UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21319
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible and High
Income Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 1111 East Warrenville Road, Naperville,
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Asset Management,
Inc., 1111 East Warrenville Road,
Naperville, Illinois
60563-1493
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2004
DATE OF REPORTING PERIOD: November 1, 2003 through April 30, 2004
Item 1. Reports to Stockholders
CALAMOS CONVERTIBLE
AND HIGH INCOME FUND
SEMI-ANNUAL REPORT APRIL 30, 2004
[CALAMOS INVESTMENTS LOGO]
Strategies for Serious Money(R)
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
CORPORATE BONDS (110.0%)
BASIC INDUSTRIES (18.4%)
$ 1,828,000 Airgas, Inc.
9.125%, 10/01/11 $ 2,075,234
4,571,000 Ball Corp.
6.875%, 12/15/12 4,845,260
10,970,000 Boise Cascade Corp.(c)
7.000%, 11/01/13 11,570,656
5,485,000 Bowater, Inc.(c)
6.500%, 06/15/13 5,334,357
5,942,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 6,358,261
2,285,000 Century Aluminum Company
11.750%, 04/15/08 2,565,474
17,388,000 Equistar Chemicals, LP(c)
10.625%, 05/01/11 19,561,595
11,747,000 Freeport-McMoRan Copper &
Gold, Inc.(c)
10.125%, 02/01/10 12,980,954
13,713,000 Georgia-Pacific Corp.(c)
8.000%, 01/15/14 15,427,125
IMC Global, Inc.(c)
2,743,000 10.875%, 08/01/13 3,380,255
1,828,000 10.875%, 06/01/08 2,171,225
5,485,000 IPSCO, Inc.
8.750%, 06/01/13 6,170,850
5,714,000 Ispat International, NV(a)(c)
9.750%, 04/01/14 5,856,594
2,743,000 Jarden Corp.
9.750%, 05/01/12 3,099,138
2,500,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 2,562,845
4,571,000 Mail-Well, Inc.(a)(c)
7.875%, 12/01/13 4,342,450
11,885,000 Mobile Mini, Inc.
9.500%, 07/01/13 13,370,175
2,743,000 Phelps Dodge Corp.
9.500%, 06/01/31 3,804,411
11,885,000 Polyone Corp.(c)
10.625%, 05/15/10 12,478,830
7,679,000 Pope & Talbot, Inc.
8.375%, 06/01/13 7,986,451
4,571,000 Sealed Air Corp.(a)
6.875%, 07/15/33 4,741,334
2,144,000 Shaw Group, Inc.(c)
10.750%, 03/15/10 2,218,832
1,828,000 Smurfit-Stone Container Corp.
8.375%, 07/01/12 1,974,672
Steel Dynamics, Inc.
4,279,000 9.500%, 03/15/09(c) 4,803,593
1,828,000 9.500%, 03/15/09(a) 2,052,379
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
Union Carbide Corp.(c)
$ 3,200,000 7.875%, 04/01/23 $ 3,103,709
2,285,000 6.700%, 04/01/09 2,319,783
1,143,000 7.500%, 06/01/25 1,074,185
--------------
168,230,627
--------------
CAPITAL GOODS - INDUSTRIAL (9.4%)
2,743,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 2,866,017
2,743,000 Casella Waste Systems, Inc.
9.750%, 02/01/13 3,064,856
15,541,000 CNH Global, NV(a)(c)
9.250%, 08/01/11 17,406,368
General Motors Corp.(c)
7,222,000 8.250%, 07/15/23 7,748,149
731,000 7.125%, 07/15/13 768,466
457,000 Hines Horticulture, Inc.
10.250%, 10/01/11 502,810
5,942,000 Hutchison Whampoa, Ltd.(a)(c)
6.250%, 01/24/14 5,843,349
2,925,000 IMCO Recycling, Inc.
10.375%, 10/15/10 3,137,534
7,771,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 8,742,038
JLG Industries, Inc.
6,948,000 8.250%, 05/01/08 7,573,233
3,200,000 8.375%, 06/15/12(c) 3,327,688
4,571,000 Manitowoc Company, Inc.(c)
10.500%, 08/01/12 5,233,795
1,828,000 Navistar International
Corp.(c)
8.000%, 02/01/08 1,887,823
7,771,000 SPX Corp.(c)
6.250%, 06/15/11 7,790,127
Terex Corp.
6,399,000 9.250%, 07/15/11 7,167,328
3,200,000 7.375%, 01/15/14(a) 3,351,686
--------------
86,411,267
--------------
CAPITAL GOODS - TECHNOLOGY (10.7%)
2,505,000 Arrow Electronics, Inc.(c)
6.875%, 06/01/18 2,531,758
960,000 EUR Aspropulsion Capital BV(a)
9.625%, 10/01/13 1,211,104
15,084,000 Esterline Technologies Corp.
7.750%, 06/15/13 15,763,094
1,828,000 Flextronics International,
Ltd.(c)
6.500%, 05/15/13 1,860,397
Legrand, SA
7,314,000 8.500%, 02/15/25 7,743,274
4,571,000 10.500%, 02/15/13 5,348,070
914,000 EUR 11.000%, 02/15/13 1,312,338
4,571,000 Monitronics International,
Inc.(a)
11.750%, 09/01/10 4,913,825
6,628,000 Motorola, Inc.
7.500%, 05/15/25 7,184,180
2,194,000 Orbital Sciences Corp.(c)
9.000%, 07/15/11 2,413,488
See accompanying Notes to Schedule of Investments. 1
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 10,056,000 Rayovac Corp.
8.500%, 10/01/13 $ 10,810,415
4,571,000 Sanmina-Sci Corp.
10.375%, 01/15/10 5,370,925
Sequa Corp.
6,399,000 8.875%, 04/01/08 7,007,343
1,828,000 9.000%, 08/01/09 2,029,524
3,657,000 Stratus Technologies,
Inc.(a)(c)
10.375%, 12/01/08 3,656,800
18,741,000 Xerox Corp.(c)
7.625%, 06/15/13 19,209,628
--------------
98,366,163
--------------
CONSUMER CYCLICAL (14.6%)
5,485,000 AMR Corp.(a)
7.250%, 02/05/09 5,354,927
1,828,000 BE Aerospace, Inc.
8.500%, 10/01/10 1,992,956
4,571,000 Broder Brothers Co.(a)(c)
11.250%, 10/15/10 4,456,725
3,200,000 Delta Air Lines, Inc.
10.125%, 05/15/10 1,807,831
11,986,000 GBP EMI Group, PLC
9.750%, 05/20/08 22,890,076
2,148,000 Fedders Corp.(a)
9.875%, 03/01/14 2,094,661
3,657,000 Inn of the Mountain Gods(a)
12.000%, 11/15/10 4,022,480
4,571,000 Interpublic Group of
Companies, Inc.(c)
7.250%, 08/15/11 4,881,129
J.C. Penney Company, Inc.(c)
1,828,000 9.000%, 08/01/12 2,230,648
1,371,000 7.650%, 08/15/16 1,549,569
4,525,000 Kellwood Company
7.625%, 10/15/17 4,843,571
3,428,000 La Quinta Corp.
8.875%, 03/15/11 3,822,499
10,813,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 11,597,112
4,571,000 Perry Ellis International,
Inc.
8.875%, 09/15/13 4,845,260
7,314,000 Rent-A-Center, Inc.(c)
7.500%, 05/01/10 7,642,712
10,879,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 10,634,203
4,571,000 Russell Corp.
9.250%, 05/01/10 4,822,405
7,314,000 Tower Automotive, Inc.(c)
12.000%, 06/01/13 7,185,612
12,799,000 United Rentals, Inc.(a)(c)
7.000%, 02/15/14 11,966,878
7,862,000 Vail Resorts, Inc.(a)
6.750%, 02/15/14 7,744,188
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 6,399,000 Warnaco Group, Inc.
8.875%, 06/15/13 $ 6,911,352
--------------
133,296,794
--------------
CONSUMER GROWTH STAPLES (16.6%)
9,919,000 Alpharma, Inc.(a)(c)
8.625%, 05/01/11 10,464,619
914,000 American Greetings Corp.
11.750%, 07/15/08 1,074,185
14,878,000 Ameripath, Inc.(c)
10.500%, 04/01/13 15,324,963
11,885,000 Ardent Health Services, Inc.
10.000%, 08/15/13 13,073,060
13,347,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 13,478,030
5,942,000 CBD Media, LLC
8.625%, 06/01/11 6,373,117
Charter Communications, Inc.
6,399,000 10.000%, 04/01/09 5,551,480
4,571,000 9.625%, 11/15/09 3,908,205
1,828,000 11.125%, 01/15/11 1,618,134
5,028,000 Chattem, Inc.(a)(c)
7.000%, 03/01/14 4,927,538
2,743,000 Curative Health Services,
Inc.(a)
10.750%, 05/01/11 2,766,598
4,571,000 DEX Media, Inc.(a)(c)
8.000%, 11/15/13 4,456,725
8,502,000 Hasbro, Inc.
6.600%, 07/15/28 8,204,488
5,759,000 Houghton Mifflin Company(c)
9.875%, 02/01/13 5,716,264
5,906,000 Mariner Health Care,
Inc.(a)(c)
8.250%, 12/15/13 5,994,318
12,342,000 Mediacom Communications
Corp.(c)
9.500%, 01/15/13 12,341,700
5,851,000 Playtex Products, Inc.(a)(c)
8.000%, 03/01/11 6,172,678
1,143,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 1,311,306
5,942,000 Quintiles Transitional
Corp.(a)
10.000%, 10/01/13 6,179,992
10,970,000 Rite Aid Corp.(c)
6.875%, 08/15/13 10,367,028
8,685,000 Spanish Broadcasting System,
Inc.
9.625%, 11/01/09 9,227,706
3,200,000 WH Intermediate Holdings,
Ltd.(a)
9.500%, 04/01/11 3,415,680
--------------
151,947,814
--------------
CONSUMER STAPLES (4.7%)
5,170,000 Del Monte Foods Company
8.625%, 12/15/12 5,738,479
5,485,000 DIMON, Inc.
7.750%, 06/01/13 5,389,209
2 See accompanying Notes to Schedule of Investments.
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
Dole Food Company, Inc.
$ 12,433,000 8.875%, 03/15/11 $ 13,303,438
4,077,000 8.625%, 05/01/09 4,383,132
3,200,000 Gold Kist, Inc.(a)
10.250%, 03/15/14 3,375,684
3,657,000 Pinnacle Foods Holding(a)
8.250%, 12/01/13 3,835,069
Seminis Vegetable Seeds
1,828,000 10.250%, 10/01/13 2,038,666
914,000 10.250%, 10/01/13(a) 1,023,904
1,828,000 Smithfield Foods, Inc.
7.750%, 05/15/13 1,983,814
1,828,000 Standard Commercial
Corp.(a)(c)
8.000%, 04/15/12 1,896,965
--------------
42,968,360
--------------
CREDIT CYCLICAL (6.0%)
12,058,000 EUR HeidelbergCement Finance(a)
7.375%, 07/15/10 16,049,799
21,346,000 Texas Industries, Inc.
10.250%, 06/15/11 24,335,090
6,765,000 EUR Waterford Wedgewood PLC(a)
9.875%, 12/01/10 8,190,739
5,942,000 WCI Communities, Inc.(c)
7.875%, 10/01/13 6,239,415
--------------
54,815,043
--------------
ENERGY (12.0%)
8,228,000 Arch Coal, Inc.(a)
6.750%, 07/01/13 8,515,773
Chesapeake Energy Corp.(c)
3,657,000 6.875%, 01/15/16(a) 3,729,936
1,828,000 7.750%, 01/15/15 1,983,814
4,571,000 Forest Oil Corp.(c)
8.000%, 12/15/11 5,073,810
2,743,000 Giant Industries, Inc.(c)
11.000%, 05/15/12 3,085,425
10,376,000 Houston Exploration Company
7.000%, 06/15/13 10,869,038
KCS Energy, Inc.
4,525,000 8.875%, 01/15/06 4,659,148
4,205,000 7.125%, 04/01/12(a) 4,226,347
2,743,000 Massey Energy Company(c)
6.950%, 03/01/07 2,824,878
1,371,000 Nuevo Energy Company
9.375%, 10/01/10 1,529,000
5,622,000 Paramount Resources, Ltd.
7.875%, 11/01/10 5,594,218
Petrobras International
Finance Co.(c)
6,856,000 8.375%, 12/10/18 6,479,393
4,571,000 9.125%, 07/02/13 4,605,283
17,827,000 Premcor, Inc.
7.500%, 06/15/15 18,896,514
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 3,931,000 Swift Energy Company
10.250%, 08/01/09 $ 4,186,579
Tesoro Petroleum Corp.(c)
4,571,000 9.000%, 07/01/08 4,765,268
1,083,000 9.625%, 04/01/12 1,226,868
3,657,000 Tom Brown, Inc.
7.250%, 09/15/13 4,168,752
11,885,000 Williams Companies, Inc.(c)
8.625%, 06/01/10 13,132,483
--------------
109,552,527
--------------
FINANCIAL (5.6%)
4,571,000 Fairfax Financial Holdings
Limited
6.875%, 04/15/08 4,730,985
Host Marriott Corp.(c)
10,056,000 7.125%, 11/01/13 10,257,324
1,920,000 9.250%, 10/01/07 2,159,798
10,970,000 Leucadia National Corp.(c)
7.000%, 08/15/13 11,244,660
11,885,000 LNR Property Corp.
7.625%, 07/15/13 12,300,561
Senior Housing Properties
Trust
4,891,000 7.875%, 04/15/15 5,208,883
4,571,000 8.625%, 01/15/12(c) 5,142,375
--------------
51,044,586
--------------
TELECOMMUNICATIONS (3.3%)
2,743,000 AT&T Corp.
8.750%, 11/15/31 2,910,359
3,629,000 General Cable Corp.(a)(c)
9.500%, 11/15/10 3,992,311
14,673,000 Lucent Technologies, Inc.(c)
7.250%, 07/15/06 15,314,850
6,399,000 Nextel Communications, Inc.
7.375%, 08/01/15 6,679,374
1,371,000 Primus Telecommunications
Group, Inc.(a)(c)
8.000%, 01/15/14 1,268,453
--------------
30,165,347
--------------
TRANSPORTATION (2.4%)
1,371,000 GATX Corp.
8.875%, 06/01/09 1,565,314
9,965,000 General Maritime Corp.
10.000%, 03/15/13 11,260,201
6,902,000 Laidlaw Global Securities,
Inc.(a)
10.750%, 06/15/11 7,782,242
923,000 Overseas Shipholding Group,
Inc.
8.750%, 12/01/13 1,057,227
--------------
21,664,984
--------------
UTILITIES (6.3%)
8,228,000 AES Corp.(c)
8.500%, 11/01/07 8,464,349
25,597,000 Calpine Corp.(c)
8.500%, 02/15/11 18,046,308
4,571,000 Centerpoint Energy, Inc.(c)
6.850%, 06/01/15 4,650,129
See accompanying Notes to Schedule of Investments. 3
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
Edison International(c)
$ 5,485,000 9.875%, 04/15/11 $ 5,677,182
3,657,000 10.000%, 08/15/08 3,857,924
4,571,000 PSEG Energy Holdings, LLC
8.625%, 02/15/08 4,936,680
11,519,000 Teco Energy, Inc.(c)
7.500%, 06/15/10 11,835,690
--------------
57,468,262
--------------
TOTAL CORPORATE BONDS
(Cost $964,313,308) 1,005,931,774
==============
CONVERTIBLE BONDS (2.0%)
CAPITAL GOODS - TECHNOLOGY (0.4%)
4,000,000 Computer Network Technology
Corp.
3.000%, 02/15/07 3,530,000
--------------
CONSUMER GROWTH STAPLES (0.7%)
1,000,000 Alpharma, Inc.(c)
3.000%, 06/01/06 1,206,250
5,200,000 Enzon Pharmaceuticals, Inc.(c)
4.500%, 07/01/08 4,985,500
--------------
6,191,750
--------------
FINANCIAL (0.4%)
7,800,000 Providian Financial Corp.
0.000%, 02/15/21 3,939,000
--------------
TELECOMMUNICATIONS (0.5%)
Liberty Media Corp.
(Sprint PCS Group)
4,142,000 3.750%, 02/15/30(c) 2,775,140
1,974,000 4.000%, 11/15/29 1,421,280
--------------
4,196,420
--------------
TOTAL CONVERTIBLE BONDS
(Cost $15,764,533) 17,857,170
==============
SYNTHETIC CONVERTIBLE SECURITIES (12.1%)
CORPORATE BONDS (10.3%)
BASIC INDUSTRIES (1.7%)
172,000 Airgas, Inc.
9.125%, 10/01/11 194,765
429,000 Ball Corp.
6.875%, 12/15/12 454,740
1,030,000 Boise Cascade Corp.(c)
7.000%, 11/01/13 1,085,935
515,000 Bowater, Inc.(c)
6.500%, 06/15/13 500,642
558,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 596,738
215,000 Century Aluminum Company
11.750%, 04/15/08 240,775
1,632,000 Equistar Chemicals, LP(c)
10.625%, 05/01/11 1,835,905
1,103,000 Freeport-McMoRan Copper &
Gold, Inc.(c)
10.125%, 02/01/10 1,218,295
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 1,287,000 Georgia-Pacific Corp.(c)
8.000%, 01/15/14 $ 1,447,874
IMC Global, Inc.(c)
257,000 10.875%, 08/01/13 317,245
172,000 10.875%, 06/01/08 203,774
515,000 IPSCO, Inc.
8.750%, 06/01/13 579,150
536,000 Ispat International, NV(a)(c)
9.750%, 04/01/14 549,655
257,000 Jarden Corp.
9.750%, 05/01/12 290,862
235,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 240,530
429,000 Mail-Well, Inc.(a)(c)
7.875%, 12/01/13 407,550
1,115,000 Mobile Mini, Inc.
9.500%, 07/01/13 1,254,825
257,000 Phelps Dodge Corp.
9.500%, 06/01/31 357,054
1,115,000 Polyone Corp.(c)
10.625%, 05/15/10 1,171,170
721,000 Pope & Talbot, Inc.
8.375%, 06/01/13 749,549
429,000 Sealed Air Corp.(a)
6.875%, 07/15/33 444,986
201,000 Shaw Group, Inc.(c)
10.750%, 03/15/10 208,243
172,000 Smurfit-Stone Container Corp.
8.375%, 07/01/12 185,328
Steel Dynamics, Inc.
402,000 9.500%, 03/15/09(c) 450,829
172,000 9.500%, 03/15/09(a) 192,621
Union Carbide Corp.(c)
300,000 7.875%, 04/01/23 291,291
215,000 6.700%, 04/01/09 217,718
107,000 7.500%, 06/01/25 100,815
--------------
15,788,864
--------------
CAPITAL GOODS - INDUSTRIAL (0.9%)
257,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 268,982
257,000 Casella Waste Systems, Inc.
9.750%, 02/01/13 287,644
1,459,000 CNH Global, NV(a)(c)
9.250%, 08/01/11 1,633,631
General Motors Corp.(c)
678,000 8.250%, 07/15/23 727,183
69,000 7.125%, 07/15/13 72,122
43,000 Hines Horticulture, Inc.
10.250%, 10/01/11 47,190
558,000 Hutchison Whampoa, Ltd.(a)(c)
6.250%, 01/24/14 548,412
275,000 IMCO Recycling, Inc.
10.375%, 10/15/10 294,465
729,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 820,463
4 See accompanying Notes to Schedule of Investments.
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
JLG Industries, Inc.
$ 652,000 8.250%, 05/01/08 $ 710,767
300,000 8.375%, 06/15/12(c) 312,312
429,000 Manitowoc Company, Inc.(c)
10.500%, 08/01/12 491,205
172,000 Navistar International
Corp.(c)
8.000%, 02/01/08 177,177
729,000 SPX Corp.(c)
6.250%, 06/15/11 731,123
Terex Corp.
601,000 9.250%, 07/15/11 672,672
300,000 7.375%, 01/15/14(a) 314,564
--------------
8,109,912
--------------
CAPITAL GOODS - TECHNOLOGY (1.0%)
235,000 Arrow Electronics, Inc.(c)
6.875%, 06/01/18 237,612
90,000 EUR Aspropulsion Capital BV(a)
9.625%, 10/01/13 113,665
1,416,000 Esterline Technologies Corp.
7.750%, 06/15/13 1,479,407
172,000 Flextronics International,
Ltd.(c)
6.500%, 05/15/13 174,603
Legrand, SA
686,000 8.500%, 02/15/25 726,726
429,000 10.500%, 02/15/13 501,930
86,000 EUR 11.000%, 02/15/13 123,166
429,000 Monitronics International,
Inc.(a)
11.750%, 09/01/10 461,175
622,000 Motorola, Inc.
7.500%, 05/15/25 674,254
206,000 Orbital Sciences Corp.(c)
9.000%, 07/15/11 226,512
944,000 Rayovac Corp.
8.500%, 10/01/13 1,014,585
429,000 Sanmina-Sci Corp.
10.375%, 01/15/10 504,075
Sequa Corp.
601,000 8.875%, 04/01/08 657,657
172,000 9.000%, 08/01/09 190,476
343,000 Stratus Technologies,
Inc.(a)(c)
10.375%, 12/01/08 343,200
1,759,000 Xerox Corp.(c)
7.625%, 06/15/13 1,802,873
--------------
9,231,916
--------------
CONSUMER CYCLICAL (1.4%)
515,000 AMR Corp.(a)
7.250%, 02/05/09 502,574
172,000 BE Aerospace, Inc.
8.500%, 10/01/10 187,044
429,000 Broder Brothers Co.(a)(c)
11.250%, 10/15/10 418,275
300,000 Delta Air Lines, Inc.
10.125%, 05/15/10 169,670
1,125,000 GBP EMI Group, PLC
9.750%, 05/20/08 2,148,292
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 202,000 Fedders Corp.(a)
9.875%, 03/01/14 $ 196,589
343,000 Inn of the Mountain Gods(a)
12.000%, 11/15/10 377,520
429,000 Interpublic Group of
Companies, Inc.(c)
7.250%, 08/15/11 458,106
J.C. Penney Company, Inc.(c)
172,000 9.000%, 08/01/12 209,352
129,000 7.650%, 08/15/16 145,431
425,000 Kellwood Company
7.625%, 10/15/17 454,582
322,000 La Quinta Corp.
8.875%, 03/15/11 358,751
1,015,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 1,088,419
429,000 Perry Ellis International,
Inc.
8.875%, 09/15/13 454,740
686,000 Rent-A-Center, Inc.(c)
7.500%, 05/01/10 717,288
1,021,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 998,047
429,000 Russell Corp.
9.250%, 05/01/10 452,595
686,000 Tower Automotive, Inc.(c)
12.000%, 06/01/13 674,388
1,201,000 United Rentals, Inc.(a)(c)
7.000%, 02/15/14 1,123,122
738,000 Vail Resorts, Inc.(a)
6.750%, 02/15/14 726,812
601,000 Warnaco Group, Inc.
8.875%, 06/15/13 648,648
--------------
12,510,245
--------------
CONSUMER GROWTH STAPLES (1.6%)
931,000 Alpharma, Inc.(a)(c)
8.625%, 05/01/11 982,131
86,000 American Greetings Corp.
11.750%, 07/15/08 100,815
1,397,000 Ameripath, Inc.(c)
10.500%, 04/01/13 1,438,287
1,115,000 Ardent Health Services, Inc.
10.000%, 08/15/13 1,226,940
1,253,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 1,264,948
558,000 CBD Media, LLC
8.625%, 06/01/11 598,133
Charter Communications, Inc.
601,000 10.000%, 04/01/09 521,021
429,000 9.625%, 11/15/09 366,795
172,000 11.125%, 01/15/11 151,866
472,000 Chattem, Inc.(a)(c)
7.000%, 03/01/14 462,462
257,000 Curative Health Services,
Inc.(a)
10.750%, 05/01/11 259,652
429,000 DEX Media, Inc.(a)(c)
8.000%, 11/15/13 418,275
See accompanying Notes to Schedule of Investments. 5
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 798,000 Hasbro, Inc.
6.600%, 07/15/28 $ 770,012
541,000 Houghton Mifflin Company(c)
9.875%, 02/01/13 536,486
554,000 Mariner Health Care,
Inc.(a)(c)
8.250%, 12/15/13 562,582
1,158,000 Mediacom Communications
Corp.(c)
9.500%, 01/15/13 1,158,300
549,000 Playtex Products, Inc.(a)(c)
8.000%, 03/01/11 579,322
107,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 123,069
558,000 Quintiles Transitional
Corp.(a)
10.000%, 10/01/13 580,008
1,030,000 Rite Aid Corp.(c)
6.875%, 08/15/13 972,972
815,000 Spanish Broadcasting System,
Inc.
9.625%, 11/01/09 866,044
300,000 WH Intermediate Holdings,
Ltd.(a)
9.500%, 04/01/11 320,570
--------------
14,260,690
--------------
CONSUMER STAPLES (0.4%)
485,000 Del Monte Foods Company
8.625%, 12/15/12 538,571
515,000 DIMON, Inc.
7.750%, 06/01/13 505,791
Dole Food Company, Inc.
1,167,000 8.875%, 03/15/11 1,248,562
383,000 8.625%, 05/01/09 411,368
300,000 Gold Kist, Inc.(a)
10.250%, 03/15/14 316,817
343,000 Pinnacle Foods Holding(a)
8.250%, 12/01/13 359,931
Seminis Vegetable Seeds
172,000 10.250%, 10/01/13 191,334
86,000 10.250%, 10/01/13(a) 96,096
172,000 Smithfield Foods, Inc.
7.750%, 05/15/13 186,186
172,000 Standard Commercial
Corp.(a)(c)
8.000%, 04/15/12 178,035
--------------
4,032,691
--------------
CREDIT CYCLICAL (0.6%)
1,132,000 EUR HeidelbergCement Finance(a)
7.375%, 07/15/10 1,506,315
2,004,000 Texas Industries, Inc.
10.250%, 06/15/11 2,283,910
635,000 EUR Waterford Wedgewood PLC(a)
9.875%, 12/01/10 768,722
558,000 WCI Communities, Inc.(c)
7.875%, 10/01/13 585,585
--------------
5,144,532
--------------
ENERGY (1.1%)
772,000 Arch Coal, Inc.(a)
6.750%, 07/01/13 799,227
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
Chesapeake Energy Corp.(c)
$ 343,000 6.875%, 01/15/16(a) $ 350,064
172,000 7.750%, 01/15/15 186,186
429,000 Forest Oil Corp.(c)
8.000%, 12/15/11 476,190
257,000 Giant Industries, Inc.(c)
11.000%, 05/15/12 289,575
974,000 Houston Exploration Company
7.000%, 06/15/13 1,020,087
KCS Energy, Inc.
425,000 8.875%, 01/15/06 437,273
395,000 7.125%, 04/01/12(a) 396,653
257,000 Massey Energy Company(c)
6.950%, 03/01/07 265,122
129,000 Nuevo Energy Company
9.375%, 10/01/10 143,501
528,000 Paramount Resources, Ltd.
7.875%, 11/01/10 525,032
Petrobras International
Finance Co.(c)
644,000 8.375%, 12/10/18 608,108
429,000 9.125%, 07/02/13 432,218
1,673,000 Premcor, Inc.
7.500%, 06/15/15 1,773,486
369,000 Swift Energy Company
10.250%, 08/01/09 392,921
Tesoro Petroleum Corp.(c)
429,000 9.000%, 07/01/08 447,233
102,000 9.625%, 04/01/12 115,145
343,000 Tom Brown, Inc.
7.250%, 09/15/13 391,248
1,115,000 Williams Companies, Inc.(c)
8.625%, 06/01/10 1,232,517
--------------
10,281,786
--------------
FINANCIAL (0.5%)
429,000 Fairfax Financial Holdings
Limited 6.875%, 04/15/08 444,015
Host Marriott Corp.(c)
944,000 7.125%, 11/01/13 962,676
180,000 9.250%, 10/01/07 202,703
1,030,000 Leucadia National Corp.(c)
7.000%, 08/15/13 1,055,340
1,115,000 LNR Property Corp.
7.625%, 07/15/13 1,154,439
Senior Housing Properties
Trust
459,000 7.875%, 04/15/15 488,867
429,000 8.625%, 01/15/12(c) 482,625
--------------
4,790,665
--------------
TELECOMMUNICATIONS (0.3%)
257,000 AT&T Corp.
8.750%, 11/15/31 273,145
341,000 General Cable Corp.(a)(c)
9.500%, 11/15/10 374,689
1,377,000 Lucent Technologies, Inc.(c)
7.250%, 07/15/06 1,437,338
6 See accompanying Notes to Schedule of Investments.
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 601,000 Nextel Communications, Inc.
7.375%, 08/01/15 $ 626,876
129,000 Primus Telecommunications
Group, Inc.(a)(c)
8.000%, 01/15/14 119,048
--------------
2,831,096
--------------
TRANSPORTATION (0.2%)
129,000 GATX Corp.
8.875%, 06/01/09 146,909
935,000 General Maritime Corp.
10.000%, 03/15/13 1,056,799
648,000 Laidlaw Global Securities,
Inc.(a)
10.750%, 06/15/11 730,383
87,000 Overseas Shipholding Group,
Inc.
8.750%, 12/01/13 99,223
--------------
2,033,314
--------------
UTILITIES (0.6%)
772,000 AES Corp.(c)
8.500%, 11/01/07 794,401
2,403,000 Calpine Corp.(c)
8.500%, 02/15/11 1,693,692
429,000 Centerpoint Energy, Inc.(c)
6.850%, 06/01/15 436,426
Edison International(c)
515,000 9.875%, 04/15/11 532,818
343,000 10.000%, 08/15/08 362,076
429,000 PSEG Energy Holdings, LLC
8.625%, 02/15/08 463,320
1,081,000 Teco Energy, Inc.(c)
7.500%, 06/15/10 1,110,810
--------------
5,393,543
--------------
TOTAL CORPORATE BONDS 94,409,254
--------------
NUMBER OF
CONTRACTS VALUE
-----------------------------------------------------------------
OPTIONS (1.8%)
CAPITAL GOODS - TECHNOLOGY (0.2%)
5,000 Motorola, Inc.(b)
Call, 01/21/06, Strike 20 1,600,000
--------------
CONSUMER CYCLICAL (0.3%)
2,200 Carnival Corp.(b)
Call, 01/21/06, Strike 45 1,188,000
International Game
Technology(b)
2,400 Call, 01/21/06, Strike 50 840,000
825 Call, 01/21/06, Strike 45 398,900
1,500 J.C. Penney Company, Inc.(b)
Call, 01/21/06, Strike 40 543,600
--------------
2,970,500
--------------
CONSUMER GROWTH STAPLES (0.6%)
900 Bausch & Lomb, Inc.(b)
Call, 01/21/06, Strike 65 747,000
1,200 Biogen, Inc.(b)
Call, 01/21/06, Strike 70 1,080,210
NUMBER OF
CONTRACTS VALUE
-----------------------------------------------------------------
1,500 Nike, Inc.(b)
Call, 01/21/06, Strike 80 $ 952,500
3,000 Starbucks Corp.(b)
Call, 01/21/06, Strike 45 1,260,000
1,250 United Health Group, Inc.(b)
Call, 01/21/06, Strike 65 1,040,070
--------------
5,079,780
--------------
CONSUMER STAPLES (0.2%)
4,000 Tyson Foods, Inc.(b)
Call, 01/21/06, Strike 17.5 1,560,000
--------------
ENERGY (0.1%)
2,700 Transocean, Inc.(b)
Call, 01/21/06, Strike 30 1,268,820
--------------
FINANCIAL (0.3%)
2,200 Allstate Corp.(b)
Call, 01/21/06, Strike 45 1,177,000
1,200 Countrywide Financial Corp.(b)
Call, 01/21/06, Strike 60 1,998,000
--------------
3,175,000
--------------
TELECOMMUNICATIONS (0.1%)
1,100 QUALCOMM, Inc.(b)
Call, 01/21/06, Strike 70 1,023,000
--------------
TOTAL OPTIONS 16,677,100
--------------
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES
(Cost $108,170,877) 111,086,354
==============
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (17.8%)
CAPITAL GOODS - INDUSTRIAL (5.4%)
225,000 Cummins, Inc.
7.000% 16,115,625
590,000 Ford Motor Company
Capital Trust II
6.500% 33,293,700
--------------
49,409,325
--------------
CONSUMER GROWTH STAPLES (4.4%)
810,000 Cablevision Systems Corp.
6.500% 18,476,100
440,000 Cendant Corp.
7.750% 21,912,000
--------------
40,388,100
FINANCIAL (2.0%)
500,000 National Australia Bank, Ltd.
7.875% 17,955,000
--------------
TELECOMMUNICATIONS (2.9%)
532,000 Alltel Corp.
7.750% 26,520,200
--------------
See accompanying Notes to Schedule of Investments. 7
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------
UTILITIES (3.1%)
450,000 Ameren Corp.
9.750% $ 12,217,500
375,000 TXU Corp.(c)
8.125% 15,746,250
--------------
27,963,750
--------------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $150,669,827) 162,236,375
==============
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
SHORT TERM INVESTMENTS (38.1%)
$347,382,057 Bank of New York Institutional
Cash Reserve Fund(d),
current rate 1.110% $ 347,382,057
977,000 Exxon Mobil Corporation
Commercial Paper
0.840%, 05/03/04 976,954
--------------
TOTAL SHORT TERM
INVESTMENTS
(Cost $348,359,011) 348,359,011
==============
TOTAL INVESTMENTS (180.0%)
(Cost $1,587,277,556) 1,645,470,684
==============
LIABILITIES, LESS OTHER ASSETS (-33.0%) (301,179,791)
PREFERRED SHARES AT REDEMPTION VALUE, INCLUDING
DIVIDENDS PAYABLE (-47.0%) (430,000,000)
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
(100.0%) $ 914,290,893
==============
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market values for securities denominated in foreign currencies are show in
U.S. dollars.
(a) 144A securities are those that are exempt from registration under Rule 144A
of the Securities Act of 1933, as amended. These securities are generally
issued to qualified institutional buyers ("QIBs"), such as the Fund. Any
resale of these securities must generally be effected through a sale that is
exempt from registration (e.g. a sale to another QIB), or the security must
be registered for public sale. At April 30, 2004, the market value of 144A
securities that cannot currently be exchanged to the registered form is
$228,481,981 or 25.0% of net assets applicable to common shareholders of the
Fund.
(b) Non-income producing security.
(c) Security, or portion of security, is on loan.
(d) Security is purchased with the cash collateral from securities loaned.
FOREIGN CURRENCY ABBREVIATIONS
EUR: European Monetary Unit
GBP: Great Britain Pound
8 See accompanying Notes to Financial Statements.
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2004 (UNAUDITED)
------------------------------------------------------------------------------
ASSETS
Investments, at value* (cost $1,587,277,556) $1,645,470,684
Cash with custodian (interest bearing) 15,334,225
Accrued interest and dividends receivable 30,060,035
Unrealized appreciation on interest rate swaps 2,503,807
Prepaid expenses 104,552
Other assets 3,363
--------------
Total Assets 1,693,476,666
--------------
LIABILITIES
Payable upon return of securities loaned 347,382,057
Payable for investments purchased 796,344
Payable to investment advisor 776,251
Payable for deferred compensation to Trustees 3,363
Other accounts payable and accrued liabilities 227,758
--------------
Total Liabilities 349,185,773
--------------
PREFERRED SHARES
$25,000 liquidation value per share applicable to 17,200
shares, including dividends payable $ 430,000,000
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 914,290,893
==============
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized,
60,653,127 shares issued and outstanding $ 863,180,791
Undistributed net investment income (loss) 7,996,627
Accumulated net realized gain (loss) on investments, foreign
currency transactions and interest rate swaps (17,607,892)
Net unrealized appreciation (depreciation) on investments,
foreign currency translations and interest rate swaps 60,721,367
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 914,290,893
==============
Net asset value per common share based on 60,653,127 shares
issued and outstanding $ 15.07
==============
* Includes $330,501,439 of securities loaned.
See accompanying Notes to Financial Statements. 9
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2004 (UNAUDITED)
---------------------------------------------------------------------------
INVESTMENT INCOME
Interest $47,247,531
Dividends 7,435,876
Securities lending income 618,059
-----------
Total investment income 55,301,466
-----------
EXPENSES
Investment advisory fees 5,367,350
Auction agent fees 555,684
Accounting fees 170,141
Printing and mailing fees 54,763
Custodian fees 46,410
Audit and legal fees 38,896
Registration fees 21,499
Transfer agent fees 13,323
Financial accounting fees 12,821
Trustees' fees 8,043
Other 4,873
-----------
Total expenses 6,293,803
Less expenses waived (670,919)
-----------
Net expenses 5,622,884
-----------
NET INVESTMENT INCOME (LOSS) 49,678,582
-----------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS,
FOREIGN CURRENCY AND INTEREST RATE SWAPS
Net realized gain (loss) from:
Investments (7,926,666)
Foreign currency transactions 82,093
Interest rate swaps (4,275,472)
Change in net unrealized appreciation/depreciation on:
Investments 22,286,062
Foreign currency translations (25,977)
Interest rate swaps 3,066,331
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS,
FOREIGN CURRENCY AND INTEREST RATE SWAPS 13,206,371
-----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 62,884,953
-----------
DIVIDENDS TO PREFERRED SHAREHOLDERS FROM
Net investment income (2,506,998)
-----------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS RESULTING FROM OPERATIONS $60,377,955
===========
10 See accompanying Notes to Financial Statements.
STATEMENT OF CHANGES
IN NET ASSETS
FOR THE FOR THE PERIOD
SIX MONTHS ENDED ENDED OCTOBER
APRIL 30, 2004 (UNAUDITED) 31, 2003
-------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income (loss) $ 49,678,582 $ 27,980,023
Net realized gain (loss) from investments, foreign currency
transactions and interest rate swaps (12,120,045) (5,406,515)
Change in net unrealized appreciation/depreciation on
investments, foreign currency translations and interest
rate swaps 25,326,416 35,394,951
Dividends to preferred shareholders from
Net investment income (2,506,998) (1,213,810)
------------ ------------
Net increase (decrease) in net assets applicable to common
shareholders resulting from operations 60,377,955 56,754,649
------------ ------------
DIVIDENDS TO COMMON SHAREHOLDERS FROM
Net investment income (44,173,142) (21,968,817)
CAPITAL STOCK TRANSACTIONS
Proceeds from initial offering -- 859,692,275
Offering costs on common shares -- (1,481,905)
Offering costs on preferred shares -- (4,704,000)
Reinvestment of dividends resulting in the issuance of
common stock 6,934,146 2,859,732
------------ ------------
Net increase (decrease) in net assets from capital stock
transactions 6,934,146 856,366,102
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS 23,138,959 891,151,934
------------ ------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Beginning of period* 891,151,934 --
End of period $914,290,893 $891,151,934
============ ============
Undistributed net investment income (loss) $ 7,996,627 $ 4,998,185
* The Fund commenced operations on May 30, 2003.
See accompanying Notes to Financial Statements. 11
NOTES TO FINANCIAL STATEMENTS
(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 as a diversified, closed-end management
investment company. The Fund commenced operations on May 30, 2003.
The Fund's investment objective is to provide total return, through a
combination of capital appreciation and current income. The Fund currently seeks
to achieve its investment objective by investing substantially all of its assets
in convertible securities and non-convertible income securities.
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities, including options, that are traded on a national securities exchange
are valued at the last reported sales price. Securities quoted on the NASDAQ
National Market System are valued at the Nasdaq Official Closing Price ("NOCP"),
as determined by Nasdaq, or lacking an NOCP, the last current reported sale
price as of the time of valuation. Securities traded in the over-the counter
market and listed securities for which no sales were reported are valued at the
mean of the most recently quoted bid and asked prices. Short-term securities
with maturities of 60 days or less are valued at amortized cost which
approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is valued at a fair value following procedures approved by the Board of
Trustees or a committee thereof. These procedures may utilize valuations
furnished by pricing services approved by the Board of Trustees or a committee
thereof, 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.
Securities that are principally traded in a foreign market are valued as of the
close of the appropriate exchange or other designated time. Trading in
securities on European and Far Eastern securities exchanges and over-the-counter
markets is normally completed at various times before the close of business on
each day on which the New York Stock Exchange ("NYSE") is open. Trading of these
securities may not take place on every NYSE business day. In addition, trading
may take place in various foreign markets on Saturdays or on other days when the
NYSE is not open and on which the Fund's net asset value is not calculated.
Therefore, such calculation does not take place contemporaneously with the
determination of the prices of many of the portfolio securities used in such
calculation and the value of the Fund's portfolio may be significantly affected
on days when shares of the Fund may not be purchased or redeemed. As stated
above, if the market prices are not readily available or are not reflective of
the fair value of the security, the security will be valued at a fair value
following procedures approved by the Board of Trustees or a committee thereof.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. Short term investment
transactions are recorded on a trade date basis. Long term investment
transactions are recorded on a trade date plus one basis, except for April 30th
and October 31st, which are recorded on trade date. Net realized gains and
losses from investment transactions are reported on an identified cost basis.
Interest income is recognized using the accrual method and includes accretion of
original issue and market discount and amortization of premium. Dividend income
is recognized on the ex-dividend date, except that certain dividends from
foreign securities are recorded as soon as the information becomes available.
FOREIGN CURRENCY TRANSLATION. Values of investments denominated in foreign
currencies are converted into U.S. dollars using the spot market rate of
exchange. Purchases and sales of investments and dividend and interest income
are translated into U.S. dollars using the spot market rate of exchange
prevailing on the respective dates of such transaction.
FEDERAL INCOME TAXES. No provision has been made for Federal income taxes since
the Fund is taxed as a "regulated investment company" under Subchapter M of the
Internal Revenue Code of 1986.
12
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
DIVIDENDS. Dividends payable to shareholders are recorded by the Fund on the
ex-dividend date. Income and capital gain dividends are determined in accordance
with income tax regulations, which may differ from accounting principles
generally accepted in the United States. These differences are primarily due to
differing treatments for foreign currency transactions and contingent payment
debt instruments.
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States requires
management to make estimates and assumptions that affect the amounts reported in
the financial statements and accompanying notes. Actual results may differ from
those estimates.
NOTE 2 - INVESTMENT ADVISER AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with CALAMOS ASSET MANAGEMENT, INC.
("CAM"), the Fund pays an annual fee, payable monthly, equal to 0.80% based on
the average weekly managed assets. "Managed Assets" means the total assets of
the Fund (including any assets attributable to any leverage that may be
outstanding) minus the sum of total liabilities (other than debt representing
financial leverage). CAM has contractually agreed to waive a portion of its
management fee at the annual rate of 0.10% of the average weekly managed assets
of the Fund for the first five full years of the Fund's operation (through May
31, 2008) and to waive a declining amount for an additional three years (0.07%
of the average weekly managed assets in 2009, 0.05% in 2010, and 0.03% in 2011).
Effective April 1, 2004, CAM receives a fee payable monthly at the annual rate
of 0.0175% on the first $1 billion of Combined Assets (Calamos Investment Trust,
Calamos Advisor Trust, Calamos Convertible and High Income Fund and Calamos
Strategic Total Return Fund); 0.0150% on the next $1 billion of Combined Assets;
and 0.0110% on Combined Assets above $2 billion for financial accounting
services. The Fund will pay its pro rata share of the financial accounting
service fee payable to CAM based on relative managed assets of the Fund.
Certain portfolio transactions for the Fund may be executed through CALAMOS
FINANCIAL SERVICES, INC. ("CFS") as broker, consistent with the Fund's policy of
obtaining best price and execution. During the six months ended April 30, 2004,
the Fund paid no brokerage commissions to CFS on purchases or sales of Fund
securities.
Certain officers and trustees of the Fund are also officers and directors of CFS
and CAM. All officers and affiliated trustees serve without direct compensation
from the Fund.
The Fund has adopted a deferred compensation plan (the "Plan"). Under the Plan,
a Trustee who is not an "interested person" of CAM and has elected to
participate in the Plan (a "participating trustee") may defer receipt of all or
a portion of his compensation from the Fund. The deferred compensation payable
to the participating trustee is credited to the trustee's deferral account as of
the business day such compensation would have been paid to the trustee. The
value of a trustee's deferred compensation account at any time is equal to what
would be the value if the amounts credited to the account had instead been
invested in shares of one or more of the Funds of the Calamos Investment Trust
as designated by the trustee. Thus, the value of the account increases with
contributions to the account or with increases in the value of the measuring
shares, and the value of the account decreases with withdrawals from the account
or with declines in the value of the measuring shares. If a participating
trustee retires, the trustee may elect to receive payments under the plan in a
lump sum or in equal installments over a period of five years. If a
participating trustee dies, any amount payable under the Plan will be paid to
the trustee's beneficiaries. Deferred compensation investments of $3,363 are
included in "Other Assets" on the Statement of Assets and Liabilities at April
30, 2004. The Fund's obligation to make payments under the Plan is a general
obligation of the Fund.
13
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
NOTE 3 - INVESTMENTS
Purchases and sales of investments other than short-term obligations for the six
months ended April 30, 2004 were as follows:
Purchases $ 221,771,355
Proceeds from sales 191,083,367
The following information is presented on an income tax basis as of April 30,
2004. Differences between amounts for financial statements and Federal income
tax purposes are primarily due to timing differences.
The cost basis of investments for Federal income tax purposes at April 30, 2004
was as follows:
Cost basis of investments $1,587,085,894
Gross unrealized appreciation 70,176,172
Gross unrealized depreciation (11,791,382)
--------------
Net unrealized appreciation (depreciation) $ 58,384,790
==============
NOTE 4 - 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 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 exchange rates, and an unrealized gain or loss is recorded. The Fund
realizes a gain or loss upon settlement of the contracts. There were no open
forward foreign currency contracts at April 30, 2004.
NOTE 5 - OPTIONS TRANSACTIONS
The Fund may engage in options transactions and in doing so achieve the similar
objectives to what they would achieve through the sale or purchase of individual
securities. Net realized gain on option transactions were $1,445,021 for the six
months ended April 30, 2004.
NOTE 6 - DISTRIBUTIONS TO SHAREHOLDERS
The tax character of distributions paid during the period ended October 31, 2003
is as follows:
OCTOBER 31, 2003
--------------------------------------------------------------------------------
Distribution paid from:
Ordinary income $23,182,627
Net long-term capital gains --
-----------
Total taxable distribution 23,182,627
===========
As of October 31 2003, the components of accumulated
earnings/(losses) on a tax basis were as follows:
Undistributed ordinary income -- net 4,232,756
Undistributed long term capital gains -- net --
-----------
Total undistributed earnings -- net 4,232,756
Capital loss carryforward (5,487,847)*
Unrealized gains/(losses) -- net 36,160,379**
-----------
Total accumulated earnings/(losses) -- net $34,905,288
===========
* As of October 31, 2003, the Fund had capital loss carryforwards of
$5,487,847, which if not used, will expire in 2011.
** The difference between book-basis and tax-basis unrealized gains/(losses) is
attributable to the difference between book and tax amortization methods for
premiums and discounts on fixed income securities and other temporary
book/tax differences.
14
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
NOTE 7 - COMMON STOCK
There are unlimited common shares of beneficial interest authorized and
60,653,127 shares outstanding at April 30, 2004. CAM owned 14,447 of the
outstanding shares. Transactions in common shares were as follows:
SIX MONTHS ENDED PERIOD ENDED
APRIL 30, 2004 OCTOBER 31, 2003
----------------------------------------------------------------------------------------------------
Beginning Shares 60,208,549 --
Shares Sold -- 60,013,451
Shares Issued Through Reinvestment of Distributions 444,578 195,098
---------- ----------
Ending Shares 60,653,127 60,208,549
---------- ----------
NOTE 8 - 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.
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven and twenty-eight days based on the results of an auction. Dividend rates
ranged from 1.00% to 1.51% for the six months ended April 30, 2004. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make other
distribution on shares of common stock or purchases any such shares if, at the
time of the declaration, distribution or purchase, asset coverage with respect
to the outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the option of the Fund, in whole or in
part, on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of preferred shares or the holders of common shares.
NOTE 9 - INTEREST RATE TRANSACTIONS
The Fund may enter into interest rate swap or cap transactions to attempt to
protect itself from increasing dividend or interest expense on its leverage
resulting from increasing short-term interest rates. A decline in interest rates
may result in a decline in the value of the swap or cap, which may result in a
decline in the net asset value of the Fund. In addition, if the counterparty to
an interest rate swap or cap defaults, the Fund would not be able to use the
anticipated receipts under the swap or cap to offset the dividend or interest
payments on the Fund's leverage. At the time an interest rate swap or cap
reaches its scheduled termination, there is a risk that the Fund would not be
able to obtain a replacement transaction or that the terms of the replacement
would not be as favorable as on the expiring transaction. In addition, if the
Fund is required to terminate any swap or cap early due to the Fund failing to
maintain a required 200% asset coverage of the liquidation value of the
outstanding preferred shares or the Fund loses its credit rating on its
preferred shares, then the Fund could be required
15
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
to make a termination payment, in addition to redeeming all or some of the
preferred shares. Details of the swap agreements outstanding as of April 30,
2004 were as follows:
UNREALIZED
TERMINATION NOTIONAL APPRECIATION
COUNTERPARTY DATE AMOUNT (000) FIXED RATE FLOATING RATE (DEPRECIATION)
---------------------------------------------------------------------------------------------------------------------------------
Citibank NA October 27, 2006 $100,000 2.80% 1 month LIBOR $ 358,086
Citibank NA October 27, 2007 200,000 3.27% 1 month LIBOR 1,310,255
Citibank NA October 27, 2008 100,000 3.65% 1 month LIBOR 835,466
----------
$2,503,807
================ ======== ===== ============= ==========
NOTE 10 - SECURITIES LENDING
During the six months ended April 30, 2004, the Fund lent certain of its
securities to broker-dealers and banks. Any such loan must be continuously
secured by collateral in cash or cash equivalents maintained on a current basis
in an amount at least equal to the market value of the securities loaned by the
Fund. The Fund would continue to receive the equivalent of the interest or
dividends paid by the issuer on the securities loaned and would also receive an
additional return that may be in the form of a fixed fee or a percentage of the
collateral. The Fund may pay reasonable fees to persons unaffiliated with the
Fund for services in arranging these loans. The Fund would have the right to
call the loan and obtain the securities loaned at any time on notice of not more
than five business days. The Fund would 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 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) expenses of enforcing its rights. In an effort to
reduce these risks, the investment manager will monitor the creditworthiness of
the firms to which the Fund lends securities. At April 30, 2004, the Fund had
securities valued at $330,501,439 on loan to brokers-dealers and banks and,
$347,382,057 in cash equivalent collateral.
16
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD WAS AS
FOLLOWS:
May 30, 2003*
For the Six Months through
Ended April 30, 2004 October 31,
(unaudited) 2003
-----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 14.80 $ 14.32(a)
-------- --------
Income from investment operations:
Net investment income (loss) 0.83 0.44
Net realized and unrealized gain (loss) from investments,
foreign currency and interest rate swaps 0.21 0.46
Dividends to preferred shareholders from Net investment
income (common stock equivalent basis) (0.04) (0.02)
-------- --------
Total from investment operations 1.00 0.88
-----------------------------------------------------------------------------------------------------
Less dividends to common shareholders from Net investment
income (0.73) (0.37)
Capital charge resulting from issuance of common and
preferred shares -- (0.03)
-------- --------
-----------------------------------------------------------------------------------------------------
Net asset value, end of period $ 15.07 $ 14.80
======== ========
Market value, end of period $ 15.15 $ 16.00
-----------------------------------------------------------------------------------------------------
Total investment return based on (b):
Net asset value 6.70% 5.92%
Market value -0.78% 9.36%
-----------------------------------------------------------------------------------------------------
Ratios and Supplemental Data
Net assets applicable to common shareholders, end of period
(000's omitted) $914,291 $891,152
Preferred shares, at redemption value ($25,000 per share
liquidation preference) (000's omitted) $430,000 $430,000
Ratios to average net assets:
Net expenses(c) 1.23% 1.11%
Gross expenses prior to waiver of expense by the adviser(c) 1.38% 1.24%
Net investment income (loss)(c) 10.88% 7.85%
Preferred share dividends(c) 0.55% 0.34%
Net investment income, net of preferred share dividends(c) 10.33% 7.51%
Portfolio turnover rate 15% 20%
Asset coverage per preferred share, at end of period(d) $ 78,156 $ 76,811
-----------------------------------------------------------------------------------------------------
* Commencement of operations.
(a) Net of sales load of $0.68 on initial shares issued.
(b) Total investment return is calculated assuming a purchase of common stock on
the opening of the first day and a sale on the closing of the last day of
the period reported. Dividends and distributions are assumed, for purposes
of this calculation, to be reinvested at prices obtained under the Fund's
dividend reinvestment plan. Total return is not annualized for periods less
than one year. Brokerage commissions are not reflected.
(c) Annualized.
(d) Calculated by subtracting the Fund's total liabilities (not including
preferred shares) from the Fund's total assets and dividing this by the
number of preferred shares outstanding.
17
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
CALAMOS Convertible and High Income Fund
We have reviewed the accompanying statement of assets and liabilities, including
the schedule of investments, of CALAMOS Convertible and High Income Fund (the
"Fund") as of April 30, 2004, and the related statements of operations and
changes in net assets and the financial highlights for the semi-annual period
then ended. These interim financial statements and financial highlights are the
responsibility of the Fund's management.
We conducted our review in accordance with standards of the Public Company
Accounting Oversight Board (United States). A review of interim financial
information consists principally of applying analytical procedures and making
inquiries of persons responsible for financial and accounting matters. It is
substantially less in scope than an audit conducted in accordance with standards
of the Public Company Accounting Oversight Board (United States), the objective
of which is the expression of an opinion regarding the financial statements
taken as a whole. Accordingly, we do not express such an opinion.
Based on our review, we are not aware of any material modifications that should
be made to such interim financial statements and financial highlights for them
to be in conformity with accounting principles generally accepted in the United
States of America.
We have previously audited, in accordance with standards of the Public Company
Accounting Oversight Board (United States), the statement of assets and
liabilities, including the schedule of investments, of the Fund as of October
31, 2003, and the related statements of operations and changes in net assets and
the financial highlights for the period from May 30, 2003 (commencement of
operations) through October 31, 2003; and in our report dated December 17, 2003,
we expressed an unqualified opinion on those financial statements and financial
highlights.
/s/ Deloitte & Touche LLP
Chicago, Illinois
June 15, 2004
18
FOR 24 HOUR SHAREHOLDER ASSISTANCE
800.432.8224
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB-SITE
www.calamos.com
INVESTMENT ADVISER
CALAMOS ASSET MANAGEMENT, INC.
1111 E. Warrenville Road
Naperville, IL 60563-1463
CUSTODIAN AND TRANSFER AGENT
The Bank of New York
P.O. Box 11258
Church Street Station
New York, New York 10286
800.524.4458
INDEPENDENT AUDITORS
Deloitte & Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
[RECYCLED LOGO] 1791 04/04
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END FUNDS.
Not applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 10. 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-CSR
was recorded, processed, summarized, and reported on a timely basis.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of
1940) that occurred during the registrant's last fiscal half-year (the
registrant's second fiscal half-year in the case of an annual report) that
has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 11. EXHIBITS.
(a)(1) Code of Ethics -- Not applicable.
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) 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: July 6, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: July 6, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Convertible and High Income Fund
By: /s/ John P. Calamos, Sr.
-----------------------------------------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: July 6, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: July 6, 2004