UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21319
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible and
High Income Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors, LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2005
DATE OF REPORTING PERIOD: July 31, 2005
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
CORPORATE BONDS (86.8%)
CONSUMER DISCRETIONARY (19.0%)
$ 2,710,000 Asbury Automotive Group, Inc.^
9.000%, 06/15/12 $ 2,831,950
9,034,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 9,745,427
4,517,000 Broder Bros. Co.
11.250%, 10/15/10 4,471,830
4,517,000 DEX Media, Inc.^
8.000%, 11/15/13 4,855,775
11,844,000 GBP EMI Group, PLC
9.750%, 05/20/08 22,885,569
General Motors Corp.^
7,137,000 8.250%, 07/15/23 6,423,300
723,000 7.125%, 07/15/13 683,235
Goodyear Tire & Rubber Company^
6,324,000 7.857%, 08/15/11 6,418,860
4,517,000 7.000%, 03/15/28 3,636,185
8,402,000 Hasbro, Inc.
6.600%, 07/15/28 8,710,530
5,691,000 Houghton Mifflin Company^
9.875%, 02/01/13 6,231,645
3,614,000 IMAX Corp.^
9.625%, 12/01/10 3,871,497
3,614,000 Inn of the Mountain Gods
12.000%, 11/15/10 4,187,722
4,517,000 Interpublic Group of
Companies, Inc.
7.250%, 08/15/11 4,508,196
2,710,000 Intrawest Corp.
7.500%, 10/15/13 2,804,850
J.C. Penney Company, Inc.
1,807,000 9.000%, 08/01/12 2,152,175
1,355,000 7.650%, 08/15/16 1,551,567
2,710,000 Jarden Corp.
9.750%, 05/01/12 2,916,637
4,472,000 Kellwood Company
7.625%, 10/15/17 4,583,800
3,388,000 La Quinta, Corp.^
8.875%, 03/15/11 3,688,685
3,162,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 3,142,237
2,710,000 Mandalay Resort Group^
7.625%, 07/15/13 2,886,150
10,685,000 Oxford Industries, Inc.
8.875%, 06/01/11 11,513,087
903,000 Pinnacle Entertainment, Inc.
8.250%, 03/15/12 954,923
7,227,000 Rent-A-Center, Inc.
7.500%, 05/01/10 7,425,743
3,388,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 2,906,254
4,065,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 3,578,316
10,750,000 Royal Caribbean Cruises, Ltd.^
7.500%, 10/15/27 11,825,000
4,517,000 Russell Corp.
9.250%, 05/01/10 4,799,313
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 7,769,000 Vail Resorts, Inc.
6.750%, 02/15/14 $ 7,982,648
6,324,000 Warnaco Group, Inc.^
8.875%, 06/15/13 6,988,020
Warner Music Group
1,807,000 GBP 8.125%, 04/15/14 3,239,410
1,807,000 7.375%, 04/15/14^ 1,874,763
WCI Communities, Inc.
5,872,000 7.875%, 10/01/13 6,011,460
2,710,000 6.625%, 03/15/15 2,533,850
--------------
184,820,609
--------------
CONSUMER STAPLES (7.4%)
1,807,000 Central Garden & Pet Company^
9.125%, 02/01/13 1,960,595
4,969,000 Chattem, Inc.^
7.000%, 03/01/14 5,155,337
4,065,000 Chiquita Brands
International, Inc.
7.500%, 11/01/14 3,963,375
5,109,000 Del Monte Foods Company
8.625%, 12/15/12 5,645,445
Dole Food Company, Inc.
4,375,000 8.875%, 03/15/11 4,714,063
4,029,000 8.625%, 05/01/09 4,351,320
2,041,000 Gold Kist, Inc.
10.250%, 03/15/14 2,319,086
12,196,000 Jean Coutu Group, Inc.^
8.500%, 08/01/14 12,150,265
3,614,000 Pinnacle Foods Holding^
8.250%, 12/01/13 3,306,810
5,782,000 Playtex Products, Inc.
8.000%, 03/01/11 6,215,650
Rayovac Corp.
9,937,000 8.500%, 10/01/13 10,533,220
2,710,000 7.375%, 02/01/15^ 2,689,675
4,969,000 Revlon, Inc.
9.500%, 04/01/11 4,832,353
1,807,000 Smithfield Foods, Inc.
7.750%, 05/15/13 1,996,735
1,898,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 2,040,350
--------------
71,874,279
--------------
ENERGY (9.7%)
Chesapeake Energy Corp.^
3,614,000 6.875%, 01/15/16 3,767,595
1,807,000 7.750%, 01/15/15 1,960,595
4,517,000 Forest Oil Corp.
8.000%, 12/15/11 4,991,285
9,847,000 General Maritime Corp.
10.000%, 03/15/13 10,807,082
Giant Industries, Inc.
5,420,000 8.000%, 05/15/14 5,718,100
1,807,000 11.000%, 05/15/12 2,050,945
10,253,000 Houston Exploration Company^
7.000%, 06/15/13 10,765,650
4,156,000 KCS Energy, Inc.
7.125%, 04/01/12 4,280,680
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
1
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 2,471,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 $ 2,650,147
Overseas Shipholding Group, Inc.
2,710,000 7.500%, 02/15/24 2,628,700
912,000 8.750%, 12/01/13 1,035,120
4,178,000 Paramount Resources Ltd.
8.500%, 01/31/13 4,282,450
Petroleo Brasileiro, SA
6,775,000 8.375%, 12/10/18^ 7,232,313
4,517,000 9.125%, 07/02/13 5,149,380
15,809,000 Premcor Refining Group, Inc.^
7.500%, 06/15/15 17,152,765
903,000 Stone Energy Corp.
6.750%, 12/15/14 898,485
2,710,000 Swift Energy Company
7.625%, 07/15/11 2,845,500
5,872,000 Whiting Petroleum Corp.
7.250%, 05/01/12 6,004,120
--------------
94,220,912
--------------
FINANCIALS (3.9%)
4,336,000 Fairfax Financial
Holdings, Ltd.^
7.750%, 04/26/12 4,249,280
Host Marriott Corp.^
9,937,000 7.125%, 11/01/13 10,421,429
1,897,000 9.250%, 10/01/07 2,048,760
10,841,000 Leucadia National Corp.
7.000%, 08/15/13 11,030,717
Senior Housing Properties Trust
4,833,000 7.875%, 04/15/15 5,219,640
4,517,000 8.625%, 01/15/12 5,092,918
--------------
38,062,744
--------------
HEALTH CARE (6.9%)
9,043,000 Alpharma, Inc.
8.625%, 05/01/11 9,043,000
14,703,000 Ameripath, Inc.^
10.500%, 04/01/13 14,960,303
13,190,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 13,882,475
2,710,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 2,967,450
2,710,000 Psychiatric Solutions, Inc.*^
7.750%, 07/15/15 2,777,750
5,872,000 Quintiles Transnational Corp.
10.000%, 10/01/13 6,576,640
9,124,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 9,443,340
6,324,000 Vanguard Health Systems, Inc.^
9.000%, 10/01/14 6,908,970
--------------
66,559,928
--------------
INDUSTRIALS (13.1%)
2,484,000 Accuride Corp.
8.500%, 02/01/15 2,589,570
5,420,000 American Airlines, Inc.
7.250%, 02/05/09 5,162,550
2,258,000 Armor Holdings, Inc.^
8.250%, 08/15/13 2,455,575
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
BE Aerospace, Inc.
$ 2,710,000 8.875%, 05/01/11^ $ 2,906,475
1,807,000 8.500%, 10/01/10 2,001,252
15,358,000 CNH Global, NV
9.250%, 08/01/11 16,701,825
14,906,000 Esterline Technologies Corp.
7.750%, 06/15/13 15,949,420
3,162,000 Gardner Denver, Inc.*
8.000%, 05/01/13 3,351,720
1,355,000 GATX Corp.
8.875%, 06/01/09 1,522,688
3,586,000 General Cable Corp.
9.500%, 11/15/10 3,747,370
2,258,000 Greenbrier Companies, Inc.*
8.375%, 05/15/15 2,365,255
7,679,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 8,485,295
JLG Industries, Inc.^
6,866,000 8.250%, 05/01/08 7,346,620
3,162,000 8.375%, 06/15/12 3,367,530
2,710,000 Legrand Holding, SA
8.500%, 02/15/25 3,279,100
3,926,000 Manitowoc Company, Inc.
10.500%, 08/01/12 4,456,010
11,744,000 Mobile Mini, Inc.
9.500%, 07/01/13 13,182,640
4,517,000 Monitronics International, Inc.
11.750%, 09/01/10 4,731,558
2,168,000 Orbital Sciences Corp.
9.000%, 07/15/11 2,363,120
Sequa Corp.
6,324,000 8.875%, 04/01/08 6,877,350
1,807,000 9.000%, 08/01/09 2,014,805
Terex Corp.
6,324,000 9.250%, 07/15/11 6,908,970
5,533,000 7.375%, 01/15/14^ 5,837,315
--------------
127,604,013
--------------
INFORMATION TECHNOLOGY (7.6%)
5,872,000 Advanced Micro Devices, Inc.^
7.750%, 11/01/12 5,974,760
2,475,000 Arrow Electronics, Inc.
6.875%, 06/01/18 2,640,271
Celestica, Inc.
7,679,000 7.625%, 07/01/13 7,794,185
3,614,000 7.875%, 07/01/11^ 3,740,490
1,807,000 Flextronics International, Ltd.^
6.500%, 05/15/13 1,870,245
4,517,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 4,833,190
Iron Mountain, Inc.
3,614,000 GBP 7.250%, 04/15/14* 6,018,315
1,807,000 6.625%, 01/01/16^ 1,730,203
4,652,000 Lucent Technologies, Inc.
6.500%, 01/15/28 4,198,430
4,517,000 Sanmina-Sci Corp.
10.375%, 01/15/10 5,036,455
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
2
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 3,614,000 Stratus Technologies, Inc.^
10.375%, 12/01/08 $ 3,668,210
6,324,000 Telcordia Technologies*
10.000%, 03/15/13 6,165,900
18,520,000 Xerox Corp.^
7.625%, 06/15/13 19,862,700
--------------
73,533,354
--------------
MATERIALS (14.4%)
Aleris International, Inc.
4,698,000 10.375%, 10/15/10 5,203,035
3,484,000 9.000%, 11/15/14 3,666,910
8,131,000 Arch Western Finance, LLC^
6.750%, 07/01/13 8,395,257
4,517,000 Ball Corp.^
6.875%, 12/15/12 4,788,020
5,420,000 Bowater, Inc.^
6.500%, 06/15/13 5,379,350
4,065,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 4,217,437
17,183,000 Equistar Chemicals, LP
10.625%, 05/01/11 19,244,960
11,609,000 Freeport-McMoRan Copper & Gold, Inc.^
10.125%, 02/01/10 12,944,035
13,551,000 Georgia-Pacific Corp.^
8.000%, 01/15/14 14,973,855
5,420,000 IPSCO, Inc.
8.750%, 06/01/13 6,083,950
2,710,000 Massey Energy Company
6.950%, 03/01/07 2,784,525
8,131,000 Neenah Paper, Inc.*^
7.375%, 11/15/14 8,009,035
4,743,000 Novelis, Inc.*
7.250%, 02/15/15 4,873,432
11,744,000 Polyone Corp.^
10.625%, 05/15/10 12,683,520
Pope & Talbot, Inc.
3,207,000 8.375%, 06/01/13 3,190,965
1,807,000 8.375%, 06/01/13 1,797,965
4,517,000 Sealed Air Corp.*
6.875%, 07/15/33 4,935,274
Steel Dynamics, Inc.
4,229,000 9.500%, 03/15/09 4,535,603
1,807,000 9.500%, 03/15/09 1,938,008
1,807,000 Texas Industries, Inc.*
7.250%, 07/15/13 1,915,420
Union Carbide Corp.
4,381,000 7.875%, 04/01/23^ 4,870,730
2,936,000 7.500%, 06/01/25 3,180,948
--------------
139,612,234
--------------
TELECOMMUNICATION SERVICES (1.4%)
5,420,000 AT&T Corp.
9.750%, 11/15/31 7,046,000
6,324,000 Nextel Communications, Inc.
7.375%, 08/01/15 6,845,730
--------------
13,891,730
--------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
UTILITIES (3.4%)
$ 4,517,000 Centerpoint Energy, Inc.^
6.850%, 06/01/15 $ 5,014,981
Edison International
5,420,000 9.875%, 04/15/11^ 6,409,150
3,614,000 10.000%, 08/15/08 4,047,680
4,517,000 Public Service Enterprise Group, Inc.^
8.625%, 02/15/08 4,844,482
11,383,000 Teco Energy, Inc.^
7.500%, 06/15/10 12,435,928
--------------
32,752,221
--------------
TOTAL CORPORATE BONDS
(Cost $803,321,562) 842,932,024
--------------
CONVERTIBLE BONDS (11.2%)
CONSUMER DISCRETIONARY (1.9%)
6,500,000 Lamar Advertising Company^
2.875%, 12/31/10 6,841,250
2,125,000 Lions Gate Entertainment Corp.
3.625%, 03/15/25 2,167,500
9,000,000 Walt Disney Company^
2.125%, 04/15/23 9,315,000
--------------
18,323,750
--------------
ENERGY (1.1%)
9,000,000 Cal Dive International, Inc.^*
3.250%, 12/15/25 10,687,500
--------------
INDUSTRIALS (3.4%)
11,500,000 GATX Corp.
7.500%, 02/01/07 14,145,000
6,400,000 Lockheed Martin Corp.^++
3.018%, 08/15/33 6,801,216
3,500,000 Quanta Services, Inc.^
4.500%, 10/01/23 3,946,250
13,000,000 Roper Industries, Inc.
1.481%, 01/15/34 7,085,000
1,100,000 Titan International, Inc.^
5.250%, 07/26/09 1,278,750
--------------
33,256,216
--------------
INFORMATION TECHNOLOGY (2.9%)
6,500,000 Advanced Micro Devices, Inc.++
4.750%, 02/01/22 6,873,750
5,500,000 DST Systems, Inc.^
4.125%, 08/15/23 6,586,250
7,800,000 Liberty Media Corp.^
3.500%, 01/15/31 7,556,250
6,500,000 LSI Logic Corp.
4.000%, 05/15/10 6,873,750
--------------
27,890,000
--------------
TELECOMMUNICATION SERVICES (0.4%)
Liberty Media Corp. (Sprint PCS Group)
4,142,000 3.750%, 02/15/30 2,417,892
1,974,000 4.000%, 11/15/29^ 1,221,413
--------------
3,639,305
--------------
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
3
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
UTILITIES (1.5%)
$ 6,500,000 Centerpoint Energy, Inc.
3.750%, 05/15/23 $ 8,125,000
3,500,000 GBP Scottish and Southern Energy, PLC
3.750%, 10/29/09 6,920,432
--------------
15,045,432
--------------
TOTAL CONVERTIBLE BONDS
(Cost $105,898,959) 108,842,203
--------------
SYNTHETIC CONVERTIBLE SECURITIES (10.9%)
CORPORATE BONDS (9.3%)
CONSUMER DISCRETIONARY (2.0%)
290,000 Asbury Automotive Group, Inc.^
9.000%, 06/15/12 303,050
966,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 1,042,072
483,000 Broder Bros. Co.
11.250%, 10/15/10 478,170
483,000 DEX Media, Inc.^
8.000%, 11/15/13 519,225
1,267,000 GBP EMI Group, PLC
9.750%, 05/20/08 2,448,161
General Motors Corp.^
763,000 8.250%, 07/15/23 686,700
77,000 7.125%, 07/15/13 72,765
Goodyear Tire & Rubber Company^
676,000 7.857%, 08/15/11 686,140
483,000 7.000%, 03/15/28 388,815
898,000 Hasbro, Inc.
6.600%, 07/15/28 930,975
609,000 Houghton Mifflin Company^
9.875%, 02/01/13 666,855
386,000 IMAX Corp.^
9.625%, 12/01/10 413,502
386,000 Inn of the Mountain Gods
12.000%, 11/15/10 447,277
483,000 Interpublic Group of
Companies, Inc.
7.250%, 08/15/11 482,059
290,000 Intrawest Corp.
7.500%, 10/15/13 300,150
J.C. Penney Company, Inc.
193,000 9.000%, 08/01/12 229,867
145,000 7.650%, 08/15/16 166,035
290,000 Jarden Corp.
9.750%, 05/01/12 312,112
478,000 Kellwood Company
7.625%, 10/15/17 489,950
362,000 La Quinta, Corp.^
8.875%, 03/15/11 394,127
338,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 335,887
290,000 Mandalay Resort Group^
7.625%, 07/15/13 308,850
1,143,000 Oxford Industries, Inc.
8.875%, 06/01/11 1,231,583
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 97,000 Pinnacle Entertainment, Inc.
8.250%, 03/15/12 $ 102,578
773,000 Rent-A-Center, Inc.
7.500%, 05/01/10 794,258
362,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 310,527
435,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 382,919
1,150,000 Royal Caribbean Cruises, Ltd.^
7.500%, 10/15/27 1,265,000
483,000 Russell Corp.
9.250%, 05/01/10 513,188
831,000 Vail Resorts, Inc.
6.750%, 02/15/14 853,853
676,000 Warnaco Group, Inc.^
8.875%, 06/15/13 746,980
Warner Music Group
193,000 GBP 8.125%, 04/15/14 345,991
193,000 7.375%, 04/15/14^ 200,238
WCI Communities, Inc.
628,000 7.875%, 10/01/13 642,915
290,000 6.625%, 03/15/15 271,150
--------------
19,763,924
--------------
CONSUMER STAPLES (0.8%)
193,000 Central Garden & Pet Company^
9.125%, 02/01/13 209,405
531,000 Chattem, Inc.^
7.000%, 03/01/14 550,912
435,000 Chiquita Brands
International, Inc.
7.500%, 11/01/14 424,125
546,000 Del Monte Foods Company
8.625%, 12/15/12 603,330
Dole Food Company, Inc.
468,000 8.875%, 03/15/11 504,270
431,000 8.625%, 05/01/09 465,480
218,000 Gold Kist, Inc.
10.250%, 03/15/14 247,703
1,304,000 Jean Coutu Group, Inc.^
8.500%, 08/01/14 1,299,110
386,000 Pinnacle Foods Holding^
8.250%, 12/01/13 353,190
618,000 Playtex Products, Inc.
8.000%, 03/01/11 664,350
Rayovac Corp.
1,063,000 8.500%, 10/01/13 1,126,780
290,000 7.375%, 02/01/15^ 287,825
531,000 Revlon, Inc.
9.500%, 04/01/11 516,398
193,000 Smithfield Foods, Inc.
7.750%, 05/15/13 213,265
203,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 218,225
--------------
7,684,368
--------------
ENERGY (1.1%)
Chesapeake Energy Corp.^
386,000 6.875%, 01/15/16 402,405
193,000 7.750%, 01/15/15 209,405
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
4
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 483,000 Forest Oil Corp.
8.000%, 12/15/11 $ 533,715
1,053,000 General Maritime Corp.
10.000%, 03/15/13 1,155,667
Giant Industries, Inc.
580,000 8.000%, 05/15/14 611,900
193,000 11.000%, 05/15/12 219,055
1,097,000 Houston Exploration Company^
7.000%, 06/15/13 1,151,850
444,000 KCS Energy, Inc.
7.125%, 04/01/12 457,320
264,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 283,140
Overseas Shipholding Group, Inc.
290,000 7.500%, 02/15/24 281,300
98,000 8.750%, 12/01/13 111,230
447,000 Paramount Resources Ltd.
8.500%, 01/31/13 458,175
Petroleo Brasileiro, SA
725,000 8.375%, 12/10/18^ 773,938
483,000 9.125%, 07/02/13 550,620
1,691,000 Premcor Refining Group, Inc.^
7.500%, 06/15/15 1,834,735
97,000 Stone Energy Corp.
6.750%, 12/15/14 96,515
290,000 Swift Energy Company
7.625%, 07/15/11 304,500
628,000 Whiting Petroleum Corp.
7.250%, 05/01/12 642,130
--------------
10,077,600
--------------
FINANCIALS (0.4%)
464,000 Fairfax Financial
Holdings, Ltd.^
7.750%, 04/26/12 454,720
Host Marriott Corp.^
1,063,000 7.125%, 11/01/13 1,114,821
203,000 9.250%, 10/01/07 219,240
1,159,000 Leucadia National Corp.
7.000%, 08/15/13 1,179,282
Senior Housing Properties Trust
517,000 7.875%, 04/15/15 558,360
483,000 8.625%, 01/15/12 544,583
--------------
4,071,006
--------------
HEALTH CARE (0.7%)
967,000 Alpharma, Inc.
8.625%, 05/01/11 967,000
1,572,000 Ameripath, Inc.^
10.500%, 04/01/13 1,599,510
1,410,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 1,484,025
290,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 317,550
290,000 Psychiatric Solutions, Inc.*^
7.750%, 07/15/15 297,250
628,000 Quintiles Transnational Corp.
10.000%, 10/01/13 703,360
976,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 1,010,160
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 676,000 Vanguard Health Systems, Inc.^
9.000%, 10/01/14 $ 738,530
--------------
7,117,385
--------------
INDUSTRIALS (1.4%)
266,000 Accuride Corp.
8.500%, 02/01/15 277,305
580,000 American Airlines, Inc.
7.250%, 02/05/09 552,450
242,000 Armor Holdings, Inc.^
8.250%, 08/15/13 263,175
BE Aerospace, Inc.
290,000 8.875%, 05/01/11^ 311,025
193,000 8.500%, 10/01/10 213,747
1,642,000 CNH Global, NV
9.250%, 08/01/11 1,785,675
1,594,000 Esterline Technologies Corp.
7.750%, 06/15/13 1,705,580
338,000 Gardner Denver, Inc.*
8.000%, 05/01/13 358,280
145,000 GATX Corp.
8.875%, 06/01/09 162,944
384,000 General Cable Corp.
9.500%, 11/15/10 401,280
242,000 Greenbrier Companies, Inc.*
8.375%, 05/15/15 253,495
821,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 907,205
JLG Industries, Inc.^
734,000 8.250%, 05/01/08 785,380
338,000 8.375%, 06/15/12 359,970
290,000 Legrand Holding, SA
8.500%, 02/15/25 350,900
420,000 Manitowoc Company, Inc.
10.500%, 08/01/12 476,700
1,256,000 Mobile Mini, Inc.
9.500%, 07/01/13 1,409,860
483,000 Monitronics International, Inc.
11.750%, 09/01/10 505,943
232,000 Orbital Sciences Corp.
9.000%, 07/15/11 252,880
Sequa Corp.
676,000 8.875%, 04/01/08 735,150
193,000 9.000%, 08/01/09 215,195
Terex Corp.
676,000 9.250%, 07/15/11 738,530
592,000 7.375%, 01/15/14^ 624,560
--------------
13,647,229
--------------
INFORMATION TECHNOLOGY (0.8%)
628,000 Advanced Micro Devices, Inc.^
7.750%, 11/01/12 638,990
265,000 Arrow Electronics, Inc.
6.875%, 06/01/18 282,696
Celestica, Inc.
821,000 7.625%, 07/01/13 833,315
386,000 7.875%, 07/01/11^ 399,510
193,000 Flextronics International, Ltd.^
6.500%, 05/15/13 199,755
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
5
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 483,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 $ 516,810
Iron Mountain, Inc.
386,000 GBP 7.250%, 04/15/14* 642,797
193,000 6.625%, 01/01/16^ 184,798
498,000 Lucent Technologies, Inc.
6.500%, 01/15/28 449,445
483,000 Sanmina-Sci Corp.
10.375%, 01/15/10 538,545
386,000 Stratus Technologies, Inc.^
10.375%, 12/01/08 391,790
676,000 Telcordia Technologies*
10.000%, 03/15/13 659,100
1,980,000 Xerox Corp.^
7.625%, 06/15/13 2,123,550
--------------
7,861,101
--------------
MATERIALS (1.5%)
Aleris International, Inc.
502,000 10.375%, 10/15/10 555,965
373,000 9.000%, 11/15/14 392,582
869,000 Arch Western Finance, LLC^
6.750%, 07/01/13 897,242
483,000 Ball Corp.^
6.875%, 12/15/12 511,980
580,000 Bowater, Inc.^
6.500%, 06/15/13 575,650
435,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 451,312
1,837,000 Equistar Chemicals, LP
10.625%, 05/01/11 2,057,440
1,241,000 Freeport-McMoRan Copper & Gold, Inc.^
10.125%, 02/01/10 1,383,715
1,449,000 Georgia-Pacific Corp.^
8.000%, 01/15/14 1,601,145
580,000 IPSCO, Inc.
8.750%, 06/01/13 651,050
290,000 Massey Energy Company
6.950%, 03/01/07 297,975
869,000 Neenah Paper, Inc.*^
7.375%, 11/15/14 855,965
507,000 Novelis, Inc.*
7.250%, 02/15/15 520,943
1,256,000 Polyone Corp.^
10.625%, 05/15/10 1,356,480
Pope & Talbot, Inc.
343,000 8.375%, 06/01/13 341,285
193,000 8.375%, 06/01/13 192,035
483,000 Sealed Air Corp.*
6.875%, 07/15/33 527,726
Steel Dynamics, Inc.
452,000 9.500%, 03/15/09 484,770
193,000 9.500%, 03/15/09 206,993
193,000 Texas Industries, Inc.*
7.250%, 07/15/13 204,580
Union Carbide Corp.
469,000 7.875%, 04/01/23^ 521,427
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 314,000 7.500%, 06/01/25 $ 340,197
--------------
14,928,457
--------------
TELECOMMUNICATION SERVICES (0.2%)
580,000 AT&T Corp.
9.750%, 11/15/31 754,000
676,000 Nextel Communications, Inc.
7.375%, 08/01/15 731,770
--------------
1,485,770
--------------
UTILITIES (0.4%)
483,000 Centerpoint Energy, Inc.^
6.850%, 06/01/15 536,249
Edison International
580,000 9.875%, 04/15/11^ 685,850
386,000 10.000%, 08/15/08 432,320
483,000 Public Service Enterprise Group, Inc.^
8.625%, 02/15/08 518,017
1,217,000 Teco Energy, Inc.^
7.500%, 06/15/10 1,329,573
--------------
3,502,009
--------------
TOTAL CORPORATE BONDS 90,138,849
--------------
NUMBER OF
CONTRACTS VALUE
--------------------------------------------------------------------------------
OPTIONS (1.6%)
CONSUMER DISCRETIONARY (0.5%)
600 eBay, Inc.#
Call, 01/20/07, Strike 42.50 438,000
3,100 Home Depot, Inc.#
Call, 01/20/07, Strike 40.00 2,356,000
2,900 YUM! Brands, Inc.#
Call, 01/20/07, Strike 50.00 2,276,500
--------------
5,070,500
--------------
CONSUMER STAPLES (0.1%)
2,800 Constellation Brands, Inc.#
Call, 01/20/07, Strike 27.50 1,288,000
--------------
ENERGY (0.2%)
1,600 Transocean, Inc.#
Call, 01/20/07, Strike 55.00 1,832,000
--------------
FINANCIALS (0.2%)
2,500 Allstate Corp.#
Call, 01/20/07, Strike 55.00 2,450,000
--------------
HEALTH CARE (0.2%)
2,000 UnitedHealth Group Incorporated#
Call, 01/20/07, Strike 52.50 1,590,000
--------------
INFORMATION TECHNOLOGY (0.4%)
2,000 Apple Computer, Inc.#
Call, 01/20/07, Strike 37.50 2,300,000
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
6
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
--------------------------------------------------------------------------------
5,100 Nokia Corp.#
Call, 01/20/07, Strike 15.00 $ 1,377,000
--------------
3,677,000
--------------
TOTAL OPTIONS 15,907,500
--------------
TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
(Cost $99,265,188) 106,046,349
--------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (30.3%)
CONSUMER DISCRETIONARY (4.9%)
1,145,000 Ford Motor Company Capital
Trust II
6.500% 47,757,950
--------------
CONSUMER STAPLES (2.8%)
1,190,000 Albertson's, Inc.
7.250% 27,072,500
--------------
ENERGY (3.5%)
210,000 Amerada Hess Corp.
7.000% 21,369,600
102,700 Chesapeake Energy Corp.*
5.000% 12,914,525
--------------
34,284,125
--------------
FINANCIALS (12.9%)
635,000 Chubb Corp.
7.000% 20,554,950
19,000,000 Fortis, NV (Assurant)*
7.750% 21,161,250
215,000 Hartford Financial
Services Group, Inc.
7.000% 15,735,850
350,000 Lazard, Ltd.
6.625% 8,599,500
450,000 Lehman Brothers
Holdings, Inc. 6.250% 11,632,500
230,000 Merrill Lynch & Company, Inc.
6.750% 8,490,220
325,000 Metlife, Inc.
6.375% 8,992,750
570,000 National Australia Bank, Ltd.
7.875% 22,429,500
150,000 Washington Mutual, Inc.
5.375% 8,070,000
--------------
125,666,520
--------------
HEALTH CARE (2.2%)
370,000 Baxter International, Inc.
7.000% 20,838,400
--------------
INDUSTRIALS (0.9%)
3,000,000 GBP BAE Systems, PLC
7.750% 8,089,123
--------------
UTILITIES (3.1%)
80,000 Southern Union Company
5.000% 4,052,000
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
375,000 TXU Corp.
8.125% $ 26,385,000
--------------
30,437,000
--------------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $271,939,690) 294,145,618
--------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.0%)
$11,726,000 Citigroup, Inc.
3.190%, 08/01/05 11,726,000
8,000,000 UBS Finance, Inc.
3.190%, 08/01/05 8,000,000
--------------
TOTAL SHORT-TERM
INVESTMENTS
(Cost $19,726,000) 19,726,000
--------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (21.3%)
207,042,188 Bank of New York Institutional
Cash Reserve Fund
current rate 3.400%
(Cost $207,042,188) 207,042,188
--------------
TOTAL INVESTMENTS (162.5%)
(Cost $1,507,193,587) 1,578,734,382
--------------
PAYABLE UPON RETURN OF
SECURITIES ON LOAN (-21.3%) (207,042,188)
--------------
OTHER ASSETS, LESS LIABILITIES
(3.1%) 30,245,676
--------------
PREFERRED SHARES AT REDEMPTION VALUE
INCLUDING DIVIDENDS PAYABLE (-44.3%) (430,182,509)
--------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $ 971,755,361
--------------
NOTES TO SCHEDULE OF INVESTMENTS
NOTE: VALUES FOR SECURITIES DENOMINATED IN FOREIGN
CURRENCIES ARE SHOWN IN U.S. DOLLARS.
* 144A SECURITIES ARE THOSE THAT ARE EXEMPT FROM REGISTRATION UNDER RULE
144A OF THE SECURITIES ACT OF 1933, AS AMENDED. THESE SECURITIES ARE
GENERALLY ISSUED TO QUALIFIED INSTITUTIONAL BUYERS ("QIBS"), SUCH AS THE
FUND. ANY RESALE OF THESE SECURITIES MUST GENERALLY BE EFFECTED THROUGH A
SALE THAT IS EXEMPT FROM REGISTRATION (E.G. A SALE TO ANOTHER QIB), OR THE
SECURITY MUST BE REGISTERED FOR PUBLIC SALE. AT JULY 31, 2005, THE MARKET
VALUE OF 144A SECURITIES THAT COULD NOT BE EXCHANGED TO THE REGISTERED
FORM WAS $99,949,012 OR 10.3% OF NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS OF THE FUND.
^ SECURITY, OR PORTION OF SECURITY, IS ON LOAN.
# NON-INCOME PRODUCING SECURITY.
++ VARIABLE RATE SECURITY. THE INTEREST RATE SHOWN IS THE RATE IN EFFECT AT
JULY 31, 2005.
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
7
SCHEDULE OF INVESTMENTS JULY 31, 2005 (UNAUDITED)
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
GBP British Pound Sterling
See accompanying notes to Schedule of Investments
--------------------------------------------------------------------------------
8
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------
NOTE 1
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities that are traded on a securities exchange in the United States, except
an option security, are valued at the last reported sale price as of the time of
valuation, or lacking any current reported sale at the time of valuation, at the
mean between the most recent bid and asked quotations. Each option security
traded on a securities exchange in the United States is valued at the last
current reported sale price as of the time of valuation if the last current
reported sale price falls within the consolidated bid/ask quote for the option
security. If the last current reported sale price as of the time of valuation
does not fall within the consolidated bid/ask quote for such option security,
such security is valued at the mid-point of the consolidated bid/ask quote for
the option security. Each security traded in the over-the-counter market and
quoted on the NASDAQ National Market System, is valued at the Nasdaq Official
Closing Price ("NOCP"), as determined by Nasdaq, or lacking an NOCP, the last
current reported sale price as of the time of valuation by Nasdaq, or lacking
any current reported sale on Nasdaq at the time of valuation, at the mean
between the most recent bid and asked quotations. Each over-the-counter option
that is not traded through the Options Clearing Corporation is valued by the
counterparty, or if the counterparty's price is not readily available then by
using the Black-Scholes method. Each other security traded over-the-counter is
valued at the mean between the most recent bid and asked quotations. Short-term
securities with maturities of 60 days or less are valued at amortized cost,
which approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is priced at a fair value following procedures and/or guidelines
approved by the Board of Trustees, which may include utilizing a systematic fair
valuation model provided by an independent pricing system. The Fund may also use
fair value pricing if the value of a security it holds is, pursuant to Board of
Trustees' guidelines, 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 traded. These 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 is employed, the value of the portfolio
security used to calculate the Fund's net asset value may differ from quoted or
official closing prices.
Securities that are principally traded in a foreign market are valued at the
last current sale price at the time of valuation or lacking any current or
reported sale at the time of valuation, at the mean between the most recent bid
and asked quotations as of the close of the appropriate exchange or other
designated time. Trading in securities on European and Far Eastern securities
exchanges and over-the-counter markets is normally completed at various times
before the close of business on each day on which the New York Stock Exchange
("NYSE") is open. Trading of these securities may not take place on every NYSE
business day. In addition, trading may take place in various foreign markets on
Saturdays or on other days when the NYSE is not open and on which the Fund's net
asset value is not calculated. As stated above, if the market prices are not
readily available or are not reflective of the fair value of the security, the
security will be priced at a fair value following procedures approved by the
Board of Trustees. In light of the judgment involved in fair value decisions,
there can be no assurance that a fair value assigned to a particular security is
accurate.
--------------------------------------------------------------------------------
INVESTMENT TRANSACTIONS. Short-term investment transactions are recorded on a
trade date basis. Long-term investment transactions are recorded on a trade date
plus one basis, except for fiscal quarter ends, which are recorded on trade
date.
FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by
a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
selected by the advisor from rates quoted by any 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 among others, is that the Fund pays a premium whether or
not the option is exercised. Additionally, the Fund bears the risk of loss of
premium and change in market value should the counterparty not perform under the
contract. Put and call options purchased are accounted for in the same manner as
portfolio securities. The cost of securities acquired through the exercise of
call options is increased by premiums paid. The proceeds from securities sold
through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from investments. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a written call
option is exercised, the premium is added to the proceeds from the sale of the
underlying security or currency in determining whether the Fund has realized a
gain or loss. If a written put option is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. The Fund as writer of an option
bears the market risk of an unfavorable change in the price of the security
underlying the written option.
NOTE 2
INVESTMENTS. The following information is presented on an income tax basis as of
July 31, 2005. Differences between amounts for financial statements and Federal
income tax purposes are primarily due to timing differences.
The cost basis of investments for federal income tax purposes at July 31, 2005
was as follows:
Cost basis of investments $1,512,092,532
==============
Gross unrealized appreciation 81,235,082
Gross unrealized depreciation (14,593,232)
-----------
Net unrealized appreciation (depreciation) $66,641,850
===========
NOTE 3
SYNTHETIC CONVERTIBLE SECURITIES. The Fund may establish a "synthetic"
convertible instrument by combining separate securities that possess economic
characteristics similar to a convertible security, i.e., an income component and
the right or obligation to convert to an equity security ("convertible
component"). The income component is achieved by investing in non-convertible,
fixed income securities such as bonds, preferred stocks, money market
instruments, and other instruments that provide an income component. The
convertible component is achieved by investing in warrants or options to buy
--------------------------------------------------------------------------------
common stock at a certain exercise price, or options on a stock index. In
establishing a synthetic instrument, the Fund may pool a basket of fixed-income
securities and a basket of warrants or options that produce the economic
characteristics similar to a convertible security. Within each basket of
fixed-income securities and warrants or options, different companies may issue
the fixed-income and convertible components, which may be purchased separately
and at different times.
The Fund may purchase synthetic 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. Different companies may
issue the fixed-income and convertible components, which may be purchased
separately and at different times.
NOTE 4
PREFERRED SHARES. There are unlimited shares of Auction Market Preferred Shares
("Preferred Shares") authorized. The Preferred Shares have rights as determined
by the Board of Trustees. The 17,200 shares of Preferred Shares outstanding
consist of six series, 3,000 shares of M, 3,000 shares of TU, 3,000 shares of W,
3,000 shares of TH, 3,000 shares of F, and 2,200 shares of A. The Preferred
Shares have a liquidation value of $25,000 per share plus any accumulated but
unpaid dividends whether or not declared.
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven or twenty-eight days based on the results of an auction. Dividend rates
ranged from 1.65% to 3.48% for the nine months ended July 31, 2005. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make other
distributions on shares of common stock or purchase any such shares if, at the
time of the declaration, distribution or purchase, asset coverage with respect
to the outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the option of the Fund, in whole or in
part, on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or the holders of common shares.
NOTE 5
INTEREST RATE TRANSACTIONS. The Fund may enter into interest rate swap or cap
transactions to attempt to protect itself from increasing dividend or interest
expense on its leverage resulting from increasing short-term interest rates. A
decline in interest rates may result in a decline in the value of the swap or
cap, which may result in a decline in the net asset value of the Fund. In
addition, if the counterparty to an interest rate swap or cap defaults, the Fund
would not be able to use the anticipated receipts under the swap or cap to
offset the dividend or interest payments on the Fund's leverage. At the time an
interest rate swap or cap reaches its scheduled termination, there is a risk
that the Fund would not be able to obtain a replacement transaction or that the
terms of the replacement would not be as favorable
--------------------------------------------------------------------------------
as on the expiring transaction. In addition, if the Fund is required to
terminate any swap or cap early due to the Fund failing to maintain a required
200% asset coverage of the liquidation value of the outstanding Preferred Shares
or the Fund loses its credit rating on its Preferred Shares, then the Fund could
be required to make a termination payment, in addition to redeeming all or some
of the Preferred Shares. Details of the swap agreements outstanding as of July
31, 2005 were as follows:
Unrealized
Termination Notional Fixed Rate Floating Rate Appreciation
Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation
-----------------------------------------------------------------------------------------------
Citibank NA October 27, 2006 $100,000 2.80% 1month LIBOR $1,637,486
Citibank NA October 27, 2007 200,000 3.27% 1month LIBOR 4,548,596
Citibank NA October 27, 2008 100,000 3.65% 1month LIBOR 2,240,871
----------
$8,426,953
NOTE 6
SECURITIES LENDING. During the period ended July 31, 2005, the Fund lent certain
of its securities to broker-dealers and banks. Any such loan must be
continuously secured by collateral in cash or cash equivalents maintained on a
current basis in an amount at least equal to the market value of the securities
loaned by the Fund. The Fund continues to receive the equivalent of the interest
or dividends paid by the issuer on the securities loaned and also receives an
additional return that may be in the form of a fixed fee or a percentage of the
collateral. The Fund may pay reasonable fees to persons unaffiliated with the
Fund for services in arranging these loans. The Fund has the right to call the
loan and obtain the securities loaned at any time on notice of not more than
five business days. The Fund does not have the right to vote the securities
during the existence of the loan but could call the loan in an attempt to permit
voting of the securities in certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
In the event of bankruptcy or other default of the borrower, the Fund could
experience both delays in liquidating the loan collateral or recovering the
loaned securities and losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the period while the
Fund seeks to enforce its rights thereto, (b) possible subnormal levels of
income and lack of access to income during this period, and (c) the expenses of
enforcing its rights. In an effort to reduce these risks, Calamos Advisors LLC
and the security lending agent will monitor the creditworthiness of the firms to
which the Fund lends securities. At July 31, 2005, the Fund had securities
valued at $201,945,501 that were on loan to broker-dealers and banks and
$207,042,188 in cash or cash equivalent collateral.
--------------------------------------------------------------------------------
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.
CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER
I, John P. Calamos, Sr., certify that:
1. I have reviewed this report on Form N-Q of Calamos Convertible and High
Income Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report,
fairly present in all material respects the investments of the registrant as of
the end of the fiscal quarter for which the report is filed;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940) and internal control
over financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940) for the registrant and have:
a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the
registrant, including its consolidated subsidiaries, is made known to
us by others within those entities, particularly during the period in
which this report is being prepared;
b) Designed such internal control over financial reporting, or caused
such internal control over financial reporting to be designed under our
supervision, to provide reasonable assurance regarding the reliability
of financial reporting and the preparation of financial statements for
external purposes in accordance with generally accepted accounting
principles;
c) Evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report based on such
evaluation; and
d) Disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the registrant's
most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting; and
5. The registrant's other certifying officer and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
a) All significant deficiencies and material weaknesses in the design
or operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant's ability to
record, process, summarize, and report financial information; and
b) Any fraud, whether or not material, that involves management or
other employees who have a significant role in the registrant's
internal control over financial reporting.
Date: September XX, 2005
/s/ John P. Calamos, Sr.
-------------------------------
Principal Executive Officer
(b) Certification of Principal Financial Officer.
I, Patrick H. Dudasik, certify that:
1. I have reviewed this report on Form N-Q of Calamos Convertible and High
Income Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report,
fairly present in all material respects the investments of the registrant as of
the end of the fiscal quarter for which the report is filed;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940) and internal control
over financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940) for the registrant and have:
a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the
registrant, including its consolidated subsidiaries, is made known to
us by others within those entities, particularly during the period in
which this report is being prepared;
b) Designed such internal control over financial reporting, or caused
such internal control over financial reporting to be designed under our
supervision, to provide reasonable assurance regarding the reliability
of financial reporting and the preparation of financial statements for
external purposes in accordance with generally accepted accounting
principles;
c) Evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report based on such
evaluation; and
d) Disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the registrant's
most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting; and
5. The registrant's other certifying officer and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
a) All significant deficiencies and material weaknesses in the design
or operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant's ability to
record, process, summarize, and report financial information; and
b) Any fraud, whether or not material, that involves management or
other employees who have a significant role in the registrant's
internal control over financial reporting.
Date: September XX, 2005
/s/ Patrick H. Dudasik
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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.
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Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: September XX, 2005
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.
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Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: September XX, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September XX, 2005