Edgar Filing: CALAMOS CONVERTIBLE & HIGH INCOME FUND

nvcsrs

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT 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., President
		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, 2011

DATE OF REPORTING PERIOD: November 1, 2010 through April 30, 2011


ITEM 1.	REPORTS TO SHAREHOLDERS

Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270. 30e-1).

TABLE OF CONTENTS



Letter to Shareholders		1

The Calamos Closed-End Funds: An Overview		4

Investment Team Discussion		5

Schedule of Investments		8

Statement of Assets and Liabilities		17

Statement of Operations		18

Statements of Changes In Net Assets		19

Statement of Cash Flows		20

Notes to Financial Statements		21

Financial Highlights		30

Report of Independent Registered Public Accounting Firm		31

About Closed-End Funds		32

Level Rate Distribution Policy		33

Automatic Dividend Reinvestment Plan		33

Experience and Foresight

About Calamos Investments
For more than 30 years, we have helped investors like you manage and build wealth to meet their long-term individual objectives by working to capitalize on the opportunities of the evolving global marketplace. We launched our first open-end mutual fund in 1985 and our first closed-end fund in 2002. Today, we manage five closed-end funds. Two are total-return oriented offerings, which seek current income, with increased emphasis on capital gains potential. Three are enhanced fixed-income offerings, which pursue high current income from income and capital gains. Calamos Convertible and High Income Fund (CHY) falls into this category. Please see page 4 for a more detailed overview of our closed-end offerings.

We are dedicated to helping our clients build and protect wealth. We understand when you entrust us with your assets, you also entrust us with your achievements, goals and aspirations. We believe we best honor this trust by making investment decisions guided by integrity, by discipline, and by our conscientious research.

We believe that an active, risk-conscious approach is essential for wealth creation. In the 1970s, we pioneered low-volatility equity strategies, which seek to participate in equity market upside and mitigate some of the potential risks of equity market volatility. Our investment process seeks to manage risk at multiple levels and draws upon our experience investing through multiple market cycles.

We have a global perspective. We believe that globalization offers tremendous opportunities for countries and companies all over the world. In our view, this creates significant opportunities for investors. In our U.S., global and international portfolios, we are seeking to capitalize on the potential growth of the global economy.

We believe there are opportunities in all markets. Our history traces back to the 1970s, a period of significant volatility and economic concerns. We have invested through multiple market cycles, each with its own challenges. Out of this experience comes our belief that the flipside of volatility is opportunity.

Letter to Shareholders

JOHN P. CALAMOS, SR.

CEO/Co-CIO

Dear Fellow Shareholder:

Welcome to your semiannual report for the six-month period ended April 30, 2011. I encourage you to review this report carefully. It includes commentary and insights from the investment team, as well as a listing of portfolio holdings, financial data and highlights, and detailed information about the performance and allocation of your fund.

Calamos Convertible and High Income Fund (CHY) is an enhanced fixed income fund. We utilize dynamic asset allocation to pursue high current income, while also maintaining a focus on capital gains.

CHY’s enhanced fixed-income approach provided investors with steady monthly distributions, as well as total return.

We are pleased to report that CHY provided a steady stream of monthly distributions, while also posting a good total return. We believe that these results—as well as the fund’s longer-term record—illustrate the benefits of dynamic asset allocation as part of an enhanced fixed income strategy. In the Q&A beginning on page 5, we discuss the fund’s strategy and performance over the reporting period at greater length.

Steady and Competitive Distributions

CHY’s distribution policy reflects our long-term perspective, focus on consistency, and risk-aware approach. We recognize that many of our investors prefer consistent monthly distributions, instead of unpredictable ones. This fund has a level rate distribution policy, which means we seek to keep distributions the same from month to month. We and the fund’s Board of Directors are committed to providing distributions that we believe can be sustained over the long-term. In setting the fund’s distribution level, we consider the market and economic environment, prevailing interest rates and the opportunities we see in individual securities and asset classes. We discuss the level distribution policy at greater length on pages 4 and 33.

Prudent Use of Leverage

In this fund, we have the flexibility to employ leverage to enhance total return and to support the fund’s distribution rate. Leverage involves borrowing money and reinvesting the proceeds. During the reporting period, we believed the economic environment was favorable for the prudent use of leverage. Our use of leverage contributed favorably to overall performance, as


		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		1

Letter to Shareholders

we were able to achieve a higher return than our borrowing costs. We intend to continue to utilize leverage judiciously, as long as we believe it will serve the fund’s shareholders well.

As part of our emphasis on risk management, we employed interest rate swaps as a hedge against a potential rise in interest rates. We use these swaps to manage the borrowing costs associated with our leverage activities. Through these swaps, we essentially lock down an interest rate that we believe to be attractive. Currently, interest rates are at historically low levels throughout much of the fixed income market. However, given the current economic landscape, we believe that it is possible that rates could surge very quickly, even over a period of weeks, as was the case in the 1970s and 1980s. We believe the fund’s interest rate swaps could be a valuable tool to help protect the fund from increasing borrowing costs, should rates rise.

The Market and Economic Environment: Resilience Amid Volatility

During the reporting period, the global markets were unsettled by unexpected events. These included the earthquake and tsunami in Japan, as well as political turmoil and violence in the Middle East and North Africa. Other longer-running considerations persisted, such as the debt burdens of developed nations, commodity prices, inflationary pressures, and evolving geopolitical relationships between established and rising powers.

While volatility spikes persisted, investors seemed to focus on more positive influences. There were also continued signs of improving economic conditions within the United States. For example, we saw many instances of improving corporate profits and balance sheets, as well as gains in private sector job growth. Credit markets remained open and strong, providing good access to capital for large-cap and mid-cap companies, in particular.

In this environment, the U.S. convertible and high yield markets demonstrated resilience. For the six-month period ended April 30, 2011, convertible securities gained 11.69%, as measured by the BofA Merrill Lynch U.S. All Convertible Ex-Mandatory Index. High yield securities earned 6.01%, as measured by the Credit Suisse High Yield Index. Within both the convertible and high-yield marketplace, the most speculative tiers led, as investors sought yield. However, as investors became increasingly attentive to the potential long-term implications of government debt and dollar devaluation, the broad bond market lagged, with the Barclays Capital U.S. Government/Credit Index returning -0.61%.

Given the prevailing low interest rate environment and investors’ determined quest for yield, high yield issuance remained robust, driven in large measure by debt refinancing activity. Defaults remained low against a backdrop of improving capital market conditions and abundant liquidity. Convertible securities issuance lagged, as companies favored issuing non-convertible debt in a low-rate environment.


2		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT

Letter to Shareholders

Opportunities Across Asset Classes

As we will discuss in the Q&A section, our team continues to find high yield corporate bonds and convertible securities that we believe meet our criteria. We have sought credits that offer attractive yields, as well as reliable debt servicing prospects and the opportunity for credit upgrades. Because we consider income within the context of total return, our approach to the most speculative credits remains particularly selective.

Where possible, we are maintaining a focus on U.S. businesses with global footprints, global management and global revenue streams. We have sought to position the fund to benefit from global secular trends, such as the growth of a middle class in emerging markets, corporations’ focus on productivity enhancements and consumers’ continued appetite for technology innovations. In a global economy, these are trends that U.S. companies can participate in.

In Closing

We believe that innovation thrives in all market environments. Our investment team continues to find many businesses that are guided by a spirit of creativity and entrepreneurship—companies that we have seen adapt and change as the global economy evolves.

While I believe that globalization presents a very exciting backdrop for U.S. companies and investors, the opportunity potential does vary considerably from company to company and industry to industry. Because of this, we believe that an active investment approach is particularly important. We believe our decades of experience, our selective, risk-aware approach and our unwavering commitment to our shareholders will continue to differentiate CHY as an enhanced fixed income offering.

If you would like additional information about this fund or our other closed-end offerings, please contact your financial advisor or our client services team at 800.582.6959 (Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time). We also invite you to visit us at www.calamos.com.

We thank you for your continued trust. It is an honor to partner with you to help you achieve your financial goals.

Sincerely,

John P. Calamos, Sr.
CEO and Co-CIO
Calamos Advisors LLC

This report is for informational purposes only and should not be considered investment advice.


		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		3

The Calamos Closed-End Funds: An Overview

In our closed-end funds, we draw upon decades of investment experience, including a long history of opportunistically blending asset classes in an attempt to capture upside potential while managing downside risk. We launched our first closed-end fund in 2002.

Closed-end funds are long-term investments. Most focus on providing monthly distributions, but there are important differences among individual closed-end funds. Calamos closed-end funds can be grouped into two broad categories: (1) enhanced fixed income and (2) total return. Funds in both groups provide a stream of income paid out on a monthly basis and invest in a combination of asset classes.


OBJECTIVE: ENHANCED FIXED INCOME		OBJECTIVE: TOTAL RETURN


Portfolios Positioned to Pursue High Current Income from Income and Capital Gains		Portfolios Positioned to Seek Current Income, with Increased Emphasis on Capital Gains Potential


Calamos Convertible Opportunities and Income Fund (Ticker: CHI)		Calamos Global Total Return Fund (Ticker: CGO)
Invests in high-yield and convertible securities, primarily in U.S. markets		Invests in equities and higher-yielding convertible securities and corporate bonds, in both U.S. and non-U.S. markets


Calamos Convertible and High Income Fund (Ticker CHY)		Calamos Strategic Total Return Fund (Ticker: CSQ)
Invests in high-yield and convertible securities, primarily in U.S. markets		Invests in equities and higher-yielding convertible securities and corporate bonds, primarily in U.S. markets


Calamos Global Dynamic Income Fund (Ticker: CHW)
Invests in global fixed-income securities, alternative investments and equities

Our Level Rate Distribution Policy

Investors often choose a closed-end fund because they seek a steady stream of income. In recognition of this, all five Calamos closed-end funds have adopted a level distribution policy. Our policy is to pay a distribution reflective of the funds’ past results and projected earnings potential through income as well as capital gains. Our team is focused on delivering an attractive monthly distribution, while maintaining a long-term focus on risk management. The level of the funds’ distributions can be greatly influenced by market conditions, including the interest rate environment. The funds’ distributions will depend on the individual performance of positions the funds hold, our view of the benefits of retaining leverage, fund tax considerations, and maintaining regulatory requirements.

For more information about any of these funds, we encourage you to contact your financial advisor or Calamos Investments at 800.582.6959 (Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time). You can also visit us at www.calamos.com.

For more information on our level rate distribution policy, please see page 33.


4		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT

Investment Team Discussion


*TOTAL RETURN AS OF 4/30/11**
Common Shares – Inception 05/28/03
							Since
	6 Months			1 Year			Inception**
On Market Price		8.24	%		14.63	%		8.94	%

On NAV		8.13	%		14.45	%		9.39	%

*Total return measures net investment income and net realized gain or loss from portfolio investments, and change in net unrealized appreciation and depreciation, assuming reinvestment of income and net realized gains distributions.

**Annualized since inception.


SECTOR WEIGHTINGS
Energy	17.7	%

Consumer Discretionary	13.8

Information Technology	13.2

Materials	11.2

Industrials	11.1

Health Care	9.5

Financials	8.8

Consumer Staples	5.7

Telecommunication Services	3.7

Utilities	1.6

Sector Weightings are based on managed assets and may vary over time. Sector Weightings exclude any government/sovereign bonds or options on broad market indexes the portfolio may hold.

CONVERTIBLE AND HIGH INCOME FUND

INVESTMENT TEAM DISCUSSION

The Calamos Investment Management Team, led by Co-Chief Investment Officers John P. Calamos, Sr. and Nick P. Calamos, CFA, discusses the fund’s strategy, performance and positioning for the six-month period ended April 30, 2011.

Q. To provide a context for its performance, please discuss the fund’s strategy and role within an asset allocation.

A. Calamos Convertible and High Income Fund (CHY) is an enhanced fixed income offering, seeking total return through a combination of capital appreciation and current income. It provides an alternative to funds investing exclusively in investment-grade fixed income instruments, and seeks to be less sensitive to interest rates. Like all five Calamos closed-end funds, CHY seeks to provide a steady stream of distributions paid out on a monthly basis and invests in multiple asset classes. (Please see page 4 for more information about our closed-end funds.)

We invest in a diversified portfolio of convertible securities and high yield securities. The allocation to each asset class is dynamic and reflects our view of the economic landscape as well as the potential of individual securities. By combining these asset classes, we believe that we are well positioned to generate capital gains as well as income. We believe this broader range of security types also provides us with increased opportunities to manage the risk and reward characteristics of the portfolio over full market cycles.

We seek companies with respectable balance sheets, reliable debt servicing, and good prospects for sustainable growth. While we invest primarily in securities of U.S. issuers, we favor those companies that are actively participating in globalization with geographically diversified revenue streams and global business strategies.

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 4/30/11

Q. How did the fund perform over the reporting period?

A. CHY gained 8.13% on a net asset value (NAV) basis for the six-month period ending April 30, 2011. On a market price basis, the fund returned 8.24% for the same period.

As of the end of the reporting period, the fund’s shares traded at a 1.33% premium to net asset value, in line with the start of the reporting period, when the premium was 1.23%. We believe that this indicates favorable recognition within the marketplace for the fund’s income stream and long-term record.


		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		5

Investment Team Discussion

Q. How do NAV and market price return differ?

A. Closed-end funds trade on exchanges, where the price of shares may be driven by factors other than the value of the underlying securities. The price of a share in the market is called market value. Market price may be influenced by factors unrelated to the performance of the fund’s holdings.

A fund’s NAV return measures the return of the individual securities in the portfolio, less fund expenses. It also measures how a manager was able to capitalize on market opportunities. Because we believe closed-end funds are best utilized as a long-term holding within asset allocations, we believe that NAV return is the better measure of a fund’s performance.

Q. Please discuss the fund’s distributions during the annual period.

A. As we discussed in the opening letter, we employ a level rate distribution policy within this fund with the goal of providing shareholders with a consistent distribution stream. The fund provided a steady distribution stream over the period. Monthly distributions were $0.0850 per share. The fund’s annual distribution rate was 7.43% of market price as of April 30, 2011.

We believe that the fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of the marketplace. For example, as of April 30, 2011, the dividend yield of S&P 500 Index stocks averaged 1.8%. Yields also remained low within the U.S. government bond market, with 10-Year Treasurys and 30-Year Treasurys yielding 3.5% and 4.5%, respectively. Moreover, we believe the fund’s distribution rate is particularly compelling in that the fund also captured much of the equity market’s return, demonstrating the potential merits of a total return approach.

Q. What factors influenced performance over the reporting period?

A. Both the fund’s convertible securities stake and high-yield corporate bond holdings contributed positively to performance. To some extent, the fund’s performance was moderated by our emphasis on quality as well as income. Broadly speaking, many of the most speculative grade issues in the convertible securities market were particularly well rewarded by investors in their hunt for yield. However, because we take a total return approach that focuses on avoiding downside risk, we took a very selective approach to lower rated issues, particularly those rated CCC.

From a sector perspective, security selection within the financials sector benefited performance relative to the Credit Suisse High Yield Index. The fund’s holdings in the asset management industry performed particularly well. Within financials, we are favoring areas such as asset management over areas such as banks, which we believe may struggle due to increasing regulatory requirements. Performance was further enhanced by security selection within the energy sector. Here, holdings in the oil-and-gas exploration-and-production industry contributed notably. In our positioning decisions in the energy sector, we have sought to balance return considerations with a thorough assessment of potential risks, such as increased regulatory risks and commodity price volatility.

Our use of leverage was also beneficial to the fund’s performance. We were able to borrow at low rates and then invest the proceeds in securities that generated higher returns. As we discussed in the opening letter, we utilized interest rate swaps to lock in an interest rate we believe to be attractive and to provide a hedge against a potential rise in interest rates.


6		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT

Investment Team Discussion

Q. How is the fund positioned?

A. We have found securities across asset classes that we believe are appropriate for the fund’s enhanced fixed income approach. As of April 30, 2011, the fund’s largest allocation, based on total investments, was to corporate bonds, followed by convertible securities. As of the close of the reporting period, the majority of securities were rated BB, which is one of the higher tiers of the high yield universe. We also found opportunities in investment grade credits (those rated BBB and above); these totaled about 27% of portfolio holdings (excluding equities) as of the end of the reporting period. This reflects our view that while economic recovery is underway, there still may be challenges to growth. In this environment, we believe that companies with better financial health and more reliable debt servicing are the appropriate choices on the whole. Where possible, we have favored larger U.S.-based global businesses, with diversified revenues and strong brands. We believe that these companies may be particularly well positioned to capitalize on the growth trends we see around the world, including those related to emerging markets.

Q. What is your outlook for Calamos Convertible and High Income Fund?

A. We believe that the markets provide ample opportunities for this fund’s enhanced fixed income approach, and we maintain high conviction in its strategy. In our view, the fund’s use of convertible securities and high yield corporate bonds remains an attractive choice, both in the current low-rate environment as well as in an environment where rates could rise, perhaps quite suddenly. Because of this approach, this fund may be less susceptible to interest rate changes that could result from dollar devaluation or debt burdens, compared to those closed-end funds that rely primarily on U.S. Treasury bonds or municipal securities for yield.

In our view, active, multi-faceted risk management will remain very important. As we noted, although recovery appears to be underway in the U.S., we do not believe that the current environment is one in which “a rising tide will lift all boats.” We do expect continued spikes in volatility, and, in this environment, we believe that our ability to utilize a broad range of securities will remain an important differentiator of our enhanced fixed income approach.

Our conviction in the portfolio is furthered by our view of the growth potential we see in the global economy and the different ways innovative companies are participating in these opportunities. We believe that our preference for U.S.-based companies with global strategies and global reach will allow this fund to participate in the exciting long-term trends we see in many parts of the global economy, and will support its pursuit of a high stream of income and steady distributions with a secondary focus on capital gains.


		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		7

Schedule of Investments April 30, 2011 (Unaudited)


PRINCIPAL
AMOUNT			VALUE
CORPORATE BONDS (77.3%)

		Consumer Discretionary (14.5%)
	1,931,000	American Axle & Manufacturing, Inc. 7.875%, 03/01/17	$	1,993,758
	4,373,000	Asbury Automotive Group, Inc. 7.625%, 03/15/17		4,493,257
	6,461,000	Cooper Tire & Rubber Company 8.000%, 12/15/19		6,937,499
	1,808,000	Dana Holding Corp. 6.750%, 02/15/21		1,832,860
		DISH Network Corp.µ
	7,092,000	7.875%, 09/01/19		7,712,550
	5,957,000	7.125%, 02/01/16		6,373,990
	7,092,000	Exide Technologies* 8.625%, 02/01/18		7,641,630
	2,364,000	Express, LLC 8.750%, 03/01/18		2,597,445
	3,773,000	GameStop Corp.µ 8.000%, 10/01/12		3,857,892
		Goodyear Tire & Rubber Company
	4,255,000	8.250%, 08/15/20		4,749,644
	1,786,000	7.000%, 03/15/28µ		1,723,490
	6,855,000	Hanesbrands, Inc.µ‡ 3.831%, 12/15/14		6,889,275
	8,794,000	Hasbro, Inc.µ 6.600%, 07/15/28		9,320,119
	1,768,000	Interpublic Group of Companies, Inc. 10.000%, 07/15/17		2,117,180
		J.C. Penney Company, Inc.
	2,944,000	6.375%, 10/15/36		2,664,320
	2,713,000	7.125%, 11/15/23		2,807,955
	1,418,000	7.650%, 08/15/16		1,573,980
	7,167,000	Jarden Corp.µ 7.500%, 05/01/17		7,731,401
	3,309,000	Liberty Media Corp.µ 8.250%, 02/01/30		3,226,275
		Limited Brands, Inc.
	2,837,000	7.600%, 07/15/37		2,815,722
	1,464,000	6.625%, 04/01/21		1,522,560
	946,000	6.950%, 03/01/33		882,145
	3,499,000	Live Nation Entertainment, Inc.* 8.125%, 05/15/18		3,586,475
	5,513,000	NetFlix, Inc.µ 8.500%, 11/15/17		6,257,255
	4,476,000	Perry Ellis International, Inc. 7.875%, 04/01/19		4,688,610
		Royal Caribbean Cruises, Ltd.
	11,252,000	7.500%, 10/15/27µ		11,280,130
	946,000	7.000%, 06/15/13µ		1,022,863
	378,000	7.250%, 06/15/16		405,405
		Service Corp. International
	8,037,000	7.500%, 04/01/27µ		7,846,121
	1,891,000	7.000%, 05/15/19		2,018,643
	946,000	7.625%, 10/01/18µ		1,064,250
	946,000	Speedway Motorsports, Inc. 8.750%, 06/01/16		1,040,600
	3,841,000	Vail Resorts, Inc.* 6.500%, 05/01/19		3,937,025
	5,550,000	Wynn Las Vegas, LLC 7.750%, 08/15/20		6,091,125

				140,703,449


		Consumer Staples (2.9%)
	4,019,000	Chiquita Brands International, Inc. 8.875%, 12/01/15		4,159,665
		Constellation Brands, Inc.
	4,576,000	7.250%, 09/01/16µ		5,010,720
	867,000	8.375%, 12/15/14		990,548
	3,206,000	Darling International, Inc.* 8.500%, 12/15/18		3,510,570
	142,000	Elizabeth Arden, Inc. 7.375%, 03/15/21		150,165
	4,141,000	Reynolds American, Inc.~ 7.250%, 06/15/37		4,525,703
	9,455,000	Smithfield Foods, Inc.µ 7.750%, 07/01/17		10,235,037

				28,582,408


		Energy (17.2%)
		Arch Coal, Inc.
	6,146,000	8.750%, 08/01/16µ		6,914,250
	1,938,000	7.250%, 10/01/20		2,100,308
	1,120,000	Arch Western Finance, LLC 6.750%, 07/01/13		1,132,600
		Basic Energy Services, Inc.
	7,371,000	7.750%, 02/15/19*		7,757,977
	1,418,000	7.125%, 04/15/16		1,455,223
		Berry Petroleum Company
	6,309,000	8.250%, 11/01/16		6,703,312
	1,891,000	10.250%, 06/01/14		2,207,743
	1,418,000	Bill Barrett Corp. 9.875%, 07/15/16		1,620,065
	4,623,000	Brigham Exploration Company 8.750%, 10/01/18		5,177,760
	7,446,000	Bristow Group, Inc.µ 7.500%, 09/15/17		7,892,760
	8,037,000	Calfrac Holdings, LP* 7.500%, 12/01/20		8,438,850
	7,493,000	Carrizo Oil & Gas, Inc.* 8.625%, 10/15/18		8,036,242
		Chesapeake Energy Corp.
	3,782,000	9.500%, 02/15/15		4,571,493
	3,054,000	6.625%, 08/15/20		3,305,955
	946,000	Clayton Williams Energy, Inc.* 7.750%, 04/01/19		950,730
	4,728,000	Complete Production Services, Inc.µ 8.000%, 12/15/16		5,011,680
	7,753,000	Comstock Resources, Inc.µ 8.375%, 10/15/17		8,218,180


8		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		See accompanying Notes to Schedule of Investments

Schedule of Investments April 30, 2011 (Unaudited)


PRINCIPAL
AMOUNT			VALUE
	5,125,000	Concho Resources, Inc. 8.625%, 10/01/17	$	5,688,750
	1,891,000	Continental Resources, Inc.µ 8.250%, 10/01/19		2,108,465
	5,673,000	EXCO Resources, Inc. 7.500%, 09/15/18		5,779,369
		Frontier Oil Corp.
	6,850,000	8.500%, 09/15/16µ		7,466,500
	924,000	6.875%, 11/15/18		970,200
	4,424,000	GulfMark Offshore, Inc.µ 7.750%, 07/15/14		4,534,600
	6,619,000	Helix Energy Solutions Group, Inc.µ* 9.500%, 01/15/16		7,049,235
	2,879,000	Holly Corp.µ 9.875%, 06/15/17		3,260,468
	3,730,000	Hornbeck Offshore Services, Inc.µ 8.000%, 09/01/17		3,869,875
	4,255,000	Pride International, Inc.µ 8.500%, 06/15/19		5,353,173
	5,200,000	SEACOR Holdings, Inc.µ 7.375%, 10/01/19		5,628,896
	7,186,000	SESI, LLCµ 6.875%, 06/01/14		7,374,632
	4,124,000	SM Energy Company* 6.625%, 02/15/19		4,268,340
		Swift Energy Company
	6,524,000	8.875%, 01/15/20		7,176,400
	2,269,000	7.125%, 06/01/17		2,337,070
	5,169,000	Trinidad Drilling, Ltd.* 7.875%, 01/15/19		5,504,985
	2,703,000	Whiting Petroleum Corp. 6.500%, 10/01/18		2,838,150
	3,448,000	Williams Companies, Inc. 7.750%, 06/15/31		4,195,888

				166,900,124


		Financials (4.1%)
	2,775,000	AON Corp. 8.205%, 01/01/27		3,149,922
	2,608,000	Host Hotels & Resorts, Inc. 7.125%, 11/01/13		2,656,900
	2,175,000	Janus Capital Group, Inc. 6.700%, 06/15/17		2,384,344
		Leucadia National Corp.
	10,278,000	8.125%, 09/15/15µ		11,459,970
	2,260,000	7.000%, 08/15/13µ		2,457,750
	1,818,000	7.125%, 03/15/17		1,917,990
	5,673,000	Nuveen Investments, Inc. 10.500%, 11/15/15		5,935,376
		OMEGA Healthcare Investors, Inc.
	3,640,000	7.500%, 02/15/20		3,903,900
	1,418,000	6.750%, 10/15/22*		1,448,132
	4,728,000	Senior Housing Properties Trustµ 8.625%, 01/15/12		4,930,075

				40,244,359


		Health Care (7.7%)
	1,891,000	Bio-Rad Laboratories, Inc. 8.000%, 09/15/16		2,113,192
	2,364,000	Community Health Systems, Inc. 8.875%, 07/15/15		2,423,100
	6,284,000	DaVita, Inc.µ 6.625%, 11/01/20		6,480,375
	8,510,000	Endo Pharmaceuticals Holdings, Inc.µ* 7.000%, 12/15/20		8,765,300
	8,510,000	Giant Funding Corp.µ* 8.250%, 02/01/18		8,871,675
	2,837,000	HCA, Inc.* 7.750%, 05/15/21		2,978,850
		HealthSouth Corp.µ
	3,073,000	7.750%, 09/15/22		3,276,586
	2,364,000	7.250%, 10/01/18		2,505,840
		Mylan, Inc.*
	5,541,000	7.625%, 07/15/17µ		6,095,100
	3,073,000	7.875%, 07/15/20		3,411,030
	5,957,000	Talecris Biotherapeutics Holdings Corp. 7.750%, 11/15/16		6,582,485
		Valeant Pharmaceuticals International, Inc.*
	7,092,000	7.000%, 10/01/20		7,003,350
	3,309,000	7.250%, 07/15/22		3,271,774
	1,229,000	6.750%, 10/01/17		1,229,000
	9,217,000	Warner Chilcott Company, LLC* 7.750%, 09/15/18		9,758,499

				74,766,156


		Industrials (11.5%)
	2,837,000	Abengoa, SA* 8.875%, 11/01/17		2,893,740
		BE Aerospace, Inc.
	5,200,000	8.500%, 07/01/18µ		5,811,000
	414,000	6.875%, 10/01/20		437,805
		Belden, Inc.
	3,782,000	9.250%, 06/15/19		4,245,295
	2,832,000	7.000%, 03/15/17µ		2,938,200
	2,068,000	Boart Longyear Management Pty., Ltd.* 7.000%, 04/01/21		2,150,720
	2,836,000	Clean Harbors, Inc.* 7.625%, 08/15/16		3,048,700
		Deluxe Corp.
	5,716,000	7.375%, 06/01/15µ		5,951,785
	5,673,000	7.000%, 03/15/19*		5,743,912
	4,565,000	Dycom Investments, Inc.µ* 7.125%, 01/15/21		4,741,894
	2,837,000	Esterline Technologies Corp. 7.000%, 08/01/20		3,042,682
	2,600,000	FTI Consulting, Inc.* 6.750%, 10/01/20		2,665,000
	3,309,000	Gardner Denver, Inc. 8.000%, 05/01/13		3,321,409


See accompanying Notes to Schedule of Investments		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		9

Schedule of Investments April 30, 2011 (Unaudited)


PRINCIPAL
AMOUNT				VALUE
	2,364,000		GEO Group, Inc.* 6.625%, 02/15/21	$	2,369,910
	4,573,000		GeoEye, Inc.µ 8.625%, 10/01/16		4,870,245
	4,728,000		Great Lakes Dredge & Dock Corp.µ* 7.375%, 02/01/19		4,858,020
	1,768,000		H&E Equipment Services, Inc. 8.375%, 07/15/16		1,845,350
			Huntington Ingalls Industries, Inc.*
	247,000		7.125%, 03/15/21		261,203
	236,000		6.875%, 03/15/18		249,570
	5,150,000		Interline Brands, Inc.µ 7.000%, 11/15/18		5,330,250
	1,891,000	GBP	Iron Mountain, Inc.* 7.250%, 04/15/14		3,213,907
	1,891,000		Manitowoc Company, Inc. 8.500%, 11/01/20		2,080,100
			Oshkosh Corp.
	4,950,000		8.500%, 03/01/20		5,544,000
	1,149,000		8.250%, 03/01/17		1,273,954
	8,983,000		Spirit AeroSystems Holdings, Inc.µ 7.500%, 10/01/17		9,791,470
	7,564,000		Terex Corp. 8.000%, 11/15/17		8,036,750
			Triumph Group, Inc.
	2,591,000		8.000%, 11/15/17		2,778,847
	2,364,000		8.625%, 07/15/18		2,626,995
	7,564,000		Tutor Perini Corp.* 7.625%, 11/01/18		7,753,100
	1,891,000		WESCO Distribution, Inc. 7.500%, 10/15/17		1,961,913

					111,837,726


			Information Technology (7.3%)
			Advanced Micro Devices, Inc.
	7,092,000		7.750%, 08/01/20		7,428,870
	3,394,000		8.125%, 12/15/17		3,606,125
			Amkor Technology, Inc.
	9,739,000		9.250%, 06/01/16µ		10,274,645
	3,782,000		7.375%, 05/01/18		3,990,010
	2,458,000		Equinix, Inc. 8.125%, 03/01/18		2,673,075
	567,000		Fidelity National Information Services, Inc. 7.875%, 07/15/20		629,370
	284,000		Hynix Semiconductor, Inc.* 7.875%, 06/27/17		302,119
	8,983,000		iGATE Corp.µ* 9.000%, 05/01/16		9,252,490
	946,000		Jabil Circuit, Inc. 7.750%, 07/15/16		1,078,440
	5,673,000		Lender Processing Services, Inc.µ 8.125%, 07/01/16		5,871,555
	2,770,000		Lexmark International, Inc.µ 6.650%, 06/01/18		3,010,270
	7,184,000		MEMC Electronic Materials, Inc.* 7.750%, 04/01/19		7,498,300
	5,673,000		Sanmina-SCI Corp.*† 7.000%, 05/15/19		5,651,726
	3,309,000		Seagate Technology* 6.875%, 05/01/20		3,375,180
	3,120,000		ViaSat, Inc. 8.875%, 09/15/16		3,373,500
	2,501,000		Xerox Corp. 8.000%, 02/01/27		2,543,437

					70,559,112


			Materials (6.8%)
	1,986,000		Airgas, Inc. 7.125%, 10/01/18		2,172,188
	3,546,000		Allegheny Ludlum Corp.µ 6.950%, 12/15/25		3,861,431
	823,000		Ashland, Inc. 9.125%, 06/01/17		955,709
	2,259,000		Boise Cascade Holdings, LLC 7.125%, 10/15/14		2,264,647
	5,232,000		Clearwater Paper Corp.µ* 7.125%, 11/01/18		5,467,440
	6,505,000		Greif, Inc.µ 7.750%, 08/01/19		7,171,762
	1,015,000		Kraton Polymers LLC* 6.750%, 03/01/19		1,037,838
	3,373,000		Nalco Holding Company 8.250%, 05/15/17		3,689,219
	6,030,000		Neenah Paper, Inc. 7.375%, 11/15/14		6,150,600
	6,619,000		Sealed Air Corp.µ* 6.875%, 07/15/33		6,678,339
	4,179,000		Silgan Holdings, Inc.µ 7.250%, 08/15/16		4,518,544
			Steel Dynamics, Inc.
	8,921,000		7.750%, 04/15/16µ		9,590,075
	1,631,000		7.625%, 03/15/20		1,794,100
	2,364,000		Texas Industries, Inc. 9.250%, 08/15/20		2,559,030
			Union Carbide Corp.µ
	4,586,000		7.875%, 04/01/23		5,258,353
	3,073,000		7.500%, 06/01/25		3,422,173

					66,591,448


			Telecommunication Services (4.5%)
	5,711,000		CenturyLink, Inc.µ 6.875%, 01/15/28		5,507,917
			Frontier Communications Corp.
	7,753,000		9.000%, 08/15/31µ		8,024,355
	2,837,000		8.250%, 04/15/17		3,088,784


10		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		See accompanying Notes to Schedule of Investments

Schedule of Investments April 30, 2011 (Unaudited)


PRINCIPAL
AMOUNT				VALUE
	8,037,000		MetroPCS Wireless, Inc. 7.875%, 09/01/18	$	8,700,052
	6,619,000		Qwest Communications International, Inc.µ 7.750%, 02/15/31		7,098,877
			Windstream Corp.
	8,132,000		7.750%, 10/15/20		8,660,580
	2,837,000		7.500%, 04/01/23		2,893,740

					43,974,305


			Utilities (0.8%)
			Calpine Corp.*
	4,964,000		7.875%, 07/31/20		5,373,530
	2,600,000		7.500%, 02/15/21		2,762,500

					8,136,030

			TOTAL CORPORATE BONDS (Cost $710,775,654)		752,295,117

CONVERTIBLE BONDS (20.5%)

			Consumer Discretionary (2.4%)
	13,000,000		Liberty Media Corp. (Time Warner, Inc.)µ§ 3.125%, 03/30/23		15,990,000
	8,820,000		Liberty Media Corp. (Viacom, CBS Corp. - Class B)µ§ 3.250%, 03/15/31		7,452,900

					23,442,900


			Energy (1.5%)
	11,000,000		Chesapeake Energy Corp. 2.250%, 12/15/38		10,340,000
	3,000,000		SM Energy Companyµ 3.500%, 04/01/27		4,350,000

					14,690,000


			Financials (0.6%)
	5,500,000		Affiliated Managers Group, Inc.µ 3.950%, 08/15/38		6,400,625


			Health Care (2.3%)
	16,500,000		Life Technologies Corp.µ 3.250%, 06/15/25		18,810,000
	3,250,000		LifePoint Hospitals, Inc.µ 3.500%, 05/15/14		3,518,125

					22,328,125


			Industrials (1.5%)
	13,000,000		Trinity Industries, Inc.µ 3.875%, 06/01/36		14,283,750


			Information Technology (8.8%)
	1,800,000	GBP	Autonomy Corp., PLCµ 3.250%, 03/04/15		3,402,016
	3,699,000		Blackboard, Inc.µ 3.250%, 07/01/27		3,735,990
	7,000,000		Euronet Worldwide, Inc.µ 3.500%, 10/15/25		7,026,250
	41,000,000		Intel Corp.µ 2.950%, 12/15/35		43,921,250
	23,500,000		Linear Technology Corp.µ 3.000%, 05/01/27		25,526,875
	1,317,000		Rovi Corp. 2.625%, 02/15/40		1,624,849

					85,237,230


			Materials (3.4%)
	5,200,000		Anglo American, PLCµ 4.000%, 05/07/14		10,255,200
	7,400,000		AngloGold Ashanti, Ltd.µ 3.500%, 05/22/14		9,333,243
	10,090,000		Newmont Mining Corp. 3.000%, 02/15/12		13,230,512

					32,818,955

			TOTAL CONVERTIBLE BONDS (Cost $183,600,393)		199,201,585

U.S. GOVERNMENT AND AGENCY SECURITIES (0.7%)
			United States Treasury Note~
	3,546,000		0.875%, 01/31/12		3,564,702
	3,309,000		1.000%, 03/31/12		3,332,285

			TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $6,894,334)		6,896,987

SOVEREIGN BONDS (1.6%)
			Federal Republic of Brazil
	1,749,000	BRL	10.000%, 01/01/12		11,300,817
	615,000	BRL	10.000%, 01/01/13		3,881,470

			TOTAL SOVEREIGN BONDS (Cost $13,790,263)		15,182,287



SYNTHETIC CONVERTIBLE SECURITIES (5.3%)
Corporate Bonds (4.4%)

			Consumer Discretionary (0.8%)
	111,000		American Axle & Manufacturing, Inc. 7.875%, 03/01/17		114,608
	252,000		Asbury Automotive Group, Inc. 7.625%, 03/15/17		258,930
	372,000		Cooper Tire & Rubber Company 8.000%, 12/15/19		399,435
	104,000		Dana Holding Corp. 6.750%, 02/15/21		105,430
			DISH Network Corp.µ
	408,000		7.875%, 09/01/19		443,700
	343,000		7.125%, 02/01/16		367,010
	408,000		Exide Technologies* 8.625%, 02/01/18		439,620
	136,000		Express, LLC 8.750%, 03/01/18		149,430
	217,000		GameStop Corp.µ 8.000%, 10/01/12		221,882


See accompanying Notes to Schedule of Investments		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		11

Schedule of Investments April 30, 2011 (Unaudited)


PRINCIPAL
AMOUNT			VALUE
		Goodyear Tire & Rubber Company
	245,000	8.250%, 08/15/20	$	273,481
	103,000	7.000%, 03/15/28µ		99,395
	395,000	Hanesbrands, Inc.µ‡ 3.831%, 12/15/14		396,975
	506,000	Hasbro, Inc.µ 6.600%, 07/15/28		536,272
	102,000	Interpublic Group of Companies, Inc. 10.000%, 07/15/17		122,145
		J.C. Penney Company, Inc.
	170,000	6.375%, 10/15/36		153,850
	156,000	7.125%, 11/15/23		161,460
	82,000	7.650%, 08/15/16		91,020
	413,000	Jarden Corp.µ 7.500%, 05/01/17		445,524
	191,000	Liberty Media Corp.µ 8.250%, 02/01/30		186,225
		Limited Brands, Inc.
	163,000	7.600%, 07/15/37		161,777
	84,000	6.625%, 04/01/21		87,360
	54,000	6.950%, 03/01/33		50,355
	201,000	Live Nation Entertainment, Inc.* 8.125%, 05/15/18		206,025
	317,000	NetFlix, Inc.µ 8.500%, 11/15/17		359,795
	258,000	Perry Ellis International, Inc. 7.875%, 04/01/19		270,255
		Royal Caribbean Cruises, Ltd.
	648,000	7.500%, 10/15/27µ		649,620
	54,000	7.000%, 06/15/13µ		58,388
	22,000	7.250%, 06/15/16		23,595
		Service Corp. International
	463,000	7.500%, 04/01/27µ		452,004
	109,000	7.000%, 05/15/19		116,358
	54,000	7.625%, 10/01/18µ		60,750
	54,000	Speedway Motorsports, Inc. 8.750%, 06/01/16		59,400
	221,000	Vail Resorts, Inc.* 6.500%, 05/01/19		226,525
	320,000	Wynn Las Vegas, LLC 7.750%, 08/15/20		351,200

				8,099,799


		Consumer Staples (0.2%)
	231,000	Chiquita Brands International, Inc. 8.875%, 12/01/15		239,085
		Constellation Brands, Inc.
	264,000	7.250%, 09/01/16µ		289,080
	50,000	8.375%, 12/15/14		57,125
	185,000	Darling International, Inc.* 8.500%, 12/15/18		202,575
	8,000	Elizabeth Arden, Inc. 7.375%, 03/15/21		8,460
	238,000	Reynolds American, Inc.~ 7.250%, 06/15/37		260,110
	545,000	Smithfield Foods, Inc.µ 7.750%, 07/01/17		589,963

				1,646,398


		Energy (1.0%)
		Arch Coal, Inc.
	354,000	8.750%, 08/01/16µ		398,250
	112,000	7.250%, 10/01/20		121,380
	64,000	Arch Western Finance, LLC 6.750%, 07/01/13		64,720
		Basic Energy Services, Inc.
	424,000	7.750%, 02/15/19*		446,260
	82,000	7.125%, 04/15/16		84,153
		Berry Petroleum Company
	363,000	8.250%, 11/01/16		385,687
	109,000	10.250%, 06/01/14		127,258
	82,000	Bill Barrett Corp. 9.875%, 07/15/16		93,685
	266,000	Brigham Exploration Company 8.750%, 10/01/18		297,920
	429,000	Bristow Group, Inc.µ 7.500%, 09/15/17		454,740
	463,000	Calfrac Holdings, LP* 7.500%, 12/01/20		486,150
	432,000	Carrizo Oil & Gas, Inc.* 8.625%, 10/15/18		463,320
		Chesapeake Energy Corp.
	218,000	9.500%, 02/15/15		263,507
	176,000	6.625%, 08/15/20		190,520
	54,000	Clayton Williams Energy, Inc.* 7.750%, 04/01/19		54,270
	272,000	Complete Production Services, Inc.µ 8.000%, 12/15/16		288,320
	447,000	Comstock Resources, Inc.µ 8.375%, 10/15/17		473,820
	295,000	Concho Resources, Inc. 8.625%, 10/01/17		327,450
	109,000	Continental Resources, Inc.µ 8.250%, 10/01/19		121,535
	327,000	EXCO Resources, Inc. 7.500%, 09/15/18		333,131
		Frontier Oil Corp.
	395,000	8.500%, 09/15/16µ		430,550
	53,000	6.875%, 11/15/18		55,650
	255,000	GulfMark Offshore, Inc.µ 7.750%, 07/15/14		261,375
	381,000	Helix Energy Solutions Group, Inc.µ* 9.500%, 01/15/16		405,765
	166,000	Holly Corp.µ 9.875%, 06/15/17		187,995
	215,000	Hornbeck Offshore Services, Inc.µ 8.000%, 09/01/17		223,063
	245,000	Pride International, Inc.µ 8.500%, 06/15/19		308,232


12		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		See accompanying Notes to Schedule of Investments

Schedule of Investments April 30, 2011 (Unaudited)


PRINCIPAL
AMOUNT				VALUE
	300,000		SEACOR Holdings, Inc.µ 7.375%, 10/01/19	$	324,744
	414,000		SESI, LLCµ 6.875%, 06/01/14		424,867
	237,000		SM Energy Company* 6.625%, 02/15/19		245,295
			Swift Energy Company
	376,000		8.875%, 01/15/20		413,600
	131,000		7.125%, 06/01/17		134,930
	298,000		Trinidad Drilling, Ltd.* 7.875%, 01/15/19		317,370
	156,000		Whiting Petroleum Corp. 6.500%, 10/01/18		163,800
	199,000		Williams Companies, Inc. 7.750%, 06/15/31		242,164

					9,615,476


			Financials (0.2%)
	160,000		AON Corp. 8.205%, 01/01/27		181,617
	150,000		Host Hotels & Resorts, Inc. 7.125%, 11/01/13		152,812
	125,000		Janus Capital Group, Inc. 6.700%, 06/15/17		137,031
			Leucadia National Corp.
	592,000		8.125%, 09/15/15µ		660,080
	130,000		7.000%, 08/15/13µ		141,375
	105,000		7.125%, 03/15/17		110,775
	327,000		Nuveen Investments, Inc. 10.500%, 11/15/15		342,124
			OMEGA Healthcare Investors, Inc.
	210,000		7.500%, 02/15/20		225,225
	82,000		6.750%, 10/15/22*		83,743
	272,000		Senior Housing Properties Trustµ 8.625%, 01/15/12		283,625

					2,318,407


			Health Care (0.4%)
	109,000		Bio-Rad Laboratories, Inc. 8.000%, 09/15/16		121,808
	136,000		Community Health Systems, Inc. 8.875%, 07/15/15		139,400
	362,000		DaVita, Inc.µ 6.625%, 11/01/20		373,313
	490,000		Endo Pharmaceuticals Holdings, Inc.µ* 7.000%, 12/15/20		504,700
	490,000		Giant Funding Corp.µ* 8.250%, 02/01/18		510,825
	163,000		HCA, Inc.* 7.750%, 05/15/21		171,150
			HealthSouth Corp.µ
	177,000		7.750%, 09/15/22		188,726
	136,000		7.250%, 10/01/18		144,160
			Mylan, Inc.*
	319,000		7.625%, 07/15/17µ		350,900
	177,000		7.875%, 07/15/20		196,470
	343,000		Talecris Biotherapeutics Holdings Corp. 7.750%, 11/15/16		379,015
			Valeant Pharmaceuticals International, Inc.*
	408,000		7.000%, 10/01/20		402,900
	191,000		7.250%, 07/15/22		188,851
	71,000		6.750%, 10/01/17		71,000
	531,000		Warner Chilcott Company, LLC* 7.750%, 09/15/18		562,196

					4,305,414


			Industrials (0.7%)
	163,000		Abengoa, SA* 8.875%, 11/01/17		166,260
			BE Aerospace, Inc.
	300,000		8.500%, 07/01/18µ		335,250
	24,000		6.875%, 10/01/20		25,380
			Belden, Inc.
	218,000		9.250%, 06/15/19		244,705
	163,000		7.000%, 03/15/17µ		169,112
	119,000		Boart Longyear Management Pty., Ltd.* 7.000%, 04/01/21		123,760
	164,000		Clean Harbors, Inc.* 7.625%, 08/15/16		176,300
			Deluxe Corp.
	329,000		7.375%, 06/01/15µ		342,571
	327,000		7.000%, 03/15/19*		331,087
	263,000		Dycom Investments, Inc.µ* 7.125%, 01/15/21		273,191
	163,000		Esterline Technologies Corp. 7.000%, 08/01/20		174,817
	150,000		FTI Consulting, Inc.* 6.750%, 10/01/20		153,750
	191,000		Gardner Denver, Inc. 8.000%, 05/01/13		191,716
	136,000		GEO Group, Inc.* 6.625%, 02/15/21		136,340
	263,000		GeoEye, Inc.µ 8.625%, 10/01/16		280,095
	272,000		Great Lakes Dredge & Dock Corp.µ* 7.375%, 02/01/19		279,480
	102,000		H&E Equipment Services, Inc. 8.375%, 07/15/16		106,463
			Huntington Ingalls Industries, Inc.*
	14,000		7.125%, 03/15/21		14,805
	14,000		6.875%, 03/15/18		14,805
	297,000		Interline Brands, Inc.µ 7.000%, 11/15/18		307,395
	109,000	GBP	Iron Mountain, Inc.* 7.250%, 04/15/14		185,254
	109,000		Manitowoc Company, Inc. 8.500%, 11/01/20		119,900
			Oshkosh Corp.
	285,000		8.500%, 03/01/20		319,200
	66,000		8.250%, 03/01/17		73,178


See accompanying Notes to Schedule of Investments		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		13

Schedule of Investments April 30, 2011 (Unaudited)


PRINCIPAL
AMOUNT			VALUE
	517,000	Spirit AeroSystems Holdings, Inc.µ 7.500%, 10/01/17	$	563,530
	436,000	Terex Corp. 8.000%, 11/15/17		463,250
		Triumph Group, Inc.
	149,000	8.000%, 11/15/17		159,803
	136,000	8.625%, 07/15/18		151,130
	436,000	Tutor Perini Corp.* 7.625%, 11/01/18		446,900
	109,000	WESCO Distribution, Inc. 7.500%, 10/15/17		113,088

				6,442,515


		Information Technology (0.4%)
		Advanced Micro Devices, Inc.
	408,000	7.750%, 08/01/20		427,380
	196,000	8.125%, 12/15/17		208,250
		Amkor Technology, Inc.
	561,000	9.250%, 06/01/16µ		591,855
	218,000	7.375%, 05/01/18		229,990
	142,000	Equinix, Inc. 8.125%, 03/01/18		154,425
	33,000	Fidelity National Information Services, Inc. 7.875%, 07/15/20		36,630
	16,000	Hynix Semiconductor, Inc.* 7.875%, 06/27/17		17,021
	517,000	iGATE Corp.µ* 9.000%, 05/01/16		532,510
	54,000	Jabil Circuit, Inc. 7.750%, 07/15/16		61,560
	327,000	Lender Processing Services, Inc.µ 8.125%, 07/01/16		338,445
	160,000	Lexmark International, Inc.µ 6.650%, 06/01/18		173,878
	414,000	MEMC Electronic Materials, Inc.* 7.750%, 04/01/19		432,113
	327,000	Sanmina-SCI Corp.*† 7.000%, 05/15/19		325,774
	191,000	Seagate Technology* 6.875%, 05/01/20		194,820
	180,000	ViaSat, Inc. 8.875%, 09/15/16		194,625
	144,000	Xerox Corp. 8.000%, 02/01/27		146,443

				4,065,719


		Materials (0.4%)
	114,000	Airgas, Inc. 7.125%, 10/01/18		124,688
	204,000	Allegheny Ludlum Corp.µ 6.950%, 12/15/25		222,147
	47,000	Ashland, Inc. 9.125%, 06/01/17		54,579
	130,000	Boise Cascade Holdings, LLC 7.125%, 10/15/14		130,325
	301,000	Clearwater Paper Corp.µ* 7.125%, 11/01/18		314,545
	375,000	Greif, Inc.µ 7.750%, 08/01/19		413,437
	58,000	Kraton Polymers LLC* 6.750%, 03/01/19		59,305
	194,000	Nalco Holding Company 8.250%, 05/15/17		212,187
	347,000	Neenah Paper, Inc. 7.375%, 11/15/14		353,940
	381,000	Sealed Air Corp.µ* 6.875%, 07/15/33		384,416
	241,000	Silgan Holdings, Inc.µ 7.250%, 08/15/16		260,581
		Steel Dynamics, Inc.
	514,000	7.750%, 04/15/16µ		552,550
	94,000	7.625%, 03/15/20		103,400
	136,000	Texas Industries, Inc. 9.250%, 08/15/20		147,220
		Union Carbide Corp.µ
	264,000	7.875%, 04/01/23		302,705
	177,000	7.500%, 06/01/25		197,112

				3,833,137


		Telecommunication Services (0.3%)
	329,000	CenturyLink, Inc.µ 6.875%, 01/15/28		317,301
		Frontier Communications Corp.
	447,000	9.000%, 08/15/31µ		462,645
	163,000	8.250%, 04/15/17		177,466
	463,000	MetroPCS Wireless, Inc. 7.875%, 09/01/18		501,197
	381,000	Qwest Communications International, Inc.µ 7.750%, 02/15/31		408,623
		Windstream Corp.*
	468,000	7.750%, 10/15/20		498,420
	163,000	7.500%, 04/01/23		166,260

				2,531,912


		Utilities (0.0%)
		Calpine Corp.*
	286,000	7.875%, 07/31/20		309,595
	150,000	7.500%, 02/15/21		159,375

				468,970

		TOTAL CORPORATE BONDS		43,327,747


14		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		See accompanying Notes to Schedule of Investments

Schedule of Investments April 30, 2011 (Unaudited)


PRINCIPAL
AMOUNT				VALUE
U.S. Government and Agency Securities (0.0%)
			United States Treasury Note~
	204,000		0.875%, 01/31/12	$	205,076
	191,000		1.000%, 03/31/12		192,344

			TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES		397,420



Sovereign Bonds (0.1%)
			Federal Republic of Brazil
	101,000	BRL	10.000%, 01/01/12		652,591
	35,000	BRL	10.000%, 01/01/13		220,897

			TOTAL SOVEREIGN BONDS		873,488



NUMBER OF
CONTRACTS				VALUE
Purchased Options (0.8%) #

			Consumer Discretionary (0.1%)
	310		Amazon.com, Inc. Call, 01/19/13, Strike $180.00		1,301,225


			Information Technology (0.7%)
	180		Apple, Inc. Call, 01/19/13, Strike $290.00		1,697,850
	3,150		EMC Corp. Call, 01/19/13, Strike $25.00		1,787,625
	2,000		Oracle Corp. Call, 01/19/13, Strike $30.00		1,730,000
	1,500		QUALCOMM, Inc. Call, 01/19/13, Strike $55.00		1,353,750

					6,569,225

			TOTAL PURCHASED OPTIONS		7,870,450

			TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $48,230,123)		52,469,105



NUMBER OF
SHARES				VALUE
CONVERTIBLE PREFERRED STOCKS (16.1%)

			Consumer Discretionary (0.6%)
	46,760		Stanley Black & Decker, Inc.µ 4.750%		5,515,342


			Consumer Staples (3.7%)
	555,000		Archer-Daniels-Midland Companyµ 6.250%		25,985,100
	90,600		Bunge, Ltd.µ 4.875%		9,671,550

					35,656,650


			Energy (1.6%)
	225,000		Apache Corp.µ 6.000%		15,835,500


			Financials (6.3%)
	310,000		Affiliated Managers Group, Inc.µ 5.150%		13,853,125
	19,500		Bank of America Corp.µ 7.250%		20,358,000
	168,000		MetLife, Inc. 5.000%		14,706,720
	11,600		Wells Fargo & Companyµ 7.500%		12,521,968

					61,439,813


			Materials (2.7%)
	272,200		Vale, SAµ 6.750%		25,948,982


			Utilities (1.2%)
	229,650		NextEra Energy, Inc.µ 7.000%		11,918,835

			TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $141,988,571)		156,315,122



NUMBER OF
UNITS				VALUE
STRUCTURED EQUITY-LINKED SECURITIES (2.6%)+*

			Energy (1.4%)
	270,000		Barclays Capital, Inc. (Nabors Industries, Ltd.) 12.000%, 06/04/11		6,804,000
	196,000		Deutsche Bank, AG (Chesapeake Energy Corp.)† 8.000%, 01/24/12		6,468,000

					13,272,000


			Materials (1.2%)
	117,000		Credit Suisse Group (Barrick Gold Corp.) 11.000%, 05/24/11		5,957,640
	134,000		Goldman Sachs Group, Inc. (Goldcorp, Inc.) 12.000%, 07/20/11		6,304,700

					12,262,340

			TOTAL STRUCTURED EQUITY-LINKED SECURITIES (Cost $23,960,909)		25,534,340



NUMBER OF
SHARES				VALUE
COMMON STOCKS (2.9%)

			Financials (0.1%)
	17,300		American International Group, Inc.#		538,895


			Health Care (1.8%)
	496,671		Merck & Company, Inc.µ		17,855,323


See accompanying Notes to Schedule of Investments		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		15

Schedule of Investments April 30, 2011 (Unaudited)


NUMBER OF
SHARES			VALUE
		Industrials (1.0%)
	224,388	Avery Dennison Corp.µ	$	9,365,955

		TOTAL COMMON STOCKS (Cost $30,422,064)		27,760,173

SHORT TERM INVESTMENT (4.0%)
	39,094,079	Fidelity Prime Money Market Fund - Institutional Class (Cost $39,094,079)		39,094,079

TOTAL INVESTMENTS (131.0%) (Cost $1,198,756,390)				1,274,748,795


LIABILITIES, LESS OTHER ASSETS (-31.0%)				(301,701,501	)


NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)			$	973,047,294

NOTES TO SCHEDULE OF INVESTMENTS


µ		Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $698,705,991. $241,718,613 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 April 30, 2011, the value of 144A securities that could not be exchanged to the registered form is $97,997,606 or 10.1% of net assets applicable to common shareholders.

‡		Variable rate or step bond security. The rate shown is the rate in effect at April 30, 2011.

~		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 aggregate a total value of $8,302,064.

†		Security or a portion of the security purchased on a delayed delivery or when-issued basis.

§		Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.

#		Non-income producing security.

+		Structured equity-linked securities are designed to simulate the characteristics of the equity security in the parenthetical.

FOREIGN CURRENCY ABBREVIATIONS


BRL		Brazilian Real
GBP		British Pound Sterling

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.

INTEREST RATE SWAPS

UNREALIZED

FIXED RATE

FLOATING RATE

TERMINATION

NOTIONAL

APPRECIATION/

COUNTERPARTY

(FUND PAYS)

(FUND RECEIVES)

DATE

AMOUNT

(DEPRECIATION)

BNP Paribas, SA

2.4300%

quarterly

3 month LIBOR

04/14/14

115,000,000

$(4,273,535

)

BNP Paribas, SA

1.8650%

quarterly

3 month LIBOR

04/14/12

75,000,000

(1,155,393

)

BNP Paribas, SA

1.8525%

quarterly

3 month LIBOR

09/14/12

53,000,000

(1,121,799

)

$(6,550,727

)


16		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		See accompanying Notes to Financial Statements

Statement of Assets and Liabilities April 30, 2011 (Unaudited)


ASSETS
Investments in securities, at value (cost $1,198,756,390)	$	1,274,748,795
Receivables:
Accrued interest and dividends		17,398,982
Investments sold		116,396
Fund shares sold		490,115
Prepaid expenses		514,955
Other assets		236,784

Total assets		1,293,506,027

LIABILITIES
Unrealized depreciation on interest rate swaps		6,550,727
Payables:
Note payable		286,000,000
Investments purchased		26,691,724
Affiliates:
Investment advisory fees		777,034
Deferred compensation to trustees		162,883
Financial accounting fees		11,496
Trustees’ fees and officer compensation		18,644
Other accounts payable and accrued liabilities		246,225

Total liabilities		320,458,733

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS	$	973,047,294

COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized 71,831,525 shares issued and outstanding	$	1,016,883,186
Undistributed net investment income (loss)		(25,558,623	)
Accumulated net realized gain (loss) on investments, foreign currency transactions and interest rate swaps		(87,719,545	)
Unrealized appreciation (depreciation) of investments, foreign currency translations and interest rate swaps		69,442,276

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS	$	973,047,294

Net asset value per common shares based upon 71,831,525 shares issued and outstanding	$	13.55


See accompanying Notes to Financial Statements		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		17

Statement of Operations Six Months Ended April 30, 2011 (Unaudited)


INVESTMENT INCOME
Interest	$	31,832,978
Dividends		7,033,587
Securities lending income		62,577

Total investment income		38,929,142


EXPENSES
Investment advisory fees		4,793,617
Interest expense and related fees		2,118,148
Deferred debt structuring fee		495,891
Financial accounting fees		68,221
Printing and mailing fees		64,295
Audit fees		52,737
Trustees’ fees and officer compensation		40,081
Accounting fees		39,643
Registration fees		34,033
Custodian fees		33,594
Transfer agent fees		14,150
Legal fees		(82,321	)
Other		40,441

Total expenses		7,712,530
Less expense reductions		(179,761	)

Net expenses		7,532,769

NET INVESTMENT INCOME (LOSS)		31,396,373


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments, excluding purchased options		(12,450,170	)
Purchased options		(720,741	)
Foreign currency transactions		36,542
Interest rate swaps		(2,250,117	)
Change in net unrealized appreciation/(depreciation) on:
Investments, excluding purchased options		52,326,021
Purchased options		1,648,197
Foreign currency translations		(16,134	)
Interest rate swaps		3,021,060

NET GAIN (LOSS)		41,594,658

NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS	$	72,991,031


18		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		See accompanying Notes to Financial Statements

Statements of Changes in Net Assets


	(UNAUDITED)
	SIX MONTHS
	ENDED			YEAR ENDED
	APRIL 30,			OCTOBER 31,
	2011			2010
OPERATIONS
Net investment income (loss)	$	31,396,373		$	66,997,923
Net realized gain (loss)		(15,384,486	)		(4,440,865	)
Change in unrealized appreciation/(depreciation)		56,979,144			86,549,294

Net increase (decrease) in net assets applicable to common shareholders resulting from operations		72,991,031			149,106,352


DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM
Net investment income		(36,272,096	)		(71,413,706	)

Net decrease in net assets from distributions to common shareholders		(36,272,096	)		(71,413,706	)


CAPITAL STOCK TRANSACTIONS
Proceeds from common shares sold		13,366,417			8,469,828
Offering costs on common shares		(44,126	)		(86,344	)
Reinvestment of distributions resulting in the issuance of common stock		1,727,622			2,433,586

Net increase (decrease) in net assets from capital stock transactions		15,049,913			10,817,070

TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS		51,768,848			88,509,716


NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Beginning of period	$	921,278,446		$	832,768,730

End of period		973,047,294			921,278,446

Undistributed net investment income (loss)	$	(25,558,623	)	$	(20,682,900	)


See accompanying Notes to Financial Statements		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		19

Statement of Cash Flows Six Months Ended April 30, 2011 (Unaudited)


CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase/(decrease) in net assets from operations	$	72,991,031
Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash used for operating activities:
Purchase of investment securities		(345,000,052	)
Net proceeds from disposition of short term investments		3,747,864
Proceeds from disposition of investment securities		319,450,537
Amortization and accretion of fixed-income securities		(736,562	)
Net realized gains/losses from investments, excluding purchased options		12,450,170
Net realized gains/losses from purchased options		720,741
Change in unrealized appreciation or depreciation on investments, excluding purchased options		(52,326,021	)
Change in unrealized appreciation or depreciation on purchased options		(1,648,197	)
Change in unrealized appreciation or depreciation on interest rate swaps		(3,021,060	)
Net change in assets and liabilities:
(Increase)/decrease in assets:
Accrued interest and dividends receivable		(510,068	)
Prepaid expenses		(225,665	)
Other assets		(99,500	)
Increase/(decrease) in liabilities:
Payables to affiliates		48,813
Other accounts payable and accrued liabilities		(193,443	)

Net cash provided by/(used in) operating activities	$	5,648,588

CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from common shares sold		12,940,012
Offering costs related to common shares sold		(44,126	)
Distributions to common shareholders		(34,544,474	)
Proceeds from note payable		16,000,000

Net cash provided by/(used in) financing activities	$	(5,648,588	)

Cash at beginning of period	$	—

Cash at end of period	$	—

Supplemental disclosure
Cash paid for interest and related fees	$	2,140,475

Non-cash financing activities not included herein consists of reinvestment of dividends and distributions of $1,727,622


20		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		See accompanying Notes to Financial Statements

Notes to Financial Statements

Note 1 – Organization and Significant Accounting Policies

Organization. Calamos Convertible and High Income Fund (the “Fund”) was organized as a Delaware statutory trust on March 12, 2003 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on May 28, 2003. The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest at least 80% of its managed assets in a diversified portfolio of convertibles and non-convertible income securities. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).

Fund Valuation. The valuation of the Fund’s securities 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.


		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		21

Notes to Financial Statements

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. Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. Dividend income is recognized on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information becomes available after the ex-dividend date.

Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

Reported net realized foreign currency gains or losses arise from disposition of foreign currency, the difference in the foreign exchange rates between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end.

Allocation of Expenses Among Funds. Expenses directly attributable to the Fund are charged to the Fund; certain other common expenses of Calamos Advisors Trust, Calamos Investment Trust, Calamos Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income Fund are allocated proportionately among each fund to which the expenses relate in relation to the net assets of each fund or on another reasonable basis.

Use of Estimates. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimates.

Other Assets. Other assets include amounts of deferred compensation to trustees and certain recoverable legal expenses under an insurance policy.

Income Taxes. No provision has been made for U.S. income taxes because the Fund’s policy is to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended, and distribute to shareholders substantially all of its taxable income and net realized gains.

Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. To the extent these “book/tax” differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment. These differences are primarily due to differing treatments for foreign currency transactions, contingent payment debt instruments and methods of amortizing and accreting on fixed income securities. The financial statements are not adjusted for temporary differences.

The Fund recognized no liability for uncertain tax positions. A reconciliation is not provided as the beginning and ending amounts of unrecognized benefits are zero, with no interim additions, reductions or settlements. Tax years 2007 — 2009 remain subject to examination by the U.S. and the State of Illinois tax jurisdictions.

Indemnifications. Under the Fund’s organizational documents, the Fund is obligated to indemnify its officers and trustees against certain liabilities incurred by them by reason of having been an officer or trustee of the Fund. In addition, in the normal course of business, the Fund may enter into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under


22		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT

Notes to Financial Statements

these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Currently, the Fund’s management expects the risk of material loss in connection to a potential claim to be remote.

Note 2 – Investment Adviser and Transactions With Affiliates Or Certain Other Parties

Pursuant to an investment advisory agreement with Calamos Advisors LLC (“Calamos Advisors”), the Fund pays an annual fee, payable monthly, equal to 0.80% based on the average weekly managed assets. Calamos Advisors has contractually agreed to waive a portion of its management fee at the annual rate of 0.05% of the average weekly managed assets of the Fund (through May 31, 2011) and to waive a declining amount for an additional year (0.03% of the average weekly managed assets from June 1, 2011 through May 31, 2012). For the period ended April 30, 2011, the total advisory fee waived pursuant to such agreement was $179,761 and is included in the Statement of Operations under the caption “Less expense reductions”.

Pursuant to a financial accounting services agreement, during the period the Fund paid Calamos Advisors a fee for financial accounting services payable monthly at the annual rate of 0.0175% on the first $1 billion of combined assets, 0.0150% on the next $1 billion of combined assets and 0.0110% on combined assets above $2 billion (for purposes of this calculation “combined assets” means the sum of the total average daily net assets of Calamos Investment Trust, Calamos Advisors Trust, and the total average weekly managed assets of Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Convertible Opportunities and Income Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income Fund). Financial accounting services include, but are not limited to, the following: managing expenses and expense payment processing; monitoring the calculation of expense accrual amounts; calculating, tracking and reporting tax adjustments on all assets; and monitoring trustee deferred compensation plan accruals and valuations. The Fund pays its pro rata share of the financial accounting services fee payable to Calamos Advisors based on its relative portion of combined assets used in calculating the fee.

The Fund reimburses Calamos Advisors for a portion of compensation paid to the Fund’s Chief Compliance Officer. This compensation is reported as part of “Trustees’ fees and officer compensation” expense on the Statement of Operations.

A trustee and certain officers of the Fund are also officers and directors of Calamos Advisors. Such trustee and officers serve without direct compensation from the Fund.

The Fund has adopted a deferred compensation plan (the “Plan”). Under the Plan, a trustee who is not an “interested person” (as defined in the 1940 Act) and has elected to participate in the Plan (a “participating trustee”) may defer receipt of all or a portion of his compensation from the Fund. The deferred compensation payable to the participating trustee is credited to the trustee’s deferral account as of the business day such compensation would have been paid to the participating trustee. The value of amounts deferred for a participating trustee is determined by reference to the change in value of Class I shares of one or more funds of Calamos Investment Trust designated by the participant. The value of the account increases with contributions to the account or with increases in the value of the measuring shares, and the value of the account decreases with withdrawals from the account or with declines in the value of the measuring shares. Deferred compensation of $162,883 is included in “Other assets” on the Statement of Assets and Liabilities at April 30, 2011. The Fund’s obligation to make payments under the Plan is a general obligation of the Fund and is included in “Payable for deferred compensation to trustees” on the Statement of Assets and Liabilities at April 30, 2011.

Note 3 – Investments

The cost of purchases and proceeds from sale of long-term investments, for the period ended April 30, 2011 were as follows:


Cost of purchases	$	288,513,391
Proceeds from sales		214,649,430

The following information is presented on a federal income tax basis as of April 30, 2011. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.


		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		23

Notes to Financial Statements

The cost basis of investments for federal income tax purposes at April 30, 2011 was as follows:


Cost basis of investments	$	1,237,316,495

Gross unrealized appreciation		71,000,182
Gross unrealized depreciation		(33,567,882)

Net unrealized appreciation (depreciation)	$	37,432,300

Note 4 – Income Taxes

The Fund intends to make monthly distributions from its income available for distribution, which consists of the Fund’s dividends and interest income after payment of Fund expenses, and net realized gains on stock investments. At least annually, the Fund intends to distribute all or substantially all of its net realized capital gains, if any. Distributions are recorded on the ex-dividend date. The Fund distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in-capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income. Distributions in any year may include a return of capital component.

The tax character of distributions for the period ended April 30, 2011 will be determined at the end of each Fund’s current fiscal year. Distributions during the fiscal period ended October 31, 2010 were characterized for federal income tax purposes as follows:


	YEAR ENDED
	OCTOBER 31, 2010
Distributions paid from:
Ordinary income	$	71,413,706
Long-term capital gains		—

As of October 31, 2010, the components of accumulated earnings/(loss) on a tax basis were as follows:


Undistributed ordinary income		$3,157,581
Undistributed capital gains		—

Total undistributed earnings		3,157,581
Accumulated capital and other losses		(69,299,703)
Net unrealized gains/(losses)		(14,288,618)

Total accumulated earnings/(losses)		(80,430,740)
Other		(124,087)
Paid-in capital		1,001,833,273

Net assets applicable to common shareholders		$921,278,446

As of October 31, 2010, the Fund had capital loss carryforwards which, if not used, will expire as follows:


2017		$(65,477,489)
2018		(3,822,214)


24		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT

Notes to Financial Statements

Note 5 – Common Shares

There are unlimited common shares of beneficial interest authorized and 71,831,525 shares outstanding at April 30, 2011. Calamos Advisors owned 28,943 of the outstanding shares at April 30, 2011. Transactions in common shares were as follows:


	PERIOD ENDED		YEAR ENDED
	APRIL 30, 2011		OCTOBER 31, 2010
Beginning shares		70,707,940		69,837,235
Shares sold		993,592		676,079
Shares issued through reinvestment of distributions		129,993		194,626

Ending shares		71,831,525		70,707,940

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940 that the Fund may from time to time purchase its shares of common stock in the open market.

The Fund also may offer and sell common shares from time to time at an offering price equal to or in excess of the net asset value per share of the Fund’s common shares at the time such common shares are initially sold. Transactions for the first six months of the fiscal year had net proceeds received in excess of net value of $135,971.

Note 6 – Derivative Instruments

Foreign Currency Risk. The Fund engaged in portfolio hedging with respect to changes in currency exchange rates by entering into 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 and an unrealized gain or loss is recorded. The Fund realizes a gain or loss when a position is closed or upon settlement of the contracts. There were no open forward currency contracts at April 30, 2011.

Equity Risk. The Fund engages in option transactions and in doing so achieves the similar objectives to what it would achieve through the sale or purchase of individual securities. A call option, upon payment of a premium, gives the purchaser of the option the right to buy, and the seller of the option the obligation to sell, the underlying security, index or other instrument at the exercise price. A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the seller the obligation to buy, the underlying security, index, or other instrument at the exercise price.

To seek to offset some of the risk of a potential decline in value of certain long positions, the Fund may also purchase put options on individual securities, broad-based securities indexes or certain exchange traded funds (“ETFs”). The Fund may also seek to generate income from option premiums by writing (selling) options on a portion of the equity securities (including securities that are convertible into equity securities) in the Fund’s portfolio, on broad-based securities indexes, or certain ETFs.

When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on a closing purchase or sale transaction is also treated as a realized gain or loss. 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. Gain or loss on written options and purchased options is presented separately as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.

As of April 30, 2011, the Fund had outstanding purchased options and/or written options as listed on the Schedule of Investments.

Interest Rate Risk. The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the fund’s borrowings (see Note 7 – 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


		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		25

Notes to Financial Statements

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. Unrealized gains are reported as an asset, and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on interest rate swaps in the Statement of Operations. A realized gain or loss is recorded in net realized gain (loss) from interest rate swaps in the Statement of Operations upon payment or receipt of a periodic payment or termination of the swap agreements. 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.

Premiums paid to or by a Fund are accrued daily and included in realized gain (loss) when paid on swaps in the accompanying Statement of Operations. The contracts are marked-to-market daily based upon third party vendor valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms, counterparty’s creditworthiness, and the possible lack of liquidity with respect to the contracts.

As of April 30, 2011, the Fund had outstanding interest rate swap agreements as listed on the Schedule of Investments.

Below are the types of derivatives in the Fund by gross value as of April 30, 2011:

ASSETS

LIABILITIES

STATEMENT OF ASSETS &

LIABILITIES LOCATION

VALUE

LIABILITIES LOCATION

VALUE

Derivative Type:

Equity – Purchased options

Investments in securities

7,870,450

Interest Rate Swaps

Unrealized appreciation on swaps

—

Unrealized depreciation on swaps

6,550,727

Volume of Derivative Activity for the Six Months Ended April 30, 2011*


Equity:
Purchased options			6,960


*		Activity during the period is measured by opened number of contracts for options and opened notional amount for swap contracts.

Note 7 – 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 “Agreement”) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) (“BNP”) that allows the Fund to borrow up to an initial limit of $400,000,000, and a Lending Agreement, as defined below. Borrowings under the Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). Interest is charged at the quarterly LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. For the period ended April 30, 2011, the average borrowings and the average interest rate were $270,265,193 and 1.18%, respectively. As of April 30, 2011, the amount of such outstanding borrowings is $286,000,000. The interest rate applicable to the borrowings on April 30, 2011 was 0.92%.

The Lending Agreement 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 Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities


26		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT

Notes to Financial Statements

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, 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.

Note 8 – 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 9 – When-Issued and Delayed Delivery Securities

The Fund may purchase securities on a when-issued or delayed-delivery basis. Although the payment and interest terms of these securities are established at the time the Fund enters into the commitment, the securities may be delivered and paid for a month or more after the date of purchase, when their value may have changed. The Fund makes such commitments only with the intention of actually acquiring the securities, but may sell the securities before the settlement date if Calamos Advisors deems it advisable for investment reasons. The Fund may utilize spot and forward foreign currency exchange transactions to reduce the risk inherent in fluctuations in the exchange rate between one currency and another when securities are purchased or sold on a when-issued or delayed-delivery basis.

At the time when the Fund enters into a binding obligation to purchase securities on a when-issued basis, liquid assets (cash, U.S. Government securities or other “high-grade” debt obligations) of the Fund having a value at least as great as the purchase price of the securities to be purchased will be segregated on the books of the Fund and held by the custodian throughout the period of the obligation. The use of this investment strategy may increase net asset value fluctuation.

Note 10 – Structured Equity-Linked Securities

The Fund may also invest in structured equity-linked securities created by third parties, typically investment banks. Structured equity-linked securities created by such parties may be designed to simulate the characteristics of traditional convertible securities or may be designed to alter or emphasize a particular feature. Traditional convertible securities typically offer stable cash flows with the ability to


		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		27

Notes to Financial Statements

participate in capital appreciation of the underlying common stock. Because traditional convertible securities are exercisable at the option of the holder, the holder is protected against downside risk. Structured equity-linked securities may alter these characteristics by offering enhanced yields in exchange for reduced capital appreciation or less downside protection, or any combination of these features. Structured equity-linked instruments may include structured notes, equity-linked notes, mandatory convertibles and combinations of securities and instruments, such as a debt instrument combined with a forward contract. Income received from these securities is recorded as dividends on the Statement of Operations.

Note 11 – Valuations

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 (including U.S. government and government agency obligations) are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Fund’s investments.

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


	CONVERTIBLE AND HIGH INCOME FUND
	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Assets:
Corporate Bonds	$	—	$	752,295,117	$	—	$	752,295,117
Convertible Bonds				199,201,585			$	199,201,585
U.S. Government and Agency Securities				6,896,987			$	6,896,987
Sovereign Bonds				15,182,287			$	15,182,287
Synthetic Convertible Securities (Corporate Bonds)				43,327,747			$	43,327,747
Synthetic Convertible Securities (U.S. Government and Agency Securities)				397,420			$	397,420
Synthetic Convertible Securities (Sovereign Bonds)				873,488			$	873,488
Synthetic Convertible Securities (Purchased Options)		7,870,450					$	7,870,450
Convertible Preferred Stocks		132,790,447		23,524,675			$	156,315,122
Structured Equity-Linked Securities				25,534,340			$	25,534,340
Common Stocks		27,760,173					$	27,760,173
Short Term Investment		39,094,079					$	39,094,079

	$	207,515,149	$	1,067,233,646	$	—	$	1,274,748,795

Liabilities:
Interest Rate Swaps				6,550,727			$	6,550,727

Total	$	—	$	6,550,727	$	—	$	6,550,727

Note 12 – Legal Proceedings

The Fund, the Fund’s Board of Trustees, Calamos Advisors LLC, (the “Adviser”), and the corporate parent of the Adviser have been named as defendants in a putative class action complaint currently pending in the United States District Court for the Northern District of Illinois related to the Fund’s redemption of its Auction Rate Cumulative Preferred Shares (the “ARPS”) at their liquidation preference. The


28		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT

Notes to Financial Statements

complaint captioned Rutgers Casualty Ins. Co. v. John P. Calamos, Sr., Nick P. Calamos, Weston W. Marsh, Joe F. Hanauer, John E. Neal, William R. Rybak, Stephen B. Timbers, David D. Tripple, Calamos Advisors, LLC, Calamos Asset Management, Inc., Calamos Convertible and High Income Fund, and John and Jane Does 1-100 generally alleges that the Fund’s Board of Trustees breached certain fiduciary duties owed to the common shareholders of the Fund by approving the redemption of the Fund’s ARPS at their liquidation preference, and by recapitalizing the Fund with debt-based borrowings that were allegedly less advantageous to the Fund’s common shareholders. The complaint also alleges that Calamos, the corporate parent of Calamos, and the Fund itself aided and abetted the Trustees’ alleged breaches of fiduciary duty and were unjustly enriched as a result. The suit seeks indeterminate monetary and punitive damages from the named defendants, as well as injunctive relief. The defendants believe that the complaint is without merit, and intend to defend themselves vigorously against these charges.

Calamos and the corporate parent of Calamos, among other persons, also have been named as defendants in putative class action complaints captioned Christopher Brown v. John P. Calamos, Sr., Weston W. Marsh, Joe F. Hanauer, John E. Neal, William R. Rybak, Stephen B. Timbers, David D. Tripple, Calamos Advisors, LLC, Calamos Asset Management, Inc., Calamos Convertible Opportunities and Income Fund, and John and Jane Does 1-100 and Russell Bourrienne v. John P. Calamos, Sr., Weston W. Marsh, Joe F. Hanauer, John E. Neal, William R. Rybak, Stephen B. Timbers, David D. Tripple, Calamos Advisors, LLC, Calamos Asset Management, Inc., and John and Jane Does 1-100, which relate to the redemption of ARPS by Calamos Convertible Opportunities and Income Fund (“CHI”). The complaints, which are similar to the Rutgers complaint also were filed by the plaintiffs in the Circuit Court of Cook County, Illinois and removed by the defendants to the United States District Court for the Northern District of Illinois. The Brown and Bourrienne complaints generally allege that CHI’s Board of Trustees breached certain fiduciary duties owed to the common shareholders of CHI by approving the redemption of CHI’s ARPS at their liquidation preference, and by recapitalizing CHI with debt-based borrowings that were allegedly less advantageous to CHI’s common shareholders. The complaints also allege that Calamos, the corporate parent of Calamos, and in the case of the Brown complaint, CHI itself, aided and abetted the CHI Trustees’ alleged breaches of fiduciary duty and were unjustly enriched as a result. Both complaints allege identical causes of action and encompass materially identical putative classes and class periods. The suits seek indeterminate monetary and punitive damages from the named defendants, as well as injunctive relief. On March 14, 2011, the judge assigned to the Brown case dismissed it, and the plaintiff filed a Notice of Appeal in the United States Court of Appeals for the Seventh Circuit, where the case is currently pending. The Bourrienne case remains pending in the United States District Court for the Northern District of Illinois. The defendants believe that the Brown and Bourrienne complaints are without merit, and intend to defend themselves vigorously against these charges.

The Fund believes that the litigation does not have any present material adverse effect on the Fund or on the ability of Calamos to perform its obligations under its investment advisory contract with the Fund.


		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		29

Financial Highlights

Selected data for a share outstanding throughout each period were as follows:


	(Unaudited)
	Six Months
	Ended
	April 30,			Year Ended October 31, 2010
	2011			2010			2009			2008			2007			2006
Net asset value, beginning of period	$	13.03		$	11.92		$	8.30		$	15.64		$	15.44		$	15.21

Income from investment operations:
Net investment income (loss)		0.44	**		0.96	**		0.82	**		1.05	**		1.27	**		1.34
Net realized and unrealized gain (loss)		0.59			1.17			3.82			(6.63	)		0.75			0.75

Distributions to preferred shareholders from:
Net investment income (common share equivalent basis)		—			—			—	(a)		(0.12	)		(0.30	)		(0.29	)

Net realized gains (common share equivalent basis)		—			—			—			(0.07	)		(0.03	)		(0.02	)

Total from investment operations		1.03			2.13			4.64			(5.77	)		1.69			1.78

Less distributions to common shareholders from:
Net investment income		(0.51	)		(1.02	)		(1.00	)		(1.34	)		(1.22	)		(1.29	)

Net realized gains		—			—			(0.02	)		(0.23	)		(0.27	)		(0.26	)

Capital charge resulting from issuance of common and preferred shares and related offering costs		—	(a)		—	(a)		—	(a)		—	(a)		—			—	(a)

Premiums from shares sold in at the market offerings		—	(a)		—	(a)		—			—			—			—

Net asset value, end of period	$	13.55		$	13.03		$	11.92		$	8.30		$	15.64		$	15.44

Market value, end of period	$	13.73		$	13.19		$	11.01		$	8.74		$	14.67		$	16.98

Total investment return based on:(b)
Net asset value		8.13%			18.88%			60.83%			(39.96	)%		11.31%			12.16%

Market value		8.24%			30.29%			41.07%			(32.59	)%		(5.06	)%		20.88%

Net assets, end of period (000)	$	973,047		$	921,278		$	832,769		$	563,187		$	1,054,614		$	1,030,741

Preferred shares, at redemption value ($25,000 per share liquidation preference) (000’s omitted)	$	—		$	—		$	—		$	80,000		$	430,000		$	430,000

Ratios to average net assets applicable to common shareholders:
Net expenses(c)		1.62%	(d)		1.73%			3.01%			1.91%			1.18%			1.20%

Gross expenses prior to expense reductions(c)		1.66%	(d)		1.79%			3.10%			2.04%			1.33%			1.34%

Net expenses, excluding interest expense		1.16%	(d)		1.20%			2.37%			1.29%			1.18%			1.20%

Net investment income (loss)(c)		6.75%	(d)		7.75%			8.56%			7.77%			8.20%			8.76%

Preferred share distributions		—%			—%			0.04%			0.87%			1.95%			1.88%

Net investment income (loss), net of preferred share distributions from net investment income		6.75%	(d)		7.75%			8.52%			6.90%			6.25%			6.88%

Portfolio turnover rate		19%			39%			29%			55%			57%			38%

Average commission rate paid	$	0.0121		$	—		$	—		$	—		$	—		$	—

Asset coverage per preferred share, at end of period(e)	$	—		$	—		$	—		$	201,006		$	86,333		$	84,945

Asset coverage per $1,000 of loan outstanding(f)	$	4,402		$	4,412		$	4,084		$	3,438		$	—		$	—


**		Net investment income allocated based on average shares method.

(a)		Amount equated to less than $0.005 per common share.

(b)		Total investment return is calculated assuming a purchase of common stock on the opening of the first day and a sale on the closing of the last day of the period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total return is not annualized for periods less than one year. Brokerage commissions are not reflected. NAV per share is determined by dividing the value of the Fund’s portfolio securities, cash and other assets, less all liabilities, by the total number of common shares outstanding. The common share market price is the price the market is willing to pay for shares of the Fund at a given time. Common share market price is influenced by a range of factors, including supply and demand and market conditions.

(c)		Does not reflect the effect of dividend payments to Preferred Shareholders.

(d)		Annualized.

(e)		Calculated by subtracting the Fund’s total liabilities (not including Preferred Shares) from the Fund’s total assets and dividing this by the number of Preferred Shares outstanding.

(f)		Calculated by subtracting the Fund’s total liabilities (not including Note payable) and preferred shares from the Fund’s total assets and dividing this by the amount of note payable outstanding, and by multiplying the result by 1,000.


30		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees of Calamos Convertible and High Income Fund

We have reviewed the accompanying statement of assets and liabilities, including the schedule of investments, for Calamos Convertible and High Income Fund (the “Fund”) as of April 30, 2011, and the related statements of operations, changes in net assets, and cash flows and the financial highlights for the semi-annual period then ended. These interim financial statements and financial highlights are the responsibility of the Fund’s management.

We conducted our review in accordance with standards of the Public Company Accounting Oversight Board (United States). A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with standards of the Public Company Accounting Oversight Board (United States), the objective of which is the expression of an opinion regarding the financial statements and financial highlights taken as a whole. Accordingly, we do not express such an opinion.

Based on our review, we are not aware of any material modifications that should be made to such interim financial statements and financial highlights for them to be in conformity with accounting principles generally accepted in the United States of America.

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets of the Fund for the year ended October 31, 2010 and the financial highlights for each of the five years then ended; and in our report dated December 17, 2010, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights.

Chicago, Illinois

June 20, 2011


		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		31

About Closed-End Funds

What is a Closed-End Fund?

A closed-end fund is a publicly traded investment company that raises its initial investment capital through the issuance of a fixed number of shares to investors in a public offering. Shares of a closed-end fund are listed on a stock exchange or traded in the over-the-counter market. Like all investment companies, a closed-end fund is professionally managed and offers investors a unique investment solution based on its investment objective approved by the fund’s Board of Directors.

Potential Advantages of Closed-End Fund Investing


•	Defined Asset Pool Allows Efficient Portfolio Management—Although closed-end fund shares trade actively on a securities exchange, this doesn’t affect the closed-end fund manager because there are no new investors buying into or selling out of the fund’s portfolio.

•	More Flexibility in the Timing and Price of Trades—Investors can purchase and sell shares of closed-end funds throughout the trading day, just like the shares of other publicly traded securities.

•	Lower Expense Ratios—The expense ratios of closed-end funds are oftentimes less than those of mutual funds. Over time, a lower expense ratio could enhance investment performance.

•	Closed-End Structure Makes Sense for Less-Liquid Asset Classes—A closed-end structure makes sense for investors considering less-liquid asset classes, such as high-yield bonds or micro-cap stocks.

•	Ability to Put Leverage to Work—Closed-end funds may issue senior securities (such as preferred shares or debentures) or borrow money to “leverage” their investment positions.

•	No Minimum Investment Requirements

OPEN-END MUTUAL FUNDS VERSUS CLOSED-END FUNDS


OPEN-END FUND		CLOSED-END FUND

Issues new shares on an ongoing basis		Generally issues a fixed number of shares


Issues common equity shares		Can issue common equity shares and senior securities such as preferred shares and bonds


Sold at NAV plus any sales charge		Price determined by the marketplace


Sold through the fund’s distributor		Traded in the secondary market


Fund redeems shares at NAV calculated at the close of business day		Fund does not redeem shares


32		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT

Level Rate Distribution Policy

Using a Level Rate Distribution Policy to Promote Dependable Income and Total Return

The goal of the level rate distribution policy is to provide investors a predictable, though not assured, level of cash flow, which can either serve as a stable income stream or, through reinvestment, contribute significantly to long-term total return.

We understand the importance that investors place on the stability of dividends and their ability to contribute to long-term total return, which is why we have instituted a level rate distribution policy for the Fund. Under the policy, monthly distributions paid may include net investment income, net realized short-term capital gains and, if necessary, return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. There is no guarantee that the Fund will realize capital gains in any given year. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. All shareholders with taxable accounts will receive written notification regarding the components and tax treatment for distributions via Form 1099-DIV.

Distributions from the Fund are generally subject to Federal income taxes. For purposes of maintaining the level rate distribution policy, the Fund may realize short-term capital gains on securities that, if sold at a later date, would have resulted in long-term capital gains. Maintenance of a level rate distribution policy may increase transaction and tax costs associated with the Fund.

Automatic Dividend Reinvestment Plan

Maximizing Investment with an Automatic Dividend Reinvestment Plan

The Automatic Dividend Reinvestment Plan offers a simple, cost-efficient and convenient way to reinvest your dividends and capital gains distributions in additional shares of the Fund, allowing you to increase your investment in the Fund.

Potential Benefits


•	Compounded Growth: By automatically reinvesting with the Plan, you gain the potential to allow your dividends and capital gains to compound over time.

•	Potential for Lower Commission Costs: Additional shares are purchased in large blocks, with brokerage commissions shared among all plan participants. There is no cost to enroll in the Plan.

•	Convenience: After enrollment, the Plan is automatic and includes detailed statements for participants. Participants can terminate their enrollment at any time.

Pursuant to the Plan, unless a shareholder is ineligible or elects otherwise, all dividend and capital gains on common shares distributions are automatically reinvested by BNY Mellon Asset Servicing, as agent for shareholders in administering the Plan (“Plan Agent”), in additional common shares of the Fund. Shareholders who elect not to participate in the Plan will receive all dividends and distributions payable in cash paid by check mailed directly to the shareholder of record (or, if the shares are held in street or other nominee name, then to such nominee) by Plan Agent, as dividend paying agent. Shareholders may elect not to participate in the Plan and to receive all dividends and distributions in cash by sending written instructions to Plan Agent, as dividend paying agent, at: Dividend Reinvestment Department, P.O. Box 1958, Newark, New Jersey 07101-9774. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by giving notice in writing to the Plan Agent; such termination will be effective with respect to a particular dividend or distribution if notice is received prior to the record date for the applicable distribution.


		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT		33

Automatic Dividend Reinvestment Plan

The shares are acquired by the Plan Agent for the participant’s account either (i) through receipt of additional common shares from the Fund (“newly issued shares”) or (ii) by purchase of outstanding common shares on the open market (“open-market purchases”) on the NYSE or elsewhere. If, on the payment date, the net asset value per share of the common shares is equal to or less than the market price per common share plus estimated brokerage commissions (a “market premium”), the Plan Agent will receive newly issued shares from the Fund for each participant’s account. The number of newly issued common shares to be credited to the participant’s account will be determined by dividing the dollar amount of the dividend or distribution by the greater of (i) the net asset value per common share on the payment date, or (ii) 95% of the market price per common share on the payment date.

If, on the payment date, the net asset value per common share exceeds the market price plus estimated brokerage commissions (a “market discount”), the Plan Agent has a limited period of time to invest the dividend or distribution amount in shares acquired in open-market purchases. The weighted average price (including brokerage commissions) of all common shares purchased by the Plan Agent as Plan Agent will be the price per common share allocable to each participant. If, the Plan Agent is unable to invest the full dividend amount in open-market purchases during the purchase period or if the market discount shifts to a market premium during the purchase period, the Plan Agent will cease making open-market purchases and will invest the uninvested portion of the dividend or distribution amount in newly issued shares at the close of business on the last purchase date.

The automatic reinvestment of dividends and distributions will not relieve participants of any federal, state or local income tax that may be payable (or required to be withheld) on such dividends even though no cash is received by participants.

There are no brokerage charges with respect to shares issued directly by the Fund as a result of dividends or distributions payable either in shares or in cash. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open-market purchases in connection with the reinvestment of dividends or distributions. If a participant elects to have the Plan Agent sell part or all of his or her common shares and remit the proceeds, such participant will be charged his or her pro rata share of brokerage commissions on the shares sold, plus a $15 transaction fee. There is no direct service charge to participants in the Plan; however, the Fund reserves the right to amend the Plan to include a service charge payable by the participants.

A participant may request the sale of all of the common shares held by the Plan Agent in his or her Plan account in order to terminate participation in the Plan. If such participant elects in advance of such termination to have the Plan Agent sell part or all of his shares, the Plan Agent is authorized to deduct from the proceeds a $15.00 fee plus the brokerage commissions incurred for the transaction. A participant may re-enroll in the Plan in limited circumstances.

The terms and conditions of the Plan may be amended by the Plan Agent or the Fund at any time upon notice are required by the Plan.

This discussion of the Plan is only summary, and is qualified in its entirety to the Terms and Conditions of the Dividend Reinvestment Plan filed as part of the Fund’s registration statement.

For additional information about the Plan, please contact the Plan Agent, The Bank of New York, at 800.432.8224. If you wish to participate in the Plan and your shares are held in your own name, simply call the Plan Agent. If your shares are not held in your name, please contact your brokerage firm, bank, or other nominee to request that they participate in the Plan on your behalf. If your brokerage firm, bank, or other nominee is unable to participate on your behalf, you may request that your shares be re-registered in your own name.

We’re pleased to provide our shareholders with the additional benefit of the Fund’s Dividend Reinvestment Plan and hope that it may serve your financial plan.


34		CALAMOS CONVERTIBLE AND HIGH INCOME FUND SEMIANNUAL REPORT

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By:		/s/ John P. Calamos, Sr.
Name:		John P. Calamos, Sr.
Title:		Principal Executive Officer
Date:		June 24, 2011

By:		/s/ Nimish S. Bhatt
Name:		Nimish S. Bhatt
Title:		Principal Financial Officer
Date:		June 24, 2011


By:		/s/ John P. Calamos, Sr.
Name:		John P. Calamos, Sr.
Title:		Principal Executive Officer
Date:		June 24, 2011

By:		/s/ Nimish S. Bhatt
Name:		Nimish S. Bhatt
Title:		Principal Financial Officer
Date:		June 24, 2011



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