UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21319
EXACT NAME OF REGISTRANT AS SPECIFIED
IN CHARTER: Calamos Convertible and High Income Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors, LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT'S TELEPHONE NUMBER,
INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2006
DATE OF REPORTING PERIOD: January 31, 2006
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
ITEM 1. SCHEDULE OF INVESTMENTS January 31, 2006 (UNAUDITED)
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
CORPORATE BONDS (79.2%)
CONSUMER DISCRETIONARY (17.8%)
$ 2,654,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 $ 2,707,080
8,847,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 9,289,350
4,424,000 Broder Bros. Co.
11.250%, 10/15/10 4,368,700
4,424,000 DEX Media, Inc.
8.000%, 11/15/13 4,567,780
1,548,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 1,667,970
5,574,000 EchoStar Communications Corp.*
7.125%, 02/01/16 5,525,227
796,000 EchoStar DBS Corporation
6.625%, 10/01/14 776,100
10,715,000 GBP EMI Group, PLC++
9.750%, 05/20/08 20,666,988
708,000 General Motors Corp.
7.125%, 07/15/13 552,240
Goodyear Tire & Rubber Company@
6,193,000 7.857%, 08/15/11 6,069,140
4,424,000 7.000%, 03/15/28 3,716,160
3,340,000 GSC Holdings Corp.(Gamestop,
Inc.)*@
8.000%, 10/01/12 3,260,675
8,228,000 Hasbro, Inc.
6.600%, 07/15/28 8,213,264
5,574,000 Houghton Mifflin Company@
9.875%, 02/01/13 6,047,790
3,539,000 IMAX Corp.
9.625%, 12/01/10 3,636,322
4,424,000 Interpublic Group of Companies,
Inc.
7.250%, 08/15/11 4,180,680
4,424,000 Intrawest Corp.
7.500%, 10/15/13 4,556,720
J.C. Penney Company, Inc.
1,769,000 9.000%, 08/01/12 2,077,542
1,327,000 7.650%, 08/15/16@ 1,505,061
3,981,000 Jarden Corp.
9.750%, 05/01/12 4,000,905
2,840,000 Kellwood Company
7.625%, 10/15/17 2,559,743
3,097,000 Landry's Restaurants, Inc.@
7.500%, 12/15/14 2,942,150
2,654,000 Mandalay Resort Group@
7.625%, 07/15/13 2,799,970
1,327,000 NCL Holding, ASA
10.625%, 07/15/14 1,395,009
10,465,000 Oxford Industries, Inc.
8.875%, 06/01/11 10,765,869
885,000 Pinnacle Entertainment, Inc.
8.250%, 03/15/12 920,400
2,654,000 Rent-A-Center, Inc.
7.500%, 05/01/10 2,574,380
3,318,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 2,999,090
$ 3,981,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 $ 3,748,407
10,528,000 Royal Caribbean Cruises, Ltd.@
7.500%, 10/15/27 11,502,261
4,424,000 Russell Corp.@
9.250%, 05/01/10 4,540,130
7,609,000 Vail Resorts, Inc.
6.750%, 02/15/14 7,685,090
6,193,000 Warnaco Group, Inc.@
8.875%, 06/15/13 6,657,475
Warner Music Group
1,769,000 GBP 8.125%, 04/15/14 3,292,599
1,769,000 7.375%, 04/15/14 1,773,422
WCI Communities, Inc.@
5,751,000 7.875%, 10/01/13 5,635,980
2,654,000 6.625%, 03/15/15 2,375,330
442,000 William Lyon Homes, Inc.
10.750%, 04/01/13 459,680
796,000 Wynn Las Vegas, LLC
6.625%, 12/01/14 779,085
------------
172,791,764
------------
CONSUMER STAPLES (6.5%)
1,769,000 Central Garden & Pet Company
9.125%, 02/01/13 1,866,295
4,866,000 Chattem, Inc.
7.000%, 03/01/14 4,926,825
3,981,000 Chiquita Brands International,
Inc.
7.500%, 11/01/14 3,523,185
5,003,000 Del Monte Foods Company
8.625%, 12/15/12 5,328,195
Dole Food Company, Inc.
4,285,000 8.875%, 03/15/11 4,365,344
3,946,000 8.625%, 05/01/09@ 4,049,582
1,999,000 Gold Kist, Inc.
10.250%, 03/15/14 2,228,885
1,859,000 Herbalife, Ltd.
9.500%, 04/01/11 2,012,368
11,944,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 11,436,380
3,981,000 NBTY, Inc.*
7.125%, 10/01/15 3,752,092
3,539,000 Pinnacle Foods Holding@
8.250%, 12/01/13 3,423,983
5,662,000 Playtex Products, Inc.
8.000%, 03/01/11 6,093,727
4,866,000 Revlon, Inc.
9.500%, 04/01/11 4,501,050
1,769,000 Smithfield Foods, Inc.@
7.750%, 05/15/13 1,868,506
4,556,000 Spectrum Brands, Inc.@
8.500%, 10/01/13 3,929,550
------------
63,305,967
------------
ENERGY (9.7%)
7,963,000 Arch Western Finance, LLC@++
6.750%, 07/01/13 8,082,445
Chesapeake Energy Corp.@
3,539,000 6.875%, 01/15/16 3,627,475
See accompanying notes to Schedule of Investments
1
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 1,769,000 7.750%, 01/15/15 $ 1,888,408
2,654,000 Comstock Resources, Inc.
6.875%, 03/01/12 2,644,047
796,000 Energy Partners, Ltd.
8.750%, 08/01/10 825,850
4,424,000 Forest Oil Corp.@
8.000%, 12/15/11 4,866,400
Giant Industries, Inc.
5,308,000 8.000%, 05/15/14 5,546,860
1,769,000 11.000%, 05/15/12@ 1,976,858
10,042,000 Houston Exploration Company
7.000%, 06/15/13 9,941,580
4,070,000 KCS Energy, Inc.
7.125%, 04/01/12 4,100,525
2,420,000 Lone Star Technologies,
Inc.
9.000%, 06/01/11 2,562,175
4,092,000 Paramount Resources Ltd.
8.500%, 01/31/13 4,265,910
Petroleo Brasileiro, SA@
6,635,000 8.375%, 12/10/18 7,597,075
4,424,000 9.125%, 07/02/13 5,213,684
15,483,000 Premcor Refining Group,
Inc.
7.500%, 06/15/15 16,499,474
2,654,000 Swift Energy Company
7.625%, 07/15/11 2,760,160
5,751,000 Whiting Petroleum Corp.
7.250%, 05/01/12 5,901,964
5,308,000 Williams Companies, Inc.
7.750%, 06/15/31 5,785,720
------------
94,086,610
------------
FINANCIALS (5.0%)
E*TRADE Financial Corporation
6,724,000 7.375%, 09/15/13 6,892,100
4,778,000 7.875%, 12/01/15 5,016,900
1,239,000 8.000%, 06/15/11* 1,294,755
4,247,000 Fairfax Financial
Holdings, Ltd.@
7.750%, 04/26/12 4,034,650
Host Marriott Corp.@
9,732,000 7.125%, 11/01/13 10,060,455
1,858,000 9.250%, 10/01/07 1,978,770
10,617,000 Leucadia National Corp.
7.000%, 08/15/13 10,617,000
Senior Housing Properties Trust
4,424,000 8.625%, 01/15/12 4,877,460
3,126,000 7.875%, 04/15/15 3,266,670
------------
48,038,760
------------
HEALTH CARE (6.6%)
14,399,000 Ameripath, Inc.@
10.500%, 04/01/13 15,262,940
12,917,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 13,761,074
2,654,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 2,932,670
575,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 609,500
1,991,000 Biovail Corp.
7.875%, 04/01/10 2,068,151
$ 796,000 DaVita, Inc.
7.250%, 03/15/15 $ 804,955
619,000 Omnicare, Inc.@
6.875%, 12/15/15 622,869
3,849,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 4,002,960
5,751,000 Quintiles Transnational
Corp.
10.000%, 10/01/13 6,412,365
8,936,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 8,801,960
2,384,000 Valeant Pharmaceuticals
International
7.000%, 12/15/11 2,348,240
6,193,000 Vanguard Health Systems,
Inc.
9.000%, 10/01/14 6,564,580
------------
64,192,264
------------
INDUSTRIALS (11.9%)
2,433,000 Accuride Corp.
8.500%, 02/01/15 2,433,000
5,308,000 American Airlines, Inc.
7.250%, 02/05/09 5,228,380
2,212,000 Armor Holdings, Inc.
8.250%, 08/15/13 2,400,020
BE Aerospace, Inc.@
2,654,000 8.875%, 05/01/11 2,803,287
1,769,000 8.500%, 10/01/10 1,914,943
14,156,000 CNH Global, NV
9.250%, 08/01/11 15,217,700
1,327,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 1,403,303
14,598,000 Esterline Technologies
Corp.@
7.750%, 06/15/13 15,254,910
3,097,000 Gardner Denver, Inc.
8.000%, 05/01/13 3,267,335
1,327,000 GATX Corp.@
8.875%, 06/01/09 1,457,751
3,512,000 General Cable Corp.@
9.500%, 11/15/10 3,757,840
3,097,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 3,244,107
796,000 Hexcel Corporation
6.750%, 02/01/15 792,020
JLG Industries, Inc.
6,724,000 8.250%, 05/01/08 7,110,630
3,097,000 8.375%, 06/15/12@ 3,344,760
2,654,000 Legrand Holding, SA
8.500%, 02/15/25 3,251,150
3,845,000 Manitowoc Company, Inc.
10.500%, 08/01/12 4,287,175
11,501,000 Mobile Mini, Inc.
9.500%, 07/01/13 12,708,605
4,424,000 Monitronics International,
Inc.
11.750%, 09/01/10 4,401,880
2,654,000 Navistar International
Corp.@
7.500%, 06/15/11 2,640,730
2,123,000 Orbital Sciences Corp.
9.000%, 07/15/11 2,287,532
See accompanying notes to Schedule of Investments
2
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
Sequa Corp.
$ 6,193,000 8.875%, 04/01/08 $ 6,595,545
1,769,000 9.000%, 08/01/09 1,928,210
Terex Corp.
2,433,000 9.250%, 07/15/11 2,609,392
1,677,000 7.375%, 01/15/14 1,693,770
1,194,000 Trinity Industries, Inc.
6.500%, 03/15/14 1,196,985
1,769,000 Wesco Distribution Inc.*@
7.500%, 10/15/17 1,808,803
------------
115,039,763
------------
INFORMATION TECHNOLOGY (7.7%)
8,847,000 Advanced Micro Devices,
Inc.
7.750%, 11/01/12 9,355,703
2,424,000 Arrow Electronics, Inc.
6.875%, 06/01/18 2,540,902
796,000 Avago Technologies*@
11.875%, 12/01/15 805,950
Celestica, Inc.
7,520,000 7.625%, 07/01/13 7,388,400
3,539,000 7.875%, 07/01/11@ 3,583,238
1,769,000 Flextronics International,
Ltd.@
6.500%, 05/15/13 1,791,113
4,424,000 Freescale Semiconductor,
Inc.
7.125%, 07/15/14 4,700,500
1,769,000 GBP Iron Mountain, Inc.*
7.250%, 04/15/14 3,088,041
4,556,000 Lucent Technologies, Inc.
6.500%, 01/15/28 3,781,480
376,000 Sanmina-SCI Corporation
8.125%, 03/01/16 381,640
3,539,000 Stratus Technologies, Inc.
10.375%, 12/01/08 3,698,255
7,609,000 SunGard Data Systems Inc.*@
9.125%, 08/15/13 7,951,405
6,193,000 Telcordia Technologies*
10.000%, 03/15/13 5,697,560
18,137,000 Xerox Corp.@
7.625%, 06/15/13 19,361,247
------------
74,125,434
------------
MATERIALS (8.8%)
Aleris International, Inc.
4,601,000 10.375%, 10/15/10 5,084,105
3,412,000 9.000%, 11/15/14 3,582,600
4,424,000 Ball Corp.
6.875%, 12/15/12 4,540,130
885,000 Crown Holdings, Inc.*@
7.750%, 11/15/15 922,613
16,828,000 Equistar Chemicals, LP
10.625%, 05/01/11 18,594,940
11,369,000 Freeport-McMoRan Copper &
Gold, Inc.
10.125%, 02/01/10 12,505,900
796,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 801,970
Ineos Group Holdings, PLC*
5,308,000 EUR 7.875%, 02/07/16 6,450,014
$ 885,000 8.500%, 02/15/16 $ 886,106
5,308,000 IPSCO, Inc.
8.750%, 06/01/13 5,838,800
7,963,000 Neenah Paper, Inc.@
7.375%, 11/15/14 7,525,035
2,654,000 Polyone Corp.@
10.625%, 05/15/10 2,836,462
4,424,000 Sealed Air Corp.*
6.875%, 07/15/33 4,511,989
1,769,000 Texas Industries, Inc.@
7.250%, 07/15/13 1,835,337
Union Carbide Corp.
4,291,000 7.875%, 04/01/23 4,781,367
2,875,000 7.500%, 06/01/25 3,114,669
1,548,000 Westlake Chemical
Corporation
6.625%, 01/15/16 1,557,675
------------
85,369,712
------------
TELECOMMUNICATION SERVICES (1.8%)
5,308,000 AT&T Corp.@++
9.750%, 11/15/31 6,582,913
619,000 Citizens Communications
Company
9.000%, 08/15/31 640,665
6,193,000 Sprint Nextel Corporation
7.375%, 08/01/15 6,549,933
3,981,000 Syniverse Technologies,
Inc.
7.750%, 08/15/13 4,060,620
------------
17,834,131
------------
UTILITIES (3.4%)
4,424,000 Centerpoint Energy, Inc.@
6.850%, 06/01/15 4,759,839
Edison International@
5,308,000 9.875%, 04/15/11 6,183,820
3,539,000 10.000%, 08/15/08 3,866,358
885,000 NRG Energy, Inc.
7.375%, 02/01/16 903,806
4,424,000 Public Service Enterprise
Group, Inc.
8.625%, 02/15/08 4,678,380
11,148,000 Teco Energy, Inc.@
7.500%, 06/15/10 11,984,100
------------
32,376,303
------------
TOTAL CORPORATE BONDS
(Cost $742,599,019) 767,160,708
------------
CONVERTIBLE BONDS (17.3%)
CONSUMER DISCRETIONARY (1.9%)
6,500,000 Lamar Advertising Company@
2.875%, 12/31/10 6,930,625
2,125,000 Lions Gate Entertainment
Corp.
3.625%, 03/15/25 1,899,219
9,000,000 Walt Disney Company@
2.125%, 04/15/23 9,247,500
------------
18,077,344
------------
See accompanying notes to Schedule of Investments
3
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
ENERGY (1.4%)
$ 9,000,000 Cal Dive International, Inc.*
3.250%, 12/15/25 $ 13,826,250
------------
FINANCIALS (0.4%)
3,250,000 Deutsche Bank, LUX (USA
Interactive)*++
4.450%, 05/01/12 4,233,125
------------
HEALTH CARE (3.2%)
10,500,000 Emdeon Corp.*
3.125%, 09/01/25 9,292,500
6,500,000 Invitrogen Corp.*
3.250%, 06/15/25 6,394,375
8,000,000 LifePoint Hospitals, Inc.*@
3.250%, 08/15/25 6,800,000
8,000,000 Wyeth++
4.239%, 01/15/24 8,332,000
------------
30,818,875
------------
INDUSTRIALS (3.5%)
11,500,000 GATX Corp.
7.500%, 02/01/07 14,403,750
6,400,000 Lockheed Martin Corp.@++
4.090%, 08/15/33 7,013,120
3,500,000 Quanta Services, Inc.
4.500%, 10/01/23 4,803,750
13,000,000 Roper Industries, Inc.@++
1.481%, 01/15/34 7,296,250
------------
33,516,870
------------
INFORMATION TECHNOLOGY (5.0%)
6,500,000 Advanced Micro Devices, Inc.++
4.750%, 02/01/22 11,659,375
4,000,000 CSG Systems International, Inc.
2.500%, 06/15/24 4,010,000
5,500,000 DST Systems, Inc.@
4.125%, 08/15/23 7,019,375
7,800,000 Liberty Media Corp.
3.500%, 01/15/31 8,112,000
6,500,000 LSI Logic Corp.
4.000%, 05/15/10 6,605,625
3,000,000 Openwave Systems, Inc.@
2.750%, 09/09/08 3,922,500
6,800,000 Vishay Intertechnology, Inc.
3.625%, 08/01/23 7,029,500
------------
48,358,375
------------
TELECOMMUNICATION SERVICES (0.3%)
Liberty Media Corp. (Sprint PCS Group)
4,142,000 3.750%, 02/15/30 2,272,922
1,974,000 4.000%, 11/15/29 1,174,530
------------
3,447,452
------------
UTILITIES (1.6%)
6,500,000 CenterPoint Energy, Inc.@
3.750%, 05/15/23 7,605,000
$ 3,500,000 GBP Scottish and Southern Energy, PLC
3.750%, 10/29/09 $ 7,627,067
------------
15,232,067
------------
TOTAL CONVERTIBLE BONDS
(Cost $156,323,120) 167,510,358
------------
SYNTHETIC CONVERTIBLE SECURITIES (12.1%)
CORPORATE BONDS (10.3%)
CONSUMER DISCRETIONARY (2.3%)
346,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 352,920
1,153,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 1,210,650
576,000 Broder Bros. Co.
11.250%, 10/15/10 568,800
576,000 DEX Media, Inc.
8.000%, 11/15/13 594,720
202,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 217,655
726,000 EchoStar Communications Corp.*
7.125%, 02/01/16 719,647
104,000 EchoStar DBS Corporation
6.625%, 10/01/14 101,400
1,396,000 GBP EMI Group, PLC++
9.750%, 05/20/08 2,692,591
92,000 General Motors Corp.
7.125%, 07/15/13 71,760
Goodyear Tire & Rubber Company@
807,000 7.857%, 08/15/11 790,860
576,000 7.000%, 03/15/28 483,840
435,000 GSC Holdings Corp. (Gamestop, Inc.)*@
8.000%, 10/01/12 424,669
1,072,000 Hasbro, Inc.
6.600%, 07/15/28 1,070,080
726,000 Houghton Mifflin Company@
9.875%, 02/01/13 787,710
461,000 IMAX Corp.
9.625%, 12/01/10 473,677
576,000 Interpublic Group of Companies, Inc.
7.250%, 08/15/11 544,320
576,000 Intrawest Corp
7.500%, 10/15/13 593,280
J.C. Penney Company, Inc.
231,000 9.000%, 08/01/12 271,290
173,000 7.650%, 08/15/16@ 196,214
519,000 Jarden Corp.
9.750%, 05/01/12 521,595
370,000 Kellwood Company
7.625%, 10/15/17 333,488
403,000 Landry's Restaurants, Inc.@
7.500%, 12/15/14 382,850
346,000 Mandalay Resort Group@
7.625%, 07/15/13 365,030
See accompanying notes to Schedule of Investments
4
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- -----------
$ 173,000 NCL Holding, ASA
10.625%, 07/15/14 $ 181,866
1,363,000 Oxford Industries, Inc.
8.875%, 06/01/11 1,402,186
115,000 Pinnacle Entertainment, Inc.
8.250%, 03/15/12 119,600
346,000 Rent-A-Center, Inc.
7.500%, 05/01/10 335,620
432,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 390,478
519,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 488,677
1,372,000 Royal Caribbean Cruises, Ltd.@
7.500%, 10/15/27 1,498,965
576,000 Russell Corp.@
9.250%, 05/01/10 591,120
991,000 Vail Resorts, Inc.
6.750%, 02/15/14 1,000,910
807,000 Warnaco Group, Inc.@
8.875%, 06/15/13 867,525
Warner Music Group
231,000 GBP 8.125%, 04/15/14 429,955
231,000 7.375%, 04/15/14 231,578
WCI Communities, Inc.@
749,000 7.875%, 10/01/13 734,020
346,000 6.625%, 03/15/15 309,670
58,000 William Lyon Homes, Inc.
10.750%, 04/01/13 60,320
104,000 Wynn Las Vegas, LLC
6.625%, 12/01/14 101,790
-----------
22,513,326
-----------
CONSUMER STAPLES (0.9%)
231,000 Central Garden & Pet Company
9.125%, 02/01/13 243,705
634,000 Chattem, Inc.
7.000%, 03/01/14 641,925
519,000 Chiquita Brands International, Inc.
7.500%, 11/01/14 459,315
652,000 Del Monte Foods Company
8.625%, 12/15/12 694,380
Dole Food Company, Inc.
558,000 8.875%, 03/15/11 568,462
514,000 8.625%, 05/01/09@ 527,492
260,000 Gold Kist, Inc.
10.250%, 03/15/14 289,900
242,000 Herbalife, Ltd.
9.500%, 04/01/11 261,965
1,556,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 1,489,870
519,000 NBTY, Inc.*
7.125%, 10/01/15 489,158
461,000 Pinnacle Foods Holding@
8.250%, 12/01/13 446,018
738,000 Playtex Products, Inc.
8.000%, 03/01/11 794,272
634,000 Revlon, Inc.
9.500%, 04/01/11 586,450
$ 231,000 Smithfield Foods, Inc.@
7.750%, 05/15/13 $ 243,994
594,000 Spectrum Brands, Inc.@
8.500%, 10/01/13 512,325
-----------
8,249,231
-----------
ENERGY (1.3%)
1,037,000 Arch Western Finance, LLC@++
6.750%, 07/01/13 1,052,555
Chesapeake Energy Corp.@
461,000 6.875%, 01/15/16 472,525
231,000 7.750%, 01/15/15 246,593
346,000 Comstock Resources, Inc.
6.875%, 03/01/12 344,703
104,000 Energy Partners, Ltd.
8.750%, 08/01/10 107,900
576,000 Forest Oil Corp.@
8.000%, 12/15/11 633,600
Giant Industries, Inc.
692,000 8.000%, 05/15/14 723,140
231,000 11.000%, 05/15/12@ 258,143
1,308,000 Houston Exploration Company
7.000%, 06/15/13 1,294,920
530,000 KCS Energy, Inc.
7.125%, 04/01/12 533,975
315,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 333,506
533,000 Paramount Resources Ltd.
8.500%, 01/31/13 555,652
Petroleo Brasileiro, SA@
865,000 8.375%, 12/10/18 990,425
576,000 9.125%, 07/02/13 678,816
2,017,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 2,149,418
346,000 Swift Energy Company
7.625%, 07/15/11 359,840
749,000 Whiting Petroleum Corp.
7.250%, 05/01/12 768,661
692,000 Williams Companies, Inc.
7.750%, 06/15/31 754,280
-----------
12,258,652
-----------
FINANCIALS (0.6%)
E*TRADE Financial Corporation
876,000 7.375%, 09/15/13 897,900
622,000 7.875%, 12/01/15 653,100
161,000 8.000%, 06/15/11* 168,245
553,000 Fairfax Financial Holdings, Ltd.@
7.750%, 04/26/12 525,350
Host Marriott Corp.@
1,268,000 7.125%, 11/01/13 1,310,795
242,000 9.250%, 10/01/07 257,730
1,383,000 Leucadia National Corp.
7.000%, 08/15/13 1,383,000
Senior Housing Properties Trust
576,000 8.625%, 01/15/12 635,040
407,000 7.875%, 04/15/15 425,315
-----------
6,256,475
-----------
See accompanying notes to Schedule of Investments
5
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- -----------
HEALTH CARE (0.9%)
$1,876,000 Ameripath, Inc.@
10.500%, 04/01/13 $ 1,988,560
1,683,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 1,792,978
346,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 382,330
75,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 79,500
259,000 Biovail Corp.
7.875%, 04/01/10 269,036
104,000 DaVita, Inc.
7.250%, 03/15/15 105,170
81,000 Omnicare, Inc.@
6.875%, 12/15/15 81,506
501,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 521,040
749,000 Quintiles Transnational
Corp.
10.000%, 10/01/13 835,135
1,164,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 1,146,540
311,000 Valeant Pharmaceuticals
International
7.000%, 12/15/11 306,335
807,000 Vanguard Health Systems,
Inc.
9.000%, 10/01/14 855,420
-----------
8,363,550
-----------
INDUSTRIALS (1.5%)
317,000 Accuride Corp.
8.500%, 02/01/15 317,000
692,000 American Airlines, Inc.
7.250%, 02/05/09 681,620
288,000 Armor Holdings, Inc.
8.250%, 08/15/13 312,480
BE Aerospace, Inc.@
346,000 8.875%, 05/01/11 365,462
231,000 8.500%, 10/01/10 250,058
1,844,000 CNH Global, NV
9.250%, 08/01/11 1,982,300
173,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 182,948
1,902,000 Esterline Technologies
Corp.@
7.750%, 06/15/13 1,987,590
403,000 Gardner Denver, Inc.
8.000%, 05/01/13 425,165
173,000 GATX Corp.@
8.875%, 06/01/09 190,046
458,000 General Cable Corp.@
9.500%, 11/15/10 490,060
403,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 422,142
104,000 Hexcel Corporation
6.750%, 02/01/15 103,480
JLG Industries, Inc.
876,000 8.250%, 05/01/08 926,370
403,000 8.375%, 06/15/12@ 435,240
346,000 Legrand Holding, SA
8.500%, 02/15/25 423,850
$ 501,000 Manitowoc Company, Inc.
10.500%, 08/01/12 $ 558,615
1,499,000 Mobile Mini, Inc.
9.500%, 07/01/13 1,656,395
576,000 Monitronics International,
Inc.
11.750%, 09/01/10 573,120
346,000 Navistar International
Corp.@
7.500%, 06/15/11 344,270
277,000 Orbital Sciences Corp.
9.000%, 07/15/11 298,467
Sequa Corp.
807,000 8.875%, 04/01/08 859,455
231,000 9.000%, 08/01/09 251,790
Terex Corp.
317,000 9.250%, 07/15/11 339,982
218,000 7.375%, 01/15/14 220,180
156,000 Trinity Industries, Inc.
6.500%, 03/15/14 156,390
231,000 Wesco Distribution Inc.*@
7.500%, 10/15/17 236,198
-----------
14,990,673
-----------
INFORMATION TECHNOLOGY (1.0%)
1,153,000 Advanced Micro Devices,
Inc.
7.750%, 11/01/12 1,219,297
316,000 Arrow Electronics, Inc.
6.875%, 06/01/18 331,240
104,000 Avago Technologies*@
11.875%, 12/01/15 105,300
Celestica, Inc.
980,000 7.625%, 07/01/13 962,850
461,000 7.875%, 07/01/11@ 466,763
231,000 Flextronics International,
Ltd.@
6.500%, 05/15/13 233,888
576,000 Freescale Semiconductor,
Inc.
7.125%, 07/15/14 612,000
231,000 GBP Iron Mountain, Inc.*
7.250%, 04/15/14 403,243
594,000 Lucent Technologies, Inc.
6.500%, 01/15/28 493,020
49,000 Sanmina-SCI Corporation
8.125%, 03/01/16 49,735
461,000 Stratus Technologies, Inc.
10.375%, 12/01/08 481,745
991,000 SunGard Data Systems Inc.*@
9.125%, 08/15/13 1,035,595
807,000 Telcordia Technologies*
10.000%, 03/15/13 742,440
2,363,000 Xerox Corp.@
7.625%, 06/15/13 2,522,502
----------
9,659,618
----------
MATERIALS (1.2%)
Aleris International, Inc.
599,000 10.375%, 10/15/10 661,895
445,000 9.000%, 11/15/14 467,250
576,000 Ball Corp.
6.875%, 12/15/12 591,120
See accompanying notes to Schedule of Investments
6
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- -----------
$ 115,000 Crown Holdings, Inc.*@
7.750%, 11/15/15 $ 119,888
2,192,000 Equistar Chemicals, LP
10.625%, 05/01/11 2,422,160
1,481,000 Freeport-McMoRan Copper &
Gold, Inc.
10.125%, 02/01/10 1,629,100
104,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 104,780
Ineos Group Holdings, PLC*
692,000 EUR 7.875%, 02/07/16 840,883
115,000 8.500%, 02/15/16 115,144
692,000 IPSCO, Inc.
8.750%, 06/01/13 761,200
1,037,000 Neenah Paper, Inc.@
7.375%, 11/15/14 979,965
346,000 Polyone Corp.@
10.625%, 05/15/10 369,787
576,000 Sealed Air Corp.*
6.875%, 07/15/33 587,456
231,000 Texas Industries, Inc.@
7.250%, 07/15/13 239,663
Union Carbide Corp.
559,000 7.875%, 04/01/23 622,881
375,000 7.500%, 06/01/25 406,261
202,000 Westlake Chemical
Corporation
6.625%, 01/15/16 203,263
-----------
11,122,696
-----------
TELECOMMUNICATION SERVICES (0.2%)
692,000 AT&T Corp.@++
9.750%, 11/15/31 858,209
81,000 Citizens Communications
Company
9.000%, 08/15/31 83,835
807,000 Sprint Nextel Corporation
7.375%, 08/01/15 853,512
519,000 Syniverse Technologies,
Inc.
7.750%, 08/15/13 529,380
-----------
2,324,936
-----------
UTILITIES (0.4%)
576,000 Centerpoint Energy, Inc.@
6.850%, 06/01/15 619,726
Edison International@
692,000 9.875%, 04/15/11 806,180
461,000 10.000%, 08/15/08 503,642
115,000 NRG Energy, Inc.
7.375%, 02/01/16 117,444
576,000 Public Service Enterprise
Group, Inc.
8.625%, 02/15/08 609,120
1,452,000 Teco Energy, Inc.@
7.500%, 06/15/10 1,560,900
-----------
4,217,012
-----------
TOTAL CORPORATE BONDS 99,956,169
-----------
NUMBER OF
CONTRACTS VALUE
--------- ----------
OPTIONS (1.8%)
Consumer Discretionary (0.3%)
600 eBay, Inc.#
Call, 01/20/07, Strike
42.50 $ 396,000
130 Garmin, Ltd.#
Call, 01/19/08, Strike
65.00 162,500
150 Lowe's Companies, Inc.#
Call, 01/19/08, Strike
70.00 119,250
250 Office Depot, Inc.#
Call, 01/19/08, Strike
30.00 207,500
215 Tiffany & Co.#
Call, 01/19/08, Strike
40.00 134,375
2,900 YUM! Brands, Inc.#
Call, 01/20/07, Strike
50.00 1,421,000
----------
2,440,625
----------
CONSUMER STAPLES (0.1%)
640 Kroger Company#
Call, 01/19/08, Strike
20.00 153,600
260 PepsiCo, Inc.#
Call, 01/19/08, Strike
60.00 131,300
----------
284,900
----------
ENERGY (0.3%)
95 Anadarko Petroleum Corp.#
Call, 01/19/08, Strike
95.00 265,050
130 BJ Services Company#
Call, 01/19/08, Strike
40.00 117,000
125 Devon Energy (Chevron)
Corp.#
Call, 01/19/08, Strike
65.00 201,250
130 Diamond Offshore Drilling,
Inc.#
Call, 01/19/08, Strike
70.00 336,700
105 Nabors Industries Ltd.#
Call, 01/19/08, Strike
75.00 219,450
125 Petroleo Brasileiro, SA#
Call, 01/19/08, Strike
70.00 415,625
100 Schlumberger, Ltd.#
Call, 01/19/08, Strike
100.00 408,500
90 Sunoco, Inc.#
Call, 01/19/08, Strike
75.00 290,700
200 Weatherford International,
Ltd.#
Call, 01/19/08, Strike
35.00 302,000
150 XTO Energy, Inc.#
Call, 01/19/08, Strike
45.00 188,250
----------
2,744,525
----------
FINANCIALS (0.2%)
235 Aon Corp.#
Call, 01/19/08, Strike
35.00 138,650
600 Charles Schwab Corp.#
Call, 01/19/08, Strike
15.00 171,000
20 Chicago Mercantile
Exchange Holdings, Inc.#
Call, 01/19/08, Strike
360.00 254,900
175 CIT Group, Inc.#
Call, 01/19/08, Strike
50.00 184,625
325 E*TRADE Financial
Corporation#
Call, 01/19/08, Strike
20.00 237,250
See accompanying notes to Schedule of Investments
7
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS January 31, 2006 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
--------- ------------
80 Goldman Sachs Group, Inc.#
Call, 01/19/08, Strike 130.00 $ 233,200
90 Legg Mason, Inc.#
Call, 01/20/07, Strike 120.00 206,550
70 Lehman Brothers
Holdings, Inc.#
Call, 01/19/08, Strike 125.00 230,650
175 Merrill Lynch & Company, Inc.#
Call, 01/19/08, Strike 70.00 248,500
130 Prudential Financial, Inc.#
Call, 01/19/08, Strike 75.00 156,000
230 St. Paul Travelers
Companies, Inc.#
Call, 01/19/08, Strike 45.00 165,600
230 State Street Corp.#
Call, 01/19/08, Strike 60.00 211,600
------------
2,438,525
------------
HEALTH CARE (0.2%)
100 Aetna, Inc.#
Call, 01/19/08, Strike 100.00 179,000
90 Allergan, Inc.#
Call, 01/19/08, Strike 110.00 220,500
230 AmerisourceBergen Corp.#
Call, 01/19/08, Strike 40.00 220,800
100 Express Scripts, Inc.#
Call, 01/19/08, Strike 90.00 196,000
270 Health Net, Inc.#
Call, 01/19/08, Strike 55.00 116,100
76 Omnicare, Inc.#
Call, 01/19/08, Strike 60.00 53,580
215 Teva Pharmaceutical
Industries, Ltd.#
Call, 01/19/08, Strike 45.00 132,225
UnitedHealth Group, Inc.#
1,600 Call, 01/19/08, Strike 70.00 1,136,000
125 Call, 01/19/08, Strike 60.00 143,750
------------
2,397,955
------------
INDUSTRIALS (0.1%)
116 Burlington Northern Santa Fe Corp.#
Call, 01/19/08, Strike 60.00 281,880
------------
INFORMATION TECHNOLOGY (0.4%)
200 Advanced Micro Devices, Inc.#
Call, 01/19/08, Strike 25.00 424,000
225 Agilent Technologies, Inc.#
Call, 01/19/08, Strike 35.00 138,375
85 Apple Computer, Inc.#
Call, 01/19/08, Strike 75.00 176,800
500 Electronic Data Systems Corp.#
Call, 01/19/08, Strike 25.00 217,500
15 Google, Inc.#
Call, 01/19/08, Strike 430.00 177,900
335 Hewlett-Packard Company #
Call, 01/19/08, Strike 30.00 219,425
195 Intuit, Inc.#
Call, 01/19/08, Strike 55.00 157,950
120 Marvell Technology Group, Ltd.#
Call, 01/19/08, Strike 65.00 250,800
415 Micron Technology, Inc.#
Call, 01/19/08, Strike 12.50 $ 188,825
330 Motorola, Inc.#
Call, 01/19/08, Strike 22.50 151,800
230 National Semiconductor Corp.#
Call, 01/19/08, Strike 25.00 189,750
5,100 Nokia Corp.#
Call, 01/20/07, Strike 15.00 2,142,000
175 NVIDIA Corp.#
Call, 01/19/08, Strike 35.00 288,750
310 Paychex, Inc.#
Call, 01/19/08, Strike 40.00 124,000
90 Sandisk Corp.#
Call, 01/19/08, Strike 65.00 207,900
------------
5,055,775
------------
MATERIALS (0.1%)
190 Freeport-McMoRan Copper &
Gold, Inc.#
Call, 01/19/08, Strike 55.00 319,200
340 Goldcorp, Inc.#
Call, 01/20/07, Strike 20.00 302,600
343 Harmony Gold Mining Co, Ltd.#
Call, 01/19/08, Strike 15.00 246,960
55 Phelps Dodge Corp.#
Call, 01/19/08, Strike 145.00 247,500
------------
1,116,260
------------
TELECOMMUNICATION SERVICES (0.1%)
230 America Movil S.A. de C.V.#
Call, 01/19/08, Strike 30.00 209,300
300 American Tower Corp.#
Call, 01/19/08, Strike 27.50 231,000
220 Crown Castle International Corp.#
Call, 01/19/08, Strike 25.00 232,100
150 NII Holdings, Inc.#
Call, 01/19/08, Strike 45.00 206,250
------------
878,650
------------
TOTAL OPTIONS 17,639,095
------------
TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
(Cost $112,593,724) 117,595,264
------------
NUMBER OF
SHARES VALUE
--------- ----------
CONVERTIBLE PREFERRED STOCKS (31.2%)
CONSUMER DISCRETIONARY (3.6%)
1,067,300 Ford Motor Company Capital
Trust II
6.500% 34,313,695
----------
CONSUMER STAPLES (3.0%)
1,190,000 Albertson's, Inc.
7.250% 29,214,500
----------
ENERGY (3.3%)
125,000 Amerada Hess Corp.
7.000% 16,293,750
See accompanying notes to Schedule of Investments
8
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
---------- ------------
102,700 Chesapeake Energy Corp.*
5.000% $ 15,494,862
------------
31,788,612
------------
FINANCIALS (13.9%)
635,000 Chubb Corp.
7.000% 21,323,300
19,000,000 Fortis, NV (Assurant)*
7.750% 23,583,750
215,000 Hartford Financial
Services Group, Inc.
7.000% 15,811,100
350,000 Lazard, Ltd.
6.625% 11,431,000
450,000 Lehman Brothers
Holdings, Inc.
6.250% 11,673,000
230,000 Merrill Lynch & Company,
Inc.
6.750% 9,487,500
325,000 Metlife, Inc.
6.375% 8,937,500
570,000 National Australia Bank,
Ltd.
7.875% 24,333,300
150,000 Washington Mutual, Inc.
5.375% 8,175,000
------------
134,755,450
------------
HEALTH CARE (2.7%)
370,000 Baxter International, Inc.
7.000% 19,077,200
145,000 Schering-Plough Corp.
6.000% 7,435,600
------------
26,512,800
------------
INDUSTRIALS (1.1%)
3,000,000 GBP BAE Systems, PLC
7.750% 10,759,149
------------
UTILITIES (3.6%)
80,000 Southern Union Company
5.000% 4,044,000
375,000 TXU Corp.
8.125% 30,637,500
------------
34,681,500
------------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $278,313,186) 302,025,706
------------
PRINCIPAL
AMOUNT VALUE
----------- --------------
SHORT-TERM INVESTMENTS (3.0%)
$ 4,242,000 Citigroup, Inc.
4.420%, 02/01/06 4,242,000
25,000,000 UBS Finance, Inc.
4.420%, 02/01/06 25,000,000
--------------
TOTAL SHORT-TERM
INVESTMENTS
(Cost $29,242,000) 29,242,000
--------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (19.3%)
$186,803,173 Bank of New York
Institutional Cash Reserve Fund
current rate 4.528%
(Cost $186,803,173) $ 186,803,173
--------------
TOTAL INVESTMENTS (162.1%)
(Cost $1,505,874,222) 1,570,337,209
--------------
PAYABLE UPON RETURN OF SECURITIES ON
LOAN (-19.3%) (186,803,173)
--------------
OTHER ASSETS, LESS LIABILITIES (1.6%) 15,743,209
--------------
PREFERRED SHARES AT REDEMPTION VALUE
INCLUDING DIVIDENDS PAYABLE (-44.4%) (430,306,401)
--------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $ 968,970,844
--------------
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market values for securities denominated in foreign currencies are shown
in U.S. dollars. The principal amount for such securities is shown in the
respective foreign currency. The date shown 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.
* 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 January 31, 2006, the market value
of 144A securities that could not be exchanged to the registered form is
$99,991,470 or 10.3% of net assets.
@ Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate security. The interest rate shown is the rate in effect at
January 31, 2006.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying notes to Schedule of Investments
9
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
NOTE 1
PORTFOLIO VALUATION. In computing the Fund's net asset value, portfolio
securities that are traded on a securities exchange in the United States, except
for option securities, are valued at the last reported sale price as of the time
of valuation, or lacking any current reported sale at the time of valuation, at
the mean between the most recent bid and asked quotations. Each option security
traded on a securities exchange in the United States is valued at the last
current reported sale price as of the time of valuation if the last current
reported sale price falls within the consolidated bid/ask quote for the option
security. If the last current reported sale price as of the time of valuation
does not fall within the consolidated bid/ask quote for the option security, the
security is valued at the mid-point of the consolidated bid/ask quote for the
option security. Each security traded in the over-the-counter market and quoted
on the NASDAQ National Market System, is valued at the NASDAQ Official Closing
Price ("NOCP"), as determined by NASDAQ, or lacking an NOCP, the last current
reported sale price as of the time of valuation by NASDAQ, or lacking any
current reported sale on NASDAQ at the time of valuation, at the mean between
the most recent bid and asked quotations. Each over-the-counter option that is
not traded through the Options Clearing Corporation is valued by the
counterparty, or if the counterparty's price is not readily available then by
using the Black-Scholes method. Each other security traded over-the-counter is
valued at the mean between the most recent bid and asked quotations. Short-term
securities with maturities of 60 days or less are valued at amortized cost,
which approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is priced at a fair value following procedures and/or guidelines
approved by the Board of Trustees, which may include utilizing a systematic fair
valuation model provided by an independent pricing system. The Fund may also use
fair value pricing if the value of a security it holds is, pursuant to Board of
Trustees' guidelines, materially affected by events occurring before the Fund's
pricing time but after the close of the primary market or exchange on which the
security is traded. These procedures may utilize valuations furnished by pricing
services approved by the Board of Trustees, which may be based on market
transactions for comparable securities and various relationships between
securities that are generally recognized by institutional traders, a
computerized matrix system, or appraisals derived from information concerning
the securities or similar securities received from recognized dealers in those
securities. When fair value pricing is employed, the value of the portfolio
security used to calculate the Fund's net asset value may differ from quoted or
official closing prices.
Securities that are principally traded in a foreign market are valued at the
last current sale price at the time of valuation or lacking any current or
reported sale, at the time of valuation, at the mean between the most recent bid
and asked quotations as of the close of the appropriate exchange or other
designated time. Trading in securities on European and Far Eastern securities
exchanges and over-the-counter markets is normally completed at
various times before the close of business on each day on which the New York
Stock Exchange ("NYSE") is open. Trading of these securities may not take place
on every NYSE business day. In addition, trading may take place in various
foreign markets on Saturdays or on other days when the NYSE is not open and on
which the Fund's net asset value is not calculated. As stated above, if the
market prices are not readily available or are not reflective of the fair value
of the security, the security will be priced at a fair value following
procedures approved by the Board of Trustees. In light of the judgment involved
in fair value decisions, there can be no assurance that a fair value assigned to
a particular security is accurate.
INVESTMENT TRANSACTIONS. Short-term investment transactions are recorded on a
trade date basis. Long-term investment transactions are recorded on a trade date
plus one basis, except for fiscal quarter ends, which are recorded on trade
date.
FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by
a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
selected by the advisor from rates quoted by any major bank or dealer in the
particular currency market, as reported by a recognized quotation dissemination
service.
OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option among others, is that the Fund pays a premium whether or
not the option is exercised. Additionally, the Fund bears the risk of loss of
premium and change in market value should the counterparty not perform under the
contract. Put and call options purchased are accounted for in the same manner as
portfolio securities. The cost of securities acquired through the exercise of
purchased call options is increased by premiums paid. The proceeds from
securities sold through the exercise of purchased put options are decreased by
the premiums paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from written options. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a call option is
exercised, the premium is added to the proceeds from the sale of the underlying
security or currency in determining whether the Fund has realized again or loss.
If a put option is exercised, the premium reduces the cost basis of the
securities purchased by the Fund. The Fund as writer of an option bears the
market risk of an unfavorable change in the price of the security underlying the
written option.
NOTE 2
INVESTMENTS. The following information is presented on an income tax basis as of
January 31, 2006. 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 January 31,
2006 was as follows:
Cost basis of investments $1,512,310,335
--------------
Gross unrealized appreciation 95,443,337
Gross unrealized depreciation (37,416,463)
--------------
Net unrealized appreciation (depreciation) $ 58,026,874
==============
NOTE 3
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") and the right to acquire equity securities
("convertible component"). The fixed-income component is achieved by investing
in non-convertible, fixed income securities such as bonds, preferred stocks and
money market instruments. The convertible component is achieved by investing in
warrants or options to buy common stock at a certain exercise price, or options
on a stock index. In establishing a synthetic instrument, the Fund may pool a
basket of fixed-income securities and a basket of warrants or options that
produce the economic characteristics similar to a convertible security. Within
each basket of fixed-income securities and warrants or options, different
companies may issue the fixed-income and convertible components, which may be
purchased separately and at different times.
The Fund may purchase synthetic securities created by other parties, typically
investment banks, including convertible structured notes. Convertible structured
notes are fixed-income debentures linked to equity. Convertible structured notes
have the attributes of a convertible security; however, the investment bank that
issued the convertible note assumes the credit risk associated with the
investment, rather than the issuer of the underlying common stock into which the
note is convertible. Purchasing synthetic convertible securities may offer more
flexibility than purchasing a convertible security. Different companies may
issue the fixed-income and convertible components, which may be purchased
separately and at different times.
NOTE 4
PREFERRED SHARES. There are unlimited shares of Auction Rate Cumulative
Preferred Shares ("Preferred Shares") authorized. The Preferred Shares have
rights as determined by the Board of Trustees. The 17,200 Preferred Shares
outstanding consist of six series, 3,000 shares of M, 3,000 shares of TU, 3,000
shares of W, 3,000 shares of TH, 3,000
shares of F, and 2,200 shares of A. The Preferred Shares have a liquidation
value of $25,000 per share plus any accumulated but unpaid dividends, whether or
not declared.
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven or twenty-eight days based on the results of an auction. Dividend rates
ranged from 3.59% to 4.61% for the period ended January 31, 2006. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make other
distributions on shares of common stock or purchase any such shares if, at the
time of the declaration, distribution or purchase, asset coverage with respect
to the outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the Fund's option, in whole or in part,
on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or the holders of common shares.
NOTE 5
INTEREST RATE TRANSACTIONS. The Fund may enter into interest rate swap or cap
transactions to attempt to protect itself from increasing dividend or interest
expense on its leverage resulting from increasing short-term interest rates. A
decline in interest rates may result in a decline in the value of the swap or
cap, which may result in a decline in the Fund's net asset value. 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. Net unrealized
gains are reported as an asset and net unrealized losses are reported as a
liability on the Statement of Assets and Liabilities. The change in the value of
the swaps, including periodic amounts of interest to be paid or received on
swaps is reported as unrealized gains or losses in the Statement of Operations.
A realized gain or loss is recorded upon payment or termination of swap
agreements. Details of the swap agreements outstanding as January 31, 2006 were
as follows:
Unrealized
Termination Notional Fixed Rate Floating Rate Appreciation
Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation
------------ ---------------- ------------ ----------- --------------- -------------
Citibank NA October 27, 2006 $100,000 2.80% 1month LIBOR $1,482,856
Citibank NA October 27, 2007 200,000 3.27% 1month LIBOR 5,261,058
Citibank NA October 27, 2008 100,000 3.65% 1month LIBOR 3,022,445
----------
$9,766,359
==========
NOTE 6
SECURITIES LENDING. During the period ended January 31, 2006, the Fund lent
certain of its securities to broker-dealers and banks. Any such loan must be
continuously secured by collateral in cash or cash equivalents maintained on a
current basis in an amount at least equal to the market value of the securities
loaned by the Fund. The Fund continues to receive the equivalent of the interest
or dividends paid by the issuer on the securities loaned and also receives an
additional return that may be in the form of a fixed fee or a percentage of the
collateral. The Fund may pay reasonable fees to persons unaffiliated with the
Fund for services in arranging these loans. The Fund has the right to call the
loan and obtain the securities loaned at any time on notice of not more than
five business days. The Fund does not have the right to vote the securities
during the existence of the loan but could call the loan in an attempt to permit
voting of the securities in certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
In the event of bankruptcy or other default of the borrower, the Fund could
experience both delays in liquidating the loan collateral or recovering the
loaned securities and losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the period while the
Fund seeks to enforce its rights thereto, (b) possible subnormal levels of
income and lack of access to income during this period, and (c) the expenses of
enforcing its rights. In an effort to reduce these risks, Calamos Advisors LLC
and the security lending agent will monitor the creditworthiness of the firms to
which the Fund lends securities. At January 31, 2006, the Fund had securities
valued at $182,404,060 that were on loan to broker-dealers and banks and
$186,803,172 in cash or cash equivalent collateral.
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-Q was recorded,
processed, summarized, and reported timely.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Convertible and High Income Fund
By: /s/ John P. Calamos, Sr.
---------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 30, 2006
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 30, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
Calamos Convertible and High Income Fund
By: /s/ John P. Calamos, Sr.
---------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 30, 2006
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 30, 2006