UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21319
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible and High
Income Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 1111 East Warrenville Road, Naperville,
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Asset Management,
Inc., 1111 East Warrenville Road,
Naperville, Illinois
60563-1493
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2005
DATE OF REPORTING PERIOD: November 1, 2004 through January 31, 2005
CONVERTIBLE AND HIGH INCOME FUND
ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
CORPORATE BONDS (100.5%)
CONSUMER DISCRETIONARY (22.2%)
$ 2,330,000 Accuride Corp.(a)
8.500%, 02/01/15 $ 2,411,550
2,542,000 Asbury Automotive
Group, Inc.(b)
9.000%, 06/15/12 2,700,875
8,473,000 Beazer Homes USA, Inc.(b)
8.375%, 04/15/12 9,341,482
4,237,000 Broder Bros. Co.(b)
11.250%, 10/15/10 4,544,182
5,508,000 CBD Media, LLC
8.625%, 06/01/11 5,783,400
Charter Communications, Inc.
5,931,000 10.000%, 04/01/09 5,026,522
4,237,000 9.625%, 11/15/09(b) 3,474,340
1,695,000 11.125%, 01/15/11(b) 1,440,750
4,237,000 DEX Media, Inc.(b)
8.000%, 11/15/13 4,522,997
11,109,000 GBP EMI Group, PLC
9.750%, 05/20/08 23,024,531
General Motors Corp.
6,694,000 8.250%, 07/15/23 6,766,402
678,000 7.125%, 07/15/13(b) 675,418
Goodyear Tire & Rubber Company(b)
4,237,000 7.000%, 03/15/28 3,665,005
3,389,000 7.857%, 08/15/11 3,439,835
7,880,000 Hasbro, Inc.(b)
6.600%, 07/15/28 7,958,800
5,338,000 Houghton Mifflin Company(b)
9.875%, 02/01/13 5,591,555
3,389,000 IMAX Corp.
9.625%, 12/01/10 3,685,538
3,389,000 Inn of the Mountain Gods(b)
12.000%, 11/15/10 3,965,130
4,237,000 Interpublic Group of Companies,
Inc.(b)
7.250%, 08/15/11 4,628,003
2,542,000 Intrawest Corp.(a)
7.500%, 10/15/13 2,681,810
J.C. Penney Company, Inc.
1,695,000 9.000%, 08/01/12(b) 2,080,613
1,271,000 7.650%, 08/15/16 1,458,473
2,542,000 Jarden Corp.
9.750%, 05/01/12 2,783,490
4,194,000 Kellwood Company
7.625%, 10/15/17 4,613,400
3,177,000 La Quinta, Corp.(b)
8.875%, 03/15/11 3,522,499
2,966,000 Landry's Restaurants, Inc.(a)
7.500%, 12/15/14 2,906,680
2,542,000 Mandalay Resort Group(b)
7.625%, 07/15/13 2,783,490
11,439,000 Mediacom Communications
Corp.(b)
9.500%, 01/15/13 11,467,598
10,022,000 Oxford Industries, Inc.
8.875%, 06/01/11 10,723,540
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
$ 4,237,000 Perry Ellis International, Inc.
8.875%, 09/15/13 $ 4,427,665
847,000 Pinnacle Entertainment, Inc.(b)
8.250%, 03/15/12 906,290
6,779,000 Rent-A-Center, Inc.
7.500%, 05/01/10 7,024,739
3,177,000 CAD Rogers Cable, Inc.(a)
7.250%, 12/15/11 2,653,368
3,813,000 CAD Rogers Wireless Communications,
Inc.(a)
7.625%, 12/15/11 3,215,274
10,083,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 11,166,923
4,237,000 Russell Corp.
9.250%, 05/01/10 4,575,960
8,050,000 Spanish Broadcasting Systems,
Inc.
9.625%, 11/01/09 8,472,625
7,287,000 Vail Resorts, Inc.
6.750%, 02/15/14 7,387,196
5,931,000 Warnaco Group, Inc.
8.875%, 06/15/13 6,553,755
Warner Music Group(a)
1,695,000 GBP 8.125%, 04/15/14 3,316,822
1,695,000 7.375%, 04/15/14 1,779,750
5,508,000 WCI Communities, Inc.(b)
7.875%, 10/01/13 5,907,330
------------
215,055,605
------------
CONSUMER STAPLES (8.2%)
1,695,000 Central Garden & Pet Company
9.125%, 02/01/13 1,868,737
4,660,000 Chattem, Inc.
7.000%, 03/01/14 4,793,975
3,813,000 Chiquita Brands International,
Inc.(a)
7.500%, 11/01/14 3,889,260
4,792,000 Del Monte Foods Company
8.625%, 12/15/12 5,349,070
5,084,000 DIMON, Inc.
7.750%, 06/01/13 5,516,140
Dole Food Company, Inc.
11,524,000 8.875%, 03/15/11 12,431,515
3,779,000 8.625%, 05/01/09 4,161,624
1,914,000 Gold Kist, Inc.
10.250%, 03/15/14 2,229,810
424,000 Hines Horticulture, Inc.
10.250%, 10/01/11 465,340
11,439,000 Jean Coutu Group, Inc.(a)(b)
8.500%, 08/01/14 11,467,597
3,389,000 Pinnacle Foods Holding(a)(b)
8.250%, 12/01/13 3,117,880
5,423,000 Playtex Products, Inc.
8.000%, 03/01/11 5,938,185
9,321,000 Rayovac Corp.(b)
8.500%, 10/01/13 10,043,377
2,542,000 Semins Vegetable Seeds
10.250%, 10/01/13 3,050,400
1,695,000 Smithfield Foods, Inc.
7.750%, 05/15/13 1,885,688
See accompanying Notes to Schedule of Investments
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
$ 1,695,000 Standard Commercial Corp.
8.000%, 04/15/12 $ 1,750,088
1,780,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 1,969,125
------------
79,927,811
------------
ENERGY (9.5%)
Chesapeake Energy Corp.
3,389,000 6.875%, 01/15/16 3,541,505
1,695,000 7.750%, 01/15/15 1,849,669
4,237,000 Forest Oil Corp.
8.000%, 12/15/11 4,824,884
9,236,000 General Maritime Corp.(b)
10.000%, 03/15/13 10,598,310
Giant Industries, Inc.(b)
5,084,000 8.000%, 05/15/14 5,281,005
1,895,000 11.000%, 05/15/12 2,188,725
9,617,000 Houston Exploration Company
7.000%, 06/15/13 10,145,935
3,898,000 KCS Energy, Inc.
7.125%, 04/01/12 4,102,645
2,317,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 2,513,945
Overseas Shipholding Group, Inc.
2,542,000 7.500%, 02/15/24 2,580,130
856,000 8.750%, 12/01/13 971,560
3,919,000 Paramount Resources, Ltd.
7.875%, 11/01/10 4,487,255
Petroleo Brasileiro, SA
6,355,000 8.375%, 12/10/18 6,688,637
4,237,000 9.125%, 07/02/13(b) 4,756,032
16,523,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 17,844,840
847,000 Stone Energy Corp.(a)
6.750%, 12/15/14 832,178
2,542,000 Swift Energy Company
7.625%, 07/15/11 2,751,715
5,508,000 Whiting Petroleum Corp.
7.250%, 05/01/12 5,714,550
------------
91,673,520
------------
FINANCIALS (5.2%)
4,067,000 Fairfax Financial Holdings,
Ltd.(b)
7.750%, 04/26/12 4,178,842
1,271,000 GATX Corp.
8.875%, 06/01/09 1,467,255
Host Marriott Corp.(b)
9,321,000 7.125%, 11/01/13 9,856,958
1,779,000 9.250%, 10/01/07 1,974,690
10,168,000 Leucadia National Corp.(b)
7.000%, 08/15/13 10,549,300
11,015,000 LNR Property Corp.
7.625%, 07/15/13 12,667,250
Senior Housing Properties Trust
4,533,000 7.875%, 04/15/15 4,986,300
4,237,000 8.625%, 01/15/12 4,840,773
------------
50,521,368
------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
HEALTH CARE (8.0%)
$ 9,193,000 Alpharma, Inc.(a)
8.625%, 05/01/11 $ 9,583,703
13,790,000 Ameripath, Inc.(b)
10.500%, 04/01/13 14,479,500
11,015,000 Ardent Health Services, Inc.
10.000%, 08/15/13 11,455,600
12,371,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 13,612,677
2,542,000 Beverly Enterprises, Inc.(a)
7.875%, 06/15/14 2,859,750
1,271,000 Elan Corp. PLC(a)
7.750%, 11/15/11 1,334,550
2,404,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 2,764,600
5,508,000 Quintiles Transnational Corp.
10.000%, 10/01/13 6,251,580
8,558,000 Tenet Healthcare Corp.(a)
9.250%, 02/01/15 8,600,790
5,931,000 Vanguard Health Systems,
Inc.(a)(b)
9.000%, 10/01/14 6,375,825
------------
77,318,575
------------
INDUSTRIALS (15.9%)
5,084,000 American Airlines, Inc.
7.250%, 02/05/09 4,728,120
2,118,000 Armor Holdings, Inc.
8.250%, 08/15/13 2,366,865
890,000 EUR Aspropulsion Capital BV(a)
9.625%, 10/01/13 1,345,785
1,695,000 BE Aerospace, Inc.
8.500%, 10/01/10 1,864,500
2,542,000 Casella Waste Systems, Inc.
9.750%, 02/01/13 2,808,910
14,404,000 CNH Global, NV(a)
9.250%, 08/01/11 15,808,390
13,981,000 Esterline Technologies Corp.(b)
7.750%, 06/15/13 15,169,385
3,364,000 General Cable Corp.(b)
9.500%, 11/15/10 3,801,320
5,508,000 Hutchison Whampoa, Ltd.(a)(b)
6.250%, 01/24/14 5,880,236
7,202,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 8,066,240
JLG Industries, Inc.
6,440,000 8.250%, 05/01/08 6,794,200
2,966,000 8.375%, 06/15/12(b) 3,114,300
6,397,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 7,388,535
Legrand Holding, SA
6,779,000 8.500%, 02/15/25 8,033,115
847,000 EUR 11.000%, 02/15/13 1,355,291
3,682,000 Manitowoc Company, Inc.
10.500%, 08/01/12 4,252,710
11,015,000 Mobile Mini, Inc.
9.500%, 07/01/13 12,673,859
4,237,000 Monitronics International, Inc.
11.750%, 09/01/10 4,639,515
See accompanying Notes to Schedule of Investments
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
$ 2,034,000 Orbital Sciences Corp.
9.000%, 07/15/11 $ 2,288,250
Sequa Corp.
5,931,000 8.875%, 04/01/08 6,405,480
1,695,000 9.000%, 08/01/09 1,872,975
1,987,000 Shaw Group, Inc.(b)
10.750%, 03/15/10 2,210,537
7,202,000 SPX Corp.(b)
6.250%, 06/15/11 7,742,150
Terex Corp.
5,931,000 9.250%, 07/15/11 6,598,238
5,190,000 7.375%, 01/15/14 5,475,450
11,863,000 United Rentals, Inc.(b)
7.000%, 02/15/14 11,091,905
------------
153,776,261
------------
INFORMATION TECHNOLOGY (6.5%)
5,508,000 Advanced Micro Devices,
Inc.(a)(b)
7.750%, 11/01/12 5,521,770
2,322,000 Arrow Electronics, Inc.(b)
6.875%, 06/01/18 2,516,365
3,389,000 Celestica, Inc.
7.875%, 07/01/11 3,549,977
1,695,000 Flextronics International, Ltd.(b)
6.500%, 05/15/13 1,724,662
4,237,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 4,591,849
Iron Mountain, Inc.
1,695,000 GBP 7.250%, 04/15/14(a) 3,053,075
1,695,000 6.625%, 01/01/16 1,606,012
Lucent Technologies, Inc.
4,364,000 6.500%, 01/15/28 3,905,780
2,055,000 6.450%, 03/15/29(b) 1,844,363
6,143,000 Motorola, Inc.(b)
7.500%, 05/15/25 7,374,801
4,237,000 Sanmina-Sci Corp.
10.375%, 01/15/10 4,830,180
3,389,000 Stratus Technologies, Inc.
10.375%, 12/01/08 3,236,495
17,370,000 Xerox Corp.
7.625%, 06/15/13 18,803,025
------------
62,558,354
------------
MATERIALS (18.2%)
7,626,000 Arch Western Finance, LLC(b)
6.750%, 07/01/13 7,816,650
4,237,000 Ball Corp.
6.875%, 12/15/12 4,533,590
5,084,000 Bowater, Inc.(b)
6.500%, 06/15/13 5,104,366
7,626,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 8,236,080
16,116,000 Equistar Chemicals, LP(b)
10.625%, 05/01/11 18,613,980
10,888,000 Freeport-McMoRan Copper &
Gold, Inc.(b)
10.125%, 02/01/10 12,357,880
12,710,000 Georgia-Pacific Corp.
8.000%, 01/15/14 14,362,300
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
$ 2,542,000 Graham Packaging Holdings
Company(a)(b)
9.875%, 10/15/14 $ 2,675,455
11,176,000 EUR HeidelbergCement Finance(a)
7.375%, 07/15/10 16,444,543
2,711,000 IMCO Recycling, Inc.
10.375%, 10/15/10 3,063,430
5,084,000 IPSCO, Inc.
8.750%, 06/01/13 5,770,340
3,444,000 Ispat Inland ULC
9.750%, 04/01/14 4,261,950
2,542,000 Massey Energy Company(b)
6.950%, 03/01/07 2,681,810
5,084,000 Neenah Paper, Inc.(a)
7.375%, 11/15/14 5,134,840
2,754,000 Novelis, Inc.(a)
7.250%, 02/15/15 2,809,080
11,015,000 Polyone Corp.(b)
10.625%, 05/15/10 12,336,800
7,118,000 Pope & Talbot, Inc.
8.375%, 06/01/13 7,545,080
4,237,000 Sealed Air Corp.(a)
6.875%, 07/15/33 4,711,680
Steel Dynamics, Inc.
3,966,000 9.500%, 03/15/09(b) 4,362,600
1,695,000 9.500%, 03/15/09 1,864,500
1,695,000 Stone Container Corp.
8.375%, 07/01/12 1,805,175
19,785,000 Texas Industries, Inc.
10.250%, 06/15/11 23,049,525
Union Carbide Corp.(b)
2,966,000 7.875%, 04/01/23 3,173,620
2,118,000 6.700%, 04/01/09 2,250,375
1,059,000 7.500%, 06/01/25 1,104,007
------------
176,069,656
------------
TELECOMMUNICATION SERVICES (1.3%)
5,084,000 AT&T Corp.
9.750%, 11/15/31 6,501,165
5,931,000 Nextel Communications, Inc.
7.375%, 08/01/15 6,568,582
------------
13,069,747
------------
UTILITIES (5.5%)
5,886,000 AES Corp.(b)
8.500%, 11/01/07 6,003,720
23,725,000 Calpine Corp.(b)
8.500%, 02/15/11 16,488,875
4,237,000 Centerpoint Energy, Inc.(b)
6.850%, 06/01/15 4,729,107
Edison International
5,084,000 9.875%, 04/15/11(b) 5,967,345
3,389,000 10.000%, 08/15/08 3,931,240
4,237,000 Public Service Enterprise Group,
Inc.(b)
8.625%, 02/15/08 4,581,256
See accompanying Notes to Schedule of Investments
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
$ 10,676,000 Teco Energy, Inc.(b)
7.500%, 06/15/10 $ 11,796,980
------------
53,498,523
------------
TOTAL CORPORATE
BONDS
(Cost $910,676,169) 973,469,420
------------
CONVERTIBLE BONDS (1.9%)
FINANCIALS (0.7%)
6,800,000 Assurant, Inc.(a)
7.750%, 01/26/08 7,140,000
------------
INFORMATION TECHNOLOGY (0.7%)
5,000,000 Lucent Technologies, Inc.
2.750%, 06/15/25 6,575,000
------------
TELECOMMUNICATION SERVICES (0.5%)
Liberty Media Corp. (Sprint PCS Group)
4,142,000 3.750%, 02/15/30(b) 2,769,962
1,974,000 4.000%, 11/15/29 1,465,695
------------
4,235,657
------------
TOTAL CONVERTIBLE
BONDS
(Cost $17,243,157) 17,950,657
------------
SYNTHETIC CONVERTIBLE SECURITIES (21.3%)
CORPORATE BONDS (18.1%)
CONSUMER DISCRETIONARY (4.0%)
420,000 Accuride Corp.(a)
8.500%, 02/01/15 434,700
458,000 Asbury Automotive
Group, Inc.(b)
9.000%, 06/15/12 486,625
1,527,000 Beazer Homes USA, Inc.(b)
8.375%, 04/15/12 1,683,517
763,000 Broder Bros. Co.(b)
11.250%, 10/15/10 818,317
992,000 CBD Media, LLC
8.625%, 06/01/11 1,041,600
Charter Communications, Inc.
1,069,000 10.000%, 04/01/09 905,977
763,000 9.625%, 11/15/09(b) 625,660
305,000 11.125%, 01/15/11(b) 259,250
763,000 DEX Media, Inc.(b)
8.000%, 11/15/13 814,503
2,002,000 GBP EMI Group, PLC
9.750%, 05/20/08 4,149,348
General Motors Corp.
1,206,000 8.250%, 07/15/23 1,219,044
122,000 7.125%, 07/15/13(b) 121,535
Goodyear Tire & Rubber Company(b)
763,000 7.000%, 03/15/28 659,995
611,000 7.857%, 08/15/11 620,165
1,420,000 Hasbro, Inc.(b)
6.600%, 07/15/28 1,434,200
962,000 Houghton Mifflin Company(b)
9.875%, 02/01/13 1,007,695
611,000 IMAX Corp.
9.625%, 12/01/10 664,463
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
$ 611,000 Inn of the Mountain Gods(b)
12.000%, 11/15/10 $ 714,870
763,000 Interpublic Group of Companies,
Inc.(b)
7.250%, 08/15/11 833,412
458,000 Intrawest Corp.(a)
7.500%, 10/15/13 483,190
J.C. Penney Company, Inc.
305,000 9.000%, 08/01/12(b) 374,388
229,000 7.650%, 08/15/16 262,778
458,000 Jarden Corp.
9.750%, 05/01/12 501,510
756,000 Kellwood Company
7.625%, 10/15/17 831,600
573,000 La Quinta, Corp.(b)
8.875%, 03/15/11 635,314
534,000 Landry's Restaurants, Inc.(a)
7.500%, 12/15/14 523,320
458,000 Mandalay Resort Group(b)
7.625%, 07/15/13 501,510
2,061,000 Mediacom Communications
Corp.(b)
9.500%, 01/15/13 2,066,153
1,806,000 Oxford Industries, Inc.
8.875%, 06/01/11 1,932,420
763,000 Perry Ellis International, Inc.
8.875%, 09/15/13 797,335
153,000 Pinnacle Entertainment, Inc.(b)
8.250%, 03/15/12 163,710
1,221,000 Rent-A-Center, Inc.
7.500%, 05/01/10 1,265,261
573,000 CAD Rogers Cable, Inc.(a)
7.250%, 12/15/11 478,558
687,000 CAD Rogers Wireless Communications,
Inc.(a)
7.625%, 12/15/11 579,306
1,817,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 2,012,328
763,000 Russell Corp.
9.250%, 05/01/10 824,040
1,450,000 Spanish Broadcasting Systems,
Inc.
9.625%, 11/01/09 1,526,125
1,313,000 Vail Resorts, Inc.
6.750%, 02/15/14 1,331,054
1,069,000 Warnaco Group, Inc.
8.875%, 06/15/13 1,181,245
Warner Music Group(a)
305,000 GBP 8.125%, 04/15/14 596,832
305,000 7.375%, 04/15/14 320,250
992,000 WCI Communities, Inc.(b)
7.875%, 10/01/13 1,063,920
------------
38,747,023
------------
CONSUMER STAPLES (1.5%)
305,000 Central Garden & Pet Company
9.125%, 02/01/13 336,262
840,000 Chattem, Inc.
7.000%, 03/01/14 864,150
See accompanying Notes to Schedule of Investments
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
$ 687,000 Chiquita Brands International,
Inc.(a)
7.500%, 11/01/14 $ 700,740
863,000 Del Monte Foods Company
8.625%, 12/15/12 963,324
916,000 DIMON, Inc.
7.750%, 06/01/13 993,860
Dole Food Company, Inc.
2,076,000 8.875%, 03/15/11 2,239,485
681,000 8.625%, 05/01/09 749,951
345,000 Gold Kist, Inc.
10.250%, 03/15/14 401,925
76,000 Hines Horticulture, Inc.
10.250%, 10/01/11 83,410
2,061,000 Jean Coutu Group, Inc.(a)(b)
8.500%, 08/01/14 2,066,152
611,000 Pinnacle Foods Holding(a)(b)
8.250%, 12/01/13 562,120
977,000 Playtex Products, Inc.
8.000%, 03/01/11 1,069,815
1,679,000 Rayovac Corp.(b)
8.500%, 10/01/13 1,809,123
458,000 Semins Vegetable Seeds
10.250%, 10/01/13 549,600
305,000 Smithfield Foods, Inc.
7.750%, 05/15/13 339,313
305,000 Standard Commercial Corp.
8.000%, 04/15/12 314,913
321,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 355,106
------------
14,399,249
------------
ENERGY (1.7%)
Chesapeake Energy Corp.
611,000 6.875%, 01/15/16 638,495
305,000 7.750%, 01/15/15 332,831
763,000 Forest Oil Corp.
8.000%, 12/15/11 868,866
1,664,000 General Maritime Corp.(b)
10.000%, 03/15/13 1,909,440
Giant Industries, Inc.(b)
916,000 8.000%, 05/15/14 951,495
342,000 11.000%, 05/15/12 395,010
1,733,000 Houston Exploration Company
7.000%, 06/15/13 1,828,315
702,000 KCS Energy, Inc.
7.125%, 04/01/12 738,855
418,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 453,530
Overseas Shipholding Group, Inc.
458,000 7.500%, 02/15/24 464,870
154,000 8.750%, 12/01/13 174,790
706,000 Paramount Resources, Ltd.
7.875%, 11/01/10 808,370
Petroleo Brasileiro, SA
1,145,000 8.375%, 12/10/18 1,205,112
763,000 9.125%, 07/02/13(b) 856,468
2,977,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 3,215,160
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
$ 153,000 Stone Energy Corp.(a)
6.750%, 12/15/14 $ 150,323
458,000 Swift Energy Company
7.625%, 07/15/11 495,785
992,000 Whiting Petroleum Corp.
7.250%, 05/01/12 1,029,200
------------
16,516,915
------------
FINANCIALS (0.9%)
733,000 Fairfax Financial Holdings,
Ltd.(b)
7.750%, 04/26/12 753,157
229,000 GATX Corp.
8.875%, 06/01/09 264,360
Host Marriott Corp.(b)
1,679,000 7.125%, 11/01/13 1,775,542
321,000 9.250%, 10/01/07 356,310
1,832,000 Leucadia National Corp.(b)
7.000%, 08/15/13 1,900,700
1,985,000 LNR Property Corp.
7.625%, 07/15/13 2,282,750
Senior Housing Properties Trust
817,000 7.875%, 04/15/15 898,700
763,000 8.625%, 01/15/12 871,728
------------
9,103,247
------------
HEALTH CARE (1.4%)
1,657,000 Alpharma, Inc.(a)
8.625%, 05/01/11 1,727,422
2,485,000 Ameripath, Inc.(b)
10.500%, 04/01/13 2,609,250
1,985,000 Ardent Health Services, Inc.
10.000%, 08/15/13 2,064,400
2,229,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 2,452,725
458,000 Beverly Enterprises, Inc.(a)
7.875%, 06/15/14 515,250
229,000 Elan Corp. PLC(a)
7.750%, 11/15/11 240,450
433,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 497,950
992,000 Quintiles Transnational Corp.
10.000%, 10/01/13 1,125,920
1,542,000 Tenet Healthcare Corp.(a)
9.250%, 02/01/15 1,549,710
1,069,000 Vanguard Health Systems,
Inc.(a)(b)
9.000%, 10/01/14 1,149,175
------------
13,932,252
------------
INDUSTRIALS (2.9%)
916,000 American Airlines, Inc.
7.250%, 02/05/09 851,880
382,000 Armor Holdings, Inc.
8.250%, 08/15/13 426,885
160,000 EUR Aspropulsion Capital BV(a)
9.625%, 10/01/13 241,939
305,000 BE Aerospace, Inc.
8.500%, 10/01/10 335,500
458,000 Casella Waste Systems, Inc.
9.750%, 02/01/13 506,090
See accompanying Notes to Schedule of Investments
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
$ 2,596,000 CNH Global, NV(a)
9.250%, 08/01/11 $ 2,849,110
2,519,000 Esterline Technologies Corp.(b)
7.750%, 06/15/13 2,733,115
606,000 General Cable Corp.(b)
9.500%, 11/15/10 684,780
992,000 Hutchison Whampoa, Ltd.(a)(b)
6.250%, 01/24/14 1,059,040
1,298,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 1,453,760
JLG Industries, Inc.
1,160,000 8.250%, 05/01/08 1,223,800
534,000 8.375%, 06/15/12(b) 560,700
1,153,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 1,331,715
Legrand Holding, SA
1,221,000 8.500%, 02/15/25 1,446,885
153,000 EUR 11.000%, 02/15/13 244,816
664,000 Manitowoc Company, Inc.
10.500%, 08/01/12 766,920
1,985,000 Mobile Mini, Inc.
9.500%, 07/01/13 2,283,941
763,000 Monitronics International, Inc.
11.750%, 09/01/10 835,485
366,000 Orbital Sciences Corp.
9.000%, 07/15/11 411,750
Sequa Corp.
1,069,000 8.875%, 04/01/08 1,154,520
305,000 9.000%, 08/01/09 337,025
358,000 Shaw Group, Inc.(b)
10.750%, 03/15/10 398,275
1,298,000 SPX Corp.(b)
6.250%, 06/15/11 1,395,350
Terex Corp.
1,069,000 9.250%, 07/15/11 1,189,263
935,000 7.375%, 01/15/14 986,425
2,137,000 United Rentals, Inc.(b)
7.000%, 02/15/14 1,998,095
------------
27,707,064
------------
INFORMATION TECHNOLOGY (1.2%)
992,000 Advanced Micro Devices,
Inc.(a)(b)
7.750%, 11/01/12 994,480
418,000 Arrow Electronics, Inc.(b)
6.875%, 06/01/18 452,989
611,000 Celestica, Inc.
7.875%, 07/01/11 640,022
305,000 Flextronics International, Ltd.(b)
6.500%, 05/15/13 310,338
763,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 826,901
Iron Mountain, Inc.
305,000 GBP 7.250%, 04/15/14(a) 549,373
305,000 6.625%, 01/01/16 288,988
Lucent Technologies, Inc.
786,000 6.500%, 01/15/28 703,470
370,000 6.450%, 03/15/29(b) 332,075
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
$ 1,107,000 Motorola, Inc.(b)
7.500%, 05/15/25 $ 1,328,977
763,000 Sanmina-Sci Corp.
10.375%, 01/15/10 869,820
611,000 Stratus Technologies, Inc.
10.375%, 12/01/08 583,505
3,130,000 Xerox Corp.
7.625%, 06/15/13 3,388,225
------------
11,269,163
------------
MATERIALS (3.3%)
1,374,000 Arch Western Finance, LLC(b)
6.750%, 07/01/13 1,408,350
763,000 Ball Corp.
6.875%, 12/15/12 816,410
916,000 Bowater, Inc.(b)
6.500%, 06/15/13 919,670
1,374,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 1,483,920
2,904,000 Equistar Chemicals, LP(b)
10.625%, 05/01/11 3,354,120
1,962,000 Freeport-McMoRan Copper &
Gold, Inc.(b)
10.125%, 02/01/10 2,226,870
2,290,000 Georgia-Pacific Corp.
8.000%, 01/15/14 2,587,700
458,000 Graham Packaging Holdings
Company(a)(b)
9.875%, 10/15/14 482,045
2,014,000 EUR HeidelbergCement Finance(a)
7.375%, 07/15/10 2,963,431
489,000 IMCO Recycling, Inc.
10.375%, 10/15/10 552,570
916,000 IPSCO, Inc.
8.750%, 06/01/13 1,039,660
620,000 Ispat Inland ULC
9.750%, 04/01/14 767,250
458,000 Massey Energy Company(b)
6.950%, 03/01/07 483,190
916,000 Neenah Paper, Inc.(a)
7.375%, 11/15/14 925,160
496,000 Novelis, Inc.(a)
7.250%, 02/15/15 505,920
1,985,000 Polyone Corp.(b)
10.625%, 05/15/10 2,223,200
1,282,000 Pope & Talbot, Inc.
8.375%, 06/01/13 1,358,920
763,000 Sealed Air Corp.(a)
6.875%, 07/15/33 848,480
Steel Dynamics, Inc.
715,000 9.500%, 03/15/09(b) 786,500
305,000 9.500%, 03/15/09 335,500
305,000 Stone Container Corp.
8.375%, 07/01/12 324,825
3,565,000 Texas Industries, Inc.
10.250%, 06/15/11 4,153,225
Union Carbide Corp.(b)
534,000 7.875%, 04/01/23 571,380
382,000 6.700%, 04/01/09 405,875
See accompanying Notes to Schedule of Investments
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
$ 191,000 7.500%, 06/01/25 $ 199,118
------------
31,723,289
------------
TELECOMMUNICATION SERVICES (0.2%)
916,000 AT&T Corp.
9.750%, 11/15/31 1,171,335
1,069,000 Nextel Communications, Inc.
7.375%, 08/01/15 1,183,918
------------
2,355,253
------------
UTILITIES (1.0%)
1,061,000 AES Corp.(b)
8.500%, 11/01/07 1,082,220
4,275,000 Calpine Corp.(b)
8.500%, 02/15/11 2,971,125
763,000 Centerpoint Energy, Inc.(b)
6.850%, 06/01/15 851,618
Edison International
916,000 9.875%, 04/15/11(b) 1,075,155
611,000 10.000%, 08/15/08 708,760
763,000 Public Service Enterprise Group,
Inc.(b)
8.625%, 02/15/08 824,994
1,924,000 Teco Energy, Inc.(b)
7.500%, 06/15/10 2,126,020
------------
9,639,892
------------
TOTAL CORPORATE BONDS 175,393,347
------------
NUMBER OF
CONTRACTS VALUE
----------------------------------------------------------------------------
OPTIONS (3.2%)
CONSUMER DISCRETIONARY (1.5%)
2,200 Carnival Corp.(c)
Call, 01/20/07, Strike 60.00 1,617,000
1,000 eBay, Inc.(c)
Call, 01/20/07, Strike 95.00 1,500,000
3,100 Home Depot, Inc.(c)
Call, 01/20/07, Strike 40.00 1,860,000
2,700 International Game Technology(c)
Call, 01/20/07, Strike 35.00 1,080,000
1,500 J.C. Penney Company, Inc.(c)
Call, 01/21/06, Strike 40.00 922,500
Nike, Inc.(c)
1,500 Call, 01/21/06, Strike 80.00 1,710,000
500 Call, 01/20/07, Strike 80.00 762,500
2,100 Starbucks Corp.(c)
Call, 01/20/07, Strike 55.00 1,995,000
2,600 YUM! Brands, Inc.(c)
Call, 01/20/07, Strike 40.00 2,691,000
------------
14,138,000
------------
CONSUMER STAPLES (0.4%)
1,600 Avon Products, Inc.(c)
Call, 01/20/07, Strike 45.00 768,000
1,400 Constellation Brands, Inc.(c)
Call, 01/20/07, Strike 35.00 2,828,000
2,000 Sara Lee Corp.(c)
Call, 01/20/07, Strike 22.50 490,000
------------
4,086,000
------------
NUMBER OF
CONTRACTS VALUE
----------------------------------------------------------------------------
ENERGY (0.2%)
2,500 Transocean, Inc.(c)
Call, 01/21/06, Strike 40.00 $ 2,150,000
------------
FINANCIALS (0.2%)
2,200 Allstate Corp.(c)
Call, 01/21/06, Strike 45.00 1,518,000
------------
HEALTH CARE (0.4%)
900 Bausch & Lomb, Inc.(c)
Call, 01/21/06, Strike 65.00 1,089,000
1,200 Biogen Idec, Inc.(c)
Call, 01/21/06, Strike 70.00 744,000
1,100 UnitedHealth Group, Inc.(c)
Call, 01/20/07, Strike 85.00 1,897,500
------------
3,730,500
------------
INFORMATION TECHNOLOGY (0.5%)
1,000 Apple Computer, Inc.(c)
Call, 01/20/07, Strike 75.00 2,060,000
5,000 Motorola, Inc.(c)
Call, 01/21/06, Strike 20.00 650,000
5,100 Nokia Corp.(c)
Call, 01/20/07, Strike 15.00 1,300,500
2,200 QUALCOMM, Inc.(c)
Call, 01/21/06, Strike 35.00 1,320,000
------------
5,330,500
------------
TOTAL OPTIONS 30,953,000
------------
TOTAL SYNTHETIC
CONVERTIBLE
SECURITIES
(Cost $192,642,462) 206,346,347
------------
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (17.1%)
CONSUMER DISCRETIONARY (3.0%)
590,000 Ford Motor Company Capital
Trust II
6.500% 29,488,200
------------
CONSUMER STAPLES (2.2%)
890,000 Albertson's, Inc.
7.250% 21,680,400
------------
FINANCIALS (2.7%)
130,000 Capital One Financial Corp.
6.250% 6,942,000
500,000 National Australia Bank, Ltd.
7.875% 19,300,000
------------
26,242,000
------------
HEALTH CARE (0.7%)
125,000 Baxter International, Inc.(b)
7.000% 6,825,000
------------
INDUSTRIALS (2.0%)
225,000 Cummins, Inc.
7.000% 19,096,875
------------
See accompanying Notes to Schedule of Investments
CONVERTIBLE AND HIGH INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------
INFORMATION TECHNOLOGY (0.4%)
75,000 Pioneer-Standard Financial Trust
6.750% $ 4,181,250
--------------
TELECOMMUNICATION SERVICES (2.4%)
452,000 ALLTEL Corp.
7.750% 22,713,000
--------------
UTILITIES (3.7%)
450,000 Ameren Corp.
9.750% 13,077,000
375,000 TXU Corp.
8.125% 22,537,500
--------------
35,614,500
--------------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $148,604,287) 165,841,225
--------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
SHORT-TERM INVESTMENT (0.5%)
$ 4,657,000 Exxon Mobil Corporation
2.300%, 02/01/05 4,657,000
--------------
TOTAL SHORT-TERM
INVESTMENT
(Cost $4,657,000) 4,657,000
--------------
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (25.3%)
244,818,504 Bank of New York Institutional
Cash Reserve Fund
current rate 2.519% 244,818,504
--------------
TOTAL INVESTMENT OF
CASH COLLATERAL
FOR SECURITIES ON
LOAN
(Cost $244,818,504) 244,818,504
--------------
TOTAL INVESTMENTS (166.6%)
(Cost $1,518,641,579) 1,613,083,153
--------------
PAYABLE UPON RETURN OF
SECURITIES ON LOAN (-25.3%) (244,818,504)
--------------
OTHER ASSETS, LESS LIABILITIES
(3.1%) 30,249,087
--------------
PREFERRED SHARES AT REDEMPTION
VALUE INCLUDING DIVIDENDS
PAYABLE (-44.4%) (430,179,487)
--------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $ 968,334,249
--------------
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market Value for securities denominated in foreign currencies are shown in
U.S. dollars.
(a) 144A securities are those that are exempt from registration under Rule
144A of the Securities Act of 1933, as amended. These securities are
generally issued to qualified institutional buyers ( "QIBs "), such as
the Fund. Any resale of these securities must generally be effected
through a sale that is exempt from registration (e.g. a sale to another
QIB), or the security must be registered for public sale. At January 31,
2005 the market value of 144A securities that could not be exchanged
to the registered form were $161,048,117 or 16.6 % of net assets
applicable to common shareholders of the Fund.
(b) Security, or portion of security, is on loan.
(c) Non-Income producing security.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying Notes to Schedule of Investments
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
NOTE 1
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities, including options, that are traded on a national securities exchange
are valued at the last reported sales price. Securities quoted on the NASDAQ
National Market System are valued at the Nasdaq Official Closing Price ("NOCP"),
as determined by Nasdaq, or lacking an NOCP, the last current reported sale
price as of the time of valuation. Securities traded in the over-the-counter
market and listed securities for which no sales were reported are valued at the
mean of the most recently quoted bid and asked prices. Short-term securities
with maturities of 60 days or less are valued at amortized cost, which
approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is priced at a fair value following procedures and/or guidelines
approved by the Board of Trustees, which may include utilizing a systematic fair
valuation model provided by an independent pricing system. The Fund may also use
fair value pricing, if the value of a security it holds is, pursuant to Board of
Trustees' guidelines, materially affected by events occurring before the Fund's
pricing time but after the closed of the primary market or exchange on which the
security is traded. These procedures may utilize valuations furnished by pricing
services approved by the Board of Trustees, which may be based on market
transactions for comparable securities and various relationships between
securities that are generally recognized by institutional traders, a
computerized matrix system, or appraisals derived from information concerning
the securities or similar securities received from recognized dealers in those
securities. When fair value pricing is employed, the value of the portfolio
security used to calculate the Fund's net asset value may differ from quoted or
official closing prices.
Securities that are principally traded in a foreign market are valued as of the
close of the appropriate exchange or other designated time. Trading in
securities on European and Far Eastern securities exchanges and over-the-counter
markets is normally completed at various times before the close of business on
each day on which the New York Stock Exchange ("NYSE") is open. Trading of these
securities may not take place on every NYSE business day. In addition, trading
may take place in various foreign markets on Saturdays or on other days when the
NYSE is not open and on which the Fund's net asset value is not calculated. As
stated above, if the market prices are not readily available or are not
reflective of the fair value of the security, the security will be priced at a
fair value following procedures approved by the Board of Trustees. In light of
the judgment involved in fair value decisions, there can be no assurance that a
fair value assigned to a particular security is accurate.
INVESTMENT TRANSACTIONS. Short-term investment transactions are recorded on a
trade date basis. Long-term investment transactions are recorded on a trade date
plus one basis, except for fiscal quarter ends, which are recorded on trade
date.
FOREIGN CURRENCY TRANSLATION. Values of investments and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
using the spot market rate of exchange at the date of valuation. 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.
OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option among others, is that the Fund pays a premium whether or
not the option is exercised. Additionally, the Fund bears the risk of loss of
premium and change in market value should the counterparty not perform under the
contract. Put and call options purchased are accounted for in the same manner as
portfolio securities. The cost of securities acquired through the exercise of
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 a 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 a Fund on the expiration date as realized gains from
investments. The difference between the premium and the amount paid on effecting
a closing purchase transaction, including brokerage commissions, is also treated
as a realized gain, or, if the premium is less than the amount paid for the
closing purchase transaction, as a realized loss. If a call option is exercised,
the premium is added to the proceeds from the sale of the underlying security or
currency in determining whether a Fund has realized a gain or loss. If a put
option is exercised, the premium reduces the cost basis of the securities
purchased by a Fund. A Fund as writer of an option bears the market risk of an
unfavorable change in the price of the security underlying the written option.
NOTE 2
INVESTMENTS. The following information is presented on an income tax basis as of
January 31, 2005. Differences between amounts for financial statements and
Federal income tax purposes are primarily due to timing differences. The cost
basis of investments for Federal income tax purposes at January 31, 2005 was as
follows:
Cost basis of investments $ 1,524,775,675
==================
Gross unrealized appreciation $ 100,378,421
Gross unrealized depreciation (12,070,943)
------------------
Net unrealized appreciation (depreciation) $ 88,307,478
==================
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
NOTE 3
SYNTHETIC CONVERTIBLE SECURITIES. The Fund may establish a "synthetic"
convertible instrument by combining separate securities that possess economic
characteristics similar to a convertible security, i.e., fixed-income securities
("fixed-income component") and the right to acquire equity securities
("convertible component"). The fixed-income component is achieved by investing
in non-convertible, fixed income securities such as bonds, preferred stocks and
money market instruments. The convertible component is achieved by investing in
warrants or options to buy common stock at a certain exercise price, or options
on a stock index. In establishing a synthetic instrument, the Fund may pool a
basket of fixed-income securities and a basket of warrants or options that
produce the economic characteristics similar to a convertible security. Within
each basket of fixed-income securities and warrants or options, different
companies may issue the fixed-income and convertible components, which may be
purchased separately and at different times.
The Fund may purchase synthetic securities created by other parties, typically
investment banks, including convertible structured notes. Convertible structured
notes are fixed-income debentures linked to equity. Convertible structured notes
have the attributes of a convertible security; however, the investment bank that
issued the convertible note assumes the credit risk associated with the
investment, rather than the issuer of the underlying common stock into which the
note is convertible. Purchasing synthetic convertible securities may offer more
flexibility than purchasing a convertible security. Different companies may
issue the fixed-income and convertible components, which may be purchased
separately and at different times.
NOTE 4
PREFERRED SHARES. There are unlimited shares of Auction Rate Cumulative
Preferred Shares ("Preferred Shares") authorized. The Preferred Shares have
rights as determined by the Board of Trustees. The 17,200 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 or twenty-eight days based on the results of an auction. Dividend rates
ranged from 1.65% to 2.71% for the period ended January 31, 2005. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make other
distributions on shares of common stock or purchase any such shares if, at the
time of the declaration, distribution or purchase, asset coverage with respect
to the outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the 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 5
INTEREST RATE TRANSACTIONS. The Fund may enter into interest rate swap or cap
transactions to attempt to protect itself from increasing dividend or interest
expense on its leverage resulting from increasing short-term interest rates. A
decline in interest rates may result in a decline in the value of the swap or
cap, which may result in a decline in the net asset value of the Fund. In
addition, if the counterparty to an interest rate swap or cap defaults, the Fund
would not be able to use the anticipated receipts under the swap or cap to
offset the dividend or interest payments on the Fund's leverage. At the time an
interest rate swap or cap reaches its scheduled termination, there is a risk
that the Fund would not be able to obtain a replacement transaction or that the
terms of the replacement would not be as favorable as on the expiring
transaction. In addition, if the Fund is required to terminate any swap or cap
early due to the Fund failing to maintain a required 200% asset coverage of the
liquidation value of the outstanding preferred shares or the Fund loses its
credit rating on its preferred shares, then the Fund could be required to make a
termination payment, in addition to redeeming all or some of the preferred
shares. Details of the swap agreements outstanding as of January 31, 2005 were
as follows:
UNREALIZED
TERMINATION NOTIONAL FIXED RATE FLOATING RATE APPRECIATION
COUNTERPARTY DATE AMOUNT (000) (FUND PAYS) (FUND RECEIVES) (DEPRECIATION)
------------------------------------------------------------------------------------------------------
Citibank NA October 27, 2006 $100,000 2.80% 1 month LIBOR $ 1,113,428
Citibank NA October 27, 2007 200,000 3.27% 1 month LIBOR 2,164,240
Citibank NA October 27, 2008 100,000 3.65% 1 month LIBOR 640,383
-----------
$ 3,918,051
===========
NOTE 6
SECURITIES LENDING. During the period ended January 31, 2005, the Fund lent
certain of its securities to broker-dealers and banks. Any such loan must be
continuously secured by collateral in cash or cash equivalents maintained on a
current basis in an amount at least equal to the market value of the securities
loaned by the Fund. The Fund continues to receive the equivalent of the interest
or dividends paid by the issuer on the securities loaned, and also receives an
additional return that may be in the form of a fixed fee or a percentage of the
collateral. The Fund may pay reasonable fees to persons unaffiliated with the
Fund for services in arranging these loans. The Fund has the right to call the
loan and obtain the securities loaned at any time on notice of not more than
five business days. The Fund does not have the right to vote the securities
during the existence of the loan but could call the loan in an attempt to permit
voting of the securities in certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
In the event of bankruptcy or other default of the borrower, the Fund could
experience both delays in liquidating the loan collateral or recovering the
loaned securities and losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the period while the
Fund seeks to enforce its rights thereto, (b) possible subnormal levels of
income and lack of access to income during this period, and (c) expenses of
enforcing its rights. In an effort to reduce these risks, Calamos Advisors, LLC
and the security lending agent will monitor the creditworthiness of the firms to
which each Fund lends securities. At January 31, 2005 the Fund had securities
valued at $238,796,636 on loan to broker-dealers and banks and had $244,818,504
in cash 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 on a timely basis.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of
1940) that occurred during the registrant's last fiscal quarter that
has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Convertible and High Income Fund
By: /s/ John P. Calamos, Sr.
-----------------------------------------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 24, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 24, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Convertible and High Income Fund
By: /s/ John P. Calamos, Sr.
-----------------------------------------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 24, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 24, 2005