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: January 31, 2013

 

 

 

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

 

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  CORPORATE BONDS (83.6%)   
    Consumer Discretionary (16.5%)   
  1,433,000        AMC Networks, Inc.µ
4.750%, 12/15/22		   $ 1,446,434   
  6,231,000        American Axle & Manufacturing, Inc.µ
6.625%, 10/15/22		     6,499,712   
  774,000        Brookfield Residential Properties, Inc.µ*
6.500%, 12/15/20		     821,408   
  1,896,000        Continental Rubber Of America Corp.µ*
4.500%, 09/15/19		     1,950,510   
  6,082,000        Cooper Tire & Rubber Companyµ
8.000%, 12/15/19		     6,914,474   
  6,402,000        Dana Holding Corp.µ
6.750%, 02/15/21		     6,986,182   
    DISH Network Corp.µ  
  6,676,000        7.875%, 09/01/19     7,915,232   
  5,608,000        5.875%, 07/15/22     6,028,600   
  4,361,000        Dufry Finance SCAµ*
5.500%, 10/15/20		     4,565,422   
  5,207,000        Express, LLCµ
8.750%, 03/01/18		     5,672,376   
    Goodyear Tire & Rubber Companyµ  
  4,896,000        8.250%, 08/15/20     5,419,260   
  2,670,000        7.000%, 05/15/22     2,876,925   
  4,896,000        Hasbro, Inc.µ
6.600%, 07/15/28		     5,584,818   
  8,267,000        Icahn Enterprises, LPµ
8.000%, 01/15/18		     8,887,025   
  2,554,000        J.C. Penney Company, Inc.µ
7.125%, 11/15/23		     2,164,515   
    Jaguar Land Rover, PLCµ*  
  4,718,000        8.125%, 05/15/21     5,372,622   
  3,204,000        7.750%, 05/15/18     3,518,392   
  2,225,000        5.625%, 02/01/23     2,298,703   
    Lear Corp.µ  
  4,406,000        8.125%, 03/15/20     4,945,735   
  668,000        4.750%, 01/15/23*     665,913   
  3,115,000        Liberty Media Corp.µ
8.250%, 02/01/30		     3,451,809   
    Limited Brands, Inc.µ  
  2,670,000        7.600%, 07/15/37     2,876,925   
  1,337,000        5.625%, 02/15/22     1,448,138   
  890,000        6.950%, 03/01/33     917,813   
    Meritage Homes Corp.µ  
  2,581,000        7.000%, 04/01/22     2,855,231   
  1,335,000        7.150%, 04/15/20     1,483,519   
  2,897,000        Netflix, Inc.*†
5.375%, 02/01/21		     2,895,189   
  3,222,000        Phillips-Van Heusen Corp.µ
7.375%, 05/15/20		     3,658,984   
  1,762,000        PVH Corp.µ
4.500%, 12/15/22		     1,766,405   
    Royal Caribbean Cruises, Ltd.µ  
  5,372,000        5.250%, 11/15/22     5,744,682   
  3,471,000        7.500%, 10/15/27     3,950,432   
    Ryland Group, Inc.µ  
  5,341,000        6.625%, 05/01/20     5,981,920   
  1,495,000        5.375%, 10/01/22     1,536,113   
  2,056,000        Sally Holdings, LLCµ
5.750%, 06/01/22		     2,193,495   
PRINCIPAL
AMOUNT		                 VALUE  
     
  7,566,000        Service Corp. Internationalµ
7.500%, 04/01/27		   $ 8,379,345   
  2,946,000        Sirius XM Radio, Inc.µ*
5.250%, 08/15/22		     3,001,238   
  2,920,000        Six Flags Entertainment Corp.µ*
5.250%, 01/15/21		     2,940,075   
  2,359,000        Sotheby’sµ*
5.250%, 10/01/22		     2,388,488   
  6,286,000        Vail Resorts, Inc.µ
6.500%, 05/01/19		     6,796,737   
  3,738,000        Viking Cruises, Ltd.µ*
8.500%, 10/15/22		     4,130,490   
  236,000        Wolverine World Wide, Inc.µ*
6.125%, 10/15/20		     249,718   
     

 

 

  
        159,181,004   
     

 

 

  
    Consumer Staples (4.1%)   
  2,670,000        Dean Foods Companyµ
9.750%, 12/15/18		     3,048,806   
  579,000        Elizabeth Arden, Inc.µ
7.375%, 03/15/21		     649,928   
  5,852,000        JBS USA, LLCµ*
7.250%, 06/01/21		     6,122,655   
  5,341,000        Land O’Lakes, Inc.µ*
6.000%, 11/15/22		     5,754,927   
  9,279,000        Post Holdings, Inc.µ
7.375%, 02/15/22		     10,363,483   
  10,681,000        Smithfield Foods, Inc.µ
6.625%, 08/15/22		     11,855,910   
  1,780,000        Wells Enterprises, Inc.µ*
6.750%, 02/01/20		     1,856,763   
     

 

 

  
        39,652,472   
     

 

 

  
    Energy (18.6%)   
  1,415,000        Access Midstream Partners, LPµ
4.875%, 05/15/23		     1,417,653   
  24,923,000     

NOK

   Aker Solutions, ASA‡
6.150%, 06/06/17		     4,756,124   
  2,414,000        Atwood Oceanics, Inc.µ
6.500%, 02/01/20		     2,628,243   
  5,341,000        Berry Petroleum Companyµ
6.375%, 09/15/22		     5,648,107   
  6,631,000        Bristow Group, Inc.µ
6.250%, 10/15/22		     7,194,635   
  2,893,000        Calfrac Holdings, LPµ*
7.500%, 12/01/20		     2,920,122   
    Calumet Specialty Products, LPµ  
  5,786,000        9.375%, 05/01/19     6,369,873   
  1,780,000        9.625%, 08/01/20*     1,990,263   
    Carrizo Oil & Gas, Inc.µ  
  4,985,000        8.625%, 10/15/18     5,424,303   
  4,361,000        7.500%, 09/15/20     4,581,776   
  3,560,000        Chesapeake Energy Corp.µ
9.500%, 02/15/15		     4,053,950   
  1,486,000        Chesapeake Oilfield Finance, Inc.µ*
6.625%, 11/15/19		     1,480,428   
  7,121,000        Cimarex Energy Companyµ
5.875%, 05/01/22		     7,686,229   
    Continental Resources, Inc.µ  
  4,673,000        5.000%, 09/15/22     5,000,110   
  1,780,000        8.250%, 10/01/19     2,003,613   
  2,029,000        Denbury Resources, Inc.†
4.625%, 07/15/23		     2,001,101   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  6,854,000        Drill Rigs Holdings, Inc.µ*
6.500%, 10/01/17		   $ 6,948,242   
  870,000        Frontier Oil Corp.µ
6.875%, 11/15/18		     940,144   
  6,676,000        GulfMark Offshore, Inc.µ*
6.375%, 03/15/22		     6,930,522   
  4,450,000        Holly Energy Partners, LPµ*
6.500%, 03/01/20		     4,755,937   
  1,179,000        HollyFrontier Corp.µ
9.875%, 06/15/17		     1,274,057   
  1,246,000        Hornbeck Offshore Services, Inc.µ
5.875%, 04/01/20		     1,314,530   
  1,433,000        Kodiak Oil + Gas Corp.µ*
5.500%, 01/15/21		     1,453,599   
  5,786,000        Laredo Petroleum, Inc.µ
7.375%, 05/01/22		     6,306,740   
    Linn Energy, LLCµ  
  4,450,000        8.625%, 04/15/20     4,939,500   
  2,670,000        6.250%, 11/01/19*     2,675,006   
  1,780,000        7.750%, 02/01/21     1,922,400   
  890,000        6.500%, 05/15/19     908,913   
  3,916,000        MarkWest Energy Partners, LPµ
5.500%, 02/15/23		     4,177,882   
    Oasis Petroleum, Inc.µ  
  4,148,000        6.500%, 11/01/21     4,443,545   
  1,335,000        6.875%, 01/15/23     1,460,156   
  1,317,000        Oil States International, Inc.µ*
5.125%, 01/15/23		     1,346,633   
  4,896,000        Parker Drilling Companyµ
9.125%, 04/01/18		     5,330,520   
  2,476,000        Petroleum Geo-Services, ASAµ*
7.375%, 12/15/18		     2,714,315   
  4,139,000        Pioneer Drilling Companyµ
9.875%, 03/15/18		     4,542,552   
  5,786,000        Samson Investment Companyµ*
9.750%, 02/15/20		     6,191,020   
  5,786,000        SEACOR Holdings, Inc.µ
7.375%, 10/01/19		     6,270,577   
    SESI, LLCµ  
  3,382,000        6.875%, 06/01/14     3,405,573   
  2,225,000        7.125%, 12/15/21     2,489,219   
    SM Energy Companyµ  
  3,882,000        6.625%, 02/15/19     4,129,477   
  3,382,000        6.500%, 11/15/21     3,639,877   
  3,916,000        Swift Energy Companyµ
8.875%, 01/15/20		     4,285,572   
  472,000        Tesoro Corp.µ
5.375%, 10/01/22		     494,125   
  3,249,000        Tesoro Logistics, LPµ*
5.875%, 10/01/20		     3,403,328   
  3,606,000        Trinidad Drilling, Ltd.µ*
7.875%, 01/15/19		     3,849,405   
    W&T Offshore, Inc.µ  
  8,456,000        8.500%, 06/15/19     9,121,910   
  1,068,000        8.500%, 06/15/19*     1,139,423   
  1,582,000        Whiting Petroleum Corp.µ
6.500%, 10/01/18		     1,713,504   
     

 

 

  
        179,674,733   
     

 

 

  
    Financials (2.0%)  
  2,612,000        AON Corp.µ
8.205%, 01/01/27		     3,346,050   
  3,796,000        Legg Mason, Inc.µ*
6.000%, 05/21/19		     4,169,470   
  5,786,000        Neuberger Berman Group LLCµ*
5.875%, 03/15/22		     6,219,950   
PRINCIPAL
AMOUNT		                 VALUE  
     
    Nuveen Investments, Inc.*  
  2,848,000        9.500%, 10/15/20µ^   $ 2,904,960   
  2,848,000        9.125%, 10/15/17     2,880,040   
     

 

 

  
        19,520,470   
     

 

 

  
    Health Care (9.9%)  
  11,215,000        Community Health Systems, Inc.µ
7.125%, 07/15/20		     12,196,312   
  6,168,000        DaVita, Inc.µ
6.625%, 11/01/20		     6,765,525   
    Endo Pharmaceuticals Holdings, Inc.µ  
  5,964,000        7.000%, 12/15/20     6,470,940   
  1,335,000        7.000%, 07/15/19     1,448,475   
  1,006,000        Fresenius Medµ*
5.875%, 01/31/22		     1,100,313   
  3,681,000        Grifols, SAµ
8.250%, 02/01/18		     4,065,204   
    HCA Holdings, Inc.µ  
  8,634,000        7.750%, 05/15/21     9,529,777   
  1,891,000        6.250%, 02/15/21     2,008,006   
  1,780,000        HCA, Inc.µ
5.875%, 05/01/23		     1,864,550   
  4,050,000        Health Management Associates, Inc.µ
7.375%, 01/15/20		     4,475,250   
  8,015,000        Hologic, Inc.µ*
6.250%, 08/01/20		     8,581,059   
  5,341,000        Teleflex, Inc.µ
6.875%, 06/01/19		     5,838,381   
    Tenet Healthcare Corp.  
  6,097,000        6.750%, 02/01/20     6,417,093   
  1,086,000        4.500%, 04/01/21*†     1,073,783   
    Valeant Pharmaceuticals International, Inc.µ*  
  6,676,000        7.000%, 10/01/20     7,147,493   
  5,786,000        7.250%, 07/15/22     6,223,566   
  1,157,000        6.750%, 10/01/17     1,240,159   
  8,677,000        Warner Chilcott Company, LLCµ
7.750%, 09/15/18		     9,425,391   
     

 

 

  
        95,871,277   
     

 

 

  
    Industrials (11.7%)  
  8,456,000        Belden, Inc.µ*
5.500%, 09/01/22		     8,762,530   
  2,848,000        Bombardier, Inc.µ*
6.125%, 01/15/23		     2,892,500   
  2,559,000        Clean Harbors, Inc.µ*
5.125%, 06/01/21		     2,651,764   
    Deluxe Corp.µ  
  6,231,000        6.000%, 11/15/20*     6,328,359   
  5,341,000        7.000%, 03/15/19     5,738,237   
  2,866,000        Digitalglobe, Inc.*
5.250%, 02/01/21		     2,866,000   
    Dycom Investments, Inc.µ  
  4,297,000        7.125%, 01/15/21     4,584,362   
  1,246,000        7.125%, 01/15/21*     1,297,398   
  5,163,000        Edgen Murray Corp.*
8.750%, 11/01/20		     5,266,260   
  3,573,000        General Cable Corp.µ*
5.750%, 10/01/22		     3,758,349   
  2,826,000        GrafTech International, Ltd.µ*
6.375%, 11/15/20		     3,011,456   
  4,949,000        H&E Equipment Services, Inc.µ*
7.000%, 09/01/22		     5,431,527   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  2,875,000       

Iron Mountain, Inc.µ

5.750%, 08/15/24

   $ 2,948,672   
    Manitowoc Company, Inc.µ  
  3,115,000        8.500%, 11/01/20     3,518,003   
  2,581,000        5.875%, 10/15/22     2,611,649   
  4,673,000       

Mead Products, LLC/ Acco Brands Corp.µ*

6.750%, 04/30/20

     4,979,666   
  917,000       

Nielsen Finance, LLCµ*

4.500%, 10/01/20

     911,842   
    Nortek, Inc.  
  935,000        8.500%, 04/15/21*     1,061,225   
  760,000        8.500%, 04/15/21     868,300   
  9,199,000       

Rexel, SAµ*^

6.125%, 12/15/19

     9,871,677   
  4,450,000       

Sensata Technologies Holding, B.V.µ*

6.500%, 05/15/19

     4,797,656   
    Terex Corp.µ  
  4,860,000        6.000%, 05/15/21     5,136,413   
  463,000        6.500%, 04/01/20     496,278   
    TransDigm Group, Inc.µ  
  2,359,000        5.500%, 10/15/20*     2,462,206   
  1,738,000        7.750%, 12/15/18     1,935,698   
    Triumph Group, Inc.µ  
  5,786,000        8.625%, 07/15/18     6,447,774   
  837,000        8.000%, 11/15/17     906,053   
  4,896,000       

United Rentals North America, Inc.µ

6.125%, 06/15/23

     5,299,920   
  5,786,000       

UR Financing Escrow Corp.µ

7.625%, 04/15/22

     6,502,017   
     

 

 

  
        113,343,791   
     

 

 

  
    Information Technology (10.3%)   
    Amkor Technology, Inc.µ  
  4,896,000        7.375%, 05/01/18     5,189,760   
  2,616,000        6.625%, 06/01/21     2,691,210   
  1,522,000        6.375%, 10/01/22     1,538,171   
  7,913,000       

Audatex North America, Inc.µ*

6.750%, 06/15/18

     8,481,747   
  1,985,000       

Brocade Communications Systems, Inc.µ*

4.625%, 01/15/23

     1,973,834   
  7,121,000       

Hughes Satellite Systems Corp.µ

7.625%, 06/15/21

     8,229,206   
  454,000       

IAC/InterActiveCorpµ*

4.750%, 12/15/22

     454,851   
  8,456,000       

iGATE Corp.µ

9.000%, 05/01/16

     9,322,740   
  7,121,000       

J2 Global, Inc.µ

8.000%, 08/01/20

     7,379,136   
  7,901,000       

Lender Process Services Company, Inc.µ

5.750%, 04/15/23

     8,394,812   
  9,844,000       

Nuance Communications, Inc.µ*

5.375%, 08/15/20

     10,194,692   
  1,068,000       

NXP BV†

5.750%, 02/15/21

     1,068,000   
  7,103,000       

Sanmina-SCI Corp.µ*

7.000%, 05/15/19

     7,307,211   
    Seagate Technologyµ  
  5,118,000        7.000%, 11/01/21     5,687,378   
  3,783,000        6.875%, 05/01/20     4,158,936   
  1,558,000        7.750%, 12/15/18     1,732,301   
PRINCIPAL
AMOUNT		                 VALUE  
     
  4,508,000       

SunGard Data Systems, Inc.*

6.625%, 11/01/19

   $ 4,640,423   
  3,471,000       

ViaSat, Inc.µ

6.875%, 06/15/20

     3,722,648   
  5,341,000       

Viasystems, Inc.µ*

7.875%, 05/01/19

     5,361,029   
  1,840,000       

WEX, Inc.µ*

4.750%, 02/01/23

     1,841,150   
     

 

 

  
        99,369,235   
     

 

 

  
    Materials (6.7%)  
  1,869,000       

Airgas, Inc.µ

7.125%, 10/01/18

     2,008,026   
  654,000       

AngloGold Holdings, PLCµ

5.125%, 08/01/22

     668,810   
  1,246,000       

Ardagh Packaging Finance PLC*

7.000%, 11/15/20

     1,268,584   
  4,925,000       

Clearwater Paper Corp.µ

7.125%, 11/01/18

     5,392,875   
  8,011,000       

FMG Resourcesµ*

8.250%, 11/01/19

     8,676,914   
  6,124,000       

Greif, Inc.µ

7.750%, 08/01/19

     7,161,252   
  4,718,000       

IAMGOLD Corp.µ*

6.750%, 10/01/20

     4,641,332   
    Inmet Mining Corp.µ*  
  5,341,000        8.750%, 06/01/20     5,938,524   
  1,691,000        7.500%, 06/01/21     1,822,053   
    New Gold, Inc.µ*  
  4,896,000        7.000%, 04/15/20     5,290,740   
  1,326,000        6.250%, 11/15/22     1,397,273   
  2,359,000       

PH Glatfelter Companyµ

5.375%, 10/15/20

     2,479,899   
    Sealed Air Corp.µ*  
  4,032,000        8.125%, 09/15/19     4,616,640   
  2,021,000        6.500%, 12/01/20     2,238,258   
    Steel Dynamics, Inc.µ  
  2,681,000        6.125%, 08/15/19*     2,908,885   
  1,535,000        7.625%, 03/15/20     1,722,078   
  1,113,000        6.375%, 08/15/22*     1,204,127   
  5,625,000        Trinseo Op / Trinseo Finance, Inc.µ*
8.750%, 02/01/19		     5,610,937   
     

 

 

  
        65,047,207   
     

 

 

  
    Telecommunication Services (1.5%)  
  6,231,000       

Qwest Communications International, Inc.µ

7.750%, 02/15/31

     6,640,969   
  2,359,000       

SBA Communications Corp.µ*

5.625%, 10/01/19

     2,487,270   
  4,956,000       

tw telecom, Inc.µ

5.375%, 10/01/22

     5,253,360   
     

 

 

  
        14,381,599   
     

 

 

  
    Utilities (2.3%)  
  3,605,000       

AES Corp.µ

7.375%, 07/01/21

     4,035,347   
  8,233,000       

AmeriGas Finance Corp.µ

7.000%, 05/20/22

     8,999,698   
    Calpine Corp.µ*  
  4,206,000        7.875%, 07/31/20     4,676,546   
  3,004,000        7.875%, 01/15/23     3,328,807   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  1,314,000        7.500%, 02/15/21   $ 1,431,439   
     

 

 

  
        22,471,837   
     

 

 

  
    TOTAL CORPORATE BONDS
(Cost $761,976,541)		     808,513,625   
     

 

 

  
  CONVERTIBLE BONDS (17.2%)   
    Consumer Discretionary (5.4%)   
  1,317,000       

Jarden Corp.µ*

1.875%, 09/15/18

     1,449,793   
  2,650,000       

KB Homeµ

1.375%, 02/01/19

     2,706,313   
  17,838,740       

Liberty Media Corp. (Time Warner, Inc.)µ§

3.125%, 03/30/23

     26,115,647   
  6,552,000       

Priceline.com, Inc.µ*

1.000%, 03/15/18

     7,256,340   
  2,900,000       

Standard Pacific Corp.µ

1.250%, 08/01/32

     3,645,242   
  7,100,000     

EUR

  

Volkswagen International Finance, NVµ*

5.500%, 11/09/15

     11,141,001   
     

 

 

  
        52,314,336   
     

 

 

  
    Energy (1.0%)   
  11,000,000       

Chesapeake Energy Corp.µ

2.250%, 12/15/38

     9,717,565   
     

 

 

  
    Financials (3.1%)   
  8,300,000       

Affiliated Managers Group, Inc.µ

3.950%, 08/15/38

     9,852,681   
    Ares Capital Corp.µ  
  8,200,000        4.750%, 01/15/18*     8,433,249   
  4,500,000        5.750%, 02/01/16     4,865,783   
  5,500,000       

ProLogis, LP

3.250%, 03/15/15

     6,474,655   
     

 

 

  
        29,626,368   
     

 

 

  
    Health Care (2.2%)   
  1,834,000       

Hologic, Inc.µ‡

2.000%, 12/15/37

     2,277,938   
  2,000,000       

Medicines Companyµ*

1.375%, 06/01/17

     2,503,460   
  8,500,000       

Teleflex, Inc.µ

3.875%, 08/01/17

     11,289,785   
  5,250,000       

Volcano Corp.µ

1.750%, 12/01/17

     5,484,649   
     

 

 

  
        21,555,832   
     

 

 

  
    Industrials (0.8%)   
  6,500,000       

Trinity Industries, Inc.µ

3.875%, 06/01/36

     7,700,420   
     

 

 

  
    Information Technology (4.1%)   
  2,700,000       

Ixiaµ

3.000%, 12/15/15

     3,327,277   
  11,000,000       

Mentor Graphics Corp.µ

4.000%, 04/01/31

     12,776,885   
  6,000,000       

Nuance Communications, Inc.µ

2.750%, 11/01/31

     6,730,680   
  13,600,000       

SanDisk Corp.µ

1.500%, 08/15/17

     16,936,284   
     

 

 

  
        39,771,126   
     

 

 

  
PRINCIPAL
AMOUNT		                 VALUE  
    Materials (0.6%)   
  3,200,000       

Silver Standard Resources, Inc.µ*

2.875%, 02/01/33

   $ 3,049,888   
  2,199,000       

Steel Dynamics, Inc.µ

5.125%, 06/15/14

     2,473,985   
     

 

 

  
        5,523,873   
     

 

 

  
    TOTAL CONVERTIBLE BONDS
(Cost $154,071,939)		     166,209,520   
     

 

 

  
 
 		 U.S. GOVERNMENT AND AGENCY
SECURITIES (0.6%)		   
  
    United States Treasury Note~  
  3,783,000        1.375%, 02/15/13µ^     3,784,921   
  1,780,000        0.125%, 08/31/13     1,779,965   
     

 

 

  
    TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES
(Cost $5,564,158)		     5,564,886   
     

 

 

  
  SOVEREIGN BOND (1.1%)   
  2,136,000     

BRL

  

Federative Republic of Brazil

10.000%, 01/01/14
(Cost $11,611,569)

     11,060,229   
     

 

 

  
  SYNTHETIC CONVERTIBLE SECURITIES (12.4%)   
  Corporate Bonds (10.3%)   
    Consumer Discretionary (2.0%)   
  177,000       

AMC Networks, Inc.µ

4.750%, 12/15/22

     178,659   
  769,000       

American Axle & Manufacturing, Inc.µ

6.625%, 10/15/22

     802,163   
  96,000       

Brookfield Residential Properties, Inc.µ*

6.500%, 12/15/20

     101,880   
  234,000       

Continental Rubber Of America Corp.µ*

4.500%, 09/15/19

     240,728   
  751,000       

Cooper Tire & Rubber Companyµ

8.000%, 12/15/19

     853,793   
  790,000       

Dana Holding Corp.µ

6.750%, 02/15/21

     862,087   
    DISH Network Corp.µ  
  824,000        7.875%, 09/01/19     976,955   
  692,000        5.875%, 07/15/22     743,900   
  539,000       

Dufry Finance SCAµ*

5.500%, 10/15/20

     564,266   
  643,000       

Express, LLCµ

8.750%, 03/01/18

     700,468   
    Goodyear Tire & Rubber Companyµ  
  604,000        8.250%, 08/15/20     668,552   
  330,000        7.000%, 05/15/22     355,575   
  604,000       

Hasbro, Inc.µ

6.600%, 07/15/28

     688,977   
  1,021,000       

Icahn Enterprises, LPµ

8.000%, 01/15/18

     1,097,575   
  315,000       

J.C. Penney Company, Inc.µ

7.125%, 11/15/23

     266,963   
    Jaguar Land Rover, PLCµ*  
  582,000        8.125%, 05/15/21     662,752   
  396,000        7.750%, 05/15/18     434,857   
  275,000        5.625%, 02/01/23     284,109   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
    Lear Corp.µ  
  544,000        8.125%, 03/15/20   $ 610,640   
  82,000        4.750%, 01/15/23*     81,744   
  385,000        Liberty Media Corp.µ
8.250%, 02/01/30		     426,628   
    Limited Brands, Inc.µ  
  330,000        7.600%, 07/15/37     355,575   
  165,000        5.625%, 02/15/22     178,716   
  110,000        6.950%, 03/01/33     113,438   
    Meritage Homes Corp.µ  
  319,000        7.000%, 04/01/22     352,894   
  165,000        7.150%, 04/15/20     183,356   
  358,000        Netflix, Inc.*†
5.375%, 02/01/21		     357,776   
  398,000        Phillips-Van Heusen Corp.µ
7.375%, 05/15/20		     451,979   
  218,000        PVH Corp.µ
4.500%, 12/15/22		     218,545   
    Royal Caribbean Cruises, Ltd.µ  
  663,000        5.250%, 11/15/22     708,996   
  429,000        7.500%, 10/15/27     488,256   
    Ryland Group, Inc.µ  
  659,000        6.625%, 05/01/20     738,080   
  185,000        5.375%, 10/01/22     190,088   
  254,000        Sally Holdings, LLCµ
5.750%, 06/01/22		     270,986   
  934,000        Service Corp. Internationalµ
7.500%, 04/01/27		     1,034,405   
  364,000        Sirius XM Radio, Inc.µ*
5.250%, 08/15/22		     370,825   
  360,000        Six Flags Entertainment Corp.µ*
5.250%, 01/15/21		     362,475   
  291,000        Sotheby’sµ*
5.250%, 10/01/22		     294,637   
  776,000        Vail Resorts, Inc.µ
6.500%, 05/01/19		     839,050   
  462,000        Viking Cruises, Ltd.µ*
8.500%, 10/15/22		     510,510   
  29,000        Wolverine World Wide, Inc.µ*
6.125%, 10/15/20		     30,686   
     

 

 

  
        19,654,544   
     

 

 

  
    Consumer Staples (0.5%)   
  330,000        Dean Foods Companyµ
9.750%, 12/15/18		     376,819   
  71,000        Elizabeth Arden, Inc.µ
7.375%, 03/15/21		     79,698   
  723,000        JBS USA, LLCµ*
7.250%, 06/01/21		     756,439   
  659,000        Land O’ Lakes, Inc.µ*
6.000%, 11/15/22		     710,072   
  1,146,000        Post Holdings, Inc.µ
7.375%, 02/15/22		     1,279,939   
  1,319,000        Smithfield Foods, Inc.µ
6.625%, 08/15/22		     1,464,090   
  220,000        Wells Enterprises, Inc.µ*
6.750%, 02/01/20		     229,487   
     

 

 

  
        4,896,544   
     

 

 

  
    Energy (2.3%)   
  175,000        Access Midstream Partners, LPµ
4.875%, 05/15/23		     175,328   
  3,077,000     

NOK

   Aker Solutions, ASA‡
6.150%, 06/06/17		     587,192   
  298,000        Atwood Oceanics, Inc.µ
6.500%, 02/01/20		     324,448   
PRINCIPAL
AMOUNT		                 VALUE  
     
  659,000        Berry Petroleum Companyµ
6.375%, 09/15/22		   $ 696,892   
  819,000        Bristow Group, Inc.µ
6.250%, 10/15/22		     888,615   
  357,000        Calfrac Holdings, LPµ*
7.500%, 12/01/20		     360,347   
    Calumet Specialty Products, LPµ  
  714,000        9.375%, 05/01/19     786,050   
  220,000        9.625%, 08/01/20*     245,988   
    Carrizo Oil & Gas, Inc.µ  
  615,000        8.625%, 10/15/18     669,197   
  539,000        7.500%, 09/15/20     566,287   
  440,000        Chesapeake Energy Corp.µ
9.500%, 02/15/15		     501,050   
  184,000        Chesapeake Oilfield Finance, Inc.µ*
6.625%, 11/15/19		     183,310   
  879,000        Cimarex Energy Companyµ
5.875%, 05/01/22		     948,771   
    Continental Resources, Inc.µ  
  577,000        5.000%, 09/15/22     617,390   
  220,000        8.250%, 10/01/19     247,638   
  251,000        Denbury Resources, Inc.†
4.625%, 07/15/23		     247,549   
  846,000        Drill Rigs Holdings, Inc.µ*
6.500%, 10/01/17		     857,632   
  107,000        Frontier Oil Corp.µ
6.875%, 11/15/18		     115,627   
  824,000        GulfMark Offshore, Inc.µ*
6.375%, 03/15/22		     855,415   
  550,000        Holly Energy Partners, LPµ*
6.500%, 03/01/20		     587,812   
  146,000        HollyFrontier Corp.µ
9.875%, 06/15/17		     157,771   
  154,000        Hornbeck Offshore Services, Inc.µ
5.875%, 04/01/20		     162,470   
  177,000        Kodiak Oil + Gas Corp.µ*
5.500%, 01/15/21		     179,544   
  714,000        Laredo Petroleum, Inc.µ
7.375%, 05/01/22		     778,260   
    Linn Energy, LLCµ  
  550,000        8.625%, 04/15/20     610,500   
  330,000        6.250%, 11/01/19*     330,619   
  220,000        7.750%, 02/01/21     237,600   
  110,000        6.500%, 05/15/19     112,338   
  484,000        MarkWest Energy Partners, LPµ
5.500%, 02/15/23		     516,367   
    Oasis Petroleum, Inc.µ  
  512,000        6.500%, 11/01/21     548,480   
  165,000        6.875%, 01/15/23     180,469   
  163,000        Oil States International, Inc.µ*
5.125%, 01/15/23		     166,668   
  604,000        Parker Drilling Companyµ
9.125%, 04/01/18		     657,605   
  306,000        Petroleum Geo-Services, ASAµ*
7.375%, 12/15/18		     335,453   
  511,000        Pioneer Drilling Companyµ
9.875%, 03/15/18		     560,822   
  714,000        Samson Investment Companyµ*
9.750%, 02/15/20		     763,980   
  714,000        SEACOR Holdings, Inc.µ
7.375%, 10/01/19		     773,797   
    SESI, LLCµ  
  418,000        6.875%, 06/01/14     420,913   
  275,000        7.125%, 12/15/21     307,656   
    SM Energy Companyµ  
  479,000        6.625%, 02/15/19     509,536   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  418,000        6.500%, 11/15/21   $ 449,872   
  484,000        Swift Energy Companyµ
8.875%, 01/15/20		     529,677   
  58,000        Tesoro Corp.µ
5.375%, 10/01/22		     60,719   
  401,000        Tesoro Logistics, LPµ*
5.875%, 10/01/20		     420,048   
  445,000        Trinidad Drilling, Ltd.µ*
7.875%, 01/15/19		     475,037   
    W&T Offshore, Inc.µ  
  1,044,000        8.500%, 06/15/19     1,126,215   
  132,000        8.500%, 06/15/19*     140,828   
  195,000        Whiting Petroleum Corp.µ
6.500%, 10/01/18		     211,209   
     

 

 

  
        22,186,991   
     

 

 

  
    Financials (0.3%)   
  323,000        AON Corp.µ
8.205%, 01/01/27		     413,773   
  469,000       

Legg Mason, Inc.µ*

6.000%, 05/21/19

     515,142   
  714,000        Neuberger Berman Group LLCµ*
5.875%, 03/15/22		     767,550   
    Nuveen Investments, Inc.*  
  352,000        9.500%, 10/15/20µ^     359,040   
  352,000        9.125%, 10/15/17     355,960   
     

 

 

  
        2,411,465   
     

 

 

  
    Health Care (1.2%)   
  1,385,000        Community Health Systems, Inc.µ
7.125%, 07/15/20		     1,506,187   
  762,000        DaVita, Inc.µ
6.625%, 11/01/20		     835,819   
    Endo Pharmaceuticals Holdings, Inc.µ  
  736,000        7.000%, 12/15/20     798,560   
  165,000        7.000%, 07/15/19     179,025   
  124,000        Fresenius Medµ*
5.875%, 01/31/22		     135,625   
  454,000        Grifols, SAµ
8.250%, 02/01/18		     501,386   
    HCA Holdings, Inc.µ  
  1,066,000        7.750%, 05/15/21     1,176,597   
  234,000        6.250%, 02/15/21     248,479   
  220,000        HCA, Inc.µ
5.875%, 05/01/23		     230,450   
  500,000        Health Management Associates, Inc.µ
7.375%, 01/15/20		     552,500   
  990,000        Hologic, Inc.µ*
6.250%, 08/01/20		     1,059,919   
  659,000        Teleflex, Inc.µ
6.875%, 06/01/19		     720,369   
    Tenet Healthcare Corp.  
  753,000        6.750%, 02/01/20     792,533   
  134,000        4.500%, 04/01/21*†     132,493   
    Valeant Pharmaceuticals International, Inc.µ*  
  824,000        7.000%, 10/01/20     882,195   
  714,000        7.250%, 07/15/22     767,996   
  143,000        6.750%, 10/01/17     153,278   
  1,071,000        Warner Chilcott Company, LLCµ
7.750%, 09/15/18		     1,163,374   
     

 

 

  
        11,836,785   
     

 

 

  
PRINCIPAL
AMOUNT		                 VALUE  
     
    Industrials (1.4%)   
  1,044,000        Belden, Inc.µ*
5.500%, 09/01/22		   $ 1,081,845   
  352,000        Bombardier, Inc.µ*
6.125%, 01/15/23		     357,500   
  316,000        Clean Harbors, Inc.µ*
5.125%, 06/01/21		     327,455   
    Deluxe Corp.µ  
  769,000        6.000%, 11/15/20*     781,016   
  659,000        7.000%, 03/15/19     708,013   
  354,000        Digitalglobe, Inc.*
5.250%, 02/01/21		     354,000   
    Dycom Investments, Inc.µ  
  531,000        7.125%, 01/15/21     566,511   
  154,000        7.125%, 01/15/21*     160,353   
  637,000        Edgen Murray Corp.*
8.750%, 11/01/20		     649,740   
  441,000        General Cable Corp.µ*
5.750%, 10/01/22		     463,877   
  349,000        GrafTech International, Ltd.µ*
6.375%, 11/15/20		     371,903   
  611,000        H&E Equipment Services, Inc.µ*
7.000%, 09/01/22		     670,572   
  355,000        Iron Mountain, Inc.µ
5.750%, 08/15/24		     364,097   
    Manitowoc Company, Inc.µ  
  385,000        8.500%, 11/01/20     434,809   
  319,000        5.875%, 10/15/22     322,788   
  577,000        Mead Products, LLC/ Acco Brands Corp.µ*
6.750%, 04/30/20		     614,866   
  113,000        Nielsen Finance, LLCµ*
4.500%, 10/01/20		     112,364   
    Nortek, Inc.  
  115,000        8.500%, 04/15/21*     130,525   
  94,000        8.500%, 04/15/21     107,395   
  1,136,000        Rexel, SAµ*
6.125%, 12/15/19		     1,219,070   
  550,000        Sensata Technologies Holding, B.V.µ*
6.500%, 05/15/19		     592,969   
    Terex Corp.µ  
  600,000        6.000%, 05/15/21     634,125   
  57,000        6.500%, 04/01/20     61,097   
    TransDigm Group, Inc.µ  
  291,000        5.500%, 10/15/20*     303,731   
  215,000        7.750%, 12/15/18     239,456   
    Triumph Group, Inc.µ  
  714,000        8.625%, 07/15/18     795,664   
  103,000        8.000%, 11/15/17     111,498   
  604,000        United Rentals North America, Inc.µ
6.125%, 06/15/23		     653,830   
  714,000        UR Financing Escrow Corp.µ
7.625%, 04/15/22		     802,357   
     

 

 

  
        13,993,426   
     

 

 

  
    Information Technology (1.3%)   
    Amkor Technology, Inc.µ  
  604,000        7.375%, 05/01/18     640,240   
  323,000        6.625%, 06/01/21     332,286   
  188,000        6.375%, 10/01/22     189,998   
  977,000        Audatex North America, Inc.µ*
6.750%, 06/15/18		     1,047,222   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2013 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  245,000        Brocade Communications Systems, Inc.µ*
4.625%, 01/15/23		   $ 243,622   
  879,000        Hughes Satellite Systems Corp.µ
7.625%, 06/15/21		     1,015,794   
  56,000        IAC/InterActiveCorpµ*
4.750%, 12/15/22		     56,105   
  1,044,000        iGATE Corp.µ
9.000%, 05/01/16		     1,151,010   
  879,000        J2 Global, Inc.µ
8.000%, 08/01/20		     910,864   
  976,000        Lender Process Services Company, Inc.µ
5.750%, 04/15/23		     1,037,000   
  1,216,000        Nuance Communications, Inc.µ*
5.375%, 08/15/20		     1,259,320   
  132,000        NXP BV†
5.750%, 02/15/21		     132,000   
  877,000        Sanmina-SCI Corp.µ*
7.000%, 05/15/19		     902,214   
    Seagate Technologyµ  
  632,000        7.000%, 11/01/21     702,310   
  467,000        6.875%, 05/01/20     513,408   
  192,000        7.750%, 12/15/18     213,480   
  557,000        SunGard Data Systems, Inc.*
6.625%, 11/01/19		     573,362   
  429,000        ViaSat, Inc.µ
6.875%, 06/15/20		     460,102   
  659,000        Viasystems, Inc.µ*
7.875%, 05/01/19		     661,471   
  227,000        WEX, Inc.µ*
4.750%, 02/01/23		     227,142   
     

 

 

  
        12,268,950   
     

 

 

  
    Materials (0.8%)  
  231,000        Airgas, Inc.µ
7.125%, 10/01/18		     248,183   
  81,000        AngloGold Holdings, PLCµ
5.125%, 08/01/22		     82,834   
  154,000        Ardagh Packaging Finance PLC*
7.000%, 11/15/20		     156,791   
  608,000        Clearwater Paper Corp.µ
7.125%, 11/01/18		     665,760   
  989,000        FMG Resourcesµ*
8.250%, 11/01/19		     1,071,211   
  756,000        Greif, Inc.µ
7.750%, 08/01/19		     884,047   
  582,000        IAMGOLD Corp.µ*
6.750%, 10/01/20		     572,543   
    Inmet Mining Corp.µ*  
  659,000        8.750%, 06/01/20     732,726   
  209,000        7.500%, 06/01/21     225,198   
    New Gold, Inc.µ*  
  604,000        7.000%, 04/15/20     652,697   
  164,000        6.250%, 11/15/22     172,815   
  291,000        PH Glatfelter Companyµ
5.375%, 10/15/20		     305,914   
    Sealed Air Corp.µ*  
  498,000        8.125%, 09/15/19     570,210   
  249,000        6.500%, 12/01/20     275,768   
    Steel Dynamics, Inc.µ  
  331,000        6.125%, 08/15/19*     359,135   
  190,000        7.625%, 03/15/20     213,156   
  137,000        6.375%, 08/15/22*     148,217   
PRINCIPAL
AMOUNT		                 VALUE  
     
  695,000        Trinseo Op / Trinseo Finance, Inc.µ*
8.750%, 02/01/19		   $ 693,262   
     

 

 

  
        8,030,467   
     

 

 

  
    Telecommunication Services (0.2%)  
  769,000        Qwest Communications International, Inc.µ
7.750%, 02/15/31		     819,596   
  291,000        SBA Communications Corp.µ*
5.625%, 10/01/19		     306,823   
  612,000        tw telecom, Inc.µ
5.375%, 10/01/22		     648,720   
     

 

 

  
        1,775,139   
     

 

 

  
    Utilities (0.3%)  
  445,000        AES Corp.µ
7.375%, 07/01/21		     498,122   
  1,017,000        AmeriGas Finance Corp.µ
7.000%, 05/20/22		     1,111,708   
    Calpine Corp.µ*  
  519,000        7.875%, 07/31/20     577,063   
  371,000        7.875%, 01/15/23     411,114   
  162,000        7.500%, 02/15/21     176,479   
     

 

 

  
        2,774,486   
     

 

 

  
    TOTAL CORPORATE BONDS     99,828,797   
     

 

 

  
  U.S. Government and Agency Securities (0.1%)   
    United States Treasury Note~  
  467,000        1.375%, 02/15/13µ^     467,237   
  220,000        0.125%, 08/31/13     219,996   
     

 

 

  
    TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES     687,233   
     

 

 

  
  Sovereign Bond (0.1%)   
  264,000     

BRL

   Federative Republic of Brazil
10.000%, 01/01/14		     1,366,995   
     

 

 

  
NUMBER OF
CONTRACTS		                 VALUE  
  Purchased Options (1.9%)#   
    Consumer Discretionary (0.6%)  
    Amazon.com, Inc.  
  370        Call, 01/18/14, Strike $260.00     1,307,950   
  180        Call, 01/18/14, Strike $250.00     733,050   
  130        Priceline.com, Inc.
Call, 01/18/14, Strike $615.00		     1,667,900   
  2,900        Starbucks Corp.
Call, 01/18/14, Strike $52.50		     2,088,000   
     

 

 

  
        5,796,900   
     

 

 

  
    Health Care (0.2%)  
  2,800        Gilead Sciences, Inc.
Call, 01/18/14, Strike $36.25		     1,673,000   
     

 

 

  
    Information Technology (1.1%)  
  360        Apple, Inc.
Call, 01/18/14, Strike $545.00		     597,600   
  1,500        eBay, Inc.
Call, 01/18/14, Strike $40.00		     2,606,250   
  5,900        Oracle Corp.
Call, 01/18/14, Strike $35.00		     2,006,000   
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2013 (UNAUDITED)

 

NUMBER OF
CONTRACTS		                 VALUE  
  485        Salesforce.com, Inc.
Call, 01/18/14, Strike $155.00		   $ 1,576,250   
  3,600     

EUR

   SAP, AG
Call, 06/21/13, Strike $53.59		     3,723,339   
     

 

 

  
        10,509,439   
     

 

 

  
    TOTAL PURCHASED OPTIONS     17,979,339   
     

 

 

  
    TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $111,612,208)		     119,862,364   
     

 

 

  
NUMBER OF
SHARES		                 VALUE  
  CONVERTIBLE PREFERRED STOCKS (15.8%)   
    Consumer Discretionary (1.6%)   
  365,000        General Motors Companyµ^
4.750%		     15,811,800   
     

 

 

  
    Consumer Staples (1.0%)   
  90,600        Bunge, Ltd.µ
4.875%		     9,852,750   
     

 

 

  
    Energy (3.0%)   
  325,000        Apache Corp.µ
6.000%		     15,382,250   
  13,601        Chesapeake Energy Corp.µ*  
    5.750%     13,880,244   
     

 

 

  
        29,262,494   
     

 

 

  
    Financials (4.9%)   
  310,000        Affiliated Managers Group, Inc.µ
5.150%		     15,829,375   
  90,000        Fifth Third Bancorpµ
8.500%		     13,069,800   
  168,000       

MetLife, Inc.µ

5.000%

     8,196,720   
  8,100        Wells Fargo & Companyµ
7.500%		     10,456,290   
     

 

 

  
        47,552,185   
     

 

 

  
    Industrials (3.9%)   
  102,760        Stanley Black & Decker, Inc.µ
4.750%		     12,685,722   
  445,000        United Technologies Corp.µ
7.500%		     25,338,300   
     

 

 

  
        38,024,022   
     

 

 

  
    Utilities (1.4%)   
  250,000        NextEra Energy, Inc.
5.599%		     13,025,000   
     

 

 

  
    TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $150,527,181)		     153,528,251   
     

 

 

  
  COMMON STOCKS (2.3%)   
    Financials (0.6%)   
  17,300        American International Group, Inc.µ#     654,459   
  118,574        MetLife, Inc.µ     4,427,553   
     

 

 

  
        5,082,012   
     

 

 

  
NUMBER OF
SHARES		                 VALUE  
    Health Care (0.7%)   
  151,671        Merck & Company, Inc.µ   $ 6,559,771   
     

 

 

  
    Information Technology (1.0%)   
  150,000        QUALCOMM, Inc.     9,904,500   
     

 

 

  
    TOTAL COMMON STOCKS
(Cost $19,895,153)		     21,546,283   
     

 

 

  
  SHORT TERM INVESTMENT (3.1%)   
  30,127,343        Fidelity Prime Money Market Fund - Institutional Class
(Cost $30,127,343)		     30,127,343   
     

 

 

  

 
 

      TOTAL INVESTMENTS (136.1%)
(Cost $1,245,386,092)

     1,316,412,501   
     

 

 

  
  LIABILITIES, LESS OTHER ASSETS (-36.1%)     (348,820,904 ) 
     

 

 

  
  NET ASSETS (100.0%)   $ 967,591,597   
     

 

 

  

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 $1,140,216,778. $163,306,677 of the collateral has been re-registered by the counterparty.
*   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. At January 31, 2013, the value of 144A securities that could not be exchanged to the registered form is $264,754,053 or 27.4% of net assets applicable to common shareholders.
†   Security or a portion of the security purchased on a delayed delivery or when-issued basis.
‡   Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2013.
^   Security, or portion of security, is on loan.
§   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 written options and swaps. The aggregate value of such securities is $4,341,149.
#   Non-income producing security.
 

 

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2013 (UNAUDITED)

 

FOREIGN CURRENCY ABBREVIATIONS

BRL    Brazilian Real
EUR    European Monetary Unit
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         $ (3,026,098 ) 
BNP Paribas, SA    1.160% quarterly      3 month LIBOR      04/19/17        68,000,000           (1,009,483 ) 
                      

 

 

  
                       $ (4,035,581 ) 
                      

 

 

  

 

See accompanying Notes to Schedule of Investments

NOTE 1 — ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (UNAUDITED)

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 last current reported sales price at the time a Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the 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 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 January 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.

Forward Foreign Currency Contracts. Each Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to the Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. There were no open forward foreign currency contracts at January 31, 2013.

NOTE 2 — INVESTMENTS

The following information is presented on a federal income tax basis as of January 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 January 31, 2013 was as follows:

 

Cost basis of investments

    $ 1.275,545,305   
  

 

 

  

Gross unrealized appreciation

      74,068,944   

Gross unrealized depreciation

      (33,201,748 ) 
  

 

 

  

Net unrealized appreciation (depreciation)

    $ 40,867,196   
  

 

 

  

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 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 an initial limit of $200 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, 2013, the average borrowings under the Agreements were $319.6 million. For the period ended January 31, 2013, the average interest rate was 0.97%. As of January 31, 2013, the amount of outstanding borrowings was $334.8 million. The interest rate applicable to the borrowings on January 31, 2013 was 0.95%.

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 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 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 January 31, 2013, the Fund used approximately $19.2 million of its cash collateral to offset the SSB Agreement, representing 1.5% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.48%, 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

    $ —       $ 808,513,625       $ —       $ 808,513,625   

Convertible Bonds

         166,209,520            166,209,520   

U.S. Government and Agency Securities

         5,564,886            5,564,886   

Sovereign Bond

         11,060,229            11,060,229   

Synthetic Convertible Securities (Corporate Bonds)

         99,828,797            99,828,797   

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

         687,233            687,233   

Synthetic Convertible Securities (Sovereign Bond)

         1,366,995            1,366,995   

Synthetic Convertible Securities (Purchased Options)

      17,979,339               17,979,339   

Convertible Preferred Stocks

      100,940,882         52,587,369            153,528,251   

Common Stocks

      21,546,283               21,546,283   

Short Term Investment

      30,127,343               30,127,343   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 170,593,847       $ 1,145,818,654       $ —       $ 1,316,412,501   
  

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities

            

Interest Rate Swaps

    $ —       $ 4,035,581       $ —       $ 4,035,581   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ —       $ 4,035,581       $ —       $ 4,035,581   
  

 

 

     

 

 

     

 

 

     

 

 

  

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 25, 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:   March 25, 2013
By:   /s/     Nimish S. Bhatt
Name:   Nimish S. Bhatt
Title:   Principal Financial Officer
Date:   March 25, 2013