Regulatory Filings • Sep 19, 2011
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Download Source FileN-Q 1 c65512nvq.htm FORM N-Q nvq PAGEBREAK
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: | John P. Calamos Sr., President Calamos Advisors LLC, 2020 Calamos Court, Naperville, Illinois 60563 |
REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2011
DATE OF REPORTING PERIOD: July 31, 2011
Folio /Folio
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Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)
| PRINCIPAL — AMOUNT | VALUE | ||
|---|---|---|---|
| CORPORATE BONDS | |||
| (72.7%) | |||
| Consumer Discretionary (14.1%) | |||
| 3,539,000 | American Axle & Manufacturing, Inc. 7.875%, 03/01/17 | $ 3,631,899 | |
| 3,176,000 | Asbury Automotive Group, Inc.µ 7.625%, 03/15/17 | 3,183,940 | |
| 3,063,000 | Cedar Fair, LP 9.125%, 08/01/18 | 3,327,184 | |
| 5,546,000 | Cooper Tire & Rubber Companyµ 8.000%, 12/15/19 | 5,809,435 | |
| 1,672,000 | Dana Holding Corp. 6.750%, 02/15/21 | 1,707,530 | |
| DISH Network Corp.µ | |||
| 5,717,000 | 7.875%, 09/01/19 | 6,310,139 | |
| 4,787,000 | 7.125%, 02/01/16 | 5,134,057 | |
| 5,445,000 | Exide Technologiesµ* 8.625%, 02/01/18 | 5,581,125 | |
| 3,630,000 | Express, LLC 8.750%, 03/01/18 | 3,938,550 | |
| 1,069,000 | GameStop Corp. 8.000%, 10/01/12 | 1,087,708 | |
| Goodyear Tire & Rubber Companyµ | |||
| 5,754,000 | 8.250%, 08/15/20 | 6,343,785 | |
| 781,000 | 7.000%, 03/15/28 | 769,285 | |
| 5,218,000 | Hanesbrands, Inc.µ 3.770%, 12/15/14 | 5,231,045 | |
| 3,630,000 | Hasbro, Inc.µ 6.600%, 07/15/28 | 3,956,214 | |
| 1,025,000 | Interpublic Group of Companies, Inc.µ 10.000%, 07/15/17 | 1,217,187 | |
| J.C. Penney Company, Inc. | |||
| 2,826,000 | 6.375%, 10/15/36 | 2,536,335 | |
| 2,604,000 | 7.125%, 11/15/23 | 2,714,670 | |
| Jaguar Land Rover, PLC* | |||
| 2,722,000 | 8.125%, 05/15/21µ | 2,769,635 | |
| 2,133,000 | 7.750%, 05/15/18 | 2,175,660 | |
| 5,318,000 | Jarden Corp.µ 7.500%, 05/01/17 | 5,590,547 | |
| 2,722,000 | Liberty Media Corp.µ 8.250%, 02/01/30 | 2,687,975 | |
| Limited Brands, Inc. | |||
| 2,722,000 | 7.600%, 07/15/37 | 2,728,805 | |
| 1,405,000 | 6.625%, 04/01/21 | 1,461,200 | |
| 712,000 | 6.950%, 03/01/33 | 662,160 | |
| 2,722,000 | Live Nation Entertainment, Inc.* 8.125%, 05/15/18 | 2,783,245 | |
| 4,084,000 | Macys Retail Holdings, Inc.µ 5.900%, 12/01/16 | 4,660,150 | |
| 3,875,000 | NetFlix, Inc.µ 8.500%, 11/15/17 | 4,398,125 | |
| 3,700,000 | Perry Ellis International, Inc. 7.875%, 04/01/19 | 3,866,500 | |
| Royal Caribbean Cruises, Ltd. | |||
| 4,537,000 | 7.500%, 10/15/27 | 4,605,055 | |
| 1,815,000 | 7.250%, 06/15/16µ | 1,964,737 | |
| 907,000 | 7.000%, 06/15/13µ | 973,891 | |
| Service Corp. International | |||
| 6,352,000 | 7.500%, 04/01/27µ | 6,193,200 | |
| 907,000 | 7.625%, 10/01/18µ | 1,015,840 | |
| 907,000 | 7.000%, 05/15/19 | 972,758 | |
| 1,361,000 | Speedway Motorsports, Inc. 8.750%, 06/01/16 | 1,490,295 | |
| 3,120,000 | Vail Resorts, Inc.* 6.500%, 05/01/19 | 3,209,700 | |
| 3,929,000 | Wynn Las Vegas, LLCµ 7.750%, 08/15/20 | 4,361,190 | |
| 121,050,756 | |||
| Consumer Staples (1.8%) | |||
| Constellation Brands, Inc. | |||
| 1,815,000 | 7.250%, 09/01/16µ | 2,010,113 | |
| 681,000 | 8.375%, 12/15/14 | 784,853 | |
| 2,838,000 | Darling International, Inc. 8.500%, 12/15/18 | 3,139,537 | |
| 2,269,000 | Dean Foods Company* 9.750%, 12/15/18 | 2,439,175 | |
| 113,000 | Elizabeth Arden, Inc. 7.375%, 03/15/21 | 118,085 | |
| 3,210,000 | JBS USA, LLC* 7.250%, 06/01/21 | 3,185,925 | |
| 3,115,000 | Reynolds American, Inc.µ 7.250%, 06/15/37 | 3,471,935 | |
| 15,149,623 | |||
| Energy (15.1%) | |||
| 13,612,000 | NOK | Aker Solutions, ASA 8.700%, 06/26/14 | 2,724,369 |
| Arch Coal, Inc.µ | |||
| 5,182,000 | 7.250%, 10/01/20 | 5,447,577 | |
| 681,000 | 8.750%, 08/01/16 | 759,315 | |
| 2,987,000 | Arch Western Finance, LLC 6.750%, 07/01/13 | 3,020,604 | |
| 4,330,000 | Basic Energy Services, Inc.µ* 7.750%, 02/15/19 | 4,449,075 | |
| Berry Petroleum Company | |||
| 4,792,000 | 8.250%, 11/01/16µ | 5,031,600 | |
| 1,815,000 | 10.250%, 06/01/14 | 2,082,713 | |
| 3,630,000 | Brigham Exploration Company 8.750%, 10/01/18 | 4,101,900 | |
| 7,441,000 | Bristow Group, Inc.µ 7.500%, 09/15/17 | 7,831,652 | |
| 6,806,000 | Calfrac Holdings, LPµ* 7.500%, 12/01/20 | 7,027,195 | |
| 7,260,000 | Carrizo Oil & Gas, Inc. 8.625%, 10/15/18 | 7,768,200 | |
| 5,445,000 | Clayton Williams Energy, Inc.µ* 7.750%, 04/01/19 | 5,322,487 |
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Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)
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| PRINCIPAL — AMOUNT | VALUE | |
|---|---|---|
| 3,630,000 | Complete Production Services, Inc.µ 8.000%, 12/15/16 | $ 3,829,650 |
| 5,717,000 | Comstock Resources, Inc.µ 8.375%, 10/15/17 | 6,088,605 |
| 4,392,000 | Concho Resources, Inc.µ 8.625%, 10/01/17 | 4,853,160 |
| Frontier Oil Corp. | ||
| 5,518,000 | 8.500%, 09/15/16 | 5,945,645 |
| 740,000 | 6.875%, 11/15/18 | 793,650 |
| 2,813,000 | GulfMark Offshore, Inc.µ 7.750%, 07/15/14 | 2,851,679 |
| 5,082,000 | Helix Energy Solutions Group, Inc.µ* 9.500%, 01/15/16 | 5,361,510 |
| 1,842,000 | HollyFrontier Corp.µ 9.875%, 06/15/17 | 2,076,855 |
| 2,659,000 | Hornbeck Offshore Services, Inc.µ 8.000%, 09/01/17 | 2,732,123 |
| 907,000 | Linn Energy, LLC* 6.500%, 05/15/19 | 908,134 |
| 3,630,000 | Pride International, Inc.µ 8.500%, 06/15/19 | 4,695,017 |
| 3,630,000 | SEACOR Holdings, Inc. 7.375%, 10/01/19 | 4,015,027 |
| 5,899,000 | SESI, LLCµ 6.875%, 06/01/14 | 6,009,606 |
| 3,463,000 | SM Energy Company* 6.625%, 02/15/19 | 3,584,205 |
| Swift Energy Companyµ | ||
| 4,900,000 | 8.875%, 01/15/20 | 5,365,500 |
| 2,269,000 | 7.125%, 06/01/17 | 2,348,415 |
| 4,084,000 | Trinidad Drilling, Ltd.µ* 7.875%, 01/15/19 | 4,308,620 |
| 454,000 | Unit Corp. 6.625%, 05/15/21 | 460,810 |
| 4,991,000 | W & T Offshore, Inc.* 8.500%, 06/15/19 | 5,196,879 |
| 2,162,000 | Whiting Petroleum Corp.µ 6.500%, 10/01/18 | 2,237,670 |
| 129,229,447 | ||
| Financials (2.7%) | ||
| 2,179,000 | AON Corp. 8.205%, 01/01/27 | 2,516,745 |
| 1,906,000 | Janus Capital Group, Inc.µ 6.700%, 06/15/17 | 2,114,032 |
| Leucadia National Corp.µ | ||
| 7,033,000 | 8.125%, 09/15/15 | 7,771,465 |
| 1,117,000 | 7.125%, 03/15/17 | 1,168,661 |
| 4,084,000 | Nuveen Investments, Inc. 10.500%, 11/15/15 | 4,277,990 |
| OMEGA Healthcare Investors, Inc. | ||
| 2,859,000 | 7.500%, 02/15/20µ | 3,069,851 |
| 1,815,000 | 6.750%, 10/15/22 | 1,855,838 |
| 22,774,582 | ||
| Health Care (7.4%) | ||
| 1,815,000 | Bio-Rad Laboratories, Inc. 8.000%, 09/15/16 | 2,039,606 |
| 1,815,000 | Community Health Systems, Inc. 8.875%, 07/15/15 | 1,880,794 |
| 6,750,000 | DaVita, Inc.µ 6.625%, 11/01/20 | 6,918,750 |
| Endo Pharmaceuticals Holdings, Inc.* | ||
| 6,806,000 | 7.000%, 12/15/20µ | 7,129,285 |
| 907,000 | 7.000%, 07/15/19 | 954,617 |
| 6,806,000 | Giant Funding Corp.µ* 8.250%, 02/01/18 | 7,197,345 |
| 2,722,000 | HCA, Inc.* 7.750%, 05/15/21 | 2,783,245 |
| HealthSouth Corp.µ | ||
| 2,496,000 | 7.750%, 09/15/22 | 2,670,720 |
| 1,996,000 | 7.250%, 10/01/18 | 2,100,790 |
| Mylan, Inc.* | ||
| 3,920,000 | 7.625%, 07/15/17 | 4,321,800 |
| 2,949,000 | 7.875%, 07/15/20 | 3,288,135 |
| 4,422,000 | Teleflex, Inc. 6.875%, 06/01/19 | 4,576,770 |
| Valeant Pharmaceuticals International, Inc.* | ||
| 5,626,000 | 7.000%, 10/01/20µ | 5,457,220 |
| 3,176,000 | 7.250%, 07/15/22 | 3,072,780 |
| 953,000 | 6.750%, 10/01/17µ | 936,323 |
| 8,043,000 | Warner Chilcott Company, LLCµ* 7.750%, 09/15/18 | 8,163,645 |
| 63,491,825 | ||
| Industrials (11.3%) | ||
| 4,458,000 | Abengoa, SA* 8.875%, 11/01/17 | 4,502,580 |
| BE Aerospace, Inc. | ||
| 4,084,000 | 8.500%, 07/01/18µ | 4,517,925 |
| 306,000 | 6.875%, 10/01/20 | 330,480 |
| Belden, Inc. | ||
| 3,857,000 | 7.000%, 03/15/17µ | 3,972,710 |
| 907,000 | 9.250%, 06/15/19 | 1,010,171 |
| 3,545,000 | Boart Longyear Management Pty., Ltd.* 7.000%, 04/01/21 | 3,660,212 |
| 2,314,000 | Clean Harbors, Inc.* 7.625%, 08/15/16 | 2,470,196 |
| Deluxe Corp.µ | ||
| 4,991,000 | 7.000%, 03/15/19* | 4,991,000 |
| 4,215,000 | 7.375%, 06/01/15 | 4,362,525 |
| 3,757,000 | Dycom Investments, Inc. 7.125%, 01/15/21 | 3,850,925 |
| 2,142,000 | Esterline Technologies Corp.µ 7.000%, 08/01/20 | 2,281,230 |
| 2,042,000 | FTI Consulting, Inc. 6.750%, 10/01/20 | 2,093,050 |
| GEO Group, Inc. | ||
| 2,269,000 | 6.625%, 02/15/21* | 2,280,345 |
| 681,000 | 7.750%, 10/15/17 | 732,075 |
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SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)
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| PRINCIPAL — AMOUNT | VALUE | |
|---|---|---|
| 3,591,000 | GeoEye, Inc.µ 8.625%, 10/01/16 | $ 3,860,325 |
| 1,290,000 | Great Lakes Dredge & Dock Corp.µ* 7.375%, 02/01/19 | 1,290,000 |
| 1,452,000 | H&E Equipment Services, Inc.µ 8.375%, 07/15/16 | 1,506,450 |
| Huntington Ingalls Industries, Inc.* | ||
| 227,000 | 6.875%, 03/15/18 | 234,945 |
| 217,000 | 7.125%, 03/15/21 | 225,138 |
| 3,915,000 | Interline Brands, Inc.µ 7.000%, 11/15/18 | 4,022,662 |
| 3,176,000 | Manitowoc Company, Inc. 8.500%, 11/01/20 | 3,469,780 |
| 2,269,000 | Mobile Mini, Inc. 7.875%, 12/01/20 | 2,376,778 |
| Oshkosh Corp. | ||
| 2,722,000 | 8.500%, 03/01/20µ | 2,973,785 |
| 1,815,000 | 8.250%, 03/01/17 | 1,969,275 |
| 4,537,000 | Sensata Technologies Holding, B.V.µ* 6.500%, 05/15/19 | 4,605,055 |
| 7,033,000 | Spirit AeroSystems Holdings, Inc.µ 7.500%, 10/01/17 | 7,525,310 |
| 2,214,000 | SPX Corp.µ 7.625%, 12/15/14 | 2,468,610 |
| 6,806,000 | Terex Corp. 8.000%, 11/15/17 | 6,967,642 |
| Triumph Group, Inc. | ||
| 2,269,000 | 8.625%, 07/15/18µ | 2,501,573 |
| 1,860,000 | 8.000%, | |
| 11/15/17 ~ | 1,999,500 | |
| 4,465,000 | Tutor Perini Corp. 7.625%, 11/01/18 | 4,319,887 |
| 3,154,000 | WESCO Distribution, Inc.µ 7.500%, 10/15/17 | 3,248,620 |
| 96,620,759 | ||
| Information Technology (8.8%) | ||
| Advanced Micro Devices, Inc.µ | ||
| 5,445,000 | 7.750%, 08/01/20 | 5,758,087 |
| 4,420,000 | 8.125%, 12/15/17 | 4,718,350 |
| Amkor Technology, Inc. | ||
| 4,084,000 | 7.375%, 05/01/18 | 4,216,730 |
| 3,630,000 | 6.625%, 06/01/21* | 3,593,700 |
| 1,270,000 | Anixter International, Inc.µ 5.950%, 03/01/15 | 1,300,163 |
| 4,338,000 | Audatex North America, Inc.* 6.750%, 06/15/18 | 4,478,985 |
| 5,899,000 | EH Holding Corp.* 7.625%, 06/15/21 | 6,105,465 |
| Equinix, Inc. | ||
| 4,084,000 | 7.000%, 07/15/21 | 4,257,570 |
| 2,813,000 | 8.125%, 03/01/18µ | 3,108,365 |
| 454,000 | Fidelity National Information Services, Inc. 7.875%, 07/15/20 | 486,915 |
| 522,000 | Hynix Semiconductor, Inc.* 7.875%, 06/27/17 | 556,556 |
| 7,260,000 | iGATE Corp.µ* 9.000%, 05/01/16 | 7,296,300 |
| Jabil Circuit, Inc.µ | ||
| 4,991,000 | 8.250%, 03/15/18 | 5,752,128 |
| 907,000 | 7.750%, 07/15/16 | 1,020,375 |
| 2,269,000 | Lexmark International, Inc.µ 6.650%, 06/01/18 | 2,530,570 |
| 6,490,000 | MEMC Electronic Materials, Inc.* 7.750%, 04/01/19 | 6,230,400 |
| 4,991,000 | Sanmina-SCI Corp.* 7.000%, 05/15/19 | 4,878,703 |
| Seagate Technology* | ||
| 3,176,000 | 6.875%, 05/01/20 | 3,199,820 |
| 2,722,000 | 7.000%, 11/01/21µ | 2,762,830 |
| 2,949,000 | ViaSat, Inc. 8.875%, 09/15/16 | 3,111,195 |
| 75,363,207 | ||
| Materials (5.6%) | ||
| 2,496,000 | Allegheny Ludlum Corp. 6.950%, 12/15/25 | 2,844,509 |
| 1,361,000 | Ball Corp. 7.375%, 09/01/19 | 1,503,905 |
| 1,626,000 | Boise Cascade Holdings, LLC 7.125%, 10/15/14 | 1,621,935 |
| 4,417,000 | Clearwater Paper Corp. 7.125%, 11/01/18 | 4,632,329 |
| 5,817,000 | Greif, Inc.µ 7.750%, 08/01/19 | 6,384,157 |
| 841,000 | Kraton Polymers, LLC 6.750%, 03/01/19 | 856,769 |
| 2,514,000 | Nalco Company 8.250%, 05/15/17 | 2,840,820 |
| 2,572,000 | Neenah Paper, Inc. 7.375%, 11/15/14 | 2,636,300 |
| 5,445,000 | Sealed Air Corp.µ* 6.875%, 07/15/33 | 4,939,410 |
| 3,321,000 | Silgan Holdings, Inc.µ 7.250%, 08/15/16 | 3,561,772 |
| Steel Dynamics, Inc. | ||
| 7,296,000 | 7.750%, 04/15/16µ | 7,752,000 |
| 907,000 | 7.625%, 03/15/20 | 977,293 |
| Union Carbide Corp.µ | ||
| 3,630,000 | 7.500%, 06/01/25 | 4,238,246 |
| 2,813,000 | 7.875%, 04/01/23 | 3,319,340 |
| 48,108,785 | ||
| Telecommunication Services (4.5%) | ||
| 4,274,000 | CenturyLink, Inc.µ 6.875%, 01/15/28 | 4,144,288 |
| Frontier Communications Corp. | ||
| 5,536,000 | 9.000%, 08/15/31µ | 5,750,520 |
| 2,269,000 | 8.250%, 04/15/17 | 2,501,573 |
| 8,199,000 | MetroPCS Wireless, Inc.µ 7.875%, 09/01/18 | 8,762,681 |
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| PRINCIPAL — AMOUNT | VALUE | ||
|---|---|---|---|
| 5,445,000 | Qwest Communications International, Inc.µ 7.750%, | ||
| 02/15/31 | $ 5,608,350 | ||
| Windstream Corp. | |||
| 7,986,000 | 7.750%, 10/15/20µ | 8,505,090 | |
| 2,722,000 | 7.500%, 04/01/23 | 2,779,843 | |
| 38,052,345 | |||
| Utilities (1.4%) | |||
| Calpine Corp.* | |||
| 3,403,000 | 7.875%, 07/31/20 | 3,607,180 | |
| 2,949,000 | 7.500%, 02/15/21µ | 3,066,960 | |
| NRG Energy, Inc.* | |||
| 4,537,000 | 7.875%, 05/15/21 | 4,582,370 | |
| 907,000 | 7.625%, 05/15/19 | 909,267 | |
| 12,165,777 | |||
| TOTAL CORPORATE BONDS (Cost $597,073,930) | 622,007,106 | ||
| CONVERTIBLE BONDS | |||
| (22.1%) | |||
| Consumer Discretionary (3.5%) | |||
| Interpublic Group of Companies, Inc.µ | |||
| 4,490,000 | 4.750%, 03/15/23 | 5,107,375 | |
| 2,500,000 | 4.250%, 03/15/23 | 2,618,750 | |
| 10,000,000 | Liberty Media Corp. (Time Warner, Inc.)µ§ 3.125%, 03/30/23 | 11,737,500 | |
| 12,120,000 | Liberty Media Corp. (Viacom, CBS Corp. - Class B)µ§ 3.250%, 03/15/31 | 10,483,800 | |
| 29,947,425 | |||
| Energy (1.6%) | |||
| Chesapeake Energy Corp.µ | |||
| 8,500,000 | 2.250%, 12/15/38 | 7,958,125 | |
| 5,000,000 | 2.750%, 11/15/35 | 5,843,750 | |
| 13,801,875 | |||
| Financials (0.8%) | |||
| 3,000,000 | Affiliated Managers Group, Inc.µ 3.950%, 08/15/38 | 3,371,250 | |
| 2,850,000 | Health Care REIT, Inc.µ 3.000%, 12/01/29 | 3,213,375 | |
| 6,584,625 | |||
| Health Care (3.3%) | |||
| 2,000,000 | Kinetic Concepts, Inc.* 3.250%, 04/15/15 | 2,865,000 | |
| 9,250,000 | LifePoint Hospitals, Inc.µ 3.500%, 05/15/14 | 9,747,188 | |
| 3,000,000 | Salix Pharmaceuticals, Ltd.µ 2.750%, 05/15/15 | 3,408,750 | |
| 10,000,000 | Shire, PLC 2.750%, 05/09/14 | 12,173,509 | |
| 28,194,447 | |||
| Industrials (1.5%) | |||
| 2,150,000 | Alliant Techsystems, Inc. 3.000%, 08/15/24 | 2,340,813 | |
| 10,500,000 | Trinity Industries, Inc.µ 3.875%, 06/01/36 | 10,447,500 | |
| 12,788,313 | |||
| Information Technology (8.2%) | |||
| 1,450,000 | GBP | Autonomy Corp., PLC 3.250%, 03/04/15 | 2,668,132 |
| 5,500,000 | Euronet Worldwide, Inc.µ 3.500%, 10/15/25 | 5,527,500 | |
| Intel Corp.µ | |||
| 23,250,000 | 2.950%, 12/15/35 | 24,005,625 | |
| 3,500,000 | 3.250%, 08/01/39 | 4,165,000 | |
| 18,800,000 | Linear Technology Corp.µ 3.000%, 05/01/27 | 19,599,000 | |
| 4,000,000 | ON Semiconductor Corp.µ 2.625%, 12/15/26 | 4,455,000 | |
| 1,621,000 | Rovi Corp.µ 2.625%, 02/15/40 | 2,099,195 | |
| 6,250,000 | Xilinx, Inc. 2.625%, 06/15/17 | 7,734,375 | |
| 70,253,827 | |||
| Materials (3.2%) | |||
| 4,300,000 | Anglo American, PLC 4.000%, 05/07/14 | 7,614,552 | |
| 6,100,000 | AngloGold Ashanti, Ltd.µ 3.500%, 05/22/14 | 7,071,425 | |
| 8,010,000 | Newmont Mining Corp.µ 3.000%, 02/15/12 | 9,962,437 | |
| 2,620,000 | Steel Dynamics, Inc.µ 5.125%, 06/15/14 | 3,101,425 | |
| 27,749,839 | |||
| TOTAL CONVERTIBLE BONDS (Cost $179,758,286) | 189,320,351 | ||
| U.S. GOVERNMENT AND AGENCY | |||
| SECURITIES (0.6%) | |||
| United States Treasury | |||
| Note ~ | |||
| 3,630,000 | 1.000%, 03/31/12 | 3,648,571 | |
| 1,633,000 | 0.875%, 01/31/12 | 1,638,614 | |
| TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $5,286,454) | 5,287,185 | ||
| SOVEREIGN BONDS (1.4%) | |||
| Federal Republic of Brazil | |||
| 1,298,000 | BRL | 10.000%, 01/01/12 | 8,347,466 |
| 544,000 | BRL | 10.000%, 01/01/13 | 3,415,967 |
| TOTAL SOVEREIGN BONDS (Cost $10,747,180) | 11,763,433 |
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| PRINCIPAL — AMOUNT | VALUE | ||
|---|---|---|---|
| SYNTHETIC CONVERTIBLE SECURITIES | |||
| (8.9%) | |||
| Corporate Bonds | |||
| (7.4%) | |||
| Consumer Discretionary (1.4%) | |||
| 361,000 | American Axle & Manufacturing, Inc. 7.875%, 03/01/17 | $ 370,476 | |
| 324,000 | Asbury Automotive Group, Inc.µ 7.625%, 03/15/17 | 324,810 | |
| 312,000 | Cedar Fair, LP 9.125%, 08/01/18 | 338,910 | |
| 565,000 | Cooper Tire & Rubber Companyµ 8.000%, 12/15/19 | 591,837 | |
| 170,000 | Dana Holding Corp. 6.750%, 02/15/21 | 173,613 | |
| DISH Network Corp.µ | |||
| 583,000 | 7.875%, 09/01/19 | 643,486 | |
| 488,000 | 7.125%, 02/01/16 | 523,380 | |
| 555,000 | Exide Technologiesµ* 8.625%, 02/01/18 | 568,875 | |
| 370,000 | Express, LLC 8.750%, 03/01/18 | 401,450 | |
| 109,000 | GameStop Corp. 8.000%, 10/01/12 | 110,908 | |
| Goodyear Tire & Rubber Companyµ | |||
| 586,000 | 8.250%, 08/15/20 | 646,065 | |
| 80,000 | 7.000%, 03/15/28 | 78,800 | |
| 532,000 | Hanesbrands, Inc.µ 3.770%, 12/15/14 | 533,330 | |
| 370,000 | Hasbro, Inc.µ 6.600%, 07/15/28 | 403,250 | |
| 105,000 | Interpublic Group of Companies, Inc.µ 10.000%, 07/15/17 | 124,688 | |
| J.C. Penney Company, Inc. | |||
| 288,000 | 6.375%, 10/15/36 | 258,480 | |
| 265,000 | 7.125%, 11/15/23 | 276,262 | |
| Jaguar Land Rover, PLC* | |||
| 278,000 | 8.125%, 05/15/21µ | 282,865 | |
| 217,000 | 7.750%, 05/15/18 | 221,340 | |
| 542,000 | Jarden Corp.µ 7.500%, 05/01/17 | 569,777 | |
| 278,000 | Liberty Media Corp.µ 8.250%, 02/01/30 | 274,525 | |
| Limited Brands, Inc. | |||
| 278,000 | 7.600%, 07/15/37 | 278,695 | |
| 143,000 | 6.625%, 04/01/21 | 148,720 | |
| 73,000 | 6.950%, 03/01/33 | 67,890 | |
| 278,000 | Live Nation Entertainment, Inc.* 8.125%, 05/15/18 | 284,255 | |
| 416,000 | Macys Retail Holdings, Inc.µ 5.900%, 12/01/16 | 474,687 | |
| 395,000 | NetFlix, Inc.µ 8.500%, 11/15/17 | 448,325 | |
| 377,000 | Perry Ellis International, Inc. 7.875%, 04/01/19 | 393,965 | |
| Royal Caribbean Cruises, Ltd. | |||
| 463,000 | 7.500%, 10/15/27 | 469,945 | |
| 185,000 | 7.250%, 06/15/16µ | 200,263 | |
| 93,000 | 7.000%, 06/15/13µ | 99,859 | |
| Service Corp. International | |||
| 648,000 | 7.500%, 04/01/27µ | 631,800 | |
| 93,000 | 7.625%, 10/01/18µ | 104,160 | |
| 93,000 | 7.000%, 05/15/19 | 99,743 | |
| 139,000 | Speedway Motorsports, Inc. 8.750%, 06/01/16 | 152,205 | |
| 318,000 | Vail Resorts, Inc.* 6.500%, 05/01/19 | 327,142 | |
| 401,000 | Wynn Las Vegas, LLCµ 7.750%, 08/15/20 | 445,110 | |
| 12,343,891 | |||
| Consumer Staples (0.2%) | |||
| Constellation Brands, Inc. | |||
| 185,000 | 7.250%, 09/01/16µ | 204,888 | |
| 69,000 | 8.375%, 12/15/14 | 79,523 | |
| 289,000 | Darling International, Inc. 8.500%, 12/15/18 | 319,706 | |
| 231,000 | Dean Foods Company* 9.750%, 12/15/18 | 248,325 | |
| 11,000 | Elizabeth Arden, Inc. 7.375%, 03/15/21 | 11,495 | |
| 327,000 | JBS USA, LLC* 7.250%, 06/01/21 | 324,547 | |
| 318,000 | Reynolds American, Inc.µ 7.250%, 06/15/37 | 354,438 | |
| 1,542,922 | |||
| Energy (1.5%) | |||
| 1,388,000 | NOK | Aker Solutions, ASA 8.700%, 06/26/14 | 277,801 |
| Arch Coal, Inc.µ | |||
| 528,000 | 7.250%, 10/01/20 | 555,060 | |
| 69,000 | 8.750%, 08/01/16 | 76,935 | |
| 305,000 | Arch Western Finance, LLC 6.750%, 07/01/13 | 308,431 | |
| 441,000 | Basic Energy Services, Inc.µ* 7.750%, 02/15/19 | 453,128 | |
| Berry Petroleum Company | |||
| 488,000 | 8.250%, 11/01/16µ | 512,400 | |
| 185,000 | 10.250%, 06/01/14 | 212,288 | |
| 370,000 | Brigham Exploration Company 8.750%, 10/01/18 | 418,100 | |
| 759,000 | Bristow Group, Inc.µ 7.500%, 09/15/17 | 798,847 | |
| 694,000 | Calfrac Holdings, LPµ* 7.500%, 12/01/20 | 716,555 | |
| 740,000 | Carrizo Oil & Gas, Inc. 8.625%, 10/15/18 | 791,800 | |
| 555,000 | Clayton Williams Energy, Inc.µ* 7.750%, 04/01/19 | 542,512 |
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SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)
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| PRINCIPAL — AMOUNT | VALUE | |
|---|---|---|
| 370,000 | Complete Production Services, Inc.µ 8.000%, 12/15/16 | $ 390,350 |
| 583,000 | Comstock Resources, Inc.µ 8.375%, 10/15/17 | 620,895 |
| 448,000 | Concho Resources, Inc.µ 8.625%, 10/01/17 | 495,040 |
| Frontier Oil Corp. | ||
| 562,000 | 8.500%, 09/15/16 | 605,555 |
| 75,000 | 6.875%, 11/15/18 | 80,438 |
| 287,000 | GulfMark Offshore, Inc.µ 7.750%, 07/15/14 | 290,946 |
| 518,000 | Helix Energy Solutions Group, Inc.µ* 9.500%, 01/15/16 | 546,490 |
| 188,000 | HollyFrontier Corp.µ 9.875%, 06/15/17 | 211,970 |
| 271,000 | Hornbeck Offshore Services, Inc.µ 8.000%, 09/01/17 | 278,453 |
| 93,000 | Linn Energy, LLC* 6.500%, 05/15/19 | 93,116 |
| 370,000 | Pride International, Inc.µ 8.500%, 06/15/19 | 478,555 |
| 370,000 | SEACOR Holdings, Inc. 7.375%, 10/01/19 | 409,245 |
| 601,000 | SESI, LLCµ 6.875%, 06/01/14 | 612,269 |
| 353,000 | SM Energy Company* 6.625%, 02/15/19 | 365,355 |
| Swift Energy Companyµ | ||
| 500,000 | 8.875%, 01/15/20 | 547,500 |
| 231,000 | 7.125%, 06/01/17 | 239,085 |
| 416,000 | Trinidad Drilling, Ltd.µ* 7.875%, 01/15/19 | 438,880 |
| 46,000 | Unit Corp. 6.625%, 05/15/21 | 46,690 |
| 509,000 | W & T Offshore, Inc.* 8.500%, 06/15/19 | 529,996 |
| 220,000 | Whiting Petroleum Corp.µ 6.500%, 10/01/18 | 227,700 |
| 13,172,385 | ||
| Financials (0.3%) | ||
| 222,000 | AON Corp. 8.205%, 01/01/27 | 256,410 |
| 194,000 | Janus Capital Group, Inc.µ 6.700%, 06/15/17 | 215,174 |
| Leucadia National Corp.µ | ||
| 717,000 | 8.125%, 09/15/15 | 792,285 |
| 114,000 | 7.125%, 03/15/17 | 119,273 |
| 416,000 | Nuveen Investments, Inc. 10.500%, 11/15/15 | 435,760 |
| OMEGA Healthcare Investors, Inc. | ||
| 291,000 | 7.500%, 02/15/20µ | 312,461 |
| 185,000 | 6.750%, 10/15/22 | 189,163 |
| 2,320,526 | ||
| Health Care (0.8%) | ||
| 185,000 | Bio-Rad Laboratories, Inc. 8.000%, 09/15/16 | 207,894 |
| 185,000 | Community Health Systems, Inc. 8.875%, 07/15/15 | 191,706 |
| 688,000 | DaVita, Inc.µ 6.625%, 11/01/20 | 705,200 |
| Endo Pharmaceuticals Holdings, Inc.* | ||
| 694,000 | 7.000%, 12/15/20µ | 726,965 |
| 93,000 | 7.000%, 07/15/19 | 97,882 |
| 694,000 | Giant Funding Corp.µ* 8.250%, 02/01/18 | 733,905 |
| 278,000 | HCA, Inc.* 7.750%, 05/15/21 | 284,255 |
| HealthSouth Corp.µ | ||
| 254,000 | 7.750%, 09/15/22 | 271,780 |
| 204,000 | 7.250%, 10/01/18 | 214,710 |
| Mylan, Inc.* | ||
| 400,000 | 7.625%, 07/15/17 | 441,000 |
| 301,000 | 7.875%, 07/15/20 | 335,615 |
| 451,000 | Teleflex, Inc. 6.875%, 06/01/19 | 466,785 |
| Valeant Pharmaceuticals International, Inc.* | ||
| 574,000 | 7.000%, 10/01/20µ | 556,780 |
| 324,000 | 7.250%, 07/15/22 | 313,470 |
| 97,000 | 6.750%, 10/01/17µ | 95,303 |
| 820,000 | Warner Chilcott Company, LLCµ* 7.750%, 09/15/18 | 832,300 |
| 6,475,550 | ||
| Industrials (1.1%) | ||
| 454,000 | Abengoa, SA* 8.875%, 11/01/17 | 458,540 |
| BE Aerospace, Inc. | ||
| 416,000 | 8.500%, 07/01/18µ | 460,200 |
| 31,000 | 6.875%, 10/01/20 | 33,480 |
| Belden, Inc. | ||
| 393,000 | 7.000%, 03/15/17µ | 404,790 |
| 93,000 | 9.250%, 06/15/19 | 103,579 |
| 361,000 | Boart Longyear Management Pty., Ltd.* 7.000%, 04/01/21 | 372,732 |
| 236,000 | Clean Harbors, Inc.* 7.625%, 08/15/16 | 251,931 |
| Deluxe Corp.µ | ||
| 509,000 | 7.000%, 03/15/19* | 509,000 |
| 430,000 | 7.375%, 06/01/15 | 445,050 |
| 383,000 | Dycom Investments, Inc. 7.125%, 01/15/21 | 392,575 |
| 218,000 | Esterline Technologies Corp.µ 7.000%, 08/01/20 | 232,170 |
| 208,000 | FTI Consulting, Inc. 6.750%, 10/01/20 | 213,200 |
| GEO Group, Inc. | ||
| 231,000 | 6.625%, 02/15/21* | 232,155 |
| 69,000 | 7.750%, 10/15/17 | 74,175 |
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SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)
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| PRINCIPAL — AMOUNT | VALUE | |
|---|---|---|
| 366,000 | GeoEye, Inc.µ 8.625%, 10/01/16 | $ 393,450 |
| 131,000 | Great Lakes Dredge & Dock Corp.µ* 7.375%, 02/01/19 | 131,000 |
| 148,000 | H&E Equipment Services, Inc.µ 8.375%, 07/15/16 | 153,550 |
| Huntington Ingalls Industries, Inc.* | ||
| 23,000 | 6.875%, 03/15/18 | 23,805 |
| 22,000 | 7.125%, 03/15/21 | 22,825 |
| 399,000 | Interline Brands, Inc.µ 7.000%, 11/15/18 | 409,972 |
| 324,000 | Manitowoc Company, Inc. 8.500%, 11/01/20 | 353,970 |
| 231,000 | Mobile Mini, Inc. 7.875%, 12/01/20 | 241,973 |
| Oshkosh Corp. | ||
| 278,000 | 8.500%, 03/01/20µ | 303,715 |
| 185,000 | 8.250%, 03/01/17 | 200,725 |
| 463,000 | Sensata Technologies Holding, B.V.µ* 6.500%, 05/15/19 | 469,945 |
| 717,000 | Spirit AeroSystems Holdings, Inc.µ 7.500%, 10/01/17 | 767,190 |
| 226,000 | SPX Corp.µ 7.625%, 12/15/14 | 251,990 |
| 694,000 | Terex Corp. 8.000%, 11/15/17 | 710,482 |
| Triumph Group, Inc. | ||
| 231,000 | 8.625%, 07/15/18µ | 254,678 |
| 190,000 | 8.000%, | |
| 11/15/17 ~ | 204,250 | |
| 455,000 | Tutor Perini Corp. 7.625%, 11/01/18 | 440,212 |
| 321,000 | WESCO Distribution, Inc.µ 7.500%, 10/15/17 | 330,630 |
| 9,847,939 | ||
| Information Technology (0.9%) | ||
| Advanced Micro Devices, Inc.µ | ||
| 555,000 | 7.750%, 08/01/20 | 586,912 |
| 450,000 | 8.125%, 12/15/17 | 480,375 |
| Amkor Technology, Inc. | ||
| 416,000 | 7.375%, 05/01/18 | 429,520 |
| 370,000 | 6.625%, 06/01/21* | 366,300 |
| 130,000 | Anixter International, Inc.µ 5.950%, 03/01/15 | 133,088 |
| 442,000 | Audatex North America, Inc.* 6.750%, 06/15/18 | 456,365 |
| 601,000 | EH Holding Corp.* 7.625%, 06/15/21 | 622,035 |
| Equinix, Inc. | ||
| 416,000 | 7.000%, 07/15/21 | 433,680 |
| 287,000 | 8.125%, 03/01/18µ | 317,135 |
| 46,000 | Fidelity National Information Services, Inc. 7.875%, 07/15/20 | 49,335 |
| 53,000 | Hynix Semiconductor, Inc.* 7.875%, 06/27/17 | 56,509 |
| 740,000 | iGATE Corp.µ* 9.000%, 05/01/16 | 743,700 |
| Jabil Circuit, Inc.µ | ||
| 509,000 | 8.250%, 03/15/18 | 586,622 |
| 93,000 | 7.750%, 07/15/16 | 104,625 |
| 231,000 | Lexmark International, Inc.µ 6.650%, 06/01/18 | 257,630 |
| 662,000 | MEMC Electronic Materials, Inc.* 7.750%, 04/01/19 | 635,520 |
| 509,000 | Sanmina-SCI Corp.* 7.000%, 05/15/19 | 497,547 |
| Seagate Technology* | ||
| 324,000 | 6.875%, 05/01/20 | 326,430 |
| 278,000 | 7.000%, 11/01/21µ | 282,170 |
| 301,000 | ViaSat, Inc. 8.875%, 09/15/16 | 317,555 |
| 7,683,053 | ||
| Materials (0.6%) | ||
| 254,000 | Allegheny Ludlum Corp. 6.950%, 12/15/25 | 289,465 |
| 139,000 | Ball Corp. 7.375%, 09/01/19 | 153,595 |
| 166,000 | Boise Cascade Holdings, LLC 7.125%, 10/15/14 | 165,585 |
| 450,000 | Clearwater Paper Corp. 7.125%, 11/01/18 | 471,937 |
| 593,000 | Greif, Inc.µ 7.750%, 08/01/19 | 650,817 |
| 86,000 | Kraton Polymers, LLC 6.750%, 03/01/19 | 87,613 |
| 256,000 | Nalco Holding Company 8.250%, 05/15/17 | 289,280 |
| 262,000 | Neenah Paper, Inc. 7.375%, 11/15/14 | 268,550 |
| 555,000 | Sealed Air Corp.µ* 6.875%, 07/15/33 | 503,466 |
| 339,000 | Silgan Holdings, Inc.µ 7.250%, 08/15/16 | 363,577 |
| Steel Dynamics, Inc. | ||
| 744,000 | 7.750%, 04/15/16µ | 790,500 |
| 93,000 | 7.625%, 03/15/20 | 100,208 |
| Union Carbide Corp.µ | ||
| 370,000 | 7.500%, 06/01/25 | 431,998 |
| 287,000 | 7.875%, 04/01/23 | 338,660 |
| 4,905,251 | ||
| Telecommunication Services (0.5%) | ||
| 436,000 | CenturyLink, Inc.µ 6.875%, 01/15/28 | 422,768 |
| Frontier Communications Corp. | ||
| 564,000 | 9.000%, 08/15/31µ | 585,855 |
| 231,000 | 8.250%, 04/15/17 | 254,678 |
| 836,000 | MetroPCS Wireless, Inc.µ 7.875%, 09/01/18 | 893,475 |
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SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)
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| PRINCIPAL — AMOUNT | VALUE | ||
|---|---|---|---|
| 555,000 | Qwest Communications International, Inc.µ 7.750%, 02/15/31 | $ 571,650 | |
| Windstream Corp. | |||
| 814,000 | 7.750%, 10/15/20µ | 866,910 | |
| 278,000 | 7.500%, 04/01/23 | 283,907 | |
| 3,879,243 | |||
| Utilities (0.1%) | |||
| Calpine Corp.* | |||
| 347,000 | 7.875%, 07/31/20 | 367,820 | |
| 301,000 | 7.500%, 02/15/21µ | 313,040 | |
| NRG Energy, Inc.* | |||
| 463,000 | 7.875%, 05/15/21 | 467,630 | |
| 93,000 | 7.625%, 05/15/19 | 93,233 | |
| 1,241,723 | |||
| TOTAL CORPORATE BONDS | 63,412,483 | ||
| U.S. Government and Agency | |||
| Securities (0.1%) | |||
| United States Treasury | |||
| Note ~ | |||
| 370,000 | 1.000%, 03/31/12 | 371,893 | |
| 167,000 | 0.875%, 01/31/12 | 167,574 | |
| TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES | 539,467 | ||
| Sovereign Bonds | |||
| (0.1%) | |||
| Federal Republic of Brazil | |||
| 132,000 | BRL | 10.000%, 01/01/12 | 848,895 |
| 56,000 | BRL | 10.000%, 01/01/13 | 351,643 |
| TOTAL SOVEREIGN BONDS | 1,200,538 | ||
| NUMBER OF | |||
| CONTRACTS | VALUE | ||
| Purchased Options | |||
| (1.3%)# | |||
| Consumer Discretionary (0.3%) | |||
| 260 | Amazon.com, Inc. Call, 01/19/13, Strike $180.00 | 1,656,200 | |
| 115 | Priceline.com, Inc. Call, 01/19/13, Strike $520.00 | 1,269,025 | |
| 2,925,225 | |||
| Health Care (0.1%) | |||
| 1,400 | Agilent Technologies, Inc. Call, 01/19/13, Strike $50.00 | 665,000 | |
| Information Technology (0.9%) | |||
| 275 | Apple, Inc. Call, 01/19/13, Strike $395.00 | 1,658,250 | |
| 1,500 | Check Point Software Technologies, Ltd. Call, 01/19/13, Strike $55.00 | 1,410,000 | |
| 3,000 | Dell, Inc. Call, 01/19/13, Strike $15.00 | 1,020,000 | |
| 2,650 | EMC Corp. Call, 01/19/13, Strike $25.00 | 1,119,625 | |
| 2,400 | Oracle Corp. Call, 01/19/13, Strike $30.00 | 1,206,000 | |
| 1,900 | QUALCOMM, Inc. Call, 01/19/13, Strike $55.00 | 1,491,500 | |
| 7,905,375 | |||
| TOTAL PURCHASED OPTIONS | 11,495,600 | ||
| TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $73,950,685) | 76,648,088 | ||
| NUMBER OF | |||
| SHARES | VALUE | ||
| CONVERTIBLE PREFERRED STOCKS | |||
| (12.1%) | |||
| Consumer Staples (1.9%) | |||
| 76,000 | Bunge, Ltd. 4.875% | 7,647,500 | |
| 680,000 | Dole Food Automatic Exchµ* 7.000% | 8,840,000 | |
| 16,487,500 | |||
| Energy (1.4%) | |||
| 180,000 | Apache Corp.µ 6.000% | 11,725,200 | |
| Financials (5.2%) | |||
| 350,000 | Affiliated Managers Group, Inc. 5.150% | 15,006,250 | |
| 15,361 | Bank of America Corp.µ 7.250% | 14,972,828 | |
| 64,000 | MetLife, Inc.µ 5.000% | 4,988,160 | |
| 9,100 | Wells Fargo & Companyµ 7.500% | 9,661,470 | |
| 44,628,708 | |||
| Industrials (0.5%) | |||
| 38,966 | Stanley Black & Decker, Inc. 4.750% | 4,461,607 | |
| Materials (2.0%) | |||
| 177,800 | Vale, SAµ 6.750% | 16,538,466 | |
| Utilities (1.1%) | |||
| 190,000 | NextEra Energy, Inc. 7.000% | 9,690,000 | |
| TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $95,071,009) | 103,531,481 | ||
| NUMBER OF | |||
| UNITS | VALUE | ||
| STRUCTURED EQUITY-LINKED | |||
| SECURITIES (3.1%)+* | |||
| Energy (1.3%) | |||
| 76,800 | Credit Suisse Group (Baker Hughes, Inc.) 8.000%, 01/31/12 | 5,499,648 |
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SCHEDULE OF INVESTMENTS JULY 31, 2011 (UNAUDITED)
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| NUMBER OF — UNITS | VALUE | ||
|---|---|---|---|
| 173,000 | Deutsche Bank, AG (Chesapeake Energy Corp.) 8.000%, 01/24/12 | $ 5,705,540 | |
| 11,205,188 | |||
| Health Care (0.6%) | |||
| 57,000 | Deutsche Bank, AG (Biogen) 8.000%, 12/13/11 | 5,478,270 | |
| Information Technology (1.2%) | |||
| 197,000 | Barclays Capital, Inc. (EMC Corp.) 8.000%, 12/23/11 | 5,240,200 | |
| 127,900 | Credit Suisse Group (Autodesk, Inc.) 8.000%, 01/31/12 | 4,875,548 | |
| 10,115,748 | |||
| TOTAL STRUCTURED EQUITY-LINKED SECURITIES (Cost $27,451,844) | 26,799,206 | ||
| NUMBER OF | |||
| SHARES | VALUE | ||
| COMMON STOCKS (1.5%) | |||
| Financials (0.1%) | |||
| 13,850 | American International Group, Inc.# | 397,495 | |
| Health Care (1.4%) | |||
| 354,765 | Merck & Company, Inc.µ | 12,108,129 | |
| TOTAL COMMON STOCKS (Cost $14,444,400) | 12,505,624 | ||
| SHORT TERM INVESTMENT | |||
| (5.1%) | |||
| 43,408,753 | Fidelity Prime Money Market Fund - Institutional Class (Cost $43,408,753) | 43,408,753 | |
| TOTAL INVESTMENTS (127.5%) (Cost $1,047,192,541) | 1,091,271,227 | ||
| LIABILITIES, LESS OTHER ASSETS (-27.5%) | (235,267,435 | ) | |
| NET ASSETS APPLICABLE TO COMMON | |||
| SHAREHOLDERS (100.0%) | $ 856,003,792 |
NOTES TO SCHEDULE OF INVESTMENTS
| µ | Security, or portion of security,
is held in a segregated account as collateral for note payable
aggregating a total value of $633,428,548. $211,981,693 of the
collateral has been re-registered by the counterparty. |
| --- | --- |
| * | Securities issued and sold pursuant
to a Rule 144A transaction are excepted from the
registration requirement of the Securities Act of 1933, as
amended. These securities may only be sold to qualified
institutional buyers (QIBs), such as the fund. Any
resale of these securities must generally be effected through a
sale that is registered under the Act or otherwise exempted from
such registration requirements. At July 31, 2011, the value
of 144A securities that could not be exchanged to the registered
form is $122,632,958 or 14.3% of net assets applicable to common
shareholders. |
| | Variable rate or step bond
security. The rate shown is the rate in effect at July 31,
2011. |
| ~ | Security, or portion of security,
is segregated as collateral (or potential collateral for future
transactions) for written options and swaps. The aggregate value
of such securities is $5,857,271. |
| § | Securities exchangeable or
convertible into securities of one or more entities that are
different than the issuer. Each entity is identified in the
parenthetical. |
| # | Non-income producing security. |
| + | Structured equity-linked securities
are designed to simulate the characteristics of the equity
security in the parenthetical. |
FOREIGN CURRENCY ABBREVIATIONS
| BRL | Brazilian Real |
|---|---|
| GBP | British Pound Sterling |
| NOK | Norwegian Krone |
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
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Calamos Convertible Opportunities and Income Fund
INTEREST RATE SWAPS
| Fixed Rate | Floating Rate | Termination | Notional | Unrealized — Appreciation/ | ||
|---|---|---|---|---|---|---|
| Counterparty | (Fund | |||||
| Pays) | (Fund | |||||
| Receives) | Date | Amount | (Depreciation) | |||
| BNP Paribas, SA | 2.4300% quarterly | 3 month Libor | 04/14/14 | $ 80,000,000 | $ (3,765,902 | ) |
| BNP Paribas, SA | 1.8650% quarterly | 3 month Libor | 04/14/12 | 55,000,000 | (630,923 | ) |
| BNP Paribas, SA | 1.8525% quarterly | 3 month Libor | 09/14/12 | 38,700,000 | (700,796 | ) |
| $ (5,097,621 | ) |
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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 Funds 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 convertibles and non-convertible income securities. Managed assets means the Funds total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).
Fund Valuation. The valuation of the Funds investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the last current reported sales price at the time a Fund determines its net asset value (NAV). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV.
When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter 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 over-the-counter option that is not traded through the Options Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (NYSE) is open. Each security trading on these exchanges or over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign 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 Funds NAV is not calculated.
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 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 guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Funds pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for
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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 a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
Investment Transactions. Investment transactions are recorded on a trade date basis as of July 31, 2011.
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 a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
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 value should the counterparty not perform under the contract. 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.
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 a Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. There were no open forward foreign currency contracts at July 31, 2011.
NOTE 2 INVESTMENTS
The following information is presented on a federal income tax basis as of July 31, 2011. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.
The cost basis of investments for federal income tax purposes at July 31, 2011 was as follows:
| Cost basis of investments | $ | |
|---|---|---|
| Gross unrealized appreciation | 51,654,557 | |
| Gross unrealized depreciation | (33,459,213 | ) |
| Net unrealized appreciation (depreciation) | $ 18,195,344 |
NOTE 3 BORROWINGS
The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the Agreement) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) (BNP) that allows the Fund to borrow up to $300,000,000, and a Lending Agreement, as defined below. Borrowings under the Agreement are secured by assets of the Fund that are held with the Funds custodian in a separate account (the pledged collateral). Interest is charged at the quarterly LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. For the period ended July 31, 2011, the average borrowings and the average interest rate were $219,901,099 and 1.08%, respectively. As of July 31, 2011, the amount of such outstanding borrowings was $245,000,000. The interest rate applicable to the borrowings on July 31, 2011 was 0.90%.
The Lending Agreement is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the Lent Securities) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the Agreement. BNP may re-register the Lent
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Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Funds understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.
Under the terms of the Lending Agreement, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the Current Borrowings), BNP must, on that day, either (1) return Lent Securities to the Funds custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Funds custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Funds custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Funds custodian for the ultimate delivery of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.
NOTE 4 INTEREST RATE SWAPS
The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Funds borrowings (see Note 3 Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Funds portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.
NOTE 5 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 purchased 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 purchased 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 also purchase synthetic securities 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 security.
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NOTE 6 STRUCTURED EQUITY-LINKED SECURITIES
The Fund may also invest in structured equity-linked securities created by third parties, typically investment banks. Structured equity-linked securities created by such parties may be designed to simulate the characteristics of traditional convertible securities or may be designed to alter or emphasize a particular feature. Traditional convertible securities typically offer stable cash flows with the ability to participate in capital appreciation of the underlying common stock. Because traditional convertible securities are exercisable at the option of the holder, the holder is protected against downside risk. Structured equity-linked securities may alter these characteristics by offering enhanced yields in exchange for reduced capital appreciation or less downside protection, or any combination of these features. Structured equity-linked instruments may include structured notes, equity-linked notes, mandatory convertibles and combinations of securities and instruments, such as a debt instrument combined with a forward foreign currency contract.
NOTE 7 FAIR VALUE MEASUREMENTS
Various inputs are used to determine the value of the Funds investments. These inputs are categorized into three broad levels as follows:
| | Level 1 Prices are determined using inputs
from unadjusted quoted prices from active markets (including
securities actively traded on a securities exchange) for
identical assets. |
| --- | --- |
| | Level 2 Prices are determined using
significant observable market inputs other than unadjusted
quoted prices, including quoted prices of similar securities,
fair value adjustments to quoted foreign securities, interest
rates, credit risk, prepayment speeds, and other relevant data. |
| | Level 3 Prices reflect unobservable market
inputs (including the Funds own judgments about
assumptions market participants would use in determining fair
value) when observable inputs are unavailable. |
Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Funds investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period and no significant transfers between levels occurred during the period.
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The following is a summary of the inputs used in valuing the Funds holdings at fair value:
| Convertible Opportunities and Income Fund — Level 1 | Level 2 | Level 3 | Total | |
|---|---|---|---|---|
| Assets: | ||||
| Corporate Bonds | $ | $ 622,007,106 | $ | $ 622,007,106 |
| Convertible Bonds | 189,320,351 | $ 189,320,351 | ||
| U.S. Government and Agency Securities | 5,287,185 | $ 5,287,185 | ||
| Sovereign Bonds | 11,763,433 | $ 11,763,433 | ||
| Synthetic Convertible Securities (Corporate Bonds) | 63,412,483 | $ 63,412,483 | ||
| Synthetic Convertible Securities (U.S. Government and Agency | ||||
| Securities) | 539,467 | $ 539,467 | ||
| Synthetic Convertible Securities (Sovereign Bonds) | 1,200,538 | $ 1,200,538 | ||
| Synthetic Convertible Securities (Purchased Options) | 11,495,600 | $ 11,495,600 | ||
| Convertible Preferred Stocks | 72,037,731 | 31,493,750 | 103,531,481 | |
| Structured Equity-Linked Securities | 26,799,206 | $ 26,799,206 | ||
| Common Stocks | 12,505,624 | $ 12,505,624 | ||
| Short Term Investment | 43,408,753 | $ 43,408,753 | ||
| Total | $ 139,447,708 | $ 951,823,519 | $ | $ 1,091,271,227 |
| Liabilities: | ||||
| Interest Rate Swaps | 5,097,621 | $ 5,097,621 | ||
| Total | $ | $ 5,097,621 | $ | $ 5,097,621 |
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TOC /TOC link2 "ITEM 2. CONTROLS AND PROCEDURES"
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrants principal executive officer and principal financial officer have evaluated the registrants disclosure controls and procedures within 90 days of this filing and have concluded that the registrants 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 registrants internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
link2 "ITEM 3. EXHIBITS"
ITEM 3. EXHIBITS.
| (a) | Certification of Principal Executive Officer. |
|---|---|
| (b) | Certification of Principal Financial Officer. |
Folio /Folio
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link1 "SIGNATURES"
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: Name: | /s/ John P. Calamos, Sr. John P. Calamos, Sr. |
|---|---|
| Title: | Principal Executive Officer |
| Date: | September 19, 2011 |
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: Name: | /s/ John P. Calamos, Sr. John P. Calamos, Sr. |
|---|---|
| Title: | Principal Executive Officer |
| Date: | September 19, 2011 |
| By: Name: | /s/ Nimish S. Bhatt Nimish S. Bhatt |
| Title: | Principal Financial Officer |
| Date: | September 19, 2011 |
Folio /Folio
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