Company: CHY
Filing Date: 2025-06-27
Form Type: N-CSRS
Source: 0001104659-25-063497
Chunk: 19

Company: CALAMOS CONVERTIBLE & HIGH INCOME FUND
Filing Date: 2025-06-27
Form: N-CSRS
Chunk 19
---
271,800  | ) |     | Call, 07/18/25, Strike $590.00     |     |       | (1,205,300 | ) |
|            | (2,015       | ) |     |                                    |     |       |            |   |
|            | (111,739,810 | ) |     | Put, 08/15/25, Strike $470.00      |     |       | (1,120,340 | ) |
|            |              |   |     |                                    |     |       | (2,714,203 | ) |
|            |              |   |     | TOTAL EXCHANGE-TRADED              
 WRITTEN OPTIONS                    
 (Premium $5,661,884)               |     | $     | (5,237,123 | ) |

NOTES TO SCHEDULE OF INVESTMENTS * Securities issued and sold pursuant to a Rule 144A transaction are exempted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers ("QIBs"), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements. µ Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $220,301,222. ~ Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options and securities sold short. The aggregate value of such securities is $80,401,516. ‡ Variable rate security. The rate shown is the rate in effect at April 30, 2025. ^ Security, or portion of security, is on loan. @ In default status and considered non-income producing. !! Restricted security—The Fund may own investment securities that have other legal or contractual limitations.

| RESTRICTED SECURITY |     | ACQUISITION DATE |     | ACQUISITION COST |   |
|:--------------------|:----|:-----------------|:----|:-----------------|:--|
| Rite Aid Corp.      |     | 09/04/2024       |     | $                | — |
|                     |     | TOTAL            |     | $                | — |

¡ Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be