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, 2006
DATE OF REPORTING PERIOD: July 31, 2006
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
ITEM 1. SCHEDULE OF INVESTMENTS July 31, 2006 (UNAUDITED)
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
CORPORATE BONDS (83.5%)
CONSUMER DISCRETIONARY (21.2%)
$ 2,853,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 $ 2,888,663
Beazer Homes USA, Inc.
9,510,000 8.375%, 04/15/12 9,367,350
6,657,000 8.125%, 06/15/16*@ 6,357,435
4,755,000 Broder Bros. Co.
11.250%, 10/15/10 4,445,925
4,755,000 DEX Media, Inc.
8.000%, 11/15/13 4,778,775
4,755,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 5,004,637
5,991,000 EchoStar Communications Corp.*
7.125%, 02/01/16 5,916,112
1,783,000 EchoStar DBS Corporation
6.625%, 10/01/14 1,725,053
11,517,000 GBP EMI Group, PLC
9.750%, 05/20/08 23,019,715
6,443,000 GameStop Corp.@
8.000%, 10/01/12 6,571,860
3,804,000 General Motors Acceptance
Corporation
6.875%, 09/15/11 3,687,282
4,565,000 General Motors Corp.@
7.125%, 07/15/13 3,903,075
Goodyear Tire & Rubber Company
6,657,000 7.857%, 08/15/11@ 6,191,010
4,755,000 7.000%, 03/15/28 3,792,113
3,328,000 Group 1 Automotive, Inc.
8.250%, 08/15/13 3,369,600
8,844,000 Hasbro, Inc.
6.600%, 07/15/28 8,492,778
Hovnanian Enterprises, Inc.
7,608,000 8.625%, 01/15/17@ 7,455,840
903,000 7.750%, 05/15/13 814,958
3,804,000 IMAX Corp.@
9.625%, 12/01/10 3,994,200
4,755,000 Interpublic Group of Companies, Inc.
7.250%, 08/15/11 4,338,937
4,755,000 Intrawest Corp.
7.500%, 10/15/13 4,760,944
J.C. Penney Company, Inc.
1,902,000 9.000%, 08/01/12 2,197,637
1,426,000 7.650%, 08/15/16@ 1,568,081
4,279,000 Jarden Corp.@
9.750%, 05/01/12 4,471,555
3,053,000 Kellwood Company
7.625%, 10/15/17 2,803,466
4,755,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 4,434,037
6,657,000 Linens 'n Things, Inc.*@++
11.132%, 01/15/14 6,207,652
3,732,000 Mandalay Resort Group@
7.625%, 07/15/13 3,694,680
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 1,426,000 NCL Holding, ASA
10.625%, 07/15/14 $ 1,397,480
11,248,000 Oxford Industries, Inc.
8.875%, 06/01/11 11,360,480
903,000 Phillips-Van Heusen Corp.@
8.125%, 05/01/13 930,090
951,000 Pinnacle Entertainment, Inc.
8.250%, 03/15/12 953,378
2,853,000 Rent-A-Center, Inc.
7.500%, 05/01/10 2,831,603
3,566,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 3,263,125
4,279,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 3,979,542
11,316,000 Royal Caribbean Cruises, Ltd.@
7.500%, 10/15/27 10,930,928
856,000 Station Casinos, Inc.
6.875%, 03/01/16 791,800
8,178,000 Vail Resorts, Inc.
6.750%, 02/15/14 7,809,990
6,657,000 Warnaco Group, Inc.@
8.875%, 06/15/13 6,831,746
Warner Music Group
1,902,000 GBP 8.125%, 04/15/14 3,659,523
1,902,000 7.375%, 04/15/14@ 1,844,940
WCI Communities, Inc.@
6,181,000 7.875%, 10/01/13 5,346,565
2,853,000 6.625%, 03/15/15 2,296,665
475,000 William Lyon Homes, Inc.
10.750%, 04/01/13 439,375
856,000 Wynn Las Vegas, LLC@
6.625%, 12/01/14 811,060
------------
211,731,660
------------
CONSUMER STAPLES (6.9%)
1,902,000 Central Garden & Pet Company
9.125%, 02/01/13 1,963,815
5,230,000 Chattem, Inc.
7.000%, 03/01/14 5,060,025
4,279,000 Chiquita Brands International, Inc.@
7.500%, 11/01/14 3,658,545
5,378,000 Del Monte Foods Company
8.625%, 12/15/12 5,606,565
Dole Food Company, Inc.
5,509,000 8.875%, 03/15/11@ 5,178,460
4,241,000 8.625%, 05/01/09 4,071,360
2,148,000 Gold Kist, Inc.
10.250%, 03/15/14 2,266,140
12,838,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 12,051,672
4,279,000 NBTY, Inc.
7.125%, 10/01/15 4,043,655
3,804,000 Pinnacle Foods Holding@
8.250%, 12/01/13 3,746,940
6,086,000 Playtex Products, Inc.
8.000%, 03/01/11 6,337,047
6,181,000 Reynolds American, Inc.*
7.300%, 07/15/15 6,215,954
See accompanying Notes to Schedule of Investments
1
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 1,902,000 Smithfield Foods, Inc.@
7.750%, 05/15/13 $ 1,906,755
4,897,000 Spectrum Brands, Inc.@
8.500%, 10/01/13 3,929,843
2,901,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 3,187,474
------------
69,224,250
------------
ENERGY (10.1%)
8,559,000 Arch Western Finance, LLC
6.750%, 07/01/13 8,195,242
Chesapeake Energy Corp.
3,804,000 6.875%, 01/15/16 3,689,880
1,902,000 7.750%, 01/15/15 1,925,775
3,756,000 Comstock Resources, Inc.
6.875%, 03/01/12 3,549,420
856,000 Energy Partners, Ltd.
8.750%, 08/01/10 836,740
4,755,000 Forest Oil Corp.
8.000%, 12/15/11 4,909,538
Giant Industries, Inc.
5,706,000 8.000%, 05/15/14 5,706,000
1,902,000 11.000%, 05/15/12 2,063,670
10,793,000 Houston Exploration Company
7.000%, 06/15/13 10,631,105
6,562,000 KCS Energy, Inc.
7.125%, 04/01/12 6,299,520
4,398,000 Paramount Resources, Ltd.
8.500%, 01/31/13 4,557,428
Petroleo Brasileiro, SA
7,132,000 8.375%, 12/10/18 8,085,905
4,755,000 9.125%, 07/02/13 5,515,800
16,642,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 17,311,391
1,902,000 Superior Energy Services, Inc.*
6.875%, 06/01/14 1,854,450
2,853,000 Swift Energy Company
7.625%, 07/15/11 2,867,265
6,181,000 Whiting Petroleum Corp.
7.250%, 05/01/12 6,165,548
6,609,000 Williams Companies, Inc.@
7.750%, 06/15/31 6,526,387
------------
100,691,064
------------
FINANCIALS (4.8%)
E*TRADE Financial Corporation
7,227,000 7.375%, 09/15/13 7,281,202
5,492,000 7.875%, 12/01/15 5,697,950
1,331,000 8.000%, 06/15/11 1,374,258
Host Marriott Corp.
10,460,000 7.125%, 11/01/13@ 10,525,375
1,997,000 9.250%, 10/01/07 2,071,887
11,673,000 Leucadia National Corp.
7.000%, 08/15/13 11,497,905
903,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 873,653
Senior Housing Properties Trust
4,755,000 8.625%, 01/15/12 5,016,525
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 3,360,000 7.875%, 04/15/15 $ 3,410,400
------------
47,749,155
------------
HEALTH CARE (6.5%)
15,477,000 Ameripath, Inc.@
10.500%, 04/01/13 16,366,927
4,755,000 Angiotech Pharmaceuticals, Inc.*
7.750%, 04/01/14 4,624,238
13,884,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 14,274,626
1,902,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 1,921,020
2,140,000 Biovail Corp.
7.875%, 04/01/10 2,182,800
856,000 DaVita, Inc.@
7.250%, 03/15/15 822,830
666,000 Omnicare, Inc.@
6.875%, 12/15/15 646,020
4,137,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 4,033,575
9,605,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 8,884,625
5,088,000 Valeant Pharmaceuticals
International
7.000%, 12/15/11 4,859,040
6,657,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 6,473,933
------------
65,089,634
------------
INDUSTRIALS (12.8%)
2,615,000 Accuride Corp.
8.500%, 02/01/15 2,445,025
5,706,000 American Airlines, Inc.
7.250%, 02/05/09 5,755,927
2,377,000 Armor Holdings, Inc.@
8.250%, 08/15/13 2,495,850
2,853,000 BE Aerospace, Inc.@
8.875%, 05/01/11 2,988,517
15,215,000 CNH Global, NV
9.250%, 08/01/11 16,108,881
1,426,000 Columbus McKinnon Corp.
8.875%, 11/01/13 1,461,650
15,691,000 Esterline Technologies Corp.@
7.750%, 06/15/13 15,926,365
951,000 FTI Consulting, Inc.
7.625%, 06/15/13 965,265
3,328,000 Gardner Denver, Inc.
8.000%, 05/01/13 3,494,400
1,426,000 GATX Corp.
8.875%, 06/01/09 1,530,780
5,582,000 General Cable Corp.
9.500%, 11/15/10 5,972,740
3,328,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 3,398,720
1,778,000 H&E Equipment Service, Inc.*Y
5.375%, 07/15/16 1,798,003
637,000 Hexcel Corporation
6.750%, 02/01/15 613,113
5,611,000 Interline Brands, Inc.
8.125%, 06/15/14 5,681,137
See accompanying Notes to Schedule of Investments
2
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
JLG Industries, Inc.
$ 7,227,000 8.250%, 05/01/08 $ 7,624,485
3,328,000 8.375%, 06/15/12@ 3,544,320
4,133,000 Manitowoc Company, Inc.
10.500%, 08/01/12 4,484,305
8,033,000 Mobile Mini, Inc.
9.500%, 07/01/13 8,635,475
4,755,000 Monitronics International, Inc.@
11.750%, 09/01/10 4,701,506
4,897,000 Orbital Sciences Corp.
9.000%, 07/15/11 5,190,820
Sequa Corp.
6,657,000 8.875%, 04/01/08 6,964,886
1,902,000 9.000%, 08/01/09 2,011,365
Terex Corp.
2,615,000 9.250%, 07/15/11 2,784,975
1,802,000 7.375%, 01/15/14 1,797,495
2,140,000 Trinity Industries, Inc.
6.500%, 03/15/14 2,086,500
1,902,000 Wesco Distribution, Inc.
7.500%, 10/15/17 1,897,245
3,804,000 Westinghouse Air Brake
Technologies Corporation
6.875%, 07/31/13 3,765,960
2,377,000 Williams Scotsman
International, Inc.
8.500%, 10/01/15 2,394,828
------------
128,520,538
------------
INFORMATION TECHNOLOGY (6.7%)
6,442,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 6,482,263
856,000 Anixter International, Inc.
5.950%, 03/01/15 793,940
2,606,000 Arrow Electronics, Inc.
6.875%, 06/01/18 2,593,176
856,000 Avago Technologies*@
11.875%, 12/01/15 928,760
Celestica, Inc.@
8,083,000 7.625%, 07/01/13 7,921,340
3,804,000 7.875%, 07/01/11 3,784,980
1,902,000 Flextronics International, Ltd.@
6.500%, 05/15/13 1,854,450
4,755,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 4,873,875
1,902,000 GBP Iron Mountain, Inc.*
7.250%, 04/15/14 3,464,112
404,000 Sanmina-SCI Corporation@
8.125%, 03/01/16 395,920
9,034,000 SunGuard Data Systems, Inc.@
9.125%, 08/15/13 9,271,142
5,782,000 Telcordia Technologies*
10.000%, 03/15/13 4,654,510
19,495,000 Xerox Corp.
7.625%, 06/15/13 19,787,425
------------
66,805,893
------------
PRINCIPAL
AMOUNT VALUE
----------- ------------
MATERIALS (9.5%)
$ 1,189,000 Agrium, Inc.
7.125%, 05/23/36 $ 1,206,578
Aleris International, Inc.
4,945,000 10.375%, 10/15/10 5,427,137
3,668,000 9.000%, 11/15/14 4,144,840
4,755,000 Ball Corp.@
6.875%, 12/15/12 4,755,000
951,000 Crown Americas, LLC.*@
7.750%, 11/15/15 942,679
18,087,000 Equistar Chemicals, LP
10.625%, 05/01/11 19,533,960
12,220,000 Freeport-McMoRan Copper & Gold, Inc.
10.125%, 02/01/10 13,075,400
856,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 856,000
Ineos Group Holdings, PLC*
5,706,000 EUR 7.875%, 02/15/16 6,833,293
951,000 8.500%, 02/15/16@ 896,318
5,706,000 IPSCO, Inc.
8.750%, 06/01/13 6,119,685
8,559,000 Neenah Paper, Inc.@
7.375%, 11/15/14 8,002,665
2,377,000 P.H. Glatfelter Company*
7.125%, 05/01/16 2,329,460
2,853,000 Polyone Corp.@
10.625%, 05/15/10 3,081,240
4,755,000 Sealed Air Corp.*
6.875%, 07/15/33 4,635,393
1,902,000 Texas Industries, Inc.
7.250%, 07/15/13 1,913,887
Union Carbide Corp.
4,612,000 7.875%, 04/01/23 4,952,273
3,091,000 7.500%, 06/01/25 3,200,783
3,519,000 Westlake Chemical Corporation
6.625%, 01/15/16 3,290,265
------------
95,196,856
------------
TELECOMMUNICATION SERVICES (2.1%)
5,706,000 AT&T Corp.
8.000%, 11/15/31 6,677,144
666,000 Citizens Communications Company
9.000%, 08/15/31 685,980
6,657,000 Sprint Nextel Corporation
7.375%, 08/01/15 6,826,940
2,615,000 Stratos Global Corp.*@
9.875%, 02/15/13 2,190,063
4,279,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 4,182,722
------------
20,562,849
------------
UTILITIES (2.9%)
4,755,000 Centerpoint Energy, Inc.@
6.850%, 06/01/15 4,928,163
951,000 NRG Energy, Inc.
7.375%, 02/01/16 931,980
See accompanying Notes to Schedule of Investments
3
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 4,755,000 Public Service Enterprise
Group, Inc.
8.625%, 02/15/08 $ 4,915,481
11,982,000 Teco Energy, Inc.
7.500%, 06/15/10 12,401,370
6,657,000 TXU Corp.
6.500%, 11/15/24 6,057,158
------------
29,234,152
------------
TOTAL CORPORATE BONDS
(Cost $834,236,977) 834,806,051
------------
CONVERTIBLE BONDS (21.3%)
CONSUMER DISCRETIONARY (4.3%)
6,500,000 Lamar Advertising Company
2.875%, 12/31/10 7,263,750
7,800,000 Liberty Media Corporation
(Motorola, Inc.)[]
3.500%, 01/15/31 7,936,500
Liberty Media Corporation (Sprint
Corporation PCS)[]
4,142,000 3.750%, 02/15/30 2,495,555
1,974,000 4.000%, 11/15/29 1,251,023
3,750,000 GBP Punch Taverns Redwood Jersey
Co. Ltd.
5.000%, 12/14/10 7,479,854
United Auto Group, Inc.
3,960,000 3.500%, 04/01/26* 4,291,650
2,290,000 3.500%, 04/01/26@ 2,481,787
9,000,000 Walt Disney Company@
2.125%, 04/15/23 10,001,250
------------
43,201,369
------------
ENERGY (1.3%)
9,000,000 Cal Dive International, Inc.*
3.250%, 12/15/25 13,286,250
------------
FINANCIALS (1.8%)
6,000,000 Deutsche Bank Luxembourg S.A.
(USA Interactive)* ++[]
5.349%, 05/01/12 6,645,600
11,250,000 Travelers Property Casualty
Corp.
4.500% 04/15/32 11,002,500
------------
17,648,100
------------
HEALTH CARE (2.6%)
6,500,000 Advanced Medical Optics, Inc.*
3.250%, 08/01/26 6,914,375
10,500,000 Emdeon Corp.*
3.125%, 09/01/25 10,644,375
8,000,000 Wyeth++
5.109%, 01/15/24 8,544,000
------------
26,102,750
------------
INDUSTRIALS (4.2%)
8,000,000 Allied Waste Industries, Inc.@
4.250%, 04/15/34 7,190,000
11,500,000 GATX Corp.
7.500%, 02/01/07 13,713,750
6,400,000 Lockheed Martin Corp.++
4.920%, 08/15/33 7,697,920
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 5,500,000 Quanta Services, Inc.*
3.750%, 04/30/26 $ 5,575,625
13,000,000 Roper Industries, Inc. ++
1.481%, 01/15/34 7,767,500
------------
41,944,795
------------
INFORMATION TECHNOLOGY (5.4%)
4,000,000 CSG Systems International, Inc.
2.500%, 06/15/24 4,410,000
5,500,000 DST Systems, Inc.
4.125%, 08/15/23 7,012,500
6,750,000 Electronic Data Systems Corp.
3.875%, 07/15/23 6,792,188
5,500,000 Euronet Worldwide, Inc.
3.500%, 10/15/25 5,376,250
6,000,000 LSI Logic Corp.@
4.000%, 05/15/10 6,037,500
6,000,000 Mentor Graphics Corp.*
6.250%, 03/01/26 6,877,500
17,000,000 Vishay Intertechnology, Inc.
3.625%, 08/01/23 17,021,250
------------
53,527,188
------------
UTILITIES (1.7%)
6,500,000 CenterPoint Energy, Inc.@
3.750%, 05/15/23 7,938,125
3,500,000 GBP Scottish & Southern Energy, PLC
3.750%, 10/29/09 8,931,388
------------
16,869,513
------------
TOTAL CONVERTIBLE BONDS
(Cost $202,189,970) 212,579,965
------------
SYNTHETIC CONVERTIBLE SECURITIES (5.0%)
CORPORATE BONDS (4.3%)
CONSUMER DISCRETIONARY (1.1%)
147,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 148,838
Beazer Homes USA, Inc.
490,000 8.375%, 04/15/12 482,650
343,000 8.125%, 06/15/16*@ 327,565
245,000 Broder Bros. Co.
11.250%, 10/15/10 229,075
245,000 DEX Media, Inc.
8.000%, 11/15/13 246,225
245,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 257,862
309,000 EchoStar Communications Corp.*
7.125%, 02/01/16 305,137
92,000 EchoStar DBS Corporation
6.625%, 10/01/14 89,010
594,000 GBP EMI Group, PLC
9.750%, 05/20/08 1,187,263
332,000 GameStop Corp.@
8.000%, 10/01/12 338,640
196,000 General Motors Acceptance
Corporation
6.875%, 09/15/11 189,986
See accompanying Notes to Schedule of Investments
4
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 235,000 General Motors Corp.@
7.125%, 07/15/13 $ 200,925
Goodyear Tire & Rubber Company
343,000 7.857%, 08/15/11@ 318,990
245,000 7.000%, 03/15/28 195,387
172,000 Group 1 Automotive, Inc.
8.250%, 08/15/13 174,150
456,000 Hasbro, Inc.
6.600%, 07/15/28 437,891
Hovnanian Enterprises, Inc.
392,000 8.625%, 01/15/17@ 384,160
47,000 7.750%, 05/15/13 42,418
196,000 IMAX Corp.@
9.625%, 12/01/10 205,800
245,000 Interpublic Group of Companies,
Inc.
7.250%, 08/15/11 223,562
245,000 Intrawest Corp.
7.500%, 10/15/13 245,306
J.C. Penney Company, Inc.
98,000 9.000%, 08/01/12 113,233
74,000 7.650%, 08/15/16@ 81,373
221,000 Jarden Corp.@
9.750%, 05/01/12 230,945
157,000 Kellwood Company
7.625%, 10/15/17 144,168
245,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 228,462
343,000 Linens 'n Things, Inc.*@++
11.132%, 01/15/14 319,847
193,000 Mandalay Resort Group@
7.625%, 07/15/13 191,070
74,000 NCL Holding, ASA
10.625%, 07/15/14 72,520
580,000 Oxford Industries, Inc.
8.875%, 06/01/11 585,800
47,000 Phillips-Van Heusen Corp.@
8.125%, 05/01/13 48,410
49,000 Pinnacle Entertainment, Inc.
8.250%, 03/15/12 49,123
147,000 Rent-A-Center, Inc.
7.500%, 05/01/10 145,898
184,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 168,372
221,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 205,534
584,000 Royal Caribbean Cruises, Ltd.@
7.500%, 10/15/27 564,127
44,000 Station Casinos, Inc.
6.875%, 03/01/16 40,700
422,000 Vail Resorts, Inc.
6.750%, 02/15/14 403,010
343,000 Warnaco Group, Inc.@
8.875%, 06/15/13 352,004
Warner Music Group
98,000 GBP 8.125%, 04/15/14 188,556
98,000 7.375%, 04/15/14@ 95,060
PRINCIPAL
AMOUNT VALUE
----------- ------------
WCI Communities, Inc.@
$ 319,000 7.875%, 10/01/13 $ 275,935
147,000 6.625%, 03/15/15 118,335
25,000 William Lyon Homes, Inc.
10.750%, 04/01/13 23,125
44,000 Wynn Las Vegas, LLC@
6.625%, 12/01/14 41,690
------------
10,918,137
------------
CONSUMER STAPLES (0.4%)
98,000 Central Garden & Pet Company
9.125%, 02/01/13 101,185
270,000 Chattem, Inc.
7.000%, 03/01/14 261,225
221,000 Chiquita Brands International,
Inc.@
7.500%, 11/01/14 188,955
277,000 Del Monte Foods Company
8.625%, 12/15/12 288,772
Dole Food Company, Inc.
284,000 8.875%, 03/15/11@ 266,960
219,000 8.625%, 05/01/09 210,240
111,000 Gold Kist, Inc.
10.250%, 03/15/14 117,105
662,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 621,452
221,000 NBTY, Inc.
7.125%, 10/01/15 208,845
196,000 Pinnacle Foods Holding@
8.250%, 12/01/13 193,060
314,000 Playtex Products, Inc.
8.000%, 03/01/11 326,952
319,000 Reynolds American, Inc.*
7.300%, 07/15/15 320,804
98,000 Smithfield Foods, Inc.@
7.750%, 05/15/13 98,245
253,000 Spectrum Brands, Inc.@
8.500%, 10/01/13 203,033
150,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 164,813
------------
3,571,646
------------
ENERGY (0.5%)
441,000 Arch Western Finance, LLC
6.750%, 07/01/13 422,257
Chesapeake Energy Corp.
196,000 6.875%, 01/15/16 190,120
98,000 7.750%, 01/15/15 99,225
194,000 Comstock Resources, Inc.
6.875%, 03/01/12 183,330
44,000 Energy Partners, Ltd.
8.750%, 08/01/10 43,010
245,000 Forest Oil Corp.
8.000%, 12/15/11 252,963
Giant Industries, Inc.
294,000 8.000%, 05/15/14 294,000
98,000 11.000%, 05/15/12 106,330
557,000 Houston Exploration Company
7.000%, 06/15/13 548,645
See accompanying Notes to Schedule of Investments
5
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 338,000 KCS Energy, Inc.
7.125%, 04/01/12 $ 324,480
227,000 Paramount Resources, Ltd.
8.500%, 01/31/13 235,229
Petroleo Brasileiro, SA
368,000 8.375%, 12/10/18 417,220
245,000 9.125%, 07/02/13 284,200
858,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 892,511
98,000 Superior Energy Services, Inc.*
6.875%, 06/01/14 95,550
147,000 Swift Energy Company
7.625%, 07/15/11 147,735
319,000 Whiting Petroleum Corp.
7.250%, 05/01/12 318,203
341,000 Williams Companies, Inc.@
7.750%, 06/15/31 336,737
------------
5,191,745
------------
FINANCIALS (0.2%)
E*TRADE Financial Corporation
373,000 7.375%, 09/15/13 375,797
283,000 7.875%, 12/01/15 293,612
69,000 8.000%, 06/15/11 71,243
Host Marriott Corp.
540,000 7.125%, 11/01/13@ 543,375
103,000 9.250%, 10/01/07 106,863
602,000 Leucadia National Corp.
7.000%, 08/15/13 592,970
47,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 45,473
Senior Housing Properties Trust
245,000 8.625%, 01/15/12 258,475
173,000 7.875%, 04/15/15 175,595
------------
2,463,403
------------
HEALTH CARE (0.3%)
798,000 Ameripath, Inc.@
10.500%, 04/01/13 843,885
245,000 Angiotech Pharmaceuticals, Inc.*
7.750%, 04/01/14 238,263
716,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 736,145
98,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 98,980
110,000 Biovail Corp.
7.875%, 04/01/10 112,200
44,000 DaVita, Inc.@
7.250%, 03/15/15 42,295
34,000 Omnicare, Inc.@
6.875%, 12/15/15 32,980
213,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 207,675
495,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 457,875
262,000 Valeant Pharmaceuticals
International
7.000%, 12/15/11 250,210
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 343,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 $ 333,567
------------
3,354,075
------------
INDUSTRIALS (0.7%)
135,000 Accuride Corp.
8.500%, 02/01/15 126,225
294,000 American Airlines, Inc.
7.250%, 02/05/09 296,572
123,000 Armor Holdings, Inc.@
8.250%, 08/15/13 129,150
147,000 BE Aerospace, Inc.@
8.875%, 05/01/11 153,982
785,000 CNH Global, NV
9.250%, 08/01/11 831,119
74,000 Columbus McKinnon Corp.
8.875%, 11/01/13 75,850
809,000 Esterline Technologies Corp.@
7.750%, 06/15/13 821,135
49,000 FTI Consulting, Inc.
7.625%, 06/15/13 49,735
172,000 Gardner Denver, Inc.
8.000%, 05/01/13 180,600
74,000 GATX Corp.
8.875%, 06/01/09 79,437
288,000 General Cable Corp.
9.500%, 11/15/10 308,160
172,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 175,655
92,000 H&E Equipment Service, Inc.*Y
5.375%, 07/15/16 93,035
33,000 Hexcel Corporation
6.750%, 02/01/15 31,763
289,000 Interline Brands, Inc.
8.125%, 06/15/14 292,612
JLG Industries, Inc.
373,000 8.250%, 05/01/08 393,515
172,000 8.375%, 06/15/12@ 183,180
213,000 Manitowoc Company, Inc.
10.500%, 08/01/12 231,105
414,000 Mobile Mini, Inc.
9.500%, 07/01/13 445,050
245,000 Monitronics International, Inc.@
11.750%, 09/01/10 242,244
253,000 Orbital Sciences Corp.
9.000%, 07/15/11 268,180
Sequa Corp.
343,000 8.875%, 04/01/08 358,864
98,000 9.000%, 08/01/09 103,635
Terex Corp.
135,000 9.250%, 07/15/11 143,775
93,000 7.375%, 01/15/14 92,768
110,000 Trinity Industries, Inc.
6.500%, 03/15/14 107,250
98,000 Wesco Distribution, Inc.
7.500%, 10/15/17 97,755
196,000 Westinghouse Air Brake
Technologies Corporation
6.875%, 07/31/13 194,040
See accompanying Notes to Schedule of Investments
6
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 123,000 Williams Scotsman
International, Inc.
8.500%, 10/01/15 $ 123,923
------------
6,630,314
------------
INFORMATION TECHNOLOGY (0.3%)
332,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 334,075
44,000 Anixter International, Inc.
5.950%, 03/01/15 40,810
134,000 Arrow Electronics, Inc.
6.875%, 06/01/18 133,341
44,000 Avago Technologies*@
11.875%, 12/01/15 47,740
Celestica, Inc.@
417,000 7.625%, 07/01/13 408,660
196,000 7.875%, 07/01/11 195,020
98,000 Flextronics International, Ltd.@
6.500%, 05/15/13 95,550
245,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 251,125
98,000 GBP Iron Mountain, Inc.*
7.250%, 04/15/14 178,487
21,000 Sanmina-SCI Corporation@
8.125%, 03/01/16 20,580
466,000 SunGuard Data Systems, Inc.@
9.125%, 08/15/13 478,233
298,000 Telcordia Technologies*
10.000%, 03/15/13 239,890
1,005,000 Xerox Corp.
7.625%, 06/15/13 1,020,075
------------
3,443,586
------------
MATERIALS (0.5%)
61,000 Agrium, Inc.
7.125%, 05/23/36 61,902
Aleris International, Inc.
255,000 10.375%, 10/15/10 279,862
189,000 9.000%, 11/15/14 213,570
245,000 Ball Corp.@
6.875%, 12/15/12 245,000
49,000 Crown Americas, LLC*@
7.750%, 11/15/15 48,571
933,000 Equistar Chemicals, LP
10.625%, 05/01/11 1,007,640
630,000 Freeport-McMoRan Copper & Gold,
Inc.
10.125%, 02/01/10 674,100
44,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 44,000
Ineos Group Holdings, PLC*
294,000 EUR 7.875%, 02/15/16 352,083
49,000 8.500%, 02/15/16@ 46,183
294,000 IPSCO, Inc.
8.750%, 06/01/13 315,315
441,000 Neenah Paper, Inc.@
7.375%, 11/15/14 412,335
123,000 P.H. Glatfelter Company*
7.125%, 05/01/16 120,540
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 147,000 Polyone Corp.@
10.625%, 05/15/10 $ 158,760
245,000 Sealed Air Corp.*
6.875%, 07/15/33 238,837
98,000 Texas Industries, Inc.
7.250%, 07/15/13 98,613
Union Carbide Corp.
238,000 7.875%, 04/01/23 255,560
159,000 7.500%, 06/01/25 164,647
181,000 Westlake Chemical Corporation
6.625%, 01/15/16 169,235
------------
4,906,753
------------
TELECOMMUNICATION SERVICES (0.1%)
294,000 AT&T Corp.
8.000%, 11/15/31 344,038
34,000 Citizens Communications Company
9.000%, 08/15/31 35,020
343,000 Sprint Nextel Corporation
7.375%, 08/01/15 351,756
135,000 Stratos Global Corp.*@
9.875%, 02/15/13 113,063
221,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 216,027
------------
1,059,904
------------
UTILITIES (0.2%)
245,000 Centerpoint Energy, Inc.@
6.850%, 06/01/15 253,922
49,000 NRG Energy, Inc.
7.375%, 02/01/16 48,020
245,000 Public Service Enterprise
Group, Inc.
8.625%, 02/15/08 253,269
618,000 Teco Energy, Inc.
7.500%, 06/15/10 639,630
343,000 TXU Corp.
6.500%, 11/15/24 312,093
------------
1,506,934
------------
TOTAL CORPORATE BONDS 43,046,497
------------
NUMBER OF
CONTRACTS VALUE
----------- ------------
OPTIONS (0.7%)
CONSUMER DISCRETIONARY (0.0%)
120 Garmin, Ltd.#
Call, 01/19/08, Strike 100.00 207,000
300 Lowe's Companies, Inc.#
Call, 01/19/08, Strike 35.00 61,500
310 Office Depot, Inc.#
Call, 01/19/08, Strike 40.00 153,450
------------
421,950
------------
CONSUMER STAPLES (0.1%)
640 Kroger Company#
Call, 01/19/08, Strike 20.00 320,000
See accompanying notes to Schedule of Investments
7
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
----------- ------------
260 PepsiCo, Inc.#
Call, 01/19/08, Strike 60.00 $ 213,200
------------
533,200
------------
ENERGY (0.1%)
190 Anadarko Petroleum Corp.#
Call, 01/19/08, Strike 47.50 139,650
130 BJ Services Company#
Call, 01/19/08, Strike 40.00 76,050
100 Diamond Offshore Drilling, Inc.#
Call, 01/19/08, Strike 85.00 138,000
210 Nabors Industries Ltd.#
Call, 01/19/08, Strike 37.50 118,650
85 Petroleo Brasileiro, SA#
Call, 01/19/08, Strike 90.00 160,225
140 Schlumberger, Ltd.#
Call, 01/19/08, Strike 65.00 189,700
140 Weatherford International, Ltd.#
Call, 01/19/08, Strike 55.00 80,500
------------
902,775
------------
FINANCIALS (0.1%)
235 Aon Corp.#
Call, 01/19/08, Strike 35.00 106,925
500 Charles Schwab Corp.#
Call, 01/19/08, Strike 17.50 106,250
20 Chicago Mercantile
Exchange Holdings, Inc.#
Call, 01/19/08, Strike 420.00 221,700
175 CIT Group, Inc.#
Call, 01/19/08, Strike 50.00 84,875
280 E*TRADE Financial Corporation#
Call, 01/19/08, Strike 25.00 113,400
70 Goldman Sachs Group, Inc.#
Call, 01/19/08, Strike 160.00 141,050
140 Lehman Brothers Holdings, Inc.#
Call, 01/19/08, Strike 75.00 94,500
175 Merrill Lynch & Company, Inc.#
Call, 01/19/08, Strike 70.00 193,375
130 Prudential Financial, Inc.#
Call, 01/19/08, Strike 75.00 157,950
230 State Street Corp.#
Call, 01/19/08, Strike 60.00 180,550
------------
1,400,575
------------
HEALTH CARE (0.0%)
90 Allergan, Inc.#
Call, 01/19/08, Strike 110.00 142,200
240 AmerisourceBergen Corp.#
Call, 01/19/08, Strike 47.50 104,400
------------
246,600
------------
INDUSTRIALS (0.0%)
130 Burlington Northern
Santa Fe Corp.#
Call, 01/19/08, Strike 80.00 96,200
------------
INFORMATION TECHNOLOGY (0.3%)
225 Agilent Technologies, Inc.#
Call, 01/19/08, Strike 35.00 63,000
NUMBER OF
CONTRACTS VALUE
----------- ------------
85 Apple Computer, Inc.#
Call, 01/19/08, Strike 75.00 $ 105,400
500 Electronic Data Systems Corp.#
Call, 01/19/08, Strike 25.00 153,750
335 Hewlett-Packard Company#
Call, 01/19/08, Strike 30.00 226,125
390 Intuit, Inc.#
Call, 01/19/08, Strike 27.50 286,650
240 Marvell Technology Group, Ltd.#
Call, 01/19/08, Strike 32.50 41,400
330 Motorola, Inc.#
Call, 01/19/08, Strike 22.50 130,350
230 National Semiconductor Corp.#
Call, 01/19/08, Strike 25.00 96,600
Nokia Corp.#
2,200 Call, 01/19/08, Strike 17.50 979,000
2,200 Call, 01/19/08, Strike 20.00 682,000
230 NVIDIA Corp.#
Call, 01/19/08, Strike 30.00 66,125
310 Paychex, Inc.#
Call, 01/19/08, Strike 40.00 83,700
90 Sandisk Corp.#
Call, 01/19/08, Strike 65.00 60,750
------------
2,974,850
------------
MATERIALS (0.1%)
130 Alcan, Inc.#
Call, 01/19/08, Strike 55.00 66,300
250 Goldcorp, Inc.#
Call, 01/19/08, Strike 27.50 207,500
343 Harmony Gold Mining Co, Ltd.#
Call, 01/19/08, Strike 15.00 120,050
110 Phelps Dodge Corp.#
Call, 01/19/08, Strike 72.50 272,800
90 United States Steel Corp.#
Call, 01/19/08, Strike 70.00 102,150
------------
768,800
------------
TELECOMMUNICATION SERVICES (0.0%)
230 America Movil, S.A. de C.V.#
Call, 01/19/08, Strike 40.00 120,750
130 NII Holdings, Inc.#
Call, 01/19/08, Strike 55.00 132,600
------------
253,350
------------
TOTAL OPTIONS 7,598,300
------------
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES
(Cost $51,793,675) 50,644,797
------------
NUMBER OF
SHARES VALUE
----------- ------------
CONVERTIBLE PREFERRED STOCKS (28.9%)
CONSUMER DISCRETIONARY (3.8%)
1,317,300 Ford Motor Company Capital
Trust II
6.500% 37,674,780
------------
See accompanying notes to Schedule of Investments
8
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
----------- ------------
CONSUMER STAPLES (3.0%)
1,190,000 Albertson's, Inc.
7.250% $ 29,738,100
------------
ENERGY (3.2%)
55,000 Chesapeake Energy Corp.
6.250% 15,401,100
125,000 Hess Corp.
7.000% 16,598,750
------------
31,999,850
------------
FINANCIALS (16.4%)
635,000 Chubb Corp.
7.000% 22,364,700
19,000 Fortis Insurance, N.V.
(Assurant, Inc.)*[]
7.750% 24,263,000
215,000 Hartford Financial
Services Group, Inc.
7.000% 16,021,800
350,000 Lazard, Ltd.
6.625% 12,201,000
775,000 Lehman Brothers Holdings, Inc.
(General Mills, Inc.)[]
6.250% 20,204,250
230,000 Merrill Lynch & Co., Inc.
(Nuveen Investments, Inc.)[]
6.750% 9,673,800
500,000 Metlife, Inc.
6.375% 13,730,000
570,000 National Australia Bank, Ltd.
7.875% 25,080,000
375,000 Washington Mutual, Inc.
5.375% 20,906,250
------------
164,444,800
------------
HEALTH CARE (1.0%)
200,000 Schering-Plough Corp.
6.000% 10,612,000
------------
INDUSTRIALS (1.1%)
3,350,000 GBP BAE Systems, PLC
7.750% 10,616,850
------------
UTILITIES (0.4%)
80,000 Southern Union Company
5.000% 4,238,400
------------
TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $285,208,979) 289,324,780
------------
PRINCIPAL
AMOUNT VALUE
----------- ------------
SHORT-TERM INVESTMENT (1.3%)
COMMERCIAL PAPER (1.3%)
$13,210,000 Citigroup, Inc
5.230%, 08/01/06
(Cost $13,210,000) 13,210,000
------------
NUMBER OF
SHARES VALUE
----------- --------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (15.5%)
155,341,197 Bank of New York Institutional
Cash Reserve Fund
current rate 5.400%
(Cost $155,341,197) $ 155,341,197
--------------
TOTAL INVESTMENTS (155.5%)
(Cost $1,541,980,798) 1,555,906,790
--------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN
(-15.5%) (155,341,197)
--------------
OTHER ASSETS, LESS LIABILITIES (3.0%) 29,717,596
--------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING
DIVIDENDS PAYABLE (-43.0%) (430,265,745)
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
(100.0%) $1,000,017,444
--------------
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 contracts. The option contracts may be exercised at any date on or
before the date shown.
* 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 July 31, 2006, the market value of
144A securities that were not subject to mandatory issuer registration
obligations is $116,575,127 or 11.7 % of net assets.
Y Security purchased on when issued basis.
@ Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate security. The interest rate shown is the rate in effect at
July 31, 2006.
[] 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
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying notes to Schedule of Investments
9
NOTES TO SCHEDULES 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. Calamos Advisors LLC values the Fund's portfolio securities
in accordance with policies and procedures on the valuation of securities
adopted by the Board of Trustees 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, which may include
utilizing a systematic fair valuation model provided by an independent pricing
service.
Securities that are principally traded in a foreign market 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,
10
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
in accordance with guidelines adopted by the Board of Trustees. Trading in
securities on European and Far Eastern securities exchanges and OTC markets is
normally completed at various times before the close of business on each day on
which the NYSE is open. Trading of these securities may not take place on every
NYSE business day. In addition, trading may take place in various foreign
markets on Saturdays or on other days when the NYSE is not open and on which the
Fund's 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
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 AND INVESTMENT INCOME. Short-term investment
transactions are recorded on a trade date basis. Long-term investment
transactions are recorded on a trade date plus one basis, except for fiscal
quarter ends, which are recorded on trade date. Net realized gains and losses
from investment transactions are reported on an identified cost basis. Interest
income is recognized using the accrual method and includes accretion of original
issue and market discount and amortization of premium. Dividend income is
recognized on the ex-dividend date, except that certain dividends from foreign
securities are recorded as soon as the information becomes available.
FOREIGN CURRENCY TRANSLATION. 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.
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of
foreign currency, the difference in the foreign exchange rates between the trade
and settlement
11
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
dates on securities transactions, and the difference between the amounts of
dividends, interest and foreign withholding taxes recorded on the ex-date or
accrual date and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes (due
to the changes in the exchange rate) in the value of foreign currency and other
assets and liabilities denominated in foreign currencies held at period end.
OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option 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 an income tax basis as of July 31,
2006. Differences between amounts for financial statements and Federal income
tax purposes are primarily due to timing differences.
The cost basis of investments for Federal income tax purposes at July 31, 2006
was as follows:
Cost basis of investments $1,552,960,015
--------------
Gross unrealized appreciation 45,935,002
Gross unrealized depreciation (42,988,227)
--------------
Net unrealized appreciation (depreciation) $ 2,946,775
--------------
12
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
NOTE 3 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. A forward foreign currency contract is a commitment to
purchase or sell a foreign currency at a future date at a negotiated forward
rate. Risks associated with such contracts include, among other things, movement
in the value of the foreign currency relative to the U.S. dollar and the ability
of the counterparty to perform. The net unrealized gain, if any, represents the
credit risk to the Fund on a forward foreign currency contract. The contracts
are valued daily at forward exchange rates, and an unrealized gain or loss is
recorded. The Fund realizes a gain or loss when a position is closed or upon
settlement of the contracts. There were no open forward foreign currency
contracts at July 31, 2006.
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. Different companies may issue the fixed-income and convertible
components, which may be purchased separately and at different times.
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
13
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
F, and 2,200 shares of A. The Preferred Shares have a liquidation value of
$25,000 per share plus any accumulated but unpaid dividends, whether or not
declared.
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven or twenty-eight days based on the results of an auction. Dividend rates
ranged from 3.60% to 5.30% for the nine-month period ended July 31, 2006. Under
the 1940 Act, the Fund may not declare dividends or make other distributions on
shares of common stock or purchase any such shares if, at the time of the
declaration, distribution or purchase, asset coverage with respect to the
outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the Fund's option, in whole or in part,
on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or only the holders of common stock, when the respective
classes vote alone.
NOTE 6 - INTEREST RATE TRANSACTIONS
The Fund may enter into interest rate swap or cap transactions to attempt to
protect itself from increasing dividend or interest expense on its leverage
resulting from increasing short-term interest rates. A decline in interest rates
may result in a decline in the value of the swap or cap, which may result in a
decline in the Fund's net asset value. In addition, if the counterparty to an
interest rate swap or cap defaults, the Fund would not be able to use the
anticipated receipts under the swap or cap to offset the dividend or interest
payments on the Fund's leverage. At the time an interest rate swap or cap
reaches its scheduled termination, there is a risk that the Fund would not be
able to obtain a replacement transaction or that the terms of the replacement
would not be as favorable as the expiring transaction. In addition, if the Fund
is required to terminate any swap or cap early due to the Fund failing to
maintain a required 200% asset coverage of the liquidation value of the
outstanding Preferred Shares or the Fund loses its credit rating on its
Preferred Shares, then the Fund could be required to make a termination payment,
in addition to redeeming all or some of the Preferred Shares. Net unrealized
gains are reported as an asset and net unrealized losses are reported as a
liability on the Statement of Assets and Liabilities. The change in the value of
the swaps, including periodic amounts of interest to be paid or received on
swaps is reported as unrealized gains or losses in the Statement of Operations.
A realized gain or loss is recorded upon payment or termination of swap
agreements. Details of the swap agreements outstanding as of July 31, 2006 were
as follows:
14
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
Unrealized
Termination Notional Fixed Rate Floating Rate Appreciation
Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation)
------------ ---------------- ------------ ----------- --------------- --------------
Citibank NA October 27, 2006 $100,000 2.80% 1month LIBOR $ 662,348
Citibank NA October 27, 2007 200,000 3.27% 1month LIBOR 5,162,041
Citibank NA October 27, 2008 100,000 3.65% 1month LIBOR 3,476,086
----------
$9,300,475
==========
NOTE 7 - SECURITIES LENDING
During the nine-month period ended July 31, 2006, 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, Calamos Advisors LLC
and the security lending agent will monitor the creditworthiness of the firms to
which the Fund lends securities. At July 31, 2006, the Fund had securities
valued at $151,676,027 that were on loan to broker-dealers and banks and
$155,341,197 in cash or cash equivalent collateral.
15
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: September 22, 2006
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: September 22, 2006
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September 22, 2006