Company: CHY
Filing Date: 2025-12-29
Form Type: N-CSR
Source: 0001104659-25-124662
Chunk: 43

Company: CALAMOS CONVERTIBLE & HIGH INCOME FUND
Filing Date: 2025-12-29
Form: N-CSR
Chunk 43
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 software 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. The Fund's lack of exposure to leisure products and favorable positioning in homefurnishing retail further supported 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, security selection within the financials sector detracted from performance. Holdings in consumer finance, asset management & custody banks, and transaction & payment processing services lagged during the period. Additionally, an underweight position, combined with security selection challenges in the real estate services industry, held back results in the real estate sector. The health care sector presented a mixed picture. While certain holdings contributed positively, positions in health care equipment and health care services detracted overall, and the portfolio's lack of representation in managed health care—which performed well during portions of the period—also impeded relative returns. How is the Fund positioned? We continue to focus on actively managing the risk-reward trade-offs within the portfolio. Our preference for total-return convertibles positions the Fund to capitalize on market opportunities while providing important risk mitigation. CALAMOS CLOSED-END FAMILY OF FUNDS ANNUAL REPORT
32 Calamos Convertible Opportunities and Income Fund (Unaudited) As of period end, convertible securities account for approximately 70% of the Fund's investments, with corporate bonds representing around 24% of the portfolio. This allocation provides meaningful exposure to equity market upside through convertibles, while the high-yield bond component contributes to income generation and portfolio diversification. From a credit-quality perspective, unrated securities comprise approximately 62% of the portfolio. This reflects the structural reality that most convertibles are not rated by traditional credit agencies, requiring us to perform our own rigorous credit analysis. We maintain a selective approach to CCC credits at approximately 1% of the portfolio, while holding a significant allocation to BB-rated securities at roughly 15%. This BB tier offers attractive valuations and provides access to a substantial portion