UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21319
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible and High
Income Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors, LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2007
DATE OF REPORTING PERIOD: January 31, 2007
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
ITEM 1. SCHEDULE OF INVESTMENTS January 31, 2007 (UNAUDITED)
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
CORPORATE BONDS (77.1%)
CONSUMER DISCRETIONARY (22.9%)
$ 2,705,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 $ 2,843,631
Beazer Homes USA, Inc.<
9,015,000 8.375%, 04/15/12 9,307,987
6,311,000 8.125%, 06/15/16 6,594,995
4,508,000 Broder Bros. Company
11.250%, 10/15/10 4,530,540
4,508,000 DEX Media, Inc.
8.000%, 11/15/13 4,722,130
13,839,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 14,548,249
EchoStar DBS Corp.
5,680,000 7.125%, 02/01/16 5,729,700
1,690,000 6.625%, 10/01/14 1,660,425
10,918,000 GBP EMI Group, PLC
9.750%, 05/20/08 22,407,272
7,663,000 Expedia, Inc.*<
7.456%, 08/15/18 7,907,971
Ford Motor Company
9,015,000 7.450%, 07/16/31< 7,358,494
7,212,000 8.625%, 11/01/10 7,457,771
6,108,000 GameStop Corp.<
8.000%, 10/01/12 6,489,750
3,606,000 General Motors Acceptance Corp.
6.875%, 09/15/11 3,663,191
General Motors Corp.
5,860,000 7.200%, 01/15/11 5,728,150
4,327,000 7.125%, 07/15/13< 4,208,008
Goodyear Tire & Rubber Company
6,311,000 7.857%, 08/15/11< 6,484,552
4,508,000 7.000%, 03/15/28 4,057,200
3,155,000 Group 1 Automotive, Inc.
8.250%, 08/15/13 3,265,425
6,536,000 Hanes Brands, Inc.*++
8.735%, 12/15/14 6,748,420
8,384,000 Hasbro, Inc.
6.600%, 07/15/28 8,218,860
7,212,000 Hovnanian Enterprises, Inc.<
8.625%, 01/15/17 7,644,720
5,409,000 Idearc, Inc.*
8.000%, 11/15/16 5,523,941
4,508,000 Interpublic Group of Companies, Inc.<
7.250%, 08/15/11 4,620,700
J.C. Penney Company, Inc.
1,803,000 9.000%, 08/01/12< 2,055,943
1,352,000 7.650%, 08/15/16 1,487,849
4,057,000 Jarden Corp.<
9.750%, 05/01/12 4,315,634
2,894,000 Kellwood Company
7.625%, 10/15/17 2,646,687
4,508,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 4,462,920
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 3,155,000 Liberty Media Corp.
8.250%, 02/01/30 $ 3,133,937
6,311,000 Linens 'n Things, Inc.< ++
10.985%, 01/15/14 6,153,225
3,539,000 Mandalay Resort Group<
7.625%, 07/15/13 3,521,305
1,352,000 NCL Holding, ASA
10.625%, 07/15/14 1,382,420
10,663,000 Oxford Industries, Inc.
8.875%, 06/01/11 11,089,520
856,000 Phillips-Van Heusen Corp.<
8.125%, 05/01/13 903,080
902,000 Pinnacle Entertainment, Inc.
8.250%, 03/15/12 927,933
2,705,000 Rent-A-Center, Inc.
7.500%, 05/01/10 2,745,575
10,728,000 Royal Caribbean Cruises, Ltd.<
7.500%, 10/15/27 10,586,702
811,000 Station Casinos, Inc.
6.875%, 03/01/16 746,120
7,753,000 Vail Resorts, Inc.
6.750%, 02/15/14 7,675,470
6,311,000 Warnaco Group, Inc.
8.875%, 06/15/13 6,736,992
Warner Music Group
1,803,000 GBP 8.125%, 04/15/14 3,639,766
1,803,000 7.375%, 04/15/14 1,784,970
2,705,000 WCI Communities, Inc.<
6.625%, 03/15/15 2,475,075
811,000 Wynn Las Vegas, LLC<
6.625%, 12/01/14 806,945
---------------
241,000,150
---------------
CONSUMER STAPLES (7.2%)
1,803,000 Central Garden & Pet Company
9.125%, 02/01/13 1,888,643
4,958,000 Chattem, Inc.
7.000%, 03/01/14 4,920,815
3,832,000 Chiquita Brands International, Inc.<
8.875%, 12/01/15 3,640,400
1,659,000 Constellation Brands, Inc.
7.250%, 09/01/16 1,704,623
5,098,000 Del Monte Foods Company
8.625%, 12/15/12 5,403,880
9,466,000 Dole Food Company, Inc.
7.250%, 06/15/10 9,193,852
12,171,000 Jean Coutu Group, Inc.
8.500%, 08/01/14 12,718,695
4,057,000 NBTY, Inc.
7.125%, 10/01/15 4,067,143
Pilgrim's Pride Corp.
4,463,000 8.375%, 05/01/17< 4,418,370
2,299,000 7.625%, 05/01/15 2,287,505
3,606,000 Pinnacle Foods Holding<
8.250%, 12/01/13 3,705,165
5,770,000 Playtex Products, Inc.
8.000%, 03/01/11 6,065,712
See accompanying notes to Schedule of Investments
1
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
Reynolds American, Inc.
$ 5,860,000 7.300%, 07/15/15 $ 6,103,758
3,606,000 7.625%, 06/01/16 3,833,073
1,803,000 Smithfield Foods, Inc.
7.750%, 05/15/13 1,843,568
3,561,000 SUPERVALU, Inc.
7.500%, 11/15/14 3,728,221
---------------
75,523,423
---------------
ENERGY (9.5%)
8,114,000 Arch Western Finance, LLC
6.750%, 07/01/13 8,053,145
Chesapeake Energy Corp.
3,606,000 6.875%, 01/15/16 3,587,970
1,803,000 7.750%, 01/15/15 1,857,090
3,561,000 Comstock Resources, Inc.
6.875%, 03/01/12 3,431,914
730,000 Energy Partners, Ltd.
8.750%, 08/01/10 744,600
4,508,000 Forest Oil Corp.
8.000%, 12/15/11 4,699,590
Giant Industries, Inc.
5,409,000 8.000%, 05/15/14 5,834,959
1,803,000 11.000%, 05/15/12< 1,929,210
3,155,000 Hanover Compressor Company
9.000%, 06/01/14 3,375,850
10,232,000 Houston Exploration Company
7.000%, 06/15/13 10,359,900
6,221,000 Petrohawk Energy Corp.
7.125%, 04/01/12 5,972,160
Petroleo Brasileiro, SA
6,762,000 8.375%, 12/10/18 8,019,732
4,508,000 9.125%, 07/02/13 5,279,995
15,777,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 16,198,498
5,049,000 Superior Energy Services, Inc.
6.875%, 06/01/14 4,973,265
2,705,000 Swift Energy Company
7.625%, 07/15/11 2,765,862
5,860,000 Whiting Petroleum Corp.
7.250%, 05/01/12 5,845,350
6,266,000 Williams Companies, Inc.
7.750%, 06/15/31 6,610,630
---------------
99,539,720
---------------
FINANCIALS (4.2%)
E*TRADE Financial Corp.
6,852,000 7.375%, 09/15/13< 7,143,210
5,206,000 7.875%, 12/01/15< 5,596,450
1,262,000 8.000%, 06/15/11 1,323,522
9,917,000 Host Hotels & Resorts, Inc.<
7.125%, 11/01/13 10,115,340
11,066,000 Leucadia National Corp.
7.000%, 08/15/13 11,148,995
856,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 860,280
Senior Housing Properties Trust
4,508,000 8.625%, 01/15/12 4,913,720
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 3,185,000 7.875%, 04/15/15 $ 3,312,400
---------------
44,413,917
---------------
HEALTH CARE (4.8%)
14,672,000 Ameripath, Inc.<
10.500%, 04/01/13 15,992,480
4,508,000 Angiotech Pharmaceuticals, Inc.
7.750%, 04/01/14 4,169,900
1,803,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 1,875,120
2,028,000 Biovail Corp.
7.875%, 04/01/10 2,081,235
811,000 DaVita, Inc.<
7.250%, 03/15/15 825,193
631,000 Omnicare, Inc.
6.875%, 12/15/15 626,268
4,823,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 4,835,057
9,105,000 Tenet Healthcare Corp.
9.250%, 02/01/15 9,127,763
4,823,000 Valeant Pharmaceuticals
International<
7.000%, 12/15/11 4,654,195
6,311,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 6,492,441
---------------
50,679,652
---------------
INDUSTRIALS (9.2%)
5,409,000 AMR Corp.
7.250%, 02/05/09 5,544,225
2,254,000 Armor Holdings, Inc.
8.250%, 08/15/13 2,366,700
2,705,000 BE Aerospace, Inc.
8.875%, 05/01/11 2,806,438
14,425,000 CNH Global, NV
9.250%, 08/01/11 15,362,625
14,875,000 Esterline Technologies Corp.<
7.750%, 06/15/13 15,395,625
902,000 FTI Consulting, Inc.
7.625%, 06/15/13 927,933
3,155,000 Gardner Denver, Inc.
8.000%, 05/01/13 3,304,863
1,352,000 GATX Corp.
8.875%, 06/01/09 1,445,316
5,292,000 General Cable Corp.
9.500%, 11/15/10 5,609,520
1,686,000 H&E Equipment Service, Inc.
8.375%, 07/15/16 1,791,375
IKON Office Solutions, Inc.
2,254,000 7.750%, 09/15/15 2,383,605
1,803,000 6.750%, 12/01/25 1,590,428
5,319,000 Interline Brands, Inc.
8.125%, 06/15/14 5,465,272
3,918,000 Manitowoc Company, Inc.<
10.500%, 08/01/12 4,206,953
7,615,000 Mobile Mini, Inc.
9.500%, 07/01/13 8,176,606
Sequa Corp.
6,311,000 8.875%, 04/01/08 6,516,107
1,803,000 9.000%, 08/01/09 1,920,195
See accompanying notes to Schedule of Investments
2
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 1,708,000 Terex Corp.<
7.375%, 01/15/14 $ 1,750,700
2,028,000 Trinity Industries, Inc.
6.500%, 03/15/14 2,002,650
1,803,000 WESCO International, Inc.
7.500%, 10/15/17 1,821,030
3,606,000 Westinghouse Air Brake Technologies
Corp.<
6.875%, 07/31/13 3,587,970
2,254,000 Williams Scotsman International, Inc.
8.500%, 10/01/15 2,355,430
---------------
96,331,566
---------------
INFORMATION TECHNOLOGY (6.3%)
6,107,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 6,259,675
811,000 Anixter International, Inc.
5.950%, 03/01/15 771,464
2,470,000 Arrow Electronics, Inc.
6.875%, 06/01/18 2,534,161
811,000 Avago Technologies*<
11.875%, 12/01/15 892,100
Celestica, Inc.
7,663,000 7.625%, 07/01/13 7,327,744
3,606,000 7.875%, 07/01/11< 3,542,895
1,803,000 Flextronics International, Ltd.<
6.500%, 05/15/13 1,757,925
6,536,000 Freescale Semiconductor, Inc.*
8.875%, 12/15/14 6,536,000
1,803,000 GBP Iron Mountain, Inc.*
7.250%, 04/15/14 3,533,495
4,508,000 NXP, BV*<
7.875%, 10/15/14 4,677,050
383,000 Sanmina-SCI Corp.
8.125%, 03/01/16 366,722
8,565,000 SunGard Data Systems, Inc.
9.125%, 08/15/13 9,057,487
18,481,000 Xerox Corp.
7.625%, 06/15/13 19,312,645
---------------
66,569,363
---------------
MATERIALS (7.3%)
1,127,000 Agrium, Inc.
7.125%, 05/23/36 1,186,465
4,508,000 Ball Corp.
6.875%, 12/15/12 4,609,430
902,000 Crown Holdings, Inc.<
7.750%, 11/15/15 938,080
17,147,000 Equistar Chemicals, LP
10.625%, 05/01/11 18,261,555
811,000 Gibraltar Industries, Inc.
8.000%, 12/01/15 802,890
Ineos Group Holdings, PLC*
5,409,000 EUR 7.875%, 02/15/16 6,662,077
902,000 8.500%, 02/15/16< 868,175
5,409,000 IPSCO, Inc.
8.750%, 06/01/13 5,828,197
8,114,000 Neenah Paper, Inc.
7.375%, 11/15/14 7,850,295
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 2,254,000 P.H. Glatfelter Company<
7.125%, 05/01/16 $ 2,282,175
2,705,000 Polyone Corp.
10.625%, 05/15/10 2,887,587
4,508,000 Sealed Air Corp.*
6.875%, 07/15/33 4,491,411
4,057,000 Terra Industries, Inc.*+
7.000%, 02/01/17 4,016,430
1,803,000 Texas Industries, Inc.
7.250%, 07/15/13 1,852,583
3,110,000 The Mosaic Company*
7.625%, 12/01/16 3,195,525
Union Carbide Corp.
4,372,000 7.875%, 04/01/23 4,683,173
2,930,000 7.500%, 06/01/25 3,025,345
3,336,000 Westlake Chemical Corp.<
6.625%, 01/15/16 3,285,960
---------------
76,727,353
---------------
TELECOMMUNICATION SERVICES (3.3%)
5,409,000 AT&T Corp.
8.000%, 11/15/31 6,729,045
3,381,000 CenturyTel, Inc.<
6.875%, 01/15/28 3,280,618
631,000 Citizens Communications Company
9.000%, 08/15/31 683,058
3,155,000 Leap Wireless International, Inc.*
9.375%, 11/01/14 3,328,525
3,426,000 Qwest Communications International,
Inc.
7.750%, 02/15/31 3,426,000
3,381,000 CAD Rogers Communications, Inc.
7.250%, 12/15/11 3,138,170
4,057,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 3,833,637
6,311,000 Sprint Nextel Corp.
7.375%, 08/01/15 6,473,982
4,057,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 4,087,427
---------------
34,980,462
---------------
UTILITIES (2.4%)
4,508,000 Centerpoint Energy, Inc.<
6.850%, 06/01/15 4,740,883
902,000 NRG Energy, Inc.
7.375%, 02/01/16 905,383
1,902,000 Public Service Enterprise Group, Inc.
8.625%, 02/15/08 1,951,927
11,359,000 Teco Energy, Inc.
7.500%, 06/15/10 11,983,745
6,311,000 TXU Corp.
6.500%, 11/15/24 5,875,819
---------------
25,457,757
---------------
TOTAL CORPORATE BONDS
(Cost $785,871,993) 811,223,363
---------------
See accompanying notes to Schedule of Investments
3
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
CONVERTIBLE BONDS (24.1%)
CONSUMER DISCRETIONARY (7.4%)
$ 7,000,000 EchoStar Communications Corp.
5.750%, 05/15/08 $ 7,148,750
6,500,000 Lamar Advertising Company
2.875%, 12/31/10 9,010,625
6,531,595 Liberty Media Corp. (Motorola, Inc.)
&
3.500%, 01/15/31 6,619,772
Liberty Media Corp. (Sprint Corp. PCS)&
4,142,000 3.750%, 02/15/30 2,599,105
1,974,000 4.000%, 11/15/29 1,359,593
2,320,000 Liberty Media Corp. (Time Warner) &
3.250%, 03/15/31 2,006,800
6,750,000 GBP Punch Taverns Redwood Jersey Company
Ltd.
5.000%, 12/14/10 16,311,908
11,500,000 The Interpublic Group of Companies,
Inc.*++
5.710%, 06/15/09 14,884,450
United Auto Group, Inc.
3,960,000 3.500%, 04/01/26* 4,618,350
2,290,000 3.500%, 04/01/26 2,670,712
9,000,000 Walt Disney Company<
2.125%, 04/15/23 11,238,750
---------------
78,468,815
---------------
CONSUMER STAPLES (0.7%)
4,750,000 Church & Dwight Co., Inc.
5.250%, 08/15/33 7,255,625
---------------
FINANCIALS (1.1%)
11,250,000 Travelers Property Casualty Corp.
4.500%, 04/15/32 11,592,000
---------------
HEALTH CARE (2.9%)
10,500,000 Emdeon Corp.*
3.125%, 09/01/25 11,340,000
10,500,000 Health Management Associates, Inc.<
4.375%, 08/01/23 10,893,750
8,000,000 Wyeth< ++
4.877%, 01/15/24 8,594,400
---------------
30,828,150
---------------
INDUSTRIALS (2.3%)
6,400,000 Lockheed Martin Corp.++
5.124%, 08/15/33 8,845,952
5,500,000 Quanta Services, Inc.*<
3.750%, 04/30/26 6,318,125
13,000,000 Roper Industries, Inc.++
1.481%, 01/15/34 8,758,750
---------------
23,922,827
---------------
INFORMATION TECHNOLOGY (7.3%)
4,000,000 Andrew Corp.
3.250%, 08/15/13 4,080,000
2,500,000 ASM International NV
4.250%, 12/06/11 3,015,085
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 4,000,000 CSG Systems International, Inc.
2.500%, 06/15/24 $ 4,305,000
20,500,000 Electronic Data Systems Corp.
3.875%, 07/15/23 21,499,375
32,000,000 Intel Corp.<
2.950%, 12/15/35 29,440,000
6,000,000 Mentor Graphics Corp.*
6.250%, 03/01/26 8,025,000
6,380,000 Vishay Intertechnology, Inc.
3.625%, 08/01/23 6,364,050
---------------
76,728,510
---------------
UTILITIES (2.4%)
6,500,000 CenterPoint Energy, Inc.
3.750%, 05/15/23 9,945,000
2,250,000 EUR International Power, PLC
3.250%, 07/20/13 3,571,141
3,500,000 GBP Scottish & Southern Energy, PLC
3.750%, 10/29/09 11,648,318
---------------
25,164,459
---------------
TOTAL CONVERTIBLE BONDS
(Cost $229,064,463) 253,960,386
---------------
SYNTHETIC CONVERTIBLE SECURITIES (9.9%)
CORPORATE BONDS (8.4%)
CONSUMER DISCRETIONARY (2.5%)
295,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 310,119
Beazer Homes USA, Inc.<
985,000 8.375%, 04/15/12 1,017,012
689,000 8.125%, 06/15/16 720,005
492,000 Broder Bros. Company
11.250%, 10/15/10 494,460
492,000 DEX Media, Inc.
8.000%, 11/15/13 515,370
1,511,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 1,588,439
EchoStar DBS Corp.
620,000 7.125%, 02/01/16 625,425
185,000 6.625%, 10/01/14 181,763
1,193,000 GBP EMI Group, PLC
9.750%, 05/20/08 2,448,422
837,000 Expedia, Inc.*<
7.456%, 08/15/18 863,757
Ford Motor Company
985,000 7.450%, 07/16/31< 804,006
788,000 8.625%, 11/01/10 814,853
667,000 GameStop Corp.<
8.000%, 10/01/12 708,687
394,000 General Motors Acceptance Corp.
6.875%, 09/15/11 400,249
General Motors Corp.
640,000 7.200%, 01/15/11 625,600
473,000 7.125%, 07/15/13< 459,993
Goodyear Tire & Rubber Company
689,000 7.857%, 08/15/11< 707,947
See accompanying notes to Schedule of Investments
4
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 492,000 7.000%, 03/15/28 $ 442,800
345,000 Group 1 Automotive, Inc.
8.250%, 08/15/13 357,075
714,000 Hanes Brands, Inc.*++
8.735%, 12/15/14 737,205
916,000 Hasbro, Inc.
6.600%, 07/15/28 897,958
788,000 Hovnanian Enterprises, Inc.<
8.625%, 01/15/17 835,280
591,000 Idearc, Inc.*
8.000%, 11/15/16 603,559
492,000 Interpublic Group of Companies, Inc.<
7.250%, 08/15/11 504,300
J.C. Penney Company, Inc.
197,000 9.000%, 08/01/12< 224,637
148,000 7.650%, 08/15/16 162,871
443,000 Jarden Corp.<
9.750%, 05/01/12 471,241
316,000 Kellwood Company
7.625%, 10/15/17 288,996
492,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 487,080
345,000 Liberty Media Corp.
8.250%, 02/01/30 342,697
689,000 Linens 'n Things, Inc.< ++
10.985%, 01/15/14 671,775
386,000 Mandalay Resort Group<
7.625%, 07/15/13 384,070
148,000 NCL Holding, ASA
10.625%, 07/15/14 151,330
1,165,000 Oxford Industries, Inc.
8.875%, 06/01/11 1,211,600
94,000 Phillips-Van Heusen Corp.<
8.125%, 05/01/13 99,170
98,000 Pinnacle Entertainment, Inc.
8.250%, 03/15/12 100,818
295,000 Rent-A-Center, Inc.
7.500%, 05/01/10 299,425
1,172,000 Royal Caribbean Cruises, Ltd.<
7.500%, 10/15/27 1,156,564
89,000 Station Casinos, Inc.
6.875%, 03/01/16 81,880
847,000 Vail Resorts, Inc.
6.750%, 02/15/14 838,530
689,000 Warnaco Group, Inc.
8.875%, 06/15/13 735,507
Warner Music Group
197,000 GBP 8.125%, 04/15/14 397,689
197,000 7.375%, 04/15/14 195,030
295,000 WCI Communities, Inc.<
6.625%, 03/15/15 269,925
89,000 Wynn Las Vegas, LLC<
6.625%, 12/01/14 88,555
---------------
26,323,674
---------------
CONSUMER STAPLES (0.8%)
197,000 Central Garden & Pet Company
9.125%, 02/01/13 206,358
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 542,000 Chattem, Inc.
7.000%, 03/01/14 $ 537,935
418,000 Chiquita Brands International, Inc.<
8.875%, 12/01/15 397,100
181,000 Constellation Brands, Inc.
7.250%, 09/01/16 185,978
557,000 Del Monte Foods Company
8.625%, 12/15/12 590,420
1,034,000 Dole Food Company, Inc.
7.250%, 06/15/10 1,004,272
1,329,000 Jean Coutu Group, Inc.
8.500%, 08/01/14 1,388,805
443,000 NBTY, Inc.
7.125%, 10/01/15 444,107
Pilgrim's Pride Corp.
487,000 8.375%, 05/01/17< 482,130
251,000 7.625%, 05/01/15 249,745
394,000 Pinnacle Foods Holding<
8.250%, 12/01/13 404,835
630,000 Playtex Products, Inc.
8.000%, 03/01/11 662,287
Reynolds American, Inc.
640,000 7.300%, 07/15/15 666,622
394,000 7.625%, 06/01/16 418,811
197,000 Smithfield Foods, Inc.
7.750%, 05/15/13 201,433
389,000 SUPERVALU, Inc.
7.500%, 11/15/14 407,267
---------------
8,248,105
---------------
ENERGY (1.0%)
886,000 Arch Western Finance, LLC
6.750%, 07/01/13 879,355
Chesapeake Energy Corp.
394,000 6.875%, 01/15/16 392,030
197,000 7.750%, 01/15/15 202,910
389,000 Comstock Resources, Inc.
6.875%, 03/01/12 374,899
80,000 Energy Partners, Ltd.
8.750%, 08/01/10 81,600
492,000 Forest Oil Corp.
8.000%, 12/15/11 512,910
Giant Industries, Inc.
591,000 8.000%, 05/15/14 637,541
197,000 11.000%, 05/15/12< 210,790
345,000 Hanover Compressor Company
9.000%, 06/01/14 369,150
1,118,000 Houston Exploration Company
7.000%, 06/15/13 1,131,975
679,000 Petrohawk Energy Corp.
7.125%, 04/01/12 651,840
Petroleo Brasileiro, SA
738,000 8.375%, 12/10/18 875,268
492,000 9.125%, 07/02/13 576,255
1,723,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 1,769,032
551,000 Superior Energy Services, Inc.
6.875%, 06/01/14 542,735
See accompanying notes to Schedule of Investments
5
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 295,000 Swift Energy Company
7.625%, 07/15/11 $ 301,637
640,000 Whiting Petroleum Corp.
7.250%, 05/01/12 638,400
684,000 Williams Companies, Inc.
7.750%, 06/15/31 721,620
---------------
10,869,947
---------------
FINANCIALS (0.4%)
E*TRADE Financial Corp.
748,000 7.375%, 09/15/13< 779,790
569,000 7.875%, 12/01/15< 611,675
138,000 8.000%, 06/15/11 144,728
1,083,000 Host Hotels & Resorts, Inc.<
7.125%, 11/01/13 1,104,660
1,209,000 Leucadia National Corp.
7.000%, 08/15/13 1,218,067
94,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 94,470
Senior Housing Properties Trust
492,000 8.625%, 01/15/12 536,280
348,000 7.875%, 04/15/15 361,920
---------------
4,851,590
---------------
HEALTH CARE (0.5%)
1,603,000 Ameripath, Inc.<
10.500%, 04/01/13 1,747,270
492,000 Angiotech Pharmaceuticals, Inc.
7.750%, 04/01/14 455,100
197,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 204,880
222,000 Biovail Corp.
7.875%, 04/01/10 227,827
89,000 DaVita, Inc.<
7.250%, 03/15/15 90,558
69,000 Omnicare, Inc.
6.875%, 12/15/15 68,483
527,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 528,317
995,000 Tenet Healthcare Corp.
9.250%, 02/01/15 997,488
527,000 Valeant Pharmaceuticals
International<
7.000%, 12/15/11 508,555
689,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 708,809
---------------
5,537,287
---------------
INDUSTRIALS (1.0%)
591,000 AMR Corp.
7.250%, 02/05/09 605,775
246,000 Armor Holdings, Inc.
8.250%, 08/15/13 258,300
295,000 BE Aerospace, Inc.
8.875%, 05/01/11 306,063
1,575,000 CNH Global, NV
9.250%, 08/01/11 1,677,375
1,625,000 Esterline Technologies Corp.<
7.750%, 06/15/13 1,681,875
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 98,000 FTI Consulting, Inc.
7.625%, 06/15/13 $ 100,818
345,000 Gardner Denver, Inc.
8.000%, 05/01/13 361,387
148,000 GATX Corp.
8.875%, 06/01/09 158,215
578,000 General Cable Corp.
9.500%, 11/15/10 612,680
184,000 H&E Equipment Service, Inc.
8.375%, 07/15/16 195,500
IKON Office Solutions, Inc.
246,000 7.750%, 09/15/15 260,145
197,000 6.750%, 12/01/25 173,774
581,000 Interline Brands, Inc.
8.125%, 06/15/14 596,977
428,000 Manitowoc Company, Inc.<
10.500%, 08/01/12 459,565
832,000 Mobile Mini, Inc.
9.500%, 07/01/13 893,360
Sequa Corp.
689,000 8.875%, 04/01/08 711,392
197,000 9.000%, 08/01/09 209,805
187,000 Terex Corp.<
7.375%, 01/15/14 191,675
222,000 Trinity Industries, Inc.
6.500%, 03/15/14 219,225
197,000 WESCO International, Inc.
7.500%, 10/15/17 198,970
394,000 Westinghouse Air Brake Technologies
Corp.<
6.875%, 07/31/13 392,030
246,000 Williams Scotsman International, Inc.
8.500%, 10/01/15 257,070
---------------
10,521,976
---------------
INFORMATION TECHNOLOGY (0.7%)
667,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 683,675
89,000 Anixter International, Inc.
5.950%, 03/01/15 84,661
270,000 Arrow Electronics, Inc.
6.875%, 06/01/18 277,014
89,000 Avago Technologies*<
11.875%, 12/01/15 97,900
Celestica, Inc.
837,000 7.625%, 07/01/13 800,381
394,000 7.875%, 07/01/11< 387,105
197,000 Flextronics International, Ltd.<
6.500%, 05/15/13 192,075
714,000 Freescale Semiconductor, Inc.*
8.875%, 12/15/14 714,000
197,000 GBP Iron Mountain, Inc.*
7.250%, 04/15/14 386,078
492,000 NXP, BV*<
7.875%, 10/15/14 510,450
42,000 Sanmina-SCI Corp.
8.125%, 03/01/16 40,215
See accompanying notes to Schedule of Investments
6
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 935,000 SunGard Data Systems, Inc.
9.125%, 08/15/13 $ 988,762
2,019,000 Xerox Corp.
7.625%, 06/15/13 2,109,855
---------------
7,272,171
---------------
MATERIALS (0.8%)
123,000 Agrium, Inc.
7.125%, 05/23/36 129,490
492,000 Ball Corp.
6.875%, 12/15/12 503,070
98,000 Crown Holdings, Inc.<
7.750%, 11/15/15 101,920
1,873,000 Equistar Chemicals, LP
10.625%, 05/01/11 1,994,745
89,000 Gibraltar Industries, Inc.
8.000%, 12/01/15 88,110
Ineos Group Holdings, PLC*
591,000 EUR 7.875%, 02/15/16 727,914
98,000 8.500%, 02/15/16< 94,325
591,000 IPSCO, Inc.
8.750%, 06/01/13 636,802
886,000 Neenah Paper, Inc.
7.375%, 11/15/14 857,205
246,000 P.H. Glatfelter Company<
7.125%, 05/01/16 249,075
295,000 Polyone Corp.
10.625%, 05/15/10 314,913
492,000 Sealed Air Corp.*
6.875%, 07/15/33 490,189
443,000 Terra Industries, Inc.*+
7.000%, 02/01/17 438,570
197,000 Texas Industries, Inc.
7.250%, 07/15/13 202,418
340,000 The Mosaic Company*
7.625%, 12/01/16 349,350
Union Carbide Corp.
478,000 7.875%, 04/01/23 512,021
320,000 7.500%, 06/01/25 330,413
364,000 Westlake Chemical Corp.<
6.625%, 01/15/16 358,540
---------------
8,379,070
---------------
TELECOMMUNICATION SERVICES (0.4%)
591,000 AT&T Corp.
8.000%, 11/15/31 735,231
369,000 CenturyTel, Inc.<
6.875%, 01/15/28 358,044
69,000 Citizens Communications Company
9.000%, 08/15/31 74,693
345,000 Leap Wireless International, Inc.*
9.375%, 11/01/14 363,975
374,000 Qwest Communications International,
Inc.
7.750%, 02/15/31 374,000
369,000 CAD Rogers Communications, Inc.
7.250%, 12/15/11 342,498
443,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 418,610
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 689,000 Sprint Nextel Corp.
7.375%, 08/01/15 $ 706,793
443,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 446,323
---------------
3,820,167
---------------
UTILITIES (0.3%)
492,000 Centerpoint Energy, Inc.<
6.850%, 06/01/15 517,417
98,000 NRG Energy, Inc.
7.375%, 02/01/16 98,368
208,000 Public Service Enterprise Group, Inc.
8.625%, 02/15/08 213,460
1,241,000 Teco Energy, Inc.
7.500%, 06/15/10 1,309,255
689,000 TXU Corp.
6.500%, 11/15/24 641,489
---------------
2,779,989
---------------
TOTAL CORPORATE BONDS 88,603,976
---------------
NUMBER OF
CONTRACTS VALUE
------------ ---------------
OPTIONS (1.5%)
CONSUMER DISCRETIONARY (0.3%)
930 Comcast Corp.#
Call, 01/17/09, Strike $42.50 850,950
240 Garmin, Ltd.#
Call, 01/19/08, Strike $50.00 178,800
600 Harley-Davidson, Inc.#
Call, 01/17/09, Strike $70.00 630,000
Nike, Inc.#
230 Call, 01/17/09, Strike $100.00 304,750
230 Call, 01/17/09, Strike $90.00 438,150
310 Office Depot, Inc.#
Call, 01/19/08, Strike $40.00 113,150
450 Omnicom Group, Inc.#
Call, 01/17/09, Strike $100.00 814,500
---------------
3,330,300
---------------
CONSUMER STAPLES (0.1%)
1,050 Coca-Cola Company#
Call, 01/17/09, Strike $45.00 672,000
550 Kroger Company#
Call, 01/19/08, Strike $22.50 253,000
260 PepsiCo, Inc.#
Call, 01/19/08, Strike $60.00 213,200
---------------
1,138,200
---------------
ENERGY (0.0%)
130 BJ Services Company#
Call, 01/19/08, Strike $40.00 9,100
210 Nabors Industries, Ltd.#
Call, 01/19/08, Strike $37.50 32,550
85 Petroleo Brasileiro, SA#
Call, 01/19/08, Strike $90.00 147,050
140 Schlumberger, Ltd.#
Call, 01/19/08, Strike $65.00 110,600
See accompanying notes to Schedule of Investments
7
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
------------ ---------------
140 Weatherford International, Ltd.#
Call, 01/19/08, Strike $55.00 $ 18,900
---------------
318,200
---------------
FINANCIALS (0.3%)
580 A.G. Edwards, Inc.#
Call, 01/17/09, Strike $70.00 498,800
950 Bank of America Corp.#
Call, 01/17/09, Strike $50.00 669,750
500 Charles Schwab Corp.#
Call, 01/19/08, Strike $17.50 152,500
20 Chicago Mercantile Exchange
Holdings, Inc.#
Call, 01/19/08, Strike $510.00 203,300
280 E*TRADE Financial Corp.#
Call, 01/19/08, Strike $25.00 89,600
Goldman Sachs Group, Inc.#
150 Call, 01/17/09, Strike $195.00 726,750
70 Call, 01/19/08, Strike $190.00 273,700
140 Lehman Brothers Holdings, Inc.#
Call, 01/19/08, Strike $75.00 202,300
160 Merrill Lynch & Company, Inc.#
Call, 01/19/08, Strike $85.00 237,600
---------------
3,054,300
---------------
HEALTH CARE (0.1%)
90 Allergan, Inc.#
Call, 01/19/08, Strike $110.00 156,600
820 Johnson & Johnson#
Call, 01/17/09, Strike $65.00 668,300
---------------
824,900
---------------
INDUSTRIALS (0.1%)
580 General Dynamics Corp.#
Call, 01/17/09, Strike $75.00 791,700
---------------
INFORMATION TECHNOLOGY (0.5%)
90 Apple Computer, Inc.#
Call, 01/19/08, Strike $90.00 114,300
1,240 Cisco Systems, Inc.#
Call, 01/17/09, Strike $27.50 607,600
335 Hewlett-Packard Company#
Call, 01/19/08, Strike $40.00 237,850
650 Infosys Technologies, Ltd.#
Call, 01/17/09, Strike $55.00 884,000
315 Intuit, Inc.#
Call, 01/19/08, Strike $35.00 76,388
1,600 Microsoft Corp.#
Call, 01/17/09, Strike $30.00 784,000
330 Motorola, Inc.#
Call, 01/19/08, Strike $22.50 45,375
Nokia Corp.#
2,200 Call, 01/19/08, Strike $20.00 792,000
2,200 Call, 01/19/08, Strike $17.50 1,188,000
230 NVIDIA Corp.#
Call, 01/19/08, Strike $40.00 56,350
2,050 Oracle Corp.#
Call, 01/17/09, Strike $17.50 666,250
NUMBER OF
CONTRACTS VALUE
------------ ---------------
90 Sandisk Corp.#
Call, 01/19/08, Strike $65.00 $ 12,825
---------------
5,464,938
---------------
MATERIALS (0.0%)
130 Alcan, Inc.#
Call, 01/19/08, Strike $55.00 62,400
343 Harmony Gold Mining Company, Ltd.#
Call, 01/19/08, Strike $15.00 61,740
90 United States Steel Corp.#
Call, 01/19/08, Strike $70.00 178,650
---------------
302,790
---------------
TELECOMMUNICATION SERVICES (0.1%)
230 America Movil, S.A. de C.V.#
Call, 01/19/08, Strike $40.00 207,000
150 NII Holdings, Inc.#
Call, 01/19/08, Strike $70.00 203,250
---------------
410,250
---------------
TOTAL OPTIONS 15,635,578
---------------
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES
(Cost $101,917,620) 104,239,554
---------------
NUMBER OF
SHARES VALUE
------------ ---------------
CONVERTIBLE PREFERRED STOCKS (25.1%)
CONSUMER DISCRETIONARY (2.0%)
567,800 Ford Motor Company Capital Trust II
6.500% 20,934,786
---------------
CONSUMER STAPLES (0.7%)
6,000 Universal Corp.
6.750% 7,284,000
---------------
ENERGY (1.3%)
55,000 Chesapeake Energy Corp.
6.250% 14,029,125
---------------
FINANCIALS (18.3%)
660,000 Citigroup, Inc. (Genworth Financial,
Inc.) ++&
5.020% 21,714,000
19,000 Fortis Insurance, N.V. (Assurant,
Inc.)*&
7.750% 26,943,900
350,000 Lazard, Ltd.
6.625% 15,263,500
775,000 Lehman Brothers Holdings, Inc.
(General Mills, Inc.)&
6.250% 21,211,750
230,000 Merrill Lynch & Co., Inc. (Nuveen
Investments, Inc.)&
6.750% 10,235,000
1,000,000 Metlife, Inc.
6.375% 31,420,000
570,000 National Australia Bank, Ltd.
7.875% 29,184,000
See accompanying notes to Schedule of Investments
8
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
NUMBER OF
SHARES VALUE
------------ ---------------
35,000 Reinsurance Group of America, Inc.
5.750% $ 2,536,100
16,500 CHF Swiss Re
6.000% 13,682,402
375,000 Washington Mutual, Inc.
5.375% 20,775,000
---------------
192,965,652
---------------
HEALTH CARE (1.5%)
265,000 Schering-Plough Corp.
6.000% 15,608,500
---------------
INDUSTRIALS (0.9%)
2,350,000 GBP BAE Systems, PLC
7.750% 9,099,209
---------------
UTILITIES (0.4%)
80,000 Southern Union Company
5.000% 4,237,200
---------------
TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $236,593,321) 264,158,472
---------------
WARRANTS (0.2%)
CONSUMER DISCRETIONARY (0.2%)
218,180 Expedia, Inc.#
05/07/12, Strike $24.46 572,723
218,180 IAC/InterActiveCorp#
05/07/12, Strike $30.54 1,718,167
---------------
2,290,890
---------------
TOTAL WARRANTS
(Cost $1,814,167) 2,290,890
---------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
SHORT-TERM INVESTMENT (1.7%)
COMMERCIAL PAPER (1.7%)
$ 17,863,000 Citigroup, Inc.
5.210%, 02/01/07
(Cost $17,863,000) 17,863,000
---------------
NUMBER OF
SHARES VALUE
------------ ---------------
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN (12.8%)
134,604,000 Bank of New York Institutional Cash
Reserve Fund
current rate 5.310%
(Cost $134,604,000) 134,604,000
---------------
TOTAL INVESTMENTS (150.9%)
(Cost $1,507,728,564) 1,588,339,665
---------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-12.8%) (134,604,000)
---------------
OTHER ASSETS, LESS LIABILITIES (2.8%) 28,887,666
---------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS
PAYABLE (-40.9%) (430,357,958)
---------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 1,052,265,373
---------------
NOTES TO SCHEDULE OF INVESTMENTS
Note: Value 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 January 31, 2007, the market value
of 144A securities that were not subject to mandatory issuer registration
obligations is $106,586,742 or 10.1% of net assets.
+ Security was purchased on when issued basis.
< Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate or step bond security. The interest rate shown is the rate in
effect at January 31, 2007.
& Securities exchangeable or convertible into securities of an entity
different than the issuer. Such entity is identified in the parenthetical.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
CHF Swiss Franc
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying notes to Schedule of Investments
9
NOTES TO SCHEDULE OF INVESTMENTS
(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 (the "1940 Act") as a diversified,
closed-end management investment company. The Fund commenced operations on May
28, 2003.
The Fund's investment objective is to provide total return through a combination
of capital appreciation and current income. Under normal circumstances, the Fund
will invest at least 80% of its managed assets in a diversified portfolio of
convertible and non-convertible income securities. "Managed assets" means the
Fund's total assets (including any assets attributable to any leverage that may
be outstanding) minus total liabilities (other than debt representing financial
leverage).
PORTFOLIO VALUATION. The valuation of the Fund's portfolio securities is in
accordance with policies and procedures adopted by and under the ultimate
supervision of the Board of Trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option
securities, are valued at the last current reported sales price at the time as
of which the Fund determines its NAV. Securities traded in the over-the-counter
("OTC") market and quoted on The Nasdaq Stock Market are valued at the Nasdaq
Official Closing Price ("NOCP"), as determined by Nasdaq, or lacking a NOCP, the
last current reported sale price on Nasdaq at the time as of which the Fund
determines its NAV.
When a most recent last sale or closing price is not available, portfolio
securities, other than option securities, that are traded on a U.S. securities
exchange and other securities traded in the OTC market are valued at the mean
between the most recent bid and asked quotations in accordance with guidelines
adopted by the Board of Trustees. Each option security traded on a U.S.
securities exchange is valued at the mid-point of the consolidated bid/ask quote
for the option security, also in accordance with guidelines adopted by the Board
of Trustees. Each OTC option that is not traded through the Options Clearing
Corporation is valued by the counterparty to such option. If the pricing
committee determines that the valuation of a security in accordance with the
methods described above is not reflective of a fair value for such security, the
security, including any thinly-traded security, junk bond or synthetic
convertible instrument, is valued at a fair value by the pricing committee,
under the ultimate supervision of the Board of Trustees, following the
guidelines and/or procedures adopted by the Board of Trustees.
Trading in securities on European and Far Eastern securities exchanges and OTC
markets is typically completed at various times before the close of business on
each day on which the NYSE is open. Each security trading on these exchanges or
OTC markets is evaluated utilizing a systematic fair valuation model provided by
an independent pricing service approved by the Board of Trustees. The valuation
of each security that meets certain criteria in relation to the valuation model
is systematically adjusted to reflect the impact of movement in the U.S. market
after the foreign markets close. Securities that do not meet the criteria, or
that are principally traded in other foreign markets, are valued as of the last
current sale price at the time as of which the Fund determines its NAV, or when
reliable market prices or quotations are not readily available, at the mean
between the most recent bid and asked quotations as of the close of the
appropriate exchange or other designated time, in accordance with guidelines
adopted by the Board of Trustees. Trading of foreign securities may not take
place on every NYSE business day. In addition, trading may take place in various
foreign markets on Saturdays or on other days when the NYSE is not open and on
which the Fund's NAV is not calculated. As stated above, if the market prices
are not readily available or are not reflective of a security's fair value, the
security is valued at a fair value by the pricing committee, under the ultimate
10
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
supervision of the Board of Trustees, following the guidelines and/or procedures
adopted by the Board of Trustees.
The Fund also may use fair value pricing, pursuant to Board of Trustees
guidelines and under the ultimate supervision of the Board of Trustees if the
value of a foreign security it holds is materially affected by events occurring
before their pricing time but after the close of the primary market or exchange
on which the security is traded. Those procedures may utilize valuations
furnished by pricing services approved by the Board of Trustees, which may be
based on market transactions for comparable securities and various relationships
between securities that are generally recognized by institutional traders, a
computerized matrix system, or appraisals derived from information concerning
the securities or similar securities received from recognized dealers in those
securities.
When fair value pricing of securities is employed, the prices of securities used
by the Fund to calculate its NAV may differ from market quotations or official
closing prices.
INVESTMENT TRANSACTIONS. Short-term and long-term investment transactions are
recorded on a trade date basis on January 31, 2007.
FOREIGN CURRENCY TRANSLATION. Values of investments and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
using a rate quoted by a major bank or dealer in the particular currency market,
as reported by a recognized quotation dissemination service.
OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option is that the Fund pays a premium whether or not the option
is exercised. Additionally, the Fund bears the risk of loss of premium and
change in 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 purchased
call options is increased by premiums paid. The proceeds from securities sold
through the exercise of purchased 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 written options. 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.
NOTE 2 - INVESTMENTS
The following information is presented on a Federal income tax basis as of
January 31, 2007. Differences between the cost basis under U.S. generally
accepted accounting principles and Federal income tax purposes are primarily due
to timing differences.
11
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
Cost basis of investments $1,516,581,874
--------------
Gross unrealized appreciation 79,469,611
Gross unrealized depreciation (7,711,820)
--------------
Net unrealized appreciation (depreciation) $ 71,757,791
--------------
NOTE 3 - FORWARD FOREIGN CURRENCY CONTRACTS
There were no open forward foreign currency contracts at January 31, 2007.
NOTE 4 - 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",
which may be a convertible or non-convertible security) and the right to acquire
equity securities ("convertible component"). The fixed-income component is
achieved by investing in 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 convertible instruments 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.
NOTE 5 - 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.
NOTE 6 - INTEREST RATE TRANSACTIONS
Swap agreements are stated at fair value. The contracts are marked-to-market
daily based on dealer-supplied valuations and changes in value are recorded as
unrealized appreciation (depreciation).
Details of the interest rate swap agreements outstanding as of January 31, 2007
were as follows:
12
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
Unrealized
Termination Notional Fixed Rate Floating Rate Appreciation
Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation)
------------ ---------------- ------------ ----------- --------------- --------------
Citibank NA October 27, 2007 200,000 3.27% 1month LIBOR 3,037,017
Citibank NA October 27, 2008 100,000 3.65% 1month LIBOR 2,606,279
----------
$5,643,296
==========
NOTE 7 - SECURITIES LENDING
For the three-month period ended January 31, 2007, the Fund loaned 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, the Fund's securities
lending agent monitors, and reports to Calamos Advisors on, the creditworthiness
of the firms to which a Fund lends securities. At January 31, 2007, the Fund had
securities valued at $130,470,039 that were on loan to broker-dealers and banks
and $134,604,000 in cash or cash equivalent collateral.
13
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-Q was recorded,
processed, summarized, and reported timely.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Convertible and High Income Fund
By: /s/ John P. Calamos, Sr.
---------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 28, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Convertible and High Income Fund
By: /s/ John P. Calamos, Sr.
---------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 28, 2007
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 28, 2007