nvq
 

 
 
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, 2007
DATE OF REPORTING PERIOD:   July 31, 2007
 
 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS July 31, 2007 (UNAUDITED)
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
Corporate Bonds (75.3%)        
       
Consumer Discretionary (23.2%)
        
$ 4,267,000    
Asbury Automotive Group, Inc.*
       
       
7.625%, 03/15/17
   $ 3,946,975  
       
Beazer Homes USA, Inc.
        
  9,226,000    
8.375%, 04/15/12
     7,749,840  
  6,458,000    
8.125%, 06/15/16^
     5,392,430  
  3,921,000    
Broder Bros. Company
       
       
11.250%, 10/15/10
     3,793,567  
  4,613,000    
DEX Media, Inc.
       
       
8.000%, 11/15/13
     4,543,805  
  14,162,000    
DIRECTV Financing Company, Inc.
       
       
8.375%, 03/15/13
     14,409,835  
  5,813,000    
EchoStar DBS Corp.
       
       
7.125%, 02/01/16
     5,522,350  
  11,174,000    
EMI Group, PLC
       
       
9.750%, 05/20/08
     23,206,163  
  11,072,000    
Expedia, Inc.
       
       
7.456%, 08/15/18
     10,833,808  
       
Ford Motor Company
        
  7,381,000    
8.625%, 11/01/10
     7,177,963  
  5,766,000    
9.875%, 08/10/11
     5,843,605  
  6,251,000    
GameStop Corp.
       
       
8.000%, 10/01/12
     6,352,579  
  3,691,000    
General Motors Acceptance Corp.
        
       
6.875%, 09/15/11
     3,435,247  
       
General Motors Corp.^
        
  5,997,000    
7.200%, 01/15/11
     5,412,292  
  4,429,000    
7.125%, 07/15/13
     3,775,723  
       
Goodyear Tire & Rubber Company
        
  6,458,000    
7.857%, 08/15/11
     6,425,710  
  4,613,000    
7.000%, 03/15/28
     3,990,245  
  3,229,000    
Group 1 Automotive, Inc.
        
       
8.250%, 08/15/13
     3,261,290  
  6,689,000    
Hanes Brands, Inc.^‡
        
       
8.784%, 12/15/14
     6,588,665  
  8,580,000    
Hasbro, Inc.
        
       
6.600%, 07/15/28
     8,273,617  
  7,381,000    
Hovnanian Enterprises, Inc.^
        
       
8.625%, 01/15/17
     6,126,230  
  5,536,000    
Idearc, Inc.
        
       
8.000%, 11/15/16
     5,273,040  
  4,613,000    
Interpublic Group of Companies, Inc.
        
       
7.250%, 08/15/11
     4,555,337  
       
J.C. Penney Company, Inc.
        
  1,845,000    
9.000%, 08/01/12
     2,082,939  
  1,384,000    
7.650%, 08/15/16
     1,501,745  
  2,749,000    
Jarden Corp.
        
       
7.500%, 05/01/17
     2,487,845  
  2,962,000    
Kellwood Company
        
       
7.625%, 10/15/17
     2,903,024  
  4,613,000    
Landry’s Restaurants, Inc.
        
       
7.500%, 12/15/14
     4,474,610  
  3,229,000    
Liberty Media Corp.
        
       
8.250%, 02/01/30
     3,094,764  
                 
Principal            
Amount         Value  
 
       
 
        
$ 3,621,000    
Mandalay Resort Group
        
       
7.625%, 07/15/13
   $ 3,267,953  
  1,384,000    
NCL Holding, ASA
        
       
10.625%, 07/15/14
     1,273,280  
  10,913,000    
Oxford Industries, Inc.
        
       
8.875%, 06/01/11
     11,076,695  
  876,000    
Phillips-Van Heusen Corp.^
        
       
8.125%, 05/01/13
     889,140  
  923,000    
Pinnacle Entertainment, Inc.
        
       
8.250%, 03/15/12
     936,845  
  2,768,000    
Rent-A-Center, Inc.
        
       
7.500%, 05/01/10
     2,705,720  
  10,979,000    
Royal Caribbean Cruises, Ltd.^
        
       
7.500%, 10/15/27
     9,763,998  
  7,842,000    
Service Corporation International*
        
       
7.500%, 04/01/27
     7,018,590  
  7,935,000    
Vail Resorts, Inc.
        
       
6.750%, 02/15/14
     7,716,787  
  6,458,000    
Warnaco Group, Inc.
        
       
8.875%, 06/15/13
     6,813,190  
       
Warner Music Group
        
  1,845,000    
8.125%, 04/15/14
     3,653,695  
  1,845,000    
7.375%, 04/15/14
     1,660,500  
  2,768,000    
WCI Communities, Inc.
        
       
6.625%, 03/15/15
     2,145,200  
       
 
      
       
 
     231,356,836  
       
 
      
       
Consumer Staples (8.0%)
        
  4,964,000    
Alliance One International, Inc.^*
        
       
8.500%, 05/15/12
     4,914,360  
  1,845,000    
Central Garden & Pet Company
        
       
9.125%, 02/01/13
     1,803,488  
  5,074,000    
Chattem, Inc.^
        
       
7.000%, 03/01/14
     4,794,930  
  5,766,000    
Chiquita Brands International, Inc.^
        
       
8.875%, 12/01/15
     4,987,590  
  1,698,000    
Constellation Brands, Inc.^
        
       
7.250%, 09/01/16
     1,604,610  
  5,217,000    
Del Monte Foods Company
        
       
8.625%, 12/15/12
     5,269,170  
  9,688,000    
Dole Food Company, Inc.
        
       
7.250%, 06/15/10
     8,937,180  
  4,152,000    
NBTY, Inc.
        
       
7.125%, 10/01/15
     4,048,200  
       
Pilgrim’s Pride Corp.
        
  7,335,000    
8.375%, 05/01/17^
     7,004,925  
  2,353,000    
7.625%, 05/01/15
     2,282,410  
  5,905,000    
Playtex Products, Inc.
        
       
8.000%, 03/01/11
     6,126,437  
       
Reynolds American, Inc.
        
  5,997,000    
7.300%, 07/15/15
     6,100,928  
  3,691,000    
7.625%, 06/01/16
     3,828,549  
  3,691,000    
7.250%, 06/15/37
     3,765,292  
       
Smithfield Foods, Inc.
        
  9,226,000    
7.750%, 07/01/17^
     8,949,220  
  1,845,000    
7.750%, 05/15/13
     1,826,550  
  3,644,000    
SUPERVALU, Inc.
        
       
7.500%, 11/15/14
     3,498,240  
       
 
      
       
 
     79,742,079  
       
 
      
See accompanying Notes to Schedule of Investments

1

 

CALAMOS CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
       
Energy (8.4%)
        
$ 8,304,000    
Arch Western Financial, LLC
        
       
6.750%, 07/01/13
   $ 7,598,160  
       
Chesapeake Energy Corp.
        
  3,691,000    
6.875%, 01/15/16
     3,534,133  
  1,845,000    
7.750%, 01/15/15
     1,872,675  
  2,768,000    
Dresser-Rand Group, Inc.
        
       
7.375%, 11/01/14
     2,671,120  
  4,613,000    
Forest Oil Corp.
        
       
8.000%, 12/15/11
     4,670,662  
  1,845,000    
GulfMark Offshore, Inc.
        
       
7.750%, 07/15/14
     1,817,325  
  3,229,000    
Hanover Compressor Company
        
       
9.000%, 06/01/14
     3,576,118  
  2,699,000    
Mariner Energy, Inc.
        
       
8.000%, 05/15/17
     2,550,555  
  6,366,000    
Petrohawk Energy Corp.
        
       
7.125%, 04/01/12
     6,270,510  
       
Petróleo Brasileiro, SA
        
  6,920,000    
8.375%, 12/10/18
     7,767,700  
  4,613,000    
9.125%, 07/02/13
     5,131,962  
  16,146,000    
Premcor Refining Group, Inc.
        
       
7.500%, 06/15/15
     16,680,287  
  5,167,000    
Superior Energy Services, Inc.
        
       
6.875%, 06/01/14
     4,831,145  
  2,768,000    
Swift Energy Company
        
       
7.625%, 07/15/11
     2,740,320  
  5,997,000    
Whiting Petroleum Corp.
        
       
7.250%, 05/01/12
     5,697,150  
  6,412,000    
Williams Companies, Inc.
        
       
7.750%, 06/15/31
     6,500,165  
       
 
      
       
 
     83,909,987  
       
 
      
       
Financials (4.4%)
        
       
E*TRADE Financial Corp.
        
  7,012,000    
7.375%, 09/15/13
     7,082,120  
  5,328,000    
7.875%, 12/01/15
     5,514,480  
  1,292,000    
8.000%, 06/15/11
     1,324,300  
  10,149,000    
Host Hotels & Resorts, Inc.
        
       
7.125%, 11/01/13
     9,920,647  
  11,325,000    
Leucadia National Corp.
        
       
7.000%, 08/15/13
     10,702,125  
  876,000    
Omega Healthcare Investors, Inc.
        
       
7.000%, 04/01/14
     840,960  
       
Senior Housing Properties Trust
        
  4,613,000    
8.625%, 01/15/12
     4,843,650  
  3,260,000    
7.875%, 04/15/15
     3,325,950  
       
 
      
       
 
     43,554,232  
       
 
      
       
Health Care (3.9%)
        
  4,613,000    
Angiotech Pharmaceuticals, Inc.^
        
       
7.750%, 04/01/14
     4,232,428  
  1,845,000    
Bio-Rad Laboratories, Inc.
        
       
7.500%, 08/15/13
     1,826,550  
  6,920,000    
Community Health Systems, Inc.*
        
       
8.875%, 07/15/15
     6,755,650  
  830,000    
DaVita, Inc.
        
       
7.250%, 03/15/15
     790,575  
                 
Principal            
Amount         Value  
 
       
 
        
       
Psychiatric Solutions, Inc.
        
$ 5,241,000    
7.750%, 07/15/15
   $ 5,005,155  
  1,541,000    
7.750%, 07/15/15*
     1,471,655  
  9,319,000    
Tenet Healthcare Corp.
        
       
9.250%, 02/01/15
     8,014,340  
  4,936,000    
Valeant Pharmaceuticals International
        
       
7.000%, 12/15/11
     4,713,880  
  6,458,000    
Vanguard Health Systems, Inc.
        
       
9.000%, 10/01/14
     6,038,230  
       
 
      
       
 
     38,848,463  
       
 
      
       
Industrials (7.7%)
        
  5,536,000    
American Airlines, Inc.
        
       
7.250%, 02/05/09
     5,452,960  
  14,762,000    
CNH Global, NV
        
       
9.250%, 08/01/11
     15,514,862  
  15,223,000    
Esterline Technologies Corp.^
        
       
7.750%, 06/15/13
     15,299,115  
  923,000    
FTI Consulting, Inc.
        
       
7.625%, 06/15/13
     913,770  
  3,229,000    
Gardner Denver, Inc.
        
       
8.000%, 05/01/13
     3,284,962  
  1,384,000    
GATX Corp.
        
       
8.875%, 06/01/09
     1,465,444  
  1,725,000    
H&E Equipment Service, Inc.
        
       
8.375%, 07/15/16
     1,768,125  
       
IKON Office Solutions, Inc.
        
  2,307,000    
7.750%, 09/15/15^
     2,272,395  
  1,845,000    
6.750%, 12/01/25
     1,567,805  
  5,444,000    
Interline Brands, Inc.
        
       
8.125%, 06/15/14
     5,416,780  
  4,010,000    
Manitowoc Company, Inc.
        
       
10.500%, 08/01/12
     4,210,500  
       
Sequa Corp.
        
  6,458,000    
8.875%, 04/01/08
     6,587,160  
  1,845,000    
9.000%, 08/01/09
     1,928,025  
  1,748,000    
Terex Corp.
        
       
7.375%, 01/15/14
     1,721,780  
  2,076,000    
Trinity Industries, Inc.
        
       
6.500%, 03/15/14
     1,982,580  
  1,845,000    
WESCO Distribution, Inc.
        
       
7.500%, 10/15/17
     1,761,975  
  3,691,000    
Westinghouse Air Brake
        
       
Technologies Corp.
        
       
6.875%, 07/31/13
     3,598,725  
  2,307,000    
Williams Scotsman International, Inc.
        
       
8.500%, 10/01/15
     2,491,560  
       
 
      
       
 
     77,238,523  
       
 
      
       
Information Technology (7.1%)
        
  6,250,000    
Advanced Micro Devices, Inc.^
        
       
7.750%, 11/01/12
     5,515,625  
       
Amkor Tech, Inc.
        
  5,074,000    
9.250%, 06/01/16
     4,896,410  
  2,768,000    
7.750%, 05/15/13
     2,536,180  
  2,528,000    
Arrow Electronics, Inc.
        
       
6.875%, 06/01/18
     2,572,068  
See accompanying Notes to Schedule of Investments

2

 

CALAMOS CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
$ 830,000    
Avago Technologies^
        
       
11.875%, 12/01/15
   $ 913,000  
       
Celestica, Inc.^
        
  7,842,000    
7.625%, 07/01/13
     7,097,010  
  3,691,000    
7.875%, 07/01/11
     3,478,768  
  1,845,000    
Flextronics International, Ltd.
        
       
6.500%, 05/15/13
     1,706,625  
  6,689,000    
Freescale Semiconductor, Inc.*
        
       
8.875%, 12/15/14
     6,053,545  
  1,845,000    
Iron Mountain, Inc.*
        
       
7.250%, 04/15/14
     3,644,327  
  4,613,000    
NXP, BV^
        
       
7.875%, 10/15/14
     4,197,830  
  8,765,000    
SunGard Data Systems, Inc.
        
       
9.125%, 08/15/13
     8,743,088  
  18,914,000    
Xerox Corp.
        
       
7.625%, 06/15/13
     19,488,361  
       
 
      
       
 
     70,842,837  
       
 
      
       
Materials (6.5%)
        
  4,613,000    
Ball Corp.
        
       
6.875%, 12/15/12
     4,589,935  
  3,691,000    
Boise Cascade Company
        
       
7.125%, 10/15/14
     3,414,175  
  923,000    
Crown Holdings, Inc.
        
       
7.750%, 11/15/15
     913,770  
  8,774,000    
Equistar Chemicals, LP
        
       
10.625%, 05/01/11
     9,212,700  
  830,000    
Gibraltar Industries, Inc.
        
       
8.000%, 12/01/15
     792,650  
       
Ineos Group Holdings, PLC*
        
  5,536,000    
7.875%, 02/15/16
     6,636,786  
  923,000    
8.500%, 02/15/16^
     835,315  
  3,183,000    
Mosaic Company*
        
       
7.625%, 12/01/16
     3,214,830  
  8,304,000    
Neenah Paper, Inc.
        
       
7.375%, 11/15/14
     7,847,280  
  2,307,000    
P.H. Glatfelter Company
        
       
7.125%, 05/01/16
     2,283,930  
  1,623,000    
Polyone Corp.
        
       
10.625%, 05/15/10
     1,708,208  
  4,613,000    
Sealed Air Corp.*
        
       
6.875%, 07/15/33
     4,525,284  
  6,920,000    
Terra Industries, Inc.
        
       
7.000%, 02/01/17
     6,574,000  
  1,845,000    
Texas Industries, Inc.
        
       
7.250%, 07/15/13
     1,835,775  
       
Union Carbide Corp.
        
  4,475,000    
7.875%, 04/01/23
     4,586,427  
  2,999,000    
7.500%, 06/01/25
     2,969,910  
  3,414,000    
Westlake Chemical Corp.
        
       
6.625%, 01/15/16
     3,140,880  
       
 
      
       
 
     65,081,855  
       
 
      
       
Telecommunication Services (4.1%)
        
  5,536,000    
AT&T Corp.
        
       
8.000%, 11/15/31
     6,618,620  
  5,573,000    
CenturyTel, Inc.
        
       
6.875%, 01/15/28
     5,408,725  
                 
Principal            
Amount         Value  
 
       
 
        
$ 7,566,000    
Citizens Communications Company
        
       
9.000%, 08/15/31
   $ 7,074,210  
  6,458,000    
Leap Wireless International, Inc.
        
       
9.375%, 11/01/14
     6,401,492  
  6,458,000    
Qwest Communications
        
       
International, Inc.^
        
       
7.750%, 02/15/31
     5,424,720  
  6,458,000    
Sprint Nextel Corp.
        
       
7.375%, 08/01/15
     6,269,562  
  4,152,000    
Syniverse Technologies, Inc.
        
       
7.750%, 08/15/13
     3,840,600  
       
 
      
       
 
     41,037,929  
       
 
      
       
Utilities (2.0%)
        
  923,000    
NRG Energy, Inc.
        
       
7.375%, 02/01/16
     893,002  
  1,947,000    
Public Service Enterprise Group, Inc.
        
       
8.625%, 02/15/08
     1,978,518  
  11,625,000    
Teco Energy, Inc.
        
       
7.500%, 06/15/10
     12,000,918  
  6,458,000    
TXU Corp.^
        
       
6.500%, 11/15/24
     5,088,898  
       
 
      
       
 
     19,961,336  
       
 
      
       
TOTAL CORPORATE BONDS
        
       
(Cost $768,381,459)
     751,574,077  
       
 
      
 
Convertible Bonds (30.9%)        
       
Consumer Discretionary (4.7%)
        
  13,000,000    
Amazon.com, Inc.
        
       
4.750%, 02/01/09
     14,007,500  
       
Liberty Media Corp. (Sprint Corporation PCS)∞
        
  4,142,000    
3.750%, 02/15/30
     2,568,040  
  1,974,000    
4.000%, 11/15/29
     1,317,645  
  2,320,000    
Liberty Media Corp. (Time Warner)∞
        
       
3.250%, 03/15/31
     1,919,800  
  6,750,000    
Punch Taverns Redwood Jersey Company Ltd.
        
       
5.000%, 12/14/10
     16,366,499  
  9,000,000    
Walt Disney Company^
        
       
2.125%, 04/15/23
     10,507,500  
       
 
      
       
 
     46,686,984  
       
 
      
       
Financials (1.5%)
        
  14,500,000    
Prudential Financial, Inc.^‡
        
       
2.960%, 12/12/36
     14,569,165  
       
 
      
 
       
Health Care (3.3%)
        
  7,000,000    
Invitrogen Corp.
        
       
3.250%, 06/15/25
     7,070,000  
  10,750,000    
LifePoint Hospitals, Inc.
        
       
3.500%, 05/15/14
     9,473,438  
  7,000,000    
Millipore Corp.^
        
       
3.750%, 06/01/26
     7,665,000  
  8,000,000    
Wyeth^‡
        
       
4.886%, 01/15/24
     8,534,400  
       
 
      
       
 
     32,742,838  
       
 
      
See accompanying Notes to Schedule of Investments

3

 

CALAMOS CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
       
Industrials (5.3%)
        
$ 3,000,000    
EDO Corp.
        
       
4.000%, 11/15/25
   $ 3,487,500  
  5,000,000    
FTI Consulting, Inc.
        
       
3.750%, 07/15/12
     7,475,000  
  13,500,000    
L-3 Communications Holdings, Inc.^
        
       
3.000%, 08/01/35
     15,153,750  
  6,400,000    
Lockheed Martin Corp.‡
        
       
5.110%, 08/15/33
     9,014,400  
  5,500,000    
Quanta Services, Inc.*^
        
       
3.750%, 04/30/26
     7,748,125  
  13,000,000    
Roper Industries, Inc.
        
       
1.481%, 01/15/34
     9,880,000  
       
 
      
       
 
     52,758,775  
       
 
      
       
Information Technology (11.8%)
        
  7,000,000    
Andrew Corp.
        
       
3.250%, 08/15/13
     7,420,000  
  2,500,000    
ASM International NV
        
       
4.250%, 12/06/11
     3,497,250  
  10,000,000    
Blackboard, Inc.
        
       
3.250%, 07/01/27
     10,712,500  
  20,500,000    
Electronic Data Systems Corp.^
        
       
3.875%, 07/15/23
     21,012,500  
  11,000,000    
Informatica Corp.
        
       
3.000%, 03/15/26
     10,807,500  
  32,000,000    
Intel Corp.^
        
       
2.950%, 12/15/35
     31,240,000  
       
Linear Technology Corp.
        
  18,000,000    
3.000%, 05/01/27*
     18,270,000  
  3,000,000    
3.000%, 05/01/27
     3,045,000  
  12,000,000    
Vishay Intertechnology, Inc.
        
       
3.625%, 08/01/23
     12,210,000  
       
 
      
       
 
     118,214,750  
       
 
      
       
Telecommunication Services (1.4%)
        
  14,250,000    
NII Holdings, Inc.*
        
       
3.125%, 06/15/12
     14,356,875  
       
 
      
 
       
Utilities (2.9%)
        
  6,500,000    
CenterPoint Energy, Inc.
        
       
3.750%, 05/15/23
     9,595,625  
  4,500,000    
International Power, PLC
        
       
3.250%, 07/20/13
     7,785,244  
  3,500,000    
Scottish & Southern Energy, PLC
        
       
3.750%, 10/29/09
     11,316,155  
       
 
      
       
 
     28,697,024  
       
 
      
       
TOTAL CONVERTIBLE BONDS
        
       
(Cost $292,612,321)
     308,026,411  
       
 
      
       
 
        
Synthetic Convertible Securities (7.4%)        
Corporate Bonds (6.3%)        
       
 
        
       
Consumer Discretionary (1.9%)
        
  358,000    
Asbury Automotive Group, Inc.*
        
       
7.625%, 03/15/17
     331,150  
       
Beazer Homes USA, Inc.
        
  774,000    
8.375%, 04/15/12
     650,160  
  542,000    
8.125%, 06/15/16^
     452,570  
                 
Principal            
Amount         Value  
 
       
 
        
$ 329,000    
Broder Bros. Company
        
       
11.250%, 10/15/10
   $ 318,307  
  387,000    
DEX Media, Inc.
        
       
8.000%, 11/15/13
     381,195  
  1,188,000    
DIRECTV Financing Company, Inc.
        
       
8.375%, 03/15/13
     1,208,790  
  487,000    
EchoStar DBS Corp.
        
       
7.125%, 02/01/16
     462,650  
  937,000    
EMI Group, PLC
        
       
9.750%, 05/20/08
     1,945,962  
  928,000    
Expedia, Inc.
        
       
7.456%, 08/15/18
     908,036  
       
Ford Motor Company
        
  619,000    
8.625%, 11/01/10
     601,973  
  484,000    
9.875%, 08/10/11
     490,514  
  524,000    
GameStop Corp.
        
       
8.000%, 10/01/12
     532,515  
  309,000    
General Motors Acceptance Corp.
        
       
6.875%, 09/15/11
     287,589  
       
General Motors Corp.^
        
  503,000    
7.200%, 01/15/11
     453,957  
  371,000    
7.125%, 07/15/13
     316,278  
       
Goodyear Tire & Rubber Company
        
  542,000    
7.857%, 08/15/11
     539,290  
  387,000    
7.000%, 03/15/28
     334,755  
  271,000    
Group 1 Automotive, Inc.
        
       
8.250%, 08/15/13
     273,710  
  561,000    
Hanes Brands, Inc.^‡
        
       
8.784%, 12/15/14
     552,585  
  720,000    
Hasbro, Inc.
        
       
6.600%, 07/15/28
     694,290  
  619,000    
Hovnanian Enterprises, Inc.^
        
       
8.625%, 01/15/17
     513,770  
  464,000    
Idearc, Inc.
        
       
8.000%, 11/15/16
     441,960  
  387,000    
Interpublic Group of Companies, Inc.
        
       
7.250%, 08/15/11
     382,162  
       
J.C. Penney Company, Inc.
        
  155,000    
9.000%, 08/01/12
     174,989  
  116,000    
7.650%, 08/15/16
     125,869  
  231,000    
Jarden Corp.
        
       
7.500%, 05/01/17
     209,055  
  248,000    
Kellwood Company
        
       
7.625%, 10/15/17
     243,062  
  387,000    
Landry’s Restaurants, Inc.
        
       
7.500%, 12/15/14
     375,390  
  271,000    
Liberty Media Corp.
        
       
8.250%, 02/01/30
     259,734  
  304,000    
Mandalay Resort Group
        
       
7.625%, 07/15/13
     274,360  
  116,000    
NCL Holding, ASA
        
       
10.625%, 07/15/14
     106,720  
  915,000    
Oxford Industries, Inc.
        
       
8.875%, 06/01/11
     928,725  
  74,000    
Phillips-Van Heusen Corp.^
        
       
8.125%, 05/01/13
     75,110  
See accompanying Notes to Schedule of Investments

4

 

CALAMOS CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
$ 77,000    
Pinnacle Entertainment, Inc.
        
       
8.250%, 03/15/12
   $ 78,155  
  232,000    
Rent-A-Center, Inc.
        
       
7.500%, 05/01/10
     226,780  
  921,000    
Royal Caribbean Cruises, Ltd.^
        
       
7.500%, 10/15/27
     819,077  
  658,000    
Service Corporation International*
        
       
7.500%, 04/01/27
     588,910  
  665,000    
Vail Resorts, Inc.
        
       
6.750%, 02/15/14
     646,712  
  542,000    
Warnaco Group, Inc.
        
       
8.875%, 06/15/13
     571,810  
       
Warner Music Group
        
  155,000    
8.125%, 04/15/14
     306,950  
  155,000    
7.375%, 04/15/14
     139,500  
  232,000    
WCI Communities, Inc.
        
       
6.625%, 03/15/15
     179,800  
       
 
      
       
 
     19,404,876  
       
 
      
       
Consumer Staples (0.7%)
        
  416,000    
Alliance One International, Inc.*^
        
       
8.500%, 05/15/12
     411,840  
  155,000    
Central Garden & Pet Company
        
       
9.125%,02/01/13
     151,513  
  426,000    
Chattem, Inc.^
        
       
7.000%, 03/01/14
     402,570  
  484,000    
Chiquita Brands International, Inc.^
        
       
8.875%, 12/01/15
     418,660  
  142,000    
Constellation Brands, Inc.^
        
       
7.250%, 09/01/16
     134,190  
  438,000    
Del Monte Foods Company
        
       
8.625%, 12/15/12
     442,380  
  812,000    
Dole Food Company, Inc.
        
       
7.250%, 06/15/10
     749,070  
  348,000    
NBTY, Inc.
        
       
7.125%, 10/01/15
     339,300  
       
Pilgrim’s Pride Corp.
        
  615,000    
8.375%, 05/01/17^
     587,325  
  197,000    
7.625%, 05/01/15
     191,090  
  495,000    
Playtex Products, Inc.
        
       
8.000%, 03/01/11
     513,562  
       
Reynolds American, Inc.
        
  503,000    
7.300%, 07/15/15
     511,717  
  309,000    
7.625%, 06/01/16
     320,515  
  309,000    
7.250%, 06/15/37
     315,220  
       
Smithfield Foods, Inc.
        
  774,000    
7.750%, 07/01/17^
     750,780  
  155,000    
7.750%, 05/15/13
     153,450  
  306,000    
SUPERVALU, Inc.
        
       
7.500%, 11/15/14
     293,760  
       
 
      
       
 
     6,686,942  
       
 
      
       
Energy (0.7%)
        
  696,000    
Arch Western Financial, LLC
        
       
6.750%, 07/01/13
     636,840  
       
Chesapeake Energy Corp.
        
  309,000    
6.875%, 01/15/16
     295,868  
  155,000    
7.750%, 01/15/15
     157,325  
  232,000    
Dresser-Rand Group, Inc.
        
       
7.375%, 11/01/14
     223,880  
                 
Principal            
Amount         Value  
 
       
 
        
$ 387,000    
Forest Oil Corp.
        
       
8.000%, 12/15/11
   $ 391,838  
  155,000    
GulfMark Offshore, Inc.
        
       
7.750%, 07/15/14
     152,675  
  271,000    
Hanover Compressor Company
        
       
9.000%, 06/01/14
     300,133  
  226,000    
Mariner Energy, Inc.
        
       
8.000%, 05/15/17
     213,570  
  534,000    
Petrohawk Energy Corp.
        
       
7.125%, 04/01/12
     525,990  
       
Petróleo Brasileiro, SA
        
  580,000    
8.375%, 12/10/18
     651,050  
  387,000    
9.125%, 07/02/13
     430,537  
  1,354,000    
Premcor Refining Group, Inc.
        
       
7.500%, 06/15/15
     1,398,805  
  433,000    
Superior Energy Services, Inc.
        
       
6.875%, 06/01/14
     404,855  
  232,000    
Swift Energy Company
        
       
7.625%, 07/15/11
     229,680  
  503,000    
Whiting Petroleum Corp.
        
       
7.250%, 05/01/12
     477,850  
  538,000    
Williams Companies, Inc.
        
       
7.750%, 06/15/31
     545,397  
       
 
      
       
 
     7,036,293  
       
 
      
       
Financials (0.4%)
        
       
E*TRADE Financial Corp.
        
  588,000    
7.375%, 09/15/13
     593,880  
  447,000    
7.875%, 12/01/15
     462,645  
  108,000    
8.000%, 06/15/11
     110,700  
  851,000    
Host Hotels & Resorts, Inc.
        
       
7.125%, 11/01/13
     831,852  
  950,000    
Leucadia National Corp.
        
       
7.000%, 08/15/13
     897,750  
  74,000    
Omega Healthcare Investors, Inc.
        
       
7.000%, 04/01/14
     71,040  
       
Senior Housing Properties Trust
        
  387,000    
8.625%, 01/15/12
     406,350  
  273,000    
7.875%, 04/15/15
     278,523  
       
 
      
       
 
     3,652,740  
       
 
      
       
Health Care (0.3%)
        
  387,000    
Angiotech Pharmaceuticals, Inc.^
        
       
7.750%, 04/01/14
     355,072  
  155,000    
Bio-Rad Laboratories, Inc.
        
       
7.500%, 08/15/13
     153,450  
  580,000    
Community Health Systems, Inc.*
        
       
8.875%, 07/15/15
     566,225  
  70,000    
DaVita, Inc.
        
       
7.250%, 03/15/15
     66,675  
       
Psychiatric Solutions, Inc.
        
  439,000    
7.750%, 07/15/15
     419,245  
  129,000    
7.750%, 07/15/15*
     123,195  
  781,000    
Tenet Healthcare Corp.
        
       
9.250%, 02/01/15
     671,660  
  414,000    
Valeant Pharmaceuticals
        
       
International
        
       
7.000%, 12/15/11
     395,370  
See accompanying Notes to Schedule of Investments

5

 

CALAMOS CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
$ 542,000    
Vanguard Health Systems, Inc.
        
       
9.000%, 10/01/14
   $ 506,770  
       
 
      
       
 
     3,257,662  
       
 
      
       
Industrials (0.7%)
        
  464,000    
American Airlines, Inc.
        
       
7.250%, 02/05/09
     457,040  
  1,238,000    
CNH Global, NV
        
       
9.250%, 08/01/11
     1,301,138  
  1,277,000    
Esterline Technologies Corp.^
        
       
7.750%, 06/15/13
     1,283,385  
  77,000    
FTI Consulting, Inc.
        
       
7.625%, 06/15/13
     76,230  
  271,000    
Gardner Denver, Inc.
        
       
8.000%, 05/01/13
     275,697  
  116,000    
GATX Corp.
        
       
8.875%, 06/01/09
     122,826  
  145,000    
H&E Equipment Service, Inc.
        
       
8.375%, 07/15/16
     148,625  
       
IKON Office Solutions, Inc.
        
  193,000    
7.750%, 09/15/15^
     190,105  
  155,000    
6.750%, 12/01/25
     131,713  
  456,000    
Interline Brands, Inc.
        
       
8.125%, 06/15/14
     453,720  
  336,000    
Manitowoc Company, Inc.
        
       
10.500%, 08/01/12
     352,800  
       
Sequa Corp.
        
  542,000    
8.875%, 04/01/08
     552,840  
  155,000    
9.000%, 08/01/09
     161,975  
  147,000    
Terex Corp.
        
       
7.375%, 01/15/14
     144,795  
  174,000    
Trinity Industries, Inc.
        
       
6.500%, 03/15/14
     166,170  
  155,000    
WESCO Distribution, Inc.
        
       
7.500%, 10/15/17
     148,025  
  309,000    
Westinghouse Air Brake
        
       
Technologies Corp.
        
       
6.875%, 07/31/13
     301,275  
  193,000    
Williams Scotsman International, Inc.
        
       
8.500%, 10/01/15
     208,440  
       
 
      
       
 
     6,476,799  
       
 
      
       
Information Technology (0.6%)
        
  524,000    
Advanced Micro Devices, Inc.^
        
       
7.750%, 11/01/12
     462,430  
       
Amkor Tech, Inc.
        
  426,000    
9.250%, 06/01/16
     411,090  
  232,000    
7.750%, 05/15/13
     212,570  
  212,000    
Arrow Electronics, Inc.
        
       
6.875%, 06/01/18
     215,696  
  70,000    
Avago Technologies^
        
       
11.875%, 12/01/15
     77,000  
       
Celestica, Inc.^
        
  658,000    
7.625%, 07/01/13
     595,490  
  309,000    
7.875%, 07/01/11
     291,233  
  155,000    
Flextronics International, Ltd.
        
       
6.500%, 05/15/13
     143,375  
                 
Principal            
Amount         Value  
 
       
 
        
$ 561,000    
Freescale Semiconductor, Inc.*
        
       
8.875%, 12/15/14
   $ 507,705  
  155,000    
Iron Mountain, Inc.*
        
       
7.250%, 04/15/14
     306,163  
  387,000    
NXP, BV^
        
       
7.875%, 10/15/14
     352,170  
  735,000    
SunGard Data Systems, Inc.
        
       
9.125%, 08/15/13
     733,162  
  1,586,000    
Xerox Corp.
        
       
7.625%, 06/15/13
     1,634,162  
       
 
      
       
 
     5,942,246  
       
 
      
       
Materials (0.5%)
        
  387,000    
Ball Corp.
        
       
6.875%, 12/15/12
     385,065  
  309,000    
Boise Cascade Company
        
       
7.125%,10/15/14
     285,825  
  77,000    
Crown Holdings, Inc.
        
       
7.750%, 11/15/15
     76,230  
  736,000    
Equistar Chemicals, LP
        
       
10.625%, 05/01/11
     772,800  
  70,000    
Gibraltar Industries, Inc.
        
       
8.000%, 12/01/15
     66,850  
       
Ineos Group Holdings, PLC*
        
  464,000    
7.875%, 02/15/16
     556,262  
  77,000    
8.500%, 02/15/16^
     69,685  
  267,000    
Mosaic Company*
        
       
7.625%,12/01/16
     269,670  
  696,000    
Neenah Paper, Inc.
        
       
7.375%, 11/15/14
     657,720  
  193,000    
P.H. Glatfelter Company
        
       
7.125%, 05/01/16
     191,070  
  136,000    
Polyone Corp.
        
       
10.625%, 05/15/10
     143,140  
  387,000    
Sealed Air Corp.*
        
       
6.875%, 07/15/33
     379,641  
  580,000    
Terra Industries, Inc.
        
       
7.000%, 02/01/17
     551,000  
  155,000    
Texas Industries, Inc.
        
       
7.250%, 07/15/13
     154,225  
       
Union Carbide Corp.
        
  375,000    
7.875%, 04/01/23
     384,338  
  251,000    
7.500%, 06/01/25
     248,565  
  286,000    
Westlake Chemical Corp.
        
       
6.625%, 01/15/16
     263,120  
       
 
      
       
 
     5,455,206  
       
 
      
       
Telecommunication Services (0.3%)
        
  464,000    
AT&T Corp.
        
       
8.000%, 11/15/31
     554,740  
  467,000    
CenturyTel, Inc.
        
       
6.875%, 01/15/28
     453,234  
  634,000    
Citizens Communications
        
       
Company
        
       
9.000%, 08/15/31
     592,790  
  542,000    
Leap Wireless International, Inc.
        
       
9.375%, 11/01/14
     537,258  
  542,000    
Qwest Communications
        
       
International, Inc.^
        
       
7.750%, 02/15/31
     455,280  
See accompanying Notes to Schedule of Investments

6

 

CALAMOS CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
$ 542,000    
Sprint Nextel Corp.
        
       
7.375%, 08/01/15
   $ 526,185  
  348,000    
 
        
       
Syniverse Technologies, Inc.
        
       
7.750%, 08/15/13
     321,900  
       
 
      
       
 
     3,441,387  
       
 
      
       
Utilities (0.2%)
        
  77,000    
NRG Energy, Inc.
        
       
7.375%, 02/01/16
     74,497  
  163,000    
Public Service Enterprise Group, Inc.
        
       
8.625%, 02/15/08
     165,639  
  975,000    
Teco Energy, Inc.
        
       
7.500%, 06/15/10
     1,006,529  
  542,000    
TXU Corp.^
     427,095  
     
6.500%, 11/15/24
     427,095  
       
 
      
       
 
     1,673,760  
       
 
      
       
Total Corporate Bonds
     63,027,911  
       
 
      
                 
Number of            
Contracts         Value  
 
       
 
        
Options (1.1%)        
       
Consumer Discretionary (0.2%)
        
  210    
Garmin, Ltd.#
        
       
Call, 01/17/09, Strike $70.00
     527,100  
  820    
Nike, Inc.#
        
       
Call, 01/17/09, Strike $55.00
     738,000  
  900    
Omnicom Group, Inc.#
        
       
Call, 01/17/09, Strike $50.00
     774,000  
       
 
      
       
 
     2,039,100  
       
 
      
       
Consumer Staples (0.1%)
        
  1,070    
Coca-Cola Company#
        
       
Call, 01/17/09, Strike $50.00
     754,350  
  525    
Kroger Company#
        
       
Call, 01/17/09, Strike $30.00
     124,687  
       
 
      
       
 
     879,037  
       
 
      
       
Energy (0.0%)
        
  130    
Schlumberger NV (Schlumberger Ltd.)#
        
       
Call, 01/17/09, Strike $80.00
     341,250  
       
 
      
       
Financials (0.2%)
        
  550    
Franklin Resources, Inc.#
        
       
Call, 01/17/09, Strike $125.00
     1,289,750  
  205    
Goldman Sachs Group, Inc.#
        
       
Call, 01/17/09, Strike $220.00
     458,175  
  135    
Merrill Lynch & Company, Inc.#
        
       
Call, 01/17/09, Strike $90.00
     93,150  
       
 
      
       
 
     1,841,075  
       
 
      
       
Industrials (0.1%)
        
  580    
General Dynamics Corp.#
        
       
Call, 01/17/09, Strike $75.00
     765,600  
       
 
      
       
Information Technology (0.5%)
        
  70    
Apple Computer, Inc.#
        
       
Call, 01/17/09, Strike $140.00
     193,200  
  1,240    
Cisco Systems, Inc.#
        
       
Call, 01/17/09, Strike $27.50
     756,400  
                 
Number of        
Contracts       Value
 
       
 
        
  235    
Hewlett-Packard Company#
        
       
Call, 01/17/09, Strike $45.00
  $ 198,575  
  650    
Infosys Technologies, Ltd.#
        
       
Call, 01/17/09, Strike $55.00
    494,000  
  1,600    
Microsoft Corp.#
        
       
Call, 01/17/09, Strike $30.00
    572,000  
       
Nokia Corp.#
        
  1,700    
Call, 01/17/09, Strike $25.00
    1,130,500  
  1,700    
Call, 01/17/09, Strike $30.00
    688,500  
  2,050    
Oracle Corp.#
        
       
Call, 01/17/09, Strike $17.50
    902,000  
       
 
       
       
 
     4,935,175  
       
 
       
       
Telecommunication Services (0.0%)
        
  130    
America Movil, SA de CV#
        
       
Call, 01/17/09, Strike $60.00
    159,250  
  85    
NII Holdings, Inc.#
        
       
Call, 01/17/09, Strike $80.00
    161,500  
       
 
       
       
 
    320,750  
       
 
       
       
Total Options
    11,121,987  
       
 
       
       
TOTAL SYNTHETIC
CONVERTIBLE
SECURITIES
        
       
(Cost $75,045,067)
    74,149,898  
       
 
       
                 
Number of            
Shares         Value  
 
       
 
        
Convertible Preferred Stocks (26.6%)
       
Consumer Discretionary (0.9%)
        
  8,500    
Stanley Works‡
        
       
6.975%
     8,951,563  
       
 
      
       
Energy (1.5%)
        
  55,000    
Chesapeake Energy Corp.
        
       
6.250%
     15,315,025  
       
 
      
       
Financials (16.8%)
        
  660,000    
Citigroup, Inc. (Genworth Financial, Inc.)‡∞
       
       
5.683%
     18,975,000  
  19,000    
Fortis Insurance, NV (Assurant, Inc.)*∞
       
       
7.750%
     24,439,700  
  350,000    
Lazard, Ltd.
        
       
6.625%
     11,242,000  
  775,000    
Lehman Brothers Holdings, Inc.
        
       
(General Mills, Inc.)∞
       
       
6.250%
     20,250,750  
  230,000    
Merrill Lynch & Company, Inc.
        
       
(Nuveen Investments, Inc.)∞
       
       
6.750%
     11,805,440  
  1,000,000    
MetLife, Inc.
        
       
6.375%
     29,880,000  
  35,000    
Reinsurance Group of America, Inc.
        
       
5.750%
     2,358,125  
  16,500    
Swiss Re
        
       
6.000%
     14,131,677  
  375,000    
Washington Mutual, Inc.
        
       
5.375%
     19,218,750  
See accompanying Notes to Schedule of Investments

7

 

CALAMOS CONVERTIBLE AND HIGH INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Number of            
Shares         Value  
 
       
 
        
  565,000    
XL Capital, Ltd.
        
       
7.000%
   $ 15,458,400  
       
 
      
       
 
     167,759,842  
       
 
      
       
Health Care (1.7%)
        
  265,000    
Schering-Plough Corp.
        
       
6.000%
     17,103,100  
       
 
      
 
       
Materials (3.4%)
        
  132,500    
Freeport-McMoRan Copper & Gold, Inc.
        
       
6.750%
     18,755,375  
  17,500    
Givaudan SA
        
       
5.375%
     15,077,987  
       
 
      
       
 
     33,833,362  
       
 
      
       
Utilities (2.3%)
        
  500,000    
CenterPoint Energy, Inc. (Time Warner, Inc.)‡∞
       
       
2.000%
     18,305,000  
  80,000    
Southern Union Company
        
       
5.000%
     4,517,600  
       
 
      
       
 
     22,822,600  
       
 
      
       
TOTAL CONVERTIBLE PREFERRED STOCKS
        
       
(Cost $255,786,161)
     265,785,492  
       
 
      
Warrants (0.1%)  
 
      
       
Consumer Discretionary (0.1%)
        
  218,180    
Expedia, Inc.#
        
       
05/07/12, Strike $24.46
        
       
(Cost $433,087)
     913,629  
       
 
      
Investment in Affiliated Fund (2.2%)        
       
Calamos Government Money
        
  22,019,427    
Market Fund — Class I Shares
        
       
5.111%
        
       
(Cost $22,019,427)
     22,019,427  
       
 
      
Investments of Cash Collateral for Securities on Loan (18.3%)        
  182,431,990    
Bank of New York Institutional
        
       
Cash Reserve Fund
        
       
current rate 5.401%
        
       
(Cost $182,431,990)
     182,431,990  
       
 
      
TOTAL INVESTMENTS (160.8%)        
(Cost $1,596,709,512)  
 
   1,604,900,924  
       
 
      
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-18.3%)     (182,431,990 )
       
 
      
OTHER ASSETS, LESS LIABILITIES (0.6%)     5,923,514  
       
 
      
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-43.1%)     (430,269,592 ) 
       
 
      
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)   $ 998,122,856  
       
 
      
See accompanying Notes to Schedule of Investments

8

 

INTEREST RATE SWAPS
                                         
                                    Unrealized  
                                    Appreciation/  
SWAP Counterparty   Payments Made by the Fund     Payments Received by the Fund     Termination Date     Notional Amount (USD)     (Depreciation)  
Citibank, N.A.
   3.27% monthly   1 month LIBOR     10/29/2007     $ 200,000,000     $ 999,672  
Citibank, N.A.
   3.65% monthly   1 month LIBOR     10/27/2008       100,000,000       1,736,315  
 
                                      
 
                                   $ 2,735,987  
 
                                      
NOTES TO SCHEDULE OF INVESTMENTS
Note: Value for Securities denominated in foreign currencies are shown in U.S. dollars. The principal amount for such securities are 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.
 
*   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 or excepted from such registration requirements. At July 31, 2007 the value of 144A securities that could not be exchanged to the registered form is $91,924,339 or 9.2% of net assets.
 
^   Security , or portion of security, is on loan
 
‡   Variable rate or step bond security. The rate shown is the rate in effect at July 31, 2007.
 
∞   Securities exchangeable or convertible into securities of an entity different than the issuer. Such entity is identified in the parenthetical.
 
#   Non-income producing security.

 

NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
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 convertible 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).
Portfolio Valuation. The valuation of the Fund’s portfolio securities is in accordance with policies and procedures adopted by and under the ultimate supervision of the Board of Trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option securities, are valued at the last current reported sales price at the time as of which a Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter (“OTC”) market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price (“NOCP”), as determined by NASDAQ, or lacking a NOCP, the last current reported sale price on NASDAQ at the time as of which a Fund determines its NAV.
When a most recent last sale or closing price is not available, portfolio securities, other than option securities, that are traded on a U.S. securities exchange and other securities traded in the OTC 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 OTC option that is not traded through the Options Clearing Corporation is valued by the counterparty to such option.
Trading in securities on European and Far Eastern securities exchanges and OTC 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 OTC markets is evaluated 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 current sale price at the time as of which 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, in accordance with guidelines adopted by the Board of Trustees. 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, including any thinly-traded security, junk bond or synthetic convertible instrument, 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.

 

 

NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
The Fund also may use fair value pricing, under the ultimate supervision of the Board of Trustees, following the guidelines and/or procedures adopted by the Board of Trustees, if the value of a foreign security it holds is materially affected by events occurring before their valuation time but after the close of the primary market or exchange on which the security is traded. 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.
Investment Transactions. Short-term and long-term investment transactions are recorded on a trade date basis on July 31, 2007.
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 market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When a 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 written call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
NOTE 2 — INVESTMENTS
The following information is presented on a Federal income tax basis as of July 31, 2007. Differences between the cost basis under U.S. generally accepted accounting principles and Federal income tax purposes are primarily due to timing differences.
The cost basis of investments for Federal Income tax purposes at July 31, 2007 was as follows:
         
Cost basis of investments
   $ 1,606,856,431  
 
      
Gross unrealized appreciation
     48,634,094  
Gross unrealized depreciation
     (50,589,601 )
 
      

 

 

NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
         
Net unrealized appreciation (depreciation)
   $ (1,955,507 )
 
      
Investments in Affiliated Fund. The Fund held the following investment in an affiliated fund as of July 31, 2007. Purchases, sales, dividend income and capital gains are shown during the period from November 1, 2006, through July 31, 2007.
                                                 
                                    Distributed    
    Value                           Capital   Value
    October 31,           Sales   Dividend   Gains   July 31,
Affiliated Fund   2006   Purchases   Proceeds   Income   Distributed   2007
Calamos Government Money Market Fund
   $  —     $ 153,020,426     $ 131,000,999     $ 393,700     $  —     $ 22,019,427  
NOTE 3 — FORWARD FOREIGN CURRENCY CONTRACTS
There were no open forward currency contracts at July 31, 2007.
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 shares of Preferred Shares outstanding consist of six series, 3,000 shares of M, 3,000 shares of TU, 3,000 shares of W, 3,000 shares of TH, 3,000 shares of F, and 2,200 shares of A. The Preferred Shares have a liquidation value of $25,000 per share plus any accumulated but unpaid dividends, whether or not declared.
NOTE 5 — INTEREST RATE TRANSACTIONS
Swap agreements are stated at fair value. The contracts are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation(depreciation).
Details of the interest rate swap agreements outstanding as of July 31, 2007 were as follows:
                                         
                                    Unrealized  
    Termination     Notional     Fixed Rate     Floating Rate     Appreciation  
Counterparty   Date     Amount (000)     (Fund Pays)     (Fund Receives)     (Depreciation)  
 
Citibank, N.A.
     10/29/2007       200,000       3.27 %   1month LIBOR     999,672  
Citibank, N.A.
     10/27/2008       100,000       3.65 %   1month LIBOR     1,736,315  
 
                                      
 
                                   $ 2,735,987  
 
                                      
NOTE 6 — 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 options to buy common stock at a certain exercise price, or options on a stock index. In establishing a synthetic instrument, the Fund

 

 

NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
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 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 7 — SECURITIES LENDING
For the period ended July 31, 2007, the Fund loaned one or more of their 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 receive an additional return that may be in the form of a fixed fee or a percentage of the income earned on 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 less 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 their rights. In an effort to reduce these risks, the Fund’s securities lending agent monitors and reports to Calamos Advisors on the creditworthiness of the firms to which a Fund lends securities. At July 31, 2007, the Fund had securities valued at $177,808,206 that were on loan to broker-dealers and banks and $182,431,990 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:
  September 25, 2007    
     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
         
Calamos Convertible and High Income Fund
 
        
By:
  /s/ John P. Calamos, Sr.    
 
       
Name:
  John P. Calamos, Sr.    
Title:
  Principal Executive Officer    
Date:
  September 25, 2007    
 
        
By:
  /s/ Patrick H. Dudasik    
 
       
Name:
  Patrick H. Dudasik    
Title:
  Principal Financial Officer    
Date:
  September 25, 2007