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: 2020 Calamos Court, Naperville,
Illinois 60563-2787
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors LLC
2020 Calamos Court
Naperville, Illinois
60563-2787
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 October 31, 2005
ITEM 1. REPORTS TO SHAREHOLDERS
Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1
under the Act (17 CFR 270.30e-1).
CALAMOS(R) CONVERTIBLE AND HIGH INCOME FUND
Annual Report October 31, 2005
(LOGO)
CALAMOS INVESTMENTS(R)
Table of Contents
President's Letter........................................ 1
Performance .............................................. 3
Schedule of Investments .................................. 5
Statement of Assets and Liabilities ...................... 13
Statement of Operations .................................. 14
Statement of Changes In Net Assets ....................... 15
Notes to Financial Statements ............................ 16
Financial Highlights ..................................... 23
Report of Independent Registered Public Accounting Firm .. 24
Tax Information .......................................... 25
Trustee Approval of Management Agreement ................. 26
Trustees & Officers ...................................... 29
President's Letter
[PHOTO]
For up-to-date information on Calamos Convertible and High Income Fund,
please visit www.calamos.com. Here you
will find timely portfolio details, our outlook, and special reports.
CALAMOS CONVERTIBLE AND HIGH INCOME FUND
The views expressed in this report reflect those of Calamos Advisors LLC through
December 16, 2005. The manager's views are subject to change at any time based
on market and other conditions. This report is submitted for general information
for the shareholders of the fund.
Dear Shareholder,
Thank you for your investment in the CALAMOS CONVERTIBLE AND HIGH INCOME FUND
(CHY). We submit for your review this annual shareholder report for the 12-month
period ended October 31, 2005.
As a reminder, the Fund blends convertible and high-yield securities in a
portfolio designed to provide a consistent, attractive monthly distribution
while providing investors with some exposure to the upside potential of the
equity markets. Because convertible and high-yield securities tend to follow the
movements of their companies' equity counterparts more than traditional fixed
income securities, the Fund can be viewed as having a significant income
component, yet with equity sensitivity.
During the 12-month period, the Fund produced a total return of 7.99% at net
asset value (NAV), comparing favorably with the annual total return of the
convertible market (as represented by the Merrill Lynch Yield Alternatives
Index, which declined by - 0.76%), and the high-yield market (as represented by
the CSFB High Yield Index, which returned 3.53%). The Fund's market price (which
is determined by the secondary market and may be higher or lower than the Fund's
NAV) gained 1.83%. Also during this period, the Fund delivered a total of $1.463
per share in monthly distributions to shareholders, comprised of earned income
as well as short-term and long-term capital gains.
One important development during the year came in June 2005, when we announced
the Fund's adoption of a level rate distribution policy. In our opinion, a level
rate policy combined with an attractive monthly distribution will benefit
long-term investors in the Fund, as we believe that closed-end fund investors
consider consistent and significant distributions to be an important component
of their long-term total-return goals. (If any distribution exceeds the Fund's
net investment company taxable income, the excess will generally be a tax-free
return of capital.)
As portfolio managers, our job is to focus on delivering to shareholders an
attractive long-term total return, which includes a consistent monthly
distribution. We believe that by combining convertible- and corporate
fixed-income securities that provide significant income as well as exposure to
the equity market's upside potential, we can offer our shareholders the
potential for long-term wealth creation in a manner consistent with our focus on
risk management. Looking ahead, we will strive to deliver to share-holders a
dependable distribution that contributes to the Fund's total return while
providing current income and limiting downside exposure.
Convertible and High Income Fund
President's Letter ANNUAL REPORT 1
President's Letter
A convenient means to accumulate more shares is via the Fund's dividend
reinvestment plan. The plan offers current shareholders an efficient method of
purchasing additional shares with a potential for cost savings. For example, if
the Fund's shares are trading at a premium, dividends will be automatically
reinvested through the plan at NAV or 95% of the market price, whichever is
greater; if shares are trading at a discount, dividends will be reinvested by
purchasing shares at the market price, below NAV. Please see the Fund's dividend
reinvestment plan for more information.
We appreciate your investment in the CALAMOS CONVERTIBLE AND HIGH INCOME FUND,
and look forward to serving your long-term investment plan in the coming months
and years ahead. For up-to-date information on the Fund, details of its dividend
reinvestment plan, and other information including our market outlook, please
visit www.calamos.com.
Sincerely,
/s/ John P. Calamos
- -------------------
JOHN P. CALAMOS, SR.
Chairman, Chief Executive Officer and Co-Chief Investment Officer
Convertible and High Income Fund
2 ANNUAL REPORT President's Letter
Performance
LONG-TERM PERFORMANCE: TOTAL RETURN AS OF OCTOBER 31, 2005
[BAR CHART]
1 Year (as of 10/31/05) Since Inception*
CHY Market Price 1.83% 10.72%
CHY NAV 7.99% 11.91%
VYLD(1) -0.76% 4.26%
CSHY(2) 3.53 10.24%
* Since inception index data shown above is from 6/1/2003, because
comparative index data is available only for full monthly periods. The
Fund's since inception data is from the Fund's actual inception date,
5/28/2003.
(1) The Merrill Lynch Yield Alternatives Index (VYLD) is comprised of
convertible issues of greater than $50 million aggregate market value at
issuance and typically with more bond-like attributes and lower equity
sensitivity. Source: Russell/Mellon Analytical Services LLC.
(2) The CSFB High Yield Index (CSHY) is an unmanaged index of high yield debt
securities. Source: Russell/Mellon Analytical Services LLC.
SINCE INCEPTION NAV AND MARKET PRICE HISTORY AS OF OCTOBER 31, 2005
[LINE GRAPH]
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
05/28/2003 14.33 05/28/2003 15.60
05/29/2003 14.33 05/29/2003 15.53
05/30/2003 14.30 05/30/2003 15.62
06/02/2003 14.32 06/02/2003 15.50
06/03/2003 14.29 06/03/2003 15.66
06/04/2003 14.34 06/04/2003 15.40
06/05/2003 14.36 06/05/2003 15.44
06/06/2003 14.37 06/06/2003 15.50
06/09/2003 14.35 06/09/2003 15.39
06/10/2003 14.35 06/10/2003 15.47
06/11/2003 14.40 06/11/2003 15.50
06/12/2003 14.41 06/12/2003 15.58
06/13/2003 14.41 06/13/2003 15.48
06/16/2003 14.45 06/16/2003 15.50
06/17/2003 14.48 06/17/2003 15.45
06/18/2003 14.50 06/18/2003 15.45
06/19/2003 14.45 06/19/2003 15.46
06/20/2003 14.45 06/20/2003 15.50
06/23/2003 14.40 06/23/2003 15.39
06/24/2003 14.37 06/24/2003 15.20
06/25/2003 14.37 06/25/2003 15.20
06/26/2003 14.38 06/26/2003 15.25
06/27/2003 14.37 06/27/2003 15.34
06/30/2003 14.37 06/30/2003 15.30
07/01/2003 14.35 07/01/2003 15.24
07/02/2003 14.40 07/02/2003 15.25
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
07/03/2003 14.39 07/03/2003 15.30
07/07/2003 14.43 07/07/2003 15.35
07/08/2003 14.47 07/08/2003 15.38
07/09/2003 14.46 07/09/2003 15.32
07/10/2003 14.44 07/10/2003 15.32
07/11/2003 14.46 07/11/2003 15.40
07/14/2003 14.49 07/14/2003 15.39
07/15/2003 14.47 07/15/2003 15.39
07/16/2003 14.43 07/16/2003 15.17
07/17/2003 14.38 07/17/2003 15.25
07/18/2003 14.41 07/18/2003 15.29
07/21/2003 14.40 07/21/2003 15.13
07/22/2003 14.41 07/22/2003 15.03
07/23/2003 14.41 07/23/2003 15.15
07/24/2003 14.34 07/24/2003 15.19
07/25/2003 14.36 07/25/2003 15.13
07/28/2003 14.37 07/28/2003 15.04
07/29/2003 14.32 07/29/2003 14.92
07/30/2003 14.25 07/30/2003 14.99
07/31/2003 14.12 07/31/2003 14.87
08/01/2003 14.05 08/01/2003 15.04
08/04/2003 14.03 08/04/2003 15.01
08/05/2003 13.94 08/05/2003 14.70
08/06/2003 13.90 08/06/2003 14.71
08/07/2003 13.88 08/07/2003 14.99
08/08/2003 13.87 08/08/2003 15.00
08/11/2003 13.90 08/11/2003 14.99
08/12/2003 13.88 08/12/2003 15.03
08/13/2003 13.83 08/13/2003 14.95
08/14/2003 13.66 08/14/2003 14.93
08/15/2003 13.67 08/15/2003 14.90
08/18/2003 13.70 08/18/2003 14.86
08/19/2003 13.78 08/19/2003 14.80
08/20/2003 13.89 08/20/2003 14.81
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
08/21/2003 13.93 08/21/2003 14.87
08/22/2003 13.94 08/22/2003 14.87
08/25/2003 13.94 08/25/2003 14.72
08/26/2003 13.97 08/26/2003 14.73
08/27/2003 14.01 08/27/2003 14.90
08/28/2003 14.07 08/28/2003 14.80
08/29/2003 14.12 08/29/2003 14.87
09/02/2003 14.21 09/02/2003 14.99
09/03/2003 14.28 09/03/2003 14.97
09/04/2003 14.32 09/04/2003 14.92
09/05/2003 14.32 09/05/2003 15.00
09/08/2003 14.37 09/08/2003 14.98
09/09/2003 14.37 09/09/2003 15.01
09/10/2003 14.34 09/10/2003 15.03
09/11/2003 14.34 09/11/2003 15.12
09/12/2003 14.36 09/12/2003 15.25
09/15/2003 14.37 09/15/2003 15.20
09/16/2003 14.27 09/16/2003 15.06
09/17/2003 14.30 09/17/2003 15.03
09/18/2003 14.36 09/18/2003 15.05
09/19/2003 14.39 09/19/2003 15.08
09/22/2003 14.38 09/22/2003 15.10
09/23/2003 14.39 09/23/2003 15.05
09/24/2003 14.36 09/24/2003 15.02
09/25/2003 14.37 09/25/2003 14.99
09/26/2003 14.33 09/26/2003 15.09
09/29/2003 14.38 09/29/2003 15.08
09/30/2003 14.40 09/30/2003 15.25
10/01/2003 14.48 10/01/2003 15.29
10/02/2003 14.50 10/02/2003 15.32
10/03/2003 14.55 10/03/2003 15.42
10/06/2003 14.58 10/06/2003 15.43
10/07/2003 14.63 10/07/2003 15.49
10/08/2003 14.65 10/08/2003 15.54
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
10/09/2003 14.68 10/09/2003 15.53
10/10/2003 14.72 10/10/2003 15.62
10/13/2003 14.75 10/13/2003 15.70
10/14/2003 14.77 10/14/2003 15.72
10/15/2003 14.69 10/15/2003 15.59
10/16/2003 14.75 10/16/2003 15.70
10/17/2003 14.73 10/17/2003 15.83
10/20/2003 14.76 10/20/2003 15.86
10/21/2003 14.77 10/21/2003 15.80
10/22/2003 14.74 10/22/2003 15.55
10/23/2003 14.69 10/23/2003 15.67
10/24/2003 14.66 10/24/2003 15.67
10/27/2003 14.67 10/27/2003 15.79
10/28/2003 14.73 10/28/2003 15.85
10/29/2003 14.72 10/29/2003 15.88
10/30/2003 14.76 10/30/2003 15.89
10/31/2003 14.80 10/31/2003 16.00
11/03/2003 14.81 11/03/2003 15.95
11/04/2003 14.84 11/04/2003 15.81
11/05/2003 14.84 11/05/2003 15.94
11/06/2003 14.84 11/06/2003 15.89
11/07/2003 14.86 11/07/2003 16.04
11/10/2003 14.85 11/10/2003 16.08
11/11/2003 14.82 11/11/2003 16.14
11/12/2003 14.89 11/12/2003 16.38
11/13/2003 14.78 11/13/2003 16.23
11/14/2003 14.75 11/14/2003 16.21
11/17/2003 14.71 11/17/2003 15.99
11/18/2003 14.69 11/18/2003 16.15
11/19/2003 14.72 11/19/2003 15.95
11/20/2003 14.74 11/20/2003 15.72
11/21/2003 14.74 11/21/2003 15.90
11/24/2003 14.79 11/24/2003 15.95
11/25/2003 14.88 11/25/2003 16.10
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
11/26/2003 14.89 11/26/2003 16.32
11/28/2003 14.93 11/28/2003 16.40
12/01/2003 14.98 12/01/2003 16.21
12/02/2003 15.08 12/02/2003 16.48
12/03/2003 15.12 12/03/2003 16.40
12/04/2003 15.17 12/04/2003 16.40
12/05/2003 15.20 12/05/2003 16.55
12/08/2003 15.17 12/08/2003 16.67
12/09/2003 15.13 12/09/2003 16.60
12/10/2003 14.93 12/10/2003 16.64
12/11/2003 14.95 12/11/2003 16.45
12/12/2003 14.94 12/12/2003 16.59
12/15/2003 14.92 12/15/2003 16.64
12/16/2003 14.94 12/16/2003 16.31
12/17/2003 14.97 12/17/2003 16.42
12/18/2003 15.03 12/18/2003 16.74
12/19/2003 15.06 12/19/2003 16.65
12/22/2003 15.12 12/22/2003 16.78
12/23/2003 15.12 12/23/2003 16.63
12/24/2003 15.16 12/24/2003 16.91
12/26/2003 15.15 12/26/2003 16.95
12/29/2003 15.04 12/29/2003 16.88
12/30/2003 15.07 12/30/2003 16.96
12/31/2003 15.09 12/31/2003 16.79
01/02/2004 15.09 01/02/2004 16.51
01/05/2004 15.25 01/05/2004 16.64
01/06/2004 15.35 01/06/2004 16.63
01/07/2004 15.41 01/07/2004 16.71
01/08/2004 15.49 01/08/2004 16.78
01/09/2004 15.53 01/09/2004 16.76
01/12/2004 15.50 01/12/2004 17.00
01/13/2004 15.50 01/13/2004 17.08
01/14/2004 15.51 01/14/2004 17.00
01/15/2004 15.51 01/15/2004 17.05
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
01/16/2004 15.56 01/16/2004 16.94
01/20/2004 15.60 01/20/2004 16.86
01/21/2004 15.68 01/21/2004 17.07
01/22/2004 15.72 01/22/2004 17.10
01/23/2004 15.67 01/23/2004 17.06
01/26/2004 15.68 01/26/2004 17.04
01/27/2004 15.67 01/27/2004 16.90
01/28/2004 15.59 01/28/2004 16.95
01/29/2004 15.52 01/29/2004 16.99
01/30/2004 15.43 01/30/2004 16.98
02/02/2004 15.41 02/02/2004 16.85
02/03/2004 15.37 02/03/2004 16.99
02/04/2004 15.28 02/04/2004 16.88
02/05/2004 15.22 02/05/2004 16.91
02/06/2004 15.26 02/06/2004 17.05
02/09/2004 15.31 02/09/2004 17.04
02/10/2004 15.33 02/10/2004 17.04
02/11/2004 15.28 02/11/2004 16.96
02/12/2004 15.27 02/12/2004 16.83
02/13/2004 15.27 02/13/2004 16.78
02/17/2004 15.31 02/17/2004 16.62
02/18/2004 15.31 02/18/2004 16.51
02/19/2004 15.28 02/19/2004 16.31
02/20/2004 15.23 02/20/2004 16.05
02/23/2004 15.22 02/23/2004 15.60
02/24/2004 15.18 02/24/2004 15.68
02/25/2004 15.19 02/25/2004 16.22
02/26/2004 15.20 02/26/2004 16.18
02/27/2004 15.28 02/27/2004 16.35
03/01/2004 15.33 03/01/2004 16.26
03/02/2004 15.32 03/02/2004 15.99
03/03/2004 15.31 03/03/2004 16.10
03/04/2004 15.32 03/04/2004 16.10
03/05/2004 15.41 03/05/2004 16.35
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
03/08/2004 15.38 03/08/2004 16.45
03/09/2004 15.38 03/09/2004 16.25
03/10/2004 15.32 03/10/2004 16.30
03/11/2004 15.15 03/11/2004 16.18
03/12/2004 15.17 03/12/2004 16.40
03/15/2004 15.11 03/15/2004 16.35
03/16/2004 15.11 03/16/2004 16.24
03/17/2004 15.13 03/17/2004 16.17
03/18/2004 15.14 03/18/2004 16.15
03/19/2004 15.13 03/19/2004 16.17
03/22/2004 15.10 03/22/2004 16.09
03/23/2004 15.07 03/23/2004 16.05
03/24/2004 15.05 03/24/2004 15.95
03/25/2004 15.06 03/25/2004 16.05
03/26/2004 15.09 03/26/2004 16.40
03/29/2004 15.16 03/29/2004 16.40
03/30/2004 15.20 03/30/2004 16.41
03/31/2004 15.25 03/31/2004 16.48
04/01/2004 15.26 04/01/2004 16.77
04/02/2004 15.18 04/02/2004 16.69
04/05/2004 15.23 04/05/2004 16.31
04/06/2004 15.30 04/06/2004 16.10
04/07/2004 15.31 04/07/2004 16.16
04/08/2004 15.29 04/08/2004 16.42
04/12/2004 15.30 04/12/2004 16.50
04/13/2004 15.11 04/13/2004 16.07
04/14/2004 15.06 04/14/2004 15.54
04/15/2004 15.07 04/15/2004 15.37
04/16/2004 15.11 04/16/2004 15.49
04/19/2004 15.09 04/19/2004 15.60
04/20/2004 15.07 04/20/2004 15.34
04/21/2004 15.10 04/21/2004 15.08
04/22/2004 15.17 04/22/2004 15.29
04/23/2004 15.13 04/23/2004 15.08
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
04/26/2004 15.21 04/26/2004 14.80
04/27/2004 15.24 04/27/2004 14.92
04/28/2004 15.14 04/28/2004 15.00
04/29/2004 15.09 04/29/2004 15.19
04/30/2004 15.07 04/30/2004 15.15
05/03/2004 15.05 05/03/2004 15.00
05/04/2004 15.01 05/04/2004 15.13
05/05/2004 15.00 05/05/2004 15.21
05/06/2004 14.89 05/06/2004 14.94
05/07/2004 14.72 05/07/2004 14.30
05/10/2004 14.56 05/10/2004 14.00
05/11/2004 14.55 05/11/2004 14.61
05/12/2004 14.35 05/12/2004 14.70
05/13/2004 14.28 05/13/2004 14.74
05/14/2004 14.26 05/14/2004 14.75
05/17/2004 14.20 05/17/2004 14.65
05/18/2004 14.25 05/18/2004 14.75
05/19/2004 14.32 05/19/2004 14.93
05/20/2004 14.34 05/20/2004 14.90
05/21/2004 14.36 05/21/2004 15.02
05/24/2004 14.43 05/24/2004 14.82
05/25/2004 14.49 05/25/2004 15.15
05/26/2004 14.53 05/26/2004 15.20
05/27/2004 14.57 05/27/2004 15.25
05/28/2004 14.56 05/28/2004 15.27
06/01/2004 14.57 06/01/2004 15.08
06/02/2004 14.59 06/02/2004 15.27
06/03/2004 14.55 06/03/2004 15.15
06/04/2004 14.57 06/04/2004 15.13
06/07/2004 14.68 06/07/2004 15.24
06/08/2004 14.69 06/08/2004 15.35
06/09/2004 14.68 06/09/2004 15.39
06/10/2004 14.71 06/10/2004 15.38
06/14/2004 14.54 06/14/2004 15.19
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
06/15/2004 14.63 06/15/2004 15.13
06/16/2004 14.61 06/16/2004 15.14
06/17/2004 14.65 06/17/2004 15.08
06/18/2004 14.67 06/18/2004 15.22
06/21/2004 14.67 06/21/2004 15.18
06/22/2004 14.70 06/22/2004 15.20
06/23/2004 14.74 06/23/2004 15.07
06/24/2004 14.76 06/24/2004 15.11
06/25/2004 14.75 06/25/2004 15.17
06/28/2004 14.75 06/28/2004 15.24
06/29/2004 14.76 06/29/2004 15.19
06/30/2004 14.80 06/30/2004 15.35
07/01/2004 14.78 07/01/2004 15.40
07/02/2004 14.80 07/02/2004 15.63
07/06/2004 14.82 07/06/2004 15.57
07/07/2004 14.84 07/07/2004 15.60
07/08/2004 14.85 07/08/2004 15.70
07/09/2004 14.88 07/09/2004 15.67
07/12/2004 14.92 07/12/2004 15.76
07/13/2004 14.82 07/13/2004 15.70
07/14/2004 14.84 07/14/2004 15.69
07/15/2004 14.86 07/15/2004 15.69
07/16/2004 14.91 07/16/2004 15.74
07/19/2004 14.89 07/19/2004 15.84
07/20/2004 14.89 07/20/2004 15.78
07/21/2004 14.86 07/21/2004 15.62
07/22/2004 14.85 07/22/2004 15.60
07/23/2004 14.84 07/23/2004 15.64
07/26/2004 14.81 07/26/2004 15.67
07/27/2004 14.77 07/27/2004 15.63
07/28/2004 14.77 07/28/2004 15.72
07/29/2004 14.79 07/29/2004 15.75
07/30/2004 14.81 07/30/2004 15.90
08/02/2004 14.86 08/02/2004 15.87
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
08/03/2004 14.83 08/03/2004 16.00
08/04/2004 14.81 08/04/2004 15.92
08/05/2004 14.78 08/05/2004 15.95
08/06/2004 14.80 08/06/2004 15.97
08/09/2004 14.76 08/09/2004 15.99
08/10/2004 14.83 08/10/2004 15.90
08/11/2004 14.85 08/11/2004 15.94
08/12/2004 14.71 08/12/2004 15.71
08/13/2004 14.73 08/13/2004 15.80
08/16/2004 14.77 08/16/2004 15.84
08/17/2004 14.80 08/17/2004 15.90
08/18/2004 14.83 08/18/2004 15.98
08/19/2004 14.84 08/19/2004 16.02
08/20/2004 14.88 08/20/2004 16.05
08/23/2004 14.89 08/23/2004 16.00
08/24/2004 14.90 08/24/2004 16.03
08/25/2004 14.95 08/25/2004 16.05
08/26/2004 14.95 08/26/2004 16.13
08/27/2004 14.95 08/27/2004 16.13
08/30/2004 14.95 08/30/2004 16.24
08/31/2004 14.99 08/31/2004 16.20
09/01/2004 15.00 09/01/2004 16.14
09/02/2004 15.05 09/02/2004 16.23
09/03/2004 15.05 09/03/2004 16.30
09/07/2004 15.09 09/07/2004 16.18
09/08/2004 15.10 09/08/2004 16.22
09/09/2004 15.12 09/09/2004 16.32
09/10/2004 15.18 09/10/2004 16.44
09/13/2004 15.08 09/13/2004 16.21
09/14/2004 15.09 09/14/2004 16.08
09/15/2004 15.09 09/15/2004 16.15
09/16/2004 15.11 09/16/2004 16.18
09/17/2004 15.16 09/17/2004 16.27
09/20/2004 15.16 09/20/2004 16.35
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
09/21/2004 15.26 09/21/2004 16.35
09/22/2004 15.22 09/22/2004 16.26
09/23/2004 15.26 09/23/2004 16.25
09/24/2004 15.26 09/24/2004 16.26
09/27/2004 15.24 09/27/2004 16.19
09/28/2004 15.27 09/28/2004 16.22
09/29/2004 15.26 09/29/2004 16.16
09/30/2004 15.28 09/30/2004 16.20
10/01/2004 15.31 10/01/2004 16.26
10/04/2004 15.32 10/04/2004 16.30
10/05/2004 15.34 10/05/2004 16.49
10/06/2004 15.37 10/06/2004 16.45
10/07/2004 15.36 10/07/2004 16.46
10/08/2004 15.36 10/08/2004 16.51
10/11/2004 15.35 10/11/2004 16.52
10/12/2004 15.34 10/12/2004 16.57
10/13/2004 15.19 10/13/2004 16.41
10/14/2004 15.16 10/14/2004 16.49
10/15/2004 15.21 10/15/2004 16.53
10/18/2004 15.22 10/18/2004 16.46
10/19/2004 15.21 10/19/2004 16.43
10/20/2004 15.18 10/20/2004 16.44
10/21/2004 15.22 10/21/2004 16.43
10/22/2004 15.23 10/22/2004 16.52
10/25/2004 15.27 10/25/2004 16.52
10/26/2004 15.31 10/26/2004 16.60
10/27/2004 15.38 10/27/2004 16.65
10/28/2004 15.42 10/28/2004 16.73
10/29/2004 15.47 10/29/2004 16.74
11/01/2004 15.51 11/01/2004 16.89
11/02/2004 15.53 11/02/2004 16.92
11/03/2004 15.63 11/03/2004 17.00
11/04/2004 15.73 11/04/2004 17.05
11/05/2004 15.79 11/05/2004 16.58
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
11/08/2004 15.77 11/08/2004 16.28
11/09/2004 15.79 11/09/2004 16.49
11/10/2004 15.72 11/10/2004 16.32
11/11/2004 15.72 11/11/2004 16.46
11/12/2004 15.75 11/12/2004 16.59
11/15/2004 15.79 11/15/2004 16.69
11/16/2004 15.79 11/16/2004 16.72
11/17/2004 15.80 11/17/2004 16.80
11/18/2004 15.84 11/18/2004 16.87
11/19/2004 15.81 11/19/2004 16.77
11/22/2004 15.85 11/22/2004 16.76
11/23/2004 15.88 11/23/2004 16.81
11/24/2004 15.92 11/24/2004 16.84
11/26/2004 15.94 11/26/2004 16.89
11/29/2004 15.92 11/29/2004 16.77
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
11/30/2004 15.87 11/30/2004 16.62
12/01/2004 15.90 12/01/2004 16.69
12/02/2004 15.90 12/02/2004 16.71
12/03/2004 15.92 12/03/2004 16.85
12/06/2004 15.92 12/06/2004 16.99
12/07/2004 15.91 12/07/2004 16.95
12/08/2004 15.92 12/08/2004 17.00
12/09/2004 15.82 12/09/2004 16.89
12/10/2004 15.83 12/10/2004 16.74
12/13/2004 15.89 12/13/2004 16.58
12/14/2004 15.92 12/14/2004 16.44
12/15/2004 15.98 12/15/2004 16.52
12/16/2004 15.99 12/16/2004 16.59
12/17/2004 15.99 12/17/2004 16.77
12/20/2004 16.01 12/20/2004 16.90
12/21/2004 16.03 12/21/2004 16.98
12/22/2004 16.04 12/22/2004 16.97
12/23/2004 16.05 12/23/2004 17.04
12/27/2004 16.06 12/27/2004 17.11
12/28/2004 15.97 12/28/2004 17.04
12/29/2004 15.98 12/29/2004 17.08
12/30/2004 16.00 12/30/2004 17.11
12/31/2004 16.01 12/31/2004 17.18
01/03/2005 16.00 01/03/2005 17.17
01/04/2005 15.96 01/04/2005 17.05
01/05/2005 15.88 01/05/2005 16.84
01/06/2005 15.84 01/06/2005 16.74
01/07/2005 15.85 01/07/2005 16.75
01/10/2005 15.84 01/10/2005 16.82
01/11/2005 15.77 01/11/2005 16.80
01/12/2005 15.78 01/12/2005 16.74
01/13/2005 15.78 01/13/2005 16.72
01/14/2005 15.79 01/14/2005 16.67
01/18/2005 15.81 01/18/2005 16.63
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
01/19/2005 15.78 01/19/2005 16.56
01/20/2005 15.65 01/20/2005 16.50
01/21/2005 15.65 01/21/2005 16.45
01/24/2005 15.65 01/24/2005 16.45
01/25/2005 15.64 01/25/2005 16.31
01/26/2005 15.69 01/26/2005 16.25
01/27/2005 15.72 01/27/2005 16.29
01/28/2005 15.73 01/28/2005 16.41
01/31/2005 15.80 01/31/2005 16.46
02/01/2005 15.83 02/01/2005 16.52
02/02/2005 15.86 02/02/2005 16.57
02/03/2005 15.87 02/03/2005 16.70
02/04/2005 15.94 02/04/2005 16.82
02/07/2005 15.96 02/07/2005 16.92
02/08/2005 15.98 02/08/2005 16.94
02/09/2005 15.93 02/09/2005 17.00
02/10/2005 15.83 02/10/2005 16.91
02/11/2005 15.88 02/11/2005 16.78
02/14/2005 15.93 02/14/2005 16.67
02/15/2005 15.94 02/15/2005 16.56
02/16/2005 15.97 02/16/2005 16.36
02/17/2005 15.95 02/17/2005 16.31
02/18/2005 15.93 02/18/2005 15.96
02/22/2005 15.87 02/22/2005 15.55
02/23/2005 15.90 02/23/2005 15.97
02/24/2005 15.94 02/24/2005 16.09
02/25/2005 16.02 02/25/2005 16.15
02/28/2005 16.00 02/28/2005 16.12
03/01/2005 15.99 03/01/2005 16.16
03/02/2005 15.97 03/02/2005 16.20
03/03/2005 15.97 03/03/2005 16.14
03/04/2005 16.04 03/04/2005 16.18
03/07/2005 16.10 03/07/2005 16.23
03/08/2005 16.09 03/08/2005 16.22
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
03/09/2005 16.00 03/09/2005 16.04
03/10/2005 15.88 03/10/2005 15.75
03/11/2005 15.90 03/11/2005 15.51
03/14/2005 15.90 03/14/2005 15.36
03/15/2005 15.88 03/15/2005 15.20
03/16/2005 15.77 03/16/2005 15.04
03/17/2005 15.73 03/17/2005 15.28
03/18/2005 15.70 03/18/2005 15.13
03/21/2005 15.62 03/21/2005 14.99
03/22/2005 15.55 03/22/2005 15.00
03/23/2005 15.43 03/23/2005 14.72
03/24/2005 15.48 03/24/2005 14.99
03/28/2005 15.48 03/28/2005 14.83
03/29/2005 15.39 03/29/2005 14.97
03/30/2005 15.36 03/30/2005 15.29
03/31/2005 15.37 03/31/2005 15.30
04/01/2005 15.36 04/01/2005 15.15
04/04/2005 15.33 04/04/2005 15.21
04/05/2005 15.39 04/05/2005 15.23
04/06/2005 15.44 04/06/2005 15.38
04/07/2005 15.49 04/07/2005 15.43
04/08/2005 15.48 04/08/2005 15.40
04/11/2005 15.42 04/11/2005 15.36
04/12/2005 15.40 04/12/2005 15.27
04/13/2005 15.22 04/13/2005 15.05
04/14/2005 15.10 04/14/2005 14.87
04/15/2005 14.96 04/15/2005 14.75
04/18/2005 14.95 04/18/2005 14.75
04/19/2005 15.00 04/19/2005 14.98
04/20/2005 15.02 04/20/2005 14.97
04/21/2005 15.11 04/21/2005 15.16
04/22/2005 15.13 04/22/2005 15.24
04/25/2005 15.16 04/25/2005 15.29
04/26/2005 15.10 04/26/2005 15.21
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
04/27/2005 15.04 04/27/2005 15.33
04/28/2005 15.01 04/28/2005 15.50
04/29/2005 15.02 04/29/2005 15.27
05/02/2005 15.04 05/02/2005 15.43
05/03/2005 15.01 05/03/2005 15.56
05/04/2005 15.11 05/04/2005 15.77
05/05/2005 15.07 05/05/2005 15.72
05/06/2005 15.05 05/06/2005 15.67
05/09/2005 15.08 05/09/2005 15.71
05/10/2005 15.06 05/10/2005 15.67
05/11/2005 14.90 05/11/2005 15.66
05/12/2005 14.84 05/12/2005 15.55
05/13/2005 14.72 05/13/2005 15.48
05/16/2005 14.69 05/16/2005 15.33
05/17/2005 14.64 05/17/2005 15.26
05/18/2005 14.73 05/18/2005 15.42
05/19/2005 14.82 05/19/2005 15.50
05/20/2005 14.85 05/20/2005 15.69
05/23/2005 14.96 05/23/2005 15.76
05/24/2005 14.98 05/24/2005 15.72
05/25/2005 15.04 05/25/2005 15.76
05/26/2005 15.11 05/26/2005 15.95
05/27/2005 15.18 05/27/2005 16.03
05/31/2005 15.23 05/31/2005 16.14
06/01/2005 15.31 06/01/2005 16.03
06/02/2005 15.42 06/02/2005 15.92
06/03/2005 15.42 06/03/2005 16.11
06/06/2005 15.42 06/06/2005 16.15
06/07/2005 15.44 06/07/2005 16.16
06/08/2005 15.42 06/08/2005 16.21
06/09/2005 15.40 06/09/2005 16.17
06/10/2005 15.42 06/10/2005 16.20
06/13/2005 15.30 06/13/2005 15.95
06/14/2005 15.37 06/14/2005 15.97
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
06/15/2005 15.40 06/15/2005 15.98
06/16/2005 15.44 06/16/2005 16.06
06/17/2005 15.46 06/17/2005 16.17
06/20/2005 15.44 06/20/2005 16.23
06/21/2005 15.45 06/21/2005 16.21
06/22/2005 15.43 06/22/2005 16.24
06/23/2005 15.40 06/23/2005 16.36
06/24/2005 15.38 06/24/2005 16.34
06/27/2005 15.39 06/27/2005 16.35
06/28/2005 15.42 06/28/2005 16.38
06/29/2005 15.43 06/29/2005 16.35
06/30/2005 15.45 06/30/2005 16.38
07/01/2005 15.47 07/01/2005 16.48
07/05/2005 15.51 07/05/2005 16.58
07/06/2005 15.48 07/06/2005 16.67
07/07/2005 15.46 07/07/2005 16.72
07/08/2005 15.52 07/08/2005 16.76
07/11/2005 15.61 07/11/2005 16.76
07/12/2005 15.70 07/12/2005 16.83
07/13/2005 15.56 07/13/2005 16.54
07/14/2005 15.57 07/14/2005 16.56
07/15/2005 15.58 07/15/2005 16.56
07/18/2005 15.59 07/18/2005 16.49
07/19/2005 15.61 07/19/2005 16.55
07/20/2005 15.65 07/20/2005 16.61
07/21/2005 15.60 07/21/2005 16.48
07/22/2005 15.66 07/22/2005 16.59
07/25/2005 15.66 07/25/2005 16.53
07/26/2005 15.68 07/26/2005 16.42
07/27/2005 15.71 07/27/2005 16.52
07/28/2005 15.76 07/28/2005 16.60
07/29/2005 15.76 07/29/2005 16.73
08/01/2005 15.75 08/01/2005 16.68
08/02/2005 15.79 08/02/2005 16.68
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
08/03/2005 15.80 08/03/2005 16.67
08/04/2005 15.79 08/04/2005 16.59
08/05/2005 15.73 08/05/2005 16.37
08/08/2005 15.70 08/08/2005 16.40
08/09/2005 15.73 08/09/2005 16.59
08/10/2005 15.75 08/10/2005 16.68
08/11/2005 15.70 08/11/2005 16.55
08/12/2005 15.71 08/12/2005 16.40
08/15/2005 15.72 08/15/2005 16.30
08/16/2005 15.67 08/16/2005 16.29
08/17/2005 15.65 08/17/2005 16.24
08/18/2005 15.61 08/18/2005 16.22
08/19/2005 15.64 08/19/2005 16.17
08/22/2005 15.66 08/22/2005 16.30
08/23/2005 15.68 08/23/2005 16.26
08/24/2005 15.67 08/24/2005 16.35
08/25/2005 15.69 08/25/2005 16.39
08/26/2005 15.68 08/26/2005 16.42
08/29/2005 15.70 08/29/2005 16.38
08/30/2005 15.69 08/30/2005 16.36
08/31/2005 15.73 08/31/2005 16.43
09/01/2005 15.79 09/01/2005 16.57
09/02/2005 15.79 09/02/2005 16.62
09/06/2005 15.86 09/06/2005 16.62
09/07/2005 15.89 09/07/2005 16.62
09/08/2005 15.85 09/08/2005 16.67
09/09/2005 15.91 09/09/2005 16.74
09/12/2005 15.89 09/12/2005 16.71
09/13/2005 15.75 09/13/2005 16.57
09/14/2005 15.75 09/14/2005 16.50
09/15/2005 15.75 09/15/2005 16.41
09/16/2005 15.79 09/16/2005 16.49
09/19/2005 15.77 09/19/2005 16.48
09/20/2005 15.73 09/20/2005 16.32
DAILY NAV AND MARKET VALUE
NAV MARKET VALUE
09/21/2005 15.68 09/21/2005 16.32
09/22/2005 15.63 09/22/2005 16.30
09/23/2005 15.64 09/23/2005 16.24
09/26/2005 15.71 09/26/2005 16.30
09/27/2005 15.71 09/27/2005 16.21
09/28/2005 15.72 09/28/2005 16.12
09/29/2005 15.75 09/29/2005 16.29
09/30/2005 15.76 09/30/2005 16.39
10/03/2005 15.77 10/03/2005 16.39
10/04/2005 15.70 10/04/2005 16.43
10/05/2005 15.58 10/05/2005 16.25
10/06/2005 15.47 10/06/2005 16.21
10/07/2005 15.50 10/07/2005 16.15
10/10/2005 15.44 10/10/2005 16.22
10/11/2005 15.39 10/11/2005 16.18
10/12/2005 15.16 10/12/2005 15.63
10/13/2005 15.05 10/13/2005 15.25
10/14/2005 15.10 10/14/2005 15.51
10/17/2005 15.16 10/17/2005 15.60
10/18/2005 15.13 10/18/2005 15.54
10/19/2005 15.16 10/19/2005 15.53
10/20/2005 15.06 10/20/2005 15.56
10/21/2005 15.08 10/21/2005 15.74
10/24/2005 15.16 10/24/2005 15.80
10/25/2005 15.17 10/25/2005 15.81
10/26/2005 15.14 10/26/2005 15.74
10/27/2005 15.07 10/27/2005 15.68
10/28/2005 15.10 10/28/2005 15.69
10/31/2005 15.21 10/31/2005 15.52
AVERAGE ANNUAL TOTAL RETURN + AS OF OCTOBER 31, 2005
COMMON SHARES -- INCEPTION 5/28/2003 1 YEAR SINCE INCEPTION
On Market Price 1.83% 10.72%
On NAV 7.99% 11.91%
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. You can purchase or sell
common shares daily. Like any other stock, market price will fluctuate with the
market. Upon sale, your shares may have a market price that is above or below
net asset value and may be worth more or less than your original investment. Due
to ongoing market volatility, performance is subject to substantial short-term
fluctuations.
+ Total return measures net investment income and capital gain or loss from
portfolio investments, assuming reinvestment of income and capital gains
distributions.
Convertible and High Income Fund
Performance ANNUAL REPORT 3
Performance
FUND SECTOR ALLOCATION AS OF OCTOBER 31, 2005
[BAR CHART]
CONSUMER DISCRETIONARY 18.6%
FINANCIALS 13.4%
INDUSTRIALS 13.0%
ENERGY 11.5%
HEALTH CARE 10.4%
INFORMATION TECHNOLOGY 8.9%
MATERIALS 8.5%
CONSUMER STAPLES 7.6%
UTILITIES 6.4%
TELECOMMUNICATION SERVICES 1.7%
Sector allocations are based on total investments (excluding security lending
collateral and short-term investments) and may vary over time.
FUND ASSET ALLOCATION AS OF OCTOBER 31, 2005
[PIE CHART]
SHORT-TERM INVESTMENTS 0.7%
CONVERTIBLE SECURITIES 36.5%
CORPORATE BONDS 62.8%
Convertible and High Income Fund
4 ANNUAL REPORT Performance
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
- --------------- -------------
CORPORATE BONDS (89.3%)
CONSUMER DISCRETIONARY (19.1%)
Asbury Automotive Group, Inc.+
$ 2,859,000
9.000%, 06/15/12 $ 2,837,558
9,529,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 9,779,136
4,764,000 Broder Bros. Co.
11.250%, 10/15/10 4,430,520
4,764,000 DEX Media, Inc.
8.000%, 11/15/13 4,871,190
12,493,000GBP EMI Group, PLC
9.750%, 05/20/08 23,950,157
762,000 General Motors Corp.+
7.125%, 07/15/13 605,790
Goodyear Tire & Rubber Company+
6,670,000 7.857%, 08/15/11 6,403,200
4,764,000 7.000%, 03/15/28 3,846,930
1,143,000 GSC Holdings Corp. (Gamestop, Inc.)*+
8.000%, 10/01/12 1,117,283
8,862,000 Hasbro, Inc.
6.600%, 07/15/28 8,949,503
6,003,000 Houghton Mifflin Company+
9.875%, 02/01/13 6,228,112
3,812,000 IMAX Corp.
9.625%, 12/01/10 4,097,900
3,812,000 Inn of the Mountain Gods
12.000%, 11/15/10 4,097,900
4,764,000 Interpublic Group of Companies, Inc.
7.250%, 08/15/11 4,668,720
2,859,000 Intrawest Corp.
7.500%, 10/15/13 2,923,328
J.C. Penney Company, Inc.
1,906,000 9.000%, 08/01/12 2,185,576
1,429,000 7.650%, 08/15/16+ 1,572,490
4,288,000 Jarden Corp.+
9.750%, 05/01/12 4,352,320
3,059,000 Kellwood Company
7.625%, 10/15/17 2,747,594
3,573,000 La Quinta, Corp.
8.875%, 03/15/11 3,832,042
3,335,000 Landry's Restaurants, Inc.+
7.500%, 12/15/14 3,084,875
2,859,000 Mandalay Resort Group+
7.625%, 07/15/13 2,951,918
11,271,000 Oxford Industries, Inc.
8.875%, 06/01/11 11,609,130
953,000 Pinnacle Entertainment, Inc.+
8.250%, 03/15/12 950,618
4,764,000 Rent-A-Center, Inc.+
7.500%, 05/01/10 4,561,530
3,573,000CAD Rogers Cable, Inc.
7.250%, 12/15/11 3,139,890
4,288,000CAD Rogers Wireless, Inc.
7.625%, 12/15/11 3,893,726
11,339,000 Royal Caribbean Cruises, Ltd.+
7.500%, 10/15/27 11,764,212
4,764,000 Russell Corp.
9.250%, 05/01/10 4,823,550
8,195,000 Vail Resorts, Inc.
6.750%, 02/15/14 8,195,000
6,670,000 Warnaco Group, Inc.+
8.875%, 06/15/13 7,220,275
Warner Music Group
1,906,000GBP 8.125%, 04/15/14 3,483,261
1,906,000 7.375%, 04/15/14 1,867,880
WCI Communities, Inc.+
6,194,000 7.875%, 10/01/13 5,899,785
2,859,000 6.625%, 03/15/15 2,465,888
-------------
179,408,787
-------------
CONSUMER STAPLES (7.3%)
1,906,000 Central Garden & Pet Company
9.125%, 02/01/13 2,010,830
5,241,000 Chattem, Inc.
7.000%, 03/01/14 5,319,615
4,288,000 Chiquita Brands International, Inc.
7.500%, 11/01/14 4,062,880
5,389,000 Del Monte Foods Company
8.625%, 12/15/12 5,766,230
Dole Food Company, Inc.
4,615,000 8.875%, 03/15/11 4,799,600
4,250,000 8.625%, 05/01/09 4,414,688
2,153,000 Gold Kist, Inc.
10.250%, 03/15/14 2,422,125
12,864,000 Jean Coutu Group, Inc.+
8.500%, 08/01/14 11,995,680
4,288,000 NBTY, Inc.*
7.125%, 10/01/15 4,202,240
3,812,000 Pinnacle Foods Holding+
8.250%, 12/01/13 3,545,160
6,098,000 Playtex Products, Inc.
8.000%, 03/01/11 6,395,277
5,241,000 Revlon, Inc.+
9.500%, 04/01/11 4,939,642
1,906,000 Smithfield Foods, Inc.
7.750%, 05/15/13 2,015,595
4,907,000 Spectrum Brands, Inc.+
8.500%, 10/01/13 4,465,370
2,002,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 2,182,180
-------------
68,537,112
-------------
ENERGY (11.4%)
8,576,000 Arch Western Finance, LLC+
6.750%, 07/01/13 8,661,760
Chesapeake Energy Corp.+
3,812,000 6.875%, 01/15/16 3,878,710
1,906,000 7.750%, 01/15/15 2,029,890
Convertible and High Income Fund
Schedule of Investments ANNUAL REPORT 5
See accompanying Notes to Schedule of Investments.
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
- ------------ -------------
$ 4,764,000 Forest Oil Corp.+
8.000%, 12/15/11 $ 5,228,490
5,908,000 General Maritime Corp.
10.000%, 03/15/13 6,528,340
Giant Industries, Inc.
5,717,000 8.000%, 05/15/14 5,945,680
1,906,000 11.000%, 05/15/12 2,129,955
10,815,000 Houston Exploration Company
7.000%, 06/15/13 10,896,112
4,383,000 KCS Energy, Inc.
7.125%, 04/01/12 4,492,575
2,606,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 2,762,360
2,859,000 Massey Energy Company
6.950%, 03/01/07 2,901,885
4,407,000 Paramount Resources Ltd.
8.500%, 01/31/13 4,539,210
Petroleo Brasileiro, SA
7,147,000 8.375%, 12/10/18+ 7,897,435
4,764,000 9.125%, 07/02/13 5,454,780
16,675,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 17,842,250
953,000 Stone Energy Corp.+
6.750%, 12/15/14 910,115
2,859,000 Swift Energy Company+
7.625%, 07/15/11 2,923,328
6,194,000 Whiting Petroleum Corp.
7.250%, 05/01/12 6,271,425
5,717,000 Williams Companies, Inc.
7.750%, 06/15/31 6,067,166
-------------
107,361,466
-------------
FINANCIALS (5.1%)
E*TRADE Financial Corporation*
7,242,000 7.375%, 09/15/13 7,169,580
1,334,000 8.000%, 06/15/11 1,360,680
4,574,000 Fairfax Financial Holdings, Ltd.+
7.750%, 04/26/12 4,231,160
Host Marriott Corp.+
10,482,000 7.125%, 11/01/13 10,678,537
2,001,000 9.250%, 10/01/07 2,126,063
11,435,000 Leucadia National Corp.
7.000%, 08/15/13 11,549,350
Senior Housing Properties Trust
5,098,000 7.875%, 04/15/15 5,391,135
4,764,000 8.625%, 01/15/12 5,264,220
-------------
47,770,725
-------------
HEALTH CARE (7.7%)
9,538,000 Alpharma, Inc.
8.625%, 05/01/11 10,253,350
15,508,000 Ameripath, Inc.+
10.500%, 04/01/13 16,205,860
13,912,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 14,738,456
2,859,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 3,144,900
2,859,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 2,959,065
6,194,000 Quintiles Transnational Corp.
10.000%, 10/01/13 6,867,598
9,624,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 9,166,860
2,568,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 2,516,640
6,670,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 6,986,825
-------------
72,839,554
-------------
INDUSTRIALS (13.5%)
2,620,000 Accuride Corp.
8.500%, 02/01/15 2,489,000
5,717,000 American Airlines, Inc.
7.250%, 02/05/09 5,402,565
2,382,000 Armor Holdings, Inc.
8.250%, 08/15/13 2,584,470
BE Aerospace, Inc.
2,859,000 8.875%, 05/01/11+ 3,009,098
1,906,000 8.500%, 10/01/10 2,072,775
16,199,000 CNH Global, NV
9.250%, 08/01/11 17,130,442
1,429,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 1,443,290
15,722,000 Esterline Technologies Corp.
7.750%, 06/15/13 16,468,795
3,335,000 Gardner Denver, Inc.*
8.000%, 05/01/13 3,485,075
1,429,000 GATX Corp.+
8.875%, 06/01/09 1,580,514
3,783,000 General Cable Corp.+
9.500%, 11/15/10 4,009,980
3,335,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 3,443,387
JLG Industries, Inc.
7,242,000 8.250%, 05/01/08 7,748,940
3,335,000 8.375%, 06/15/12+ 3,535,100
2,859,000 Legrand Holding, SA
8.500%, 02/15/25 3,416,505
4,141,000 Manitowoc Company, Inc.
10.500%, 08/01/12 4,658,625
12,387,000 Mobile Mini, Inc.
9.500%, 07/01/13 13,687,635
4,764,000 Monitronics International, Inc.
11.750%, 09/01/10 4,710,405
2,287,000 Orbital Sciences Corp.
9.000%, 07/15/11 2,487,113
Sequa Corp.
6,670,000 8.875%, 04/01/08 6,870,100
1,906,000 9.000%, 08/01/09 1,987,005
Convertible and High Income Fund
6 ANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
- ------------ -------------
Terex Corp.
$ 6,670,000 9.250%, 07/15/11 $ 7,153,575
5,836,000 7.375%, 01/15/14 5,836,000
1,906,000 Wesco Distribution Inc.*
7.500%, 10/15/17 1,913,148
-------------
127,123,542
-------------
INFORMATION TECHNOLOGY (8.2%)
9,529,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 9,576,645
2,611,000 Arrow Electronics, Inc.
6.875%, 06/01/18 2,720,299
Celestica, Inc.+
8,099,000 7.625%, 07/01/13 7,916,772
3,812,000 7.875%, 07/01/11 3,792,940
1,906,000 Flextronics International, Ltd.
6.500%, 05/15/13 1,920,295
4,764,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 5,020,065
1,906,000 GBP Iron Mountain, Inc.*
7.250%, 04/15/14 3,238,674
4,907,000 Lucent Technologies, Inc.
6.500%, 01/15/28 4,195,485
3,812,000 Stratus Technologies, Inc.
10.375%, 12/01/08 3,869,180
8,195,000 SunGard Data Systems Inc.*
9.125%, 08/15/13 8,358,900
6,670,000 Telcordia Technologies*+
10.000%, 03/15/13 5,902,950
19,534,000 Xerox Corp.+
7.625%, 06/15/13 20,608,370
-------------
77,120,575
-------------
MATERIALS (11.5%)
Aleris International, Inc.
4,955,000 10.375%, 10/15/10 5,438,112
3,675,000 9.000%, 11/15/14 3,766,875
4,764,000 Ball Corp.
6.875%, 12/15/12 4,859,280
18,124,000 Equistar Chemicals, LP
10.625%, 05/01/11 19,845,780
12,244,000 Freeport-McMoRan Copper & Gold,
Inc.
10.125%, 02/01/10 13,529,620
14,293,000 Georgia-Pacific Corp.+
8.000%, 01/15/14 15,436,440
5,717,000 IPSCO, Inc.
8.750%, 06/01/13 6,345,870
8,576,000 Neenah Paper, Inc.+
7.375%, 11/15/14 8,018,560
12,387,000 Polyone Corp.+
10.625%, 05/15/10 12,201,195
Pope & Talbot, Inc.
2,430,000 8.375%, 06/01/13 1,907,550
1,906,000 8.375%, 06/01/13 1,496,210
4,764,000 Sealed Air Corp.*
6.875%, 07/15/33 4,846,570
1,906,000 Texas Industries, Inc.*
7.250%, 07/15/13 1,991,770
Union Carbide Corp.+
4,621,000 7.875%, 04/01/23 4,995,939
3,097,000 7.500%, 06/01/25 3,257,297
-------------
107,937,068
-------------
TELECOMMUNICATION SERVICES (1.9%)
5,717,000 AT&T Corp.
9.750%, 11/15/31 6,989,033
6,670,000 Sprint Nextel Corporation+
7.375%, 08/01/15 7,065,664
4,288,000 Syniverse Technologies, Inc.*
7.750%, 08/15/13 4,341,600
-------------
18,396,297
-------------
UTILITIES (3.6%)
4,764,000 Centerpoint Energy, Inc.+
6.850%, 06/01/15 5,115,050
Edison International+
5,717,000 9.875%, 04/15/11 6,688,890
3,812,000 10.000%, 08/15/08 4,202,730
4,764,000 Public Service Enterprise Group, Inc.
8.625%, 02/15/08 4,966,470
12,006,000 Teco Energy, Inc.
7.500%, 06/15/10 12,786,390
-------------
33,759,530
-------------
TOTAL CORPORATE BONDS
(Cost $820,718,983) 840,254,656
=============
CONVERTIBLE BONDS (16.0%)
Consumer Discretionary (2.3%)
3,250,000 Deutsche Bank, LUX (USA
Interactive)*++
3.893%, 05/01/12 3,800,469
6,500,000 Lamar Advertising Company+
2.875%, 12/31/10 6,955,000
2,125,000 Lions Gate Entertainment Corp.
3.625%, 03/15/25 2,018,750
9,000,000 Walt Disney Company
2.125%, 04/15/23
9,168,750
-------------
21,942,969
-------------
ENERGY (1.2%)
9,000,000 Cal Dive International, Inc.*
3.250%, 12/15/25 11,137,500
-------------
HEALTH CARE (3.3%)
10,500,000 Emdeon Corp.*
3.125%, 09/01/25 9,266,250
6,500,000 Invitrogen Corp.*
3.250%, 06/15/25 6,134,375
8,000,000 LifePoint Hospitals, Inc.*+
3.250%, 08/15/25 7,600,000
Convertible and High Income Fund
Schedule of Investments ANNUAL REPORT 7
See accompanying Notes to Schedule of Investments.
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
- ------------ -------------
$ 8,000,000 Wyeth+ ++
3.320%, 01/15/24 $ 8,240,720
-------------
31,241,345
-------------
INDUSTRIALS (3.4%)
11,500,000 GATX Corp.
7.500%, 02/01/07 13,843,125
6,400,000 Lockheed Martin Corp.++
3.540%, 08/15/33 6,747,776
3,500,000 Quanta Services, Inc.
4.500%, 10/01/23 4,221,875
13,000,000 Roper Industries, Inc.+
1.481%, 01/15/34 6,938,750
-------------
31,751,526
-------------
INFORMATION TECHNOLOGY (3.8%)
6,500,000 Advanced Micro Devices, Inc.+
4.750%, 02/01/22 7,150,000
4,000,000 CSG Systems International, Inc.
2.500%, 06/15/24 4,205,000
5,500,000 DST Systems, Inc.+
4.125%, 08/15/23 7,026,250
7,800,000 Liberty Media Corp.+
3.500%, 01/15/31 7,605,000
6,500,000 LSI Logic Corp.
4.000%, 05/15/10 6,345,625
3,000,000 Openwave Systems, Inc.+
2.750%, 09/09/08 3,435,000
-------------
35,766,875
-------------
TELECOMMUNICATION SERVICES (0.4%)
Liberty Media Corp. (Sprint PCS Group)
4,142,000 3.750%, 02/15/30 2,293,632
1,974,000 4.000%, 11/15/29 1,174,530
-------------
3,468,162
-------------
UTILITIES (1.6%)
6,500,000 CenterPoint Energy, Inc.
3.750%, 05/15/23 7,938,125
3,500,000 GBP Scottish and Southern Energy, PLC
3.750%, 10/29/09 7,094,005
-------------
15,032,130
-------------
TOTAL CONVERTIBLE BONDS
(Cost $149,129,041) 150,340,507
=============
SYNTHETIC CONVERTIBLE SECURITIES (5.2%)
CORPORATE BONDS (4.4%)
CONSUMER DISCRETIONARY (0.9%)
141,000 Asbury Automotive Group, Inc.+
9.000%, 06/15/12 139,943
471,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 483,364
236,000 Broder Bros. Co.
11.250%, 10/15/10 219,480
236,000 DEX Media, Inc.
8.000%, 11/15/13 241,310
618,000 GBP EMI Group, PLC
9.750%, 05/20/08 1,184,759
38,000 General Motors Corp.+
7.125%, 07/15/13 30,210
Goodyear Tire & Rubber Company+
330,000 7.857%, 08/15/11 316,800
236,000 7.000%, 03/15/28 190,570
57,000 GSC Holdings Corp. (Gamestop, Inc.)*+
8.000%, 10/01/12 55,718
438,000 Hasbro, Inc.
6.600%, 07/15/28 442,325
297,000 Houghton Mifflin Company+
9.875%, 02/01/13 308,137
188,000 IMAX Corp.
9.625%, 12/01/10 202,100
188,000 Inn of the Mountain Gods
12.000%, 11/15/10 202,100
236,000 Interpublic Group of Companies, Inc.
7.250%, 08/15/11 231,280
141,000 Intrawest Corp.
7.500%, 10/15/13 144,173
J.C. Penney Company, Inc.
94,000 9.000%, 08/01/12 107,788
71,000 7.650%, 08/15/16+ 78,129
212,000 Jarden Corp.+
9.750%, 05/01/12 215,180
151,000 Kellwood Company
7.625%, 10/15/17 135,628
177,000 La Quinta, Corp.
8.875%, 03/15/11 189,832
165,000 Landry's Restaurants, Inc.+
7.500%, 12/15/14 152,625
141,000 Mandalay Resort Group+
7.625%, 07/15/13 145,583
557,000 Oxford Industries, Inc.
8.875%, 06/01/11 573,710
47,000 Pinnacle Entertainment, Inc.+
8.250%, 03/15/12 46,883
236,000 Rent-A-Center, Inc.+
7.500%, 05/01/10 225,970
177,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 155,544
212,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 192,507
561,000 Royal Caribbean Cruises, Ltd.+
7.500%, 10/15/27 582,037
236,000 Russell Corp.
9.250%, 05/01/10 238,950
405,000 Vail Resorts, Inc.
6.750%, 02/15/14 405,000
330,000 Warnaco Group, Inc.+
8.875%, 06/15/13 357,225
Warner Music Group
94,000 GBP 8.125%, 04/15/14 171,787
Convertible and High Income Fund
8 ANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
- ------------ -------------
$ 94,000 7.375%, 04/15/14 $ 92,120
WCI Communities, Inc.+
306,000 7.875%, 10/01/13 291,465
141,000 6.625%, 03/15/15 121,613
-------------
8,871,845
-------------
CONSUMER STAPLES (0.3%)
94,000 Central Garden & Pet Company
9.125%, 02/01/13 99,170
259,000 Chattem, Inc.
7.000%, 03/01/14 262,885
212,000 Chiquita Brands International,
Inc.
7.500%, 11/01/14 200,870
266,000 Del Monte Foods Company
8.625%, 12/15/12 284,620
Dole Food Company, Inc.
228,000 8.875%, 03/15/11 237,120
210,000 8.625%, 05/01/09 218,138
106,000 Gold Kist, Inc.
10.250%, 03/15/14 119,250
636,000 Jean Coutu Group, Inc.+
8.500%, 08/01/14 593,070
212,000 NBTY, Inc.*
7.125%, 10/01/15 207,760
188,000 Pinnacle Foods Holding+
8.250%, 12/01/13 174,840
302,000 Playtex Products, Inc.
8.000%, 03/01/11 316,722
259,000 Revlon, Inc.+
9.500%, 04/01/11 244,108
94,000 Smithfield Foods, Inc.
7.750%, 05/15/13 99,405
243,000 Spectrum Brands, Inc.+
8.500%, 10/01/13 221,130
99,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 107,910
-------------
3,386,998
-------------
ENERGY (0.6%)
424,000 Arch Western Finance, LLC+
6.750%, 07/01/13 428,240
Chesapeake Energy Corp.+
188,000 6.875%, 01/15/16 191,290
94,000 7.750%, 01/15/15 100,110
236,000 Forest Oil Corp.+
8.000%, 12/15/11 259,010
292,000 General Maritime Corp.
10.000%, 03/15/13 322,660
Giant Industries, Inc.
283,000 8.000%, 05/15/14 294,320
94,000 11.000%, 05/15/12 105,045
535,000 Houston Exploration Company
7.000%, 06/15/13
539,012
217,000 KCS Energy, Inc.
7.125%, 04/01/12 222,425
129,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 136,740
141,000 Massey Energy Company
6.950%, 03/01/07 143,115
218,000 Paramount Resources Ltd.
8.500%, 01/31/13 224,540
Petroleo Brasileiro, SA
353,000 8.375%, 12/10/18+ 390,065
236,000 9.125%, 07/02/13 270,220
825,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 882,750
47,000 Stone Energy Corp.+
6.750%, 12/15/14 44,885
141,000 Swift Energy Company+
7.625%, 07/15/11 144,173
306,000 Whiting Petroleum Corp.
7.250%, 05/01/12 309,825
283,000 Williams Companies, Inc.
7.750%, 06/15/31 300,334
-------------
5,308,759
-------------
FINANCIALS (0.2%)
E*TRADE Financial Corporation*
358,000 7.375%, 09/15/13 354,420
66,000 8.000%, 06/15/11 67,320
226,000 Fairfax Financial Holdings, Ltd.+
7.750%, 04/26/12 209,060
Host Marriott Corp.+
518,000 7.125%, 11/01/13 527,712
99,000 9.250%, 10/01/07 105,188
565,000 Leucadia National Corp.
7.000%, 08/15/13 570,650
Senior Housing Properties Trust
252,000 7.875%, 04/15/15 266,490
236,000 8.625%, 01/15/12 260,780
-------------
2,361,620
-------------
HEALTH CARE (0.4%)
472,000 Alpharma, Inc.
8.625%, 05/01/11 507,400
767,000 Ameripath, Inc.+
10.500%, 04/01/13 801,515
688,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 728,871
141,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 155,100
141,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 145,935
306,000 Quintiles Transnational Corp.
10.000%, 10/01/13 339,278
476,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 453,390
127,000 Valeant Pharmaceuticals
International
7.000%, 12/15/11 124,460
Convertible and High Income Fund
Schedule of Investments ANNUAL REPORT 9
See accompanying Notes to Schedule of Investments.
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
- ------------ -------------
$ 330,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 $ 345,675
-------------
3,601,624
-------------
INDUSTRIALS (0.7%)
130,000 Accuride Corp.
8.500%, 02/01/15 123,500
283,000 American Airlines, Inc.
7.250%, 02/05/09 267,435
118,000 Armor Holdings, Inc.
8.250%, 08/15/13 128,030
BE Aerospace, Inc.
141,000 8.875%, 05/01/11+ 148,402
94,000 8.500%, 10/01/10 102,225
801,000 CNH Global, NV
9.250%, 08/01/11 847,057
71,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 71,710
778,000 Esterline Technologies Corp.
7.750%, 06/15/13 814,955
165,000 Gardner Denver, Inc.*
8.000%, 05/01/13 172,425
71,000 GATX Corp.+
8.875%, 06/01/09 78,528
187,000 General Cable Corp.+
9.500%, 11/15/10 198,220
165,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 170,362
JLG Industries, Inc.
358,000 8.250%, 05/01/08 383,060
165,000 8.375%, 06/15/12+ 174,900
141,000 Legrand Holding, SA
8.500%, 02/15/25 168,495
205,000 Manitowoc Company, Inc.
10.500%, 08/01/12 230,625
613,000 Mobile Mini, Inc.
9.500%, 07/01/13 677,365
236,000 Monitronics International, Inc.
11.750%, 09/01/10 233,345
113,000 Orbital Sciences Corp.
9.000%, 07/15/11 122,888
Sequa Corp.
330,000 8.875%, 04/01/08 339,900
94,000 9.000%, 08/01/09 97,995
Terex Corp.
330,000 9.250%, 07/15/11 353,925
289,000 7.375%, 01/15/14 289,000
94,000 Wesco Distribution Inc.*
7.500%, 10/15/17 94,353
-------------
6,288,700
-------------
INFORMATION TECHNOLOGY (0.4%)
471,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 473,355
129,000 Arrow Electronics, Inc.
6.875%, 06/01/18 134,400
Celestica, Inc.+
401,000 7.625%, 07/01/13 391,977
188,000 7.875%, 07/01/11 187,060
94,000 Flextronics International, Ltd.
6.500%, 05/15/13 94,705
236,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 248,685
94,000 GBP Iron Mountain, Inc.*
7.250%, 04/15/14 159,725
243,000 Lucent Technologies, Inc.
6.500%, 01/15/28 207,765
188,000 Stratus Technologies, Inc.
10.375%, 12/01/08 190,820
405,000 SunGard Data Systems Inc.*
9.125%, 08/15/13 413,100
330,000 Telcordia Technologies*+
10.000%, 03/15/13 292,050
966,000 Xerox Corp.+
7.625%, 06/15/13 1,019,130
-------------
3,812,772
-------------
MATERIALS (0.6%)
Aleris International, Inc.
245,000 10.375%, 10/15/10 268,888
182,000 9.000%, 11/15/14 186,550
236,000 Ball Corp.
6.875%, 12/15/12 240,720
896,000 Equistar Chemicals, LP
10.625%, 05/01/11 981,120
606,000 Freeport-McMoRan Copper & Gold, Inc.
10.125%, 02/01/10 669,630
707,000 Georgia-Pacific Corp.+
8.000%, 01/15/14 763,560
283,000 IPSCO, Inc.
8.750%, 06/01/13 314,130
424,000 Neenah Paper, Inc.+
7.375%, 11/15/14 396,440
613,000 Polyone Corp.+
10.625%, 05/15/10 603,805
Pope & Talbot, Inc.
120,000 8.375%, 06/01/13 94,200
94,000 8.375%, 06/01/13 73,790
236,000 Sealed Air Corp.*
6.875%, 07/15/33 240,090
94,000 Texas Industries, Inc.*
7.250%, 07/15/13 98,230
Convertible and High Income Fund
10 ANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
- ------------ -------------
Union Carbide Corp.+
$ 229,000 7.875%, 04/01/23 $ 247,581
153,000 7.500%, 06/01/25 160,919
-------------
5,339,653
-------------
TELECOMMUNICATION SERVICES (0.1%)
283,000 AT&T Corp.
9.750%, 11/15/31 345,967
330,000 Sprint Nextel Corporation+
7.375%, 08/01/15 349,576
212,000 Syniverse Technologies, Inc.*
7.750%, 08/15/13 214,650
-------------
910,193
-------------
UTILITIES (0.2%)
236,000 Centerpoint Energy, Inc.+
6.850%, 06/01/15 253,390
Edison International+
283,000 9.875%, 04/15/11 331,110
188,000 10.000%, 08/15/08 207,270
236,000 Public Service Enterprise Group, Inc.
8.625%, 02/15/08 246,030
594,000 Teco Energy, Inc.
7.500%, 06/15/10 632,610
-------------
1,670,410
-------------
TOTAL CORPORATE BONDS 41,552,574
=============
NUMBER OF
CONTRACTS VALUE
- ------------ -------------
OPTIONS (0.8%)
CONSUMER DISCRETIONARY (0.3%)
600 eBay, Inc.#
Call, 01/20/07, Strike 42.50 336,000
2,900 YUM! Brands, Inc.#
Call, 01/20/07, Strike 50.00 2,015,500
-------------
2,351,500
-------------
FINANCIALS (0.1%)
2,500 Allstate Corp.#
Call, 01/20/07, Strike 55.00 1,125,000
HEALTH CARE (0.2%)
2,000 UnitedHealth Group Incorporated#
Call, 01/20/07, Strike 52.50 2,260,000
-------------
INFORMATION TECHNOLOGY (0.2%)
5,100 Nokia Corp.#
Call, 01/20/07, Strike 15.00 1,596,300
-------------
TOTAL OPTIONS 7,332,800
-------------
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES
(Cost $47,652,828) 48,885,374
=============
NUMBER OF
SHARES VALUE
- ------------ -------------
CONVERTIBLE PREFERRED STOCKS (30.7%)
CONSUMER DISCRETIONARY (3.6%)
1,067,300 Ford Motor Company Capital
Trust II
6.500% $ 34,036,197
-------------
CONSUMER STAPLES (3.1%)
1,190,000 Albertson's, Inc.
7.250% 28,798,000
-------------
ENERGY (3.0%)
125,000 Amerada Hess Corp.
7.000% 13,320,000
102,700 Chesapeake Energy Corp.*
5.000% 14,942,850
-------------
28,262,850
-------------
FINANCIALS (13.5%)
635,000 Chubb Corp.
7.000% 21,355,050
19,000,000 Fortis, NV (Assurant)*
7.750% 21,066,250
Hartford Financial Services
215,000 Group, Inc.
7.000% 15,389,700
350,000 Lazard Ltd.
6.625% 8,921,500
450,000 Lehman Brothers Holdings, Inc.
6.250% 11,758,500
230,000 Merrill Lynch & Company, Inc.
6.750% 8,826,250
325,000 Metlife, Inc.
6.375% 8,888,750
570,000 National Australia Bank, Ltd.
7.875% 23,176,200
150,000 Washington Mutual, Inc.
5.375% 7,575,000
-------------
126,957,200
-------------
HEALTH CARE (3.0%)
370,000 Baxter International, Inc.
3.500% 20,042,900
145,000 Schering-Plough Corp.
6.000% 7,644,400
-------------
27,687,300
-------------
INDUSTRIALS (0.9%)
3,000,000 GBP BAE Systems, PLC
7.750% 8,750,303
-------------
UTILITIES (3.6%)
80,000 Southern Union Company
5.000% 3,956,000
375,000 TXU Corp.
4.060% 30,157,500
-------------
34,113,500
-------------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $272,367,612) 288,605,350
=============
Convertible and High Income Fund
Schedule of Investments ANNUAL REPORT 11
See accompanying Notes to Schedule of Investments.
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
- ------------ --------------
SHORT-TERM INVESTMENT (0.9%)
$ 8,809,000 Citigroup, Inc.
3.940%, 11/01/05
(Cost $8,809,000) $ 8,809,000
--------------
NUMBER OF
SHARES VALUE
- ------------ ---------------
INVESTMENT OF CASH COLLATERAL
FOR SECURITIES ON LOAN (17.6%)
165,899,284 Bank of New York Institutional
Cash Reserve Fund
current rate 4.023%
(Cost $165,899,284) 165,899,284
---------------
TOTAL INVESTMENTS (159.7%)
(Cost $1,464,576,748) $ 1,502,794,171
===============
PAYABLE UPON RETURN OF SECURITIES
ON LOAN (-17.6%) (165,899,284)
---------------
OTHER ASSETS, LESS LIABILITIES (3.6%) 34,086,616
---------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING
DIVIDENDS PAYABLE (-45.7%) (430,245,811)
---------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $ 940,735,692
===============
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market value for securities denominated in foreign currencies are shown in
U.S. dollars. The principal amount for such securities is shown in the
respective foreign currency.
* 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 generally must 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 October 31, 2005, the
market value of 144A securities that could not be exchanged to the
registered form is $95,566,527 or 10.2% of net assets applicable to
common shareholders of the Fund.
+ Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate security. The interest rate shown is the rate in effect at
October 31, 2005.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
GBP British Pound Sterling
Convertible and High Income Fund
12 ANNUAL REPORT Schedule of Investments
See accompanying Notes to Financial Statements.
Statement of Assets and Liabilities
OCTOBER 31, 2005
- ----------------
ASSETS
Investments, at value* (cost $1,464,576,748) $ 1,502,794,171
Cash with custodian (interest bearing) 2,296,461
Restricted cash for open options (interest bearing) 150,000
Foreign currency (cost $116,156) 116,156
Unrealized appreciation on interest rate swaps 10,410,916
Receivable for investments sold 827,861
Accrued interest and dividends receivable 24,433,973
Prepaid expenses 54,212
Other assets 17,589
---------------
Total assets 1,541,101,339
---------------
LIABILITIES
Payable upon return of securities loaned 165,899,284
Payable for investments purchased 3,140,959
Payable to investment advisor 819,136
Payable to financial accountant 13,323
Payable for deferred compensation to Trustees 17,589
Other accounts payable and accrued liabilities 229,545
---------------
Total liabilities 170,119,836
---------------
PREFERRED SHARES
$25,000 liquidation value per share applicable to 17,200 shares, including dividends payable 430,245,811
---------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 940,735,692
===============
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized 61,867,557 shares issued and outstanding $ 881,846,465
Undistributed net investment income (loss) (362,062)
Accumulated net realized gain (loss) on investments, foreign currency transactions and interest rate swaps 10,631,219
Net unrealized appreciation (depreciation) on investments, foreign currency translation and interest rate swaps 48,620,070
---------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 940,735,692
===============
Net asset value per common share based on 61,867,557 shares issued and outstanding $ 15.21
===============
* Includes $162,482,912 of securities loaned, at value.
Convertible and High Income Fund
Statement of Assets and Liabilities ANNUAL REPORT 13
See accompanying Notes to Financial Statements.
Statement of Operations
YEAR ENDED OCTOBER 31, 2005
- ---------------------------
INVESTMENT INCOME
Interest $ 88,147,478
Dividends (net of foreign taxes withheld of $23,452) 14,317,767
Securities lending income 899,612
---------------
Total investment income 103,364,857
---------------
EXPENSES
Investment advisory fees 11,105,961
Financial accounting fees 159,554
Auction agent and rating agency fees 1,121,377
Printing and mailing fees 212,749
Accounting fees 197,696
Audit and legal fees 138,005
Custodian fees 81,413
Registration fees 61,722
Transfer agent fees 36,355
Trustees' fees 33,460
Other 71,914
---------------
Total expenses 13,220,206
Less investment advisory fees waived (1,388,245)
---------------
Net expenses 11,831,961
---------------
NET INVESTMENT INCOME (LOSS) 91,532,896
===============
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, FOREIGN CURRENCY AND INTEREST RATE SWAPS
NET REALIZED GAIN (LOSS) FROM:
Investments 29,946,434
Foreign currency transactions (2,736)
Interest rate swaps (1,349,993)
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments (45,960,353)
Foreign currency translation (58,261)
Interest rate swaps 11,890,450
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, FOREIGN CURRENCY AND INTEREST RATE SWAPS (5,534,459)
===============
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 85,998,437
===============
DIVIDENDS TO PREFERRED SHAREHOLDERS FROM
Net investment income (12,501,709)
---------------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS $ 73,496,728
===============
Convertible and High Income Fund
14 ANNUAL REPORT Statement of Operations
See accompanying Notes to Financial Statements.
Statement of Changes in Net Assets
Year Ended October 31,
2005 2004
------------- ------------
OPERATIONS
Net investment income (loss) $ 91,532,896 $ 96,162,030
Net realized gain (loss) from investments, foreign currency transactions and interest rate swaps 28,593,705 (8,534,111)
Change in net unrealized appreciation/depreciation on investments, foreign currency
translation and interest rate swaps (34,128,164) 47,353,283
Dividends to preferred shareholders from
Net investment income (12,501,709) (6,021,235)
------------- ------------
Net increase (decrease) in net assets applicable to common shareholders resulting from operations 73,496,728 128,959,967
------------- ------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM
Net investment income (82,338,867) (88,670,835)
Capital gains (7,532,898) --
------------- ------------
Net decrease in net assets from distributions to common shareholders (89,871,765) (88,670,835)
CAPITAL STOCK TRANSACTIONS
Reinvestment of dividends resulting in the issuance of common stock 12,074,203 13,595,460
Net increase (decrease) in net assets from capital stock transactions 12,074,203 13,595,460
------------- ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (4,300,834) 53,884,592
------------- ------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Beginning of period 945,036,526 891,151,934
------------- ------------
End of period $ 940,735,692 $945,036,526
============= ============
Undistributed net investment income (loss) $ (362,062) $ 129,801
Convertible and High Income Fund
Statement of Changes in Net Assets ANNUAL REPORT 15
See accompanying Notes to Financial Statements.
Notes to Financial Statements
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION. CALAMOS Convertible and High Income Fund (the "Fund") was
organized as a Delaware statutory trust on March 12, 2003 and is registered
under the Investment Company Act of 1940 (the "1940 Act") as a diversified,
closed-end management investment company. The Fund commenced operations on May
28, 2003.
The Fund's investment objective is to provide total return through a combination
of capital appreciation and current income. Under normal circumstances the Fund
will invest at least 80% of its managed assets in a diversified portfolio of
convertible and non-convertible income securities. "Managed assets" means the
Fund's total assets (including any assets attributable to any leverage that may
be outstanding) minus total liabilities (other than debt representing financial
leverage).
PORTFOLIO VALUATION. In computing the Fund's net asset value, portfolio
securities that are traded on a securities exchange in the United States, except
for option securities, are valued at the last reported sale price as of the time
of valuation, or lacking any current reported sale at the time of valuation, at
the mean between the most recent bid and asked quotations. Each option security
traded on a securities exchange in the United States is valued at the last
current reported sale price as of the time of valuation if the last current
reported sale price falls within the consolidated bid/ask quote for the option
security. If the last current reported sale price as of the time of valuation
does not fall within the consolidated bid/ask quote for the option security, the
security is valued at the mid-point of the consolidated bid/ask quote for the
option security. Each security traded in the over-the-counter market and quoted
on the NASDAQ National Market System, is valued at the NASDAQ Official Closing
Price ("NOCP"), as determined by NASDAQ, or lacking an NOCP, the last current
reported sale price as of the time of valuation by NASDAQ, or lacking any
current reported sale on NASDAQ at the time of valuation, at the mean between
the most recent bid and asked quotations. Each over-the-counter option that is
not traded through the Options Clearing Corporation is valued by the
counterparty, or if the counterparty's price is not readily available then by
using the Black-Scholes method. Each other security traded over-the-counter is
valued at the mean between the most recent bid and asked quotations. Short-term
securities with maturities of 60 days or less are valued at amortized cost,
which approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is priced at a fair value following procedures and/or guidelines
approved by the Board of Trustees, which may include utilizing a systematic fair
valuation model provided by an independent pricing system. The Funds' 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
Funds' pricing time but after the close of the primary market or exchange on
which the security is traded. These procedures may utilize valuations furnished
by pricing services approved by the Board of Trustees, which may be based on
market transactions for comparable securities and various relationships between
securities that are generally recognized by institutional traders, a
computerized matrix system, or appraisals derived from information concerning
the securities or similar securities received from recognized dealers in those
securities. When fair value pricing is employed, the value of the portfolio
security used to calculate the Funds' net asset value may differ from quoted or
official closing prices.
Securities that are principally traded in a foreign market are valued at the
last current sale price at the time of valuation or lacking any current or
reported sale, at the time of valuation, at the mean between the most recent bid
and asked quotations as of the close of the appropriate exchange or other
designated time. Trading in securities on European and Far Eastern securities
exchanges and over-the-counter markets is normally completed at various times
before the close of business on each day on which the New York Stock Exchange
("NYSE") is open. Trading of these securities may not take place on every NYSE
business day. In addition, trading may take place in various foreign markets on
Saturdays or on other days when the NYSE is not open and on which the Fund's net
asset value is not calculated. As stated above, if the market prices are not
readily available or are not reflective of the fair value of the security, the
security will be priced at a fair value following procedures approved by the
Board of Trustees. In light of the judgment involved in fair value decisions,
there can be no assurance that a fair value assigned to a particular security is
accurate.
Convertible and High Income Fund
16 ANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements
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 fiscal
quarter ends, 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. Except for securities of foreign issuers valued by
a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
selected by the advisor from rates quoted by any major bank or dealer in the
particular currency market, as reported by a recognized quotation dissemination
service.
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of
foreign currency, foreign currency gains or losses realized between the trade
and settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Fund's books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized foreign currency appreciation
and depreciation arise from changes (due to the changes in the exchange rate) in
the value of foreign currency and other assets and liabilities denominated in
foreign currencies held at period end.
OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option among others, is that the Fund pays a premium whether or
not the option is exercised. Additionally, the Fund bears the risk of loss of
premium and change in market value should the counterparty not perform under the
contract. Put and call options purchased are accounted for in the same manner as
portfolio securities. The cost of securities acquired through the exercise of
purchased call options is increased by premiums paid. The proceeds from
securities sold through the exercise of purchased put options are decreased by
the premiums paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from written options. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a call option is
exercised, the premium is added to the proceeds from the sale of the underlying
security or currency in determining whether the Fund has realized a gain or
loss. If a put option is exercised, the premium reduces the cost basis of the
securities purchased by the Fund. The Fund as writer of an option bears the
market risk of an unfavorable change in the price of the security underlying the
written option.
USE OF ESTIMATES. The preparation of financial statements in conformity with
U.S. generally accepted accounting principles 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.
INCOME TAXES. No provision has been made for income taxes because the Fund's
policy is to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute to shareholders substantially all of its
taxable income and gains.
Dividends and distributions paid to shareholders are recorded on the ex-dividend
date. The amount of dividends and distributions from net investment income and
net realized capital gains is determined in accordance with federal income tax
regulations, which may differ from U.S. generally accepted accounting
principles. To the extent these "book/tax" differences are permanent in nature,
Convertible and High Income Fund
Notes to Financial Statements ANNUAL REPORT 17
Notes to Financial Statements
such amounts are reclassified within the capital accounts based on their federal
tax-basis treatment. These differences are primarily due to differing treatments
for foreign currency transactions, contingent payment debt instruments and
methods of amortizing and accreting fixed income securities. Financial records
are not adjusted for temporary differences.
Effective June 1, 2005, the Fund adopted a level rate monthly distribution to
common shareholders, which may be modified by the Board of Trustees from time to
time. Monthly distributions may include net investment income, net realized
short-term capital gains and, if necessary, return of capital. In addition,
distributions may include net realized long-term capital gains to the extent
permitted by the 1940 Act.
In order to make these monthly distributions, the Fund might have to sell a
portion of its investment portfolio at a time when independent investment
judgment might not dictate such action. Also, for purposes of maintaining level
rate distributions the Fund may realize short-term capital gains on securities
that, if sold at a later date, would have resulted in long-term capital gains.
Maintenance of level rate distributions may increase transaction and tax costs
associated with the Fund.
INDEMNIFICATIONS. Under the Fund's organizational documents, its Officers and
Trustees are indemnified against certain liabilities arising out of the
performance of their duties to the Fund. In addition, in the normal course of
business, the Fund enters into contracts that provide general indemnifications
to other parties. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
that have not yet occurred. However, the Fund has not had prior claims or losses
pursuant to these contracts and expects the risk of loss to be remote.
NOTE 2 - INVESTMENT ADVISOR TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with Calamos Advisors LLC
("Calamos Advisors"), the Fund pays an annual fee, payable monthly, equal to
0.80% based on the average weekly managed assets. "Managed assets" means the
Fund's total assets (including any assets attributable to any leverage that may
be outstanding) minus total liabilities (other than debt representing financial
leverage). Calamos Advisors 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).
Calamos Advisors receives a fee payable monthly at the annual rate of 0.0175% on
the first $1 billion of combined assets; 0.0150% on the next $1 billion of
combined assets; and 0.0110% on combined assets above $2 billion for financial
accounting services (for purposes of this calculation "combined assets" means
the total average daily net assets of Calamos Investment Trust and Calamos
Advisors Trust and the average weekly managed assets of Calamos Convertible and
High Income Fund, Calamos Convertible Opportunities and Income Fund, Calamos
Strategic Total Return Fund and Calamos Global Total Return Fund). Financial
accounting services include, but are not limited to, the following: managing
expenses and expense payment processing; monitoring the calculation of expense
accrual amounts; calculating, tracking, and reporting tax adjustments on all
assets and liabilities and monitoring trustee deferred compensation plan
accruals and valuations. The Fund will pay its pro rata share of the financial
accounting service fee payable to Calamos Advisors based on the Fund's relative
portion of combined assets.
Effective August 1, 2005, the Fund began reimbursing the advisor for a portion
of the compensation paid to the Chief Compliance Officer of the Fund. This
compensation is reported as part of "Other" expenses on the Statement of
Operations.
Certain officers and trustees of the Fund are also officers and directors of
Calamos Financial Services LLC ("CFS") and Calamos Advisors. 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" (as defined in the 1940 Act)
of CFS or Calamos Advisors 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
Convertible and High Income Fund
18 ANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements
credited to the trustee's deferral account as of the business day such
compensation would have been paid to the participating trustee. The value of a
participating 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 $17,589 are
included in "Other assets" on the Statement of Assets and Liabilities at October
31, 2005. The Fund's obligation to make payments under the Plan is a general
obligation of the Fund and is included in "Payable for deferred compensation to
Trustees" on the Statement of Assets and Liabilities at October 31, 2005.
NOTE 3 - INVESTMENTS
Purchases and sales of investments, other than short-term obligations, for the
year ended October 31, 2005 were as follows:
Purchases $ 740,606,407
Proceeds from sales 738,298,905
The following information is presented on an income tax basis as of October 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 October 31,
2005 was as follows:
Cost basis of investments $ 1,470,205,976
----------------
Gross unrealized appreciation 63,500,010
Gross unrealized depreciation (30,911,815)
----------------
Net unrealized appreciation (depreciation) $ 32,588,195
================
NOTE 4 - INCOME TAXES
For the year ended October 31, 2005, the Fund recorded the following permanent
reclassifications to reflect tax character. Results of operations and net assets
were not affected by these reclassifications.
Paid-in capital $ 4,837
Undistributed net investment income (loss) 2,815,817
Accumulated net realized gain (loss) on investments, foreign
currency transactions and interest rate swaps (2,820,654)
As of October 31, 2005, the components of net assets on a tax basis were as follows:
Undistributed ordinary income $ 11,346,482
Undistributed capital gains 4,913,401
-------------
Total undistributed earnings 16,259,883
Accumulated capital and other losses --
Unrealized gains/(losses) 42,945,702
-------------
Total accumulated earnings/(losses) 59,205,585
Other (316,358)
Paid-in capital 881,846,465
-------------
Net assets applicable to common shareholders $ 940,735,692
-------------
Convertible and High Income Fund
Notes to Financial Statements ANNUAL REPORT 19
Notes to Financial Statements
Distributions during the fiscal years ended October 31, 2005 and October 31,
2004 were characterized for income tax purposes as follows:
2005 2004
------------- -------------
DISTRIBUTIONS PAID FROM:
Ordinary income $ 94,726,155 $ 94,560,679
Long-Term capital gain 7,532,898 --
For the tax year ended October 31, 2005, the Fund utilized capital losses of
$5,148,747. As of October 31, 2005, the Fund had no capital loss carryforwards.
NOTE 5 - COMMON STOCK
There are unlimited common shares of beneficial interest authorized and
61,867,557 shares outstanding at October 31, 2005. Calamos Advisors owned 16,644
of the outstanding shares at October 31, 2005. Transactions in common shares
were as follows:
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 2005 OCTOBER 31, 2004
------------------ ------------------
Beginning shares 61,091,942 60,208,549
Shares sold -- --
Shares issued through reinvestment of distributions 775,615 883,393
---------- ----------
Ending shares 61,867,557 61,091,942
========== ==========
NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. A forward foreign currency contract is a commitment to
purchase or sell a foreign currency at a future date at a negotiated forward
rate. Risks associated with such contracts include, among other things, movement
in the value of the foreign currency relative to the U.S. dollar and the ability
of the counterparty to perform. The net unrealized gain, if any, represents the
credit risk to the Fund on a forward foreign currency contract. The contracts
are valued daily at forward 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 October 31, 2005.
NOTE 7 - SYNTHETIC CONVERTIBLE SECURITIES
The Fund may establish a "synthetic" convertible instrument by combining
separate securities that possess the economic characteristics similar to a
convertible security, i.e., fixed-income securities ("fixed-income component")
and the right to acquire equity securities ("convertible component"). The
fixed-income component is achieved by investing in non-convertible, fixed income
securities such as bonds, preferred stocks and money market instruments. The
convertible component is achieved by investing in warrants or options to buy
common stock at a certain exercise price, or options on a stock index. In
establishing a synthetic instrument, the Fund may pool a basket of fixed-income
securities and a basket of warrants or options that produce the economic
characteristics similar to a convertible security. Within each basket of
fixed-income securities and warrants or options, different companies may issue
the fixed-income and convertible components, which may be purchased separately
and at different times.
The Fund may purchase synthetic securities created by other parties, typically
investment banks, including convertible structured notes. Convertible structured
notes are fixed-income debentures linked to equity. Convertible structured notes
have the attributes of a convertible security; however, the investment bank that
issued the convertible note assumes the credit risk associated with the
investment, rather than the issuer of the underlying common stock into which the
note is convertible. Purchasing synthetic convertible securities may offer more
flexibility than purchasing a convertible security. Different companies may
issue the fixed-income and convertible components, which may be purchased
separately and at different times.
Convertible and High Income Fund
20 ANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements
NOTE 8 - PREFERRED SHARES
PREFERRED SHARES. There are unlimited shares of Auction Market 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 3.96% for the year ended October 31, 2005. Under the 1940
Act, the Fund may not declare dividends or make other distributions 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 Fund's option, in whole or in part,
on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or the holders of common shares.
NOTE 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 Fund's net asset value. In addition, if the counterparty to an
interest rate swap or cap defaults, the Fund would not be able to use the
anticipated receipts under the swap or cap to offset the dividend or interest
payments on the Fund's leverage. At the time an interest rate swap or cap
reaches its scheduled termination, there is a risk that the Fund would not be
able to obtain a replacement transaction or that the terms of the replacement
would not be as favorable as on the expiring transaction. In addition, if the
Fund is required to terminate any swap or cap early due to the Fund failing to
maintain a required 200% asset coverage of the liquidation value of the
outstanding Preferred Shares or the Fund loses its credit rating on its
Preferred Shares, then the Fund could be required to make a termination payment,
in addition to redeeming all or some of the Preferred Shares. Net unrealized
gains are reported as an asset or net unrealized losses are reported as a
liability on the Statement of Assets and Liabilities. The change in the value of
the swaps, including periodic amounts of interest to be paid or received on
swaps is reported as unrealized gains or losses in the Statement of Operations.
A realized gain or loss is recorded upon payment or termination of swap
agreements. Details of the swap agreements outstanding as of October 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% 1month LIBOR $ 1,779,680
Citibank NA October 27, 2007 200,000 3.27% 1month LIBOR 5,537,627
Citibank NA October 27, 2008 100,000 3.65% 1month LIBOR 3,093,609
--------------
$ 10,410,916
==============
Convertible and High Income Fund
Notes to Financial Statements ANNUAL REPORT 21
Notes to Financial Statements
NOTE 10 - SECURITIES LENDING
During the year ended October 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) the expenses of enforcing its
rights. In an effort to reduce these risks, Calamos Advisors and the security
lending agent will monitor the creditworthiness of the firms to which the Fund
lends securities. At October 31, 2005, the Fund had securities valued at
$162,482,912 that were on loan to broker-dealers and banks and $165,899,284 in
cash or cash equivalent collateral.
Convertible and High Income Fund
22 ANNUAL REPORT Notes to Financial Statements
Financial Highlights
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
May 28, 2003*
through
For the Year Ended October 31,
------------------------- -------------
2005 2004 2003
---------- --------- -------------
Net asset value, beginning of period $ 15.47 $ 14.80 $ 14.32(a)
Income from investment operations:
Net investment income (loss) 1.49 1.60 0.44
Net realized and unrealized gain (loss) from investments,
foreign currency and interest rate swaps (0.09) 0.63 0.46
Dividends to preferred shareholders from:
Net investment income (common share equivalent basis) (0.20) (0.10) (0.02)
Total from investment operations 1.20 2.13 0.88
Less dividends to common shareholders from:
Net investment income (1.34) (1.46) (0.37)
Capital gains (0.12) -- --
Capital charge resulting from issuance of common and preferred shares -- -- (0.03)
Net asset value, end of period $ 15.21 $ 15.47 $ 14.80
Market value, end of period $ 15.52 $ 16.74 $ 16.00
Total investment return based on(b) :
Net asset value 7.99% 14.91% 5.92%
Market value 1.83% 15.02% 9.36%
Ratios and supplemental data:
Net assets applicable to common shareholders, end of period (000's omitted) $ 940,736 $ 945,037 $ 891,152
Preferred shares, at redemption value ($25,000 per share liquidation preference)
(000's omitted) $ 430,000 $ 430,000 $ 430,000
Ratios to average net assets applicable to common shareholders:
Net expenses (c)(d) 1.23% 1.25% 1.11%
Gross expenses prior to waiver of expenses by the advisor (c)(d) 1.38% 1.40% 1.24%
Net investment income (loss)(c)(d) 9.55% 10.56% 7.85%
Preferred share dividends(c) 1.30% 0.65% 0.34%
Net investment income (loss), net of preferred share dividends(c) 8.25% 9.91% 7.51%
Portfolio turnover rate 55% 27% 20%
Asset coverage per preferred share, at end of period(e) $ 79,708 $ 79,952 $ 76,811
* Commencement of operations.
(a) Net of sales load of $0.675 on initial shares issued and beginning net
asset value of $14.325.
(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. NAV
per share is determined by dividing the value of the Fund's portfolio
securities, cash and other assets, less all liabilities, by the total
number of common shares outstanding. The common share market price is the
price the market is willing to pay for shares of the Fund at a given time.
Common share market price is influenced by a range of factors, including
supply and demand and market conditions.
(c) Annualized for periods less than one year.
(d) Does not reflect the effect of dividend payments to preferred
shareholders.
(e) 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.
Convertible and High Income Fund
Financial Highlights ANNUAL REPORT 23
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Calamos Convertible and High Income
Fund
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Calamos Convertible and High Income Fund (the
"Fund") as of October 31, 2005, and the related statement of operations for the
year then ended, the statements of changes in net assets for each of the two
years then ended and the financial highlights for each of the two years then
ended and for the period from May 28, 2003 (commencement of operations) through
October 31, 2003. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audit.
We conducted our audit in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Fund
is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audit included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of October 31, 2005, by correspondence with the Fund's
custodian and brokers. We believe that our audit provides a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Fund as of October 31, 2005, the results of its operations for the year then
ended, the changes in its net assets for each of the two years then ended, and
the financial highlights for each of the two years then ended and for the period
from May 28, 2003 (commencement of operations) through October 31, 2003, in
conformity with accounting principles generally accepted in the United States of
America.
/s/ [DELOITTE & TOUCHE LLP]
Chicago, Illinois
December 16, 2005
Convertible and High Income Fund
24 ANNUAL REPORT Report of Independent Registered Public Accounting Firm
Tax Information (unaudited)
We are providing this information as required by the Internal Revenue Code
(Code). The amounts shown may differ from those elsewhere in this report due to
differences between tax and financial reporting requirements. In January 2006,
shareholders will receive Form 1099-DIV which will include their share of
qualified dividends and capital gains distributed during the calendar year 2005.
Shareholders are advised to check with their tax advisors for information on the
treatment of these amounts on their individual income tax returns.
Under Section 852(b)(3)(C) of the Code, the Fund hereby designates $7,532,898 as
capital gain dividends for the fiscal year ended October 31, 2005.
Under Section 854(b)(2) of the Code, the Fund hereby designates $1,946,996, or
the maximum amount allowable under the Code, as qualified dividends for the
fiscal year ended October 31, 2005.
Under Section 854(b)(2) of the Code, the Fund hereby designates 0.62% of the
ordinary income dividends as income qualifying for the corporate dividends
received deduction for the fiscal year ended October 31, 2005.
Convertible and High Income Fund
Tax Information ANNUAL REPORT 25
Trustee Approval of Management Agreement (unaudited)
The Board of Trustees of the Fund oversees the Fund's management and, as
required by law, determines annually whether to continue the Fund's management
agreement with Calamos Advisors under which Calamos Advisors serves as the
investment manager for the Fund.
In connection with their most recent consideration of that agreement, the
Trustees received and reviewed information provided by Calamos Advisors in
response to detailed requests of the Independent Trustees and their independent
legal counsel and discussed with representatives of Calamos Advisors' the Fund's
operations and the nature and quality of the advisory and other services
provided by Calamos Advisors to the Fund. The Trustees also received and
reviewed a memorandum from counsel to the Independent Trustees regarding the
Trustee's responsibilities in evaluating the management agreement. In the course
of their consideration of the agreement the Independent Trustees were advised by
their counsel, and in addition to meeting with management of Calamos Advisors,
they met separately in executive session with their counsel.
At a meeting on June 30, 2005, based on their evaluation of the information
referred to above and other information, the Trustees determined that the
overall arrangements between the Fund and Calamos Advisors were fair and
reasonable in light of the nature and quality of the services provided by
Calamos Advisors and its affiliates, the fees charged for those services and
other matters that the Trustees considered relevant in the exercise of their
business judgment. At that meeting the Trustees, including all of the
Independent Trustees, unanimously approved continuation of the management
agreement through August 1, 2006, subject to earlier termination as provided in
the agreement.
In considering the continuation of the management agreement, the Trustees
reviewed and analyzed various factors that they determined were relevant,
including the factors described below, none of which by itself was considered
dispositive. However, the material factors and conclusions that formed the basis
for the Trustees' determination to approve the continuation of the management
agreement are discussed separately below.
NATURE, QUALITY AND EXTENT OF SERVICES
The Trustees reviewed the nature, extent and quality of Calamos Advisors'
services to the Fund, taking into account the investment objective and strategy
of the Fund and the knowledge of the Trustees gained from their regular meetings
with management on at least a quarterly basis. In addition, the Trustees
reviewed Calamos Advisors' resources and key personnel, especially those who
provide investment management services to the Fund. The Trustees also considered
other services provided to the Fund by Calamos Advisors, such as managing the
execution of portfolio transactions and the selection of broker-dealers for
those transactions, monitoring adherence to the Fund's investment restrictions,
producing shareholder reports, providing support services for the Board and
Board committees, communicating with shareholders and overseeing the activities
of other service providers, including monitoring compliance with various Fund
policies and procedures and with applicable securities laws and regulations.
The Trustees concluded that the nature and extent of the services provided by
Calamos Advisors to the Fund were appropriate and consistent with the terms of
the management agreement, that the quality of those services had been consistent
with or superior to quality norms in the industry and that the Fund was likely
to benefit from the continued provision of those services. They also concluded
that Calamos Advisors had sufficient personnel, with the appropriate education
and experience, to serve the Fund effectively and had demonstrated its
continuing ability to attract and retain well qualified personnel.
PERFORMANCE
The Trustees considered the Fund's performance results over various time
periods. They reviewed information comparing the Fund's performance with the
performance of comparable funds and peer groups identified by Lipper Inc., an
independent provider of investment company data, and with the Fund's benchmark.
The Trustees noted that the Fund had less than three years of performance data,
and thus did not have a long-term performance record. The Trustees concluded
that given the short performance history, performance was not the most important
factor in the Trustees' evaluation of the quality of services provided by
Calamos Advisors under the management agreement.
Convertible and High Income Fund
26 ANNUAL REPORT Trustee Approval of Management Agreement
Trustee Approval of Management Agreement (unaudited)
COSTS OF SERVICES AND PROFITS REALIZED BY CALAMOS ADVISORS
The Trustees examined information on fees and expenses of the Fund in comparison
to information for comparable funds as provided by Lipper. Also, the Trustees
reviewed information on fees and expenses for additional funds identified by
Calamos Advisors. The Trustees noted that both the contractual rate of
management fees and the actual management fees after fee waivers for the Fund
were greater than the median management fees of its Lipper peer group. They also
noted, however, that the overall expense ratios of the Fund were below or not
appreciably higher than the median expense ratios of its peer group.
The Trustees considered the methodology used by Calamos Advisors in determining
compensation payable to portfolio managers, the very competitive environment for
investment management talent, and the competitive market for mutual funds in
different distribution channels.
The Trustees reviewed information on the profitability of Calamos Advisors in
serving as the Fund's investment manager and of Calamos Advisors and its
affiliates in all of their relationships with the Fund, as well as an
explanation of the methodology utilized in allocating various expenses among the
Fund and other business units. The Trustees recognized that profitability
comparisons among fund managers are difficult because very little comparative
information is publicly available and profitability of any manager is affected
by numerous factors, including the organizational structure of the particular
manager, the types of funds and other accounts it manages, possible other lines
of business, the methodology for allocating expenses and the manager's capital
structure and cost of capital. However, based on the information available and
taking those factors into account, the Trustees concluded that the profitability
of Calamos Advisors regarding the Fund in relation to the services rendered was
not unreasonable.
The Trustees also reviewed Calamos Advisors' management fees for its
institutional separate accounts and for its subadvised funds (for which Calamos
Advisors provides portfolio management services only). Although in most
instances its sub-advisory, and in many instances its institutional separate
account, fees for various investment strategies are lower than the management
fees charged to the Fund, the Trustees noted that Calamos Advisors performs
significant additional services for the Fund that it does not provide to those
other clients, including, oversight of the Funds' other service providers,
trustee support, regulatory compliance and numerous other services.
Finally, the Trustees considered Calamos Advisors' financial condition, which
they found to be sound.
The Trustees concluded that the management fee and other compensation payable by
the Fund to Calamos Advisors and its affiliates were reasonable in relation to
the nature and quality of the services to be provided, taking into account the
fees charged by other advisors for managing comparable mutual funds with similar
strategies and the fees Calamos Advisors charges to other clients. The Trustees
also concluded that the Fund's estimated overall expense ratios, taking into
account quality of services provided by Calamos Advisors, the Fund's investment
performance and the expense limitations agreed to by Calamos Advisors, were also
reasonable.
ECONOMIES OF SCALE
In reviewing the Fund's fees and expenses, the Trustees examined the potential
benefits of economies of scale, and whether any economies of scale should be
reflected in the Fund's fee structure. They noted that the Fund has had a
relatively stable asset base since commencement of operations and that there do
not appear to have been significant economies of scale realized since that time.
Convertible and High Income Fund
Trustee Approval of Management Agreement ANNUAL REPORT 27
Trustee Approval of Management Agreement (unaudited)
OTHER BENEFITS TO CALAMOS ADVISORS
The Trustees also considered benefits that accrue to Calamos Advisors and its
affiliates from their relationship with the Fund. The Trustees concluded that,
other than the services to be provided by Calamos Advisors and its affiliates
pursuant to the management agreement and the fees payable by the Fund therefor,
the Fund and Calamos Advisors may potentially benefit from their relationship
with each other in other ways. The Trustees also considered Calamos Advisors'
use of commissions to be paid by the Fund on its portfolio brokerage
transactions to obtain proprietary research products and services benefiting the
Fund and/or other clients of Calamos Advisors. The Trustees concluded that
Calamos Advisors' use of "soft" commission dollars to obtain research products
and services was consistent with regulatory requirements and is beneficial to
the Fund. They concluded that, although Calamos Advisors derives or may derive
additional benefits through the use of soft dollars from the Fund's portfolio
transactions, the Fund also benefits from the receipt of research products and
services to be acquired through commissions paid on the portfolio transactions
of other clients of Calamos Advisors. They also concluded that the Fund's
success could attract other business to Calamos Advisors or its other funds and
that Calamos Advisors' success could enhance its ability to serve the Fund.
After full consideration of the above factors as well as other factors that were
instructive in analyzing the management arrangements, the Trustees, including
all of the Independent Trustees, concluded that the continuation of the
management agreement was in the best interest of the Fund and its shareholders.
Convertible and High Income Fund
28 ANNUAL REPORT Trustee Approval of Management Agreement
Trustees & Officers (unaudited)
The management of the Trust*, including general supervision of duties performed
for the Fund under the Investment Management Agreement, is the responsibility of
its board of trustees.
The following table sets forth, as of October 31, 2005, each Trustee's
position(s) with the Trust, age, principal occupation during the past five
years, number of portfolios overseen, other directorships, and the date on which
the Trustee first became a trustee of the Trust.
POSITION(S) HELD WITH TRUST NUMBER OF PORTFOLIOS PRINCIPAL OCCUPATION(S)
NAME AND AGE AT AND DATE FIRST ELECTED IN FUND COMPLEX** DURING PAST 5 YEARS
OCTOBER 31, 2005 OR APPOINTED TO OFFICE OVERSEEN BY TRUSTEE AND OTHER DIRECTORSHIPS HELD
- ---------------- -------------------------------- -------------------- ----------------------------
TRUSTEES WHO ARE INTERESTED PERSONS OF TRUST:
John P. Calamos, Sr., 65*** Trustee and President (since 2003) 14 President and CEO, Calamos
Asset Management, Inc. (CAM),
Calamos Holdings LLC (CHLLC),
Calamos Advisors LLC and its
predecessor (Calamos
Advisors), and Calamos
Financial Services LLC and its
predecessor (CFS); Director,
CAM
Nick P. Calamos, 44*** Trustee and Vice President (since 2003) 14 Senior Executive Vice
President, CAM, CHLLC, Calamos
Advisors, and CFS; Director,
CAM
TRUSTEES WHO ARE NOT INTERESTED PERSONS OF TRUST:
Joe F. Hanauer, 68 Trustee (since 2003) 14 Private Investor; Director,
MAF Bancorp (banking),
Chairman and Director,
Homestore.com, Inc., (Internet
provider of real estate
information and products);
Director, Combined
Investments, L.P. (investment
management)
Weston W. Marsh, 55 Trustee (since 2003) 14 Partner, Freeborn & Peters
(law firm)
John E. Neal, 55 Trustee (since 2003) 14 Private Investor; Managing
Director, Bank One Capital
Markets, Inc. (investment
banking) (June 2004);
Executive Vice President and
Head of Real Estate
Department, Bank One
(1998-2000); Director, The
Brickman Group, Ltd.
(landscaping company)
William R. Rybak, 54 Trustee (since 2003) 14 Private investor; formerly
Executive Vice President and
CFO, Van Kampen Investments,
Inc. (investment management)
prior thereto; Director, Howe
Barnes Investments (investment
services firm); Director,
Private Bancorp, Inc.
Stephen B. Timbers, 61 Trustee (since 2004) 14 Private investor; formerly
Vice Chairman, Northern Trust
Corporation (bank holding
company); President and Chief
Executive Officer, Northern
Trust Global Investments, N.A.
(investment management);
formerly President, Northern
Trust Global Investments, a
division of Northern Trust
Corporation, and Executive
Vice President, The Northern
Trust Corporation; Trustee,
Northern Mutual Fund Complex +
(registered investment
companies)
* The Trust is defined as the CALAMOS Convertible and High Income Fund.
** The Fund Complex consists of CALAMOS Investment Trust, CALAMOS Advisors
Trust, CALAMOS Convertible Opportunities and Income Fund, CALAMOS
Convertible and High Income Fund, CALAMOS Strategic Total Return Fund and
CALAMOS Global Total Return Fund.
*** John P. Calamos and Nick P. Calamos are Trustees who are "interested
persons" of the Trust as defined in the Investment Company Act of 1940
(the "1940 Act") because of their position with Calamos.
+ Overseeing 53 portfolios in fund complex.
Convertible and High Income Fund
Trustees & Officers ANNUAL REPORT 29
Trustees & Officers (unaudited)
OFFICERS. Messrs. John Calamos and Nick Calamos are president and vice president
of the Trust, respectively. The preceding table gives more information about
Messrs. John Calamos and Nick Calamos. The following table sets forth as of
October 31, 2005 each other officer's name, position with the Trust, age,
principal occupation during the past five years, other directorships, and the
date on which he or she first became and officer of the Trust. Each officer
serves until his or her successor is chosen and qualified or until his or her
resignation or removal by the Board of Trustees.
POSITION(S) HELD WITH TRUST
NAME AND AGE AT AND DATE FIRST ELECTED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
OCTOBER 31, 2005 OR APPOINTED TO OFFICE AND OTHER DIRECTORSHIPS HELD
- ---------------- --------------------------- ----------------------------------------------------------------
Nimish S. Bhatt, 42 Treasurer (since 2004) Senior Vice President and Director of Operations, CAM, CHLLC,
and Calamos Advisors (since 2004); Senior Vice President,
Alternative Investments and Tax Services of BISYS, prior thereto
Patrick H. Dudasik, 50 Vice President (since 2003) Executive Vice President, Chief Financial Officer and
Administrative Officer, and Treasurer of CAM and CHLLC
(since 2004), Calamos Advisors and CFS (since 2001); Chief
Financial Officer, David Gomez and Assoc., Inc.
(1998-2001); and Chief Financial Officer, Scudder Kemper
Investments, Inc., prior thereto
James S. Hamman, Jr., 36 Secretary (since 2003) Executive Vice President, Secretary, and General Counsel,
CAM and CHLLC (since 2004), Calamos Advisors and CFS
(since 1998)
Moses Kovalchuk, 38 Assistant Treasurer (since 2005) Vice President of Mutual Fund Operations, Calamos (since
2005); Vice President of Fund Accounting, J.P. Morgan
Chase (2002-2005); Vice President of Fund Accounting,
Deutsche Asset Management (2000-2002)
Kevin S. Woodard, 39 Assistant Secretary (since 2005) Senior Vice President and Associate General Counsel,
Calamos (since 2005); Vice President and Counsel, Fifth
Third Bank (1997-2005)
Mark Mickey, 54 Chief Compliance Officer (since 2005) Chief Compliance Officer, Calamos (since 2005); Director
of Risk Assessment and Internal Audit, Calamos
(2003-2005); President, Mark Mickey Consulting (2002-
2003); Executive Vice President and Head of Compliance,
ABN AMRO, Inc., prior thereto
The Fund's statement of additional information contains additional information
about the Trustees and is available free of charge upon request by calling
Calamos Investments at (800) 582-6959.
The mailing address of the Trustees and Officers is Calamos Funds; Attn:
Secretary, 2020 Calamos Court, Naperville, IL 60563-2787.
Convertible and High Income Fund
30 ANNUAL REPORT Trustees & Officers
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[CALAMOS INVESTMENTS (R) LOGO]
Calamos Investments | 2020 Calamos Court | Naperville, IL 60563-2787 |
800.582.6959 | www.calamos.com
A description of the Calamos Proxy Voting Policies and Procedures is available
free of charge upon request by calling (800) 582-6959, by visiting the Calamos
website at www.calamos.com, by writing Calamos at: Calamos Investments, Attn:
Client Services, 2020 Calamos Court, Naperville, IL 60563 and by visiting the
SEC's Web site at www.sec.gov. The Fund's proxy voting record for the twelve
month period ended June 30, 2005, is also available free of charge upon request
by calling or writing Calamos Investments and by visiting the SEC Web site at
www.sec.gov.
The Fund files a complete list of its portfolio holdings with the SEC for the
first and third quarters each fiscal year on Form N-Q. The Form N-Q is available
free of charge, upon request, by calling or writing Calamos Investments or by
visiting the SEC website. You may also review or, for a fee, copy the forms at
the SEC's Public Reference Room in Washington, D.C. (202) 942-8090.
On May 3, 2005, the Fund submitted a CEO annual certification to the NYSE on
which the Fund's chief executive officer certified that he was not aware, as of
that date, of any violation by the Fund of the NYSE's corporate governance
listing standards. In addition, the Fund's report to the SEC on Form N-CSR
contains certifications by the fund's principal executive officer and principal
financial officer as required by Rule 30a-2(a) under the 1940 Act, relating to,
among other things, the quality of the Fund's disclosure controls and procedures
and internal control over financial reporting.
FOR 24 HOUR SHAREHOLDER ASSISTANCE
800.432.8224
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB SITE
www.calamos.com
INVESTMENT ADVISOR
Calamos Advisors LLC
2020 Calamos Court
Naperville, IL 60563-2787
FUND ACCOUNTING AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02111
CUSTODIAN AND TRANSFER AGENT
The Bank of New York
P.O. Box 11258
Church Street Station
New York, NY 10286
800.524.4458
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Deloitte and Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
(C) 2005 Calamos Holdings LLC. All Rights Reserved.
Calamos(R), CALAMOS INVESTMENTS(R), Strategies for Serious Money(R)
and the Calamos(R) logo are registered trademarks of Calamos Holdings LLC.
CHYANR 1791 2005
ITEM 2. CODE OF ETHICS.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that
applies to its principal executive officer, principal financial officer,
principal accounting officer or controller, or person performing similar
functions.
(b) Not applicable.
(c) The registrant has not amended its Code of Ethics during the period covered
by the shareholder report presented in Item 1 hereto.
(d) The registrant has not granted a waiver or an implicit waiver from its Code
of Ethics during the period covered by the shareholder report presented in Item
1 hereto.
(e) Not applicable.
(f) (1) The registrant's Code of Ethics is attached as an Exhibit hereto.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Trustees has determined that, for the period covered
by the shareholder report presented in Item 1 hereto, it has three audit
committee financial experts serving on its audit committee, each of whom is an
independent Trustee for purpose of this N-CSR item: John E. Neal, Stephen B.
Timbers and William Rybak. Under applicable securities laws, a person who is
determined to be an audit committee financial expert will not be deemed an
"expert" for any purpose, including without limitation for the purposes of
Section 11 of the Securities Act of 1933, as a result of being designated or
identified as an audit committee financial expert. The designation or
identification of a person as an audit committee financial expert does not
impose on such person any duties, obligation, or liabilities that are greater
than the duties, obligations and liabilities imposed on such person as a member
of audit committee and Board of Trustees in the absence of such designation or
identification.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fee - $30,500 and $34,717 are the aggregate fees billed in each of the
last two fiscal years for professional services rendered by the principal
accountant to the registrant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements for those fiscal
years.
(b) Audit-Related Fees - $17,917 and $27,192 are the aggregate fees billed in
each of the last two fiscal years for assurance and related services rendered by
the principal accountant to the registrant that are reasonably related to the
performance of the audit of the registrant's financial statements and are not
reported under paragraph (a) of this Item 4.
There were no fees billed in each of the last two fiscal years for
assurance and related services rendered by the principal accountant to the
investment adviser that are reasonably related to the performance of the audit
of the registrant's financial statements that were required to be pre-approved
by the audit committee.
(c) Tax Fees - $6,079 and $4,850 are the aggregate fees billed in each of the
last two fiscal years for professional services rendered by the principal
accountant to the registrant for tax compliance, tax advice, tax planning and
tax return preparation.
There were no fees billed in each of the last two fiscal years for
professional services rendered by the principal accountant to the investment
adviser for tax compliance, tax advice and tax planning that were required to be
pre-approved by the audit committee as described in paragraph (e)(1) of this
Item 4.
(d) All Other Fees - $7,500 and $42,158 are the aggregate fees billed in each of
the last two fiscal years for products and services provided by the principal
accountant to the registrant, other than the services reported in paragraph
(a)-(c) of this Item 4.
There were no fees billed in each of the last two fiscal years for products
and services provided by the principal accountant to the investment adviser,
other than the services reported in paragraphs (a)-
(c) of this Item 4, that were required to be pre-approved by the audit committee
as described in paragraph (e)(1) of this Item 4.
(e) (1) Registrant's audit committee meets with the principal accountants and
management to review and pre-approve all audit services to be provided by the
principal accountants.
The audit committee shall pre-approve all non-audit services to be provided
by the principal accountants to the registrant, including the fees and other
compensation to be paid to the principal accountants; provided that the
pre-approval of non-audit services is waived if (i) the services were not
recognized by management at the time of the engagement as non-audit services,
(ii) the aggregate fees for all non-audit services provided to the registrant
are less than 5% of the total fees paid by the registrant to its principal
accountants during the fiscal year in which the non-audit services are provided,
and (iii) such services are promptly brought to the attention of the audit
committee by management and the audit committee approves them prior to the
completion of the audit.
The audit committee shall pre-approve all non-audit services to be provided
by the principal accountants to the investment adviser or any entity
controlling, controlled by or under common control with the adviser that
provides ongoing services to the registrant if the engagement relates directly
to the operations or financial reporting of the registrant, including the fees
and other compensation to be paid to the principal accountants; provided that
pre-approval of non-audit services to the adviser or an affiliate of the adviser
is not required if (i) the services were not recognized by management at the
time of the engagement as non-audit services, (ii) the aggregate fees for all
non-audit services provided to the adviser and all entities controlling,
controlled by or under common control with the adviser are less than 5% of the
total fees for non-audit services requiring pre-approval under paragraph (e)(1)
of this Item 4 paid by the registrant, the adviser or its affiliates to the
registrant's principal accountants during the fiscal year in which the non-audit
services are provided, and (iii) such services are promptly brought to the
attention of the audit committee by management and the audit committee approves
them prior to the completion of the audit.
(2) 100% of the services provided to the registrant described in paragraphs
(b)-(d) of this Item 4 were pre-approved by the audit committee pursuant to
paragraphs (e)(1) of this Item 4. There were no services provided to the
investment adviser or any entity controlling, controlled by or under common
control with the adviser described in paragraphs (b)-(d) of this Item 4 that
were required pre-approved by the audit committee.
(f) No disclosures are required by this Item 4(f).
(g) $13,579 and $47,008 are the aggregate non-audit fees billed in each of the
last two fiscal years for services rendered by the principal accountant to the
registrant. $58,000 and $31,256 are the aggregate non-audit fees billed in each
of the last two fiscal years for services rendered by the principal accountant
to the investment adviser or any entity controlling, controlled by or under
common control with the adviser.
The registrant's audit committee did approve such non-audit services.
(h) No disclosures are required by this Item 4(h).
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately-designated standing audit committee. The members
of the registrant's audit committee are John E. Neal, Joe F. Hanauer, Weston W.
Marsh, William R. Rybak and Stephen B. Timbers.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in the Report to Shareholders in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The registrant has delegated the voting of proxies relating to its voting
securities to its investment adviser, Calamos Advisors LLC ("Calamos"). A
description of Proxy Voting Policies and Procedures of ("Calamos") are included
as an Exhibit hereto.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
(c) TOTAL
NUMBER OF (d) MAXIMUM
SHARES (OR NUMBER (OR
(b) UNITS) APPROXIMATE
AVERAGE PURCHASED AS DOLLAR VALUE) OF
(a) TOTAL PRICE PART OF SHARES (OR UNITS)
NUMBER OF PAID PER PUBLICLY THAT MAY YET BE
SHARES (OR SHARE ANNOUNCED PURCHASED UNDER
UNITS) (OR PLANS OR THE PLANS OR
PERIOD PURCHASED UNIT) PROGRAMS PROGRAMS
------ ---------- -------- ------------ -----------------
May 1 to May 31 N/A N/A N/A N/A
June 1 to June 30 N/A N/A N/A N/A
July 1 to July 31 N/A N/A N/A N/A
August 1 to August 31 N/A N/A N/A N/A
September 1 to September 30 N/A N/A N/A N/A
October 1 to October 31 N/A N/A N/A N/A
--- --- --- ---
Total N/A N/A N/A N/A
--- --- --- ---
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
No material changes.
ITEM 11. 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 timely.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the second fiscal quarter of the period covered by this
report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics
(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: December 21, 2005
By: /s/ Patrick H. Dudasik
--------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: December 21, 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: December 21, 2005
By: /s/ Patrick H. Dudasik
--------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: December 21, 2005