Company: CHY
Filing Date: 2025-12-29
Form Type: N-CSR
Source: 0001104659-25-124662
Chunk: 51

Company: CALAMOS CONVERTIBLE & HIGH INCOME FUND
Filing Date: 2025-12-29
Form: N-CSR
Chunk 51
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 which would mark the strongest year since 1998. This robust activity reflects companies strategically utilizing convertibles as cost-effective tools that offer modestly lower coupons in exchange for their conversion feature, enabling companies to capitalize on growth opportunities and to refinance existing obligations in a higher-rate environment. The surge in convertible issuance provides an expanding opportunity set, and many of the convertibles being issued have favorable risk-reward profiles, which make them good candidates to replace convertibles that have become too equity- or bond-sensitive. ASSET ALLOCATION AS OF 10/31/25 Fund asset allocations are based on total investments and may vary over time. www.calamos.com
37 Calamos Convertible and High Income Fund (Unaudited) The composition of new convertible issuance proved particularly encouraging, given the diverse mix of companies accessing the market. The AI infrastructure buildout drove significant activity, but we also saw healthy issuance across sectors from firms pursuing growth capital and balance sheet optimization. Deal terms remained favorable compared to historical norms, featuring higher coupons and lower conversion premiums. In addition, a significant proportion of investment-grade credits entered the convertible market. What factors influenced performance over the annual period? Declining interest rates and narrowing credit spreads were supportive of both convertibles and high-yield bonds during the reporting period. As convertibles benefited from the strong performance of their underlying stocks, they significantly outperformed high-yield bonds. The Fund's relative return was boosted by its relatively heavy allocation to convertibles and relatively light allocation to high-yield bonds. From an economic sector perspective, the Fund benefited from favorable security selection and an average overweight position in information technology, as holdings in technology hardware, storage & peripherals, and communications equipment contributed to results. Our positioning proved particularly advantageous as the sector navigated both the AI infrastructure investment cycle and rotation toward quality growth names. Security selection within consumer discretionary also added value, with broadline retail emerging as a significant contributor. In addition, our lack of representation in computer & electronics retail lifted relative returns. From a risk-management perspective, our emphasis on total-return convertibles—those offering attractive equity participation while maintaining meaningful downside protection—helped the portfolio navigate the volatile conditions of early 2025. During the challenging month of April, when tariff-related concerns peaked, the Fund's allocation to more defensive, higher-quality convertible structures, along with our selective approach to credit quality, provided important ballast. The Fund's use of leverage also proved beneficial as the return proceeds significantly exceeded the cost of leverage during the period. Conversely, an underweight position,