UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21080
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible
Opportunities and Income Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2006
DATE OF REPORTING PERIOD: July 31, 2006
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
ITEM 1. SCHEDULE OF INVESTMENTS July 31, 2006 (UNAUDITED)
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ --------------
CORPORATE BONDS (86.6%)
CONSUMER DISCRETIONARY (31.3%)
$ 2,369,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 $ 2,398,613
7,866,000 Aztar Corp.@
7.875%, 06/15/14 8,396,955
12,320,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 12,135,200
4,738,000 DEX Media, Inc.
8.000%, 11/15/13 4,761,690
3,791,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 3,990,027
4,999,000 EchoStar Communications Corp.*
7.125%, 02/01/16 4,936,512
758,000 EchoStar DBS Corporation@
6.625%, 10/01/14 733,365
7,553,000 GBP EMI Group, PLC
9.750%, 05/20/08 15,096,632
5,686,000 Ford Motor Company
8.625%, 11/01/10 5,470,785
5,212,000 GameStop Corp.@
8.000%, 10/01/12 5,316,240
1,422,000 General Motors Acceptance Corporation
6.875%, 09/15/11 1,378,369
1,422,000 General Motors Corp.@
7.125%, 07/15/13 1,215,810
Goodyear Tire & Rubber Company@
8,055,000 7.000%, 03/15/28 6,423,862
3,791,000 7.857%, 08/15/11 3,525,630
2,843,000 Group 1 Automotive, Inc.
8.250%, 08/15/13 2,878,538
3,791,000 Hasbro, Inc.
6.600%, 07/15/28 3,640,448
7,558,000 Hovnanian Enterprises, Inc.@
7.750%, 05/15/13 6,821,095
4,691,000 IMAX Corp.@
9.625%, 12/01/10 4,925,550
4,738,000 Intrawest Corp.
7.500%, 10/15/13 4,743,922
13,268,000 Isle of Capri Casinos, Inc.
9.000%, 03/15/12 13,831,890
3,611,000 Jarden Corp.@
9.750%, 05/01/12 3,773,495
2,627,000 Kellwood Company@
7.625%, 10/15/17 2,412,285
3,791,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 3,535,107
5,449,000 Linens 'n Things, Inc.*@++
11.132%, 01/15/14 5,081,192
16,584,000 Mandalay Resort Group
10.250%, 08/01/07 17,205,900
7,392,000 NCL Holding, ASA
10.625%, 07/15/14 7,244,160
4,265,000 Oxford Industries, Inc.
8.875%, 06/01/11 4,307,650
4,738,000 Phillips-Van Heusen Corp.@
8.125%, 05/01/13 4,880,140
PRINCIPAL
AMOUNT VALUE
------------ --------------
$ 1,895,000 Reader's Digest Association, Inc.@
6.500%, 03/01/11 $ 1,845,256
1,895,000 Rent-A-Center, Inc.
7.500%, 05/01/10 1,880,788
2,701,000 RH Donnelley Financial Corp.*
10.875%, 12/15/12 2,981,229
3,554,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 3,252,144
4,265,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 3,966,522
2,843,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 2,746,256
14,689,000 Russell Corp.@
9.250%, 05/01/10 15,423,450
758,000 Station Casinos, Inc.
6.875%, 03/01/16 701,150
7,581,000 Time Warner, Inc.
7.625%, 04/15/31 8,175,184
12,036,000 Vail Resorts, Inc.
6.750%, 02/15/14 11,494,380
4,738,000 Warnaco Group, Inc.
8.875%, 06/15/13 4,862,372
Warner Music Group
7,534,000 7.375%, 04/15/14 7,307,980
948,000 GBP 8.125%, 04/15/14 1,823,990
8,055,000 WCI Communities, Inc.@
7.875%, 10/01/13 6,967,575
379,000 William Lyon Homes, Inc.
10.750%, 04/01/13 350,575
758,000 Wynn Las Vegas, LLC@
6.625%, 12/01/14 718,205
--------------
235,558,118
--------------
CONSUMER STAPLES (10.6%)
948,000 Alimentation Couche-Tard Inc.
7.500%, 12/15/13 950,370
2,796,000 Central Garden & Pet Company
9.125%, 02/01/13 2,886,870
4,738,000 Chattem, Inc.
7.000%, 03/01/14 4,584,015
4,122,000 Chiquita Brands International, Inc.@
7.500%, 11/01/14 3,524,310
5,876,000 Del Monte Foods Company
8.625%, 12/15/12 6,125,730
Dole Food Company, Inc.
8,529,000 7.250%, 06/15/10 7,718,745
3,791,000 8.625%, 05/01/09 3,639,360
11,372,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 10,675,465
3,317,000 NBTY, Inc. 3,134,565
7.125%, 10/01/15
4,738,000 Pilgrim's Pride Corp.@ 4,773,535
9.250%, 11/15/13
5,686,000 Pinnacle Foods Holding@ 5,600,710
8.250%, 12/01/13
5,307,000 Playtex Products, Inc. 5,525,914
8.000%, 03/01/11
See accompanying notes to Schedule of Investments
1
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ --------------
$ 5,212,000 Reynolds American Inc.*@
7.300%, 07/15/15 $ 5,241,474
9,477,000 Smithfield Foods, Inc.@
7.750%, 05/15/13 9,500,692
4,881,000 Spectrum Brands, Inc.@
8.500%, 10/01/13 3,917,003
1,895,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 2,082,131
--------------
79,880,889
--------------
ENERGY (11.1%)
6,586,000 Arch Western Finance, LLC
6.750%, 07/01/13 6,306,095
8,979,000 Chesapeake Energy Corp.
6.875%, 01/15/16 8,709,630
6,160,000 Comstock Resources, Inc.
6.875%, 03/01/12 5,821,200
711,000 Energy Partners, Ltd.
8.750%, 08/01/10 695,003
2,843,000 Forest Oil Corp.
8.000%, 12/15/11 2,935,397
4,424,000 Giant Industries, Inc.@
11.000%, 05/15/12 4,800,040
5,307,000 KCS Energy, Inc.
7.125%, 04/01/12 5,094,720
10,709,000 Petroleo Brasileiro, SA
8.375%, 12/10/18 12,141,329
Premcor Refining Group, Inc.
6,065,000 9.500%, 02/01/13 6,608,897
2,582,000 7.500%, 06/15/15 2,685,856
2,843,000 Range Resources Corp.@ 2,874,984
7.375%, 07/15/13
1,895,000 Superior Energy Services, Inc.*
6.875%, 06/01/14 1,847,625
6,634,000 Swift Energy Company@
9.375%, 05/01/12 7,032,040
4,738,000 Whiting Petroleum Corp.
7.250%, 05/01/13 4,726,155
Williams Companies, Inc.
9,477,000 7.750%, 06/15/31 9,358,537
1,895,000 7.500%, 01/15/31 1,833,412
--------------
83,470,920
--------------
FINANCIALS (3.0%)
E*TRADE Financial Corporation
6,255,000 7.375%, 09/15/13 6,301,912
4,265,000 7.875%, 12/01/15@ 4,424,937
1,137,000 8.000%, 06/15/11 1,173,953
7,108,000 Leucadia National Corp.
7.000%, 08/15/13 7,001,380
1,611,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 1,558,643
2,382,000 Senior Housing Properties Trust
7.875%, 04/15/15 2,417,730
--------------
22,878,555
--------------
HEALTH CARE (5.5%)
3,885,000 Ameripath, Inc.@
10.500%, 04/01/13 4,108,387
PRINCIPAL
AMOUNT VALUE
------------ --------------
$ 3,791,000 Angiotech Pharmaceuticals, Inc.*
7.750%, 04/01/14 $ 3,686,748
8,008,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 8,233,305
1,611,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 1,627,110
1,895,000 Biovail Corp.
7.875%, 04/01/10 1,932,900
711,000 DaVita, Inc.@
7.250%, 03/15/15 683,449
569,000 Omnicare, Inc.@
6.875%, 12/15/15 551,930
3,317,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 3,234,075
8,055,000 Tenet Healthcare Corp.*@
9.250%, 02/01/15 7,450,875
4,265,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 4,073,075
6,160,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 5,990,600
--------------
41,572,454
--------------
INDUSTRIALS (7.4%)
2,985,000 Accuride Corp.
8.500%, 02/01/15 2,790,975
2,369,000 Armor Holdings, Inc.@
8.250%, 08/15/13 2,487,450
1,422,000 Columbus McKinnon Corp.
8.875%, 11/01/13 1,457,550
3,791,000 Commercial Vehicle Group, Inc.
8.000%, 07/01/13 3,615,666
948,000 FTI Consulting, Inc.
7.625%, 06/15/13 962,220
2,843,000 Gardner Denver, Inc.
8.000%, 05/01/13 2,985,150
2,843,000 GATX Corp.
8.875%, 06/01/09 3,051,898
6,160,000 General Cable Corp.
9.500%, 11/15/10 6,591,200
1,211,000 Global Cash Access, Inc.
8.750%, 03/15/12 1,286,688
3,696,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 3,774,540
1,516,000 H&E Equipment Service, Inc.* Y
5.375%, 07/15/16 1,533,055
531,000 Hexcel Corporation
6.750%, 02/01/15 511,088
JLG Industries, Inc.
4,265,000 8.250%, 05/01/08 4,499,575
948,000 8.375%, 06/15/12@ 1,009,620
3,222,000 Monitronics International, Inc.
11.750%, 09/01/10 3,185,752
1,047,000 Orbital Sciences Corp.
9.000%, 07/15/11 1,109,820
1,422,000 Sequa Corp.
8.875%, 04/01/08 1,487,768
6,634,000 Terex Corp.@
7.375%, 01/15/14 6,617,415
See accompanying notes to Schedule of Investments
2
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ --------------
$ 1,895,000 Trinity Industries, Inc.
6.500%, 03/15/14 $ 1,847,625
3,293,000 Wesco Distribution, Inc.
7.500%, 10/15/17 3,284,767
1,895,000 Williams Scotsman International, Inc.@
8.500%, 10/01/15 1,909,212
--------------
55,999,034
--------------
INFORMATION TECHNOLOGY (6.3%)
5,528,000 Advanced Micro Devices, Inc.@
7.750%, 11/01/12 5,562,550
663,000 Anixter International, Inc.
5.950%, 03/01/15 614,933
663,000 Avago Technologies*@
11.875%, 12/01/15 719,355
3,791,000 Celestica, Inc.@
7.875%, 07/01/11 3,772,045
4,738,000 Flextronics International, Ltd.@
6.500%, 05/15/13 4,619,550
4,738,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 4,856,450
355,000 Sanmina-SCI Corporation@
8.125%, 03/01/16 347,900
6,492,000 SunGuard Data Systems, Inc.@
9.125%, 08/15/13 6,662,415
4,937,000 Telcordia Technologies*
10.000%, 03/15/13
Xerox Corp. 3,974,285
9,003,000 8.000%, 02/01/27@
6,634,000 7.625%, 06/15/13 9,138,045
6,733,510
--------------
47,001,038
--------------
MATERIALS (8.0%)
948,000 Agrium, Inc.
7.125%, 05/23/36 962,015
Aleris International, Inc.
3,222,000 10.375%, 10/15/10 3,536,145
2,931,000 9.000%, 11/15/14 3,312,030
948,000 Crown Americas, LLC*@
7.750%, 11/15/15 939,705
4,738,000 Equistar Chemicals, LP
10.625%, 05/01/11 5,117,040
8,122,000 Freeport-McMoRan Copper & Gold, Inc.@
10.125%, 02/01/10 8,690,540
758,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 758,000
Ineos Group Holdings, PLC*
4,549,000 EUR 7.875%, 02/15/16 5,447,713
948,000 8.500%, 02/15/16@ 893,490
7,065,000 IPSCO, Inc.
8.750%, 06/01/13 7,577,212
3,791,000 Neenah Paper, Inc.@
7.375%, 11/15/14 3,544,585
7,581,000 Sealed Air Corp.*
6.875%, 07/15/33 7,390,307
1,895,000 Texas Industries, Inc.
7.250%, 07/15/13 1,906,844
PRINCIPAL
AMOUNT VALUE
------------ --------------
Union Carbide Corp.
$ 3,791,000 7.500%, 06/01/25 $ 3,925,645
2,938,000 7.875%, 04/01/23 3,154,766
3,033,000 Westlake Chemical Corporation
6.625%, 01/15/16 2,835,855
--------------
59,991,892
--------------
TELECOMMUNICATION SERVICES (2.4%)
569,000 Citizens Communications Company
9.000%, 08/15/31 586,070
1,895,000 IPCS Escrow Company
11.500%, 05/01/12 2,131,875
9,477,000 Sprint Nextel Corporation
7.375%, 08/01/15 9,718,929
2,132,000 Stratos Global Corp.*@
9.875%, 02/15/13 1,785,550
3,791,000 Syniverse Technologies,Inc.
7.750%, 08/15/13 3,705,702
--------------
17,928,126
--------------
UTILITIES (1.0%)
1,185,000 Edison International
7.730%, 06/15/09 1,208,700
948,000 NRG Energy, Inc.
7.250%, 02/01/14 930,225
5,686,000 TXU Corp.
6.500%, 11/15/24 5,173,652
--------------
7,312,577
--------------
TOTAL CORPORATE BONDS
(Cost $654,782,236) 651,593,603
--------------
CONVERTIBLE BONDS (18.1%)
CONSUMER DISCRETIONARY (2.7%)
3,150,000 GBP Punch Taverns Redwood Jersey Co. Ltd.
5.000%, 12/14/10 6,283,078
United Auto Group, Inc.
3,040,000 3.500%, 04/01/26@ 3,294,600
1,960,000 3.500%, 04/01/26* 2,124,150
7,500,000 Walt Disney Company@
2.125%, 04/15/23 8,334,375
--------------
20,036,203
--------------
ENERGY (1.5%)
7,500,000 Cal Dive International, Inc.*
3.250%, 12/15/25 11,071,875
--------------
FINANCIALS (0.7%)
2,750,000 Deutsche Bank Luxembourg
S.A. (USA Interactive)*++[]
5.349%, 05/01/12 3,045,900
2,500,000 Travelers Property Casualty Corp.
4.500%, 04/15/32 2,445,000
--------------
5,490,900
--------------
See accompanying notes to Schedule of Investments
3
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ --------------
HEALTH CARE (1.6%)
$ 5,000,000 Advanced Medical Optics, Inc.*
3.250%, 08/01/26 $ 5,318,750
6,500,000 Wyeth++
5.109%, 01/15/24 6,942,000
--------------
12,260,750
--------------
INDUSTRIALS (3.9%)
7,000,000 Allied Waste Industries, Inc.@
4.250%, 04/15/34 6,291,250
9,500,000 GATX Corp.
7.500%, 02/01/07 11,328,750
5,500,000 Lockheed Martin Corp.++
4.920%, 08/15/33 6,615,400
5,000,000 Quanta Services, Inc.*@
3.750%, 04/30/26
5,068,750
--------------
29,304,150
--------------
INFORMATION TECHNOLOGY (6.7%)
6,500,000 ASML Holding, NV
5.750%, 10/15/06 7,052,142
5,500,000 DST Systems, Inc.
4.125%, 08/15/23 7,012,500
5,600,000 Electronic Data Systems Corp.
3.875%, 07/15/23 5,635,000
4,500,000 Euronet Worldwide, Inc.@
3.500%, 10/15/25 4,398,750
6,500,000 LSI Logic Corp.@
4.000%, 05/15/10 6,540,625
5,000,000 Mentor Graphics Corp.*@
6.250%, 03/01/26 5,731,250
14,000,000 Vishay Intertechnology, Inc.@
3.625%, 08/01/23 14,017,500
--------------
50,387,767
--------------
UTILITIES (1.0%)
2,950,000 GBP Scottish & Southern Energy, PLC
3.750%, 10/29/09 7,527,884
--------------
TOTAL CONVERTIBLE BONDS
(Cost $130,001,631) 136,079,529
--------------
SYNTHETIC CONVERTIBLE SECURITIES (5.6%)
CORPORATE BONDS (4.8%)
CONSUMER DISCRETIONARY (1.7%)
131,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 132,638
434,000 Aztar Corp.@
7.875%, 06/15/14 463,295
680,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 669,800
262,000 DEX Media, Inc.
8.000%, 11/15/13 263,310
209,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 219,972
276,000 EchoStar Communications Corp.*
7.125%, 02/01/16 272,550
42,000 EchoStar DBS Corporation@
6.625%, 10/01/14 40,635
PRINCIPAL
AMOUNT VALUE
------------ --------------
$ 417,000 GBP EMI Group, PLC
9.750%, 05/20/08 $ 833,483
314,000 Ford Motor Company
8.625%, 11/01/10 302,115
288,000 GameStop Corp.@
8.000%, 10/01/12 293,760
78,000 General Motors Acceptance Corporation
6.875%, 09/15/11 75,607
78,000 General Motors Corp.@
7.125%, 07/15/13 66,690
Goodyear Tire & Rubber Company@
445,000 7.000%, 03/15/28 354,887
209,000 7.857%, 08/15/11 194,370
157,000 Group 1 Automotive, Inc.
8.250%, 08/15/13 158,963
209,000 Hasbro, Inc.
6.600%, 07/15/28 200,700
417,000 Hovnanian Enterprises,Inc.@
7.750%, 05/15/13 376,342
259,000 IMAX Corp.@
9.625%, 12/01/10 271,950
262,000 Intrawest Corp.
7.500%, 10/15/13 262,327
732,000 Isle of Capri Casinos, Inc.
9.000%, 03/15/12 763,110
199,000 Jarden Corp.@
9.750%, 05/01/12 207,955
145,000 Kellwood Company@
7.625%, 10/15/17 133,149
209,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 194,893
301,000 Linens 'n Things, Inc.*@++
11.132%, 01/15/14 280,682
916,000 Mandalay Resort Group
10.250%, 08/01/07 950,350
408,000 NCL Holding, ASA
10.625%, 07/15/14 399,840
235,000 Oxford Industries, Inc.
8.875%, 06/01/11 237,350
262,000 Phillips-Van Heusen Corp.@
8.125%, 05/01/13 269,860
105,000 Reader's Digest Association, Inc.@
6.500%, 03/01/11 102,244
105,000 Rent-A-Center, Inc.
7.500%, 05/01/10 104,213
149,000 RH Donnelley Financial Corp.*
10.875%, 12/15/12 164,459
196,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 179,353
235,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 218,554
157,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 151,657
811,000 Russell Corp.@
9.250%, 05/01/10 851,550
42,000 Station Casinos, Inc.
6.875%, 03/01/16 38,850
See accompanying notes to Schedule of Investments
4
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ --------------
$ 419,000 Time Warner, Inc.
7.625%, 04/15/31 $ 451,840
664,000 Vail Resorts, Inc.
6.750%, 02/15/14 634,120
262,000 Warnaco Group, Inc.
8.875%, 06/15/13 268,877
Warner Music Group
416,000 7.375%, 04/15/14 403,520
52,000 GBP 8.125%, 04/15/14 100,050
445,000 WCI Communities, Inc.@
7.875%, 10/01/13 384,925
21,000 William Lyon Homes, Inc.
10.750%, 04/01/13 19,425
42,000 Wynn Las Vegas, LLC@
6.625%, 12/01/14 39,795
--------------
13,004,015
--------------
CONSUMER STAPLES (0.6%)
52,000 Alimentation Couche-Tard Inc.
7.500%, 12/15/13 52,130
154,000 Central Garden & Pet Company
9.125%, 02/01/13 159,005
262,000 Chattem, Inc.
7.000%, 03/01/14 253,485
228,000 Chiquita Brands
International, Inc.@
7.500%, 11/01/14 194,940
324,000 Del Monte Foods Company
8.625%, 12/15/12 337,770
Dole Food Company, Inc.
471,000 7.250%, 06/15/10 426,255
209,000 8.625%, 05/01/09 200,640
628,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 589,535
183,000 NBTY, Inc.
7.125%, 10/01/15 172,935
262,000 Pilgrim's Pride Corp.@
9.250%, 11/15/13 263,965
314,000 Pinnacle Foods Holding@
8.250%, 12/01/13 309,290
293,000 Playtex Products, Inc.
8.000%, 03/01/11 305,086
288,000 Reynolds American Inc.*@
7.300%, 07/15/15 289,629
523,000 Smithfield Foods, Inc.@
7.750%, 05/15/13 524,307
269,000 Spectrum Brands, Inc.@
8.500%, 10/01/13 215,873
105,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 115,369
--------------
4,410,214
--------------
ENERGY (0.6%)
364,000 Arch Western Finance, LLC
6.750%, 07/01/13 348,530
496,000 Chesapeake Energy Corp.
6.875%, 01/15/16 481,120
340,000 Comstock Resources, Inc.
6.875%, 03/01/12 321,300
PRINCIPAL
AMOUNT VALUE
------------ --------------
$ 39,000 Energy Partners, Ltd.
8.750%, 08/01/10 $ 38,123
157,000 Forest Oil Corp.
8.000%, 12/15/11 162,103
244,000 Giant Industries, Inc.@
11.000%, 05/15/12 264,740
293,000 KCS Energy, Inc.
7.125%, 04/01/12 281,280
591,000 Petroleo Brasileiro, SA
8.375%, 12/10/18 670,046
Premcor Refining Group, Inc.
335,000 9.500%, 02/01/13 365,042
143,000 7.500%, 06/15/15 148,752
157,000 Range Resources Corp.@
7.375%, 07/15/13 158,766
105,000 Superior Energy Services, Inc.*
6.875%, 06/01/14 102,375
366,000 Swift Energy Company@
9.375%, 05/01/12 387,960
262,000 Whiting Petroleum Corp.
7.250%, 05/01/13 261,345
Williams Companies, Inc.
523,000 7.750%, 06/15/31 516,462
105,000 7.500%, 01/15/31 101,588
--------------
4,609,532
--------------
FINANCIALS (0.2%)
E*TRADE Financial Corporation
345,000 7.375%, 09/15/13 347,587
235,000 7.875%, 12/01/15@ 243,812
63,000 8.000%, 06/15/11 65,048
392,000 Leucadia National Corp.
7.000%, 08/15/13 386,120
89,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 86,108
131,000 Senior Housing Properties Trust
7.875%, 04/15/15 132,965
--------------
1,261,640
--------------
HEALTH CARE (0.3%)
215,000 Ameripath, Inc.@
10.500%, 04/01/13 227,362
209,000 Angiotech Pharmaceuticals, Inc.*
7.750%, 04/01/14 203,253
442,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 454,436
89,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 89,890
105,000 Biovail Corp.
7.875%, 04/01/10 107,100
39,000 DaVita, Inc.@
7.250%, 03/15/15 37,489
31,000 Omnicare, Inc.@
6.875%, 12/15/15 30,070
183,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 178,425
445,000 Tenet Healthcare Corp.*@
9.250%, 02/01/15 411,625
See accompanying notes to Schedule of Investments
5
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ --------------
$ 235,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 $ 224,425
340,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 330,650
--------------
2,294,725
--------------
INDUSTRIALS (0.4%)
165,000 Accuride Corp.
8.500%, 02/01/15 154,275
131,000 Armor Holdings, Inc.@
8.250%, 08/15/13 137,550
78,000 Columbus McKinnon Corp.
8.875%, 11/01/13 79,950
209,000 Commercial Vehicle Group, Inc.
8.000%, 07/01/13 199,334
52,000 FTI Consulting, Inc.
7.625%, 06/15/13 52,780
157,000 Gardner Denver, Inc.
8.000%, 05/01/13 164,850
157,000 GATX Corp.
8.875%, 06/01/09 168,536
340,000 General Cable Corp.
9.500%, 11/15/10 363,800
67,000 Global Cash Access, Inc.
8.750%, 03/15/12 71,188
204,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 208,335
84,000 H&E Equipment Service, Inc.* Y
5.375%, 07/15/16 84,945
29,000 Hexcel Corporation
6.750%, 02/01/15 27,913
JLG Industries, Inc.
235,000 8.250%, 05/01/08 247,925
52,000 8.375%, 06/15/12@ 55,380
178,000 Monitronics International, Inc.
11.750%, 09/01/10 175,997
58,000 Orbital Sciences Corp.
9.000%, 07/15/11 61,480
78,000 Sequa Corp.
8.875%, 04/01/08 81,607
366,000 Terex Corp.@
7.375%, 01/15/14 365,085
105,000 Trinity Industries, Inc.
6.500%, 03/15/14 102,375
182,000 Wesco Distribution, Inc.
7.500%, 10/15/17 181,545
105,000 Williams Scotsman
International, Inc.@
8.500%, 10/01/15 105,787
--------------
3,090,637
--------------
INFORMATION TECHNOLOGY (0.4%)
305,000 Advanced Micro Devices, Inc.@
7.750%, 11/01/12 306,906
37,000 Anixter International, Inc.
5.950%, 03/01/15 34,318
37,000 Avago Technologies*@
11.875%, 12/01/15 40,145
PRINCIPAL
AMOUNT VALUE
------------ --------------
$ 209,000 Celestica, Inc.@
7.875%, 07/01/11 $ 207,955
262,000 Flextronics International, Ltd.@
6.500%, 05/15/13 255,450
262,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 268,550
20,000 Sanmina-SCI Corporation@
8.125%, 03/01/16 19,600
358,000 SunGuard Data Systems, Inc.@
9.125%, 08/15/13 367,397
273,000 Telcordia Technologies*
10.000%, 03/15/13 219,765
Xerox Corp.
497,000 8.000%, 02/01/27@ 504,455
366,000 7.625%, 06/15/13 371,490
--------------
2,596,031
--------------
MATERIALS (0.4%)
52,000 Agrium, Inc.
7.125%, 05/23/36 52,769
Aleris International, Inc.
178,000 10.375%, 10/15/10 195,355
162,000 9.000%, 11/15/14 183,060
52,000 Crown Americas, LLC*@
7.750%, 11/15/15 51,545
262,000 Equistar Chemicals, LP
10.625%, 05/01/11 282,960
448,000 Freeport-McMoRan Copper & Gold, Inc.@
10.125%, 02/01/10 479,360
42,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 42,000
Ineos Group Holdings, PLC*
251,000 EUR 7.875%, 02/15/16 300,588
52,000 8.500%, 02/15/16@ 49,010
390,000 IPSCO, Inc.
8.750%, 06/01/13 418,275
209,000 Neenah Paper, Inc.@
7.375%, 11/15/14 195,415
419,000 Sealed Air Corp.*
6.875%, 07/15/33 408,461
105,000 Texas Industries, Inc.
7.250%, 07/15/13 105,656
Union Carbide Corp.
209,000 7.500%, 06/01/25 216,423
162,000 7.875%, 04/01/23 173,952
167,000 Westlake Chemical Corporation
6.625%, 01/15/16 156,145
--------------
3,310,974
--------------
TELECOMMUNICATION SERVICES (0.1%)
31,000 Citizens Communications Company
9.000%, 08/15/31 31,930
105,000 IPCS Escrow Company
11.500%, 05/01/12 118,125
523,000 Sprint Nextel Corporation
7.375%, 08/01/15 536,351
See accompanying notes to Schedule of Investments
6
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ --------------
$ 118,000 Stratos Global Corp. *@
9.875%, 02/15/13 $ 98,825
209,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 204,298
--------------
989,529
--------------
UTILITIES (0.1%)
65,000 Edison International
7.730%, 06/15/09 66,300
52,000 NRG Energy, Inc.
7.250%, 02/01/14 51,025
314,000 TXU Corp.
6.500%, 11/15/24 285,706
--------------
403,031
--------------
TOTAL CORPORATE BONDS 35,970,328
--------------
NUMBER OF
CONTRACTS VALUE
------------ --------------
OPTIONS (0.8%)
CONSUMER DISCRETIONARY (0.0%)
100 Garmin, Ltd.#
Call, 01/19/08, Strike 100.00 172,500
250 Lowe's Companies, Inc.#
Call, 01/19/08, Strike 35.00 51,250
260 Office Depot, Inc.#
Call, 01/19/08, Strike 40.00 128,700
--------------
352,450
--------------
CONSUMER STAPLES (0.1%)
520 Kroger Company#
Call, 01/19/08, Strike 20.00 260,000
215 PepsiCo, Inc.#
Call, 01/19/08, Strike 60.00 176,300
--------------
436,300
--------------
ENERGY (0.1%)
150 Anadarko Petroleum Corp.#
Call, 01/19/08, Strike 47.50 110,250
105 BJ Services Company#
Call, 01/19/08, Strike 40.00 61,425
80 Diamond Offshore Drilling, Inc.#
Call, 01/19/08, Strike 85.00 110,400
180 Nabors Industries Ltd.#
Call, 01/19/08, Strike 37.50 101,700
70 Petroleo Brasileiro, SA#
Call, 01/19/08, Strike 90.00 131,950
120 Schlumberger, Ltd.#
Call, 01/19/08, Strike 65.00 162,600
110 Weatherford International, Ltd.#
Call, 01/19/08, Strike 55.00 63,250
--------------
741,575
--------------
FINANCIALS (0.2%)
200 Aon Corp.#
Call, 01/19/08, Strike 35.00 91,000
400 Charles Schwab Corp.#
Call, 01/19/08, Strike 17.50 85,000
15 Chicago Mercantile Exchange Holdings, Inc.#
Call, 01/19/08, Strike 420.00 166,275
NUMBER OF
CONTRACTS VALUE
------------ --------------
145 CIT Group, Inc.#
Call, 01/19/08, Strike 50.00 $ 70,325
220 E*TRADE Financial Corporation#
Call, 01/19/08, Strike 25.00 89,100
60 Goldman Sachs Group, Inc.#
Call, 01/19/08, Strike 160.00 120,900
120 Lehman Brothers Holdings, Inc.#
Call, 01/19/08, Strike 75.00 81,000
145 Merrill Lynch & Company, Inc.#
Call, 01/19/08, Strike 70.00 160,225
110 Prudential Financial, Inc.#
Call, 01/19/08, Strike 75.00 133,650
190 State Street Corp.#
Call, 01/19/08, Strike 60.00 149,150
--------------
1,146,625
--------------
HEALTH CARE (0.0%)
75 Allergan, Inc.#
Call, 01/19/08, Strike 110.00 118,500
200 AmerisourceBergen Corp.#
Call, 01/19/08, Strike 47.50 87,000
--------------
205,500
--------------
INDUSTRIALS (0.0%)
110 Burlington Northern Santa Fe Corp.#
Call, 01/19/08, Strike 80.00 81,400
--------------
INFORMATION TECHNOLOGY (0.3%)
185 Agilent Technologies, Inc.#
Call, 01/19/08, Strike 35.00 51,800
70 Apple Computer, Inc.#
Call, 01/19/08, Strike 75.00 86,800
420 Electronic Data Systems Corp.#
Call, 01/19/08, Strike 25.00 129,150
280 Hewlett-Packard Company#
Call, 01/19/08, Strike 30.00 189,000
320 Intuit, Inc.#
Call, 01/19/08, Strike 27.50 235,200
200 Marvell Technology Group, Ltd.#
Call, 01/19/08, Strike 32.50 34,500
275 Motorola, Inc.#
Call, 01/19/08, Strike 22.50 108,625
195 National Semiconductor Corp.#
Call, 01/19/08, Strike 25.00 81,900
Nokia Corp.#
1,900 Call, 01/19/08, Strike 20.00 589,000
1,900 Call, 01/19/08, Strike 17.50 845,500
200 NVIDIA Corp.#
Call, 01/19/08, Strike 30.00 57,500
260 Paychex, Inc.#
Call, 01/19/08, Strike 40.00 70,200
80 Sandisk Corp.#
Call, 01/19/08, Strike 65.00 54,000
--------------
2,533,175
--------------
MATERIALS (0.1%)
100 Alcan, Inc.#
Call, 01/19/08, Strike 55.00 51,000
See accompanying notes to Schedule of Investments
7
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
------------ --------------
210 Goldcorp, Inc.#
Call, 01/19/08, Strike 27.50 $ 174,300
286 Harmony Gold Mining Co, Ltd.#
Call, 01/19/08, Strike 15.00 100,100
90 Phelps Dodge Corp.#
Call, 01/19/08, Strike 72.50 223,200
80 United States Steel Corp.#
Call, 01/19/08, Strike 70.00 90,800
--------------
639,400
--------------
TELECOMMUNICATION SERVICES (0.0%)
190 America Movil, S.A. de C.V.#
Call, 01/19/08, Strike 40.00 99,750
110 NII Holdings, Inc.#
Call, 01/19/08, Strike 55.00 112,200
--------------
211,950
--------------
TOTAL OPTIONS 6,348,375
--------------
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $43,478,943) 42,318,703
--------------
NUMBER OF
SHARES VALUE
------------ --------------
CONVERTIBLE PREFERRED STOCKS (35.9%)
CONSUMER DISCRETIONARY (2.3%)
610,000 Ford Motor Company Capital
Trust II
6.500% 17,446,000
--------------
CONSUMER STAPLES (3.7%)
1,115,500 Albertson's, Inc.
7.250% 27,876,345
--------------
ENERGY (5.6%)
50,000 Chesapeake Energy Corp.
6.250% 14,001,000
210,000 Hess Corp.
7.000% 27,885,900
--------------
41,886,900
--------------
FINANCIALS (17.8%)
530,000 Chubb Corp.
7.000% 18,666,600
16,000 Fortis Insurance, N.V.
(Assurant, Inc.)* []
7.750% 20,432,000
185,000 Hartford Financial
Services Group, Inc.
7.000% 13,786,200
240,000 Lazard, Ltd.
6.625% 8,366,400
640,000 Lehman Brothers
Holdings, Inc. (General
Mills, Inc.) []
6.250% 16,684,800
190,000 Merrill Lynch & Co., Inc.
(Nuveen Investments, Inc.) []
6.750% 7,991,400
410,000 Metlife, Inc.
6.375% 11,258,600
NUMBER OF
SHARES VALUE
------------ --------------
650,000 National Australia Bank, Ltd.
7.875% $ 28,600,000
150,000 Washington Mutual, Inc.
5.375% 8,362,500
--------------
134,148,500
--------------
HEALTH CARE (0.8%)
120,000 Schering-Plough Corp.
6.000% 6,367,200
--------------
INDUSTRIALS (1.1%)
2,500,000 GBP BAE Systems, PLC
7.750% 7,923,022
--------------
UTILITIES (4.6%)
410,000 AES Corp. Trust III
6.750% 19,561,100
350,000 CenterPoint Energy, Inc.
(Time Warner, Inc.)++ []
2.000% 11,452,000
65,000 Southern Union Company
5.000% 3,443,700
--------------
34,456,800
--------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $233,185,248) 270,104,767
--------------
PRINCIPAL
AMOUNT VALUE
------------ --------------
SHORT-TERM INVESTMENT (1.3%)
COMMERCIAL PAPER (1.3%)
$ 9,713,000 Citigroup, Inc
5.230%, 08/01/06
(Cost $9,713,000) 9,713,000
--------------
NUMBER OF
SHARES VALUE
------------ --------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (16.4%)
123,506,367 Bank of New York
Institutional Cash Reserve Fund
current rate 5.400%
(Cost $123,506,367) 123,506,367
--------------
TOTAL INVESTMENTS (163.9%)
(Cost $1,194,667,425) 1,233,315,969
--------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-16.4%) (123,506,367)
--------------
OTHER ASSETS, LESS LIABILITIES (3.6%) 27,098,037
--------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS
PAYABLE (-51.1%) (384,307,121)
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 752,600,518
--------------
See accompanying notes to Schedule of Investments
8
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULES OF INVESTMENTS JULY 31, 2006 (unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
Note: Value for securities denominated in foreign currencies are shown in U.S.
dollars. The principal amount for such securities is shown in the respective
foreign currency. The date shown on options represents the expiration date of
the option contracts. The option contracts may be exercised at any date on or
before the date shown.
* 144A securities are those that are exempt from registration under Rule 144A
of the Securities Act of 1933, as amended. These securities are generally
issued to qualified institutional buyers ("QIBs"), such as the Fund. Any
resale of these securities must generally be effected through a sale that
is exempt from registration (e.g. a sale to another QIB), or the security
must be registered for public sale. At July 31, 2006, the market value of
144A securities that were not subject to mandatory issuer registration
obligations is $88,406,684 or 11.7 % of net assets.
Y Security purchased on when issued basis.
@ Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate security. The interest rate shown is the rate in effect at
July 31, 2006.
[] Securities exchangeable or convertible into securities of an entity
different than the issuer. Such entity is identified in the parenthetical.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying notes to Schedule of Investments
9
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION. CALAMOS Convertible Opportunities and Income Fund (the "Fund") was
organized as a Delaware statutory trust on April 17, 2002 and is registered
under the Investment Company Act of 1940 (the "1940 Act") as a diversified,
closed-end management investment company. The Fund commenced operations on June
26, 2002.
The Fund's investment objective is to provide total return through a combination
of capital appreciation and current income. Under normal circumstances, the Fund
will invest at least 80% of its managed assets in a diversified portfolio of
convertible and non-convertible income securities. "Managed assets" means the
Fund's total assets (including any assets attributable to any leverage that may
be outstanding) minus total liabilities (other than debt representing financial
leverage).
PORTFOLIO VALUATION. Calamos Advisors LLC values the Fund's portfolio securities
in accordance with policies and procedures on the valuation of securities
adopted by the Board of Trustees and under the ultimate supervision of the Board
of Trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option
securities, are valued at the last current reported sales price at the time as
of which the Fund determines its NAV. Securities traded in the over-the-counter
("OTC") market and quoted on The Nasdaq Stock Market are valued at the Nasdaq
Official Closing Price ("NOCP"), as determined by Nasdaq, or lacking a NOCP, the
last current reported sale price on Nasdaq at the time as of which the Fund
determines its NAV.
When a most recent last sale or closing price is not available, portfolio
securities, other than option securities, that are traded on a U.S. securities
exchange and other securities traded in the OTC market are valued at the mean
between the most recent bid and asked quotations in accordance with guidelines
adopted by the Board of Trustees. Each option security traded on a U.S.
securities exchange is valued at the mid-point of the consolidated bid/ask quote
for the option security, also in accordance with guidelines adopted by the Board
of Trustees. Each OTC option that is not traded through the Options Clearing
Corporation is valued by the counterparty to such option. If the pricing
committee determines that the valuation of a security in accordance with the
methods described above is not reflective of a fair value for such security, the
security, including any thinly-traded security, junk bond or synthetic
convertible instrument, is valued at a fair value by the pricing committee,
under the ultimate supervision of the Board of Trustees, following the
guidelines and/or procedures adopted by the Board of Trustees, which may include
utilizing a systematic fair valuation model provided by an independent pricing
service.
Securities that are principally traded in a foreign market are valued as of the
last current sale price at the time as of which the Fund determines its NAV, or
when reliable market prices or quotations are not readily available, at the mean
between the most recent bid
10
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
and asked quotations as of the close of the appropriate exchange or other
designated time, in accordance with guidelines adopted by the Board of Trustees.
Trading in securities on European and Far Eastern securities exchanges and OTC
markets is normally completed at various times before the close of business on
each day on which the NYSE is open. Trading of these securities may not take
place on every NYSE business day. In addition, trading may take place in various
foreign markets on Saturdays or on other days when the NYSE is not open and on
which the Fund's NAV is not calculated. As stated above, if the market prices
are not readily available or are not reflective of a security's fair value, the
security is valued at a fair value by the pricing committee, under the ultimate
supervision of the Board of Trustees, following the guidelines and/or procedures
adopted by the Board of Trustees.
The Fund also may use fair value pricing, pursuant to Board of Trustees
guidelines and under the ultimate supervision of the Board of Trustees if the
value of a foreign security it holds is materially affected by events occurring
before their pricing time but after the close of the primary market or exchange
on which the security is traded. Those procedures may utilize valuations
furnished by pricing services approved by the Board of Trustees, which may be
based on market transactions for comparable securities and various relationships
between securities that are generally recognized by institutional traders, a
computerized matrix system, or appraisals derived from information concerning
the securities or similar securities received from recognized dealers in those
securities.
When fair value pricing of securities is employed, the prices of securities used
by the Fund to calculate its NAV may differ from market quotations or official
closing prices.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. Short-term investment
transactions are recorded on a trade date basis. Long-term investment
transactions are recorded on a trade date plus one basis, except for fiscal
quarter ends, which are recorded on trade date. Net realized gains and losses
from investment transactions are reported on an identified cost basis. Interest
income is recognized using the accrual method and includes accretion of original
issue and market discount and amortization of premium. Dividend income is
recognized on the ex-dividend date, except that certain dividends from foreign
securities are recorded as soon as the information becomes available.
FOREIGN CURRENCY TRANSLATION. Values of investments and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
using a rate quoted by any major bank or dealer in the particular currency
market, as reported by a recognized quotation dissemination service.
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
11
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
Reported net realized foreign currency gains or losses arise from disposition of
foreign currency, the difference in the foreign exchange rates between the trade
and settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
ex-date or accrual date and the U.S. dollar equivalent of the amounts actually
received or paid. Net unrealized foreign exchange gains and losses arise from
changes (due to the changes in the exchange rate) in the value of foreign
currency and other assets and liabilities denominated in foreign currencies held
at period end.
OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option is that the Fund pays a premium whether or not the option
is exercised. Additionally, the Fund bears the risk of loss of premium and
change in market value should the counterparty not perform under the contract.
Put and call options purchased are accounted for in the same manner as portfolio
securities. The cost of securities acquired through the exercise of purchased
call options is increased by premiums paid. The proceeds from securities sold
through the exercise of purchased put options are decreased by the premiums
paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from written options. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a written call
option is exercised, the premium is added to the proceeds from the sale of the
underlying security or currency in determining whether the Fund has realized a
gain or loss. If a written put option is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. The Fund as writer of an option
bears the market risk of an unfavorable change in the price of the security
underlying the written option.
NOTE 2 - INVESTMENTS
The following information is presented on an income tax basis as of July 31,
2006. Differences between amounts for financial statements and Federal income
tax purposes are primarily due to timing differences.
The cost basis of investments for Federal income tax purposes at July 31, 2006
was as follows:
12
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
Cost basis of investments $1,207,750,032
--------------
Gross unrealized appreciation 65,900,271
Gross unrealized depreciation (40,334,334)
--------------
Net unrealized appreciation (depreciation) $ 25,565,937
--------------
NOTE 3 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. A forward foreign currency contract is a commitment to
purchase or sell a foreign currency at a future date at a negotiated forward
rate. Risks associated with such contracts include, among other things, movement
in the value of the foreign currency relative to the U.S. dollar and the ability
of the counterparty to perform. The net unrealized gain, if any, represents the
credit risk to the Fund on a forward foreign currency contract. The contracts
are valued daily at forward exchange rates, and an unrealized gain or loss is
recorded. The Fund realizes a gain or loss when a position is closed or upon
settlement of the contracts. There were no open forward foreign currency
contracts at July 31, 2006.
NOTE 4 - SYNTHETIC CONVERTIBLE SECURITIES
The Fund may establish a "synthetic" convertible instrument by combining
separate securities that possess the economic characteristics similar to a
convertible security, i.e., fixed-income securities ("fixed-income component",
which may be a convertible or non-convertible security) and the right to
acquire equity securities ("convertible component"). The fixed-income component
is achieved by investing in fixed income securities such as bonds, preferred
stocks and money market instruments. The convertible component is achieved by
investing in warrants or options to buy common stock at a certain exercise
price, or options on a stock index. In establishing a synthetic instrument, the
Fund may pool a basket of fixed-income securities and a basket of warrants or
options that produce the economic characteristics similar to a convertible
security. Within each basket of fixed-income securities and warrants or options,
different companies may issue the fixed-income and convertible components, which
may be purchased separately and at different times.
The Fund may purchase synthetic convertible instruments created by other
parties, typically investment banks, including convertible structured notes.
Convertible structured notes are fixed-income debentures linked to equity.
Convertible structured notes have the attributes of a convertible security;
however, the investment bank that issued the convertible note assumes the credit
risk associated with the investment, rather than the issuer of the underlying
common stock into which the note is convertible. Purchasing synthetic
convertible securities may offer more flexibility than purchasing a convertible
13
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
security. Different companies may issue the fixed-income and convertible
components, which may be purchased separately and at different times.
NOTE 5 - PREFERRED SHARES
There are unlimited shares of Auction Rate Cumulative Preferred Shares
("Preferred Shares") authorized. The Preferred Shares have rights as determined
by the Board of Trustees. The 15,360 shares of Preferred Shares outstanding
consist of seven series, 2,040 shares of M, 2,040 shares of TU, 2,040 shares of
W7, 2,400 shares of W28, 2,400 shares of TH7, 2,040 shares of TH28, and 2,400
shares of F. The Preferred Shares have a liquidation value of $25,000 per share
plus any accumulated but unpaid dividends, whether or not declared.
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven or twenty-eight days based on the results of an auction. Dividend rates
ranged from 3.50% to 5.36% for the nine-month period ended July 31, 2006. Under
the 1940 Act, the Fund may not declare dividends or make other distributions on
shares of common stock or purchase any such shares if, at the time of the
declaration, distribution or purchase, asset coverage with respect to the
outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the Fund's option, in whole or in part,
on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or only the holders of common stock, when the respective
classes vote alone.
NOTE 6 - INTEREST RATE TRANSACTIONS
The Fund may enter into interest rate swap or cap transactions to attempt to
protect itself from increasing dividend or interest expense on its leverage
resulting from increasing short-term interest rates. A decline in interest rates
may result in a decline in the value of the swap or cap, which may result in a
decline in the Fund's net asset value. In addition, if the counterparty to an
interest rate swap or cap defaults, the Fund would not be able to use the
anticipated receipts under the swap or cap to offset the dividend or interest
payments on the Fund's leverage. At the time an interest rate swap or cap
reaches its scheduled termination, there is a risk that the Fund would not be
able to obtain a replacement transaction or that the terms of the replacement
would not be as favorable as the expiring transaction. In addition, if the Fund
is required to terminate any swap or cap early due to the Fund failing to
maintain a required 200% asset coverage of the
14
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
liquidation value of the outstanding Preferred Shares or the Fund loses its
credit rating on its Preferred Shares, then the Fund could be required to make a
termination payment, in addition to redeeming all or some of the Preferred
Shares. Net unrealized gains are reported as an asset and net unrealized losses
are reported as a liability on the Statement of Assets and Liabilities. The
change in the value of the swaps, including periodic amounts of interest to be
paid or received on swaps is reported as unrealized gains or losses in the
Statement of Operations. A realized gain or loss is recorded upon payment or
termination of swap agreements. Details of the swap agreements outstanding as of
July 31, 2006 were as follows:
Unrealized
Termination Notional Fixed Rate Floating Rate Appreciation
Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation)
------------ ----------------- ------------ ----------- --------------- --------------
Merrill Lynch November 28, 2006 $60,000 2.82% 1 month LIBOR $ 529,196
Merrill Lynch July 3, 2007 65,000 2.33% 1 month LIBOR 1,973,716
Merrill Lynch November 28, 2007 60,000 3.26% 1 month LIBOR 1,643,081
Merrill Lynch July 3, 2008 70,000 2.69% 1 month LIBOR 3,500,313
Merrill Lynch November 28, 2008 60,000 3.60% 1 month LIBOR 2,221,092
----------
$9,867,398
==========
NOTE 7 - SECURITIES LENDING
During the nine-month period ended July 31, 2006, the Fund loaned certain of
its' securities to broker-dealers and banks. Any such loan must be continuously
secured by collateral in cash or cash equivalents maintained on a current basis
in an amount at least equal to the market value of the securities loaned by the
Fund. The Fund continues to receive the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receives an additional
return that may be in the form of a fixed fee or a percentage of the collateral.
The Fund may pay reasonable fees to persons unaffiliated with the Fund for
services in arranging these loans. The Fund has the right to call the loan and
obtain the securities loaned at any time on notice of not more than five
business days. The Fund does not have the right to vote the securities during
the existence of the loan but could call the loan in an attempt to permit voting
of the securities in certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
In the event of bankruptcy or other default of the borrower, the Fund could
experience both delays in liquidating the loan collateral or recovering the
loaned securities and losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the period while the
Fund seeks to enforce its rights thereto, (b) possible subnormal levels of
income and lack of access to income during this period, and (c) the expenses of
enforcing its rights. In an effort to reduce these risks, Calamos Advisors LLC
and the security lending agent will monitor the creditworthiness of the firms to
which the Fund lends securities. At July 31, 2006, the Fund had securities
valued at $120,429,382 that were on loan to broker-dealers and banks and
$123,506,367 in cash or cash equivalent collateral.
15
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-Q was recorded,
processed, summarized, and reported timely.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Convertible Opportunities and Income Fund
By: /s/ John P. Calamos, Sr.
---------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: September 22, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Convertible Opportunities and Income Fund
By: /s/ John P. Calamos, Sr.
---------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: September 22, 2006
By: /s/ Patrick H. Dudasik
---------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September 22, 2006