UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21319
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible and High
Income Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 1111 East Warrenville Road, Naperville,
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Asset Management,
Inc., 1111 East Warrenville Road,
Naperville, Illinois
60563-1493
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2004
DATE OF REPORTING PERIOD: May 1, 2004 through July 31, 2004
Item 1. SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
CORPORATE BONDS (111.2%)
CONSUMER DISCRETIONARY (23.6%)
$ 2,735,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 $ 2,796,499
9,117,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 9,800,283
10,940,000 Boise Cascade Corp.(c)
7.000%, 11/01/13 12,307,332
4,558,000 Broder Bros. Company(c)
11.250%, 10/15/10 4,227,796
5,926,000 CBD Media, LLC
8.625%, 06/01/11 6,355,369
Charter Communications Holdings(c)
6,382,000 10.000%, 04/01/09 5,057,402
4,558,000 9.625%, 11/15/09 3,487,077
1,823,000 11.125%, 01/15/11 1,454,088
4,558,000 DEX Media, Inc.(a)(c)
8.000%, 11/15/13 4,603,854
11,953,000 GBP EMI Group, PLC
9.750%, 05/20/08 22,955,887
2,142,000 Fedders Corp.
9.875%, 03/01/14 1,778,182
General Motors Corp.(c)
7,202,000 8.250%, 07/15/23 7,501,343
729,000 7.125%, 07/15/13 749,645
8,478,000 Hasbro, Inc.
6.600%, 07/15/28 8,266,425
5,743,000 Houghton Mifflin Company(c)
9.875%, 02/01/13 5,930,083
3,647,000 Inn of the Mountain Gods
12.000%, 11/15/10 4,102,444
4,558,000 Interpublic Group Of Companies, Inc.(c)
7.250%, 08/15/11 4,882,911
2,735,000 Jarden Corp.
9.750%, 05/01/12 2,994,784
J. C. Penney Company, Inc.(c)
1,823,000 9.000%, 08/01/12 2,201,645
1,367,000 7.650%, 08/15/16 1,511,067
4,513,000 Kellwood Company
7.625%, 10/15/17 4,857,571
3,419,000 La Quinta Properties(c)
8.875%, 03/15/11 3,786,214
12,307,000 Mediacom Communications Corp.(c)
9.500%, 01/15/13 11,445,819
10,783,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 11,537,859
4,558,000 Perry Ellis International, Inc.
8.875%, 09/15/13 4,774,789
912,000 Pinnacle Entertainment, Inc.(c)
8.250%, 03/15/12 879,746
7,293,000 Rent-A-Center, Inc.(c)
7.500%, 05/01/10 7,621,429
10,849,000 Royal Caribbean Cruises, Ltd.(c)
7.500%, 10/15/27 10,414,738
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
$ 4,558,000 Russell Corp.
9.250%, 05/01/10 $ 4,911,537
8,661,000 Spanish Broadcasting System, Inc.
9.625%, 11/01/09 9,158,706
7,840,000 Vail Resorts, Inc.
6.750%, 02/15/14 7,801,025
6,382,000 Warnaco Group, Inc.
8.875%, 06/15/13 6,971,876
1,823,000 Warner Music Group(a)(c)
7.375%, 04/15/14 1,750,376
6,746,000 EUR Waterford Wedgewood, PLC(a)
9.875%, 12/01/10 7,309,926
5,926,000 WCI Communities, Inc.(c)
7.875%, 10/01/13 6,088,711
-----------
212,274,438
-----------
CONSUMER STAPLES (9.7%)
1,823,000 Central Garden & Pet Company
9.125%, 02/01/13 1,969,173
5,014,000 Chattem, Inc.
7.000%, 03/01/14 4,888,746
5,155,000 Del Monte Foods Company(c)
8.625%, 12/15/12 5,645,168
5,470,000 DIMON, Inc.(c)
7.750%, 06/01/13 5,169,079
Dole Food Company, Inc.(c)
12,398,000 8.875%, 03/15/11 13,173,403
4,066,000 8.625%, 05/01/09 4,289,607
3,191,000 Gold Kist, Inc.(a)
10.250%, 03/15/14 3,462,007
3,191,000 Herbalife International, Inc.
9.500%, 04/01/11 3,350,329
456,000 Hines Horticulture, Inc.
10.250%, 10/01/11 494,572
7,749,000 Jean Coutu Group, Inc.(a)(c)
8.500%, 08/01/14 7,720,002
3,647,000 Pinnacle Foods Holding Corp.(a)
8.250%, 12/01/13 3,518,985
5,835,000 Playtex Products, Inc.(a)
8.000%, 03/01/11 6,082,557
10,028,000 Rayovac Corp.(c)
8.500%, 10/01/13 10,654,959
10,940,000 Rite Aid Corp.(c)
6.875%, 08/15/13 10,064,663
2,735,000 Semins Vegetable Seeds
10.250%, 10/01/13 3,008,459
1,823,000 Smithfield Foods, Inc.
7.750%, 05/15/13 1,941,823
1,823,000 Standard Commercial Corp.(a)(c)
8.000%, 04/15/12 1,841,542
-----------
87,275,074
-----------
ENERGY (11.7%)
Chesapeake Energy Corp.(c)
3,647,000 6.875%, 01/15/16 3,610,151
1,823,000 7.750%, 01/15/15 1,937,265
See accompanying Notes to Schedule of Investments
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
$ 4,558,000 Forest Oil Corp.(c)
8.000%, 12/15/11 $ 4,979,911
9,937,000 General Maritime Corp.
10.000%, 03/15/13 10,980,419
Giant Industries, Inc.(c)
2,039,000 11.000%, 05/15/12 2,324,882
1,823,000 8.000%, 05/15/14 1,882,566
10,347,000 Houston Exploration Company(c)
7.000%, 06/15/13 10,450,748
4,194,000 KCS Energy, Inc.(a)
7.125%, 04/01/12 4,214,577
2,493,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 2,630,510
Overseas Shipholding Group, Inc.
2,735,000 7.500%, 02/15/24 2,529,840
921,000 8.750%, 12/01/13 989,829
5,607,000 Paramount Resources, Ltd.
7.875%, 11/01/10 5,438,473
Petrobras International
Finance Company(c)
6,837,000 8.375%, 12/10/18 6,529,723
4,558,000 9.125%, 07/02/13 4,786,185
17,777,000 Premcor, Inc.
7.500%, 06/15/15 18,843,893
2,735,000 Swift Energy Company
7.625%, 07/15/11 2,810,174
1,080,000 Tesoro Petroleum Corp.(c)
9.625%, 04/01/12 1,239,656
5,926,000 Whiting Petroleum Corp.
7.250%, 05/01/12 5,955,381
11,852,000 Williams Companies, Inc.(c)
8.625%, 06/01/10 13,362,572
-----------
105,496,755
-----------
FINANCIALS (5.6%)
4,376,000 Fairfax Financial Holdings, Ltd.(c)
7.750%, 04/26/12 4,266,542
1,367,000 GATX Corp.
8.875%, 06/01/09 1,547,037
Host Marriott Corp.(c)
10,028,000 7.125%, 11/01/13 10,028,196
1,914,000 9.250%, 10/01/07 2,120,280
10,940,000 Leucadia National Corp.(c)
7.000%, 08/15/13 10,775,753
11,852,000 LNR Property Corp.
7.625%, 07/15/13 11,910,762
Senior Housing Properties Trust
4,877,000 7.875%, 04/15/15 5,084,637
4,558,000 8.625%, 01/15/12 5,002,703
-----------
50,735,910
-----------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------------------
HEALTH CARE (7.5%)
$ 9,891,000 Alpharma, Inc.(a)(c)
8.625%, 05/01/11 $ 10,262,378
14,837,000 Ameripath, Inc.(c)
10.500%, 04/01/13 15,133,916
11,852,000 Ardent Health Services, Inc.(c)
10.000%, 08/15/13 12,918,140
13,310,000 Bausch & Lomb, Inc.(c)
7.125%, 08/01/28 13,638,819
2,735,000 Beverly Enterprises, Inc.(a)(c)
7.875%, 06/15/14 2,762,312
2,735,000 Curative Health Services, Inc.(a)
10.750%, 05/01/11 2,488,816
3,875,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 4,358,847
5,926,000 Quintiles Transnational Corp.
10.000%, 10/01/13 6,118,339
-----------
67,681,567
-----------
INDUSTRIALS (18.1%)
5,470,000 AMR Corp.(a)
7.250%, 02/05/09 5,169,079
957,000 EUR Aspropulsion Capital, BV(a)
9.625%, 10/01/13 1,212,971
1,823,000 BE Aerospace, Inc.(c)
8.500%, 10/01/10 1,950,940
2,735,000 Casella Waste Systems, Inc.
9.750%, 02/01/13 2,981,109
CNH Global, NV(a)(c)
13,219,000 9.250%, 08/01/11 14,375,647
2,279,000 9.250%, 08/01/11 2,478,560
15,042,000 Esterline Technologies Corp.(c)
7.750%, 06/15/13 15,719,198
FIMEP, SA
7,293,000 8.500%, 02/15/25 7,730,828
4,558,000 10.500%, 02/15/13 5,264,803
912,000 EUR 11.000%, 02/15/13 1,303,384
3,619,000 General Cable Corp.(c)
9.500%, 11/15/10 3,963,098
5,926,000 Hutchison Whampoa International, Ltd.(a)(c)
6.250%, 01/24/14 5,844,209
7,749,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 8,407,731
JLG Industries, Inc.(c)
6,929,000 8.250%, 05/01/08 7,240,358
3,191,000 8.375%, 06/15/12 3,302,467
6,883,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 7,657,326
4,558,000 Manitowoc Company, Inc.(c)
10.500%, 08/01/12 5,230,616
See accompanying Notes to Schedule of Investments
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------------------
$ 11,852,000 Mobile Mini, Inc.
9.500%, 07/01/13 $ 13,036,655
4,558,000 Monitronics International, Inc.(a)
11.750%, 09/01/10 4,940,026
2,188,000 Orbital Sciences Corp.
9.000%, 07/15/11 2,417,707
Sequa Corp.
6,382,000 8.875%, 04/01/08 6,828,290
1,823,000 9.000%, 08/01/09 1,987,406
2,138,000 Shaw Group, Inc.(c)
10.750%, 03/15/10 2,127,140
7,749,000 SPX Corp.(c)
6.250%, 06/15/11 7,594,080
Terex Corp.
6,382,000 9.250%, 07/15/11 7,131,415
5,584,000 7.375%, 01/15/14 5,653,681
12,763,000 United Rentals, Inc.(c)
7.000%, 02/15/14 11,710,198
------------
163,258,922
------------
INFORMATION TECHNOLOGY (6.7%)
2,498,000 Arrow Electronics, Inc.(c)
6.875%, 06/01/18 2,526,511
3,647,000 Celestica, Inc.(c)
7.875%, 07/01/11 3,746,899
1,823,000 Flextronics International, Ltd.(c)
6.500%, 05/15/13 1,800,517
1,823,000 Freescale Semiconductor, Inc.(a)
7.125%, 07/15/14 1,859,775
14,632,000 Lucent Technologies, Inc.(c)
7.250%, 07/15/06 15,180,752
6,609,000 Motorola, Inc.(c)
7.500%, 05/15/25 7,252,180
4,558,000 Sanmina-Sci Corp.
10.375%, 01/15/10 5,185,033
3,647,000 Stratus Technologies, Inc.(a)(c)
10.375%, 12/01/08 3,555,451
18,689,000 Xerox Corp.(c)
7.625%, 06/15/13 19,249,579
------------
60,356,697
------------
MATERIALS (20.5%)
1,823,000 Airgas, Inc.
9.125%, 10/01/11 2,058,059
8,205,000 Arch Western Finance, LLC(a)
7.250%, 07/01/13 8,368,986
4,558,000 Ball Corp.
6.875%, 12/15/12 4,677,926
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
$ 5,470,000 Bowater, Inc.(c)
6.500%, 06/15/13 $ 5,182,087
5,926,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 6,118,339
2,279,000 Century Aluminum Company(c)
11.750%, 04/15/08 2,566,876
17,340,000 Equistar Chemicals, LP(c)
10.625%, 05/01/11 19,333,725
11,715,000 Freeport-McMoRan Copper & Gold, Inc.(c)
10.125%, 02/01/10 13,061,954
13,675,000 Georgia-Pacific Corp.(c)
8.000%, 01/15/14 15,247,417
12,025,000 EUR HeidelbergCement Finance(a)
7.375%, 07/15/10 15,873,532
IMC Global, Inc.(c)
2,735,000 10.875%, 08/01/13 3,350,329
1,823,000 10.875%, 06/01/08 2,151,504
2,917,000 IMCO Recycling, Inc.
10.375%, 10/15/10 3,165,263
5,470,000 IPSCO, Inc.
8.750%, 06/01/13 6,153,666
5,698,000 Ispat International, NV(a)(c)
9.750%, 04/01/14 5,911,508
2,735,000 Massey Energy Company(c)
6.950%, 03/01/07 2,864,873
2,735,000 Phelps Dodge Corp.
9.500%, 06/01/31 3,776,508
11,852,000 Polyone Corp.(c)
10.625%, 05/15/10 12,740,368
Pope & Talbot, Inc.
5,470,000 8.375%, 06/01/13 5,661,373
2,188,000 8.375%, 06/01/13 2,264,549
4,558,000 Sealed Air Corp.(a)
6.875%, 07/15/33 4,668,271
1,823,000 Smurfit-Stone Container Corp.
8.375%, 07/01/12 1,960,057
Steel Dynamics, Inc.(c)
4,267,000 9.500%, 03/15/09 4,758,211
1,823,000 9.500%, 03/15/09 2,032,989
21,287,000 Texas Industries, Inc.
10.250%, 06/15/11 24,373,759
Union Carbide Corp.(c)
3,191,000 7.875%, 04/01/23 3,087,089
2,279,000 6.700%, 04/01/09 2,319,020
1,140,000 7.500%, 06/01/25 1,074,043
-----------
184,802,281
-----------
See accompanying Notes to Schedule of Investments
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES (1.5%)
$ 5,470,000 AT&T Corp.(c)
8.750%, 11/15/31 $ 5,458,652
6,382,000 Nextel Communications, Inc.(c)
7.375%, 08/01/15 6,732,566
1,367,000 Primus Telecommunications Group, Inc.(c)
8.000%, 01/15/14 1,018,774
-------------
13,209,992
-------------
UTILITIES (6.3%)
8,205,000 AES Corp.(c)
8.500%, 11/01/07 8,451,035
25,526,000 Calpine Corp.(c)
8.500%, 02/15/11 16,081,580
4,558,000 Centerpoint Energy, Inc.(c)
6.850%, 06/01/15 4,870,102
Edison International(c)
5,470,000 9.875%, 04/15/11 6,153,666
3,647,000 10.000%, 08/15/08 4,157,143
4,558,000 Public Service Enterprise Group, Inc.(c)
8.625%, 02/15/08 4,968,516
11,487,000 Teco Energy, Inc.(c)
7.500%, 06/15/10 12,089,902
-------------
56,771,944
-------------
TOTAL CORPORATE BONDS
(Cost $971,105,465) 1,001,863,580
=============
CONVERTIBLE BONDS (0.6%)
HEALTH CARE (0.1%)
1,000,000 Alpharma, Inc.(a)(c)
3.000%, 06/01/06 1,241,250
--------------
TELECOMMUNICATION SERVICES (0.5%)
Liberty Media Corp. (Sprint PCS Group)
4,142,000 3.750%, 02/15/30 2,718,188
1,974,000 4.000%, 11/15/29 1,399,073
--------------
4,117,261
--------------
TOTAL CONVERTIBLE
BONDS
(Cost $4,554,516) 5,358,511
==============
SYNTHETIC CONVERTIBLE SECURITIES (12.7%)
CORPORATE BONDS (10.8%)
CONSUMER DISCRETIONARY (2.3%)
265,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 271,001
883,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 949,717
1,060,000 Boise Cascade Corp.(c)
7.000%, 11/01/13 1,192,668
442,000 Broder Bros. Company(c)
11.250%, 10/15/10 409,704
574,000 CBD Media, LLC
8.625%, 06/01/11 615,881
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
Charter Communications Holdings(c)
$ 618,000 10.000%, 04/01/09 $ 490,098
442,000 9.625%, 11/15/09 337,923
177,000 11.125%, 01/15/11 140,912
442,000 DEX Media, Inc.(a)(c)
8.000%, 11/15/13 446,146
1,158,000 GBP EMI Group, PLC
9.750%, 05/20/08 2,224,589
208,000 Fedders Corp.
9.875%, 03/01/14 172,318
General Motors Corp.(c)
698,000 8.250%, 07/15/23 726,934
71,000 7.125%, 07/15/13 72,646
822,000 Hasbro, Inc.
6.600%, 07/15/28 801,075
557,000 Houghton Mifflin Company(c)
9.875%, 02/01/13 574,667
353,000 Inn of the Mountain Gods
12.000%, 11/15/10 397,556
442,000 Interpublic Group Of Companies, Inc.(c)
7.250%, 08/15/11 473,189
265,000 Jarden Corp.
9.750%, 05/01/12 290,216
J. C. Penney Company, Inc.(c)
177,000 9.000%, 08/01/12 213,355
133,000 7.650%, 08/15/16 146,433
437,000 Kellwood Company
7.625%, 10/15/17 470,733
331,000 La Quinta Properties(c)
8.875%, 03/15/11 366,911
1,193,000 Mediacom Communications Corp.(c)
9.500%, 01/15/13 1,109,181
1,045,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 1,118,101
442,000 Perry Ellis International, Inc.
8.875%, 09/15/13 462,711
88,000 Pinnacle Entertainment, Inc.(c)
8.250%, 03/15/12 85,254
707,000 Rent-A-Center, Inc.(c)
7.500%, 05/01/10 738,571
1,051,000 Royal Caribbean Cruises, Ltd.(c)
7.500%, 10/15/27 1,009,262
442,000 Russell Corp.
9.250%, 05/01/10 475,963
839,000 Spanish Broadcasting System, Inc.
9.625%, 11/01/09 887,544
760,000 Vail Resorts, Inc.
6.750%, 02/15/14 755,975
618,000 Warnaco Group, Inc.
8.875%, 06/15/13 675,624
177,000 Warner Music Group(a)(c)
7.375%, 04/15/14 169,624
654,000 EUR Waterford Wedgewood, PLC(a)
9.875%, 12/01/10 708,384
See accompanying Notes to Schedule of Investments
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------------
$ 574,000 WCI Communities, Inc.(c)
7.875%, 10/01/13 $ 590,039
----------
20,570,905
----------
CONSUMER STAPLES (0.9%)
177,000 Central Garden & Pet Company
9.125%, 02/01/13 190,827
486,000 Chattem, Inc.
7.000%, 03/01/14 473,754
500,000 Del Monte Foods Company(c)
8.625%, 12/15/12 547,057
530,000 DIMON, Inc.(c)
7.750%, 06/01/13 500,921
Dole Food Company, Inc.(c)
1,202,000 8.875%, 03/15/11 1,276,597
394,000 8.625%, 05/01/09 415,693
309,000 Gold Kist, Inc.(a)
10.250%, 03/15/14 335,493
309,000 Herbalife International, Inc.
9.500%, 04/01/11 324,671
44,000 Hines Horticulture, Inc.
10.250%, 10/01/11 47,928
751,000 Jean Coutu Group, Inc.(a)(c)
8.500%, 08/01/14 748,123
353,000 Pinnacle Foods Holding Corp.(a)
8.250%, 12/01/13 341,015
565,000 Playtex Products, Inc.(a)
8.000%, 03/01/11 589,443
972,000 Rayovac Corp.(c)
8.500%, 10/01/13 1,032,541
1,060,000 Rite Aid Corp.(c)
6.875%, 08/15/13 975,337
265,000 Semins Vegetable Seeds
10.250%, 10/01/13 291,541
177,000 Smithfield Foods, Inc.
7.750%, 05/15/13 188,177
177,000 Standard Commercial Corp.(a)(c)
8.000%, 04/15/12 178,458
----------
8,457,576
----------
ENERGY (1.1%)
Chesapeake Energy Corp.(c)
353,000 6.875%, 01/15/16 349,849
177,000 7.750%, 01/15/15 187,735
442,000 Forest Oil Corp.(c)
8.000%, 12/15/11 482,589
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
$ 963,000 General Maritime Corp.
10.000%, 03/15/13 $ 1,064,081
Giant Industries, Inc.(c)
198,000 11.000%, 05/15/12 225,298
177,000 8.000%, 05/15/14 182,434
1,003,000 Houston Exploration Company(c)
7.000%, 06/15/13 1,012,752
406,000 KCS Energy, Inc.(a)
7.125%, 04/01/12 408,423
242,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 254,915
Overseas Shipholding Group, Inc.
265,000 7.500%, 02/15/24 245,160
89,000 8.750%, 12/01/13 95,921
543,000 Paramount Resources, Ltd.
7.875%, 11/01/10 527,027
Petrobras International
Finance Company(c)
663,000 8.375%, 12/10/18 632,777
442,000 9.125%, 07/02/13 463,815
1,723,000 Premcor, Inc.
7.500%, 06/15/15 1,826,107
265,000 Swift Energy Company
7.625%, 07/15/11 272,326
105,000 Tesoro Petroleum Corp.(c)
9.625%, 04/01/12 120,132
574,000 Whiting Petroleum Corp.
7.250%, 05/01/12 577,119
1,148,000 Williams Companies, Inc.(c)
8.625%, 06/01/10 1,294,928
-----------
10,223,388
-----------
FINANCIALS (0.6%)
424,000 Fairfax Financial Holdings, Ltd.(c)
7.750%, 04/26/12 413,458
133,000 GATX Corp.
8.875%, 06/01/09 149,919
Host Marriott Corp.
972,000 7.125%, 11/01/13 971,804
186,000 9.250%, 10/01/07 205,470
1,060,000 Leucadia National Corp.(c)
7.000%, 08/15/13 1,044,247
1,148,000 LNR Property Corp.
7.625%, 07/15/13 1,154,238
Senior Housing Properties Trust
473,000 7.875%, 04/15/15 492,738
442,000 8.625%, 01/15/12 484,797
-----------
4,916,671
-----------
See accompanying Notes to Schedule of Investments
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------
HEALTH CARE (0.7%)
$ 959,000 Alpharma, Inc.(a)(c)
8.625%, 05/01/11 $ 994,497
1,438,000 Ameripath, Inc.(c)
10.500%, 04/01/13 1,466,584
1,148,000 Ardent Health Services, Inc.(c)
10.000%, 08/15/13 1,251,860
1,290,000 Bausch & Lomb, Inc.(c)
7.125%, 08/01/28 1,321,699
265,000 Beverly Enterprises, Inc.(a)(c)
7.875%, 06/15/14 267,688
265,000 Curative Health Services, Inc.(a)
10.750%, 05/01/11 241,184
375,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 422,403
574,000 Quintiles Transnational Corp.
10.000%, 10/01/13 592,911
---------
6,558,826
---------
INDUSTRIALS (1.8%)
530,000 AMR Corp.(a)
7.250%, 02/05/09 500,921
93,000 EUR Aspropulsion Capital, BV(a)
9.625%, 10/01/13 117,545
177,000 BE Aerospace, Inc.(c)
8.500%, 10/01/10 189,060
265,000 Casella Waste Systems, Inc.
9.750%, 02/01/13 288,891
CNH Global, NV(a)(c)
1,281,000 9.250%, 08/01/11 1,393,103
221,000 9.250%, 08/01/11 240,190
1,458,000 Esterline Technologies Corp.(c)
7.750%, 06/15/13 1,523,302
FIMEP, SA
707,000 8.500%, 02/15/25 749,172
442,000 10.500%, 02/15/13 510,197
88,000 EUR 11.000%, 02/15/13 126,307
351,000 General Cable Corp.(c)
9.500%, 11/15/10 384,052
574,000 Hutchison Whampoa International, Ltd.(a)(c)
6.250%, 01/24/14 566,345
751,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 814,769
JLG Industries, Inc.(c)
671,000 8.250%, 05/01/08 701,642
309,000 8.375%, 06/15/12 320,033
667,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 742,049
442,000 Manitowoc Company, Inc.(c)
10.500%, 08/01/12 506,884
1,148,000 Mobile Mini, Inc.
9.500%, 07/01/13 1,263,345
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------
$ 442,000 Monitronics International, Inc.(a)
11.750%, 09/01/10 $ 478,724
212,000 Orbital Sciences Corp.
9.000%, 07/15/11 234,293
Sequa Corp.
618,000 8.875%, 04/01/08 661,710
177,000 9.000%, 08/01/09 192,594
207,000 Shaw Group, Inc.(c)
10.750%, 03/15/10 206,135
751,000 SPX Corp.(c)
6.250%, 06/15/11 735,920
Terex Corp.
618,000 9.250%, 07/15/11 691,085
541,000 7.375%, 01/15/14 547,882
1,237,000 United Rentals, Inc.(c)
7.000%, 02/15/14 1,134,802
----------
15,820,952
----------
INFORMATION TECHNOLOGY (0.7%)
242,000 Arrow Electronics, Inc.(c)
6.875%, 06/01/18 244,837
353,000 Celestica, Inc.(c)
7.875%, 07/01/11 363,101
177,000 Flextronics International, Ltd.(c)
6.500%, 05/15/13 174,483
177,000 Freescale Semiconductor, Inc.(a)
7.125%, 07/15/14 180,225
1,418,000 Lucent Technologies, Inc.(c)
7.250%, 07/15/06 1,471,123
641,000 Motorola, Inc.(c)
7.500%, 05/15/25 702,788
442,000 Sanmina-Sci Corp.
10.375%, 01/15/10 502,467
353,000 Stratus Technologies, Inc.(a)(c)
10.375%, 12/01/08 344,549
1,811,000 Xerox Corp.(c)
7.625%, 06/15/13 1,865,421
----------
5,848,994
----------
MATERIALS (2.0%)
177,000 Airgas, Inc.
9.125%, 10/01/11 199,441
795,000 Arch Western Finance, LLC(a)
7.250%, 07/01/13 811,014
442,000 Ball Corp.
6.875%, 12/15/12 453,324
530,000 Bowater, Inc.(c)
6.500%, 06/15/13 502,181
574,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 592,911
221,000 Century Aluminum Company(c)
11.750%, 04/15/08 248,749
See accompanying Notes to Schedule of Investments
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
$ 1,680,000 Equistar Chemicals, LP(c)
10.625%, 05/01/11 $ 1,873,575
1,135,000 Freeport-McMoRan Copper & Gold, Inc.(c)
10.125%, 02/01/10 1,265,796
1,325,000 Georgia-Pacific Corp.(c)
8.000%, 01/15/14 1,477,583
1,165,000 EUR HeidelbergCement Finance(a)
7.375%, 07/15/10 1,538,258
IMC Global, Inc.(c)
265,000 10.875%, 08/01/13 324,671
177,000 10.875%, 06/01/08 208,496
283,000 IMCO Recycling, Inc.
10.375%, 10/15/10 306,737
530,000 IPSCO, Inc.
8.750%, 06/01/13 596,334
552,000 Ispat International, NV(a)(c)
9.750%, 04/01/14 572,867
265,000 Massey Energy Company(c)
6.950%, 03/01/07 277,627
265,000 Phelps Dodge Corp.
9.500%, 06/01/31 365,970
1,148,000 Polyone Corp.(c)
10.625%, 05/15/10 1,234,632
Pope & Talbot, Inc.
530,000 8.375%, 06/01/13 548,627
212,000 8.375%, 06/01/13 219,451
442,000 Sealed Air Corp.(a)
6.875%, 07/15/33 452,389
177,000 Smurfit-Stone Container Corp.
8.375%, 07/01/12 189,943
Steel Dynamics, Inc.(c)
414,000 9.500%, 03/15/09 461,104
177,000 9.500%, 03/15/09 197,011
2,063,000 Texas Industries, Inc.
10.250%, 06/15/11 2,361,991
Union Carbide Corp.(c)
309,000 7.875%, 04/01/23 299,161
221,000 6.700%, 04/01/09 224,730
110,000 7.500%, 06/01/25 104,082
-----------
17,908,655
-----------
TELECOMMUNICATION SERVICES (0.1%)
530,000 AT&T Corp.(c)
8.750%, 11/15/31 528,982
618,000 Nextel Communications, Inc.(c)
7.375%, 08/01/15 652,434
133,000 Primus Telecommunications Group, Inc.(c)
8.000%, 01/15/14 98,726
-----------
1,280,142
-----------
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------------
UTILITIES (0.6%)
$ 795,000 AES Corp.(c)
8.500%, 11/01/07 $ 818,965
2,474,000 Calpine Corp.(c)
8.500%, 02/15/11 1,558,420
442,000 Centerpoint Energy, Inc.(c)
6.850%, 06/01/15 471,948
Edison International(c)
530,000 9.875%, 04/15/11 596,334
353,000 10.000%, 08/15/08 402,857
442,000 Public Service Enterprise Group, Inc.(c)
8.625%, 02/15/08 481,484
1,113,000 Teco Energy, Inc.(c)
7.500%, 06/15/10 1,171,598
----------
5,501,606
----------
TOTAL CORPORATE BONDS 97,087,715
==========
NUMBER OF
CONTRACTS VALUE
------------------------------------------------------------------------------------------
OPTIONS (1.9%)
CONSUMER DISCRETIONARY (0.7%)
2,200 Carnival Corp.(b)
Call, 01/21/06, Strike 45 1,584,000
825 International Game Technology(b)
Call, 01/21/06, Strike 45 152,625
1,500 J.C. Penney Company, Inc.(b)
Call, 01/21/06, Strike 40 877,500
1,500 Nike, Inc.(b)
Call, 01/21/06, Strike 80 832,500
3,000 Starbucks Corp.(b)
Call, 01/21/06, Strike 45 2,340,000
----------
5,786,625
----------
CONSUMER STAPLES (0.5%)
1,600 Avon Products, Inc.(b)
Call, 01/20/07, Strike 45 1,016,000
1,400 Constellation Brands, Inc.(b)
Call, 01/20/07, Strike 35 1,316,000
2,000 Sara Lee Corp.(b)
Call, 01/20/07, Strike 22.50 515,000
4,000 Tyson Foods, Inc.(b)
Call, 01/21/06, Strike 17.50 1,420,000
----------
4,267,000
----------
ENERGY (0.1%)
2,700 Transocean, Inc.(b)
Call, 01/21/06, Strike 30 1,161,000
----------
FINANCIALS (0.1%)
2,200 Allstate Corp.(b)
Call, 01/21/06, Strike 45 1,199,000
----------
See accompanying Notes to Schedule of Investments
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
------------------------------------------------------------------------------------------
HEALTH CARE (0.3%)
900 Bausch & Lomb, Inc.(b)
Call, 01/21/06, Strike 65 $ 675,000
1,200 Biogen, Inc.(b)
Call, 01/21/06, Strike 70 924,000
1,250 UnitedHealth Group, Inc.(b)
Call, 01/21/06, Strike 65 1,012,500
-----------
2,611,500
-----------
INFORMATION TECHNOLOGY (0.2%)
5,000 Motorola, Inc.(b)
Call, 01/21/06, Strike 20 700,000
1,100 QUALCOMM, Inc.(b)
Call, 01/21/06, Strike 70 1,408,000
-----------
2,108,000
-----------
TOTAL OPTIONS 17,133,125
-----------
TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
(Cost $112,189,093) 114,220,840
===========
NUMBER OF
SHARES VALUE
------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (19.0%)
CONSUMER DISCRETIONARY (5.0%)
810,000 Cablevision Systems Corp.
6.500% 14,588,100
590,000 Ford Motor Company Capital Trust II
6.500% 31,535,500
-----------
46,123,600
-----------
CONSUMER STAPLES (0.8%)
265,000 Albertson's, Inc.
7.250% 6,850,250
-----------
FINANCIALS (2.6%)
130,000 Capital One Financial Corp.
6.250% 6,684,600
500,000 National Australia Bank, Ltd.
7.875% 16,455,000
-----------
23,139,600
-----------
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------------------------------
INDUSTRIALS (4.4%)
440,000 Cendant Corp.
7.750% $ 21,714,000
225,000 Cummins Capital Trust I
7.000% 17,578,125
------------
39,292,125
------------
TELECOMMUNICATION SERVICES (3.0%)
532,000 ALLTEL Corp.
7.750% 26,653,200
------------
UTILITIES (3.2%)
450,000 Ameren Corp.
9.750% 12,294,000
375,000 TXU Corp.
8.125% 17,006,250
------------
29,300,250
------------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $163,654,413) 171,359,025
===========
SHARES/
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------
SHORT TERM INVESTMENTS (40.2%)
351,181,866 Bank of New York Institutional
Cash Reserve Fund(d)
current rate 1.340% $ 351,181,866
$ 10,744,000 Exxon Mobil Corporation
Commercial Paper
1.100%, 08/02/04 10,743,672
-------------
TOTAL SHORT TERM
INVESTMENTS
(Cost $361,925,538) 361,925,538
=============
TOTAL INVESTMENTS (183.7%)
(Cost $1,613,429,025) 1,654,727,494
=============
LIABILITIES, LESS OTHER ASSETS (-36.0%) (324,100,850)
PREFERRED SHARES AT REDEMPTION VALUE,
INCLUDING DIVIDENDS PAYABLE (-47.7%) (430,000,000)
-------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $ 900,626,644
=============
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market values for securities denominated in foreign currencies are shown
in U.S. dollars.
(a) 144A securities are those that are exempt from registration under Rule 144A
of the Securities Act of 1933, as amended. These securities are generally
issued to qualified institutional buyers ("QIBs"), such as the Fund. Any
resale of these securities must generally be effected through a sale that is
exempt from registration (e.g. a sale to another QIB), or the security must
be registered for public sale. At July 31, 2004, the market value of 144A
securities that cannot currently be exchanged to the registered form is
$155,555,915 or 17.3% of net assets applicable to common shareholders of the
Fund.
(b) Non-income producing security.
(c) Security, or portion of security, is on loan. At July 31, 2004, the Fund had
securities valued at $337,982,161 on loan to brokers-dealers and banks.
(d) Security is purchased with the cash collateral from securities loaned.
FOREIGN CURRENCY ABBREVIATIONS
EUR: EUROPEAN MONETARY UNIT
GBP: GREAT BRITAIN POUND
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
NOTE 1
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities, including options, that are traded on a national securities exchange
are valued at the last reported sales price. Securities quoted on the NASDAQ
National Market System are valued at the Nasdaq Official Closing Price ("NOCP"),
as determined by Nasdaq, or lacking an NOCP, the last current reported sale
price as of the time of valuation. Securities traded in the over-the-counter
market and listed securities for which no sales were reported are valued at the
mean of the most recently quoted bid and asked prices. Short-term securities
with maturities of 60 days or less are valued at amortized cost, which
approximates market value. When market quotations are not readily available or
when the valuation methods mentioned above are not reflective of the fair value
of the security, the security is valued at a fair value following procedures
approved by the Board of Trustees or a committee appointed by the Board of
Trustees. The Fund may also use fair value pricing, if the value of a security
it holds is, in the opinion of the valuation committee or pursuant to Board of
Trustees' guidelines, effected by events occurring after the close of the
primary market or exchange on which the security is traded. These procedures may
utilize valuations furnished by pricing services approved by the Board of
Trustees, which may be based on market transactions for comparable securities
and various relationships between securities that are generally recognized by
institutional traders, a computerized matrix system, or appraisals derived from
information concerning the securities or similar securities received from
recognized dealers in those securities. When fair value pricing is employed, the
value of the portfolio security used to calculate the Fund's net asset value may
differ from quoted or published prices.
Securities that are principally traded in a foreign market are valued as of the
close of the appropriate exchange or other designated time. Trading in
securities on European and Far Eastern securities exchanges and over-the-counter
markets is normally completed at various times before the close of business on
each day on which the New York Stock Exchange ("NYSE") is open. Trading of these
securities may not take place on every NYSE business day. In addition, trading
may take place in various foreign markets on Saturdays or on other days when the
NYSE is not open and on which the Fund's net asset value is not calculated. As
stated above, if the market prices are not readily available or are not
reflective of the fair value of the security, the security will be valued at a
fair value following procedures approved by the Board of Trustees or a committee
appointed by the Board of Trustees.
INVESTMENT TRANSACTIONS. Short term investment transactions are recorded on a
trade date basis. Long term investment transactions are recorded on a trade date
plus one basis, except for fiscal quarter ends, which are recorded on trade
date.
NOTE 2
INVESTMENTS. The following information is presented on an income tax basis as of
July 31, 2004. Differences between amounts for financial statements and Federal
income tax purposes are primarily due to timing differences.
The cost basis of investments for Federal income tax purposes at July 31, 2004
was as follows:
Cost basis of investments $ 1,615,242,046
==================
Gross unrealized appreciation $ 63,457,031
Gross unrealized depreciation (23,971,583)
------------------
Net unrealized appreciation (depreciation) $ 39,485,448
==================
NOTE 3
INTEREST RATE TRANSACTIONS. The Fund may enter into interest rate swap or cap
transactions to attempt to protect itself from increasing dividend or interest
expense on its leverage resulting from increasing short-term interest rates. A
decline in interest rates may result in a decline in the value of the swap or
cap, which may result in a decline in the net asset value of the Fund. In
addition, if the counterparty to an interest rate swap or cap defaults, the Fund
would not be able to use the anticipated receipts under the swap or cap to
offset the dividend or interest payments on the Fund's leverage. At the time an
interest rate swap or cap reaches its scheduled termination, there is a risk
that the Fund would not be able to obtain a replacement transaction or that the
terms of the replacement would not be as favorable as on the expiring
transaction. In addition, if the Fund is required to terminate any swap or cap
early due to the Fund failing to maintain a required 200% asset coverage of the
liquidation value of the outstanding preferred shares or the Fund loses its
credit rating on its preferred shares, then the Fund could be required to make a
termination payment, in addition to redeeming all or some of the preferred
shares. Details of the swap agreements outstanding as of July 31, 2004 were as
follows:
UNREALIZED
TERMINATION NOTIONAL FIXED APPRECIATION
COUNTERPARTY DATE AMOUNT (000) RATE FLOATING RATE (DEPRECIATION)
-------------------------------------------------------------------------------------------------------
Citibank NA October 27, 2006 $ 100,000 2.80% 1 month LIBOR $ 706,079
Citibank NA October 27, 2007 200,000 3.27% 1 month LIBOR 861,696
Citibank NA October 27, 2008 100,000 3.65% 1 month LIBOR 1,727,998
--------------
$3,295,773
==============
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure
controls and procedures were effective, as of that date, in ensuring that
information required to be disclosed by the registrant in this Form N-Q
was recorded, processed, summarized, and reported on a timely basis.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of
1940) that occurred during the registrant's last fiscal quarter that
has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Convertible and High Income Fund
By: /s/ John P. Calamos, Sr.
-----------------------------------------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: September 23, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September 23, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Convertible and High Income Fund
By: /s/ John P. Calamos, Sr.
-----------------------------------------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: September 23, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September 23, 2004