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KBRA Affirms Ratings for Mandatory Redeemable Preferred Shares Issued by Six Calamos Closed-End Funds

10 Sep 2025   |   New York

Contacts

KBRA affirms the ratings assigned to the Mandatory Redeemable Preferred Shares (MRPS) issued by six closed-end funds (the “Funds”) managed by Calamos Advisors LLC (Calamos).

Fund Name Ticker Fund Inception Geography Strategic Focus MRPS Series Average Total ACR 1   KBRA Rating Outlook Calamos Convertible and High Income Fund CHY 2003 North America Convertibles, High Yield C, D, E, G 290.2% AA- Stable Calamos Convertible Opportunities and Income Fund CHI 2002 North America Convertibles C, D, E, G 291.7% AA- Stable Calamos Dynamic Convertible and Income Fund CCD 2015 North America Convertibles C, D, E, G 294.1% AA- Stable Calamos Global Dynamic Income Fund CHW 2007 Global Equities, Convertibles C, D, E 312.4% AA- Stable Calamos Global Total Return Fund CGO 2005 Global Equities C, D, E 313.6% AA- Stable Calamos Strategic Total Return Fund CSQ 2004 North America Equities C, D, F, G 319.6% AA- Stable 1 Average Total Asset Coverage Ratio (ACR) calculated for time periods when MRPS have been outstanding. Calamos Closed-End Funds
Source: Calamos Advisors LLC

The Funds were established by Calamos as diversified, closed-end management investment companies under the Investment Company Act of 1940, as amended (the “'40 Act”). The Funds are each traded on the Nasdaq Global Select Market exchange under their respective tickers.

The affirmed ratings for these MRPS are driven by a combination of the Funds’ historically strong asset coverage ratios and liquidity coupled with Calamos’ demonstrated management capabilities. Historically, total asset coverage has averaged above 300% for all of the Funds, remaining above the '40 Act’s 200% total leverage threshold.

Key Credit Considerations

  • Asset Coverage: The Funds are registered under the Investment Company Act of 1940 (the "40 Act") which imposes minimum asset coverage requirements on leverage. The Funds must maintain at least 200% coverage on total leverage (including senior debt and preferred shares) and 300% on senior debt in order to issue additional debt or preferred shares. Further, under the terms of the MRPS agreements, distributions to common shareholders are prohibited unless total asset coverage exceeds 225%, which incentivizes the Funds to maintain their asset coverage cushion. As shown in the table above, the Funds have typically maintained a significant cushion to these levels.
  • Asset Liquidity: The majority of the Funds' assets are liquid securities. This asset class trades in active secondary markets, providing transparent pricing and trade execution should the Funds need to liquidate positions.
  • Diversified Investments: The Funds are diversified across sectors, geographies, and product types. This diversification helps mitigate idiosyncratic risk, supports risk mitigation by reducing exposure to issuer- or sector-specific volatility. However, majority of the portfolios are invested in unrated securities.
  • Sponsor Experience: Calamos Investments LLC was founded by John P. Calamos, Sr. in 1977 and is headquartered in Naperville, Illinois, with additional offices in Chicago, New York, San Francisco, Milwaukee, Portland, and the Miami area. The firm oversees approximately $43.7 billion in assets under management (AUM) as of July 31, 2025 and employs more than 360 professionals. The platform offers a broad range of investment products, including mutual funds, closed-end funds, ETFs, interval funds, UCITS, and separately managed accounts. Strategies span convertibles, alternatives, growth equities, fixed income, sustainable equities, multi-asset, and private credit.

Rating Sensitivities

  • Asset Coverage: A deterioration in asset coverage levels below '40 Act requirements and the Fund manager’s inability to liquidate assets and demonstrate intention to cure within the 30-day time-period could result in negative rating changes
  • Asset Quality: A trend of stable asset performance coupled with improvements to asset coverage could result in positive rating changes.

To access ratings and relevant documents, click here.

Click here to view the report.

Methodologies

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

This credit rating is endorsed by Kroll Bond Rating Agency Europe Limited for use in the European Union and by Kroll Bond Rating Agency UK Limited for use in the UK. Information on a credit rating’s endorsement status is available on its rating page at KBRA.com.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

There are certain issuers, entities or transactions rated by KBRA Europe or KBRA UK that may be or have relationships with Shareholders and/or Shareholder-Related Companies, as that term is defined in KBRA’s Shareholder and Shareholder Related Companies for KBRA Europe and KBRA UK Policy and Procedure. Relevant disclosure information may be found here.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA), one of the major credit rating agencies (CRA), is a full-service CRA registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

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