N-Q 1 d566869dnq.htm N-Q N-Q

 

 

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 60563-2787

NAME AND ADDRESS OF AGENT FOR SERVICE:   

John P. Calamos, Sr., Chairman,

CEO and Co-CIO

Calamos Advisors LLC,

2020 Calamos Court,

Naperville, Illinois

60563-2787

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200

DATE OF FISCAL YEAR END: October 31, 2013

DATE OF REPORTING PERIOD: July 31, 2013

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

 

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  CORPORATE BONDS (73.7%)   
    Consumer Discretionary (12.9%)   
    American Axle & Manufacturing, Inc.  
  4,678,000        6.625%, 10/15/22µ   $ 4,949,909   
  1,456,000        6.250%, 03/15/21^     1,538,810   
  2,551,000        Bon-Ton Department Stores, Inc.µ^*
8.000%, 06/15/21		     2,633,907   
    Brookfield Residential Properties, Inc.*  
  768,000        6.500%, 12/15/20     810,720   
  362,000        6.125%, 07/01/22     372,181   
  353,000        Brunswick Corp.*
4.625%, 05/15/21		     342,631   
  300,000        Claire’s Stores, Inc.µ^*
7.750%, 06/01/20		     303,938   
  1,103,000        Cogeco Cable, Inc.*
4.875%, 05/01/20		     1,089,213   
  1,880,000        Continental Rubber of America Corp.µ*
4.500%, 09/15/19		     1,929,350   
  6,032,000        Cooper Tire & Rubber Companyµ
8.000%, 12/15/19		     6,393,920   
    Dana Holding Corp.  
  6,348,000        6.750%, 02/15/21µ     6,824,100   
  1,412,000        5.375%, 09/15/21     1,417,295   
    DISH Network Corp.µ  
  6,753,000        5.125%, 05/01/20*     6,664,367   
  5,738,000        7.875%, 09/01/19     6,552,079   
  4,325,000        Dufry Finance, SCAµ*
5.500%, 10/15/20		     4,438,531   
    Goodyear Tire & Rubber Companyµ^  
  4,855,000        8.250%, 08/15/20     5,425,462   
  2,648,000        7.000%, 05/15/22     2,825,085   
  4,855,000        Hasbro, Inc.µ
6.600%, 07/15/28		     5,255,950   
  2,330,000        Icahn Enterprises, LP*
6.000%, 08/01/20		     2,327,087   
    Jaguar Land Rover Automotive, PLCµ*  
  4,678,000        8.125%, 05/15/21     5,233,512   
  2,207,000        5.625%, 02/01/23     2,187,689   
    L Brands, Inc.µ  
  2,648,000        7.600%, 07/15/37     2,699,305   
  883,000        6.950%, 03/01/33^     885,759   
  662,000        Lear Corp.µ*
4.750%, 01/15/23		     651,243   
  2,758,000        Liberty Interactive, LLCµ
8.250%, 02/01/30		     2,985,535   
  353,000        Lynx I Corp.*
5.375%, 04/15/21		     356,971   
  353,000        Lynx II Corp.µ^*
6.375%, 04/15/23		     364,252   
    Meritage Homes Corp.µ  
  2,560,000        7.000%, 04/01/22^     2,820,800   
  2,216,000        4.500%, 03/01/18     2,216,000   
  1,324,000        7.150%, 04/15/20     1,465,503   
  1,854,000        NCL Corp., Ltd. - Class Cµ^*
5.000%, 02/15/18		     1,859,794   
  2,873,000        Netflix, Inc.µ^*
5.375%, 02/01/21		     2,910,708   
PRINCIPAL
AMOUNT		                 VALUE  
     
  5,738,000        Outerwall, Inc.µ*
6.000%, 03/15/19		   $ 5,838,415   
  1,050,000        Quiksilver, Inc.*
7.875%, 08/01/18		     1,099,219   
  3,010,000        Royal Caribbean Cruises, Ltd.µ
7.500%, 10/15/27		     3,299,712   
    Ryland Group, Inc.µ  
  5,296,000        6.625%, 05/01/20     5,613,760   
  1,483,000        5.375%, 10/01/22     1,418,119   
  2,039,000        Sally Holdings, LLCµ
5.750%, 06/01/22		     2,128,206   
    Service Corp. Internationalµ  
  5,570,000        7.500%, 04/01/27     6,140,925   
  2,445,000        5.375%, 01/15/22^*     2,475,562   
  2,895,000        Six Flags Entertainment Corp.µ*
5.250%, 01/15/21		     2,840,719   
  2,844,000        Taylor Morrison Communities, Inc.µ*
5.250%, 04/15/21		     2,762,235   
  3,707,000        Viking Cruises, Ltd.µ^*
8.500%, 10/15/22		     4,091,601   
  234,000        Wolverine World Wide, Inc.µ*
6.125%, 10/15/20		     245,408   
     

 

 

  
        126,685,487   
     

 

 

  
    Consumer Staples (3.6%)   
  574,000        Elizabeth Arden, Inc.µ
7.375%, 03/15/21		     624,943   
  3,619,000        Fidelity & Guaranty Life Holdings, Inc.µ*
6.375%, 04/01/21		     3,686,856   
  5,804,000        JBS USA, LLCµ*
7.250%, 06/01/21		     5,967,238   
  5,296,000        Land O’Lakes, Inc.µ*
6.000%, 11/15/22		     5,494,600   
    Post Holdings, Inc.µ  
  9,202,000        7.375%, 02/15/22^     9,903,652   
  424,000        7.375%, 02/15/22*     454,475   
  3,178,000        Smithfield Foods, Inc.µ
6.625%, 08/15/22		     3,378,611   
  4,237,000        Sun Products Corp.*
7.750%, 03/15/21		     4,332,333   
  1,765,000        Wells Enterprises, Inc.µ*
6.750%, 02/01/20		     1,854,353   
     

 

 

  
        35,697,061   
     

 

 

  
    Energy (16.2%)   
  18,537,000     

NOK

   Aker Solutions, ASA‡
6.010%, 06/06/17		     3,232,210   
  3,294,000        Atwood Oceanics, Inc.µ
6.500%, 02/01/20		     3,518,404   
  2,648,000        Berry Petroleum Companyµ
6.375%, 09/15/22		     2,694,340   
  6,576,000        Bristow Group, Inc.µ
6.250%, 10/15/22		     6,917,130   
  2,869,000        Calfrac Holdings, LPµ*
7.500%, 12/01/20		     2,903,069   
    Calumet Specialty Products, LPµ  
  5,737,000        9.375%, 05/01/19     6,282,343   
  1,765,000        9.625%, 08/01/20     1,963,563   
    Carrizo Oil & Gas, Inc.µ  
  4,943,000        8.625%, 10/15/18     5,406,406   
  4,325,000        7.500%, 09/15/20     4,541,250   
  3,319,000        Chesapeake Energy Corp.µ^
5.375%, 06/15/21		     3,331,446   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  1,474,000        Chesapeake Oilfield Finance, Inc.
6.625%, 11/15/19		   $ 1,491,504   
  7,062,000        Cimarex Energy Companyµ
5.875%, 05/01/22		     7,344,480   
  6,797,000        Drill Rigs Holdings, Inc.µ*
6.500%, 10/01/17		     6,877,714   
  2,207,000        EPL Oil & Gas, Inc.µ^
8.250%, 02/15/18		     2,333,903   
  6,620,000        Gulfmark Offshore, Inc.µ
6.375%, 03/15/22		     6,814,462   
  6,391,000        Gulfport Energy Corp.*
7.750%, 11/01/20		     6,558,764   
  4,414,000        Holly Energy Partners, LPµ
6.500%, 03/01/20		     4,631,941   
  1,236,000        Hornbeck Offshore Services, Inc.µ
5.875%, 04/01/20		     1,266,900   
  5,738,000        Laredo Petroleum, Inc.µ
7.375%, 05/01/22		     6,071,521   
    Linn Energy, LLCµ  
  4,414,000        8.625%, 04/15/20     4,618,147   
  2,648,000        6.250%, 11/01/19*     2,492,430   
  1,765,000        7.750%, 02/01/21     1,785,959   
  883,000        6.500%, 05/15/19     859,269   
    Oasis Petroleum, Inc.µ  
  4,113,000        6.500%, 11/01/21     4,367,492   
  1,324,000        6.875%, 01/15/23     1,415,853   
  2,269,000        Pacific Drilling, SA*
5.375%, 06/01/20		     2,227,874   
  4,855,000        Parker Drilling Companyµ
9.125%, 04/01/18		     5,213,056   
  2,456,000        Petroleum Geo-Services, ASAµ*
7.375%, 12/15/18		     2,704,670   
  4,105,000        Pioneer Energy Services Corp.µ
9.875%, 03/15/18		     4,448,794   
  5,738,000        Samson Investment Companyµ*
9.750%, 02/15/20		     6,093,039   
  5,738,000        SEACOR Holdings, Inc.µ
7.375%, 10/01/19		     6,139,660   
  2,207,000        SESI, LLCµ
7.125%, 12/15/21		     2,407,009   
  3,354,000        SM Energy Companyµ
6.500%, 11/15/21		     3,586,684   
  3,884,000        Swift Energy Companyµ
8.875%, 01/15/20		     4,090,338   
    Tesoro Logistics, LP*  
  3,222,000        5.875%, 10/01/20µ     3,258,248   
  1,827,000        6.125%, 10/15/21     1,838,419   
  3,576,000        Trinidad Drilling, Ltd.µ^*
7.875%, 01/15/19		     3,803,970   
  9,445,000        W&T Offshore, Inc.µ^
8.500%, 06/15/19		     10,005,797   
  2,745,000        Western Refining, Inc.
6.250%, 04/01/21		     2,703,825   
     

 

 

  
        158,241,883   
     

 

 

  
    Financials (2.4%)   
  2,591,000        AON Corp.µ
8.205%, 01/01/27		     3,221,507   
  1,960,000        iStar Financial, Inc.µ
4.875%, 07/01/18		     1,920,800   
  4,281,000        Jefferies Finance, LLCµ*
7.375%, 04/01/20		     4,334,512   
  2,286,000        Nationstar Mortgage, LLC / Nationstar Capital Corp.µ
6.500%, 07/01/21		     2,283,143   
PRINCIPAL
AMOUNT		                 VALUE  
     
  5,738,000        Neuberger Berman Group LLCµ*
5.875%, 03/15/22		   $ 5,996,210   
    Nuveen Investments, Inc.*  
  2,825,000        9.500%, 10/15/20µ^     2,844,422   
  2,825,000        9.125%, 10/15/17     2,856,781   
     

 

 

  
        23,457,375   
     

 

 

  
    Health Care (7.6%)   
  3,266,000        Alere, Inc.*
6.500%, 06/15/20		     3,345,609   
  11,122,000        Community Health Systems, Inc.µ
7.125%, 07/15/20		     11,407,001   
  6,117,000        DaVita HealthCare Partners, Inc.µ
6.625%, 11/01/20		     6,552,836   
    Endo Health Solutions, Inc.µ  
  5,914,000        7.000%, 12/15/20     6,228,181   
  1,324,000        7.000%, 07/15/19     1,395,165   
    HCA Holdings, Inc.µ  
  8,562,000        7.750%, 05/15/21     9,348,634   
  1,876,000        6.250%, 02/15/21     1,951,040   
  1,765,000        HCA, Inc.µ
5.875%, 05/01/23		     1,802,506   
  7,949,000        Hologic, Inc.µ
6.250%, 08/01/20		     8,465,685   
  5,296,000        Teleflex, Inc.µ
6.875%, 06/01/19		     5,617,070   
  6,047,000        Tenet Healthcare Corp.µ
6.750%, 02/01/20		     6,062,118   
    Valeant Pharmaceuticals International, Inc.µ*  
  6,620,000        7.000%, 10/01/20     7,062,713   
  2,030,000        7.250%, 07/15/22     2,170,831   
    VPII Escrow Corp.*  
  1,765,000        7.500%, 07/15/21     1,905,097   
  971,000        6.750%, 08/15/18     1,029,260   
     

 

 

  
        74,343,746   
     

 

 

  
    Industrials (10.5%)   
  4,634,000        ACCO Brands Corp.µ
6.750%, 04/30/20		     4,761,435   
  8,386,000        Belden, Inc.µ^*
5.500%, 09/01/22		     8,317,864   
  2,825,000        Bombardier, Inc.µ*
6.125%, 01/15/23		     2,890,328   
  2,538,000        Clean Harbors, Inc.µ^
5.125%, 06/01/21		     2,601,450   
    Deluxe Corp.  
  6,179,000        6.000%, 11/15/20     6,449,331   
  5,296,000        7.000%, 03/15/19µ^     5,666,720   
  2,842,000        Digitalglobe, Inc.µ*
5.250%, 02/01/21		     2,707,005   
  5,497,000        Dycom Investments, Inc.µ
7.125%, 01/15/21		     5,847,434   
  5,120,000        Edgen Murray Corp.µ*
8.750%, 11/01/20		     5,155,200   
  3,543,000        General Cable Corp.µ*
5.750%, 10/01/22		     3,485,426   
  2,803,000        GrafTech International, Ltd.*
6.375%, 11/15/20		     2,822,271   
  4,908,000        H&E Equipment Services, Inc.µ
7.000%, 09/01/22		     5,282,235   
  3,089,000        Manitowoc Company, Inc.µ^
8.500%, 11/01/20		     3,480,917   
  1,430,000        Meritor, Inc.µ^
6.750%, 06/15/21		     1,423,744   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  2,966,000        Navistar International Corp.µ^
8.250%, 11/01/21		   $ 3,030,881   
    Nortek, Inc.  
  927,000        8.500%, 04/15/21*     1,007,533   
  754,000        8.500%, 04/15/21µ^     828,458   
  6,828,000        Rexel, SAµ^*
6.125%, 12/15/19		     7,126,725   
  3,116,000        RR Donnelley & Sons Companyµ^
7.875%, 03/15/21		     3,359,437   
    Terex Corp.µ  
  4,820,000        6.000%, 05/15/21     4,964,600   
  459,000        6.500%, 04/01/20     483,671   
  1,192,000        Titan International, Inc.µ^*
7.875%, 10/01/17		     1,267,245   
    TransDigm Group, Inc.  
  2,339,000        5.500%, 10/15/20*     2,283,449   
  1,724,000        7.750%, 12/15/18µ     1,840,370   
  2,154,000        Triumph Group, Inc.
4.875%, 04/01/21		     2,158,039   
  2,295,000        United Continental Holdings, Inc.µ^
6.375%, 06/01/18		     2,333,728   
    United Rentals North America, Inc.µ  
  5,738,000        7.625%, 04/15/22     6,430,146   
  4,855,000        6.125%, 06/15/23     5,046,166   
     

 

 

  
        103,051,808   
     

 

 

  
    Information Technology (10.0%)   
    Amkor Technology, Inc.  
  4,855,000        7.375%, 05/01/18µ^     5,094,716   
  2,594,000        6.625%, 06/01/21µ     2,619,940   
  1,765,000        6.375%, 10/01/22*     1,763,897   
  1,509,000        6.375%, 10/01/22µ     1,508,057   
  2,516,000        Audatex North America, Inc.µ*
6.000%, 06/15/21		     2,583,617   
  2,030,000        Equinix, Inc.µ
5.375%, 04/01/23		     2,022,388   
  7,062,000        Hughes Satellite Systems Corp.µ
7.625%, 06/15/21		     7,679,925   
  6,444,000        iGATE Corp.µ
9.000%, 05/01/16		     6,963,547   
  7,062,000        J2 Global, Inc.µ
8.000%, 08/01/20		     7,626,960   
  7,836,000        Lender Processing Services, Inc.µ
5.750%, 04/15/23		     8,423,700   
  2,976,000        Magnachip Semiconductor, Inc.µ*
6.625%, 07/15/21		     2,974,140   
  9,763,000        Nuance Communications, Inc.µ*
5.375%, 08/15/20		     9,573,842   
    NXP BV*  
  2,472,000        5.750%, 03/15/23     2,524,530   
  1,765,000        5.750%, 02/15/21µ^     1,822,363   
  7,044,000        Sanmina Corp.µ*
7.000%, 05/15/19		     7,431,420   
    Seagate Technology, PLC  
  5,076,000        7.000%, 11/01/21     5,548,702   
  3,531,000        4.750%, 06/01/23µ^*     3,372,105   
  2,004,000        6.875%, 05/01/20µ^     2,191,875   
  4,471,000        Sungard Data Systems, Inc.
6.625%, 11/01/19		     4,649,840   
  3,443,000        ViaSat, Inc.µ
6.875%, 06/15/20		     3,679,706   
  5,296,000        Viasystems, Inc.µ*
7.875%, 05/01/19		     5,670,030   
PRINCIPAL
AMOUNT		                 VALUE  
     
  1,825,000        WEX, Inc.µ*
4.750%, 02/01/23		   $ 1,733,750   
     

 

 

  
        97,459,050   
     

 

 

  
    Materials (5.7%)   
  1,236,000        Ardagh Packaging Finance, PLCµ^*
7.000%, 11/15/20		     1,226,730   
  7,944,000        FMG Resourcesµ^*
8.250%, 11/01/19		     8,430,570   
    FQM (Akubra), Inc.*  
  5,296,000        8.750%, 06/01/20µ^     5,560,800   
  1,677,000        7.500%, 06/01/21     1,682,241   
  6,073,000        Greif, Inc.µ
7.750%, 08/01/19		     6,968,767   
  2,472,000        INEOS Group Holdings, SAµ^*
6.125%, 08/15/18		     2,419,470   
    New Gold, Inc.µ*  
  4,855,000        7.000%, 04/15/20     4,952,100   
  1,315,000        6.250%, 11/15/22     1,251,716   
  1,474,000        Nova Chemicals Corp.µ^*
5.250%, 08/01/23		     1,485,055   
  2,339,000        PH Glatfelter Companyµ
5.375%, 10/15/20		     2,314,148   
    Sealed Air Corp.µ*  
  2,021,000        8.125%, 09/15/19     2,255,941   
  2,004,000        6.500%, 12/01/20     2,150,542   
  1,148,000        5.250%, 04/01/23     1,120,018   
    Steel Dynamics, Inc.*  
  2,659,000        6.125%, 08/15/19     2,823,526   
  1,174,000        5.250%, 04/15/23µ     1,160,793   
  1,103,000        6.375%, 08/15/22     1,165,733   
  5,649,000        Trinseo Op/ Trinseo Finance, Inc.µ^*
8.750%, 02/01/19		     5,620,755   
  2,745,000        United States Steel Corp.µ^
6.875%, 04/01/21		     2,724,412   
     

 

 

  
        55,313,317   
     

 

 

  
    Telecommunication Services (2.5%)   
  3,332,000        Brightstar Corp.*
7.250%, 08/01/18		     3,315,340   
  2,837,000        Frontier Communications Corp.µ
7.625%, 04/15/24		     2,881,328   
    Intelsat, SA*  
  5,596,000        7.750%, 06/01/21     5,907,277   
  406,000        8.125%, 06/01/23     437,719   
    MetroPCS Wireless, Inc.µ*  
  8,333,000        6.625%, 04/01/23     8,536,117   
  1,103,000        6.250%, 04/01/21     1,130,575   
  2,339,000        SBA Communications Corp.
5.625%, 10/01/19		     2,372,623   
     

 

 

  
        24,580,979   
     

 

 

  
    Utilities (2.3%)   
  3,575,000        AES Corp.µ
7.375%, 07/01/21		     4,057,625   
  8,165,000        AmeriGas Finance Corp.µ
7.000%, 05/20/22		     8,756,962   
    Calpine Corp.µ*  
  4,171,000        7.875%, 07/31/20     4,548,997   
  2,979,000        7.875%, 01/15/23     3,258,281   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  1,303,000        7.500%, 02/15/21   $ 1,402,354   
     

 

 

  
        22,024,219   
     

 

 

  
    TOTAL CORPORATE BONDS
(Cost $697,318,288)		     720,854,925   
     

 

 

  
  CONVERTIBLE BONDS (32.8%)   
    Consumer Discretionary (8.2%)   
    Iconix Brand Group, Inc.  
  6,400,000        1.500%, 03/15/18*     7,744,576   
  241,000        2.500%, 06/01/16     294,264   
    Jarden Corp.µ*  
  6,800,000        1.500%, 06/15/19     6,964,594   
  5,817,000        1.875%, 09/15/18^     6,873,542   
  2,650,000        KB Homeµ
1.375%, 02/01/19		     2,710,566   
  19,150,000        Liberty Interactive, LLC (Time Warner Cable, Inc., Time Warner, Inc.)µ^*§
0.750%, 03/30/43		     21,657,980   
  10,919,000        MGM Resorts Internationalµ
4.250%, 04/15/15		     12,800,999   
  6,552,000        Priceline.com, Inc.µ
1.000%, 03/15/18		     7,851,491   
  3,100,000        Ryland Group, Inc.µ^
0.250%, 06/01/19		     2,860,742   
  3,200,000        Shutterfly, Inc.*
0.250%, 05/15/18		     3,448,448   
  5,600,000        Standard Pacific Corp.µ
1.250%, 08/01/32		     7,044,996   
     

 

 

  
        80,252,198   
     

 

 

  
    Energy (2.5%)   
  11,000,000        Chesapeake Energy Corp.µ
2.250%, 12/15/38		     9,728,180   
  5,500,000        Exterran Holdings, Inc.µ
4.250%, 06/15/14		     7,824,932   
  6,200,000        Hornbeck Offshore Services, Inc.µ‡
1.625%, 11/15/26		     7,092,397   
     

 

 

  
        24,645,509   
     

 

 

  
    Financials (4.3%)   
  8,300,000        Affiliated Managers Group, Inc.
3.950%, 08/15/38		     11,873,814   
    Ares Capital Corp.µ  
  8,200,000        4.750%, 01/15/18*     8,510,698   
  4,500,000        5.750%, 02/01/16     4,904,280   
  4,000,000        IAS Operating Partnership, LP*
5.000%, 03/15/18		     3,715,560   
  1,382,000        Jefferies Group, Inc.
3.875%, 11/01/29		     1,464,761   
  5,500,000        ProLogis, LPµ^
3.250%, 03/15/15		     6,378,542   
  4,600,000        Starwood Property Trust, Inc.µ
4.550%, 03/01/18		     4,868,548   
     

 

 

  
        41,716,203   
     

 

 

  
    Health Care (5.3%)   
  5,400,000        Hologic, Inc.µ‡
2.000%, 12/15/37		     6,401,079   
  2,500,000        Illumina, Inc.*
0.250%, 03/15/16		     2,835,463   
PRINCIPAL
AMOUNT		                 VALUE  
     
  2,000,000        Medicines Companyµ*
1.375%, 06/01/17		   $ 2,544,310   
  2,650,000        Merrimack Pharmaceuticals, Inc.µ^
4.500%, 07/15/20		     2,748,540   
  6,494,000        Molina Healthcare, Inc.*
1.125%, 01/15/20		     7,145,673   
  6,200,000        Salix Pharmaceuticals, Ltd.
1.500%, 03/15/19		     8,001,379   
  3,200,000        Vivus, Inc.µ*
4.500%, 05/01/20		     3,694,384   
  14,400,000        WellPoint, Inc.µ^*
2.750%, 10/15/42		     18,854,856   
     

 

 

  
        52,225,684   
     

 

 

  
    Industrials (3.1%)   
  4,468,000        Air Lease Corp.
3.875%, 12/01/18		     5,621,950   
  8,700,000        Alliant Techsystems, Inc.µ
3.000%, 08/15/24		     10,971,005   
  11,700,000        Trinity Industries, Inc.µ^
3.875%, 06/01/36		     13,646,295   
     

 

 

  
        30,239,250   
     

 

 

  
    Information Technology (8.1%)   
  7,200,000        Concur Technologies, Inc.*
0.500%, 06/15/18		     7,543,548   
  3,850,000        Cornerstone OnDemand, Inc.*
1.500%, 07/01/18		     4,115,457   
  2,700,000        Ixiaµ
3.000%, 12/15/15		     2,977,182   
  11,000,000        Mentor Graphics Corp.µ
4.000%, 04/01/31		     13,519,770   
  7,200,000        Netsuite, Inc.*
0.250%, 06/01/18		     7,533,324   
  2,200,000        Nuance Communications, Inc.µ^
2.750%, 08/15/27		     2,542,958   
  4,100,000        Salesforce.com, Inc.µ*
0.250%, 04/01/18		     4,088,623   
  16,400,000        SanDisk Corp.µ
1.500%, 08/15/17		     20,691,142   
  7,500,000        Take-Two Interactive Software, Inc.
1.000%, 07/01/18		     7,903,725   
    Workday, Inc.*  
  3,850,000        1.500%, 07/15/20     4,059,171   
  3,850,000        0.750%, 07/15/18     4,057,149   
     

 

 

  
        79,032,049   
     

 

 

  
    Materials (1.3%)   
  2,700,000        Glencore Finance Europe, SA
5.000%, 12/31/14		     2,957,434   
    RTI International Metals, Inc.  
  3,200,000        1.625%, 10/15/19µ     3,264,528   
  2,900,000        3.000%, 12/01/15     3,276,043   
  2,900,000        Steel Dynamics, Inc.µ
5.125%, 06/15/14		     3,145,152   
     

 

 

  
        12,643,157   
     

 

 

  
    TOTAL CONVERTIBLE BONDS
(Cost $302,414,825)		     320,754,050   
     

 

 

  
 
 		 U.S. GOVERNMENT AND AGENCY
SECURITIES (0.3%)		   
  
    United States Treasury Note~  
  1,589,000        1.750%, 01/31/14     1,602,221   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  1,059,000        0.125%, 08/31/13   $ 1,059,083   
     

 

 

  
    TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES
(Cost $2,660,387)		     2,661,304   
     

 

 

  
  SYNTHETIC CONVERTIBLE SECURITIES (11.5%)   
  Corporate Bonds (9.8%)  
    Consumer Discretionary (1.7%)  
    American Axle & Manufacturing, Inc.µ  
  622,000        6.625%, 10/15/22     658,154   
  194,000        6.250%, 03/15/21^     205,034   
  339,000        Bon-Ton Department Stores, Inc.µ^*
8.000%, 06/15/21		     350,017   
    Brookfield Residential Properties, Inc.*  
  102,000        6.500%, 12/15/20     107,674   
  48,000        6.125%, 07/01/22     49,350   
  47,000        Brunswick Corp.*
4.625%, 05/15/21		     45,619   
  40,000        Claire’s Stores, Inc.µ^*
7.750%, 06/01/20		     40,525   
  147,000        Cogeco Cable, Inc.*
4.875%, 05/01/20		     145,163   
  250,000        Continental Rubber of America Corp.µ*
4.500%, 09/15/19		     256,563   
  801,000        Cooper Tire & Rubber Companyµ
8.000%, 12/15/19		     849,060   
    Dana Holding Corp.  
  844,000        6.750%, 02/15/21µ     907,300   
  188,000        5.375%, 09/15/21     188,705   
    DISH Network Corp.µ  
  897,000        5.125%, 05/01/20*     885,227   
  762,000        7.875%, 09/01/19     870,109   
  575,000        Dufry Finance, SCAµ*
5.500%, 10/15/20		     590,094   
    Goodyear Tire & Rubber Companyµ^  
  645,000        8.250%, 08/15/20     720,787   
  352,000        7.000%, 05/15/22     375,540   
  645,000        Hasbro, Inc.µ
6.600%, 07/15/28		     698,267   
  310,000        Icahn Enterprises, LP*
6.000%, 08/01/20		     309,613   
    Jaguar Land Rover Automotive, PLCµ*  
  622,000        8.125%, 05/15/21     695,862   
  293,000        5.625%, 02/01/23     290,436   
    L Brands, Inc.µ  
  352,000        7.600%, 07/15/37     358,820   
  117,000        6.950%, 03/01/33^     117,366   
  88,000        Lear Corp.µ*
4.750%, 01/15/23		     86,570   
  367,000        Liberty Interactive, LLCµ
8.250%, 02/01/30		     397,277   
  47,000        Lynx I Corp.*
5.375%, 04/15/21		     47,529   
  47,000        Lynx II Corp.µ^*
6.375%, 04/15/23		     48,498   
    Meritage Homes Corp.µ  
  340,000        7.000%, 04/01/22^     374,637   
  294,000        4.500%, 03/01/18     294,000   
PRINCIPAL
AMOUNT		                 VALUE  
     
  176,000        7.150%, 04/15/20   $ 194,810   
  246,000        NCL Corp., Ltd. - Class Cµ^*
5.000%, 02/15/18		     246,769   
  382,000        Netflix, Inc.µ^*
5.375%, 02/01/21		     387,014   
  762,000        Outerwall, Inc.µ*
6.000%, 03/15/19		     775,335   
  140,000        Quiksilver, Inc.*
7.875%, 08/01/18		     146,563   
  400,000        Royal Caribbean Cruises, Ltd.µ
7.500%, 10/15/27		     438,500   
    Ryland Group, Inc.µ  
  704,000        6.625%, 05/01/20     746,240   
  197,000        5.375%, 10/01/22     188,381   
  271,000        Sally Holdings, LLCµ
5.750%, 06/01/22		     282,856   
    Service Corp. Internationalµ  
  740,000        7.500%, 04/01/27     815,850   
  325,000        5.375%, 01/15/22^*     329,063   
  385,000        Six Flags Entertainment Corp.µ*
5.250%, 01/15/21		     377,781   
  378,000        Taylor Morrison Communities, Inc.µ*
5.250%, 04/15/21		     367,132   
  493,000        Viking Cruises, Ltd.µ^*
8.500%, 10/15/22		     544,149   
  31,000        Wolverine World Wide, Inc.µ*
6.125%, 10/15/20		     32,511   
     

 

 

  
        16,836,750   
     

 

 

  
    Consumer Staples (0.5%)   
  76,000       

Elizabeth Arden, Inc.µ

7.375%, 03/15/21

     82,745   
  481,000        Fidelity & Guaranty Life Holdings, Inc.µ*
6.375%, 04/01/21		     490,019   
  771,000        JBS USA, LLCµ*
7.250%, 06/01/21		     792,684   
  704,000        Land O’ Lakes, Inc.µ*
6.000%, 11/15/22		     730,400   
    Post Holdings, Inc.µ  
  1,223,000        7.375%, 02/15/22^     1,316,254   
  56,000        7.375%, 02/15/22*     60,025   
  422,000        Smithfield Foods, Inc.µ
6.625%, 08/15/22		     448,639   
  563,000        Sun Products Corp.*
7.750%, 03/15/21		     575,667   
  235,000        Wells Enterprises, Inc.µ*
6.750%, 02/01/20		     246,897   
     

 

 

  
        4,743,330   
     

 

 

  
    Energy (2.2%)   
  2,463,000     

NOK

   Aker Solutions, ASA‡
6.010%, 06/06/17		     429,462   
  438,000        Atwood Oceanics, Inc.µ
6.500%, 02/01/20		     467,839   
  352,000        Berry Petroleum Companyµ
6.375%, 09/15/22		     358,160   
  874,000        Bristow Group, Inc.µ
6.250%, 10/15/22		     919,339   
  381,000        Calfrac Holdings, LPµ*
7.500%, 12/01/20		     385,524   
    Calumet Specialty Products, LPµ  
  763,000        9.375%, 05/01/19     835,529   
  235,000        9.625%, 08/01/20     261,437   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
    Carrizo Oil & Gas, Inc.µ  
  657,000        8.625%, 10/15/18   $ 718,594   
  575,000        7.500%, 09/15/20     603,750   
  441,000        Chesapeake Energy Corp.µ^
5.375%, 06/15/21		     442,654   
  196,000        Chesapeake Oilfield Finance, Inc.
6.625%, 11/15/19		     198,328   
  938,000        Cimarex Energy Companyµ
5.875%, 05/01/22		     975,520   
  903,000        Drill Rigs Holdings, Inc.µ*
6.500%, 10/01/17		     913,723   
  293,000        EPL OIl & Gas, Inc.µ^
8.250%, 02/15/18		     309,847   
  880,000        Gulfmark Offshore, Inc.µ
6.375%, 03/15/22		     905,850   
  849,000        Gulfport Energy Corp.*
7.750%, 11/01/20		     871,286   
  586,000        Holly Energy Partners, LPµ
6.500%, 03/01/20		     614,934   
  164,000        Hornbeck Offshore Services, Inc.µ
5.875%, 04/01/20		     168,100   
  762,000        Laredo Petroleum, Inc.µ
7.375%, 05/01/22		     806,291   
    Linn Energy, LLCµ  
  586,000        8.625%, 04/15/20     613,102   
  352,000        6.250%, 11/01/19*     331,320   
  235,000        7.750%, 02/01/21     237,791   
  117,000        6.500%, 05/15/19     113,856   
    Oasis Petroleum, Inc.µ  
  547,000        6.500%, 11/01/21     580,846   
  176,000        6.875%, 01/15/23     188,210   
  301,000        Pacific Drilling, SA*
5.375%, 06/01/20		     295,544   
  645,000        Parker Drilling Companyµ
9.125%, 04/01/18		     692,569   
  326,000        Petroleum Geo-Services, ASAµ*
7.375%, 12/15/18		     359,007   
  545,000        Pioneer Energy Services Corp.µ
9.875%, 03/15/18		     590,644   
  762,000        Samson Investment Companyµ*
9.750%, 02/15/20		     809,149   
  762,000        SEACOR Holdings, Inc.µ
7.375%, 10/01/19		     815,340   
  293,000        SESI, LLCµ
7.125%, 12/15/21		     319,553   
  446,000        SM Energy Companyµ
6.500%, 11/15/21		     476,941   
  516,000        Swift Energy Companyµ
8.875%, 01/15/20		     543,412   
    Tesoro Logistics, LP*  
  428,000        5.875%, 10/01/20µ     432,815   
  243,000        6.125%, 10/15/21     244,519   
  475,000        Trinidad Drilling, Ltd.µ^*
7.875%, 01/15/19		     505,281   
  1,255,000        W&T Offshore, Inc.µ^
8.500%, 06/15/19		     1,329,516   
  365,000        Western Refining, Inc.
6.250%, 04/01/21		     359,525   
     

 

 

  
        21,025,107   
     

 

 

  
    Financials (0.3%)   
  344,000        AON Corp.µ
8.205%, 01/01/27		     427,711   
  260,000        iStar Financial, Inc.µ
4.875%, 07/01/18		     254,800   
PRINCIPAL
AMOUNT		                 VALUE  
     
  569,000        Jefferies Finance, LLCµ*
7.375%, 04/01/20		   $ 576,112   
  304,000        Nationstar Mortgage, LLC / Nationstar Capital Corp.µ
6.500%, 07/01/21		     303,620   
  762,000        Neuberger Berman Group LLCµ*
5.875%, 03/15/22		     796,290   
    Nuveen Investments, Inc.*  
  375,000        9.500%, 10/15/20µ^     377,578   
  375,000        9.125%, 10/15/17     379,219   
     

 

 

  
        3,115,330   
     

 

 

  
    Health Care (1.0%)   
  434,000        Alere, Inc.*
6.500%, 06/15/20		     444,579   
  1,478,000        Community Health Systems, Inc.µ
7.125%, 07/15/20		     1,515,874   
  813,000        DaVita HealthCare Partners, Inc.µ
6.625%, 11/01/20		     870,926   
    Endo Health Solutions, Inc.µ  
  786,000        7.000%, 12/15/20     827,756   
  176,000        7.000%, 07/15/19     185,460   
    HCA Holdings, Inc.µ  
  1,138,000        7.750%, 05/15/21     1,242,554   
  249,000        6.250%, 02/15/21     258,960   
  235,000        HCA, Inc.µ
5.875%, 05/01/23		     239,994   
  1,056,000        Hologic, Inc.µ
6.250%, 08/01/20		     1,124,640   
  704,000        Teleflex, Inc.µ
6.875%, 06/01/19		     746,680   
  803,000        Tenet Healthcare Corp.µ
6.750%, 02/01/20		     805,007   
    Valeant Pharmaceuticals International, Inc.µ*  
  880,000        7.000%, 10/01/20     938,850   
  270,000        7.250%, 07/15/22     288,731   
    VPII Escrow Corp.*  
  235,000        7.500%, 07/15/21     253,653   
  129,000        6.750%, 08/15/18     136,740   
     

 

 

  
        9,880,404   
     

 

 

  
    Industrials (1.4%)   
  616,000        ACCO Brands Corp.µ
6.750%, 04/30/20		     632,940   
  1,114,000        Belden, Inc.µ^*
5.500%, 09/01/22		     1,104,949   
  375,000        Bombardier, Inc.µ*
6.125%, 01/15/23		     383,672   
  337,000        Clean Harbors, Inc.µ^
5.125%, 06/01/21		     345,425   
    Deluxe Corp.  
  821,000        6.000%, 11/15/20     856,919   
  704,000        7.000%, 03/15/19µ^     753,280   
  378,000        Digitalglobe, Inc.µ*
5.250%, 02/01/21		     360,045   
  731,000        Dycom Investments, Inc.µ
7.125%, 01/15/21		     777,601   
  680,000        Edgen Murray Corp.µ*
8.750%, 11/01/20		     684,675   
  471,000        General Cable Corp.µ*
5.750%, 10/01/22		     463,346   
  372,000        GrafTech International, Ltd.*
6.375%, 11/15/20		     374,557   
  652,000        H&E Equipment Services, Inc.µ
7.000%, 09/01/22		     701,715   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  411,000        Manitowoc Company, Inc.µ^
8.500%, 11/01/20		   $ 463,145   
  190,000        Meritor, Inc.µ^
6.750%, 06/15/21		     189,169   
  394,000        Navistar International Corp.µ^
8.250%, 11/01/21		     402,619   
    Nortek, Inc.  
  123,000        8.500%, 04/15/21*     133,686   
  100,000        8.500%, 04/15/21µ^     109,875   
  907,000        Rexel, SAµ^*
6.125%, 12/15/19		     946,681   
  414,000        RR Donnelley & Sons Companyµ^
7.875%, 03/15/21		     446,344   
    Terex Corp.µ  
  640,000        6.000%, 05/15/21     659,200   
  61,000        6.500%, 04/01/20     64,279   
  158,000        Titan International, Inc.µ^*
7.875%, 10/01/17		     167,974   
    TransDigm Group, Inc.  
  311,000        5.500%, 10/15/20*     303,614   
  229,000        7.750%, 12/15/18µ     244,457   
  286,000        Triumph Group, Inc.
4.875%, 04/01/21		     286,536   
  305,000        United Continental Holdings, Inc.µ^
6.375%, 06/01/18		     310,147   
    United Rentals North America, Inc.µ  
  762,000        7.625%, 04/15/22     853,916   
  645,000        6.125%, 06/15/23     670,397   
     

 

 

  
        13,691,163   
     

 

 

  
    Information Technology (1.3%)   
    Amkor Technology, Inc.  
  645,000        7.375%, 05/01/18µ^     676,847   
  345,000        6.625%, 06/01/21µ     348,450   
  235,000        6.375%, 10/01/22*     234,853   
  201,000        6.375%, 10/01/22µ     200,874   
  334,000        Audatex North America, Inc.µ*
6.000%, 06/15/21		     342,976   
  270,000        Equinix, Inc.µ
5.375%, 04/01/23		     268,988   
  938,000        Hughes Satellite Systems Corp.µ
7.625%, 06/15/21		     1,020,075   
  856,000        iGATE Corp.µ
9.000%, 05/01/16		     925,015   
  938,000        J2 Global, Inc.µ
8.000%, 08/01/20		     1,013,040   
  1,041,000        Lender Processing Services, Inc.µ
5.750%, 04/15/23		     1,119,075   
  396,000        Magnachip Semiconductor, Inc.µ*
6.625%, 07/15/21		     395,752   
  1,297,000        Nuance Communications, Inc.µ*
5.375%, 08/15/20		     1,271,871   
    NXP BV*  
  328,000        5.750%, 03/15/23     334,970   
  235,000        5.750%, 02/15/21µ^     242,638   
  936,000        Sanmina Corp.µ*
7.000%, 05/15/19		     987,480   
    Seagate Technology, PLC  
  674,000        7.000%, 11/01/21     736,766   
  469,000        4.750%, 06/01/23µ^*     447,895   
  266,000        6.875%, 05/01/20µ^     290,937   
  594,000        Sungard Data Systems, Inc.
6.625%, 11/01/19		     617,760   
PRINCIPAL
AMOUNT		                 VALUE  
     
  457,000        ViaSat, Inc.µ
6.875%, 06/15/20		   $ 488,419   
  704,000        Viasystems, Inc.µ*
7.875%, 05/01/19		     753,720   
  242,000        WEX, Inc.µ*
4.750%, 02/01/23		     229,900   
     

 

 

  
        12,948,301   
     

 

 

  
    Materials (0.8%)   
  164,000        Ardagh Packaging Finance, PLCµ^*
7.000%, 11/15/20		     162,770   
  1,056,000        FMG Resourcesµ^*
8.250%, 11/01/19		     1,120,680   
    FQM (Akubra), Inc.*  
  704,000        8.750%, 06/01/20µ^     739,200   
  223,000        7.500%, 06/01/21     223,697   
  807,000        Greif, Inc.µ
7.750%, 08/01/19		     926,032   
  328,000        INEOS Group Holdings, SAµ^*
6.125%, 08/15/18		     321,030   
    New Gold, Inc.µ*  
  645,000        7.000%, 04/15/20     657,900   
  175,000        6.250%, 11/15/22     166,578   
  196,000        Nova Chemicals Corp.µ^*
5.250%, 08/01/23		     197,470   
  311,000        PH Glatfelter Companyµ
5.375%, 10/15/20		     307,696   
    Sealed Air Corp.µ*  
  269,000        8.125%, 09/15/19     300,271   
  266,000        6.500%, 12/01/20     285,451   
  152,000        5.250%, 04/01/23     148,295   
    Steel Dynamics, Inc.*  
  353,000        6.125%, 08/15/19     374,842   
  156,000        5.250%, 04/15/23µ     154,245   
  147,000        6.375%, 08/15/22     155,361   
  751,000        Trinseo Op/ Trinseo Finance, Inc.µ^*
8.750%, 02/01/19		     747,245   
  365,000        United States Steel Corp.µ^
6.875%, 04/01/21		     362,263   
     

 

 

  
        7,351,026   
     

 

 

  
    Telecommunication Services (0.3%)   
  443,000        Brightstar Corp.*
7.250%, 08/01/18		     440,785   
  377,000        Frontier Communications Corp.µ
7.625%, 04/15/24		     382,890   
    Intelsat, SA*  
  744,000        7.750%, 06/01/21     785,385   
  54,000        8.125%, 06/01/23     58,219   
    MetroPCS Wireless, Inc.µ*  
  1,107,000        6.625%, 04/01/23     1,133,983   
  147,000        6.250%, 04/01/21     150,675   
  311,000        SBA Communications Corp.
5.625%, 10/01/19		     315,471   
     

 

 

  
        3,267,408   
     

 

 

  
    Utilities (0.3%)   
  475,000        AES Corp.µ
7.375%, 07/01/21		     539,125   
  1,085,000        AmeriGas Finance Corp.µ
7.000%, 05/20/22		     1,163,663   
    Calpine Corp.µ*  
  554,000        7.875%, 07/31/20     604,206   
  396,000        7.875%, 01/15/23     433,125   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  173,000        7.500%, 02/15/21   $ 186,191   
     

 

 

  
        2,926,310   
     

 

 

  
    TOTAL CORPORATE BONDS     95,785,129   
     

 

 

  
  U.S. Government and Agency Securities (0.0%)   
    United States Treasury Note~  
  211,000        1.750%, 01/31/14     212,755   
  141,000        0.125%, 08/31/13     141,011   
     

 

 

  
    TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES     353,766   
     

 

 

  
NUMBER OF
CONTRACTS		                 VALUE  
  Purchased Options (1.7%)#   
    Consumer Discretionary (0.5%)   
    Amazon.com, Inc.  
  370        Call, 01/18/14, Strike $260.00     1,831,500   
  180        Call, 01/18/14, Strike $250.00     1,035,900   
  1,560        Las Vegas Sands Corp.
Call, 01/17/15, Strike $55.00		     1,197,300   
  1,990        Lennar Corp.
Call, 01/17/15, Strike $37.00		     1,069,625   
     

 

 

  
        5,134,325   
     

 

 

  
    Financials (0.2%)   
  3,100        Citigroup, Inc.
Call, 01/18/14, Strike $50.00		     1,503,500   
     

 

 

  
    Health Care (0.7%)   
    Gilead Sciences, Inc.  
  1,500        Call, 01/17/15, Strike $60.00     1,578,750   
  1,400        Call, 01/18/14, Strike $36.25     3,559,500   
  215        Regeneron Pharmaceuticals, Inc.
Call, 01/17/15, Strike $250.00		     1,749,025   
     

 

 

  
        6,887,275   
     

 

 

  
    Information Technology (0.3%)   
  360        Apple, Inc.
Call, 01/18/14, Strike $545.00		     175,500   
  1,500        eBay, Inc.
Call, 01/18/14, Strike $40.00		     1,863,750   
  1,940        Salesforce.com, Inc.
Call, 01/18/14, Strike $38.75		     1,401,650   
     

 

 

  
        3,440,900   
     

 

 

  
    TOTAL PURCHASED OPTIONS     16,966,000   
     

 

 

  
    TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $108,022,806)		     113,104,895   
     

 

 

  
NUMBER OF
SHARES		                 VALUE  
  CONVERTIBLE PREFERRED STOCKS (18.8%)   
    Consumer Discretionary (2.4%)   
  465,274        General Motors Companyµ^
4.750%		     23,235,784   
     

 

 

  
NUMBER OF
SHARES		                 VALUE  
     
    Consumer Staples (0.7%)   
  62,000        Bunge, Ltd.
4.875%		   $ 6,556,500   
     

 

 

  
    Energy (2.9%)   
    Chesapeake Energy Corp.*  
  16,551        5.750%     17,750,947   
  9,415        5.750%     10,376,507   
     

 

 

  
        28,127,454   
     

 

 

  
    Financials (4.4%)   
  310,000        Affiliated Managers Group, Inc.µ
5.150%		     17,863,750   
  168,000        MetLife, Inc.µ
5.000%		     9,586,080   
  8,100        Wells Fargo & Companyµ
7.500%		     9,420,300   
  116,667        Weyerhaeuser Companyµ^
6.375%		     6,057,934   
     

 

 

  
        42,928,064   
     

 

 

  
    Industrials (5.8%)   
  65,800        Genesee & Wyoming, Inc.
5.000%		     8,191,442   
  102,760        Stanley Black & Decker, Inc.µ^
4.750%		     13,902,400   
  550,000        United Technologies Corp.µ^
7.500%		     35,271,500   
     

 

 

  
        57,365,342   
     

 

 

  
    Telecommunication Services (1.1%)   
  181,000        Intelsat, SA
5.750%		     10,684,430   
     

 

 

  
    Utilities (1.5%)   
  250,000        NextEra Energy, Inc.
5.599%		     14,700,000   
     

 

 

  
    TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $165,540,313)		     183,597,574   
     

 

 

  
  COMMON STOCKS (0.7%)   
    Financials (0.7%)   
  17,300        American International Group, Inc.µ#     787,323   
  118,574        MetLife, Inc.µ     5,741,353   
     

 

 

  
    TOTAL COMMON STOCKS
(Cost $4,940,433)		     6,528,676   
     

 

 

  
  SHORT TERM INVESTMENT (2.3%)   
  23,058,465        Fidelity Prime Money Market Fund - Institutional Class
(Cost $23,058,465)		     23,058,465   
     

 

 

  
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JULY 31, 2013 (UNAUDITED)

 

                  VALUE  

      TOTAL INVESTMENTS (140.1%)
(Cost $1,303,955,517)

   $ 1,370,559,889   
     

 

 

  
LIABILITIES, LESS OTHER ASSETS (-40.1%)     (392,293,651 ) 
     

 

 

  
NET ASSETS (100.0%)   $ 978,266,238   
     

 

 

  

NOTES TO SCHEDULE OF INVESTMENTS

µ   Security, or portion of security, is held in a segregated account as collateral for notes payable aggregating a total value of $906,581,808. $186,766,982 of the collateral has been re-registered by the counterparty, BNP (see Note 3 — Borrowings).
^   Security, or portion of security, is on loan.
*   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 from such registration requirements.
‡   Variable rate or step bond security. The rate shown is the rate in effect at July 31, 2013.
§   Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
~   Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for . The aggregate value of such securities is $2,959,613.
#   Non-income producing security.

FOREIGN CURRENCY ABBREVIATIONS

NOK    Norwegian Krone

Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date 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.

 

 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

INTEREST RATE SWAPS

 

COUNTERPARTY    FIXED RATE
(FUND PAYS)		      FLOATING RATE
(FUND RECEIVES)		      TERMINATION
DATE 		     NOTIONAL
AMOUNT 		       UNREALIZED
APPRECIATION/
(DEPRECIATION)		  
BNP Paribas, SA    2.430% quarterly      3 month LIBOR      04/14/14      $ 115,000,000         $ (1,862,873 ) 
BNP Paribas, SA    1.160% quarterly      3 month LIBOR      04/19/17        68,000,000           (344,295 ) 
                      

 

 

  
                       $ (2,207,168 ) 
                      

 

 

  

 

 

See accompanying Notes to Schedule of Investments

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 convertibles 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).

Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principle exchange at the time each 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 a Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principle exchange 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.

Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

Trading on European and Far Eastern 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 may be valued 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 reported sale price at the time 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. 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 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 trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. 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. Investment transactions are recorded on a trade date basis as of July 31, 2013.

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 value should the counterparty not perform under the contract.

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 July 31, 2013. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.

The cost basis of investments for federal income tax purposes at July 31, 2013 was as follows:

 

Cost basis of investments

    $ 1,331,480,652   
  

 

 

  

Gross unrealized appreciation

      71,652,765   

Gross unrealized depreciation

      (32,573,528 ) 
  

 

 

  

Net unrealized appreciation (depreciation)

    $ 39,079,237   
  

 

 

  

NOTE 3 — BORROWINGS

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $200.0 million and a lending agreement, as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to an initial limit of $200.0 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. Interest on the SSB agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is .20%). For the period ended July 31, 2013, the average borrowings under the Agreements were $271.2 million. For the period ended July 31, 2013, the average interest rate was 0.95%. As of July 31, 2013, the amount of total outstanding borrowings was $271.2 million, which approximates fair value. The interest rate applicable to the borrowings on July 31, 2013 was 0.92%.

The Lending Agreement with BNP is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the BNP Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.

Under the terms of the Lending Agreement with BNP, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the

extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Fund’s custodian for the ultimate delivery of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.

Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the securities Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. As of July 31, 2013, the Fund used approximately $123.8 million of its cash collateral to offset the SSB Agreement, representing 9.0% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.46%, which can fluctuate depending on interest rates.

NOTE 4 — INTEREST RATE SWAPS

The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.

NOTE 5 — 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 purchased 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 purchased 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 6 — FAIR VALUE MEASUREMENTS

Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:

 

  •  

Level 1 — Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

 

  •  

Level 2 — Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

  •  

Level 3 — Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Funds’ investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.

The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:

 

     LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets:

            

Corporate Bonds

    $ —       $ 720,854,925       $ —       $ 720,854,925   

Convertible Bonds

         320,754,050            320,754,050   

U.S. Government and Agency Securities

         2,661,304            2,661,304   

Synthetic Convertible Securities (Corporate Bonds)

         95,785,129            95,785,129   

Synthetic Convertible Securities (U.S. Government and Agency Securities)

         353,766            353,766   

Synthetic Convertible Securities (Purchased Options)

      16,966,000               16,966,000   

Convertible Preferred Stocks

      110,291,936         73,305,638            183,597,574   

Common Stocks

      6,528,676               6,528,676   

Short Term Investment

      23,058,465               23,058,465   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 156,845,077       $ 1,213,714,812       $ —       $ 1,370,559,889   
  

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities:

            

Interest Rate Swaps

    $ —       $ 2,207,168       $ —       $ 2,207,168   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ —       $ 2,207,168       $ —       $ 2,207,168   
  

 

 

     

 

 

     

 

 

     

 

 

  

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 18, 2013

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 18, 2013

By:   /s/     Nimish S. Bhatt
Name:   Nimish S. Bhatt
Title:   Principal Financial Officer
Date:  

September 18, 2013