N-Q 1 d168918dnq.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: 811-21080

 

 

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, 2016

DATE OF REPORTING PERIOD: January 31, 2016

 

 

 


ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2016 (UNAUDITED)


Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2016 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
  CORPORATE BONDS (60.2%)   
    Consumer Discretionary (14.5%)   
  1,800,000        Altice Luxembourg, SA*µ^
7.750%, 05/15/22
  $ 1,688,625   
  700,000        Argos Merger Sub, Inc.*µ^
7.125%, 03/15/23
    703,063   
    CalAtlantic Group, Inc.µ  
  6,000,000        6.625%, 05/01/20     6,495,000   
  1,680,000        5.375%, 10/01/22     1,697,850   
  2,750,000        CCO Safari II, LLC*µ
4.908%, 07/23/25
    2,748,281   
  3,051,000        Century Communities, Inc.µ
6.875%, 05/15/22
    2,768,782   
  6,833,000        Cooper Tire & Rubber Companyµ^
8.000%, 12/15/19
    7,618,795   
  6,048,000        Dana Holding Corp.µ^
6.750%, 02/15/21
    6,138,720   
  6,500,000        DISH DBS Corp.µ
7.875%, 09/01/19
    7,089,062   
  4,900,000        Dufry Finance, SCA*µ
5.500%, 10/15/20
    5,077,625   
  1,800,000        GameStop Corp.*
5.500%, 10/01/19
    1,764,000   
  2,761,000        Golden Nugget Escrow, Inc.*
8.500%, 12/01/21
    2,716,134   
  680,000        Goodyear Tire & Rubber Companyµ
5.125%, 11/15/23
    695,300   
  5,500,000        Hasbro, Inc.µ^
6.600%, 07/15/28
    6,348,512   
    L Brands, Inc.µ  
  3,000,000        7.600%, 07/15/37^     3,155,625   
  1,300,000        6.875%, 11/01/35*     1,340,625   
  865,000        6.950%, 03/01/33     867,703   
  1,645,000        Liberty Interactive, LLCµ^
8.250%, 02/01/30
    1,634,719   
    Meritage Homes Corp.µ  
  4,100,000        7.150%, 04/15/20     4,279,375   
  2,185,000        7.000%, 04/01/22     2,257,378   
  3,255,000        Netflix, Inc.µ
5.375%, 02/01/21
    3,480,816   
  3,400,000        Numericable-SFR SAS*µ^
6.000%, 05/15/22
    3,359,625   
  3,090,000        Outerwall, Inc.µ
6.000%, 03/15/19
    2,688,300   
  2,800,000        Penske Automotive Group, Inc.µ
5.375%, 12/01/24
    2,707,250   
  2,270,000        Reliance Intermediate Holdings, LP*µ
6.500%, 04/01/23
    2,322,494   
  3,005,000        Royal Caribbean Cruises, Ltd.µ^
7.500%, 10/15/27
    3,361,844   
  1,572,000        Sally Holdings, LLC / Sally Capital, Inc.µ
5.625%, 12/01/25
    1,624,072   
    Service Corp. Internationalµ  
  4,250,000        7.500%, 04/01/27     4,839,687   
  475,000        5.375%, 05/15/24     502,313   
  3,280,000        Six Flags Entertainment Corp.*µ
5.250%, 01/15/21
    3,351,750   
  3,222,000        Taylor Morrison Communities, Inc.*µ
5.250%, 04/15/21
    3,042,776   
PRINCIPAL
AMOUNT
                VALUE  
     
  3,600,000        Time, Inc.*µ
5.750%, 04/15/22
  $ 3,141,000   
    Toll Brothers Finance Corp.µ  
  5,051,000        5.625%, 01/15/24     5,199,373   
  1,350,000        4.000%, 12/31/18     1,377,844   
    ZF North America Capital, Inc.*µ  
  2,850,000        4.750%, 04/29/25     2,670,094   
  1,535,000        4.500%, 04/29/22     1,483,194   
     

 

 

 
        112,237,606   
     

 

 

 
    Consumer Staples (3.3%)   
  2,600,000        Alphabet Holding Company, Inc.
7.750%, 11/01/17
    2,544,750   
  4,100,000        Fidelity & Guaranty Life Holdings, Inc.*µ^
6.375%, 04/01/21
    4,205,062   
  6,575,000        JBS USA, LLC*µ^
7.250%, 06/01/21
    5,979,141   
  6,000,000        Land O’Lakes, Inc.*µ
6.000%, 11/15/22
    6,225,000   
    Post Holdings, Inc.µ  
  2,238,000        7.375%, 02/15/22     2,366,685   
  820,000        7.750%, 03/15/24*     872,788   
  3,600,000        Smithfield Foods, Inc.µ
6.625%, 08/15/22
    3,793,500   
     

 

 

 
        25,986,926   
     

 

 

 
    Energy (8.1%)   
  3,732,000        Atwood Oceanics, Inc.µ
6.500%, 02/01/20
    1,322,528   
  780,000        Berry Petroleum Company, LLCµ
6.375%, 09/15/22
    162,825   
  1,535,000        Bill Barrett Corp.µ
7.000%, 10/15/22
    855,763   
  2,270,000        Blue Racer Midstream, LLC / Blue Racer Finance Corp.*µ
6.125%, 11/15/22
    1,688,312   
  3,000,000        Bonanza Creek Energy, Inc.µ
6.750%, 04/15/21
    1,164,375   
  3,250,000        Calfrac Holdings, LP*µ^
7.500%, 12/01/20
    1,352,813   
    Calumet Specialty Products Partners, LPµ  
  3,300,000        7.625%, 01/15/22     2,450,250   
  819,000        6.500%, 04/15/21     591,216   
    Carrizo Oil & Gas, Inc.µ  
  4,900,000        7.500%, 09/15/20     3,782,187   
  1,550,000        6.250%, 04/15/23     1,086,938   
  2,450,000        Chesapeake Energy Corp.*
8.000%, 12/15/22
    1,067,281   
  6,940,000        Cimarex Energy Companyµ
5.875%, 05/01/22
    6,490,010   
  6,122,000        Drill Rigs Holdings, Inc.*
6.500%, 10/01/17
    3,183,440   
  935,000        Eclipse Resources Corp.*
8.875%, 07/15/23
    288,681   
    Energy Transfer Equity, LPµ  
  2,100,000        5.875%, 01/15/24     1,636,688   
  890,000        5.500%, 06/01/27     627,450   
  5,600,000        Gulfmark Offshore, Inc.µ^
6.375%, 03/15/22
    1,687,000   
  2,795,000        Gulfport Energy Corp.µ^
7.750%, 11/01/20
    2,480,562   
  6,500,000        Laredo Petroleum, Inc.µ
7.375%, 05/01/22
    4,854,687   
 

 

See accompanying Notes to Schedule of Investments


Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2016 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
  3,430,000        MPLX, LP*
4.875%, 06/01/25
  $ 2,605,531   
    Oasis Petroleum, Inc.µ  
  4,660,000        6.500%, 11/01/21     2,769,787   
  1,500,000        6.875%, 01/15/23     855,000   
  2,570,000        Pacific Drilling, SA*µ^
5.375%, 06/01/20
    634,469   
  2,782,000        Petroleum Geo-Services, ASA*µ
7.375%, 12/15/18
    1,926,535   
  846,000        Rice Energy, Inc.
7.250%, 05/01/23
    645,604   
  6,500,000        SEACOR Holdings, Inc.µ
7.375%, 10/01/19
    5,886,562   
  3,800,000        SM Energy Companyµ
6.500%, 11/15/21
    2,211,125   
  4,051,000        Trinidad Drilling, Ltd.*µ
7.875%, 01/15/19
    3,423,095   
  7,721,000        W&T Offshore, Inc.
8.500%, 06/15/19
    2,099,147   
  3,110,000        Western Refining, Inc.µ
6.250%, 04/01/21
    2,861,200   
     

 

 

 
        62,691,061   
     

 

 

 
    Financials (4.1%)   
  2,935,000        AON Corp.µ
8.205%, 01/01/27
    3,635,731   
  2,542,000        Black Knight InfoServ, LLCµ
5.750%, 04/15/23
    2,647,429   
  2,308,000        Brookfield Residential Properties, Inc.*µ
6.375%, 05/15/25
    1,947,375   
    DuPont Fabros Technology, LPµ  
  1,400,000        5.875%, 09/15/21     1,440,250   
  990,000        5.625%, 06/15/23     993,713   
  2,300,000        Equinix, Inc.µ
5.375%, 04/01/23
    2,379,063   
  3,310,000        First Cash Financial Services, Inc.µ
6.750%, 04/01/21
    3,210,700   
  300,000        Iron Mountain, Inc.*µ
6.000%, 10/01/20
    319,688   
  3,450,000        Jefferies Finance, LLC*µ
7.375%, 04/01/20
    2,891,531   
  2,590,000        Nationstar Mortgage, LLC / Nationstar Capital Corp.µ
6.500%, 07/01/21
    2,297,006   
  6,500,000        Neuberger Berman Group, LLC*µ
5.875%, 03/15/22
    6,804,135   
  3,100,000        Quicken Loans, Inc.*µ
5.750%, 05/01/25
    2,923,687   
     

 

 

 
        31,490,308   
     

 

 

 
    Health Care (5.6%)   
  4,600,000        Acadia Healthcare Company, Inc.µ
5.625%, 02/15/23
    4,344,125   
  3,700,000        Alere, Inc.
6.500%, 06/15/20
    3,623,688   
  4,280,000        Community Health Systems, Inc.µ
7.125%, 07/15/20
    4,108,800   
  3,700,000        DaVita HealthCare Partners, Inc.µ
5.125%, 07/15/24
    3,718,500   
  808,000        Endo International, PLC*µ‡
7.750%, 01/15/22
    842,845   
    HCA Holdings, Inc.µ  
  2,125,000        6.250%, 02/15/21     2,244,531   
PRINCIPAL
AMOUNT
                VALUE  
     
  2,000,000        5.875%, 05/01/23   $ 2,085,000   
  1,285,000        Hologic, Inc.*µ
5.250%, 07/15/22
    1,340,416   
  2,030,000        Jaguar Holding Company II / Pharmaceutical Product Development, LLC*µ
6.375%, 08/01/23
    2,005,894   
  2,900,000        Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*µ
5.625%, 10/15/23
    2,722,375   
  1,071,000        Surgical Care Affiliates, Inc.*µ
6.000%, 04/01/23
    1,040,878   
  6,850,000        Tenet Healthcare Corp.µ
6.750%, 02/01/20
    6,610,250   
    Valeant Pharmaceuticals International, Inc.*µ  
  7,500,000        7.000%, 10/01/20^     7,396,875   
  235,000        5.875%, 05/15/23     211,353   
  1,100,000        VPII Escrow Corp.*µ
6.750%, 08/15/18
    1,095,875   
     

 

 

 
        43,391,405   
     

 

 

 
    Industrials (7.9%)   
  5,250,000        ACCO Brands Corp.µ
6.750%, 04/30/20
    5,437,031   
  7,000,000        Deluxe Corp.µ
6.000%, 11/15/20
    7,288,750   
  2,690,000        Garda World Security Corp.*
7.250%, 11/15/21
    2,128,463   
  3,175,000        GrafTech International, Ltd.µ
6.375%, 11/15/20
    1,821,656   
  5,560,000        H&E Equipment Services, Inc.µ
7.000%, 09/01/22
    5,094,350   
    Icahn Enterprises, LPµ  
  3,825,000        5.875%, 02/01/22     3,432,937   
  2,640,000        6.000%, 08/01/20     2,491,500   
  620,000        4.875%, 03/15/19     573,500   
  3,500,000        Manitowoc Company, Inc.µ
8.500%, 11/01/20
    3,653,125   
    Meritor, Inc.µ  
  2,053,000        6.250%, 02/15/24^     1,611,605   
  1,810,000        6.750%, 06/15/21     1,587,144   
    Michael Baker International, LLC*µ  
  2,404,000        8.250%, 10/15/18     2,064,435   
  1,861,470        8.875%, 04/15/19     1,306,519   
  3,360,000        Navistar International Corp.
8.250%, 11/01/21
    2,100,000   
  1,904,000        Nortek, Inc.µ
8.500%, 04/15/21
    1,968,260   
  3,700,000        Terex Corp.
6.000%, 05/15/21
    3,341,563   
  2,500,000        Titan International, Inc.µ
6.875%, 10/01/20
    1,828,125   
  2,650,000        TransDigm, Inc.
5.500%, 10/15/20
    2,600,313   
  2,600,000        United Continental Holdings, Inc.µ
6.375%, 06/01/18
    2,700,750   
    United Rentals North America, Inc.µ  
  6,500,000        7.625%, 04/15/22     6,699,062   
  1,700,000        6.125%, 06/15/23     1,636,250   
     

 

 

 
        61,365,338   
     

 

 

 
 

 

See accompanying Notes to Schedule of Investments


Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2016 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
    Information Technology (7.2%)   
  3,800,000        Activision Blizzard, Inc.*µ
5.625%, 09/15/21
  $ 3,990,000   
    Amkor Technology, Inc.µ  
  3,710,000        6.375%, 10/01/22^     3,536,094   
  2,939,000        6.625%, 06/01/21     2,841,646   
  1,295,000        Anixter, Inc.*µ
5.500%, 03/01/23
    1,269,909   
  9,500,000        Belden, Inc.*µ
5.500%, 09/01/22
    9,108,125   
  3,970,000        Cardtronics, Inc.µ
5.125%, 08/01/22
    3,903,006   
  987,000        CDW, LLC / CDW Finance Corp.
5.000%, 09/01/23
    999,338   
  3,200,000        CommScope Technologies Finance, LLC*µ
6.000%, 06/15/25
    3,088,000   
  8,000,000        Hughes Satellite Systems Corp.µ
7.625%, 06/15/21
    8,625,000   
  8,000,000        J2 Global, Inc.µ
8.000%, 08/01/20
    8,420,000   
  3,660,000        Nuance Communications, Inc.*µ
5.375%, 08/15/20
    3,664,575   
  2,000,000        NXP Semiconductors, NV*µ
5.750%, 02/15/21
    2,063,750   
  3,900,000        ViaSat, Inc.µ
6.875%, 06/15/20
    4,107,187   
     

 

 

 
        55,616,630   
     

 

 

 
    Materials (4.2%)   
  2,750,000        Alcoa, Inc.µ
5.125%, 10/01/24
    2,253,281   
  3,700,000        ArcelorMittal, SAµ^
6.125%, 06/01/25
    2,675,562   
  1,599,000        Chemtura Corp.µ
5.750%, 07/15/21
    1,597,001   
    First Quantum Minerals, Ltd.*  
  818,000        7.000%, 02/15/21µ     370,656   
  818,000        6.750%, 02/15/20     377,814   
  6,880,000        Greif, Inc.µ
7.750%, 08/01/19
    7,684,100   
    INEOS Group Holdings, SA*µ^  
  2,800,000        6.125%, 08/15/18     2,789,500   
  1,400,000        5.875%, 02/15/19     1,357,125   
  4,694,000        New Gold, Inc.*µ
7.000%, 04/15/20
    3,969,364   
  2,650,000        PH Glatfelter Company
5.375%, 10/15/20
    2,600,313   
  1,040,000        Sealed Air Corp.*µ
5.250%, 04/01/23
    1,051,700   
  4,650,000        Trinseo Materials Operating, SCA*µ
6.750%, 05/01/22
    4,437,844   
  3,110,000        United States Steel Corp.µ
6.875%, 04/01/21
    1,387,838   
     

 

 

 
        32,552,098   
     

 

 

 
    Telecommunication Services (4.0%)   
  2,454,000        CenturyLink, Inc.µ
6.750%, 12/01/23
    2,309,226   
    Frontier Communications Corp.µ  
  3,214,000        7.625%, 04/15/24     2,697,751   
  2,200,000        11.000%, 09/15/25*     2,118,875   
  565,000        10.500%, 09/15/22*     550,522   
  330,000        6.875%, 01/15/25     263,588   
PRINCIPAL
AMOUNT
                VALUE  
     
    Intelsat, SA  
  6,340,000        7.750%, 06/01/21   $ 2,738,087   
  460,000        8.125%, 06/01/23     190,038   
  400,000        Neptune Finco Corp.*µ
10.125%, 01/15/23
    423,750   
  2,650,000        SBA Communications Corp.µ
5.625%, 10/01/19
    2,752,687   
    Sprint Corp.  
  13,445,000        7.875%, 09/15/23     9,554,353   
  1,690,000        7.125%, 06/15/24µ     1,142,863   
  1,180,000        7.250%, 09/15/21µ     846,650   
  5,640,000        T-Mobile USA, Inc.µ
6.625%, 04/01/23
    5,759,850   
     

 

 

 
        31,348,240   
     

 

 

 
    Utilities (1.3%)   
  2,050,000        AES Corp.
7.375%, 07/01/21
    2,117,906   
  5,775,000        AmeriGas Finance Corp.µ
7.000%, 05/20/22
    5,627,016   
  2,161,000        Calpine Corp.*µ
7.875%, 01/15/23
    2,306,867   
     

 

 

 
        10,051,789   
     

 

 

 
    TOTAL CORPORATE BONDS
(Cost $523,746,453)
    466,731,401   
     

 

 

 
  CONVERTIBLE BONDS (54.2%)   
    Consumer Discretionary (12.5%)   
  7,900,000        CalAtlantic Group, Inc.µ^
1.250%, 08/01/32
    8,277,778   
  3,500,000        Ctrip.com International, Ltd.*
1.000%, 07/01/20
    3,717,718   
    Jarden Corp.µ^  
  9,000,000        1.125%, 03/15/34     10,557,495   
  6,800,000        1.500%, 06/15/19     9,536,728   
  19,150,000        Liberty Interactive, LLC (Time Warner Cable, Inc., Time Warner, Inc.)§
0.750%, 03/30/43
    28,944,363   
  9,499,000        Liberty Media Corp.µ
1.375%, 10/15/23
    9,010,039   
    Priceline Group, Inc.µ^  
  8,200,000        1.000%, 03/15/18     10,379,150   
  3,700,000        0.900%, 09/15/21     3,558,327   
  15,775,000        Tesla Motors, Inc.µ^
1.250%, 03/01/21
    12,673,319   
     

 

 

 
        96,654,917   
     

 

 

 
    Energy (1.2%)   
  8,770,000        Chesapeake Energy Corp.
2.250%, 12/15/38
    2,866,694   
  12,200,000        Whiting Petroleum Corp.*
1.250%, 04/01/20
    6,589,708   
     

 

 

 
        9,456,402   
     

 

 

 
    Financials (4.6%)   
    Ares Capital Corp.µ  
  8,200,000        4.750%, 01/15/18     8,289,585   
  4,500,000        5.750%, 02/01/16     4,502,992   
  1,800,000     

EUR

  Azimut Holding, S.p.A.µ
2.125%, 11/25/20
    2,219,995   
  4,000,000        Colony Starwood Homes
3.000%, 07/01/19
    3,735,040   
 

 

See accompanying Notes to Schedule of Investments


Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2016 (UNAUDITED)

 

PRINCIPAL
AMOUNT
                VALUE  
     
  2,275,000        Extra Space Storage, LP*
3.125%, 10/01/35
  $ 2,552,664   
  4,000,000        IAS Operating Partnership, LP*µ
5.000%, 03/15/18
    3,765,880   
  1,311,000        MGIC Investment Corp.µ^
2.000%, 04/01/20
    1,473,315   
  4,800,000        Spirit Realty Capital, Inc.µ
2.875%, 05/15/19
    4,661,328   
  4,600,000        Starwood Property Trust, Inc.µ
4.550%, 03/01/18
    4,630,521   
     

 

 

 
        35,831,320   
     

 

 

 
    Health Care (10.1%)   
  5,795,000        Acorda Therapeutics, Inc.µ
1.750%, 06/15/21
    6,130,125   
  6,375,000        BioMarin Pharmaceutical, Inc.
1.500%, 10/15/20
    7,033,091   
  6,600,000       

Cepheidµ^

1.250%, 02/01/21

    5,590,530   
  6,600,000        Emergent Biosolutions, Inc.µ^
2.875%, 01/15/21
    8,630,457   
  680,000        Gilead Sciences, Inc.µ
1.625%, 05/01/16
    2,513,634   
  9,200,000        Hologic, Inc.‡
0.000%, 12/15/43
    11,250,266   
  7,250,000        Illumina, Inc.µ^
0.500%, 06/15/21
    7,916,855   
  3,520,000        Impax Laboratories, Inc.*
2.000%, 06/15/22
    3,289,545   
  1,610,000        Incyte Corp.
1.250%, 11/15/20
    2,479,706   
  5,950,000        Ionis Pharmaceuticals, Inc.
1.000%, 11/15/21
    5,304,663   
  3,943,000        Medidata Solutions, Inc.µ^
1.000%, 08/01/18
    4,032,664   
  5,970,000        Molina Healthcare, Inc.µ^
1.625%, 08/15/44
    6,839,769   
  2,800,000        NuVasive, Inc.
2.750%, 07/01/17
    3,424,134   
  4,382,000        Wright Medical Group, Inc.*µ^
2.000%, 02/15/20
    4,191,668   
     

 

 

 
        78,627,107   
     

 

 

 
    Industrials (0.3%)   
  2,258,000        Air Lease Corp.µ
3.875%, 12/01/18
    2,663,153   
     

 

 

 
    Information Technology (24.9%)   
  3,700,000        Citrix Systems, Inc.µ^
0.500%, 04/15/19
    3,908,791   
  5,680,000        Euronet Worldwide, Inc.µ^
1.500%, 10/01/44
    7,129,167   
  3,000,000        Finisar Corp.
0.500%, 12/15/33
    2,757,225   
    FireEye, Inc.*  
  5,900,000        1.000%, 06/01/35     4,847,351   
  5,334,000        1.625%, 06/01/35     4,083,524   
  3,200,000        Inphi Corp.*
1.125%, 12/01/20
    3,101,056   
  3,197,000        Integrated Device Technology, Inc.*
0.875%, 11/15/22
    3,221,217   
  12,575,000        Intel Corp.µ^
3.250%, 08/01/39
    19,329,221   
  2,600,000        Lam Research Corp.µ
0.500%, 05/15/16
    3,077,659   
PRINCIPAL
AMOUNT
                VALUE  
     
  8,700,000        LinkedIn Corp.
0.500%, 11/01/19
  $ 8,823,148   
  4,400,000        Mentor Graphics Corp.µ
4.000%, 04/01/31
    4,549,556   
  10,300,000        Microchip Technology, Inc.*
1.625%, 02/15/25
    9,978,176   
    Micron Technology, Inc.  
  3,250,000        2.125%, 02/15/33     4,018,430   
  1,500,000        1.625%, 02/15/33µ     1,800,945   
  2,500,000        Novellus Systems, Inc.µ
2.625%, 05/15/41
    5,341,612   
  8,500,000        NVIDIA Corp.
1.000%, 12/01/18
    12,805,292   
  3,800,000        NXP Semiconductors, NV
1.000%, 12/01/19
    4,006,511   
    ON Semiconductor Corp.µ  
  7,000,000        1.000%, 12/01/20*     6,226,290   
  5,400,000        2.625%, 12/15/26     5,755,779   
  1,737,000        Palo Alto Networks, Inc.
0.000%, 07/01/19
    2,526,493   
  3,500,000        Proofpoint, Inc.*
0.750%, 06/15/20
    3,325,858   
  3,000,000        Red Hat, Inc.µ^
0.250%, 10/01/19
    3,564,675   
  9,700,000        Salesforce.com, Inc.µ^
0.250%, 04/01/18
    11,495,518   
  6,680,000        ServiceNow, Inc.µ^
0.000%, 11/01/18
    7,183,639   
    SunEdison, Inc.µ  
  10,545,000        0.250%, 01/15/20*^     2,141,004   
  1,027,000        2.000%, 10/01/18     307,571   
    SunPower Corp.  
  5,725,000        0.750%, 06/01/18µ     6,847,014   
  3,300,000        4.000%, 01/15/23*     3,573,587   
  3,525,000        Synchronoss Technologies, Inc.µ
0.750%, 08/15/19
    3,382,097   
    Take-Two Interactive Software, Inc.  
  2,900,000        1.000%, 07/01/18µ^     4,825,963   
  700,000        1.750%, 12/01/16     1,277,115   
  12,050,000        Twitter, Inc.
1.000%, 09/15/21
    9,807,736   
  4,000,000        Verint Systems, Inc.µ^
1.500%, 06/01/21
    3,671,960   
    Workday, Inc.  
  5,650,000        0.750%, 07/15/18µ^     5,887,300   
  2,175,000        1.500%, 07/15/20     2,304,826   
  6,560,000        Yahoo!, Inc.
0.000%, 12/01/18
    6,313,836   
     

 

 

 
        193,197,142   
     

 

 

 
    Materials (0.6%)   
  1,857,000        Cemex, SAB de CV
3.720%, 03/15/20
    1,324,273   
  3,200,000        RTI International Metals, Inc.µ
1.625%, 10/15/19
    3,011,520   
     

 

 

 
        4,335,793   
     

 

 

 
    TOTAL CONVERTIBLE BONDS
(Cost $458,544,277)
    420,765,834   
     

 

 

 
 
 
U.S. GOVERNMENT AND AGENCY
SECURITY (0.1%)
  
  
  550,000       

United States Treasury Note~

0.875%, 11/30/16
(Cost $550,557)

    551,225   
     

 

 

 
 

 

See accompanying Notes to Schedule of Investments


Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2016 (UNAUDITED)

 

NUMBER OF
SHARES
                VALUE  
     
  CONVERTIBLE PREFERRED STOCKS (22.6%)   
    Consumer Discretionary (0.8%)   
  101,300        Fiat Chrysler Automobiles, NV
7.875%
  $ 6,552,641   
     

 

 

 
    Consumer Staples (2.4%)   
  62,000        Bunge, Ltd.µ
4.875%
    5,452,125   
  34,250        Post Holdings, Inc.
5.250%
    3,819,046   
  150,000        Tyson Foods, Inc.
4.750%
    9,006,000   
     

 

 

 
        18,277,171   
     

 

 

 
    Energy (0.2%)   
  76,400        Southwestern Energy Company
6.250%
    1,558,560   
     

 

 

 
    Financials (5.8%)   
  227,300        Affiliated Managers Group, Inc.µ
5.150%
    11,421,825   
    American Tower Corp.  
  71,400        5.250%µ     7,080,024   
  18,400        5.500%     1,817,000   
  105,000        Crown Castle International Corp.
4.500%
    11,128,950   
  143,750        Welltower, Inc.
6.500%
    8,159,250   
  116,667        Weyerhaeuser Company
6.375%
    5,346,849   
     

 

 

 
        44,953,898   
     

 

 

 
    Health Care (7.1%)   
  24,000        Allergan, PLCµ
5.500%
    22,758,960   
  54,765        Amsurg Corp.µ
5.250%
    7,567,975   
  335,165        Anthem, Inc.µ
5.250%
    14,777,425   
  10,250        Teva Pharmaceutical Industries, Ltd.
7.000%
    10,119,313   
     

 

 

 
        55,223,673   
     

 

 

 
    Industrials (1.1%)   
  63,850        Stanley Black & Decker, Inc.µ
6.250%
    6,773,208   
  19,550        Stericycle, Inc.
5.250%
    1,777,681   
     

 

 

 
        8,550,889   
     

 

 

 
    Materials (0.3%)   
  77,000        Alcoa, Inc.µ^
5.375%
    2,028,950   
     

 

 

 
    Telecommunication Services (2.1%)   
  64,153        Frontier Communications Corp.µ
11.125%
    5,733,995   
  144,000        Intelsat, SA
5.750%
    1,412,640   
  138,600        T-Mobile USA, Inc.µ
5.500%
    9,566,172   
     

 

 

 
        16,712,807   
     

 

 

 
NUMBER OF
SHARES
                VALUE  
     
    Utilities (2.8%)   
  66,876        Dominion Resources, Inc.µ
6.375%
  $ 3,327,750   
  145,000        Exelon Corp.µ
6.500%
    6,237,900   
  208,000        NextEra Energy, Inc.µ
5.799%
    11,835,200   
     

 

 

 
        21,400,850   
     

 

 

 
    TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $192,022,164)
    175,259,439   
     

 

 

 
  COMMON STOCKS (2.3%)   
    Financials (0.1%)   
  17,300        American International Group, Inc.µ     977,104   
     

 

 

 
    Health Care (1.8%)   
  165,000        Gilead Sciences, Inc.µ^     13,695,000   
     

 

 

 
    Industrials (0.4%)   
  33,345        United Technologies Corp.µ^     2,924,023   
     

 

 

 
    TOTAL COMMON STOCKS
(Cost $22,236,359)
    17,596,127   
     

 

 

 
  SHORT TERM INVESTMENT (5.1%)   
  40,033,266        Fidelity Prime Money Market Fund - Institutional Class
(Cost $40,033,266)
    40,033,266   
     

 

 

 

 
 

      TOTAL INVESTMENTS (144.5%)
(Cost $1,237,133,076)

    1,120,937,292   
     

 

 

 
  LIABILITIES, LESS OTHER ASSETS (-44.5%)     (345,127,553
     

 

 

 
  NET ASSETS (100.0%)   $ 775,809,739   
     

 

 

 

 

NOTES TO SCHEDULE OF INVESTMENTS
*   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.
µ   Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $695,547,374. $170,020,523 of the collateral has been re-registered by one of the counterparties, BNP (see Note 3 — Borrowings).
^   Security, or portion of security, is on loan.
  Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2016.
§   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 for swaps. The aggregate value of such securities is $551,225.

FOREIGN CURRENCY ABBREVIATION

EUR    European Monetary Unit

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.

 

 

See accompanying Notes to Schedule of Investments


Calamos Convertible and High Income Fund

 

INTEREST RATE SWAP

 

COUNTERPARTY    FIXED RATE
(FUND PAYS)
     FLOATING RATE
(FUND RECEIVES)
     TERMINATION
DATE
     NOTIONAL
AMOUNT
       UNREALIZED
APPRECIATION/
(DEPRECIATION)
 
BNP Paribas, SA    1.160% quarterly      3 month LIBOR      04/19/17      $ 68,000,000         $ (388,378
                      

 

 

 
                       $ (388,378
                      

 

 

 

 

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 strategy 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 and under normal circumstances, the Fund will invest at least 20% of its managed assets in convertible securities and at least 20% of its managed assets in below investment grade (high yield/high risk) non-convertible debt 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).

Significant Accounting Policies. The schedule of investments have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). The following summarizes the significant accounting policies of the Fund:

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 principal 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 principal 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 in 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 January 31, 2016.

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 January 31, 2016. 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 January 31, 2016 was as follows:

 

Cost basis of investments

   $ 1,251,410,696   
  

 

 

 

Gross unrealized appreciation

     39,955,326   

Gross unrealized depreciation

     (170,428,730
  

 

 

 

Net unrealized appreciation (depreciation)

   $ (130,473,404
  

 

 

 

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 $240.0 million and a lending agreement, (“Lending Agreement”) as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”, together with the BNP Agreement, “Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to a limit of $240.0 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 January 31, 2016, the average borrowings under the Agreements were $385.1 million. For the period ended January 31, 2016, the average interest rate was 1.09%. As of January 31, 2016, the amount of total outstanding borrowings was $362.0 million ($181.0 million under the BNP Agreement and $181.0 million under the SSB Agreement), which approximates fair value. The interest rate applicable to the borrowings on January 31, 2016 was 1.22%.

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 BNP 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 for the ultimate delivery of such Lent Securities, or equivalent securities, to be made to the Fund’s custodian, 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 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. The Fund has the right to call a loan and obtain the securities loaned at any time. As of January 31, 2016, the Fund did not use any of its cash collateral to offset the SSB Agreement, and was required to pay a “net income” payment equal to an annualized interest rate of 0.29%, which can fluctuate depending on interest rates. As of January 31, 2016, no securities were on loan.

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 — Fair Value Measurement

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 Fund’s 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

   $       $ 466,731,401       $       $ 466,731,401   

Convertible Bonds

             420,765,834                 420,765,834   

U.S. Government and Agency Security

             551,225                 551,225   

Convertible Preferred Stocks

     137,894,489         37,364,950                 175,259,439   

Common Stocks U.S.

     17,596,127                         17,596,127   

Short Term Investment

     40,033,266                         40,033,266   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 195,523,882       $ 925,413,410       $       $ 1,120,937,292   
  

 

 

    

 

 

    

 

 

    

 

 

 


     LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Liabilities:

           

Interest Rate Swap

   $       $ 388,378       $       $ 388,378   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $       $ 388,378       $       $ 388,378   
  

 

 

    

 

 

    

 

 

    

 

 

 


ITEM 2. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.

b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

(a) Certification of Principal Executive Officer.

(b) Certification of Principal Financial Officer.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Calamos Convertible and High Income Fund

By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:   March 21, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

Calamos Convertible and High Income Fund
By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:  

March 21, 2016

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

March 21, 2016