares issued and outstanding $ 856,246,645
Undistributed net investment income (loss) 4,998,185
Accumulated net realized gain (loss) on investments, foreign
currency transactions and interest rate swaps (5,487,847)
Net unrealized appreciation (depreciation) of investments,
foreign currency transactions and interest rate swaps 35,394,951
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 891,151,934
==============
Net asset value per common share based on 60,208,549 shares
issued and outstanding $ 14.80
==============
* Includes $354,103,800 of securities loaned.
6 See accompanying Notes to Financial Statements.
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED OCTOBER 31, 2003*
---------------------------------------------------------------------------
INVESTMENT INCOME
Interest $26,231,785
Dividends 5,476,023
Securities lending income 225,043
-----------
Total investment income 31,932,851
-----------
EXPENSES
Investment advisory fees 3,701,593
Auction agent fees 283,968
Accounting fees 140,367
Organization fees 119,457
Audit and legal fees 54,967
Printing and mailing fees 40,512
Custodian fees 33,772
Registration fees 20,639
Transfer agent fees 12,019
Trustees' fees 8,689
Other 3,015
-----------
Total expenses 4,418,998
-----------
Less expenses waived (466,170)
Net expenses 3,952,828
-----------
NET INVESTMENT INCOME (LOSS) 27,980,023
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on
Investments (5,476,902)
Foreign currency transactions 70,387
Change in net unrealized appreciation/depreciation of
Investments 35,907,066
Foreign currency transactions 50,409
Interest rate swaps (562,524)
-----------
NET GAIN (LOSS) ON INVESTMENTS 29,988,436
-----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 57,968,459
-----------
DIVIDENDS TO PREFERRED SHAREHOLDERS FROM
Net investment income (1,213,810)
-----------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS RESULTING FROM OPERATIONS $56,754,649
===========
* The Fund commenced operations on May 30, 2003.
See accompanying Notes to Financial Statements. 7
STATEMENT OF CHANGES
IN NET ASSETS
FOR THE PERIOD ENDED OCTOBER 31, 2003
----------------------------------------------------------------------------
OPERATIONS
Net investment income (loss) $ 27,980,023
Net realized gain (loss) on investments, foreign currency
transactions and interest rate swaps (5,406,515)
Change in net unrealized appreciation/depreciation on
investments, foreign currency transactions and interest
rate swaps 35,394,951
Dividends to preferred shareholders from
Net investment income (1,213,810)
------------
Net increase (decrease) in net assets applicable to common
shareholders resulting from operations 56,754,649
------------
DIVIDENDS TO COMMON SHAREHOLDERS FROM
Net investment income (21,968,817)
CAPITAL STOCK TRANSACTIONS
Proceeds from initial offering 859,692,275
Offering costs on common shares (1,481,905)
Offering costs on preferred shares (4,704,000)
Reinvestment of dividends resulting in the issuance of
common stock 2,859,732
------------
Net increase (decrease) in net assets from capital stock
transactions 856,366,102
------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 891,151,934
------------
NET ASSETS
Beginning of period* --
End of period $891,151,934
============
Undistributed net investment income (loss) $ 4,998,185
* The Fund commenced operations on May 30, 2003.
8 See accompanying Notes to Financial Statements.
NOTES TO FINANCIAL STATEMENTS
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. The Fund currently seeks
to achieve its investment objective by investing substantially all of its assets
in convertible securities and non-convertible income securities.
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities, including options, that are traded on a national securities exchange
are valued at the last reported sales price. Securities quoted on the NASDAQ
National Market System are 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. Securities traded in the over-the counter
market and listed securities for which no sales were reported are valued at the
mean of the most recently quoted bid and asked prices. 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 valued at a fair value following procedures approved by the Board of
Trustees or a committee thereof. These procedures may utilize valuations
furnished by pricing services approved by the Board of Trustees or a committee
thereof, 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.
Securities that are principally traded in a foreign market are valued 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.
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 April 30th
and October 31st, which are recorded on trade date. 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. Values of investments denominated in foreign
currencies are converted into U.S. dollars using a spot market rate of exchange.
Purchases and sales of investments and dividend and interest income are
translated into U.S. dollars using the spot market rate of exchange prevailing
on the respective dates of such transaction.
FEDERAL INCOME TAXES. No provision has been made for Federal income taxes since
the Fund is taxed as a "regulated investment company" under Subchapter M of the
Internal Revenue Code of 1986.
DIVIDENDS. Dividends payable to shareholders are recorded by the Fund on the
ex-dividend date. Income and capital gain dividends are determined in accordance
with income tax regulations, which may differ from accounting principles
generally accepted in the United States. These differences are primarily due to
differing treatments for foreign currency transactions and contingent payment
debt instruments.
9
NOTES TO FINANCIAL STATEMENTS
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States 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.
NOTE 2 - INVESTMENT ADVISER AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with CALAMOS ASSET MANAGEMENT, INC.
("CAM"), the Fund pays an annual fee, payable monthly, equal to 0.80% based on
the average weekly managed assets. "Managed Assets" means the total assets of
the Fund (including any assets attributable to any leverage that may be
outstanding) minus the sum of total liabilities (other than debt representing
financial leverage). CAM 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 in 2009, 0.05% of the average weekly managed in
2010, and 0.03% in 2011).
Certain portfolio transactions for the Fund may be executed through CALAMOS
FINANCIAL SERVICES, INC. ("CFS") as broker, consistent with the Fund's policy of
obtaining best price and execution. During the period ended October 31, 2003,
the Fund paid no brokerage commissions to CFS on purchases or sales of Fund
securities.
Certain officers and trustees of the Fund are also officers and directors of CFS
and CAM. 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 CAM 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 trustee. The
value of a 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 Calamos Investment 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 $2,297 are
included in "Other Assets" on the Statement of Assets and Liabilities at October
31, 2003. The Fund's obligation to make payments under the Plan is a general
obligation of the Fund.
NOTE 3 - INVESTMENTS
Purchases and sales of investments other than short term obligations for the
period ended October 31, 2003 were as follows:
Purchases $1,285,673,688
Proceeds from sales 67,388,393
The following information is presented on an income tax basis as of October 31,
2003. 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 October 31,
2003 was as follows:
Cost basis of investments $1,637,850,275
Gross unrealized appreciation 46,537,415
Gross unrealized depreciation 9,862,640
--------------
Net unrealized appreciation (depreciation) of investments $ 36,674,775
==============
10
NOTES TO FINANCIAL STATEMENTS
NOTE 4 - 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 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 or closing of the contracts. There were
no open forward foreign currency contracts at October 31, 2003.
NOTE 5 - DISTRIBUTIONS TO SHAREHOLDERS
The tax character of distributions paid during the period ended October 31, 2003
is as follows:
OCTOBER 31, 2003
--------------------------------------------------------------------------------
Distribution paid from:
Ordinary income $23,182,627
Net long-term capital gains --
-----------
Total taxable distribution 23,182,627
===========
As of October 31, 2003, the components of accumulated
earnings/(losses) on a tax basis were as follows:
Undistributed ordinary income -- net 4,232,756
Undistributed long term capital gains -- net --
-----------
Total undistributed earnings -- net 4,232,756
Capital loss carryforward (5,487,847)*
Unrealized gains/(losses) -- net 36,160,379**
-----------
Total accumulated earnings/(losses) -- net $34,905,288
===========
* As of October 31, 2003, the Fund had capital loss carryforwards of
$5,487,847, which if not used, will expire in 2011.
** The difference between book-basis and tax-basis unrealized gains/(losses) is
attributable to the difference between book and tax amortization methods for
premiums and discounts on fixed income securities and other temporary
book/tax differences.
NOTE 6 - COMMON STOCK
There are unlimited common shares of beneficial interest authorized and
60,208,549 shares outstanding at October 31, 2003. CAM owned 13,790 of the
outstanding shares. Transactions in common shares were as follows:
PERIOD ENDED
OCTOBER 31, 2003
--------------------------------------------------------------------------------
Beginning Shares --
Shares Sold 60,013,451
Shares Issued Through Reinvestment of Distributions 195,098
----------
Ending Shares 60,208,549
----------
NOTE 7 - PREFERRED SHARES
There are unlimited shares of Auction Rate Cumulative 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 and 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 1.06% to 1.30% for the period ended October 31, 2003. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make other
distribution on shares of common stock
11
NOTES TO FINANCIAL STATEMENTS
or purchases 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
the 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 8 - 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 October 31, 2003 were as follows:
UNREALIZED
TERMINATION NOTIONAL APPRECIATION
COUNTERPARTY DATE AMOUNT (000) FIXED RATE FLOATING RATE (DEPRECIATION)
---------------------------------------------------------------------------------------------------------------------------------
Citibank NA 10/27/06 $100,000 2.80% 1 month LIBOR $(130,446)
Citibank NA 10/27/07 200,000 3.27% 1 month LIBOR (282,994)
Citibank NA 10/27/08 100,000 3.65% 1 month LIBOR (149,084)
---------
$(562,524)
NOTE 9 - OTHER
SECURITIES LENDING. During the period ended October 31, 2003, 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 would continue to receive the equivalent of the
interest or dividends paid by the issuer on the securities loaned, and would
also receive 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 would
have 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 would not have the right to
vote the securities during the existence of the loan but generally would call
the loan in an attempt to permit voting of the securities. 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) expenses of enforcing its rights.
In an effort to reduce these risks, the investment manager will monitor the
creditworthiness of the firms to which the Fund lends securities. At October 31,
2003, the Fund had securities valued at $354,103,800 on loan to brokers and
$369,375,956 in cash equivalent collateral.
12
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD WAS AS
FOLLOWS:
For the
Period Ended
October 31,
2003*
----------------------------------------------------------------------------
Net asset value, beginning of period $ 14.32(a)
--------
Income from investment operations:
Net investment income 0.44
Net realized and unrealized gain (loss) on investments,
foreign currency transactions and interest rate swaps 0.46
Dividends to preferred shareholders from Net investment
income (common stock equivalent basis) (0.02)
--------
Total from investment operations 0.88
----------------------------------------------------------------------------
Less dividends to common shareholders from Net investment
income (0.37)
--------
Capital charge resulting from issuance of common and
preferred shares (0.03)
----------------------------------------------------------------------------
Net asset value, end of period $ 14.80
========
----------------------------------------------------------------------------
Market value, end of period $ 16.00
----------------------------------------------------------------------------
Total investment return based on(b):
Net Asset Value 5.92%
Market Value 9.36%
----------------------------------------------------------------------------
Ratios and Supplemental Data
Net assets applicable common shareholders, end of year
(000's omitted) 891,152
Preferred shares, at redemption value ($25,000 per share
liquidation preference) (000's omitted) 430,000
Ratios to average net assets:
Net expenses(c) 1.11%
Gross expenses prior to waiver of expense by the adviser(c) 1.24%
Net investment income(c) 7.85%
Preferred share dividends(c) 0.34%
Net investment income, net of preferred share dividends(c) 7.51%
Portfolio turnover rate(c) 20%
Asset coverage per preferred share, at end of period(d) $ 76,811
----------------------------------------------------------------------------
* The fund commenced operations on May 30, 2003
(a) Net of sales load of $0.68 on initial shares issued.
(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.
(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.
13
INDEPENDENT AUDITORS' REPORT
To the Board of Trustees and Shareholders
CALAMOS Convertible and High Income Fund
We have audited the accompanying statement of assets and liabilities of CALAMOS
Convertible and High Income Fund (the "Fund"), including the schedule of
investments, as of October 31, 2003, and the related statements of operations
and of changes in net assets and the financial highlights for the period from
May 30, 2003 (commencement of operations) through October 31, 2003. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audit.
We conducted our audit in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
October 31, 2003, by correspondence with the custodian and brokers; where
replies were not received from brokers, we performed other auditing procedures.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audit provides a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
CALAMOS Convertible and High Income Fund at October 31, 2003, and the results of
its operations and changes in its net assets and the financial highlights for
the period from May 30, 2003 (commencement of operations) through October 31,
2003, in conformity with accounting principles generally accepted in the United
States of America.
/s/ Deloitte & Touche LLP
Chicago, Illinois
December 17, 2003
14
IMPORTANT TAX AND OTHER
SUPPLEMENTARY INFORMATION
(UNAUDITED)
THE FOLLOWING INFORMATION IS PROVIDED WITH RESPECT TO THE DISTRIBUTIONS PAID BY
THE FUND DURING THE FISCAL YEAR ENDED OCTOBER 31, 2003:
QUALIFIED DIVIDEND INCOME FOR INDIVIDUALS
The following percentages apply to the ordinary income distributions paid during
the period August 2003 through October 2003:
Common Shareholders 1.29%
Preferred Shareholders:
Series M 1.29%
Series TU 1.29%
Series W 1.29%
Series TH 1.29%
Series F 1.29%
Series A 1.29%
DIVIDENDS QUALIFYING FOR THE DIVIDENDS RECEIVED DEDUCTION FOR CORPORATIONS
For the period ended October 31, 2003, there were no ordinary income
distributions paid that qualified for the dividends received deduction.
15
TRUSTEES & OFFICERS
The management of the Fund, including general supervision of the duties
performed for each Fund under the Investment Management Agreement, is the
responsibility of its board of trustees.
The following table sets forth, as of October 31, 2003 each trustee's
position(s) with the Trust, age, principal occupation during the past five
years, number of portfolios overseen, other directorships, and the date on which
the trustee first became a trustee of the Trust.
POSITION(S) HELD WITH TRUST NUMBER OF PORTFOLIOS
NAME AND AGE AT AND DATE FIRST ELECTED OR IN FUND COMPLEX
OCTOBER 31, 2003 APPOINTED TO OFFICE OVERSEEN BY TRUSTEE
-----------------------------------------------------------------------------------------------------------
TRUSTEES WHO ARE INTERESTED PERSONS OF THE TRUST:
John P. Calamos, Sr., 63* Trustee and President 10
(since 2003)
Nick P. Calamos, 42* Trustee and Vice President 10
(since 2003)
Weston W. Marsh, 53* Trustee (since 2003) 10
TRUSTEES WHO ARE NOT INTERESTED PERSONS OF THE TRUST:
Richard J. Dowen, 59 Trustee (since 2003) 10
Joe F. Hanauer, 66 Trustee (since 2003) 10
John E. Neal, 53 Trustee (since 2003) 10
William Rybak, 52 Trustee (since 2003) 10
NAME AND AGE AT PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS
OCTOBER 31, 2003 AND OTHER DIRECTORSHIPS HELD
-------------------------------------------------------- -----------------------------------------------------------
TRUSTEES WHO ARE INTERESTED PERSONS OF THE TRUST:
John P. Calamos, Sr., 63* President and CEO, Calamos Holdings, Inc. ("CHI"), Calamos
Asset Management, Inc. ("CAM") and Calamos Financial
Services, Inc. ("CFS")
Nick P. Calamos, 42* Senior Executive Vice President, CHI, CAM and CFS
Weston W. Marsh, 53* Partner, Freeborn & Peters (law firm)
TRUSTEES WHO ARE NOT INTERESTED PERSONS OF THE TRUST:
Richard J. Dowen, 59 Chair and Professor of Finance, Northern Illinois
University
Joe F. Hanauer, 66 Director, MAF Bancorp (banking); Director, Homestore.com,
Inc. (Internet provider of real estate information and
products); Director, Combined Investments, L.P. (investment
management)
John E. Neal, 53 Managing Director, Bank One Capital Markets, Inc.
(investment banking) (since 2000); Executive Vice President
and Head of Real Estate Department, Bank One (1998-2000);
Director, The Brickman Group, Ltd.
William Rybak, 52 Retired Private Investor; Executive Vice President and CFO,
Van Kampen Investments, Inc. (investment manager), prior
thereto; Director, Howe Barnes Investments
* John P. Calamos and Nick P. Calamos are trustees who are "interested persons"
of the Trust as defined in the Investment Company Act of 1940 (the "1940 Act")
because of their position with Calamos. Weston W. Marsh is a trustee who is an
"interested person" of the Trust as defined in the 1940 Act because he is a
partner at a law firm that has performed work for one or more principal
underwriters. In addition, Mr. Marsh is a partner at a law firm that has
performed work for John P. Calamos, the chief executive and a controlling
person of Calamos (such work was not with respect to 1940 Act or Investment
Advisers Act of 1940 matters). Upon the advice of counsel to the Trust, the
Trust does not believe that Mr. Marsh is an "interested person" of Calamos.
Officers. Messrs. John Calamos and Nick Calamos are president and vice
president of the Trust, respectively. The preceding table gives more information
about Messrs. John Calamos and Nick Calamos. The following table sets forth, as
of October 31, 2003 each other officer's name, position with the Trust, age,
principal occupation during the past five years, other directorships, and the
date on which he or she first became an officer of the Trust. Each officer
serves until his or her successor is chosen and qualified or until his or her
resignation or removal by the board of trustees.
POSITION(S) HELD WITH TRUST AND
NAME AND AGE AT DATE FIRST ELECTED OR APPOINTED PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS
OCTOBER 31, 2003 TO OFFICE AND OTHER DIRECTORSHIPS HELD
-----------------------------------------------------------------------------------------------------------------------
Rhowena Blank, 35 Treasurer (since 2003) Vice President-Operations, CAM (since 1999); Vice President,
CFS (since 2000); and Director of Operations, Christian
Brothers Investment Services (1998-1999)
Patrick H. Dudasik, 48 Vice President (since 2003) Executive Vice President, Chief Financial and Administrative
Officer, and Treasurer of CHI, CAM and CFS (since 2001); and
Chief Financial Officer, David Gomez and Associates, Inc.
(1998-2001) (executive search firm)
James S. Hamman, Jr., 34 Secretary (since 2003) Executive Vice President and General Counsel, CHI, CAM and
CFS (since 1998)
Jeff Lotito, 31 Assistant Treasurer (since Operations Manager, CAM (since 2000); Manager-Fund
2003) Administration, Van Kampen (1999 -2000) (investment
management); and Supervisor-Corporate Accounting, Stein Roe
and Farnham (1998-1999) (investment management)
Ian J. McPheron, 32 Assistant Secretary (since Associate Counsel and Director of Compliance of CAM and CFS
2003) (since 2002); Associate, Gardner, Carton & Douglas (law
firm)(2002); Vice President, Associate General Counsel and
Assistant Secretary, Van Kampen Investments, Inc.
(2000-2002); Associate, Wildman, Harrold, Allen & Dixon (law
firm)(1997-2000)
PROXY VOTING POLICIES. A description of the CALAMOS Proxy Voting Policies and
Procedures is available by calling (800) 582-6959, by visiting its website at
www.calamos.com or by writing CALAMOS at: CALAMOS INVESTMENTS, Attn: Client
Services, 1111 East Warrenville Road, Naperville, IL 60563, and on the
Securities and Exchange Commission's website at www.sec.gov.
16
FOR 24 HOUR SHAREHOLDER ASSISTANCE
800.432.8224
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB-SITE
www.calamos.com
INVESTMENT ADVISER
CALAMOS ASSET MANAGEMENT, INC.
1111 E. Warrenville Road
Naperville, IL 60563-1463
CUSTODIAN AND TRANSFER AGENT
The Bank of New York
P.O. Box 11258
Church Street Station
New York, New York 10286
800.524.4458
INDEPENDENT AUDITORS
Deloitte & Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
[RECYCLED LOGO] 1791 10/03
ITEM 2. CODE OF ETHICS.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that
applies to its principal executive officer, principal financial officer,
principal accounting officer or controller, or person performing similar
functions.
(b) Not applicable.
(c) The registrant has not amended its Code of Ethics during the period covered
by the shareholder report presented in Item 1 hereto.
(d) The registrant has not granted a waiver or an implicit waiver from its Code
of Ethics during the period covered by the shareholder report presented in
Item 1 hereto.
(e) Not applicable.
(f) (a) The registrant's Code of Ethics is attached as an Exhibit hereto.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Trustees has determined that, for the period covered
by the shareholder report presented in Item 1 hereto, it has three audit
committee financial experts serving on its audit committee, each of whom is an
independent Trustee for purpose of this N-CSR item: Richard J. Dowen, John E.
Neal and William Rybak. Under applicable securities laws, a person who is
determined to be an audit committee financial expert will not be deemed an
"expert" for any purpose, including without limitation for the purposes of
Section 11 of the Securities Act of 1933, as a result of being designated or
identified as an audit committee financial expert. The designation or
identification of a person as an audit committee financial expert does not
impose on such person any duties, obligation, or liabilities that are greater
than the duties, obligations and liabilities imposed on such person as a member
of audit committee and Board of Trustees in the absence of such designation or
identification.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Applicable only for reports covering fiscal years on or after December 15, 2003.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Applicable only for reports covering periods ending on after the earlier of (i)
the first annual meeting after January 15, 2004 or (ii) October 31, 2004.
ITEM 6. [RESERVED.]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The registrant has delegated the voting of proxies relating to its voting
securities to its investment adviser, Calamos Asset Management, Inc. ("CAM"). A
description of the Proxy Voting Policies and Procedures of CAM are included as
an Exhibit hereto.
ITEM 8. [RESERVED.]
ITEM 9. 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 registrant's the last fiscal half-year (the
registrant's second fiscal half-year in the case of an annual report) that
has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 10. EXHIBITS.
(a)(1) Code of Ethics
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) Certification of Principal Financial Officer.
(b) Description of Proxy Voting Policies and Procedures
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.
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Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: January 9, 2004
By: /s/ Patrick H. Dudasik
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Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: January 9, 2004
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.
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Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: January 9, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: January 9, 2004