Regulatory Filings • Sep 1, 2017
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Download Source FileN-Q 1 chi-nq_073117.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS N-Q
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
60563-2787 |
| --- | --- |
| NAME
AND ADDRESS OF AGENT FOR SERVICE: | John
P. Calamos, Sr., Founder, Chairman and Global Chief Investment Officer Calamos
Advisors LLC, 2020
Calamos Court, Naperville,
Illinois 60563-2787 |
REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2017
DATE OF REPORTING PERIOD: July 31, 2017
ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)
| Calamos
Convertible Opportunities and Income Fund |
| --- |
| SCHEDULE OF INVESTMENTS
JULY 31, 2017 (UNAUDITED) |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| CORPORATE BONDS (53.2%) | ||
| Consumer Discretionary (13.6%) | ||
| 594,000 | Altice US Finance | |
| I Corp.*µ 5.500%, 05/15/26 | $ 630,448 | |
| 930,000 | AV Homes, Inc.* 6.625%, 05/15/22 | 964,363 |
| 1,345,000 | Beverages & | |
| More, Inc.* 11.500%, 06/15/22 | 1,279,895 | |
| CalAtlantic Group, | ||
| Inc. | ||
| 5,498,000 | 6.625%, 05/01/20^ | 6,099,701 |
| 1,490,000 | 5.375%, 10/01/22 | 1,621,992 |
| 2,549,000 | CCO Holdings, LLC | |
| / CCO Holdings Capital Corp.* 5.125%, 05/01/27 | 2,637,654 | |
| Century Communities, | ||
| Inc. | ||
| 1,359,000 | 6.875%, 05/15/22µ | 1,430,449 |
| 890,000 | 5.875%, 07/15/25* | 893,520 |
| 6,109,000 | Cooper Tire & | |
| Rubber Company 8.000%, 12/15/19 | 6,835,849 | |
| 3,399,000 | Dana Financing | |
| Luxembourg Sarl*^ 6.500%, 06/01/26 | 3,647,790 | |
| DISH DBS Corp. | ||
| 3,894,000 | 7.875%, 09/01/19µ | 4,304,486 |
| 2,034,000 | 5.875%, 11/15/24 | 2,212,138 |
| GameStop Corp.* | ||
| 1,500,000 | 5.500%, 10/01/19 | 1,543,522 |
| 1,125,000 | 6.750%, 03/15/21^ | 1,166,923 |
| 2,333,000 | Golden Nugget, | |
| Inc.* 8.500%, 12/01/21 | 2,476,421 | |
| 2,369,000 | Hasbro, Inc.µ 6.600%, 07/15/28 | 2,745,742 |
| L Brands, Inc. | ||
| 2,999,000 | 7.600%, 07/15/37µ | 2,980,646 |
| 1,200,000 | 6.875%, 11/01/35 | 1,156,698 |
| 850,000 | 5.625%, 02/15/22 | 893,613 |
| 680,000 | 6.950%, 03/01/33 | 659,671 |
| 1,409,000 | Liberty Interactive, | |
| LLC 8.250%, 02/01/30 | 1,542,714 | |
| 330,000 | Mclaren Finance, | |
| PLC* 5.750%, 08/01/22 | 339,379 | |
| Meritage Homes | ||
| Corp. | ||
| 3,399,000 | 7.150%, 04/15/20 | 3,771,921 |
| 1,907,000 | 7.000%, 04/01/22 | 2,176,020 |
| 2,499,000 | MGM Resorts Internationalµ 6.750%, 10/01/20 | 2,780,975 |
| Netflix, Inc. | ||
| 2,824,000 | 5.375%, 02/01/21 | 3,063,475 |
| 2,345,000 | 5.500%, 02/15/22 | 2,550,187 |
| 2,299,000 | Penske Automotive | |
| Group, Inc. 5.375%, 12/01/24 | 2,317,220 | |
| PetSmart, Inc.*^ | ||
| 680,000 | 5.875%, 06/01/25 | 655,064 |
| 500,000 | 8.875%, 06/01/25 | 473,438 |
| 1,899,000 | Reliance Intermediate | |
| Holdings, LP* 6.500%, 04/01/23 | 2,033,468 | |
| Rite Aid Corp. | ||
| 2,184,000 | 6.125%, 04/01/23*^ | 2,170,132 |
| 1,585,000 | 7.700%, 02/15/27 | 1,577,590 |
| 3,864,000 | Royal Caribbean | |
| Cruises, Ltd.µ 7.500%, 10/15/27 | 5,099,186 | |
| 2,184,000 | Salem Media Group, | |
| Inc.* 6.750%, 06/01/24 | 2,270,705 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 1,352,000 | Sally Holdings, | |
| LLC / Sally Capital, Inc.^ 5.625%, 12/01/25 | $ 1,387,862 | |
| 3,499,000 | Service Corp. International 7.500%, 04/01/27 | 4,220,284 |
| SFR Group, SA* | ||
| 2,799,000 | 6.000%, 05/15/22µ^ | 2,931,309 |
| 1,600,000 | 7.375%, 05/01/26 | 1,734,224 |
| 3,449,000 | Sirius XM Radio, | |
| Inc.*^ 6.000%, 07/15/24 | 3,723,282 | |
| 2,997,000 | Taylor Morrison | |
| Communities, Inc.* 5.250%, 04/15/21 | 3,076,945 | |
| 2,345,000 | Time, Inc.*^ 5.750%, 04/15/22 | 2,434,767 |
| 4,248,000 | Toll Brothers Finance | |
| Corp.µ 5.625%, 01/15/24 | 4,620,911 | |
| ZF North America | ||
| Capital, Inc.* | ||
| 2,349,000 | 4.750%, 04/29/25 | 2,460,413 |
| 1,426,000 | 4.500%, 04/29/22µ^ | 1,500,979 |
| 107,093,971 | ||
| Consumer | ||
| Staples (2.4%) | ||
| 3,649,000 | Fidelity & | |
| Guaranty Life Holdings, Inc.* 6.375%, 04/01/21 | 3,773,796 | |
| 2,199,000 | Fresh Market, Inc.*^ 9.750%, 05/01/23 | 1,808,941 |
| 4,966,000 | JBS USA LUX SA | |
| / JBS USA Finance, Inc.*µ 7.250%, 06/01/21 | 5,064,302 | |
| 5,398,000 | Land O’Lakes, Inc.*µ^ 6.000%, 11/15/22 | 5,981,011 |
| 2,299,000 | The Nature’s Bounty | |
| Company*^ 7.625%, 05/15/21 | 2,480,587 | |
| 19,108,637 | ||
| Energy (5.6%) | ||
| 2,229,000 | Atwood Oceanics, | |
| Inc.^ 6.500%, 02/01/20 | 2,200,647 | |
| 1,200,000 | Bill Barrett Corp.^ 7.000%, 10/15/22 | 1,093,386 |
| 2,049,000 | Blue Racer Midstream, | |
| LLC / Blue Racer Finance Corp.*^ 6.125%, 11/15/22 | 2,100,727 | |
| 2,249,000 | Calfrac Holdings, | |
| LP* 7.500%, 12/01/20 | 2,066,302 | |
| 1,350,000 | Carrizo Oil & | |
| Gas, Inc.^ 6.250%, 04/15/23 | 1,343,898 | |
| 2,449,000 | DCP Midstream, | |
| LLC*‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% | 2,286,178 | |
| 5,464,000 | Drill Rigs Holdings, | |
| Inc.*@ 6.500%, 10/01/17 | 1,410,395 | |
| Energy Transfer | ||
| Equity, LP | ||
| 2,529,000 | 4.328%, 11/01/66‡ 3 mo. USD LIBOR + 3.02% | 2,235,004 |
| 1,899,000 | 5.875%, 01/15/24 | 2,053,104 |
| 875,000 | 5.500%, 06/01/27 | 920,758 |
| 1,125,000 | EP Energy, LLC | |
| / Everest Acquisition Finance, Inc.*µ^ 8.000%, 02/15/25 | 878,282 | |
| 3,549,000 | Gulfmark Offshore, | |
| Inc.@ 6.375%, 03/15/22 | 993,720 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 1; Options: NewSection; Value: 1
1
Field: /Page
| Calamos Convertible Opportunities and Income Fund |
|---|
| SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED) |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| Gulfport Energy | ||
| Corp.*^ | ||
| 1,200,000 | 6.375%, 05/15/25 | $ 1,201,608 |
| 1,155,000 | 6.000%, 10/15/24 | 1,143,259 |
| 5,498,000 | Laredo Petroleum, | |
| Inc.^ 7.375%, 05/01/22 | 5,708,051 | |
| 3,099,000 | MPLX, LPµ 4.875%, 06/01/25 | 3,329,023 |
| Oasis Petroleum, | ||
| Inc.^ | ||
| 2,114,000 | 6.500%, 11/01/21 | 2,109,878 |
| 1,250,000 | 6.875%, 01/15/23 | 1,234,550 |
| 1,374,500 | Petroleum Geo Services | |
| Company*^ 7.375%, 12/15/20 | 1,256,458 | |
| 377,000 | Rice Energy, Inc. 7.250%, 05/01/23 | 405,888 |
| 4,998,000 | SEACOR Holdings, | |
| Inc.µ^ 7.375%, 10/01/19 | 5,074,219 | |
| 1,100,000 | Southwestern Energy | |
| Company^ 6.700%, 01/23/25 | 1,086,718 | |
| W&T Offshore, | ||
| Inc.* | ||
| 1,480,463 | 9.000%, 05/15/20 10.750% PIK rate | 1,250,991 |
| 1,325,116 | 8.500%, 06/15/21 10.000% PIK rate | 937,520 |
| 44,320,564 | ||
| Financials | ||
| (4.7%) | ||
| 3,546,000 | Ally Financial, | |
| Inc.µ 8.000%, 11/01/31 | 4,414,681 | |
| 2,400,000 | AON Corp.µ 8.205%, 01/01/27 | 3,158,736 |
| 750,000 | Ardonagh Midco | |
| 3, PLC* 8.625%, 07/15/23 | 772,140 | |
| 2,199,000 | AssuredPartners, | |
| Inc.* 7.000%, 08/15/25 | 2,223,849 | |
| 2,056,000 | Brookfield Residential | |
| Properties, Inc.* 6.375%, 05/15/25 | 2,165,163 | |
| CyrusOne, LP / | ||
| CyrusOne Finance Corp.*µ | ||
| 1,100,000 | 5.375%, 03/15/27 | 1,161,847 |
| 320,000 | 5.000%, 03/15/24 | 333,306 |
| 1,984,000 | Dell International, | |
| LLC / EMC Corp.*µ 6.020%, 06/15/26 | 2,213,757 | |
| 1,999,000 | Equinix, Inc.µ 5.375%, 04/01/23 | 2,088,885 |
| 2,499,000 | GLP Capital, LP | |
| / GLP Financing II, Inc.^ 5.375%, 04/15/26 | 2,727,096 | |
| 1,050,000 | HUB International, | |
| Ltd.* 7.875%, 10/01/21 | 1,099,544 | |
| Jefferies Finance, | ||
| LLC* | ||
| 2,849,000 | 7.375%, 04/01/20 | 2,933,758 |
| 2,599,000 | 7.250%, 08/15/24 | 2,606,563 |
| 1,100,000 | Lions Gate Entertainment | |
| Corp.*^ 5.875%, 11/01/24 | 1,159,147 | |
| 2,289,000 | Nationstar Mortgage, | |
| LLC / Nationstar Capital Corp. 6.500%, 07/01/21 | 2,352,279 | |
| Navient Corp. | ||
| 970,000 | 6.750%, 06/25/25 | 1,020,542 |
| 632,000 | 6.500%, 06/15/22^ | 674,123 |
| 500,000 | Oil Insurance, | |
| Ltd.*µ‡ 4.278%, 12/29/49 3 mo. USD LIBOR + 2.98% | 455,283 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 2,699,000 | Quicken Loans, | |
| Inc.* 5.750%, 05/01/25 | $ 2,835,340 | |
| 670,000 | Towne Bank‡ 4.500%, 07/30/27 3 mo. USD LIBOR + 2.55% | 680,898 |
| 37,076,937 | ||
| Health | ||
| Care (6.0%) | ||
| 3,999,000 | Acadia Healthcare | |
| Company, Inc.^ 5.625%, 02/15/23 | 4,177,175 | |
| 3,224,000 | Alere, Inc. 6.500%, 06/15/20 | 3,281,371 |
| Community Health | ||
| Systems, Inc. | ||
| 3,754,000 | 7.125%, 07/15/20^ | 3,638,208 |
| 1,225,000 | 6.875%, 02/01/22 | 1,046,352 |
| 3,099,000 | DaVita, Inc. 5.125%, 07/15/24 | 3,192,760 |
| 678,000 | Endo International, | |
| PLC* 7.250%, 01/15/22 | 673,515 | |
| 2,799,000 | Endo, Ltd.*^ 6.000%, 07/15/23 | 2,426,873 |
| 1,370,000 | Greatbatch, Ltd.* 9.125%, 11/01/23 | 1,505,240 |
| HCA Holdings, Inc. | ||
| 7,998,000 | 5.875%, 05/01/23^ | 8,743,374 |
| 1,939,000 | 6.250%, 02/15/21 | 2,106,074 |
| 1,070,000 | Hologic, Inc.* 5.250%, 07/15/22 | 1,131,798 |
| 2,249,000 | Mallinckrodt International | |
| Finance, SA / Mallinckrodt CB, LLC*^ 5.625%, 10/15/23 | 2,150,584 | |
| 6,148,000 | Tenet Healthcare | |
| Corp. 6.750%, 02/01/20 | 6,460,595 | |
| Valeant Pharmaceuticals | ||
| International, Inc.*^ | ||
| 6,748,000 | 7.250%, 07/15/22 | 6,384,789 |
| 360,000 | 7.000%, 03/15/24 | 383,911 |
| 47,302,619 | ||
| Industrials | ||
| (5.3%) | ||
| 1,450,000 | ACCO Brands Corp.* 5.250%, 12/15/24 | 1,512,611 |
| 525,000 | Allison Transmission, | |
| Inc.*µ 5.000%, 10/01/24 | 543,015 | |
| 440,000 | American Greetings | |
| Corp.* 7.875%, 02/15/25 | 479,776 | |
| Covanta Holding | ||
| Corp. | ||
| 850,000 | 5.875%, 03/01/24 | 832,078 |
| 290,000 | 5.875%, 07/01/25 | 283,490 |
| 537,000 | DAE Funding, LLC* 5.000%, 08/01/24 | 548,650 |
| 2,204,000 | Garda World Security | |
| Corp.* 7.250%, 11/15/21 | 2,252,763 | |
| 900,000 | GrafTech International, | |
| Ltd. 6.375%, 11/15/20 | 837,293 | |
| 1,075,000 | Great Lakes Dredge | |
| & Dock Co.* 8.000%, 05/15/22 | 1,100,950 | |
| 4,554,000 | H&E Equipment | |
| Services, Inc. 7.000%, 09/01/22 | 4,733,792 | |
| 270,000 | Hertz Corp.*^ 7.625%, 06/01/22 | 267,185 |
| 545,000 | Icahn Enterprises, | |
| LP 4.875%, 03/15/19 | 552,570 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 2; Value: 1
2
Field: /Page
| Convertible Opportunities and Income Fund |
|---|
| SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED) |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 1,150,000 | James Hardie International | |
| Finance, Ltd.* 5.875%, 02/15/23 | $ 1,214,958 | |
| 535,000 | Kar Auction Services, | |
| Inc.* 5.125%, 06/01/25 | 558,385 | |
| 850,000 | Match Group, Inc. 6.375%, 06/01/24 | 930,108 |
| Meritor, Inc. | ||
| 2,052,000 | 6.250%, 02/15/24 | 2,166,348 |
| 1,605,000 | 6.750%, 06/15/21 | 1,661,488 |
| Michael Baker International, | ||
| LLC* | ||
| 2,083,000 | 8.250%, 10/15/18 | 2,079,376 |
| 1,499,877 | 8.875%, 04/15/19 9.625% PIK rate | 1,479,584 |
| 2,734,000 | Navistar International | |
| Corp.^ 8.250%, 11/01/21 | 2,769,200 | |
| 2,199,000 | Park-Ohio Industries, | |
| Inc.*^ 6.625%, 04/15/27 | 2,334,535 | |
| 1,000,000 | Titan International, | |
| Inc.^ 6.875%, 10/01/20 | 1,038,770 | |
| 2,349,000 | TransDigm, Inc. 5.500%, 10/15/20 | 2,393,185 |
| 2,299,000 | United Continental | |
| Holdings, Inc. 6.375%, 06/01/18 | 2,388,224 | |
| United Rentals | ||
| North America, Inc. | ||
| 1,919,000 | 6.125%, 06/15/23^ | 2,002,879 |
| 1,340,000 | 4.875%, 01/15/28 | 1,343,350 |
| 934,000 | 7.625%, 04/15/22^ | 977,221 |
| 1,984,000 | United States Steel | |
| Corp.* 8.375%, 07/01/21 | 2,198,203 | |
| 619,000 | WESCO Distribution, | |
| Inc. 5.375%, 06/15/24 | 651,194 | |
| 42,131,181 | ||
| Information Technology (5.4%) | ||
| 2,999,000 | Alliance Data Systems | |
| Corp.* 6.375%, 04/01/20 | 3,054,991 | |
| Amkor Technology, | ||
| Inc.^ | ||
| 3,289,000 | 6.375%, 10/01/22µ | 3,439,307 |
| 470,000 | 6.625%, 06/01/21 | 481,017 |
| Cardtronics, Inc.µ | ||
| 1,924,000 | 5.125%, 08/01/22 | 1,974,967 |
| 1,555,000 | 5.500%, 05/01/25* | 1,601,051 |
| 1,385,000 | CBS Radio, Inc.*^ 7.250%, 11/01/24 | 1,464,430 |
| 530,000 | CDK Global, Inc.*µ 4.875%, 06/01/27 | 545,420 |
| 845,000 | CDW, LLC / CDW | |
| Finance Corp.µ 5.000%, 09/01/23 | 884,855 | |
| Clear Channel Worldwide | ||
| Holdings, Inc. | ||
| 2,244,000 | 7.625%, 03/15/20^ | 2,251,618 |
| 835,000 | 7.625%, 03/15/20 | 841,300 |
| 2,799,000 | CommScope Technologies, | |
| LLC*µ 6.000%, 06/15/25 | 3,020,219 | |
| 3,399,000 | First Data Corp.* 7.000%, 12/01/23 | 3,669,747 |
| 6,498,000 | Hughes Satellite | |
| Systems Corp.µ^ 7.625%, 06/15/21 | 7,479,555 | |
| 3,999,000 | J2 Cloud Services, | |
| Inc. 8.000%, 08/01/20 | 4,078,980 | |
| Nuance Communications, | ||
| Inc. | ||
| 1,385,000 | 5.625%, 12/15/26* | 1,478,772 |
| 1,200,000 | 6.000%, 07/01/24 | 1,285,968 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 776,000 | 5.375%, 08/15/20* | $ 789,728 |
| 1,065,000 | VFH Parent, LLC* 6.750%, 06/15/22 | 1,118,250 |
| 3,399,000 | ViaSat, Inc. 6.875%, 06/15/20 | 3,474,033 |
| 42,934,208 | ||
| Materials (4.7%) | ||
| ArcelorMittal, | ||
| SA | ||
| 3,299,000 | 6.125%, 06/01/25µ^ | 3,785,784 |
| 2,429,000 | 7.500%, 10/15/39 | 2,867,860 |
| 1,450,000 | Arconic, Inc.^ 5.125%, 10/01/24 | 1,544,410 |
| 2,224,000 | Ardagh Packaging | |
| Finance, PLC / Ardagh Holdings USA, Inc.* 6.000%, 02/15/25 | 2,374,620 | |
| First Quantum Minerals, | ||
| Ltd.* | ||
| 748,000 | 7.000%, 02/15/21 | 777,015 |
| 600,000 | 7.250%, 04/01/23 | 619,728 |
| 360,000 | 7.500%, 04/01/25^ | 370,141 |
| Freeport-McMoRan, | ||
| Inc.^ | ||
| 1,899,000 | 4.550%, 11/14/24 | 1,856,728 |
| 600,000 | 3.550%, 03/01/22 | 586,020 |
| 4,409,000 | Greif, Inc. 7.750%, 08/01/19 | 4,854,045 |
| 2,499,000 | Huntsman International, | |
| LLC 5.125%, 11/15/22 | 2,661,885 | |
| 1,799,000 | INEOS Group Holdings, | |
| SA*^ 5.625%, 08/01/24 | 1,863,116 | |
| 765,000 | Kinross Gold Corp.* 4.500%, 07/15/27 | 763,068 |
| 370,000 | Koppers, Inc.*^ 6.000%, 02/15/25 | 395,778 |
| 785,000 | New Gold, Inc.* 6.375%, 05/15/25 | 814,661 |
| 2,349,000 | PH Glatfelter Company 5.375%, 10/15/20 | 2,400,795 |
| Sealed Air Corp.* | ||
| 2,054,000 | 6.500%, 12/01/20 | 2,292,459 |
| 900,000 | 5.250%, 04/01/23 | 969,701 |
| 1,095,000 | Steel Dynamics, | |
| Inc. 5.000%, 12/15/26 | 1,156,358 | |
| 3,999,000 | Trinseo Materials | |
| Operating, SCA*µ 6.750%, 05/01/22 | 4,238,580 | |
| 37,192,752 | ||
| Real Estate (0.6%) | ||
| 1,257,000 | Crescent Communities, | |
| LLC/Crescent Ventures, Inc.* 8.875%, 10/15/21 | 1,322,798 | |
| DuPont Fabros Technology, | ||
| LP | ||
| 1,300,000 | 5.875%, 09/15/21µ | 1,346,852 |
| 925,000 | 5.625%, 06/15/23 | 989,912 |
| 290,000 | Iron Mountain, | |
| Inc.* 6.000%, 10/01/20 | 300,466 | |
| 540,000 | M/I Homes, Inc.* 5.625%, 08/01/25 | 545,400 |
| 4,505,428 | ||
| Telecommunication Services (3.6%) | ||
| 221,000 | Block Communications, | |
| Inc.*µ 6.875%, 02/15/25 | 239,887 | |
| 425,000 | CenturyLink, Inc.^ 7.500%, 04/01/24 | 462,644 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 3; Value: 1
3
Field: /Page
| Calamos
Convertible Opportunities and Income Fund |
| --- |
| SCHEDULE
OF INVESTMENTS JULY 31, 2017 (UNAUDITED) |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 1,200,000 | CSC Holdings, | |
| LLC*µ 5.500%, 04/15/27 | $ 1,275,462 | |
| 3,135,000 | Embarq Corp. 7.995%, 06/01/36 | 3,192,684 |
| Frontier Communications | ||
| Corp. | ||
| 2,781,000 | 7.625%, 04/15/24^ | 2,268,628 |
| 1,974,000 | 11.000%, 09/15/25^ | 1,804,907 |
| 1,580,000 | 10.500%, 09/15/22 | 1,487,997 |
| 286,000 | 6.875%, 01/15/25^ | 226,641 |
| Intelsat Jackson Holdings, | ||
| SA | ||
| 1,140,000 | 7.500%, 04/01/21 | 1,083,000 |
| 1,075,000 | 9.750%, 07/15/25* | 1,111,647 |
| 985,000 | 8.000%, 02/15/24* | 1,070,670 |
| Sprint Corp. | ||
| 6,998,000 | 7.875%, 09/15/23 | 7,946,124 |
| 1,480,000 | 7.125%, 06/15/24 | 1,635,348 |
| 2,349,000 | T-Mobile USA, Inc. 6.625%, 04/01/23 | 2,487,967 |
| 870,000 | Windstream Corp. 7.750%, 10/15/20 | 838,280 |
| 950,000 | Windstream Services, | |
| LLC 7.750%, 10/01/21 | 855,356 | |
| 27,987,242 | ||
| Utilities (1.3%) | ||
| 2,999,000 | AES Corp.µ 7.375%, 07/01/21 | 3,436,404 |
| 4,499,000 | Calpine Corp.*µ 6.000%, 01/15/22 | 4,651,561 |
| 2,104,000 | NRG Energy, Inc.^ 6.625%, 01/15/27 | 2,164,375 |
| 10,252,340 | ||
| TOTAL | ||
| CORPORATE BONDS (Cost $411,216,687) | 419,905,879 | |
| Convertible | ||
| Bonds (64.0%) | ||
| Consumer Discretionary | ||
| (13.1%) | ||
| Ctrip.com International, | ||
| Ltd. | ||
| 3,200,000 | 1.000%, 07/01/20 | 3,910,512 |
| 3,010,000 | 1.250%, 09/15/22* | 3,410,044 |
| 9,500,000 | DISH Network Corp.*^ 2.375%, 03/15/24 | 10,171,793 |
| 5,571,000 | Liberty Expedia Holdings, | |
| Inc.*^ 1.000%, 06/30/47 | 6,057,432 | |
| Liberty Interactive, | ||
| LLC | ||
| 5,350,000 | 1.750%, 09/30/46*µ | 6,643,924 |
| 2,012,000 | 4.000%, 11/15/29 | 1,374,387 |
| Liberty Media Corp.^ | ||
| 8,550,000 | 1.375%, 10/15/23 | 10,835,116 |
| 5,350,000 | 2.250%, 09/30/46* | 5,755,637 |
| 2,750,000 | Liberty Media Corp./Liberty | |
| Formula One* 1.000%, 01/30/23 | 3,114,746 | |
| 5,300,000 | Macquarie Infrastructure | |
| Corp.µ^ 2.000%, 10/01/23 | 5,250,975 | |
| 14,340,000 | Priceline Group, Inc.µ^ 0.900%, 09/15/21 | 17,192,011 |
| 22,850,000 | Tesla, Inc.µ^ 1.250%, 03/01/21 | 25,091,356 |
| 4,400,000 | Weatherford International, | |
| Ltd.^ 5.875%, 07/01/21 | 4,668,708 | |
| 103,476,641 |
| PRINCIPAL AMOUNT | VALUE | ||
|---|---|---|---|
| Energy (1.7%) | |||
| 5,250,000 | Nabors Industries, Inc.*µ^ 0.750%, 01/15/24 | $ 4,134,926 | |
| 4,700,000 | PDC Energy, Inc. 1.125%, 09/15/21 | 4,439,549 | |
| 5,370,000 | SM Energy Company^ 1.500%, 07/01/21 | 5,046,243 | |
| 13,620,718 | |||
| Financials (1.8%) | |||
| 5,500,000 | Ares Capital Corp.*µ^ 3.750%, 02/01/22 | 5,573,645 | |
| 6,500,000 | CAD | Element Fleet Management Corp.* 4.250%, 06/30/20 | 5,159,334 |
| 3,125,000 | TCP Capital Corp.*µ^ 4.625%, 03/01/22 | 3,213,985 | |
| 13,946,964 | |||
| Health Care (10.2%) | |||
| 2,400,000 | Acorda Therapeutics, Inc. 1.750%, 06/15/21 | 2,129,424 | |
| BioMarin Pharmaceutical, Inc. | |||
| 5,711,000 | 1.500%, 10/15/20^ | 6,742,064 | |
| 4,600,000 | 0.750%, 10/15/18 | 5,076,951 | |
| 2,750,000 | Dexcom, Inc.* 0.750%, 05/15/22 | 2,723,504 | |
| 5,950,000 | Emergent Biosolutions, Inc. 2.875%, 01/15/21 | 8,053,414 | |
| 5,275,000 | Evolent Health, Inc.* 2.000%, 12/01/21 | 6,740,158 | |
| 3,500,000 | Flexion Therapeutics, Inc.* 3.375%, 05/01/24 | 3,876,285 | |
| 8,300,000 | Hologic, Inc.** 0.000%, 12/15/43 | 10,356,449 | |
| 5,350,000 | Insulet Corp.* 1.250%, 09/15/21 | 5,838,402 | |
| 5,400,000 | Ionis Pharmaceuticals, Inc.^ 1.000%, 11/15/21 | 5,826,762 | |
| 2,500,000 | Ironwood Pharmaceuticals, Inc. 2.250%, 06/15/22 | 3,225,900 | |
| 4,739,000 | Medidata Solutions, Inc. 1.000%, 08/01/18 | 6,551,999 | |
| 4,342,000 | Molina Healthcare, Inc.µ^ 1.625%, 08/15/44 | 5,447,278 | |
| 2,750,000 | Neurocrine Biosciences, Inc.*^ 2.250%, 05/15/24 | 2,812,384 | |
| 4,050,000 | NuVasive, Inc. 2.250%, 03/15/21 | 5,059,766 | |
| 80,460,740 | |||
| Industrials (6.9%) | |||
| 5,300,000 | Aerojet Rocketdyne Holdings, Inc.* 2.250%, 12/15/23 | 6,024,563 | |
| 2,022,000 | Air Lease Corp.µ^ 3.875%, 12/01/18 | 2,925,025 | |
| 5,150,000 | Atlas Air Worldwide Holdings, Inc.^ 2.250%, 06/01/22 | 5,735,967 | |
| 9,100,000 | Dycom Industries, Inc.µ^ 0.750%, 09/15/21 | 10,700,144 | |
| 8,000,000 | Greenbrier Companies, Inc.*^ 2.875%, 02/01/24 | 8,685,200 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 4; Value: 1
4
Field: /Page
| Convertible
Opportunities and Income Fund |
| --- |
| SCHEDULE
OF INVESTMENTS JULY 31, 2017 (UNAUDITED) |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 3,750,000 | Kaman Corp.* 3.250%, 05/01/24 | $ 3,927,413 |
| 10,750,000 | Pacira Pharmaceuticals, | |
| Inc.*^ 2.375%, 04/01/22 | 10,858,199 | |
| 5,200,000 | Tutor Perini Corp. 2.875%, 06/15/21 | 5,981,872 |
| 54,838,383 | ||
| Information Technology | ||
| (28.0%) | ||
| 3,300,000 | Citrix Systems, Inc. 0.500%, 04/15/19 | 3,925,020 |
| 4,400,000 | Cypress Semiconductor | |
| Corp.^ 4.500%, 01/15/22 | 5,570,994 | |
| 10,600,000 | Finisar Corp.*^ 0.500%, 12/15/36 | 10,616,642 |
| 8,350,000 | Inphi Corp.*^ 0.750%, 09/01/21 | 8,457,882 |
| 11,350,000 | Intel Corp.µ 3.250%, 08/01/39 | 19,604,004 |
| 3,900,000 | Knowles Corp.^ 3.250%, 11/01/21 | 4,349,124 |
| 4,750,000 | Lumentum Holdings, Inc.*^ 0.250%, 03/15/24 | 5,914,747 |
| 16,500,000 | Microchip Technology, | |
| Inc.*^ 1.625%, 02/15/27 | 18,288,930 | |
| 6,225,000 | Micron Technology, Inc.µ^ 2.125%, 02/15/33 | 16,192,283 |
| 5,250,000 | Nice Systems, Inc.*^ 1.250%, 01/15/24 | 5,689,740 |
| 2,500,000 | Novellus Systems, Inc.µ 2.625%, 05/15/41 | 11,819,962 |
| ON Semiconductor Corp.^ | ||
| 6,400,000 | 1.000%, 12/01/20 | 6,888,096 |
| 5,250,000 | 1.625%, 10/15/23* | 5,441,888 |
| 5,500,000 | OSI Systems, Inc.*^ 1.250%, 09/01/22 | 5,550,023 |
| 2,500,000 | Pandora Media, Inc. 1.750%, 12/01/20 | 2,376,425 |
| 7,450,000 | Proofpoint, Inc.^ 0.750%, 06/15/20 | 9,297,898 |
| 5,500,000 | Realpage, Inc.* 1.500%, 11/15/22 | 6,254,875 |
| 2,700,000 | Red Hat, Inc.µ^ 0.250%, 10/01/19 | 3,830,679 |
| 5,150,000 | Rovi Corp.^ 0.500%, 03/01/20 | 5,171,733 |
| 8,800,000 | Salesforce.com, Inc.µ^ 0.250%, 04/01/18 | 12,192,444 |
| 5,575,000 | Servicenow, Inc.*^ 0.000%, 06/01/22 | 5,818,460 |
| 5,500,000 | Silicon Laboratories, | |
| Inc.*^ 1.375%, 03/01/22 | 5,961,697 | |
| 4,500,000 | Square, Inc.*^ 0.375%, 03/01/22 | 5,953,905 |
| SunEdison, Inc.@ | ||
| 9,411,000 | 0.250%, 01/15/20* | 219,888 |
| 898,000 | 2.000%, 10/01/18 | 22,208 |
| 2,757,000 | Synaptics, Inc.*^ 0.500%, 06/15/22 | 2,841,323 |
| 4,325,000 | Teradyne, Inc.*^ 1.250%, 12/15/23 | 5,488,252 |
| 5,250,000 | Veeco Instruments, Inc.^ 2.700%, 01/15/23 | 5,637,686 |
| 5,500,000 | Viavi Solutions, Inc.* 1.000%, 03/01/24 | 5,925,590 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 7,225,000 | Workday, | |
| Inc.µ^ 0.750%, 07/15/18 | $ 9,281,524 | |
| 5,750,000 | Yahoo!, Inc.~ 0.000%, 12/01/18 | 6,796,184 |
| 221,380,106 | ||
| Materials (1.1%) | ||
| 4,700,000 | Royal Gold, Inc. 2.875%, 06/15/19 | 5,221,935 |
| 2,800,000 | RTI International Metals, | |
| Inc. 1.625%, 10/15/19 | 3,111,500 | |
| 8,333,435 | ||
| Real Estate (1.2%) | ||
| 2,300,000 | Empire State Realty OP, | |
| LP* 2.625%, 08/15/19 | 2,624,852 | |
| 2,750,000 | Starwood Property Trust, | |
| Inc.^ 4.375%, 04/01/23 | 2,791,195 | |
| 3,600,000 | Starwood Waypoint Homes* 3.500%, 01/15/22 | 3,898,692 |
| 9,314,739 | ||
| Total Convertible Bonds (Cost $503,206,802) | 505,371,726 | |
| SYNTHETIC | ||
| CONVERTIBLE SECURITIES (0.0%) ¤ | ||
| Corporate | ||
| Bonds (0.0%) | ||
| Consumer Discretionary | ||
| (0.0%) | ||
| 2,000 | CalAtlantic Group, Inc.^ 6.625%, 05/01/20 | 2,219 |
| 1,000 | CCO Holdings, LLC / CCO | |
| Holdings Capital Corp.* 5.125%, 05/01/27 | 1,035 | |
| 2,000 | Cooper Tire & Rubber | |
| Company 8.000%, 12/15/19 | 2,238 | |
| 1,000 | Dana Financing Luxembourg | |
| Sarl*^ 6.500%, 06/01/26 | 1,073 | |
| DISH DBS Corp. | ||
| 1,000 | 7.875%, 09/01/19µ | 1,105 |
| 1,000 | 5.875%, 11/15/24 | 1,088 |
| 1,000 | Golden Nugget, Inc.* 8.500%, 12/01/21 | 1,061 |
| 1,000 | Hasbro, Inc.µ 6.600%, 07/15/28 | 1,159 |
| 1,000 | L Brands, Inc.µ 7.600%, 07/15/37 | 994 |
| Meritage Homes Corp. | ||
| 1,000 | 7.150%, 04/15/20 | 1,110 |
| 1,000 | 7.000%, 04/01/22 | 1,141 |
| 1,000 | MGM Resorts Internationalµ 6.750%, 10/01/20 | 1,113 |
| Netflix, Inc. | ||
| 1,000 | 5.500%, 02/15/22 | 1,087 |
| 1,000 | 5.375%, 02/01/21 | 1,085 |
| 1,000 | Penske Automotive Group, | |
| Inc. 5.375%, 12/01/24 | 1,008 | |
| 1,000 | Reliance Intermediate | |
| Holdings, LP* 6.500%, 04/01/23 | 1,071 | |
| 1,000 | Rite Aid Corp.*^ 6.125%, 04/01/23 | 994 |
| 1,000 | Royal Caribbean Cruises, | |
| Ltd.µ 7.500%, 10/15/27 | 1,320 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 5; Value: 1
5
Field: /Page
| Calamos Convertible Opportunities and Income Fund |
|---|
| SCHEDULE OF INVESTMENTS |
| JULY 31, 2017 (UNAUDITED) |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 1,000 | Salem Media Group, Inc.* 6.750%, 06/01/24 | $ 1,040 |
| 1,000 | Service Corp. International 7.500%, 04/01/27 | 1,206 |
| 1,000 | SFR Group, SA*µ^ 6.000%, 05/15/22 | 1,047 |
| 1,000 | Sirius XM Radio, Inc.*^ 6.000%, 07/15/24 | 1,079 |
| 1,000 | Taylor Morrison Communities, Inc.* 5.250%, 04/15/21 | 1,027 |
| 1,000 | Time, Inc.*^ 5.750%, 04/15/22 | 1,038 |
| 1,000 | Toll Brothers Finance Corp.µ 5.625%, 01/15/24 | 1,088 |
| 1,000 | ZF North America Capital, Inc.* 4.750%, 04/29/25 | 1,047 |
| 30,473 | ||
| Consumer Staples (0.0%) | ||
| 1,000 | Fidelity & Guaranty Life Holdings, Inc.* 6.375%, 04/01/21 | 1,034 |
| 1,000 | Fresh Market, Inc.*^ 9.750%, 05/01/23 | 823 |
| 2,000 | JBS USA LUX SA / JBS USA Finance, Inc.*µ 7.250%, 06/01/21 | 2,039 |
| 2,000 | Land O'Lakes, Inc.*µ^ 6.000%, 11/15/22 | 2,216 |
| 1,000 | The Nature's Bounty Company*^ 7.625%, 05/15/21 | 1,079 |
| 7,191 | ||
| Energy (0.0%) | ||
| 1,000 | Atwood Oceanics, Inc.^ 6.500%, 02/01/20 | 987 |
| 1,000 | Blue Racer Midstream, LLC / Blue Racer Finance Corp.*^ 6.125%, 11/15/22 | 1,025 |
| 1,000 | Calfrac Holdings, LP* 7.500%, 12/01/20 | 919 |
| 1,000 | DCP Midstream, LLC*‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% | 934 |
| 2,000 | Drill Rigs Holdings, Inc.*@ 6.500%, 10/01/17 | 516 |
| 1,000 | Energy Transfer Equity, LP 5.875%, 01/15/24 | 1,081 |
| 1,000 | Energy Transfer Partners, LP‡ 4.328%, 11/01/66 3 mo. USD LIBOR + 3.02% | 884 |
| 1,000 | Gulfmark Offshore, Inc.@ 6.375%, 03/15/22 | 280 |
| 2,000 | Laredo Petroleum, Inc.^ 7.375%, 05/01/22 | 2,076 |
| 1,000 | MPLX, LPµ 4.875%, 06/01/25 | 1,074 |
| 1,000 | Oasis Petroleum, Inc.^ 6.500%, 11/01/21 | 998 |
| 2,000 | SEACOR Holdings, Inc.µ^ 7.375%, 10/01/19 | 2,031 |
| 12,805 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| Financials (0.0%) | ||
| 1,000 | Ally Financial, Inc.µ 8.000%, 11/01/31 | $ 1,245 |
| 1,000 | AON Corp.µ 8.205%, 01/01/27 | 1,316 |
| 1,000 | AssuredPartners, Inc.* 7.000%, 08/15/25 | 1,011 |
| 1,000 | Brookfield Residential Properties, Inc.* 6.375%, 05/15/25 | 1,053 |
| 1,000 | Dell International, LLC / EMC Corp.*µ 6.020%, 06/15/26 | 1,116 |
| 1,000 | Equinix, Inc.µ 5.375%, 04/01/23 | 1,045 |
| 1,000 | GLP Capital, LP / GLP Financing II, Inc.^ 5.375%, 04/15/26 | 1,091 |
| Jefferies Finance, LLC* | ||
| 1,000 | 7.375%, 04/01/20 | 1,030 |
| 1,000 | 7.250%, 08/15/24 | 1,003 |
| 1,000 | Nationstar Mortgage, LLC / Nationstar Capital Corp. 6.500%, 07/01/21 | 1,028 |
| 1,000 | Quicken Loans, Inc.* 5.750%, 05/01/25 | 1,050 |
| 11,988 | ||
| Health Care (0.0%) | ||
| 1,000 | Acadia Healthcare Company, Inc.^ 5.625%, 02/15/23 | 1,045 |
| 1,000 | Alere, Inc. 6.500%, 06/15/20 | 1,018 |
| 1,000 | Community Health Systems, Inc.^ 7.125%, 07/15/20 | 969 |
| 1,000 | DaVita, Inc. 5.125%, 07/15/24 | 1,030 |
| 1,000 | Endo, Ltd.*^ 6.000%, 07/15/23 | 867 |
| HCA Holdings, Inc. | ||
| 2,000 | 5.875%, 05/01/23^ | 2,187 |
| 1,000 | 6.250%, 02/15/21 | 1,086 |
| 1,000 | Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*^ 5.625%, 10/15/23 | 956 |
| 2,000 | Tenet Healthcare Corp. 6.750%, 02/01/20 | 2,102 |
| 2,000 | Valeant Pharmaceuticals International, Inc.*^ 7.250%, 07/15/22 | 1,892 |
| 13,152 | ||
| Industrials (0.0%) | ||
| 1,000 | Garda World Security Corp.* 7.250%, 11/15/21 | 1,022 |
| 1,000 | H&E Equipment Services, Inc. 7.000%, 09/01/22 | 1,039 |
| 1,000 | Meritor, Inc. 6.250%, 02/15/24 | 1,056 |
| 1,000 | Michael Baker International, LLC* 8.250%, 10/15/18 | 998 |
| 1,000 | Navistar International Corp.^ 8.250%, 11/01/21 | 1,013 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 6; Value: 1
6
Field: /Page
| Convertible Opportunities and Income Fund |
|---|
| SCHEDULE |
| OF INVESTMENTS JULY 31, 2017 (UNAUDITED) |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 1,000 | Park Ohio Industries, Inc.*^ 6.625%, 04/15/27 | $ 1,061 |
| 1,000 | TransDigm, Inc. 5.500%, 10/15/20 | 1,019 |
| 1,000 | United Continental Holdings, Inc. 6.375%, 06/01/18 | 1,039 |
| 1,000 | United Rentals North America, Inc.^ 6.125%, 06/15/23 | 1,044 |
| 1,000 | United States Steel Corp.* 8.375%, 07/01/21 | 1,108 |
| 10,399 | ||
| Information Technology (0.0%) | ||
| 1,000 | Alliance Data Systems Corp.* 6.375%, 04/01/20 | 1,019 |
| 1,000 | Amkor Technology, Inc.µ^ 6.375%, 10/01/22 | 1,046 |
| 1,000 | Cardtronics, Inc.µ 5.125%, 08/01/22 | 1,026 |
| 1,000 | Clear Channel Worldwide Holdings, Inc.^ 7.625%, 03/15/20 | 1,003 |
| 1,000 | CommScope Technologies, LLC*µ 6.000%, 06/15/25 | 1,079 |
| 1,000 | First Data Corp.* 7.000%, 12/01/23 | 1,080 |
| 2,000 | Hughes Satellite Systems Corp.µ^ 7.625%, 06/15/21 | 2,302 |
| 1,000 | J2 Cloud Services, Inc. 8.000%, 08/01/20 | 1,020 |
| 1,000 | ViaSat, Inc. 6.875%, 06/15/20 | 1,022 |
| 10,597 | ||
| Materials (0.0%) | ||
| ArcelorMittal, SA | ||
| 1,000 | 7.500%, 10/15/39 | 1,181 |
| 1,000 | 6.125%, 06/01/25µ^ | 1,147 |
| 1,000 | Ardagh Packaging Finance, PLC / Ardagh Holdings USA, Inc.* 6.000%, 02/15/25 | 1,068 |
| 1,000 | Freeport-McMoRan, Inc.^ 4.550%, 11/14/24 | 978 |
| 1,000 | Greif, Inc. 7.750%, 08/01/19 | 1,101 |
| 1,000 | Huntsman International, LLC 5.125%, 11/15/22 | 1,065 |
| 1,000 | INEOS Group Holdings, SA*^ 5.625%, 08/01/24 | 1,036 |
| 1,000 | PH Glatfelter Company 5.375%, 10/15/20 | 1,022 |
| 1,000 | Sealed Air Corp.* 6.500%, 12/01/20 | 1,116 |
| 1,000 | Trinseo Materials Operating, SCA*µ 6.750%, 05/01/22 | 1,060 |
| 10,774 | ||
| Telecommunication Services (0.0%) | ||
| 1,000 | Embarq Corp. 7.995%, 06/01/36 | 1,019 |
| Frontier Communications Corp.^ | ||
| 1,000 | 11.000%, 09/15/25 | 914 |
| 1,000 | 7.625%, 04/15/24 | 816 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 2,000 | Sprint Corp. 7.875%, 09/15/23 | $ 2,271 |
| 1,000 | T-Mobile USA, Inc. 6.625%, 04/01/23 | 1,059 |
| 6,079 | ||
| Utilities (0.0%) | ||
| 1,000 | AES Corp.µ 7.375%, 07/01/21 | 1,146 |
| 1,000 | Calpine Corp.*µ 6.000%, 01/15/22 | 1,034 |
| 1,000 | NRG Energy, Inc.^ 6.625%, 01/15/27 | 1,029 |
| 3,209 | ||
| Total Corporate Bonds | 116,667 | |
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |
| Purchased | ||
| Options (0.0%) # | ||
| Materials (0.0%) | ||
| United States Steel Corp. | ||
| 100 10,000 | Call, 10/20/17, Strike $27.00 | 8,800 |
| 98 9,800 | Call, 10/20/17, Strike $25.00 | 14,210 |
| Total Purchased Options | 23,010 | |
| TOTAL | ||
| SYNTHETIC CONVERTIBLE SECURITIES (Cost $144,790) | 139,677 |
| Convertible | ||
| Preferred Stocks (18.7%) | ||
| Consumer Staples (0.7%) | ||
| 54,000 | Bunge, Ltd.µ 4.875%, 12/31/49 | 5,882,501 |
| Energy (3.3%) | ||
| 95,000 | CenterPoint Energy, Inc. (Time Warner, Inc., Charter Communications, Time, Inc.)µ**§ 3.399%, 09/15/29 | 7,260,375 |
| 117,800 | Hess Corp. 8.000%, 02/01/19 | 6,626,250 |
| NuStar Energy, LP‡ | ||
| 175,000 | 7.625%, 12/31/49 3 mo. USD LIBOR + 5.64% | 4,501,000 |
| 55,769 | 8.500%, 12/31/49 3 mo. USD LIBOR + 6.77% | 1,480,109 |
| 158,550 | Southwestern Energy Company^ 6.250%, 01/15/18 | 2,192,747 |
| 73,500 | WPX Energy, Inc. 6.250%, 07/31/18 | 3,691,905 |
| 25,752,386 | ||
| Financials (2.6%) | ||
| 95,750 | Affiliated Managers Group, Inc.µ 5.150%, 10/15/37 | 5,858,942 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 7; Value: 1
7
Field: /Page
| Calamos Convertible Opportunities and Income Fund |
|---|
| SCHEDULE OF INVESTMENTS |
| JULY 31, 2017 (UNAUDITED) |
| NUMBER OF SHARES | VALUE | |
|---|---|---|
| 4,600 | Bank of America Corp.µ 7.250%, 12/31/49 | $ 5,970,800 |
| 27,248 | Virtus Investment Partners, Inc.^ 7.250%, 02/01/20 | 2,847,961 |
| 4,375 | Wells Fargo & Companyµ 7.500%, 12/31/49 | 5,807,813 |
| 20,485,516 | ||
| Health Care (5.8%) | ||
| 24,950 | Allergan, PLC 5.500%, 03/01/18 | 22,305,549 |
| 302,500 | Anthem, Inc.µ 5.250%, 05/01/18 | 15,572,700 |
| 108,000 | Becton Dickinson and Company 6.125%, 05/01/20 | 6,036,120 |
| 2,950 | Teva Pharmaceutical Industries, Ltd. 7.000%, 12/15/18 | 1,722,800 |
| 45,637,169 | ||
| Industrials (0.7%) | ||
| 105,400 | Rexnord Corp.^ 5.750%, 11/15/19 | 5,630,995 |
| Real Estate (2.1%) | ||
| 16,650 | American Tower Corp. 5.500%, 02/15/18 | 1,993,005 |
| 5,791 | Crown Castle International Corp.^ 6.875%, 08/01/20 | 6,180,311 |
| 130,225 | Welltower, Inc.µ^ 6.500%, 12/31/49 | 8,516,715 |
| 16,690,031 | ||
| Telecommunication Services (0.9%) | ||
| 68,800 | T-Mobile USA, Inc. 5.500%, 12/15/17 | 6,897,200 |
| Utilities (2.6%) | ||
| 107,225 | DTE Energy Companyµ 6.500%, 10/01/19 | 5,878,278 |
| NextEra Energy, Inc.µ | ||
| 163,665 | 6.123%, 09/01/19 | 9,093,228 |
| 86,000 | 6.371%, 09/01/18^ | 5,695,780 |
| 20,667,286 | ||
| TOTAL CONVERTIBLE PREFERRED | ||
| STOCKS (Cost $144,141,252) | 147,643,084 | |
| Common | ||
| Stock (0.1%) | ||
| Financials (0.1%) | ||
| 13,850 | American International | |
| Group, Inc.µ (Cost $623,250) | 906,482 |
| VALUE | ||
|---|---|---|
| PURCHASED OPTIONS (0.0%) # | ||
| Materials (0.0%) | ||
| United States Steel Corp. | ||
| 100 10,000 | Put, 10/20/17, Strike $21.00 | $ 10,150 |
| 98 9,800 | Put, 10/20/17, Strike $19.00 | 4,900 |
| TOTAL PURCHASED OPTIONS (Cost $14,699) | 15,050 |
| NUMBER OF SHARES | VALUE | ||
|---|---|---|---|
| SHORT TERM INVESTMENTS (3.3%) | |||
| 13,226,381 | Fidelity Prime Money Market Fund - Institutional Class | 13,231,672 | |
| 13,190,486 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 13,190,486 | |
| TOTAL SHORT TERM INVESTMENTS (Cost $26,422,158) | 26,422,158 | ||
| TOTAL | |||
| INVESTMENTS (139.3%) (Cost | |||
| $1,085,769,638) | 1,100,404,056 | ||
| LIABILITIES, LESS OTHER ASSETS (-39.3%) | (310,296,396 | ) | |
| NET ASSETS (100.0%) | $ 790,107,660 | ||
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||
| WRITTEN OPTIONS (0.0%) # | |||
| Materials (0.0%) | |||
| United States Steel Corp. | |||
| 100 10,000 | Put, 10/20/17, Strike $25.00 | $ (29,900 | ) |
| 98 9,800 | Put, 10/20/17, Strike $23.00 | (18,032 | ) |
| TOTAL WRITTEN OPTIONS (Premium $43,027) | $ (47,932 | ) |
| NOTES
TO SCHEDULE OF INVESTMENTS | |
| --- | --- |
| * | 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. |
| µ | Security, or portion
of security, is held in a segregated account as collateral for note payable aggregating a total value of $216,794,335. $70,086,095
of the collateral has been re-registered by one of the counterparties, BNP (see Note 3 - Borrowings). |
| ^ | Security, or portion
of security, is on loan. |
| ‡ | Variable rate security.
The rate shown is the rate in effect at July 31, 2017. |
| @ | In default status
and considered non-income producing. |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 8; Value: 1
8
Field: /Page
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)
| ** | Step
Coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at
July 31, 2017. |
| --- | --- |
| ~ | Security,
or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options.
The aggregate value of such securities is $94,556. |
| ¤ | The
synthetic convertible securities strategy combines separate securities that together possess the economic characteristics
similar to a convertible security. |
| § | 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. |
| FOREIGN
CURRENCY ABBREVIATION | |
| --- | --- |
| CAD | Canadian
Dollar |
| 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. | |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 9; Value: 1
9
Field: /Page
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 strategy 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 and under normal circumstances, the Fund will invest at least 35% of its managed assets in convertible 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).
Significant Accounting Policies. The schedule of investments have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:
Fund Valuation. The valuation of the Fund’s 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 official closing price, which is the last current reported sales price on its principal exchange at the time each 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 a 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 on its principal exchange 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 in 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 Fund’s 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 Fund’s 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 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, 2017.
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.
Note 2 – Investments
The cost basis of investments for federal income tax purposes at July 31, 2017 was as follows:*
| Cost
basis of investments | $ | |
| --- | --- | --- |
| Gross unrealized appreciation | 64,080,119 | |
| Gross
unrealized depreciation | (49,450,606 | ) |
| Net
unrealized appreciation (depreciation) | $ 14,629,513 | |
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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 “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $107.5 million and a lending agreement, “Lending Agreement” as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”, together with the BNP Agreement, “Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to a limit of $322.5 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP Agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .20% on the undrawn balance. Interest on the SSB Agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is .20%). For the period ended July 31, 2017, the average borrowings under the Agreements were $308.4 million. For the period ended July 31, 2017, the average interest rate was 1.97%. As of July 31, 2017, the amount of total outstanding borrowings was $314.0 million ($78.5 million under the BNP Agreement and $235.5 million under the SSB Agreement), which approximates fair value. The interest rate applicable to the borrowings on July 31, 2017 was 1.28%.
The Lending Agreement with BNP 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 BNP Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the BNP Agreement. BNP may re-register the Lent 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 Fund’s 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. The dividend and interest payments are recorded as Dividend or Interest payments in the Statement of Operations. Earnings made by the lent securities are disclosed on a net basis as Securities Lending Income in the Statement of Operations.
Under the terms of the Lending Agreement with BNP, 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 Fund’s 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 Fund’s 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 Fund’s 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 for the ultimate delivery of such Lent Securities, or equivalent securities, to be made to the Fund’s custodian, 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.
Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC Release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. The Fund has the right to call a loan and obtain the securities loaned at any time. As of July 31, 2017, the Fund used approximately $220.9 million of its cash collateral to offset the SSB Agreement, representing 20.0% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.99%, which can fluctuate depending on interest rates. As of July 31, 2017, approximately $215.6 million of securities were on loan ($208.6 million of fixed income securities and $7.0 million of equity securities) under the SSB Agreement which are reflected in the Investment in securities, at value on the Statement of Assets and Liabilities.
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Note 4 – Fair Value Measurement
Various inputs are used to determine the value of the Fund’s 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 Fund’s 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 Fund’s investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.
The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:
| | LEVEL
1 | LEVEL
2 | LEVEL
3 | TOTAL |
| --- | --- | --- | --- | --- |
| Assets: | | | | |
| Corporate Bonds | $ — | $ 419,905,879 | $ — | $ 419,905,879 |
| Convertible Bonds | — | 505,371,726 | — | 505,371,726 |
| Synthetic Convertible Securities
(Corporate Bonds) | — | 116,667 | — | 116,667 |
| Synthetic Convertible Securities
(Purchased Options) | 23,010 | — | — | 23,010 |
| Convertible Preferred Stocks | 122,762,988 | 24,880,096 | — | 147,643,084 |
| Common Stocks U.S. | 906,482 | — | — | 906,482 |
| Purchased Options | 15,050 | — | — | 15,050 |
| Short
Term Investments | 26,422,158 | — | — | 26,422,158 |
| Total | $ 150,129,688 | $ 950,274,368 | $ — | $ 1,100,404,056 |
| Liabilities: | | | | |
| Written
Options | $ 47,932 | $ — | $ — | $ 47,932 |
| Total | $ 47,932 | $ — | $ — | $ 47,932 |
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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.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
Field: Page; Sequence: 2
Field: /Page
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 |
| 1, 2017 |
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 |
| 1, 2017 | |
| By: | /s/ |
| Curtis Holloway | |
| Name: | Curtis Holloway |
| Title: | Principal |
| Financial Officer | |
| Date: | September |
| 1, 2017 |
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