Company: CHY
Filing Date: 2025-02-21
Form Type: N-2ASR
Source: 0001104659-25-016081
Chunk: 48

Company: CALAMOS CONVERTIBLE & HIGH INCOME FUND
Filing Date: 2025-02-21
Form: N-2ASR
Chunk 48
---
 actively managing the security mix, overlay macro/industry themes, and diversity by sector and industry. The Fund’s derivative activities are principally focused on the following derivatives: interest rate swaps, convertible securities, synthetic convertible instruments, options on individual securities, index options and forward currency exchange contracts. However, the Fund reserves the right to invest in other derivative instruments to the extent it is consistent with the Fund’s investment objective and restrictions. Convertible Securities.Investment in convertible securities forms an important part of the Fund’s principal investment strategies. Under normal circumstances, the Fund will invest at least 20% of its managed assets in convertible securities. A convertible security is a debt security, debenture, note or preferred stock that may be converted into an equity security (typically common stock of the same issuer) at a predetermined price (the “conversion price”). Depending upon the relationship of the conversion price to the market value of the underlying security, a convertible security may trade more like an equity security than a debt instrument. The Fund may invest in convertible securities of any rating. Calamos typically applies a four-step approach when buying and selling convertible securities for the Fund, which includes:

| l. | Evaluating the default risk of the convertible security using traditional credit analysis; |

| 2. | Analyzing the convertible’s underlying common stock to determine its capital appreciation potential; |

| 3. | Assessing the risk/return potential of the convertible security; and |

| 4. | Evaluating the convertible security’s impact on the overall composition of the Fund and its diversification strategy. |

In analyzing the appreciation potential of the underlying common stock and the default risk of the convertible security, Calamos generally considers the issuer’s:

| ● | financial soundness; |

| ● | ability to make interest and dividend payments; |

| ● | earnings and cash-flow forecast; and |

| ● | quality of management. |

Synthetic Convertible Instruments.The Fund may invest in “synthetic” convertible instruments. A synthetic convertible instrument is a financial instrument (or two or more securities held in tandem) that is designed to simulate the economic characteristics of another instrument (i.e., a convertible security) through the combined economic features of a collection of other securities or assets. Calamos may create a synthetic convertible instrument by combining separate securities that possess the two principal characteristics of a true convertible security, i.e., a fixed-income security (“fixed-income component”, which may be a convertible or non-convertible security) and the right to acquire an equity security (“convertible component”).