Edgar Filing: CALAMOS CONVERTIBLE & HIGH INCOME FUND

N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21319


EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:		Calamos Convertible and High Income Fund


ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:		2020 Calamos Court, Naperville Illinois 60563

NAME AND ADDRESS OF AGENT FOR SERVICE:		John P. Calamos Sr., President 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, 2012

DATE OF REPORTING PERIOD: January 31, 2012

ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)


PRINCIPAL AMOUNT				VALUE

	CORPORATE BONDS (87.3%)
			*Consumer Discretionary (16.7%)*
	4,307,000		American Axle & Manufacturing, Inc.µ 7.875%, 03/01/17	$	4,446,977
	4,427,000		Asbury Automotive Group, Inc.µ 7.625%, 03/15/17		4,543,209
	3,350,000		Cedar Fair, LPµ 9.125%, 08/01/18		3,731,063
	6,540,000		Cooper Tire & Rubber Companyµ 8.000%, 12/15/19		6,834,300
	6,884,000		Dana Holding Corp.µ 6.750%, 02/15/21		7,279,830
			DISH Network Corp.µ
	7,178,000		7.875%, 09/01/19		8,308,535
	6,030,000		7.125%, 02/01/16		6,648,075
	5,599,000		Express, LLCµ 8.750%, 03/01/18		6,186,895
	1,771,000		Gap, Inc. 5.950%, 04/12/21		1,701,938
			Goodyear Tire & Rubber Companyµ
	5,264,000		8.250%, 08/15/20		5,750,920
	1,808,000		7.000%, 03/15/28		1,744,720
	4,151,000		Hanesbrands, Inc.‡ 4.146%, 12/15/14		4,171,755
	5,551,000		Hasbro, Inc.µ 6.600%, 07/15/28		6,183,797
	4,786,000		Icahn Enterprises, LP* 8.000%, 01/15/18		4,989,405
	1,790,000		Interpublic Group of Companies, Inc. 10.000%, 07/15/17		2,056,263
			J.C. Penney Company, Inc.
	2,980,000		6.375%, 10/15/36µ		2,577,700
	2,746,000		7.125%, 11/15/23µ		2,855,840
	1,436,000		7.650%, 08/15/16		1,588,575
			Jaguar Land Rover, PLC*
	3,446,000		7.750%, 05/15/18		3,437,385
	2,871,000		8.125%, 05/15/21		2,827,935
	7,255,000		Jarden Corp.µ 7.500%, 05/01/17		7,817,262
	5,264,000		Lear Corp. 8.125%, 03/15/20		5,902,260
	3,350,000		Liberty Media Corp.µ 8.250%, 02/01/30		3,316,500
			Limited Brands, Inc.µ
	2,871,000		7.600%, 07/15/37		2,867,411
	957,000		6.950%, 03/01/33		913,935
	2,584,000		Live Nation Entertainment, Inc.* 8.125%, 05/15/18		2,687,360
	3,465,000		Phillips-Van Heusen Corp. 7.375%, 05/15/20		3,846,150
			Royal Caribbean Cruises, Ltd.
	11,390,000		7.500%, 10/15/27µ		11,390,000
	957,000		7.000%, 06/15/13µ		1,014,420
	383,000		7.250%, 06/15/16		416,513

	957,000		Sally Holdings, LLC* 6.875%, 11/15/19	$	1,028,775
			Service Corp. International
	8,136,000		7.500%, 04/01/27µ		8,024,130
	1,914,000		7.000%, 05/15/19		2,076,690
	957,000		7.625%, 10/01/18µ		1,105,335
	1,196,000		Toll Brothers Finance Corp.† 5.875%, 02/15/22		1,225,900
	6,759,000		Vail Resorts, Inc. 6.500%, 05/01/19		6,995,565
	5,618,000		Wynn Las Vegas, LLC 7.750%, 08/15/20		6,376,430

					154,869,753

			*Consumer Staples (4.1%)*
	878,000		Constellation Brands, Inc. 8.375%, 12/15/14		996,530
	4,921,000		Darling International, Inc.µ 8.500%, 12/15/18		5,536,125
	2,871,000		Dean Foods Company 9.750%, 12/15/18		3,143,745
	4,451,000		Elizabeth Arden, Inc.µ 7.375%, 03/15/21		4,718,060
	6,293,000		JBS USA, LLCµ* 7.250%, 06/01/21		5,994,083
	7,083,000		Post Holdings, Inc.*† 7.375%, 02/15/22		7,348,612
	9,571,000		Smithfield Foods, Inc.µ 7.750%, 07/01/17		10,875,049

					38,612,204

			*Energy (22.6%)*
	24,407,000	NOK	Aker Solutions, ASA 8.700%, 06/26/14		4,510,952
			Arch Coal, Inc.µ
	6,221,000		8.750%, 08/01/16		6,811,995
	1,962,000		7.250%, 10/01/20		1,981,620
	1,133,000		Arch Western Finance, LLCµ 6.750%, 07/01/13		1,144,330
	2,596,000		Atwood Oceanics, Inc.µ 6.500%, 02/01/20		2,699,840
	5,547,000		Basic Energy Services, Inc.µ 7.750%, 02/15/19		5,671,807
			Berry Petroleum Companyµ
	6,386,000		8.250%, 11/01/16		6,689,335
	1,914,000		10.250%, 06/01/14		2,186,745
	7,178,000		Bill Barrett Corp.µ 7.625%, 10/01/19		7,339,505
	3,042,000		Brigham Exploration Company 8.750%, 10/01/18		3,801,739
	9,452,000		Bristow Group, Inc.µ 7.500%, 09/15/17		9,877,340
	8,136,000		Calfrac Holdings, LPµ* 7.500%, 12/01/20		8,013,960

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

	4,307,000	Calumet Specialty Products* 9.375%, 05/01/19	$	4,350,070
	8,614,000	Carrizo Oil & Gas, Inc.µ 8.625%, 10/15/18		8,700,140
	3,829,000	Chesapeake Energy Corp.µ 9.500%, 02/15/15		4,326,770
	6,700,000	Clayton Williams Energy, Inc.* 7.750%, 04/01/19		6,532,500
	8,423,000	Complete Production Services, Inc.µ 8.000%, 12/15/16		8,833,621
	4,350,000	Comstock Resources, Inc.µ 8.375%, 10/15/17		4,197,750
	5,188,000	Concho Resources, Inc.µ 8.625%, 10/01/17		5,758,680
	1,914,000	Continental Resources, Inc.µ 8.250%, 10/01/19		2,143,680
		Frontier Oil Corp.
	6,934,000	8.500%, 09/15/16µ		7,454,050
	935,000	6.875%, 11/15/18		963,050
	4,478,000	GulfMark Offshore, Inc.µ 7.750%, 07/15/14		4,522,780
	7,896,000	Helix Energy Solutions Group, Inc.µ* 9.500%, 01/15/16		8,330,280
	2,914,000	HollyFrontier Corp.µ 9.875%, 06/15/17		3,263,680
	3,776,000	Hornbeck Offshore Services, Inc.µ 8.000%, 09/01/17		3,993,120
		Linn Energy, LLC
	4,786,000	8.625%, 04/15/20		5,336,390
	1,914,000	7.750%, 02/01/21		2,071,905
	957,000	6.500%, 05/15/19*		971,355
	4,786,000	Pioneer Drilling Company* 9.875%, 03/15/18		5,121,020
	5,743,000	Plains Exploration & Production Company 6.750%, 02/01/22		6,274,227
	4,307,000	Pride International, Inc.µ 8.500%, 06/15/19		5,506,797
	6,221,000	SEACOR Holdings, Inc.µ 7.375%, 10/01/19		6,633,782
		SESI, LLC
	7,274,000	6.875%, 06/01/14µ		7,346,740
	2,393,000	7.125%, 12/15/21*		2,602,388
		SM Energy Company
	4,174,000	6.625%, 02/15/19		4,403,570
	1,723,000	6.500%, 11/15/21*		1,813,458
		Swift Energy Company
	6,604,000	8.875%, 01/15/20µ		7,049,770
	2,297,000	7.125%, 06/01/17		2,308,485
	5,792,000	Trinidad Drilling, Ltd.µ* 7.875%, 01/15/19		6,168,480
	479,000	Unit Corp. 6.625%, 05/15/21		486,185
	9,093,000	W&T Offshore, Inc. 8.500%, 06/15/19		9,718,144

	1,701,000	Whiting Petroleum Corp. 6.500%, 10/01/18	$	1,815,818

				209,727,853

		*Financials (3.4%)*
	2,809,000	AON Corp.µ 8.205%, 01/01/27		3,325,095
	1,598,000	Chesapeake Oilfield Finance, Inc.* 6.625%, 11/15/19		1,613,980
		Leucadia National Corp.
	10,404,000	8.125%, 09/15/15µ		11,236,320
	1,841,000	7.125%, 03/15/17		1,910,038
	5,743,000	Nuveen Investments, Inc. 10.500%, 11/15/15		6,015,792
		OMEGA Healthcare Investors, Inc.
	3,685,000	7.500%, 02/15/20µ		4,016,650
	3,111,000	6.750%, 10/15/22~		3,313,215

				31,431,090

		*Health Care (9.0%)*
	191,000	AMERIGROUP Corp. 7.500%, 11/15/19		204,848
	1,914,000	Bio-Rad Laboratories, Inc.µ 8.000%, 09/15/16		2,129,325
	6,840,000	DaVita, Inc.µ 6.625%, 11/01/20		7,301,700
		Endo Pharmaceuticals Holdings, Inc.
	8,614,000	7.000%, 12/15/20		9,432,330
	1,436,000	7.000%, 07/15/19~		1,565,240
		Fresenius Med*
	2,871,000	6.500%, 09/15/18µ		3,093,502
	1,082,000	5.875%, 01/31/22		1,109,050
	12,074,000	Grifols SA 8.250%, 02/01/18		13,311,585
	2,871,000	HCA Holdings, Inc. 7.750%, 05/15/21		3,021,728
	4,355,000	Health Management Associates, Inc.* 7.375%, 01/15/20		4,496,537
		Mylan, Inc.*
	5,609,000	7.625%, 07/15/17µ		6,190,934
	3,111,000	7.875%, 07/15/20		3,468,765
	5,743,000	Teleflex, Inc. 6.875%, 06/01/19		6,173,725
		Valeant Pharmaceuticals International, Inc.*
	7,178,000	7.000%, 10/01/20µ		7,330,532
	3,350,000	7.250%, 07/15/22µ		3,408,625
	1,244,000	6.750%, 10/01/17		1,276,655
	9,330,000	Warner Chilcott Company, LLCµ 7.750%, 09/15/18		9,913,125

				83,428,206

		*Industrials (12.0%)*
	6,532,000	Abengoa, SAµ* 8.875%, 11/01/17		6,401,360

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)


PRINCIPAL AMOUNT				VALUE

	6,221,000		BE Aerospace, Inc.µ 8.500%, 07/01/18	$	6,889,757
			Belden, Inc.
	6,221,000		9.250%, 06/15/19		6,687,575
	1,909,000		7.000%, 03/15/17		1,966,270
	3,762,000		Boart Longyear Management Pty., Ltd.µ* 7.000%, 04/01/21		3,950,100
	2,871,000		Clean Harbors, Inc.µ 7.625%, 08/15/16		3,057,615
			Deluxe Corp.
	5,786,000		7.375%, 06/01/15µ		5,974,045
	5,743,000		7.000%, 03/15/19*		5,685,570
	4,621,000		Dycom Investments, Inc.µ 7.125%, 01/15/21		4,713,420
	957,000		Esterline Technologies Corp.µ 7.000%, 08/01/20		1,050,308
			FTI Consulting, Inc.µ
	4,068,000		7.750%, 10/01/16		4,251,060
	3,589,000		6.750%, 10/01/20		3,831,257
	1,790,000		H&E Equipment Services, Inc. 8.375%, 07/15/16		1,852,650
	5,213,000		Interline Brands, Inc.µ 7.000%, 11/15/18		5,499,715
	1,914,000	GBP	Iron Mountain, Inc.* 7.250%, 04/15/14		3,031,163
	3,350,000		Manitowoc Company, Inc.µ 8.500%, 11/01/20		3,668,250
	2,871,000		Mobile Mini, Inc. 7.875%, 12/01/20		2,975,074
	660,000		Navistar International Corp. 8.250%, 11/01/21		716,100
	4,081,000		Polypore International, Inc. 7.500%, 11/15/17		4,305,455
	4,786,000		Sensata Technologies Holding, B.V.µ* 6.500%, 05/15/19		4,905,650
	9,093,000		Spirit AeroSystems Holdings, Inc.µ 7.500%, 10/01/17		9,956,835
	7,657,000		Terex Corp.µ 8.000%, 11/15/17		7,771,855
	1,869,000		TransDigm Group, Inc. 7.750%, 12/15/18		2,055,900
			Triumph Group, Inc.
	6,221,000		8.625%, 07/15/18		6,967,520
	900,000		8.000%, 11/15/17		981,000
	1,914,000		WESCO Distribution, Inc. 7.500%, 10/15/17		1,961,850

					111,107,354

			*Information Technology (7.5%)*
			Amkor Technology, Inc.
	5,264,000		7.375%, 05/01/18µ		5,678,540
	899,000		6.625%, 06/01/21		916,980
	7,178,000		Audatex North America, Inc.µ* 6.750%, 06/15/18		7,339,505

	7,657,000		EH Holding Corp.µ* 7.625%, 06/15/21	$	8,116,420
			Equinix, Inc.
	6,221,000		7.000%, 07/15/21µ		6,765,337
	2,489,000		8.125%, 03/01/18		2,775,235
	2,967,000		Fidelity National Information Services, Inc.µ 7.875%, 07/15/20		3,352,710
	895,000		Hynix Semiconductor, Inc.* 7.875%, 06/27/17		939,750
	9,093,000		iGATE Corp. 9.000%, 05/01/16		9,706,777
	7,638,000		Sanmina-SCI Corp.µ* 7.000%, 05/15/19		7,790,760
			Seagate Technology
	5,503,000		7.000%, 11/01/21*		5,915,725
	4,068,000		6.875%, 05/01/20		4,373,100
	1,675,000		7.750%, 12/15/18		1,863,438
	3,733,000		ViaSat, Inc. 8.875%, 09/15/16		3,863,655

					69,397,932

			*Materials (7.0%)*
	2,010,000		Airgas, Inc.µ 7.125%, 10/01/18		2,194,546
	3,589,000		Allegheny Ludlum Corp.µ 6.950%, 12/15/25		4,134,783
	5,296,000		Clearwater Paper Corp.µ 7.125%, 11/01/18		5,627,000
	13,400,000		FMG Resources* 8.250%, 11/01/19		14,438,500
	6,585,000		Greif, Inc.µ 7.750%, 08/01/19		7,309,350
	1,027,000		Kraton Polymers, LLC 6.750%, 03/01/19		1,021,865
			Sealed Air Corp.
	4,336,000		8.125%, 09/15/19µ*		4,823,800
	3,350,000		7.875%, 06/15/17		3,566,963
	4,230,000		Silgan Holdings, Inc.µ 7.250%, 08/15/16		4,578,975
			Steel Dynamics, Inc.
	9,030,000		7.750%, 04/15/16µ		9,481,500
	1,651,000		7.625%, 03/15/20		1,836,737
	4,642,000		Union Carbide Corp.µ 7.875%, 04/01/23		5,604,347

					64,618,366

			*Telecommunication Services (1.9%)*
	5,781,000		CenturyLink, Inc.µ 6.875%, 01/15/28		5,612,166
	5,226,000		MetroPCS Wireless, Inc.µ 7.875%, 09/01/18		5,539,560
	6,700,000		Qwest Communications International, Inc.µ 7.750%, 02/15/31		6,826,710

					17,978,436

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)


PRINCIPAL AMOUNT				VALUE

			*Utilities (3.1%)*
	2,871,000		AES Corp.µ* 7.375%, 07/01/21	$	3,186,810
	8,853,000		AmeriGas Finance Corp. 7.000%, 05/20/22		8,897,265
			Calpine Corp.*
	5,025,000		7.875%, 07/31/20µ		5,439,563
	2,632,000		7.875%, 01/15/23µ		2,835,980
	1,570,000		7.500%, 02/15/21		1,679,900
			NRG Energy, Inc.*
	5,743,000		7.875%, 05/15/21µ		5,484,565
	957,000		7.625%, 05/15/19~		918,720

					28,442,803

			TOTAL CORPORATE BONDS (Cost $771,176,934)		809,613,997

	CONVERTIBLE BONDS (18.0%)
			*Consumer Discretionary (3.1%)*
	18,000,000		Liberty Media Corp. (Time Warner, Inc.)µ§ 3.125%, 03/30/23		21,105,000
	8,820,000		Liberty Media Corp. (Viacom, CBS Corp. - Class B)µ§ 3.250%, 03/15/31		7,519,050

					28,624,050

			*Energy (0.9%)*
	11,000,000		Chesapeake Energy Corp.µ 2.250%, 12/15/38		8,813,750

			*Financials (0.7%)*
	5,500,000		Affiliated Managers Group, Inc.µ 3.950%, 08/15/38		6,043,125

			*Health Care (1.5%)*
	3,000,000		Gilead Sciences, Inc.µ 1.625%, 05/01/16		3,795,000
	8,500,000		Teleflex, Inc.µ 3.875%, 08/01/17		10,306,250

					14,101,250

			*Industrials (0.9%)*
	1,508,000		Navistar International Corp.µ 3.000%, 10/15/14		1,754,935
	6,500,000		Trinity Industries, Inc.µ 3.875%, 06/01/36		6,556,875

					8,311,810

			*Information Technology (5.7%)*
	41,000,000		Intel Corp.µ 2.950%, 12/15/35		46,278,750
	6,000,000		Nuance Communications, Inc.µ* 2.750%, 11/01/31		7,050,000

					53,328,750


			*Materials (4.8%)*
	2,764,000		Allegheny Technologies, Inc.µ 4.250%, 06/01/14	$	3,755,585
	8,300,000		Anglo American, PLCµ 4.000%, 05/07/14		12,993,650
	12,400,000		AngloGold Ashanti, Ltd.µ 3.500%, 05/22/14		14,415,000
	10,090,000		Newmont Mining Corp. 3.000%, 02/15/12		13,621,500

					44,785,735

			*Telecommunication Services (0.4%)*
	2,750,000		tw telecom, Inc.µ 2.375%, 04/01/26		3,269,063

			TOTAL CONVERTIBLE BONDS (Cost $157,059,953)		167,277,533

	U.S. GOVERNMENT AND AGENCY SECURITIES (0.6%)
			United States Treasury Note~
	4,068,000		1.000%, 03/31/12		4,074,675
	1,914,000		0.375%, 09/30/12		1,917,589

			TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $5,990,524)		5,992,264

	SOVEREIGN BONDS (1.8%)
			Federative Republic of Brazil
	2,297,000	BRL	10.000%, 01/01/14		13,243,430
	622,000	BRL	10.000%, 01/01/13		3,602,474

			TOTAL SOVEREIGN BONDS (Cost $16,167,620)		16,845,904

	SYNTHETIC CONVERTIBLE SECURITIES (4.7%)
	*Corporate Bonds (3.9%)*
			*Consumer Discretionary (0.8%)*
	193,000		American Axle & Manufacturing, Inc.µ 7.875%, 03/01/17		199,273
	198,000		Asbury Automotive Group, Inc.µ 7.625%, 03/15/17		203,197
	150,000		Cedar Fair, LPµ 9.125%, 08/01/18		167,063
	293,000		Cooper Tire & Rubber Companyµ 8.000%, 12/15/19		306,185
	308,000		Dana Holding Corp.µ 6.750%, 02/15/21		325,710
			DISH Network Corp.µ
	322,000		7.875%, 09/01/19		372,715
	270,000		7.125%, 02/01/16		297,675
	251,000		Express, LLCµ 8.750%, 03/01/18		277,355
	79,000		Gap, Inc. 5.950%, 04/12/21		75,919

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)


PRINCIPAL AMOUNT				VALUE

			Goodyear Tire & Rubber Companyµ
	236,000		8.250%, 08/15/20	$	257,830
	81,000		7.000%, 03/15/28		78,165
	186,000		Hanesbrands, Inc.‡ 4.146%, 12/15/14		186,930
	249,000		Hasbro, Inc.µ 6.600%, 07/15/28		277,385
	214,000		Icahn Enterprises, LP* 8.000%, 01/15/18		223,095
	80,000		Interpublic Group of Companies, Inc. 10.000%, 07/15/17		91,900
			J.C. Penney Company, Inc.
	134,000		6.375%, 10/15/36µ		115,910
	123,000		7.125%, 11/15/23µ		127,920
	64,000		7.650%, 08/15/16		70,800
			Jaguar Land Rover, PLC*
	154,000		7.750%, 05/15/18		153,615
	129,000		8.125%, 05/15/21		127,065
	325,000		Jarden Corp.µ 7.500%, 05/01/17		350,187
	236,000		Lear Corp. 8.125%, 03/15/20		264,615
	150,000		Liberty Media Corp.µ 8.250%, 02/01/30		148,500
			Limited Brands, Inc.µ
	129,000		7.600%, 07/15/37		128,839
	43,000		6.950%, 03/01/33		41,065
	116,000		Live Nation Entertainment, Inc.* 8.125%, 05/15/18		120,640
	155,000		Phillips-Van Heusen Corp. 7.375%, 05/15/20		172,050
			Royal Caribbean Cruises, Ltd.
	510,000		7.500%, 10/15/27µ		510,000
	43,000		7.000%, 06/15/13µ		45,580
	17,000		7.250%, 06/15/16		18,488
	43,000		Sally Holdings, LLC* 6.875%, 11/15/19		46,225
			Service Corp. International
	364,000		7.500%, 04/01/27µ		358,995
	86,000		7.000%, 05/15/19		93,310
	43,000		7.625%, 10/01/18µ		49,665
	54,000		Toll Brothers Finance Corp.† 5.875%, 02/15/22		55,350
	303,000		Vail Resorts, Inc. 6.500%, 05/01/19		313,605
	252,000		Wynn Las Vegas, LLC 7.750%, 08/15/20		286,020

					6,938,841

			*Consumer Staples (0.2%)*
	39,000		Constellation Brands, Inc. 8.375%, 12/15/14		44,265
	220,000		Darling International, Inc.µ 8.500%, 12/15/18		247,500

	129,000		Dean Foods Company 9.750%, 12/15/18	$	141,255
	199,000		Elizabeth Arden, Inc.µ 7.375%, 03/15/21		210,940
	282,000		JBS USA, LLCµ* 7.250%, 06/01/21		268,605
	317,000		Post Holdings, Inc.*† 7.375%, 02/15/22		328,888
	429,000		Smithfield Foods, Inc.µ 7.750%, 07/01/17		487,451

					1,728,904

			*Energy (1.0%)*
	1,093,000	NOK	Aker Solutions, ASA 8.700%, 06/26/14		202,011
			Arch Coal, Inc.µ
	279,000		8.750%, 08/01/16		305,505
	88,000		7.250%, 10/01/20		88,880
	51,000		Arch Western Finance, LLCµ 6.750%, 07/01/13		51,510
	116,000		Atwood Oceanics, Inc.µ 6.500%, 02/01/20		120,640
	248,000		Basic Energy Services, Inc.µ 7.750%, 02/15/19		253,580
			Berry Petroleum Companyµ
	286,000		8.250%, 11/01/16		299,585
	86,000		10.250%, 06/01/14		98,255
	322,000		Bill Barrett Corp.µ 7.625%, 10/01/19		329,245
	136,000		Brigham Exploration Company 8.750%, 10/01/18		169,966
	423,000		Bristow Group, Inc.µ 7.500%, 09/15/17		442,035
	364,000		Calfrac Holdings, LPµ* 7.500%, 12/01/20		358,540
	193,000		Calumet Specialty Products* 9.375%, 05/01/19		194,930
	386,000		Carrizo Oil & Gas, Inc.µ 8.625%, 10/15/18		389,860
	171,000		Chesapeake Energy Corp.µ 9.500%, 02/15/15		193,230
	300,000		Clayton Williams Energy, Inc.* 7.750%, 04/01/19		292,500
	377,000		Complete Production Services, Inc.µ 8.000%, 12/15/16		395,379
	195,000		Comstock Resources, Inc.µ 8.375%, 10/15/17		188,175
	232,000		Concho Resources, Inc.µ 8.625%, 10/01/17		257,520
	86,000		Continental Resources, Inc.µ 8.250%, 10/01/19		96,320

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)


PRINCIPAL AMOUNT			VALUE

		Frontier Oil Corp.
	311,000	8.500%, 09/15/16µ	$	334,325
	42,000	6.875%, 11/15/18		43,260
	201,000	GulfMark Offshore, Inc.µ 7.750%, 07/15/14		203,010
	354,000	Helix Energy Solutions Group, Inc.µ* 9.500%, 01/15/16		373,470
	131,000	HollyFrontier Corp.µ 9.875%, 06/15/17		146,720
	169,000	Hornbeck Offshore Services, Inc.µ 8.000%, 09/01/17		178,717
		Linn Energy, LLC
	214,000	8.625%, 04/15/20		238,610
	86,000	7.750%, 02/01/21		93,095
	43,000	6.500%, 05/15/19*		43,645
	214,000	Pioneer Drilling Company* 9.875%, 03/15/18		228,980
	257,000	Plains Exploration & Production Company 6.750%, 02/01/22		280,772
	193,000	Pride International, Inc.µ 8.500%, 06/15/19		246,764
	279,000	SEACOR Holdings, Inc.µ 7.375%, 10/01/19		297,512
		SESI, LLC
	326,000	6.875%, 06/01/14µ		329,260
	107,000	7.125%, 12/15/21*		116,363
		SM Energy Company
	187,000	6.625%, 02/15/19		197,285
	77,000	6.500%, 11/15/21*		81,043
		Swift Energy Company
	296,000	8.875%, 01/15/20µ		315,980
	103,000	7.125%, 06/01/17		103,515
	259,000	Trinidad Drilling, Ltd.µ* 7.875%, 01/15/19		275,835
	21,000	Unit Corp. 6.625%, 05/15/21		21,315
	407,000	W&T Offshore, Inc. 8.500%, 06/15/19		434,981
	76,000	Whiting Petroleum Corp. 6.500%, 10/01/18		81,130

				9,393,253

		*Financials (0.2%)*
	126,000	AON Corp.µ 8.205%, 01/01/27		149,150
	72,000	Chesapeake Oilfield Finance, Inc.* 6.625%, 11/15/19		72,720
		Leucadia National Corp.
	466,000	8.125%, 09/15/15µ		503,280
	82,000	7.125%, 03/15/17		85,075
	257,000	Nuveen Investments, Inc. 10.500%, 11/15/15		269,207
		OMEGA Healthcare Investors, Inc.
	165,000	7.500%, 02/15/20µ		179,850
	139,000	6.750%, 10/15/22~		148,035

				1,407,317


		*Health Care (0.4%)*
	9,000	AMERIGROUP Corp. 7.500%, 11/15/19	$	9,653
	86,000	Bio-Rad Laboratories, Inc.µ 8.000%, 09/15/16		95,675
	306,000	DaVita, Inc.µ 6.625%, 11/01/20		326,655
		Endo Pharmaceuticals Holdings, Inc.
	386,000	7.000%, 12/15/20		422,670
	64,000	7.000%, 07/15/19~		69,760
		Fresenius Med*
	129,000	6.500%, 09/15/18µ		138,998
	48,000	5.875%, 01/31/22		49,200
	541,000	Grifols SA 8.250%, 02/01/18		596,452
	129,000	HCA Holdings, Inc. 7.750%, 05/15/21		135,773
	195,000	Health Management Associates, Inc.* 7.375%, 01/15/20		201,337
		Mylan, Inc.*
	251,000	7.625%, 07/15/17µ		277,041
	139,000	7.875%, 07/15/20		154,985
	257,000	Teleflex, Inc. 6.875%, 06/01/19		276,275
		Valeant Pharmaceuticals International, Inc.*
	322,000	7.000%, 10/01/20µ		328,842
	150,000	7.250%, 07/15/22µ		152,625
	56,000	6.750%, 10/01/17		57,470
	418,000	Warner Chilcott Company, LLCµ 7.750%, 09/15/18		444,125

				3,737,536

		*Industrials (0.5%)*
	293,000	Abengoa, SAµ* 8.875%, 11/01/17		287,140
	279,000	BE Aerospace, Inc.µ 8.500%, 07/01/18		308,992
		Belden, Inc.
	279,000	9.250%, 06/15/19		299,925
	86,000	7.000%, 03/15/17		88,580
	169,000	Boart Longyear Management Pty., Ltd.µ* 7.000%, 04/01/21		177,450
	129,000	Clean Harbors, Inc.µ 7.625%, 08/15/16		137,385
		Deluxe Corp.
	259,000	7.375%, 06/01/15µ		267,418
	257,000	7.000%, 03/15/19*		254,430
	207,000	Dycom Investments, Inc.µ 7.125%, 01/15/21		211,140
	43,000	Esterline Technologies Corp.µ 7.000%, 08/01/20		47,193
		FTI Consulting, Inc.µ
	182,000	7.750%, 10/01/16		190,190
	161,000	6.750%, 10/01/20		171,868

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)


PRINCIPAL AMOUNT				VALUE

	80,000		H&E Equipment Services, Inc. 8.375%, 07/15/16	$	82,800
	234,000		Interline Brands, Inc.µ 7.000%, 11/15/18		246,870
	86,000	GBP	Iron Mountain, Inc.* 7.250%, 04/15/14		136,196
	150,000		Manitowoc Company, Inc.µ 8.500%, 11/01/20		164,250
	129,000		Mobile Mini, Inc. 7.875%, 12/01/20		133,676
	30,000		Navistar International Corp. 8.250%, 11/01/21		32,550
	183,000		Polypore International, Inc. 7.500%, 11/15/17		193,065
	214,000		Sensata Technologies Holding, B.V.µ* 6.500%, 05/15/19		219,350
	407,000		Spirit AeroSystems Holdings, Inc.µ 7.500%, 10/01/17		445,665
	343,000		Terex Corp.µ 8.000%, 11/15/17		348,145
	84,000		TransDigm Group, Inc. 7.750%, 12/15/18		92,400
			Triumph Group, Inc.
	279,000		8.625%, 07/15/18		312,480
	40,000		8.000%, 11/15/17		43,600
	86,000		WESCO Distribution, Inc. 7.500%, 10/15/17		88,150

					4,980,908

			*Information Technology (0.3%)*
			Amkor Technology, Inc.
	236,000		7.375%, 05/01/18µ		254,585
	40,000		6.625%, 06/01/21		40,800
	322,000		Audatex North America, Inc.µ* 6.750%, 06/15/18		329,245
	343,000		EH Holding Corp.µ* 7.625%, 06/15/21		363,580
			Equinix, Inc.
	279,000		7.000%, 07/15/21µ		303,412
	111,000		8.125%, 03/01/18		123,765
	133,000		Fidelity National Information Services, Inc.µ 7.875%, 07/15/20		150,290
	40,000		Hynix Semiconductor, Inc.* 7.875%, 06/27/17		42,000
	407,000		iGATE Corp. 9.000%, 05/01/16		434,472
	342,000		Sanmina-SCI Corp.µ* 7.000%, 05/15/19		348,840
			Seagate Technology
	247,000		7.000%, 11/01/21*		265,525
	182,000		6.875%, 05/01/20		195,650
	75,000		7.750%, 12/15/18		83,438

	167,000		ViaSat, Inc. 8.875%, 09/15/16	$	172,845

					3,108,447

			*Materials (0.3%)*
	90,000		Airgas, Inc.µ 7.125%, 10/01/18		98,263
	161,000		Allegheny Ludlum Corp.µ 6.950%, 12/15/25		185,483
	237,000		Clearwater Paper Corp.µ 7.125%, 11/01/18		251,813
	600,000		FMG Resources* 8.250%, 11/01/19		646,500
	295,000		Greif, Inc.µ 7.750%, 08/01/19		327,450
	46,000		Kraton Polymers, LLC 6.750%, 03/01/19		45,770
			Sealed Air Corp.
	194,000		8.125%, 09/15/19µ*		215,825
	150,000		7.875%, 06/15/17		159,715
	190,000		Silgan Holdings, Inc.µ 7.250%, 08/15/16		205,675
			Steel Dynamics, Inc.
	405,000		7.750%, 04/15/16µ		425,250
	74,000		7.625%, 03/15/20		82,325
	208,000		Union Carbide Corp.µ 7.875%, 04/01/23		251,121

					2,895,190

			*Telecommunication Services (0.1%)*
	259,000		CenturyLink, Inc.µ 6.875%, 01/15/28		251,436
	234,000		MetroPCS Wireless, Inc.µ 7.875%, 09/01/18		248,040
	300,000		Qwest Communications International, Inc.µ 7.750%, 02/15/31		305,674

					805,150

			*Utilities (0.1%)*
	129,000		AES Corp.µ* 7.375%, 07/01/21		143,190
	397,000		AmeriGas Finance Corp. 7.000%, 05/20/22		398,985
			Calpine Corp.*
	225,000		7.875%, 07/31/20µ		243,562
	118,000		7.875%, 01/15/23µ		127,145
	70,000		7.500%, 02/15/21		74,900
			NRG Energy, Inc.*
	257,000		7.875%, 05/15/21µ		245,435
	43,000		7.625%, 05/15/19~		41,280

					1,274,497

			TOTAL CORPORATE BONDS		36,270,043

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)


PRINCIPAL AMOUNT				VALUE

	*U.S. Government and Agency Securities (0.0%)*
			United States Treasury Note~
	182,000		1.000%, 03/31/12	$	182,299
	86,000		0.375%, 09/30/12		86,161

			TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES		268,460

	*Sovereign Bonds (0.1%)*
			Federative Republic of Brazil
	103,000	BRL	10.000%, 01/01/14		593,850
	28,000	BRL	10.000%, 01/01/13		162,169

			TOTAL SOVEREIGN BONDS		756,019

NUMBER OF CONTRACTS				VALUE
	*Purchased Options (0.7%)#*
			*Consumer Discretionary (0.1%)*
	130		Priceline.com, Inc. Call, 01/19/13, Strike $520.00		1,058,850

			*Information Technology (0.6%)*
	315		Apple, Inc. Call, 01/19/13, Strike $395.00		2,757,038
	3,150		EMC Corp. Call, 01/19/13, Strike $25.00		1,000,125
	2,000		Oracle Corp. Call, 01/19/13, Strike $30.00		497,000
	1,500		QUALCOMM, Inc. Call, 01/19/13, Strike $55.00		1,267,500

					5,521,663

			TOTAL PURCHASED OPTIONS		6,580,513

			TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $42,408,651)		43,875,035

NUMBER OF SHARES				VALUE
	CONVERTIBLE PREFERRED STOCKS (11.5%)
			*Consumer Staples (1.0%)*
	90,600		Bunge, Ltd.µ 4.875%		8,618,325

			*Energy (3.3%)*
	325,000		Apache Corp. 6.000%		18,664,750
	12,451		Chesapeake Energy Corp.µ* 5.750%		12,080,845

					30,745,595

			*Financials (4.0%)*
	310,000		Affiliated Managers Group, Inc.µ 5.150%		12,884,375

	168,000		MetLife, Inc.µ 5.000%	$	11,509,680
	11,600		Wells Fargo & Companyµ 7.500%		12,702,000

					37,096,055

			*Industrials (0.6%)*
	46,760		Stanley Black & Decker, Inc.µ 4.750%		5,526,564

			*Materials (1.3%)*
	158,810		Vale, SAµ 6.750%		12,252,192

			*Utilities (1.3%)*
	229,650		NextEra Energy, Inc.µ 7.000%		12,142,744

			TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $106,935,551)		106,381,475

	COMMON STOCKS (2.5%)
			*Financials (0.0%)*
	17,300		American International Group, Inc.#		434,403

			*Health Care (1.3%)*
	311,671		Merck & Company, Inc.µ		11,924,532

			*Information Technology (1.2%)*
	148,300		Autodesk, Inc.#		5,338,800
	223,100		EMC Corp.#		5,747,056

					11,085,856

			TOTAL COMMON STOCKS (Cost $24,070,908)		23,444,791

	SHORT TERM INVESTMENT (6.9%)
	63,881,797		Fidelity Prime Money Market Fund - Institutional Class (Cost $63,881,797)		63,881,797

	TOTAL INVESTMENTS (133.3%) (Cost $1,187,691,938)				1,237,312,796

	LIABILITIES, LESS OTHER ASSETS (-33.3%)				(309,364,904	)

	NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)			$	927,947,892

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2012 (UNAUDITED)

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 $813,196,854. $303,049,723 of the collateral has been re-registered by the counterparty.
‡		Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2012.
*		Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements. At January 31, 2012, the value of 144A securities that could not be exchanged to the registered form is $149,850,755 or 16.1% of net assets applicable to common shareholders.
†		Security or a portion of the security purchased on a delayed delivery or when-issued basis.
~		Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for swaps and written options. The aggregate value of such securities is $8,348,175.
§		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.

FOREIGN CURRENCY ABBREVIATIONS


BRL		Brazilian Real
GBP		British Pound Sterling
NOK		Norwegian Krone

Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.

See accompanying Notes to Schedule of Investments

Calamos Convertible and High Income Fund

INTEREST RATE SWAPS


Counterparty	Fixed Rate (Fund Pays)	Floating Rate (Fund Receives)	Termination Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
BNP Paribas, SA	2.4300% quarterly	3 month LIBOR	04/14/14	$	115,000,000	$	(4,977,068	)
BNP Paribas, SA	1.8650% quarterly	3 month LIBOR	04/14/12		75,000,000		(245,080	)
BNP Paribas, SA	1.8525% quarterly	3 month LIBOR	09/14/12		53,000,000		(553,367	)

						$	(5,775,515	)

See accompanying Notes to Schedule of Investments

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 investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

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

When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.

If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities

and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.

When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.

Investment Transactions. Investment transactions are recorded on a trade date basis as of January 31, 2012.

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

Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.

Forward Foreign Currency Contracts. The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to the Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. There were no open forward foreign currency contracts at January 31, 2012.

NOTE 2 — INVESTMENTS

The following information is presented on a federal income tax basis as of January 31, 2012. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.

The cost basis of investments for federal income tax purposes at January 31, 2012 was as follows:


Cost basis of investments	$	1,223,544,828

Gross unrealized appreciation		54,992,624
Gross unrealized depreciation		(41,224,656	)

Net unrealized appreciation (depreciation)	$	13,767,968

NOTE 3 — BORROWINGS

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “Agreement”) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) (“BNP”) that allows the Fund to borrow up to $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 January 31, 2012, the average borrowings and the average interest rate were $314,000,000 and 1.20%, respectively. As of January 31, 2012, the amount of such outstanding borrowings was $314,000,000. The interest rate applicable to the borrowings on January 31, 2012 was 1.20%.

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 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 4 — INTEREST RATE SWAPS

The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.

NOTE 5 — SYNTHETIC CONVERTIBLE SECURITIES

The Fund may establish a “synthetic” convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities (“fixed-income component”), which may be a convertible or non-convertible security and the right to acquire equity securities (“convertible component”). The fixed-income component is achieved by investing in fixed income securities such as bonds, preferred stocks, and money market instruments. The convertible component is achieved by investing in warrants or purchased options to buy common stock at a certain exercise price, or options on a stock index. In establishing a synthetic instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or purchased options that produce the economic characteristics similar to a convertible security. Within each basket of fixed-income securities and warrants or options, different companies may issue the fixed-income and convertible components, which may be purchased separately and at different times.

The Fund may also purchase synthetic securities created by other parties, typically investment banks, including convertible structured notes. Convertible structured notes are fixed-income debentures linked to equity. Convertible structured notes have the attributes of a convertible security; however, the investment bank that issued the convertible note assumes the credit risk associated with the investment, rather than the issuer of the underlying common stock into which the note is convertible. Purchasing synthetic convertible securities may offer more flexibility than purchasing a convertible security.

NOTE 6 — 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 7 — FAIR VALUE MEASUREMENTS

Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:

•

Level 1 — Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

•

Level 2 — Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

•

Level 3 — Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Funds’ investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.

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


	Level 1		Level 2		Level 3		Total

Assets:
Corporate Bonds	$	—	$	809,613,997	$	—	$	809,613,997
Convertible Bonds				167,277,533				167,277,533
U.S. Government and Agency Securities				5,992,264				5,992,264
Sovereign Bonds				16,845,904				16,845,904
Synthetic Convertible Securities (Corporate Bonds)				36,270,043				36,270,043
Synthetic Convertible Securities (U.S. Government and Agency Securities)				268,460				268,460
Synthetic Convertible Securities (Sovereign Bonds)				756,019				756,019
Synthetic Convertible Securities (Purchased Options)		6,580,513						6,580,513
Convertible Preferred Stocks		60,655,186		45,726,289				106,381,475
Common Stocks		23,444,791						23,444,791
Short Term Investment		63,881,797						63,881,797

Total	$	154,562,287	$	1,082,750,509	$	—	$	1,237,312,796


Liabilities:
Interest Rate Swaps	$	—	$	5,775,515	$	—	$	5,775,515

Total	$	—	$	5,775,515	$	—	$	5,775,515

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 22, 2012

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 22, 2012

By:		/s/ Nimish S. Bhatt
Name:		Nimish S. Bhatt
Title:		Principal Financial Officer
Date:		March 22, 2012