KBRA Assigns and Affirms Ratings for Mandatory Redeemable Preferred Shares Issued by Calamos Dynamic Convertible and Income Fund
KBRA assigns a ‘AA-’ rating to $28.0 million Series I Mandatory Redeemable Preferred Shares ("MRPS") issued by Calamos Dynamic Convertible and Income Fund (the “Fund” or "CCD"). Concurrently, KBRA affirms the ratings assigned to the outstanding Series C, E, and G MRPS issued by the Fund. The Outlook on all ratings is Stable.
The rating action reflects the stable composition of the Fund’s portfolio, which is primarily invested in U.S. domiciled convertible securities, with notable exposures to Information Technology, Industrials, and Health Care sectors. Whilst total leverage asset coverage levels have varied in recent years due to market volatility, CCD has maintained asset coverage ratios well in excess of the Investment Company Act of 1940 (the “'40 Act”) requirements. The Fund’s history of maintaining asset coverage levels that consistently exceed the ’40 Act regulatory thresholds, and the relative stable performance of the portfolio supports the affirmation of the rating.
Key Credit Considerations
Asset Coverage: The Fund is registered under the '40 Act which imposes minimum asset coverage requirements on leverage. The Fund must maintain at least 200% coverage on total leverage (including senior debt and MRPS) 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 incentives the Fund to maintain its asset coverage cushion. As of June 30, 2026, the total asset coverage was 348.5% compared to 295.6% as of July 31, 2025. Following the proposed issuance, the Fund’s total leverage and leverage mix are expected to remain unchanged, resulting in pro forma total asset coverage of 348.5%.
