nvq
 

 
 
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:
  John P. Calamos, Sr., President
 
  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, 2008
 
DATE OF REPORTING PERIOD:   January 31, 2008
 
 

 

 

ITEM 1.  SCHEDULE OF INVESTMENTS January 31, 2008 (UNAUDITED)
CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
Corporate Bonds (83.8%)        
       
Consumer Discretionary (20.4%)
        
$ 4,400,000    
Asbury Automotive Group, Inc.
        
       
7.625%, 03/15/17
   $ 3,586,000  
  951,000    
Boyd Gaming Corp.
        
       
7.125%, 02/01/16
     822,615  
  3,806,000    
Cooper Tire & Rubber Company^
        
       
8.000%, 12/15/19
     3,501,520  
       
D.R. Horton, Inc.
        
  3,806,000    
7.875%, 08/15/11
     3,691,820  
  2,379,000    
8.000%, 02/01/09
     2,349,263  
  1,903,000    
9.750%, 09/15/10
     1,867,319  
  4,757,000    
DEX Media, Inc.
        
       
8.000%, 11/15/13
     4,305,085  
  14,604,000    
DIRECTV Financing Company, Inc.
        
       
8.375%, 03/15/13
     15,169,905  
  5,994,000    
EchoStar DBS Corp.
        
       
7.125%, 02/01/16
     6,016,477  
  11,417,000    
Expedia, Inc.
        
       
7.456%, 08/15/18
     11,912,110  
       
Ford Motor Company
        
  7,611,000    
8.625%, 11/01/10
     7,156,829  
  5,946,000    
9.875%, 08/10/11
     5,709,141  
  6,446,000    
GameStop Corp.
        
       
8.000%, 10/01/12
     6,719,955  
       
General Motors Corp.^
        
  6,184,000    
7.200%, 01/15/11
     5,673,820  
  4,567,000    
7.125%, 07/15/13
     3,904,785  
       
Goodyear Tire & Rubber Company
        
  6,660,000    
7.857%, 08/15/11
     6,743,250  
  4,757,000    
7.000%, 03/15/28
     3,734,245  
  3,330,000    
Group 1 Automotive, Inc.^
        
       
8.250%, 08/15/13
     3,146,850  
  6,898,000    
Hanes Brands, Inc.^‡
        
       
8.204%, 12/15/14
     6,277,180  
  8,848,000    
Hasbro, Inc.
        
       
6.600%, 07/15/28
     8,563,625  
  3,330,000    
Idearc, Inc.
        
       
8.000%, 11/15/16
     2,997,000  
  4,757,000    
Interpublic Group of Companies, Inc.^
        
       
7.250%, 08/15/11
     4,566,720  
       
J.C. Penney Company, Inc.
        
  1,903,000    
9.000%, 08/01/12
     2,149,842  
  1,427,000    
7.650%, 08/15/16
     1,526,843  
  2,835,000    
Jarden Corp.^
        
       
7.500%, 05/01/17
     2,438,100  
  3,054,000    
Kellwood Company
        
       
7.625%, 10/15/17
     2,534,820  
  3,330,000    
Liberty Media Corp.^
        
       
8.250%, 02/01/30
     3,035,302  
  3,734,000    
Mandalay Resort Group
        
       
7.625%, 07/15/13
     3,537,965  
  1,427,000    
NCL Holding, ASA
        
       
10.625%, 07/15/14
     1,448,405  
  8,829,000    
Oxford Industries, Inc.
        
       
8.875%, 06/01/11
     8,674,492  
  904,000    
Phillips-Van Heusen Corp.^
        
       
8.125%, 05/01/13
     926,600  
  951,000    
Pinnacle Entertainment, Inc.
        
       
8.250%, 03/15/12
     917,715  
  4,757,000    
Pulte Homes, Inc.
        
       
7.875%, 08/01/11
     4,620,236  
  11,322,000    
Royal Caribbean Cruises, Ltd.
        
       
7.500%, 10/15/27
     10,351,025  
  8,087,000    
Service Corp. International
        
       
7.500%, 04/01/27
     7,278,300  
  6,660,000    
Toll Brothers, Inc.^
        
       
8.250%, 12/01/11
     6,426,900  
  8,182,000    
Vail Resorts, Inc.
        
       
6.750%, 02/15/14
     7,895,630  
  6,660,000    
Warnaco Group, Inc.
        
       
8.875%, 06/15/13
     6,809,850  
       
Warner Music Group
        
  1,903,000  
GBP 8.125%, 04/15/14
     2,743,553  
  714,000    
7.375%, 04/15/14
     560,490  
       
 
      
       
 
     192,291,582  
       
 
      
       
 
        
       
Consumer Staples (11.9%)
        
  5,119,000    
Alliance One International, Inc.
        
       
8.500%, 05/15/12
     4,786,265  
  13,320,000    
Anheuser-Busch Companies, Inc.
        
       
5.000%, 03/01/19
     13,191,196  
  5,233,000    
Chattem, Inc.
        
       
7.000%, 03/01/14
     5,141,422  
  5,946,000    
Chiquita Brands International, Inc.^
        
       
8.875%, 12/01/15
     5,291,940  
  13,320,000    
Coca-Cola Company
        
       
5.350%, 11/15/17
     13,975,144  
  1,751,000    
Constellation Brands, Inc.^
        
       
7.250%, 09/01/16
     1,680,960  
  5,380,000    
Del Monte Food Company
        
       
8.625%, 12/15/12
     5,460,700  
  8,277,000    
Dole Food Company, Inc.
        
       
7.250%, 06/15/10
     7,325,145  
  12,844,000    
Kimberly-Clark Corp.
        
       
6.125%, 08/01/17
     13,829,559  
  4,281,000    
NBTY, Inc.
        
       
7.125%, 10/01/15
     4,002,735  
       
Pilgrim’s Pride Corp.
        
  7,564,000    
8.375%, 05/01/17^
     6,637,410  
  2,426,000    
7.625%, 05/01/15
     2,310,765  
       
Reynolds American, Inc.
        
  6,184,000    
7.300%, 07/15/15
     6,471,123  
  3,806,000    
7.625%, 06/01/16
     4,049,790  
  3,806,000    
7.250%, 06/15/37
     3,846,732  
       
Smithfield Foods, Inc.
        
  9,514,000    
7.750%, 07/01/17^
     9,038,300  
  1,903,000    
7.750%, 05/15/13
     1,874,455  
  3,758,000    
SUPERVALU, Inc.
        
       
7.500%, 11/15/14
     3,828,462  
       
 
      
       
 
     112,742,103  
       
 
      
       
 
        
       
Energy (10.6%)
        
  8,563,000    
Arch Western Finance, LLC
        
       
6.750%, 07/01/13
     8,327,517  
See accompanying notes to Schedule of Investments

1

 

CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal        
Amount       Value
$ 2,664,000    
Bristow Group, Inc.*
        
       
7.500%, 09/15/17
  $ 2,703,960  
       
Chesapeake Energy Corp.
        
  3,806,000    
6.875%, 01/15/16
    3,786,970  
  3,073,000    
6.875%, 11/15/20
    2,980,810  
  1,903,000    
7.750%, 01/15/15
    1,960,090  
  2,379,000    
Complete Production Services, Inc.
        
       
8.000%, 12/15/16
    2,319,525  
  7,181,000    
Dresser-Rand Group, Inc.
        
       
7.375%, 11/01/14
    7,073,285  
  4,757,000    
Forest Oil Corp.
        
       
8.000%, 12/15/11
    4,959,172  
  1,903,000    
GulfMark Offshore, Inc.
        
       
7.750%, 07/15/14
    1,941,060  
  2,783,000    
Mariner Energy, Inc.
        
       
8.000%, 05/15/17
    2,671,680  
  6,565,000    
Petrohawk Energy Corp.
        
       
7.125%, 04/01/12
    6,269,575  
       
Petróleo Brasileiro, SA
        
  7,136,000    
8.375%, 12/10/18
    8,563,200  
  4,757,000    
9.125%, 07/02/13
    5,702,454  
  16,650,000    
Premcor Refining Group, Inc.
        
       
7.500%, 06/15/15
    17,535,231  
  7,231,000    
Superior Energy Services, Inc.
        
       
6.875%, 06/01/14
    7,014,070  
  2,854,000    
Swift Energy Company
        
       
7.625%, 07/15/11
    2,825,460  
  6,184,000    
Whiting Petroleum Corp.
        
       
7.250%, 05/01/12
    6,153,080  
  6,612,000    
Williams Companies, Inc.
        
       
7.750%, 06/15/31
    7,207,080  
       
 
       
       
 
    99,994,219  
       
 
       
       
 
        
       
Financials (4.3%)
        
  10,465,000    
Host Hotels & Resorts, Inc.
        
       
7.125%, 11/01/13
    10,412,675  
       
Leucadia National Corp.
        
  7,873,000    
7.000%, 08/15/13
    7,656,493  
  6,955,000    
8.125%, 09/15/15
    6,955,000  
  6,660,000    
Nuveen Investments, Inc.*
        
       
10.500%, 11/15/15
    6,493,500  
  904,000    
Omega Healthcare Investors, Inc.
        
       
7.000%, 04/01/14
    899,480  
       
Senior Housing Properties Trust
        
  4,757,000    
8.625%, 01/15/12
    5,066,205  
  3,361,000    
7.875%, 04/15/15
    3,518,839  
       
 
       
       
 
    41,002,192  
       
 
       
       
 
        
       
Health Care (4.2%)
        
  13,320,000    
Abbott Laboratories
        
       
5.875%, 05/15/16
    14,226,599  
  1,903,000    
Bio-Rad Laboratories, Inc.
        
       
7.500%, 08/15/13
    1,931,545  
  7,136,000    
Community Health Systems, Inc.
        
       
8.875%, 07/15/15
    7,216,280  
  3,235,000    
DaVita, Inc.
        
       
7.250%, 03/15/15
    3,235,000  
  6,993,000    
Psychiatric Solutions, Inc.
        
       
7.750%, 07/15/15
    6,923,070  
  5,090,000    
Valeant Pharmaceuticals
International
        
       
7.000%, 12/15/11
    4,924,575  
  942,000    
Vanguard Health Systems, Inc.
        
       
9.000%, 10/01/14
    897,255  
       
 
       
       
 
    39,354,324  
       
 
       
       
 
        
       
Industrials (9.7%)
        
  5,708,000    
American Airlines, Inc.
        
       
7.250%, 02/05/09
    5,679,460  
  1,018,000    
Belden CDT, Inc.
        
       
7.000%, 03/15/17
    979,825  
  15,698,000    
Esterline Technologies Corp.^
        
       
7.750%, 06/15/13
    16,011,960  
  951,000    
FTI Consulting, Inc.
        
       
7.625%, 06/15/13
    974,775  
  3,330,000    
Gardner Denver, Inc.
        
       
8.000%, 05/01/13
    3,330,000  
  1,427,000    
GATX Corp.
        
       
8.875%, 06/01/09
    1,505,708  
  13,320,000    
General Electric Company
        
       
5.250%, 12/06/17
    13,462,910  
  1,779,000    
H&E Equipment Service, Inc.
        
       
8.375%, 07/15/16
    1,583,310  
  6,660,000    
Helix Energy Solutions Group,
Inc*^
        
       
9.500%, 01/15/16
    6,793,200  
       
IKON Office Solutions, Inc.
        
  2,379,000    
7.750%, 09/15/15
    2,426,580  
  951,000    
6.750%, 12/01/25
    691,448  
  5,613,000    
Interline Brands, Inc.
        
       
8.125%, 06/15/14
    5,500,740  
  2,721,000    
SPX Corp.*^
        
       
7.625%, 12/15/14
    2,792,426  
       
Terex Corp.
        
  6,660,000    
8.000%, 11/15/17
    6,576,750  
  1,803,000    
7.375%, 01/15/14
    1,789,478  
  2,141,000    
Trinity Industries, Inc.^
        
       
6.500%, 03/15/14
    2,066,065  
  13,320,000    
United Parcel Service, Inc.^
        
       
5.500%, 01/15/18
    13,897,955  
  1,903,000    
WESCO Distribution, Inc.
        
       
7.500%, 10/15/17
    1,731,730  
  3,806,000    
Westinghouse Air Brake
        
       
Technologies Corp.
        
       
6.875%, 07/31/13
    3,748,910  
       
 
       
       
 
    91,543,230  
       
 
       
       
 
        
       
Information Technology (9.9%)
        
       
Amkor Tech., Inc.
        
  5,233,000    
9.250%, 06/01/16^
    4,951,726  
  2,854,000    
7.750%, 05/15/13
    2,565,033  
  2,607,000    
Arrow Electronics, Inc.
        
       
6.875%, 06/01/18
    2,787,605  
  856,000    
Avago Technologies
        
       
11.875%, 12/01/15
    898,800  
       
Celestica, Inc.^
        
  8,087,000    
7.625%, 07/01/13
    7,642,215  
  3,806,000    
7.875%, 07/01/11
    3,710,850  
See accompanying notes to Schedule of Investments

2

 

CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
$ 13,320,000    
Cisco Systems, Inc.
        
       
5.500%, 02/22/16
   $ 13,787,652  
  1,903,000    
Flextronics International, Ltd.
        
       
6.500%, 05/15/13
     1,836,395  
  5,661,000    
Freescale Semiconductor, Inc.^
        
       
8.875%, 12/15/14
     4,627,867  
  1,903,000    
GBP Iron Mountain, Inc.
        
       
7.250%, 04/15/14
     3,604,461  
  4,757,000    
NXP, BV
        
       
7.875%, 10/15/14
     4,382,386  
  13,320,000    
Oracle Corp.
        
       
5.250%, 01/15/16
     13,373,973  
  9,038,000    
SunGard Data Systems, Inc.
        
       
9.125%, 08/15/13
     9,218,760  
  19,504,000    
Xerox Corp.^
        
       
7.625%, 06/15/13
     20,241,836  
       
 
      
       
 
     93,629,559  
       
 
      
       
 
        
       
Materials (6.0%)
        
  4,757,000    
Ball Corp.
        
       
6.875%, 12/15/12
     4,816,462  
  3,806,000    
Boise Cascade Company
        
       
7.125%, 10/15/14
     3,644,245  
  951,000    
Crown Holdings, Inc.
        
       
7.750%, 11/15/15
     972,398  
       
Ineos Group Holdings, PLC*
        
  5,708,000    
EUR 7.875%, 02/15/16
     6,194,838  
  951,000    
8.500%, 02/15/16^
     760,800  
  3,282,000    
Mosaic Company*
        
       
7.625%, 12/01/16
     3,560,970  
  8,563,000    
Neenah Paper, Inc.
        
       
7.375%, 11/15/14
     7,663,885  
  2,379,000    
P.H. Glatfelter Company
        
       
7.125%, 05/01/16
     2,361,157  
  4,757,000    
Sealed Air Corp.*
        
       
6.875%, 07/15/33
     4,564,137  
  9,038,000    
Terra Industries, Inc.
        
       
7.000%, 02/01/17
     8,925,025  
  1,903,000    
Texas Industries, Inc.
        
       
7.250%, 07/15/13
     1,836,395  
       
Union Carbide Corp.
        
  4,614,000    
7.875%, 04/01/23
     4,730,273  
  3,092,000    
7.500%, 06/01/25
     3,035,726  
  3,520,000    
Westlake Chemical Corp.
        
       
6.625%, 01/15/16
     3,220,800  
       
 
      
       
 
     56,287,111  
       
 
      
       
 
        
       
Telecommunication Services (5.9%)
        
  5,708,000    
AT&T Corp.
        
       
9.750%, 11/15/31
     6,889,322  
  5,746,000    
CenturyTel, Inc.
        
       
6.875%, 01/15/28
     5,713,627  
  7,801,000    
Citizens Communications Company
        
       
9.000%, 08/15/31
     7,537,716  
  6,660,000    
Leap Wireless International, Inc.
        
       
9.375%, 11/01/14
     6,093,900  
  6,660,000    
Qwest Communications International, Inc.^
        
       
7.750%, 02/15/31
     5,927,400  
  6,660,000    
Sprint Nextel Corp.
        
       
7.375%, 08/01/15
     6,096,997  
  4,281,000    
Syniverse Technologies, Inc.
        
       
7.750%, 08/15/13
     4,136,516  
  12,844,000    
Verizon Communications, Inc.^
        
       
5.500%, 04/01/17
    13,073,137  
       
 
      
       
 
     55,468,615  
       
 
      
       
 
        
       
Utilities (0.9%)
        
  2,007,000    
Public Service Enterprise Group, Inc.
        
       
8.625%, 02/15/08
     2,008,700  
  6,660,000    
TXU Corp.*
        
       
10.250%, 11/01/15
    6,576,750  
       
 
      
       
 
     8,585,450  
       
 
      
       
TOTAL CORPORATE BONDS
        
       
(Cost $804,015,505)
     790,898,385  
       
 
      
       
 
        
Convertible Bonds (31.5%)        
       
 
        
       
Consumer Discretionary (3.5%)
        
  19,000,000    
Amazon.com, Inc.
        
       
4.750%, 02/01/09
     21,422,500  
  2,320,000    
Liberty Media Corp. (Time Warner)¥
        
       
3.250%, 03/15/31
     1,731,300  
  9,000,000    
Walt Disney Company^
        
       
2.125%, 04/15/23
    9,708,750  
       
 
      
       
 
     32,862,550  
       
 
      
       
 
        
       
Energy (2.0%)
        
  8,000,000    
Pioneer Natural Resources^
        
       
2.875%, 01/15/38
     8,200,000  
  7,000,000    
SeaDrill, Ltd.
        
       
3.625%, 11/08/12
     6,720,000  
  3,620,000    
St. Mary Land & Exploration Company^
        
       
3.500%, 04/01/27
    3,696,925  
       
 
      
       
 
     18,616,925  
       
 
      
       
 
        
       
Financials (1.5%)
        
  14,500,000    
Prudential Financial, Inc.^‡
        
       
2.733%, 12/12/36
    14,256,400  
       
 
      
       
 
        
       
Health Care (5.0%)
        
  8,000,000    
Cubist Pharmaceuticals, Inc.^
        
       
2.250%, 06/15/13
     7,230,000  
  20,000,000    
Invitrogen Corp.
        
       
3.250%, 06/15/25
     22,400,000  
  7,000,000    
Millipore Corp.
        
       
3.750%, 06/01/26
     7,420,000  
  2,570,000    
Molina Healthcare, Inc.^
        
       
3.750%, 10/01/14
     2,711,350  
  7,500,000    
OSI Pharmaceuticals, Inc.
        
       
3.250%, 09/08/23
    7,837,500  
       
 
      
       
 
     47,598,850  
       
 
      
       
 
        
       
Industrials (4.5%)
        
  13,500,000    
L-3 Communications Holdings, Inc.^
        
       
3.000%, 08/01/35
     17,060,625  
  6,400,000    
Lockheed Martin Corp.‡
        
       
4.619%, 08/15/33
     9,600,640  
See accompanying notes to Schedule of Investments

3

 

CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
$ 5,500,000    
Quanta Services, Inc.*
        
       
3.750%, 04/30/26
   $ 6,531,250  
  13,000,000    
Roper Industries, Inc.‡
        
       
1.481%, 01/15/34
    9,181,250  
       
 
      
       
 
     42,373,765  
       
 
      
       
 
        
       
Information Technology (13.2%)
        
  10,000,000    
Blackboard, Inc.
        
       
3.250%, 07/01/27
     9,862,500  
  7,000,000    
Euronet Worldwide, Inc.
        
       
3.500%, 10/15/25
     6,798,750  
  14,000,000    
Informatica Corp.~
        
       
3.000%, 03/15/26
     16,537,500  
  41,000,000    
Intel Corp.^
        
       
2.950%, 12/15/35
     41,000,000  
       
Linear Technology Corp.
        
  18,000,000    
3.000%, 05/01/27*
     16,627,500  
  3,000,000    
3.000%, 05/01/27^
     2,771,250  
  1,360,000    
Seagate Technology
        
       
6.800%, 04/30/10
     1,467,100  
  24,500,000    
VeriSign, Inc.*
        
       
3.250%, 08/15/37
    29,430,625  
       
 
      
       
 
     124,495,225  
       
 
      
       
 
        
       
Utilities (1.8%)
        
  6,500,000    
CenterPoint Energy, Inc.
        
       
3.750%, 05/15/23
     9,351,875  
  4,500,000    
EUR International Power, PLC
        
       
3.250%, 07/20/13
    7,554,662  
       
 
      
       
 
     16,906,537  
       
 
      
       
 
        
       
TOTAL CONVERTIBLE BONDS
        
       
(Cost $285,578,443)
    297,110,252  
       
 
      
       
 
        
Synthetic Convertible Securities (5.0%)        
       
 
        
       
Corporate Bonds (4.3%)
        
       
 
        
       
Consumer Discretionary (1.0%)
        
  225,000    
Asbury Automotive Group, Inc.
        
       
7.625%, 03/15/17
     183,375  
  49,000    
Boyd Gaming Corp.
        
       
7.125%, 02/01/16
     42,385  
  194,000    
Cooper Tire & Rubber Company^
        
       
8.000%, 12/15/19
     178,480  
       
D.R. Horton, Inc.
        
  194,000    
7.875%, 08/15/11
     188,180  
  121,000    
8.000%, 02/01/09
     119,488  
  97,000    
9.750%, 09/15/10
     95,181  
  243,000    
DEX Media, Inc.
        
       
8.000%, 11/15/13
     219,915  
  746,000    
DIRECTV Financing Company, Inc.
        
       
8.375%, 03/15/13
     774,907  
  306,000    
EchoStar DBS Corp.
        
       
7.125%, 02/01/16
     307,148  
  583,000    
Expedia, Inc.
        
       
7.456%, 08/15/18
     608,282  
       
Ford Motor Company
        
  389,000    
8.625%, 11/01/10
     365,787  
  304,000    
9.875%, 08/10/11
     291,890  
  329,000    
GameStop Corp.
        
       
8.000%, 10/01/12
     342,982  
       
General Motors Corp.^
        
  316,000    
7.200%, 01/15/11
     289,930  
  233,000    
7.125%, 07/15/13
     199,215  
       
Goodyear Tire & Rubber Company
        
  340,000    
7.857%, 08/15/11^
     344,250  
  243,000    
7.000%, 03/15/28
     190,755  
  170,000    
Group 1 Automotive, Inc.^
        
       
8.250%, 08/15/13
     160,650  
  352,000    
Hanes Brands, Inc.^ ‡
        
       
8.204%, 12/15/14
     320,320  
  452,000    
Hasbro, Inc.
        
       
6.600%, 07/15/28
     437,473  
  170,000    
Idearc, Inc.
        
       
8.000%, 11/15/16
     153,000  
  243,000    
Interpublic Group of Companies, Inc.^
        
       
7.250%, 08/15/11
     233,280  
       
J.C. Penney Company, Inc.
        
  97,000    
9.000%, 08/01/12
     109,582  
  73,000    
7.650%, 08/15/16
     78,108  
  145,000    
Jarden Corp.^
        
       
7.500%, 05/01/17
     124,700  
  156,000    
Kellwood Company
        
       
7.625%, 10/15/17
     129,480  
  170,000    
Liberty Media Corp.^
        
       
8.250%, 02/01/30
     154,955  
  191,000    
Mandalay Resort Group
        
       
7.625%, 07/15/13
     180,973  
  73,000    
NCL Holding, ASA
        
       
10.625%, 07/15/14
     74,095  
  451,000    
Oxford Industries, Inc.
        
       
8.875%, 06/01/11
     443,107  
  46,000    
Phillips-Van Heusen Corp.^
        
       
8.125%, 05/01/13
     47,150  
  49,000    
Pinnacle Entertainment, Inc.
        
       
8.250%, 03/15/12
     47,285  
  243,000    
Pulte Homes, Inc.
        
       
7.875%, 08/01/11
     236,014  
  578,000    
Royal Caribbean Cruises, Ltd.
        
       
7.500%, 10/15/27
     528,431  
  413,000    
Service Corp. International
        
       
7.500%, 04/01/27
     371,700  
  340,000    
Toll Brothers, Inc.^
        
       
8.250%, 12/01/11
     328,100  
  418,000    
Vail Resorts, Inc.
        
       
6.750%, 02/15/14
     403,370  
  340,000    
Warnaco Group, Inc.
        
       
8.875%, 06/15/13
     347,650  
       
Warner Music Group
        
  97,000    
GBP 8.125%, 04/15/14
     139,845  
  36,000    
7.375%, 04/15/14
     28,260  
       
 
      
       
 
     9,819,678  
       
 
      
       
 
        
       
Consumer Staples (0.6%)
        
  261,000    
Alliance One International, Inc.
        
       
8.500%, 05/15/12
     244,035  
  680,000    
Anheuser-Busch Companies, Inc.
        
       
5.000%, 03/01/19
     673,424  
See accompanying notes to Schedule of Investments

4

 

CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
$ 267,000    
Chattem, Inc.
        
       
7.000%, 03/01/14
   $ 262,328  
  304,000    
Chiquita Brands International, Inc.^
        
       
8.875%, 12/01/15
     270,560  
  680,000    
Coca-Cola Company
        
       
5.350%, 11/15/17
     713,446  
  89,000    
Constellation Brands, Inc.^
        
       
7.250%, 09/01/16
     85,440  
  275,000    
Del Monte Foods Company
        
       
8.625%, 12/15/12
     279,125  
  423,000    
Dole Food Company, Inc.
        
       
7.250%, 06/15/10
     374,355  
  656,000    
Kimberly-Clark Corp.
        
       
6.125%, 08/01/17
     706,337  
  219,000    
NBTY, Inc.
        
       
7.125%, 10/01/15
     204,765  
       
Pilgrim’s Pride Corp.
        
  386,000    
8.375%, 05/01/17^
     338,715  
  124,000    
7.625%, 05/01/15
     118,110  
       
Reynolds American, Inc.
        
  316,000    
7.300%, 07/15/15
     330,672  
  194,000    
7.625%, 06/01/16
     206,426  
  194,000    
7.250%, 06/15/37
     196,076  
       
Smithfield Foods, Inc.
        
  486,000    
7.750%, 07/01/17^
     461,700  
  97,000    
7.750%, 05/15/13
     95,545  
  192,000    
SUPERVALU, Inc.
        
       
7.500%, 11/15/14
     195,600  
       
 
      
       
 
     5,756,659  
       
 
      
       
 
        
       
Energy (0.6%)
        
  437,000    
Arch Western Finance, LLC
        
       
6.750%, 07/01/13
     424,982  
  136,000    
Bristow Group, Inc.*
        
       
7.500%, 09/15/17
     138,040  
       
Chesapeake Energy Corp.
        
  194,000    
6.875%, 01/15/16
     193,030  
  157,000    
6.875%, 11/15/20
     152,290  
  97,000    
7.750%, 01/15/15
     99,910  
  121,000    
Complete Production Services, Inc.
        
       
8.000%, 12/15/16
     117,975  
  367,000    
Dresser-Rand Group, Inc.
        
       
7.375%, 11/01/14
     361,495  
  243,000    
Forest Oil Corp.
        
       
8.000%, 12/15/11
     253,328  
  97,000    
GulfMark Offshore, Inc.
        
       
7.750%, 07/15/14
     98,940  
  142,000    
Mariner Energy, Inc.
        
       
8.000%, 05/15/17
     136,320  
  335,000    
Petrohawk Energy Corp.
        
       
7.125%, 04/01/12
     319,925  
       
Petróleo Brasileiro, SA
        
  364,000    
8.375%, 12/10/18
     436,800  
  243,000    
9.125%, 07/02/13
     291,296  
  850,000    
Premcor Refining Group, Inc.
        
       
7.500%, 06/15/15
     895,192  
  369,000    
Superior Energy Services, Inc.
        
       
6.875%, 06/01/14
     357,930  
  146,000    
Swift Energy Company
        
       
7.625%, 07/15/11
     144,540  
  316,000    
Whiting Petroleum Corp.
        
       
7.250%, 05/01/12
     314,420  
  338,000    
Williams Companies, Inc.
        
       
7.750%, 06/15/31
     368,420  
       
 
      
       
 
     5,104,833  
       
 
      
       
 
        
       
Financials (0.2%)
        
  535,000    
Host Hotels & Resorts, Inc.
        
       
7.125%, 11/01/13
     532,325  
       
Leucadia National Corp.
        
  402,000    
7.000%, 08/15/13
     390,945  
  355,000    
8.125%, 09/15/15
     355,000  
  340,000    
Nuveen Investments, Inc.*
        
       
10.500%, 11/15/15
     331,500  
  46,000    
Omega Healthcare Investors, Inc.
        
       
7.000%, 04/01/14
     45,770  
       
Senior Housing Properties Trust
        
  243,000    
8.625%, 01/15/12
     258,795  
  172,000    
7.875%, 04/15/15
     180,077  
       
 
      
       
 
     2,094,412  
       
 
      
       
 
        
       
Health Care (0.2%)
        
  680,000    
Abbott Laboratories
        
       
5.875%, 05/15/16
     726,283  
  97,000    
Bio-Rad Laboratories, Inc.
        
       
7.500%, 08/15/13
     98,455  
  364,000    
Community Health Systems, Inc.
        
       
8.875%, 07/15/15
     368,095  
  165,000    
DaVita, Inc.
        
       
7.250%, 03/15/15
     165,000  
  357,000    
Psychiatric Solutions, Inc.
        
       
7.750%, 07/15/15
     353,430  
  260,000    
Valeant Pharmaceuticals International
        
       
7.000%, 12/15/11
     251,550  
  48,000    
Vanguard Health Systems, Inc.
        
       
9.000%, 10/01/14
     45,720  
       
 
      
       
 
     2,008,533  
       
 
      
       
 
        
       
Industrials (0.5%)
        
  292,000    
American Airlines, Inc.
        
       
7.250%, 02/05/09
     290,540  
  52,000    
Belden CDT, Inc.
        
       
7.000%, 03/15/17
     50,050  
  802,000    
Esterline Technologies Corp.^
        
       
7.750%, 06/15/13
     818,040  
  49,000    
FTI Consulting, Inc.
        
       
7.625%, 06/15/13
     50,225  
  170,000    
Gardner Denver, Inc.
        
       
8.000%, 05/01/13
     170,000  
  73,000    
GATX Corp.
        
       
8.875%, 06/01/09
     77,026  
  680,000    
General Electric Company
        
       
5.250%, 12/06/17
     687,296  
See accompanying notes to Schedule of Investments

5

 

CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
 
$ 91,000    
H&E Equipment Service, Inc.
        
       
8.375%, 07/15/16
   $ 80,990  
  340,000    
Helix Energy Solutions Group, Inc*^
        
       
9.500%, 01/15/16
     346,800  
       
IKON Office Solutions, Inc.
        
  121,000    
7.750%, 09/15/15
     123,420  
  49,000    
6.750%, 12/01/25
     35,627  
  287,000    
Interline Brands, Inc.
        
       
8.125%, 06/15/14
     281,260  
  139,000    
SPX Corp.^*
        
       
7.625%, 12/15/14
     142,649  
       
Terex Corp.
        
  340,000    
8.000%, 11/15/17
     335,750  
  92,000    
7.375%, 01/15/14
     91,310  
  109,000    
Trinity Industries, Inc.^
        
       
6.500%, 03/15/14
     105,185  
  680,000    
United Parcel Service, Inc.^
        
       
5.500%, 01/15/18
     709,505  
  97,000    
WESCO Distribution, Inc.
        
       
7.500%, 10/15/17
     88,270  
  194,000    
Westinghouse Air Brake Technologies Corp.
        
       
6.875%, 07/31/13
     191,090  
       
 
      
       
 
     4,675,033  
       
 
      
       
 
        
       
Information Technology (0.5%)
        
       
Amkor Tech, Inc.
        
  267,000    
9.250%, 06/01/16^
     252,649  
  146,000    
7.750%, 05/15/13
     131,218  
  133,000    
Arrow Electronics, Inc.
        
       
6.875%, 06/01/18
     142,214  
  44,000    
Avago Technologies
        
       
11.875%, 12/01/15
     46,200  
       
Celestica, Inc.^
        
  413,000    
7.625%, 07/01/13
     390,285  
  194,000    
7.875%, 07/01/11
     189,150  
  680,000    
Cisco Systems, Inc.
        
       
5.500%, 02/22/16
     703,874  
  97,000    
Flextronics International, Ltd.
        
       
6.500%, 05/15/13
     93,605  
  289,000    
Freescale Semiconductor, Inc.^
        
       
8.875%, 12/15/14
     236,257  
  97,000    
GBP Iron Mountain, Inc.
        
       
7.250%, 04/15/14
     183,727  
  243,000    
NXP, BV
        
       
7.875%, 10/15/14
     223,864  
  680,000    
Oracle Corp.
        
       
5.250%, 01/15/16
     682,755  
  462,000    
SunGard Data Systems, Inc.
        
       
9.125%, 08/15/13
     471,240  
  996,000    
Xerox Corp.
        
       
7.625%, 06/15/13
     1,033,679  
       
 
      
       
 
     4,780,717  
       
 
      
       
 
        
       
Materials (0.3%)
        
  243,000    
Ball Corp.
        
       
6.875%, 12/15/12
     246,037  
  194,000    
Boise Cascade Company
        
       
7.125%, 10/15/14
     185,755  
  49,000    
Crown Holdings, Inc.
        
       
7.750%, 11/15/15
     50,103  
       
Ineos Group Holdings, PLC*
        
  292,000    
EUR 7.875%, 02/15/16
     316,905  
  49,000    
8.500%, 02/15/16^
     39,200  
  168,000    
Mosaic Company*
        
       
7.625%, 12/01/16
     182,280  
  437,000    
Neenah Paper, Inc.
        
       
7.375%, 11/15/14
     391,115  
  121,000    
P.H. Glatfelter Company
        
       
7.125%, 05/01/16
     120,093  
  243,000    
Sealed Air Corp.*
        
       
6.875%, 07/15/33
     233,148  
  462,000    
Terra Industries, Inc.
        
       
7.000%, 02/01/17
     456,225  
  97,000    
Texas Industries, Inc.
        
       
7.250%, 07/15/13
     93,605  
       
Union Carbide Corp.
        
  236,000    
7.875%, 04/01/23
     241,947  
  158,000    
7.500%, 06/01/25
     155,124  
  180,000    
Westlake Chemical Corp.
        
       
6.625%, 01/15/16
     164,700  
       
 
      
       
 
     2,876,237  
       
 
      
       
 
        
       
Telecommunication Services (0.3%)
        
  292,000    
AT&T Corp.
        
       
9.750%, 11/15/31
     352,432  
  294,000    
CenturyTel, Inc.
        
       
6.875%, 01/15/28
     292,343  
  399,000    
Citizens Communications Company
        
       
9.000%, 08/15/31
     385,534  
  340,000    
Leap Wireless International, Inc.
        
       
9.375%, 11/01/14
     311,100  
  340,000    
Qwest Communications International, Inc.^
        
       
7.750%, 02/15/31
     302,600  
  340,000    
Sprint Nextel Corp.
        
       
7.375%, 08/01/15
     311,258  
  219,000    
Syniverse Technologies, Inc.
        
       
7.750%, 08/15/13
     211,609  
  656,000    
Verizon Communications, Inc.
        
       
5.500%, 04/01/17
     667,703  
       
 
      
       
 
     2,834,579  
       
 
      
       
 
        
       
Utilities (0.1%)
        
  103,000    
Public Service Enterprise Group, Inc.
        
       
8.625%, 02/15/08
     103,087  
  340,000    
TXU Corp.*
        
       
10.250%, 11/01/15
     335,750  
       
 
      
       
 
     438,837  
       
 
      
       
 
        
       
Total Corporate Bonds
     40,389,518  
       
 
      
See accompanying notes to Schedule of Investments

6

 

CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Number of            
Contracts         Value  
 
       
Options (0.7%)
        
       
 
        
       
Consumer Discretionary (0.1%)
        
  820    
Nike, Inc.#
        
       
Call, 01/17/09, Strike $55.00
   $ 873,300  
  900    
Omnicom Group, Inc.#
        
       
Call, 01/17/09, Strike $50.00
    279,000  
       
 
      
       
 
     1,152,300  
       
 
      
       
 
        
       
Consumer Staples (0.1%)
        
  1,060    
Coca-Cola Company#
        
       
Call, 01/17/09, Strike $60.00
    492,900  
       
 
      
       
 
        
       
Energy (0.0%)
        
  90    
Schlumberger NV (Schlumberger, Ltd.)#
        
       
Call, 01/17/09, Strike $90.00
     58,950  
       
 
      
       
 
        
       
Health Care (0.1%)
        
  350    
Alcon, Inc.#
        
       
Call, 01/17/09, Strike $140.00
     649,250  
  650    
Express Scripts, Inc.#
        
       
Call, 01/17/09, Strike $65.00
    750,750  
       
 
      
       
 
     1,400,000  
       
 
      
       
 
        
       
Industrials (0.1%)
        
  530    
General Dynamics Corp.#
        
       
Call, 01/17/09, Strike $90.00
     397,500  
  720    
Honeywell International, Inc.#
        
       
Call, 01/17/09, Strike $55.00
    637,200  
       
 
      
       
 
     1,034,700  
       
 
      
       
 
        
       
Information Technology (0.3%)
        
  200    
Apple, Inc.#
        
       
Call, 01/17/09, Strike $190.00
     194,500  
  1,240    
Cisco Systems, Inc.#
        
       
Call, 01/17/09, Strike $27.50
     269,700  
  60    
Google, Inc.#
        
       
Call, 01/17/09, Strike $710.00
     214,500  
  235    
Hewlett-Packard Company#
        
       
Call, 01/17/09, Strike $45.00
     129,250  
  1,190    
Microsoft Corp.#
        
       
Call, 01/17/09, Strike $35.00
     276,675  
  3,180    
Nokia Corp.#
        
       
Call, 01/17/09, Strike $40.00
     1,272,000  
  2,260    
Oracle Corp.#
        
       
Call, 01/17/09, Strike $22.50
    514,150  
       
 
      
       
 
     2,870,775  
       
 
      
       
 
        
       
Telecommunication Services (0.0%)
        
  130    
America Movil, S.A. de C.V.#
        
       
Call, 01/17/09, Strike $60.00
    119,600  
       
 
      
       
 
        
       
Total Options
     7,129,225  
       
 
      
       
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
        
       
(Cost $52,415,410)
     47,518,743  
       
 
      
                 
Number of            
Shares         Value  
 
Convertible Preferred Stocks (22.8%)
       
 
        
       
Consumer Discretionary (0.8%)
        
  8,500    
Stanley Works~‡
        
       
6.530%
     7,723,313  
       
 
      
       
 
        
       
Consumer Staples (0.9%)
        
  7,500    
Bunge, Ltd.
        
       
5.125%
     8,231,250  
       
 
      
       
 
        
       
Energy (0.7%)
        
  7,500    
Credit Suisse (Transocean, Inc.)*¹Y
        
       
12.000%
     6,284,646  
       
 
      
       
 
        
       
Financials (5.4%)
        
  137,300    
Citigroup, Inc.
        
       
6.500%
     7,465,687  
  1,250,000    
MetLife, Inc.~
        
       
6.375%
     36,412,500  
  35,000    
Reinsurance Group of America, Inc.~
        
       
5.750%
     2,607,500  
  257,600    
XL Capital, Ltd.
        
       
7.000%
     4,415,264  
       
 
      
       
 
     50,900,951  
       
 
      
       
 
        
       
Health Care (3.0%)
        
  150,000    
Schering-Plough Corp.~
        
       
6.000%
     28,738,500  
       
 
      
       
Information Technology (2.8%)
        
  325,000    
Goldman Sachs (Oracle Corp.)*¹Y
       
       
12.000%
     6,613,100  
  181,400    
JPMorgan Chase and Company (Nokia Corp.)*¹Y
       
       
12.000%
     6,670,459  
  275,000    
Morgan Stanley (Cisco Systems, Inc.)*¹Y
       
       
12.000%
     6,584,875  
  166,000    
Morgan Stanley (Infosys Technologies, Ltd.)*¹Y
       
       
12.000%
     6,683,990  
       
 
      
       
 
     26,552,424  
       
 
      
       
 
        
       
Materials (7.7%)
        
  9,250    
EUR Bayer, AG
        
       
6.625%
     20,297,905  
  210,000    
Cia Vale do Rio Doce
        
       
5.500%
     12,705,000  
  182,500    
Freeport-McMoRan Copper & Gold, Inc.~
        
       
6.750%
     24,236,000  
  17,500    
CHF Givaudan SA
        
       
5.375%
     15,513,093  
       
 
      
       
 
     72,751,998  
       
 
      
       
 
        
       
Utilities (1.5%)
        
  155,000    
Entergy Corp.~
        
       
7.625%
     9,920,000  
See accompanying notes to Schedule of Investments

7

 

CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Number of            
Shares         Value  
 
  80,000    
Southern Union Company
        
       
5.000%
   $ 3,949,600  
       
 
      
       
 
     13,869,600  
       
 
      
       
TOTAL CONVERTIBLE PREFERRED STOCKS
        
       
(Cost $235,270,054)
     215,052,682  
       
 
      
                 
Principal            
Amount         Value  
 
Investment in Affiliated Fund (2.7%)        
$ 25,773,659    
Calamos Government Money Market Fund — Class I SharesW
       
       
(Cost $25,773,659)
     25,773,659  
       
 
      
                 
Number of            
Shares         Value  
 
Investments of Cash Collateral for Securities on Loan (10.4%)        
  48,067,000    
Bank of New York Institutional Cash Reserve Fund
     48,067,000  
  50,000,000    
Goldman Sachs Financial Square Prime Obligations Fund
     50,000,000  
       
 
      
       
TOTAL INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN
        
       
(Cost $98,067,000)
     98,067,000  
       
 
      
TOTAL INVESTMENTS (156.2%)        
(Cost $1,501,120,071)     1,474,420,721  
       
 
      
       
 
        
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-10.4%)     (98,067,000 )
       
 
      
       
 
        
LIABILITIES, LESS OTHER ASSETS (-0.2%)     (1,867,893 )
       
 
      
       
 
        
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-45.6%)     (430,344,860 )
       
 
      
       
 
        
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)   $ 944,140,968  
       
 
      
                 
Number of            
Contracts         Value  
 
Written Options (-0.2%)        
       
Financials (-0.2%)
        
       
S & P500 Index#
        
  120    
Call, 06/21/08, Strike $1,390.00
     (887,400 )
  120    
Call, 04/19/08, Strike $1,400.00
     (594,600 )
  60    
Call, 06/21/08, Strike $1,425.00
     (334,500 )
  50    
Call, 04/19/08, Strike $1,425.00
     (186,750 )
  50    
Call, 03/22/08, Strike $1,420.00
     (138,250 )
  175    
SPDR Trust Series 1#
        
       
Call, 06/21/08, Strike $141.00
     (106,750 )
       
 
      
       
 
        
       
TOTAL WRITTEN OPTIONS
        
       
(Premium $2,608,426)
     (2,248,250 )
       
 
      
 
NOTES TO SCHEDULE OF INVESTMENTS
Note: Value for Securities denominated in foreign currencies are shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date shown on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
 
*   Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted or excepted from such registration requirements. At January 31, 2008, the value of 144A securities that could not be exchanged to the registered form is $104,774,548 or 11.1% of net assets.
 
^   Security, or portion of security, is on loan.
 
#   Non-income producing security.
 
‡   Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2008.
 
~   Security, or portion of security, is held in a segregated account as collateral for written options aggregating a total market value of $66,452,513.
 
¹   Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
¥   Securities exchangeable or convertible into securities of one or more entities that is different than the issuer. Each entity is identified in the parenthetical.
 
Y   The security of the financial institution is linked to, and may be exchangeable or convertible to, the equity security shown in the parenthetical.
 
W   Investment in an affiliated fund. During the period from November 1, 2007, through January 31, 2008, the fund had net redemptions of $44,010,037, and received $468,645 in dividend payments from the affiliated fund, As of October 31, 2007, the fund had holdings of $69,783,696 of the affiliated fund.
FOREIGN CURRENCY ABBREVIATIONS
     
CHF
  Swiss Franc
EUR
  European Monetary Unit
GBP
  British Pound Sterling
See accompanying notes to Schedule of Investments

8

 

INTEREST RATE SWAPS - (unaudited)
                                         
                                    Unrealized  
                                    Appreciation/  
SWAP Counterparty   Payments Made by the Fund     Payments Received by the Fund     Termination Date     Notional Amount (USD)     (Depreciation)  
 
Citibank, N.A.
   3.65% monthly   1 month LIBOR     10/27/2008       100,000,000     $ (553,147 )
 
                                      
 
                                   $ (553,147 )
 
                                      

 

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 invests 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 a Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time as of which a 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 over-the-counter 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 over-the-counter option that is not traded through the Options Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Trading in securities on European and Far Eastern securities exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or over-the-counter markets 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.
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, below investment grade 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.

 

 

The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if 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 a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
Investment Transactions. Short-term and long-term investment transactions are recorded on a trade date basis on January 31, 2008.
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 call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When a 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, 2008. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to timing differences.

 

 

The cost basis of investments for federal income tax purposes at January 31, 2008 was as follows:
         
Cost basis of investments
   $ 1,508,650,415  
 
      
Gross unrealized appreciation
     24,021,148  
Gross unrealized depreciation
     (58,250,842 )
 
      
Net unrealized appreciation (depreciation)
   $ (34,229,694 )
 
      
NOTE 3 — FORWARD FOREIGN CURRENCY CONTRACTS
There were no open forward currency contracts at January 31, 2008.
NOTE 4 — 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 series M, 3,000 shares of series TU, 3,000 shares of series W, 3,000 shares of series TH, 3,000 shares of series F, 2,200 shares of series A. The Preferred Shares have a liquidation value of $25,000 per share plus any accumulated but unpaid dividends, whether or not declared.
NOTE 5 — 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, 2008 were as follows:
                                         
    Fixed Rate     Floating Rate             Notional     Unrealized  
    (Fund     (Fund     Termination     Amount     Appreciation/  
Counterparty   Pays)     Receives)     Date     (USD)     (Depreciation)  
Citibank, N.A.
   3.65% monthly   1 month LIBOR     10/27/2008     $ 100,000,000     $ (553,147 )
 
                                      
NOTE 6 — SYNTHETIC CONVERTIBLE INSTRUMENTS
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 also purchase synthetic securities created by other parties, typically investment banks, including convertible structured notes. Convertible structured notes are fixed-income debentures linked to equity. Convertible structured notes have the attributes of a convertible security; however, the investment bank that issued the convertible note assumes the credit risk associated with the investment, rather than the issuer of the underlying common stock into which the note is convertible. Purchasing synthetic convertible securities may offer more flexibility than purchasing a convertible security.

 

 

NOTE 7 — SECURITIES LENDING
For the period ended January 31, 2008, the Fund may loan one or more 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 receive an additional return that may be in the form of a fixed fee or a percentage of the income earned on 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 less 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 their rights. In an effort to reduce these risks, the Fund’s securities lending agent monitors and reports to Calamos Advisors LLC on the creditworthiness of the firms to which a Fund lends securities. At January 31, 2008, the Fund had securities valued at $95,324,489 that were on loan to broker-dealers and banks and $98,111,536 in cash or cash equivalent collateral.
NOTE 8 — STRUCTURED EQUITY-LINKED SECURITIES
The Fund may also invest in structured equity-linked securities created by third parties, typically investment banks. Structured equity-linked securities created by such parties may be designed to simulate the characteristics of traditional convertible securities or may be designed to alter or emphasize a particular feature. Traditional convertible securities typically offer stable cash flows with the ability to participate in capital appreciation of the underlying common stock. Because traditional convertible securities are exercisable at the option of the holder, the holder is protected against downside risk. Structured equity-linked securities may alter these characteristics by offering enhanced yields in exchange for reduced capital appreciation or less downside protection, or any combination of these features. Structured equity-linked instruments may include structured notes, equity-linked notes, mandatory convertibles and combinations of securities and instruments, such as a debt instrument combined with a forward contract.

 

 

ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.
b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.

 

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Convertible and High Income Fund
         
By:
  /s/ John P. Calamos, Sr. 
 
     
Name: John P. Calamos, Sr.    
Title: Principal Executive Officer    
Date: March 24, 2008    
 
        
By:
  /s/ Nimish S. Bhatt 
 
     
Name: Nimish S. Bhatt    
Title: Principal Financial Officer    
Date: March 24, 2008    
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Calamos Convertible and High Income Fund
         
By:
  /s/ John P. Calamos, Sr. 
 
     
Name: John P. Calamos, Sr.    
Title: Principal Executive Officer    
Date: March 24, 2008    
 
        
By:
  /s/ Nimish S. Bhatt 
 
     
Name: Nimish S. Bhatt    
Title: Principal Financial Officer    
Date: March 24, 2008