Regulatory Filings • Mar 7, 2019
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Download Source FileN-Q 1 chi-nq_013119.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS Field: Rule-Page
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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 |
REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2019
DATE OF REPORTING PERIOD: January 31, 2019
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ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| CORPORATE BONDS (51.1%) | ||
| Airlines (0.1%) | ||
| 523,659 | UAL Pass Through Trust Series 2007-1μ 6.636%, 01/02/24 | $ 542,451 |
| Communication Services (6.4%) | ||
| 989,000 | Altice Financing, SA*^ 7.500%, 05/15/26 | 940,000 |
| 2,300,000 | Altice France, SA* 7.375%, 05/01/26 | 2,222,858 |
| Altice Luxembourg, SA*^ | ||
| 475,000 | 7.750%, 05/15/22 | 461,712 |
| 396,000 | 7.625%, 02/15/25 | 337,174 |
| Cincinnati Bell, Inc.*^ | ||
| 1,326,000 | 8.000%, 10/15/25 | 1,155,105 |
| 416,000 | 7.000%, 07/15/24 | 359,370 |
| 747,000 | Consolidated Communications, Inc.^ 6.500%, 10/01/22 | 684,435 |
| CSC Holdings, LLC*^ | ||
| 3,463,000 | 5.500%, 04/15/27μ | 3,393,030 |
| 1,506,000 | 5.500%, 05/15/26 | 1,494,931 |
| 1,088,000 | 7.500%, 04/01/28 | 1,120,368 |
| 5,749,000 | Embarq Corp.μ 7.995%, 06/01/36 | 5,425,992 |
| Frontier Communications Corp. | ||
| 3,092,000 | 11.000%, 09/15/25^ | 2,002,364 |
| 2,352,000 | 7.625%, 04/15/24 | 1,272,020 |
| 984,000 | 8.500%, 04/01/26*^ | 893,713 |
| Gray Television, Inc.*^ | ||
| 1,172,000 | 5.875%, 07/15/26 | 1,151,414 |
| 529,000 | 7.000%, 05/15/27 | 549,864 |
| Hughes Satellite Systems Corp.^ | ||
| 1,187,000 | 6.625%, 08/01/26 | 1,149,906 |
| 267,000 | 5.250%, 08/01/26μ | 258,029 |
| Inmarsat Finance, PLC*^ | ||
| 1,360,000 | 4.875%, 05/15/22 | 1,319,941 |
| 890,000 | 6.500%, 10/01/24μ | 864,795 |
| Intelsat Jackson Holdings, SA | ||
| 1,712,000 | 9.750%, 07/15/25* | 1,785,513 |
| 999,000 | 5.500%, 08/01/23^ | 909,530 |
| 975,000 | 8.000%, 02/15/24*^ | 1,016,540 |
| 470,000 | MDC Partners, Inc.*^ 6.500%, 05/01/24 | 430,701 |
| 1,237,000 | Qwest Corp.μ 6.875%, 09/15/33 | 1,166,745 |
| 505,000 | SBA Communications Corp.^ 4.000%, 10/01/22 | 502,076 |
| Sprint Corp. | ||
| 4,650,000 | 7.875%, 09/15/23^ | 4,947,042 |
| 2,404,000 | 7.125%, 06/15/24 | 2,472,815 |
| 1,286,000 | 7.625%, 03/01/26^ | 1,337,176 |
| 1,212,000 | T-Mobile USA, Inc.^ 4.750%, 02/01/28 | 1,168,004 |
| 747,000 | Telecom Italia Capital, SA^ 6.000%, 09/30/34 | 650,932 |
| 1,895,000 | United States Cellular Corp. 6.700%, 12/15/33 | 1,967,417 |
| 495,000 | Wind Tre, S.p.A.*^ 5.000%, 01/20/26 | 412,256 |
| Windstream Services, LLC / Windstream Finance Corp. | ||
| 1,189,000 | 8.625%, 10/31/25* | 1,126,245 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 388,000 | 7.750%, 10/01/21 | $ 243,621 |
| 165,000 | 10.500%, 06/30/24* | 136,967 |
| 47,330,601 | ||
| Consumer Discretionary (8.6%) | ||
| 435,000 | American Greetings Corp.* 7.875%, 02/15/25 | 364,162 |
| 1,331,000 | Beverages & More, Inc.* 11.500%, 06/15/22 | 1,006,775 |
| 1,172,000 | Boyd Gaming Corp.^ 6.000%, 08/15/26 | 1,177,971 |
| 1,207,000 | Caesars Resort Collection, LLC / CRC Finco, Inc.*^ 5.250%, 10/15/25 | 1,128,129 |
| CCO Holdings, LLC / CCO Holdings Capital Corp.^ | ||
| 2,523,000 | 5.125%, 05/01/27* | 2,444,118 |
| 960,000 | 5.750%, 09/01/23 | 979,459 |
| 529,000 | 5.000%, 02/01/28* | 503,431 |
| Century Communities, Inc. | ||
| 2,315,000 | 5.875%, 07/15/25 | 2,139,141 |
| 1,345,000 | 6.875%, 05/15/22 | 1,354,657 |
| 3,364,000 | Dana Financing Luxembourg Sarl* 6.500%, 06/01/26 | 3,374,479 |
| DISH DBS Corp.^ | ||
| 1,138,000 | 7.750%, 07/01/26 | 982,538 |
| 772,000 | 5.875%, 11/15/24 | 641,988 |
| 2,231,000 | Eldorado Resorts, Inc.^ 6.000%, 04/01/25 | 2,245,535 |
| 1,163,000 | ESH Hospitality, Inc.*^ 5.250%, 05/01/25 | 1,152,289 |
| 1,202,000 | GLP Capital, LP / GLP Financing II, Inc.μ 5.250%, 06/01/25 | 1,240,230 |
| 984,000 | goeasy, Ltd.μ* 7.875%, 11/01/22 | 1,032,024 |
| 1,474,000 | Guitar Center Escrow Issuer, Inc.* 9.500%, 10/15/21 | 1,387,631 |
| 2,345,000 | Hasbro, Inc. 6.600%, 07/15/28 | 2,704,582 |
| 1,247,000 | International Game Technology, PLCμ*^ 6.250%, 01/15/27 | 1,265,898 |
| 3,715,000 | L Brands, Inc.^ 6.875%, 11/01/35 | 3,212,138 |
| 1,187,000 | Lennar Corp.μ 5.250%, 06/01/26 | 1,158,643 |
| 1,321,000 | M/I Homes, Inc. 5.625%, 08/01/25 | 1,217,909 |
| Mattel, Inc. | ||
| 2,518,000 | 6.750%, 12/31/25*^ | 2,381,499 |
| 45,000 | 2.350%, 08/15/21 | 41,864 |
| 1,143,000 | Mclaren Finance, PLC* 5.750%, 08/01/22 | 1,052,966 |
| 1,888,000 | Meritage Homes Corp. 7.000%, 04/01/22 | 1,988,309 |
| 2,474,000 | MGM Resorts International^ 6.750%, 10/01/20 | 2,588,051 |
| 490,000 | Neiman Marcus Group Ltd., LLC* 8.000%, 10/15/21 | 221,353 |
| 2,276,000 | Penske Automotive Group, Inc. 5.375%, 12/01/24 | 2,239,129 |
| PetSmart, Inc.*^ | ||
| 811,000 | 5.875%, 06/01/25 | 638,906 |
| 257,000 | 8.875%, 06/01/25 | 163,034 |
See accompanying Notes to Schedule of Investments
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Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| Rite Aid Corp. | ||
| 2,657,000 | 7.700%, 02/15/27 | $ 1,823,366 |
| 737,000 | 6.125%, 04/01/23*^ | 622,765 |
| 3,379,000 | Royal Caribbean Cruises, Ltd.μ^ 7.500%, 10/15/27 | 4,009,758 |
| 1,712,000 | Salem Media Group, Inc.* 6.750%, 06/01/24 | 1,562,311 |
| 1,184,000 | Sally Holdings, LLC / Sally Capital, Inc.^ 5.625%, 12/01/25 | 1,153,743 |
| 3,463,000 | Service Corp. International 7.500%, 04/01/27 | 3,789,821 |
| 1,202,000 | Sotheby’s*^ 4.875%, 12/15/25 | 1,150,554 |
| 920,000 | Taylor Morrison Communities Corp. 6.625%, 05/15/22 | 937,259 |
| 2,966,000 | Taylor Morrison Communities Corp. / Taylor Morrison Holdings II, Inc.*^ 5.250%, 04/15/21 | 2,976,678 |
| 443,678 | US Airways Pass Through Trust Series 2012-2, Class B 6.750%, 12/03/22 | 462,949 |
| 989,000 | VOC Escrow, Ltd.μ* 5.000%, 02/15/28 | 963,687 |
| 63,481,729 | ||
| Consumer Staples (2.7%) | ||
| 747,000 | Albertsons Companies, LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertson’s, LLC 5.750%, 03/15/25 | 700,305 |
| 717,000 | Energizer Holdings, Inc.*^ 6.375%, 07/15/26 | 698,172 |
| 1,435,000 | Fresh Market, Inc.* 9.750%, 05/01/23 | 1,078,001 |
| JBS USA LUX, SA / JBS USA Finance, Inc.* | ||
| 7,715,000 | 7.250%, 06/01/21 | 7,832,654 |
| 1,731,000 | 6.750%, 02/15/28 | 1,768,286 |
| New Albertson’s, Inc. | ||
| 1,449,000 | 7.450%, 08/01/29 | 1,273,135 |
| 806,000 | 7.750%, 06/15/26 | 734,334 |
| 574,000 | 8.000%, 05/01/31 | 516,344 |
| Pilgrim’s Pride Corp.*^ | ||
| 1,905,000 | 5.875%, 09/30/27 | 1,848,002 |
| 500,000 | 5.750%, 03/15/25 | 490,690 |
| Post Holdings, Inc.* | ||
| 1,237,000 | 5.750%, 03/01/27 | 1,215,086 |
| 247,000 | 5.625%, 01/15/28 | 237,442 |
| Simmons Foods, Inc.* | ||
| 984,000 | 7.750%, 01/15/24 | 1,018,642 |
| 569,000 | 5.750%, 11/01/24^ | 466,236 |
| 19,877,329 | ||
| Energy (7.8%) | ||
| 712,000 | Apergy Corp. 6.375%, 05/01/26 | 702,413 |
| 356,000 | Berry Petroleum Company, LLC* 7.000%, 02/15/26 | 346,655 |
| 2,028,000 | Blue Racer Midstream, LLC / Blue Racer Finance Corp.*^ 6.125%, 11/15/22 | 2,056,088 |
| 730,000 | Bruin E&P Partners, LLC* 8.875%, 08/01/23 | 696,807 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 1,237,000 | Buckeye Partners, LPμ‡ 6.375%, 01/22/78 3 mo. USD LIBOR + 4.02% | $ 1,055,742 |
| 2,399,000 | Calfrac Holdings, LP*^ 8.500%, 06/15/26 | 1,820,721 |
| 1,811,000 | California Resources Corp.*^ 8.000%, 12/15/22 | 1,456,252 |
| 1,837,000 | Carrizo Oil & Gas, Inc.^ 6.250%, 04/15/23 | 1,818,033 |
| 1,187,000 | Chaparral Energy, Inc.*^ 8.750%, 07/15/23 | 935,724 |
| 989,000 | Cheniere Energy Partners, LPμ*^ 5.625%, 10/01/26 | 992,996 |
| Chesapeake Energy Corp.^ | ||
| 1,232,000 | 8.000%, 01/15/25 | 1,240,679 |
| 950,000 | 7.000%, 10/01/24 | 929,095 |
| 792,000 | Comstock Resources, Inc.*^ 9.750%, 08/15/26 | 733,614 |
| 2,424,000 | DCP Midstream Operating, LP*^‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% | 2,043,456 |
| 495,000 | DCP Midstream, LP‡ 7.375%, 12/15/22 3 mo. USD LIBOR + 5.15% | 466,914 |
| Denbury Resources, Inc. | ||
| 1,029,000 | 5.500%, 05/01/22 | 754,391 |
| 1,009,000 | 7.500%, 02/15/24*^ | 883,985 |
| 702,000 | 9.250%, 03/31/22*^ | 693,264 |
| 534,000 | Diamond Offshore Drilling, Inc. 7.875%, 08/15/25 | 505,426 |
| Energy Transfer, LP | ||
| 2,503,000 | 5.754%, 11/01/66μ‡ 3 mo. USD LIBOR + 3.02% | 2,009,158 |
| 1,880,000 | 5.875%, 01/15/24μ^ | 2,002,369 |
| 312,000 | 5.500%, 06/01/27^ | 323,967 |
| Enterprise Products Operating, LLCμ‡ | ||
| 1,929,000 | 4.875%, 08/16/77 3 mo. USD LIBOR + 2.99% | 1,722,153 |
| 480,000 | 5.375%, 02/15/78 3 mo. USD LIBOR + 2.57% | 416,203 |
| EP Energy, LLC / Everest Acquisition Finance, Inc.* | ||
| 989,000 | 7.750%, 05/15/26 | 913,208 |
| 890,000 | 9.375%, 05/01/24 | 476,715 |
| Genesis Energy, LP / Genesis Energy Finance Corp.^ | ||
| 1,237,000 | 6.250%, 05/15/26 | 1,137,694 |
| 1,187,000 | 6.500%, 10/01/25 | 1,126,059 |
| Gulfport Energy Corp.^ | ||
| 1,187,000 | 6.375%, 05/15/25 | 1,122,409 |
| 712,000 | 6.000%, 10/15/24 | 670,409 |
| 975,000 | Halcon Resources Corp. 6.750%, 02/15/25 | 742,248 |
| 1,187,000 | HighPoint Operating Corp.^ 7.000%, 10/15/22 | 1,135,947 |
| 1,603,000 | Lonestar Resources America, Inc.* 11.250%, 01/01/23 | 1,521,632 |
| 1,187,000 | Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.* 6.000%, 08/01/26 | 1,173,640 |
| 984,000 | McDermott Technologies Americas, Inc. / McDermott Technology U.S., Inc.* 10.625%, 05/01/24 | 882,171 |
See accompanying Notes to Schedule of Investments
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Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 450,000 | Moss Creek Resources Holdings, Inc.*^ 7.500%, 01/15/26 | $ 403,826 |
| 124,000 | Nabors Industries, Inc.^ 5.750%, 02/01/25 | 108,051 |
| 742,000 | Nine Energy Service, Inc.* 8.750%, 11/01/23 | 744,667 |
| 129,325 | Northern Oil and Gas, Inc. 9.500%, 05/15/23 9.500% PIK rate | 132,781 |
| 846,000 | Oasis Petroleum, Inc.*^ 6.250%, 05/01/26 | 801,826 |
| 1,227,000 | Par Petroleum, LLC / Par Petroleum Finance Corp.* 7.750%, 12/15/25 | 1,140,000 |
| 1,237,000 | PDC Energy, Inc.^ 5.750%, 05/15/26 | 1,167,518 |
| 1,087,500 | Petroleum Geo-Services, ASA* 7.375%, 12/15/20 | 1,047,273 |
| 1,217,000 | Plains All American Pipeline, LPμ‡ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% | 1,092,525 |
| 495,000 | QEP Resources, Inc.^ 5.625%, 03/01/26 | 475,866 |
| 1,855,000 | SESI, LLC^ 7.750%, 09/15/24 | 1,468,826 |
| 519,000 | SM Energy Company^ 6.750%, 09/15/26 | 512,461 |
| 1,029,000 | Southwestern Energy Company^ 7.500%, 04/01/26 | 1,062,571 |
| 787,000 | Sunoco, LP / Sunoco Finance Corp. 5.500%, 02/15/26 | 777,694 |
| 742,000 | Targa Resources Partners, LP / Targa Resources Partners Finance Corp.μ* 6.500%, 07/15/27 | 765,347 |
| 247,000 | TransMontaigne Partners, LP / TLP Finance Corp. 6.125%, 02/15/26 | 226,769 |
| 237,000 | Transocean Pontus, Ltd.* 6.125%, 08/01/25 | 237,893 |
| 1,153,000 | Transocean, Inc.*^ 7.500%, 01/15/26 | 1,098,434 |
| 1,286,000 | Vine Oil & Gas, LP / Vine Oil & Gas Finance Corp.*^ 8.750%, 04/15/23 | 1,068,184 |
| 1,979,000 | W&T Offshore, Inc.*^ 9.750%, 11/01/23 | 1,936,788 |
| 2,553,000 | Weatherford International, Ltd. 8.250%, 06/15/23 | 1,640,022 |
| 1,212,000 | Whiting Petroleum Corp.^ 6.625%, 01/15/26 | 1,189,845 |
| 1,276,000 | WildHorse Resource Development Corp. 6.875%, 02/01/25 | 1,294,693 |
| 57,902,097 | ||
| Financials (6.9%) | ||
| 2,404,000 | Acrisure, LLC / Acrisure Finance, Inc.* 7.000%, 11/15/25 | 2,099,533 |
| 3,509,000 | Ally Financial, Inc. 8.000%, 11/01/31 | 4,221,310 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 1,237,000 | Amwins Group, Inc.* 7.750%, 07/01/26 | $ 1,242,931 |
| Ardonagh Midco 3, PLC* | ||
| 2,192,000 | 8.625%, 07/15/23^ | 1,889,942 |
| 495,000 | 8.625%, 07/15/23 | 421,398 |
| 2,177,000 | AssuredPartners, Inc.* 7.000%, 08/15/25 | 2,089,572 |
| 1,222,000 | Bank of America Corp.μ‡ 5.875%, 03/15/28 3 mo. USD LIBOR + 2.93% | 1,189,483 |
| 1,187,000 | Bank of Nova Scotiaμ^‡ 4.650%, 10/12/22 3 mo. USD LIBOR + 2.65% | 1,062,507 |
| 2,035,000 | Brookfield Residential Properties, Inc.* 6.375%, 05/15/25 | 1,909,746 |
| 2,375,000 | Charles Schwab Corp.μ‡ 5.000%, 12/01/27 3 mo. USD LIBOR + 2.58% | 2,140,742 |
| 1,222,000 | Discover Financial Servicesμ‡ 5.500%, 10/30/27 3 mo. USD LIBOR + 3.08% | 1,125,914 |
| 534,000 | Greystar Real Estate Partners, LLC* 5.750%, 12/01/25 | 532,227 |
| 1,237,000 | HUB International, Ltd.* 7.000%, 05/01/26 | 1,201,084 |
| 1,806,000 | ILFC E-Capital Trust II*‡ 4.800%, 12/21/65 3 mo. USD LIBOR + 1.80% | 1,395,081 |
| 2,661,000 | Iron Mountain, Inc.μ* 5.250%, 03/15/28 | 2,477,231 |
| Jefferies Finance, LLC* | ||
| 2,820,000 | 7.375%, 04/01/20 | 2,832,182 |
| 2,572,000 | 7.250%, 08/15/24 | 2,453,135 |
| 1,153,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.μ* 5.250%, 10/01/25 | 1,061,463 |
| 1,029,000 | Level 3 Financing, Inc.^ 5.375%, 05/01/25 | 1,019,276 |
| 1,237,000 | Lions Gate Capital Holdings, LLC* 6.375%, 02/01/24 | 1,249,852 |
| 1,276,000 | LPL Holdings, Inc.* 5.750%, 09/15/25 | 1,255,157 |
| 2,063,000 | MetLife, Inc.μ^ 6.400%, 12/15/66 | 2,185,687 |
| 2,266,000 | Nationstar Mortgage, LLC / Nationstar Capital Corp. 6.500%, 07/01/21 | 2,263,303 |
| Navient Corp.^ | ||
| 1,484,000 | 6.750%, 06/25/25 | 1,434,917 |
| 625,000 | 6.500%, 06/15/22 | 639,994 |
| 1,069,000 | NexBank Capital, Inc.*‡& 6.375%, 09/30/27 3 mo. USD LIBOR + 4.59% | 1,078,386 |
| 2,004,000 | Oil Insurance, Ltd.*‡ 5.785%, 03/30/19 3 mo. USD LIBOR + 2.98% | 1,915,063 |
| 1,286,000 | Simmons First National Corp.‡ 5.000%, 04/01/28 3 mo. USD LIBOR + 2.15% | 1,278,348 |
| Springleaf Finance Corp. | ||
| 1,623,000 | 6.875%, 03/15/25^ | 1,555,224 |
| 1,217,000 | 7.125%, 03/15/26 | 1,164,249 |
See accompanying Notes to Schedule of Investments
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Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 663,000 | Towne Bank‡ 4.500%, 07/30/27 3 mo. USD LIBOR + 2.55% | $ 660,726 |
| 2,474,000 | Tronox Finance, PLC*^ 5.750%, 10/01/25 | 2,146,022 |
| 51,191,685 | ||
| Health Care (6.3%) | ||
| 2,276,000 | Acadia Healthcare Company, Inc.^ 5.625%, 02/15/23 | 2,235,487 |
| 2,424,000 | Bausch Health Cos., Inc.* 9.000%, 12/15/25 | 2,584,396 |
| Community Health Systems, Inc. | ||
| 3,753,000 | 8.125%, 06/30/24*^ | 2,991,103 |
| 340,000 | 6.875%, 02/01/22 | 193,576 |
| 3,592,000 | DaVita, Inc.^ 5.125%, 07/15/24 | 3,543,275 |
| 3,265,000 | Endo DAC / Endo Finance, LLC / Endo Finco, Inc.*^ 6.000%, 07/15/23 | 2,675,341 |
| 671,000 | Endo Finance, LLC / Endo Finco, Inc.* 7.250%, 01/15/22 | 632,834 |
| HCA, Inc. | ||
| 7,203,000 | 5.875%, 05/01/23 | 7,631,903 |
| 1,163,000 | 7.500%, 11/06/33 | 1,286,778 |
| 1,143,000 | Horizon Pharma, Inc. / Horizon Pharma USA, Inc.*^ 8.750%, 11/01/24 | 1,210,003 |
| 1,237,000 | Magellan Health, Inc.μ 4.400%, 09/22/24 | 1,164,233 |
| 1,633,000 | Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*^ 5.625%, 10/15/23 | 1,382,220 |
| 510,000 | Team Health Holdings, Inc.*^ 6.375%, 02/01/25 | 414,860 |
| Tenet Healthcare Corp. | ||
| 3,478,000 | 6.750%, 06/15/23^ | 3,417,326 |
| 1,390,000 | 4.625%, 07/15/24μ | 1,366,683 |
| 1,261,000 | 6.250%, 02/01/27* | 1,280,558 |
| 124,000 | 6.875%, 11/15/31 | 110,762 |
| 1,484,000 | Teva Pharmaceutical Finance Company, BV^ 2.950%, 12/18/22 | 1,389,521 |
| 3,751,000 | Teva Pharmaceutical Finance IV, BVμ 3.650%, 11/10/21 | 3,633,762 |
| Teva Pharmaceutical Finance Netherlands III, BV^ | ||
| 1,756,000 | 6.000%, 04/15/24 | 1,789,838 |
| 742,000 | 2.800%, 07/21/23 | 669,002 |
| Valeant Pharmaceuticals International* | ||
| 2,444,000 | 8.500%, 01/31/27 | 2,556,363 |
| 1,187,000 | 9.250%, 04/01/26 | 1,276,399 |
| 1,039,000 | West Street Merger Sub, Inc.* 6.375%, 09/01/25 | 942,892 |
| 46,379,115 | ||
| Industrials (5.8%) | ||
| 1,435,000 | ACCO Brands Corp.*^ 5.250%, 12/15/24 | 1,421,418 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 757,000 | Albertsons Companies, LLC / Safeway, Inc. / New Albertsons, LP / Albertson’s, LLC* 7.500%, 03/15/26 | $ 759,790 |
| Allison Transmission, Inc.μ* | ||
| 816,000 | 4.750%, 10/01/27 | 764,506 |
| 519,000 | 5.000%, 10/01/24 | 511,986 |
| 1,435,000 | Arconic, Inc.μ^ 5.125%, 10/01/24 | 1,449,436 |
| 1,350,304 | ARD Securities Finance Sarl* 8.750%, 01/31/23 8.750% PIK rate | 1,184,406 |
| 1,232,000 | Beacon Roofing Supply, Inc.*^ 4.875%, 11/01/25 | 1,155,320 |
| 1,806,000 | Bombardier, Inc.*^ 7.500%, 03/15/25 | 1,741,652 |
| CFX Escrow Corp.* | ||
| 767,000 | 6.375%, 02/15/26 | 767,000 |
| 767,000 | 6.000%, 02/15/24 | 779,464 |
| Covanta Holding Corp. | ||
| 1,385,000 | 5.875%, 03/01/24 | 1,381,648 |
| 287,000 | 5.875%, 07/01/25 | 280,910 |
| 1,237,000 | Delphi Technologies, PLC*^ 5.000%, 10/01/25 | 1,062,769 |
| 1,736,000 | Fly Leasing, Ltd. 5.250%, 10/15/24 | 1,622,223 |
| 247,000 | FXI Holdings, Inc.*^ 7.875%, 11/01/24 | 233,860 |
| 2,182,000 | Garda World Security Corp.* 7.250%, 11/15/21 | 2,141,077 |
| Golden Nugget, Inc.* | ||
| 1,346,000 | 6.750%, 10/15/24 | 1,353,591 |
| 1,088,000 | 8.750%, 10/01/25 | 1,117,572 |
| 1,202,000 | Great Lakes Dredge & Dock Corp. 8.000%, 05/15/22 | 1,239,484 |
| 1,816,000 | H&E Equipment Services, Inc.^ 5.625%, 09/01/25 | 1,777,882 |
| Hertz Corp.^ | ||
| 712,000 | 7.375%, 01/15/21 | 711,053 |
| 267,000 | 7.625%, 06/01/22* | 267,016 |
| Icahn Enterprises, LPμ^ | ||
| 1,316,000 | 6.750%, 02/01/24 | 1,363,527 |
| 1,237,000 | 6.375%, 12/15/25 | 1,272,038 |
| 396,000 | James Hardie International Finance, Ltd.μ* 4.750%, 01/15/25 | 377,665 |
| 1,237,000 | Jeld-Wen, Inc.*^ 4.625%, 12/15/25 | 1,117,382 |
| 618,000 | JPW Industries Holding Corp.* 9.000%, 10/01/24 | 617,533 |
| 2,031,000 | Meritor, Inc. 6.250%, 02/15/24 | 2,044,262 |
| 1,017,000 | Multi-Color Corp.*^ 4.875%, 11/01/25 | 967,030 |
| 1,731,000 | Navistar International Corp.*^ 6.625%, 11/01/25 | 1,740,070 |
| Park Aerospace Holdings, Ltd.* | ||
| 772,000 | 4.500%, 03/15/23μ | 761,779 |
| 514,000 | 5.500%, 02/15/24 | 523,095 |
| 2,177,000 | Park-Ohio Industries, Inc.^ 6.625%, 04/15/27 | 2,119,952 |
| 1,177,000 | Scientific Games International, Inc.*^ 5.000%, 10/15/25 | 1,116,502 |
| 777,000 | Tennant Company 5.625%, 05/01/25 | 772,637 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 5; Value: 1
Field: Sequence; Type: Arabic; Name: PageNo 4 Field: /Sequence
Field: /Page
Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 242,000 | Titan Acquisition, Ltd. / Titan Co-Borrower, LLC*^ 7.750%, 04/15/26 | $ 212,069 |
| 396,000 | TransDigm UK Holdings, PLC* 6.875%, 05/15/26 | 384,966 |
| 772,000 | TransDigm, Inc.* 6.250%, 03/15/26 | 784,815 |
| United Rentals North America, Inc.^ | ||
| 970,000 | 4.875%, 01/15/28 | 920,540 |
| 940,000 | 5.875%, 09/15/26 | 959,228 |
| 475,000 | 6.500%, 12/15/26 | 494,162 |
| 608,000 | Waste Pro USA, Inc.* 5.500%, 02/15/26 | 592,131 |
| 42,865,446 | ||
| Information Technology (1.9%) | ||
| 1,830,000 | Alliance Data Systems Corp.* 5.875%, 11/01/21 | 1,852,033 |
| 475,000 | Cardtronics, Inc.* 5.500%, 05/01/25 | 453,449 |
| 1,919,000 | CBS Radio, Inc.*^ 7.250%, 11/01/24 | 1,815,787 |
| Clear Channel Worldwide Holdings, Inc. | ||
| 2,221,000 | 7.625%, 03/15/20 | 2,220,711 |
| 826,000 | 7.625%, 03/15/20^ | 827,561 |
| 1,113,000 | CommScope Technologies, LLC*^ 6.000%, 06/15/25 | 1,050,967 |
| 2,454,000 | Dell International, LLC / EMC Corp.μ*^ 6.020%, 06/15/26 | 2,565,694 |
| 1,261,000 | Harland Clarke Holdings Corp.* 8.375%, 08/15/22 | 1,184,249 |
| 1,187,000 | Nuance Communications, Inc.μ 6.000%, 07/01/24 | 1,201,126 |
| 1,054,000 | VFH Parent, LLC*^ 6.750%, 06/15/22 | 1,082,168 |
| 14,253,745 | ||
| Materials (3.2%) | ||
| 2,146,000 | AK Steel Corp.^ 6.375%, 10/15/25 | 1,752,456 |
| Alcoa Nederland Holding, BV*^ | ||
| 1,905,000 | 7.000%, 09/30/26 | 2,009,032 |
| 198,000 | 6.125%, 05/15/28 | 200,858 |
| 3,883,000 | ArcelorMittal, SA 7.000%, 10/15/39 | 4,259,923 |
| 2,201,000 | Ardagh Packaging Finance, PLC / Ardagh Holdings USA, Inc.*^ 6.000%, 02/15/25 | 2,143,026 |
| 475,000 | Baffinland Iron Mines Corp. / Baffinland Iron Mines, LP* 8.750%, 07/15/26 | 475,565 |
| First Quantum Minerals, Ltd.* | ||
| 740,000 | 7.000%, 02/15/21^ | 739,019 |
| 594,000 | 7.250%, 04/01/23 | 569,251 |
| 1,781,000 | INEOS Group Holdings, SA*^ 5.625%, 08/01/24 | 1,712,298 |
| 717,000 | JW Aluminum Continuous Cast Company* 10.250%, 06/01/26 | 717,441 |
| 757,000 | Kinross Gold Corp.μ^ 4.500%, 07/15/27 | 683,480 |
| 1,118,000 | New Gold, Inc.* 6.375%, 05/15/25 | 943,379 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 2,854,000 | PBF Holding Company, LLC / PBF Finance Corp. 7.250%, 06/15/25 | $ 2,858,395 |
| 2,325,000 | PH Glatfelter Companyμ 5.375%, 10/15/20 | 2,328,650 |
| United States Steel Corp. | ||
| 2,370,000 | 6.875%, 08/15/25 | 2,269,382 |
| 495,000 | 6.250%, 03/15/26^ | 450,735 |
| 24,112,890 | ||
| Real Estate (0.5%) | ||
| 767,000 | CBL & Associates, LP^ 5.250%, 12/01/23 | 646,090 |
| 2,004,000 | MPT Operating Partnership, LP / MPT Finance Corp.μ 5.000%, 10/15/27 | 1,953,790 |
| 1,237,000 | Starwood Property Trust, Inc.μ^ 4.750%, 03/15/25 | 1,201,838 |
| 3,801,718 | ||
| Utilities (0.9%) | ||
| 297,000 | NGPL PipeCo, LLC*^ 4.875%, 08/15/27 | 295,116 |
| NRG Energy, Inc.^ | ||
| 747,000 | 6.625%, 01/15/27 | 792,223 |
| 735,000 | 5.750%, 01/15/28 | 744,052 |
| 2,325,000 | PPL Capital Funding, Inc.μ^‡ 5.468%, 03/30/67 3 mo. USD LIBOR + 2.67% | 2,115,494 |
| 717,000 | Talen Energy Supply, LLC* 10.500%, 01/15/26 | 667,237 |
| 1,237,000 | TerraForm Power Operating, LLC*^ 5.000%, 01/31/28 | 1,150,892 |
| 1,039,000 | Vistra Energy Corp.* 8.125%, 01/30/26 | 1,126,307 |
| 6,891,321 | ||
| TOTAL CORPORATE BONDS (Cost $395,825,121) | 378,630,127 | |
| CONVERTIBLE BONDS (71.7%) | ||
| Communication Services (3.6%) | ||
| 5,423,000 | GCI Liberty, Inc.* 1.750%, 09/30/46 | 5,773,109 |
| Liberty Media Corp. | ||
| 8,550,000 | 1.375%, 10/15/23 | 9,631,703 |
| 5,350,000 | 2.250%, 09/30/46 | 2,628,482 |
| 1,900,000 | 2.250%, 12/01/48*^ | 1,956,563 |
| 2,750,000 | Liberty Media Corp. / Liberty Formula One 1.000%, 01/30/23 | 2,906,736 |
| 3,850,000 | Twitter, Inc.*^ 0.250%, 06/15/24 | 3,579,326 |
| 26,475,919 | ||
| Consumer Discretionary (7.8%) | ||
| 8,000,000 | Booking Holdings, Inc.~ 0.350%, 06/15/20 | 11,368,600 |
| 4,750,000 | Caesars Entertainment Corp. 5.000%, 10/01/24 | 6,999,243 |
| DISH Network Corp. | ||
| 10,500,000 | 2.375%, 03/15/24^ | 8,683,710 |
| 3,750,000 | 3.375%, 08/15/26 | 3,184,144 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 6; Value: 1
Field: Sequence; Type: Arabic; Name: PageNo 5 Field: /Sequence
Field: /Page
Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| Liberty Interactive, LLC | ||
| 2,368,253 | 4.000%, 11/15/29 | $ 1,601,934 |
| 1,700,000 | 3.750%, 02/15/30 | 1,126,386 |
| 3,250,000 | Marriott Vacations Worldwide Corp. 1.500%, 09/15/22 | 3,047,314 |
| 4,385,000 | NIO, Inc.* 4.500%, 02/01/24 | 4,387,675 |
| 3,850,000 | RH* 0.000%, 06/15/23 | 3,665,335 |
| 12,750,000 | Tesla, Inc.^ 1.250%, 03/01/21 | 13,719,701 |
| 57,784,042 | ||
| Energy (3.2%) | ||
| Helix Energy Solutions Group, Inc. | ||
| 1,714,000 | 4.125%, 09/15/23 | 1,775,730 |
| 1,097,000 | 4.250%, 05/01/22 | 1,060,810 |
| 5,250,000 | Nabors Industries, Inc.^ 0.750%, 01/15/24 | 3,534,011 |
| 5,186,000 | Oil States International, Inc.* 1.500%, 02/15/23 | 4,536,817 |
| 4,700,000 | PDC Energy, Inc. 1.125%, 09/15/21 | 4,258,435 |
| 5,370,000 | SM Energy Company 1.500%, 07/01/21 | 5,109,689 |
| SunEdison, Inc.@ | ||
| 9,411,000 | 0.250%, 01/15/20* | 217,629 |
| 898,000 | 2.000%, 10/01/18 | 20,766 |
| 3,000,000 | TOTAL, SA^ 0.500%, 12/02/22 | 3,163,560 |
| 23,677,447 | ||
| Financials (3.2%) | ||
| 5,375,000 | Hope Bancorp, Inc.* 2.000%, 05/15/38 | 4,812,560 |
| 3,255,000 | IAC FinanceCo, Inc.* 0.875%, 10/01/22 | 4,811,395 |
| 6,800,000 | JPMorgan Chase Bank, N.A. 0.000%, 12/30/20 | 7,157,068 |
| 7,000,000 | JPMorgan | |
| Chase Financial Company, LLC (Voya Financial, Inc.)*§ 0.250%, 05/01/23 | 6,613,845 | |
| 23,394,868 | ||
| Health Care (14.2%) | ||
| 9,961,000 | BioMarin Pharmaceutical, Inc.^ 1.500%, 10/15/20 | 12,032,091 |
| 6,600,000 | CONMED Corp.* 2.625%, 02/01/24 | 6,711,474 |
| 7,700,000 | DexCom, Inc.* 0.750%, 12/01/23 | 8,524,092 |
| 3,750,000 | Evolent Health, Inc.* 1.500%, 10/15/25 | 3,284,119 |
| 3,750,000 | Exact Sciences Corp.^ 1.000%, 01/15/25 | 5,199,394 |
| 2,700,000 | Flexion Therapeutics, | |
| Inc.^ 3.375%, 05/01/24 | 2,451,411 | |
| Illumina, Inc.^ | ||
| 5,000,000 | 0.500%, 06/15/21 | 6,338,625 |
| 1,550,000 | 0.000%, 06/15/19 | 1,771,952 |
| Innoviva, Inc. | ||
| 3,500,000 | 2.125%, 01/15/23^ | 3,764,600 |
| 517,000 | 2.500%, 08/15/25 | 615,845 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 1,667,000 | Insmed, Inc. 1.750%, 01/15/25 | $ 1,516,162 |
| 6,750,000 | Insulet Corp.* 1.375%, 11/15/24 | 7,404,851 |
| 5,900,000 | Ionis Pharmaceuticals, Inc. 1.000%, 11/15/21 | 6,556,286 |
| 3,250,000 | Jazz Investments I, Ltd.^ 1.875%, 08/15/21 | 3,185,634 |
| 4,000,000 | Ligand Pharmaceuticals, Inc.* 0.750%, 05/15/23 | 3,413,380 |
| 2,750,000 | Neurocrine Biosciences, Inc. 2.250%, 05/15/24 | 3,735,408 |
| 4,050,000 | NuVasive, Inc. 2.250%, 03/15/21 | 4,333,014 |
| 7,000,000 | Pacira Pharmaceuticals, Inc. 2.375%, 04/01/22 | 6,969,795 |
| 2,350,000 | Sarepta Therapeutics, Inc. 1.500%, 11/15/24 | 4,809,804 |
| 3,094,000 | Supernus Pharmaceuticals, Inc.*^ 0.625%, 04/01/23 | 3,065,860 |
| 4,000,000 | Teladoc Health, Inc.*^ 1.375%, 05/15/25 | 5,609,880 |
| 3,900,000 | Wright Medical Group, Inc.*^ 1.625%, 06/15/23 | 4,191,154 |
| 105,484,831 | ||
| Industrials (4.2%) | ||
| 3,750,000 | Air Transport Services Group, Inc. 1.125%, 10/15/24 | 3,709,031 |
| 3,650,000 | Atlas Air Worldwide Holdings, Inc.^ 2.250%, 06/01/22 | 3,779,758 |
| 5,250,000 | Dycom Industries, Inc.^ 0.750%, 09/15/21 | 5,055,855 |
| 3,250,000 | Echo Global Logistics, Inc.^ 2.500%, 05/01/20 | 3,228,209 |
| 2,812,000 | FTI Consulting, Inc.* 2.000%, 08/15/23 | 2,720,680 |
| 8,000,000 | Greenbrier Companies, Inc. 2.875%, 02/01/24 | 8,264,640 |
| 3,250,000 | Meritor, Inc. 3.250%, 10/15/37 | 3,082,755 |
| 1,833,000 | Patrick Industries, Inc.* 1.000%, 02/01/23 | 1,519,264 |
| 31,360,192 | ||
| Information Technology (32.9%) | ||
| 2,250,000 | Advanced Micro Devices, Inc.^ 2.125%, 09/01/26 | 7,036,751 |
| 6,997,000 | Akamai Technologies, Inc.*^ 0.125%, 05/01/25 | 6,675,243 |
| 1,900,000 | Atlassian, Inc.*^ 0.625%, 05/01/23 | 2,575,023 |
| 7,700,000 | DocuSign, Inc.*^ 0.500%, 09/15/23 | 7,714,399 |
| Envestnet, Inc. | ||
| 3,850,000 | 1.750%, 06/01/23* | 4,033,318 |
| 3,250,000 | 1.750%, 12/15/19 | 3,377,498 |
| 6,291,000 | Finisar Corp.^ 0.500%, 12/15/36 | 6,086,165 |
| 4,000,000 | FireEye, Inc.*^ 0.875%, 06/01/24 | 4,183,740 |
| 7,000,000 | Guidewire Software, Inc. 1.250%, 03/15/25 | 7,088,445 |
| 6,200,000 | II-VI, Inc. 0.250%, 09/01/22 | 6,544,596 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 7; Options: NewSection; Value: 6
Field: Sequence; Type: Arabic; Name: PageNo 6 Field: /Sequence
Field: /Page
Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 8,350,000 | Inphi Corp.^ 0.750%, 09/01/21 | $ 8,246,543 |
| 4,750,000 | Intel Corp.~ 3.250%, 08/01/39 | 10,905,050 |
| 4,250,000 | Lumentum Holdings, Inc.^ 0.250%, 03/15/24 | 4,587,896 |
| 16,500,000 | Microchip Technology, Inc. 1.625%, 02/15/27 | 17,746,162 |
| 5,250,000 | Micron Technology, Inc.~ 3.000%, 11/15/43 | 6,883,091 |
| 5,275,000 | New Relic, Inc.*^ 0.500%, 05/01/23 | 6,030,723 |
| 6,500,000 | NXP Semiconductors, NV 1.000%, 12/01/19 | 6,705,302 |
| ON Semiconductor Corp. | ||
| 5,918,000 | 1.000%, 12/01/20 | 7,280,235 |
| 5,250,000 | 1.625%, 10/15/23^ | 6,353,734 |
| 5,500,000 | OSI Systems, Inc. 1.250%, 09/01/22 | 5,648,967 |
| 15,850,000 | Palo Alto Networks, Inc.* 0.750%, 07/01/23 | 16,531,233 |
| 3,900,000 | Pure Storage, Inc.*^ 0.125%, 04/15/23 | 3,795,266 |
| 1,861,000 | Q2 Holdings, Inc.*^ 0.750%, 02/15/23 | 2,193,672 |
| 3,375,000 | Quotient Technology, Inc. 1.750%, 12/01/22 | 3,166,898 |
| 2,219,000 | Rapid7, Inc.*^ 1.250%, 08/01/23 | 2,613,372 |
| 2,300,000 | RealPage, Inc. 1.500%, 11/15/22 | 3,306,331 |
| 3,000,000 | Silicon Laboratories, Inc.^ 1.375%, 03/01/22 | 3,176,355 |
| Splunk, Inc.* | ||
| 7,620,000 | 1.125%, 09/15/25 | 8,199,234 |
| 7,620,000 | 0.500%, 09/15/23 | 8,136,598 |
| 7,700,000 | Square, Inc.*^ 0.500%, 05/15/23 | 9,090,774 |
| 2,757,000 | Synaptics, Inc.^ 0.500%, 06/15/22 | 2,476,103 |
| 2,750,000 | Twilio, Inc.*^ 0.250%, 06/01/23 | 4,660,507 |
| 5,500,000 | Viavi Solutions, Inc.^ 1.000%, 03/01/24 | 5,789,410 |
| 7,800,000 | Wix.com, Ltd.*^ 0.000%, 07/01/23 | 8,126,118 |
| 13,500,000 | Workday, Inc. 0.250%, 10/01/22 | 18,187,470 |
| 7,000,000 | Zendesk, Inc.* 0.250%, 03/15/23 | 8,737,365 |
| 243,889,587 | ||
| Materials | ||
| (0.6%) | ||
| 4,700,000 | Royal Gold, Inc. 2.875%, 06/15/19 | 4,713,136 |
| Real | ||
| Estate (1.4%) | ||
| 3,446,000 | Empire State Realty OP, LP* 2.625%, 08/15/19 | 3,427,995 |
| 3,600,000 | IH Merger Sub, LLC 3.500%, 01/15/22 | 3,938,922 |
| 2,750,000 | Starwood Property Trust, Inc.^ 4.375%, 04/01/23 | 2,750,495 |
| 10,117,412 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| Utilities | ||
| (0.6%) | ||
| 4,000,000 | NRG | |
| Energy, Inc.* 2.750%, | ||
| 06/01/48 | $ 4,446,860 | |
| TOTAL | ||
| CONVERTIBLE BONDS (Cost | ||
| $551,562,858) | 531,344,294 | |
| U.S. GOVERNMENT | ||
| AND AGENCY SECURITIES (1.4%) | ||
| United States Treasury | ||
| Note | ||
| 6,678,000 | 1.875%, 05/31/22 | 6,559,561 |
| 3,463,000 | 2.375%, 03/15/21 | 3,457,423 |
| TOTAL | ||
| U.S. GOVERNMENT AND AGENCY SECURITIES (Cost | ||
| $10,091,230) | 10,016,984 | |
| BANK LOANS | ||
| (4.8%) | ||
| Communication | ||
| Services (0.9%) | ||
| 249,370 | Charter | |
| Communications Operating, LLC‡ 4.500%, | ||
| 04/30/25 1 | ||
| mo. LIBOR + 2.00% | 246,465 | |
| 1,197,000 | Cincinnati | |
| Bell, Inc.‡ 5.749%, | ||
| 10/02/24 1 | ||
| mo. LIBOR + 3.25% | 1,184,659 | |
| 897,854 | Cumulus | |
| Media New Holdings Inc.‡ 7.000%, | ||
| 05/15/22 1 | ||
| mo. LIBOR + 4.50% | 869,123 | |
| 1,300,000 | Intelsat | |
| Jackson Holdings, SA 6.625%, | ||
| 01/02/24 | 1,305,687 | |
| 1,729,220 | New | |
| Media Holdings II, LLC‡ 8.749%, | ||
| 07/14/22 1 | ||
| mo. LIBOR + 6.25% | 1,720,574 | |
| 1,435,000 | Sprint | |
| Communications, Inc.‡ 5.500%, | ||
| 02/02/24 1 | ||
| mo. LIBOR + 3.00% | 1,417,514 | |
| 6,744,022 | ||
| Consumer | ||
| Discretionary (0.7%) | ||
| 497,500 | American | |
| Greetings Corp.‡ 7.023%, | ||
| 04/06/24 1 | ||
| mo. LIBOR + 4.50% | 490,659 | |
| 795,866 | PetSmart, | |
| Inc.‡ 5.520%, | ||
| 03/11/22 1 | ||
| mo. LIBOR + 3.00% | 669,343 | |
| 1,750,000 | R.R. | |
| Donnelley & Sons Company‡ 7.510%, | ||
| 01/15/24 1 | ||
| mo. LIBOR + 5.00% | 1,737,969 | |
| 2,375,000 | Weight | |
| Watchers International, Inc.‡ 7.560%, | ||
| 11/29/24 1 | ||
| mo. LIBOR + 4.75% | 2,370,547 | |
| 5,268,518 | ||
| Energy | ||
| (0.2%) | ||
| 992,500 | McDermott | |
| Tech Americas, Inc.‡ 7.499%, | ||
| 05/10/25 1 | ||
| mo. LIBOR + 5.00% | 954,592 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 8; Options: NewSection; Value: 7
Field: Sequence; Type: Arabic; Name: PageNo 7 Field: /Sequence
Field: /Page
Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 500,000 | Par Pacific Holdings, Inc.‡ 9.550%, 12/17/25 1 mo. LIBOR + 6.75% | $ 501,250 |
| 1,455,842 | ||
| Financials (0.4%) | ||
| 248,039 | AssuredPartners, Inc.‡ 5.749%, 10/22/24 1 mo. LIBOR + 3.25% | 240,845 |
| 1,191,000 | Genworth Financial, Inc.‡ 7.008%, 03/07/23 1 mo. LIBOR + 4.50% | 1,193,233 |
| 763,636 | GLP Financing, LLC‡ 4.019%, 04/28/21 1 mo. LIBOR + 1.50% | 754,091 |
| 995,000 | HUB International, Ltd.‡ 5.514%, 04/25/25 1 mo. LIBOR + 2.75% | 961,419 |
| 250,000 | Level 3 Financing, Inc.‡ 4.756%, 02/22/24 1 mo. LIBOR + 2.25% | 246,055 |
| 3,395,643 | ||
| Health | ||
| Care (1.6%) | ||
| 2,486,922 | Amneal Pharmaceuticals, LLC‡ 6.000%, 05/04/25 1 mo. LIBOR + 3.50% | 2,470,334 |
| 673,750 | Bausch Health Cos., Inc.‡ 5.263%, 11/27/25 1 mo. LIBOR + 2.75% | 665,486 |
| 1,775,000 | Gentiva Health Services, Inc.‡ 9.500%, 07/02/26 1 mo. LIBOR + 7.00% | 1,802,734 |
| 584,959 | Gentiva Health Services, Inc.‡ 6.250%, 07/02/25 1 mo. LIBOR + 3.75% | 582,035 |
| 1,169,460 | Mallinckrodt International Finance, SA‡ 5.553%, 09/24/24 1 mo. LIBOR + 2.75% | 1,093,234 |
| 1,182,000 | Ortho Clinical Diagnostics, SA‡ 5.760%, 06/30/25 1 mo. LIBOR + 3.25% | 1,146,174 |
| 1,999,647 | Team Health Holdings, Inc.‡ 5.249%, 02/06/24 1 mo. LIBOR + 2.75% | 1,804,682 |
| 2,372,022 | Valeant Pharmaceuticals International, Inc.‡ 5.513%, 06/02/25 1 mo. LIBOR + 3.00% | 2,350,188 |
| 11,914,867 | ||
| Industrials | ||
| (0.4%) | ||
| 750,000 | RegionalCare Hospital Partners Holdings, Inc.‡ 7.129%, 11/16/25 1 mo. LIBOR + 4.50% | 733,500 |
| 1,176,113 | Scientific Games International, Inc.‡ 5.249%, 08/14/24 1 mo. LIBOR + 2.75% | 1,141,929 |
| 1,188,000 | TransDigm, Inc.‡ 4.999%, 08/22/24 1 mo. LIBOR + 2.50% | 1,161,828 |
| 3,037,257 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| Information Technology (0.3%) | ||
| 1,150,000 | BMC Software Finance, Inc.‡ 7.053%, 10/02/25 1 mo. LIBOR + 4.25% | $ 1,125,154 |
| 1,225,000 | First Data Corp.‡ 4.519%, 04/26/24 1 mo. LIBOR + 2.00% | 1,221,797 |
| 2,346,951 | ||
| Information Technology (0.1%) | ||
| 398,990 | Dell International LLC‡ 4.500%, 09/07/23 1 mo. LIBOR + 2.00% | 394,106 |
| Real Estate (0.2%) | ||
| 1,194,000 | iStar, Inc.‡ 5.258%, 06/28/23 1 mo. LIBOR + 2.75% | 1,184,299 |
| TOTAL | ||
| BANK LOANS (Cost $36,257,505) | 35,741,505 | |
| SYNTHETIC CONVERTIBLE SECURITIES (0.7%) ¤ | ||
| Corporate Bonds (0.6%) | ||
| Airlines (0.0%) | ||
| 6,000 | UAL | |
| Pass Through Trust Series 2007-1μ 6.636%, 01/02/24 | 6,215 | |
| Communication Services (0.1%) | ||
| 11,000 | Altice Financing, SA*^ 7.500%, 05/15/26 | 10,455 |
| 25,000 | Altice France, SA* 7.375%, 05/01/26 | 24,161 |
| Altice Luxembourg, SA*^ | ||
| 5,000 | 7.750%, 05/15/22 | 4,860 |
| 4,000 | 7.625%, 02/15/25 | 3,406 |
| Cincinnati Bell, Inc.*^ | ||
| 14,000 | 8.000%, 10/15/25 | 12,196 |
| 4,000 | 7.000%, 07/15/24 | 3,455 |
| 8,000 | Consolidated Communications, Inc.^ 6.500%, 10/01/22 | 7,330 |
| CSC Holdings, LLC*^ | ||
| 37,000 | 5.500%, 04/15/27μ | 36,252 |
| 16,000 | 5.500%, 05/15/26 | 15,882 |
| 12,000 | 7.500%, 04/01/28 | 12,357 |
| 62,000 | Embarq Corp.μ 7.995%, 06/01/36 | 58,516 |
| Frontier Communications Corp. | ||
| 33,000 | 11.000%, 09/15/25^ | 21,371 |
| 25,000 | 7.625%, 04/15/24 | 13,521 |
| 11,000 | 8.500%, 04/01/26*^ | 9,991 |
| Gray Television, Inc.*^ | ||
| 13,000 | 5.875%, 07/15/26 | 12,772 |
| 6,000 | 7.000%, 05/15/27 | 6,237 |
| Hughes Satellite Systems Corp.^ | ||
| 13,000 | 6.625%, 08/01/26 | 12,594 |
| 3,000 | 5.250%, 08/01/26μ | 2,899 |
| Inmarsat Finance, PLC*^ | ||
| 15,000 | 4.875%, 05/15/22 | 14,558 |
| 10,000 | 6.500%, 10/01/24μ | 9,717 |
| Intelsat Jackson Holdings, SA | ||
| 18,000 | 9.750%, 07/15/25* | 18,773 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 9; Options: NewSection; Value: 8
Field: Sequence; Type: Arabic; Name: PageNo 8 Field: /Sequence
Field: /Page
Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT — 11,000 | 5.500%, 08/01/23^ | $ 10,015 |
|---|---|---|
| 10,000 | 8.000%, 02/15/24*^ | 10,426 |
| 5,000 | MDC Partners, Inc.*^ 6.500%, 05/01/24 | 4,582 |
| 13,000 | Qwest Corp.μ 6.875%, 09/15/33 | 12,262 |
| 5,000 | SBA Communications Corp.^ 4.000%, 10/01/22 | 4,971 |
| Sprint Corp. | ||
| 50,000 | 7.875%, 09/15/23^ | 53,194 |
| 26,000 | 7.125%, 06/15/24 | 26,744 |
| 14,000 | 7.625%, 03/01/26^ | 14,557 |
| 13,000 | T-Mobile USA, Inc.^ 4.750%, 02/01/28 | 12,528 |
| 8,000 | Telecom Italia Capital, SA^ 6.000%, 09/30/34 | 6,971 |
| 20,000 | United States Cellular Corp. 6.700%, 12/15/33 | 20,764 |
| 5,000 | Wind Tre, S.p.A.*^ 5.000%, 01/20/26 | 4,164 |
| Windstream Services, LLC / Windstream Finance Corp. | ||
| 13,000 | 8.625%, 10/31/25* | 12,314 |
| 4,000 | 7.750%, 10/01/21 | 2,512 |
| 2,000 | 10.500%, 06/30/24* | 1,660 |
| 508,967 | ||
| Consumer Discretionary (0.1%) | ||
| 5,000 | American Greetings Corp.* 7.875%, 02/15/25 | 4,186 |
| 14,000 | Beverages & More, Inc.* 11.500%, 06/15/22 | 10,590 |
| 13,000 | Boyd Gaming Corp.^ 6.000%, 08/15/26 | 13,066 |
| 13,000 | Caesars Resort Collection, LLC / CRC Finco, Inc.*^ 5.250%, 10/15/25 | 12,151 |
| CCO Holdings, LLC / CCO Holdings Capital Corp.^ | ||
| 27,000 | 5.125%, 05/01/27* | 26,156 |
| 10,000 | 5.750%, 09/01/23 | 10,203 |
| 6,000 | 5.000%, 02/01/28* | 5,710 |
| Century Communities, Inc. | ||
| 25,000 | 5.875%, 07/15/25 | 23,101 |
| 14,000 | 6.875%, 05/15/22 | 14,101 |
| 36,000 | Dana Financing Luxembourg Sarl* 6.500%, 06/01/26 | 36,112 |
| DISH DBS Corp.^ | ||
| 12,000 | 7.750%, 07/01/26 | 10,361 |
| 8,000 | 5.875%, 11/15/24 | 6,653 |
| 24,000 | Eldorado Resorts, Inc.^ 6.000%, 04/01/25 | 24,156 |
| 12,000 | ESH Hospitality, Inc.*^ 5.250%, 05/01/25 | 11,889 |
| 13,000 | GLP Capital, LP / GLP Financing II, Inc.μ 5.250%, 06/01/25 | 13,413 |
| 11,000 | goeasy, Ltd.μ* 7.875%, 11/01/22 | 11,537 |
| 16,000 | Guitar Center Escrow Issuer, Inc.* 9.500%, 10/15/21 | 15,062 |
| 25,000 | Hasbro, Inc. 6.600%, 07/15/28 | 28,833 |
| 13,000 | International Game Technology, PLCμ*^ 6.250%, 01/15/27 | 13,197 |
| PRINCIPAL AMOUNT — 40,000 | L Brands, Inc.^ 6.875%, 11/01/35 | $ 34,586 |
|---|---|---|
| 13,000 | Lennar Corp.μ 5.250%, 06/01/26 | 12,689 |
| 14,000 | M/I Homes, Inc. 5.625%, 08/01/25 | 12,907 |
| Mattel, Inc. | ||
| 27,000 | 6.750%, 12/31/25*^ | 25,536 |
| — | 2.350%, 08/15/21 | — |
| 12,000 | Mclaren Finance, PLC* 5.750%, 08/01/22 | 11,055 |
| 20,000 | Meritage Homes Corp. 7.000%, 04/01/22 | 21,063 |
| 26,000 | MGM Resorts International^ 6.750%, 10/01/20 | 27,199 |
| 5,000 | Neiman Marcus Group Ltd., LLC* 8.000%, 10/15/21 | 2,259 |
| 24,000 | Penske Automotive Group, Inc. 5.375%, 12/01/24 | 23,611 |
| PetSmart, Inc.*^ | ||
| 9,000 | 5.875%, 06/01/25 | 7,090 |
| 3,000 | 8.875%, 06/01/25 | 1,903 |
| Rite Aid Corp. | ||
| 28,000 | 7.700%, 02/15/27 | 19,215 |
| 8,000 | 6.125%, 04/01/23*^ | 6,760 |
| 36,000 | Royal Caribbean Cruises, Ltd.μ^ 7.500%, 10/15/27 | 42,720 |
| 18,000 | Salem Media Group, Inc.* 6.750%, 06/01/24 | 16,426 |
| 13,000 | Sally Holdings, LLC / Sally Capital, Inc.^ 5.625%, 12/01/25 | 12,668 |
| 37,000 | Service Corp. International 7.500%, 04/01/27 | 40,492 |
| 13,000 | Sotheby’s*^ 4.875%, 12/15/25 | 12,444 |
| 10,000 | Taylor Morrison Communities Corp. 6.625%, 05/15/22 | 10,188 |
| 32,000 | Taylor Morrison Communities Corp. / Taylor Morrison Holdings II, Inc.*^ 5.250%, 04/15/21 | 32,115 |
| 5,000 | US Airways Pass Through Trust Series 2012-2, Class B 6.750%, 12/03/22 | 5,217 |
| 11,000 | VOC Escrow, Ltd.μ* 5.000%, 02/15/28 | 10,718 |
| 679,338 | ||
| Consumer | ||
| Staples (0.0%) | ||
| 8,000 | Albertsons | |
| Companies, LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertson’s, LLC 5.750%, 03/15/25 | 7,500 | |
| 8,000 | Energizer Holdings, Inc.*^ 6.375%, 07/15/26 | 7,790 |
| 15,000 | Fresh Market, Inc.* 9.750%, 05/01/23 | 11,268 |
| JBS USA LUX, SA / JBS | ||
| USA Finance, Inc.* | ||
| 83,000 | 7.250%, 06/01/21 | 84,266 |
| 19,000 | 6.750%, 02/15/28 | 19,409 |
| New Albertson’s, Inc. | ||
| 16,000 | 7.450%, 08/01/29 | 14,058 |
| 9,000 | 7.750%, 06/15/26 | 8,200 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 10; Options: NewSection; Value: 9
Field: Sequence; Type: Arabic; Name: PageNo 9 Field: /Sequence
Field: /Page
Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT — 6,000 | 8.000%, 05/01/31 | $ 5,397 |
|---|---|---|
| Pilgrim’s Pride Corp.*^ | ||
| 20,000 | 5.875%, 09/30/27 | 19,402 |
| 5,000 | 5.750%, 03/15/25 | 4,907 |
| Post Holdings, Inc.* | ||
| 13,000 | 5.750%, 03/01/27 | 12,770 |
| 3,000 | 5.625%, 01/15/28 | 2,884 |
| Simmons Foods, Inc.* | ||
| 11,000 | 7.750%, 01/15/24 | 11,387 |
| 6,000 | 5.750%, 11/01/24^ | 4,916 |
| 214,154 | ||
| Energy (0.1%) | ||
| 8,000 | Apergy Corp. 6.375%, 05/01/26 | 7,892 |
| 4,000 | Berry Petroleum Company, LLC* 7.000%, 02/15/26 | 3,895 |
| 22,000 | Blue Racer Midstream, LLC / Blue Racer Finance Corp.*^ 6.125%, 11/15/22 | 22,305 |
| 8,000 | Bruin E&P Partners, LLC* 8.875%, 08/01/23 | 7,636 |
| 13,000 | Buckeye Partners, LPμ‡ 6.375%, 01/22/78 3 mo. USD LIBOR + 4.02% | 11,095 |
| 26,000 | Calfrac Holdings, LP*^ 8.500%, 06/15/26 | 19,733 |
| 19,000 | California Resources Corp.*^ 8.000%, 12/15/22 | 15,278 |
| 20,000 | Carrizo Oil & Gas, Inc.^ 6.250%, 04/15/23 | 19,794 |
| 13,000 | Chaparral Energy, Inc.*^ 8.750%, 07/15/23 | 10,248 |
| 11,000 | Cheniere Energy Partners, LPµ*^ 5.625%, 10/01/26 | 11,045 |
| Chesapeake Energy Corp.^ | ||
| 13,000 | 8.000%, 01/15/25 | 13,092 |
| 10,000 | 7.000%, 10/01/24 | 9,780 |
| 8,000 | Comstock Resources, Inc.*^ 9.750%, 08/15/26 | 7,410 |
| 26,000 | DCP Midstream Operating, LP*^‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% | 21,918 |
| 5,000 | DCP Midstream, LP‡ 7.375%, 12/15/22 3 mo. USD LIBOR + 5.15% | 4,716 |
| Denbury Resources, Inc. | ||
| 11,000 | 7.500%, 02/15/24*^ | 9,637 |
| 11,000 | 5.500%, 05/01/22 | 8,064 |
| 8,000 | 9.250%, 03/31/22*^ | 7,900 |
| 6,000 | Diamond Offshore Drilling, Inc. 7.875%, 08/15/25 | 5,679 |
| Energy Transfer, LP | ||
| 27,000 | 5.754%, 11/01/66μ‡ 3 mo. USD LIBOR + 3.02% | 21,673 |
| 20,000 | 5.875%, 01/15/24μ^ | 21,302 |
| 3,000 | 5.500%, 06/01/27^ | 3,115 |
| Enterprise Products Operating, LLCμ‡ | ||
| 21,000 | 4.875%, 08/16/77 3 mo. USD LIBOR + 2.99% | 18,748 |
| 5,000 | 5.375%, 02/15/78 3 mo. USD LIBOR + 2.57% | 4,336 |
| EP Energy, LLC / Everest Acquisition Finance, Inc.* | ||
| 11,000 | 7.750%, 05/15/26 | 10,157 |
| PRINCIPAL AMOUNT — 10,000 | 9.375%, 05/01/24 | $ 5,356 |
|---|---|---|
| Genesis Energy, LP / Genesis Energy Finance Corp.^ | ||
| 13,000 | 6.500%, 10/01/25 | 12,333 |
| 13,000 | 6.250%, 05/15/26 | 11,956 |
| Gulfport Energy Corp.^ | ||
| 13,000 | 6.375%, 05/15/25 | 12,293 |
| 8,000 | 6.000%, 10/15/24 | 7,533 |
| 10,000 | Halcon Resources Corp. 6.750%, 02/15/25 | 7,613 |
| 13,000 | HighPoint Operating Corp.^ 7.000%, 10/15/22 | 12,441 |
| 17,000 | Lonestar Resources America, Inc.* 11.250%, 01/01/23 | 16,137 |
| 13,000 | Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.* 6.000%, 08/01/26 | 12,854 |
| 11,000 | McDermott Technologies Americas, Inc. / McDermott Technology U.S., Inc.* 10.625%, 05/01/24 | 9,862 |
| 5,000 | Moss Creek Resources Holdings, Inc.*^ 7.500%, 01/15/26 | 4,487 |
| 1,000 | Nabors Industries, Inc.^ 5.750%, 02/01/25 | 871 |
| 8,000 | Nine Energy Service, Inc.* 8.750%, 11/01/23 | 8,029 |
| 1,000 | Northern Oil and Gas, Inc. 9.500%, 05/15/23 9.500% PIK rate | 1,027 |
| 9,000 | Oasis Petroleum, Inc.*^ 6.250%, 05/01/26 | 8,530 |
| 13,000 | Par Petroleum LLC / Par Petroleum Finance Corp.* 7.750%, 12/15/25 | 12,078 |
| 13,000 | PDC Energy, Inc.^ 5.750%, 05/15/26 | 12,270 |
| 12,000 | Petroleum Geo-Services, ASA* 7.375%, 12/15/20 | 11,556 |
| 13,000 | Plains All American Pipeline, LPμ‡ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% | 11,670 |
| 5,000 | QEP Resources, Inc.^ 5.625%, 03/01/26 | 4,807 |
| 20,000 | SESI, LLC^ 7.750%, 09/15/24 | 15,836 |
| 6,000 | SM Energy Company^ 6.750%, 09/15/26 | 5,924 |
| 11,000 | Southwestern Energy Company^ 7.500%, 04/01/26 | 11,359 |
| 8,000 | Sunoco, LP / Sunoco Finance Corp. 5.500%, 02/15/26 | 7,905 |
| 8,000 | Targa Resources Partners, LP / Targa Resources Partners Finance Corp.μ* 6.500%, 07/15/27 | 8,252 |
| 3,000 | TransMontaigne Partners, LP / TLP Finance Corp. 6.125%, 02/15/26 | 2,754 |
| 3,000 | Transocean Pontus, Ltd.* 6.125%, 08/01/25 | 3,011 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 11; Options: NewSection; Value: 10
Field: Sequence; Type: Arabic; Name: PageNo 10 Field: /Sequence
Field: /Page
Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 12,000 | Transocean, | |
| Inc.*^ 7.500%, 01/15/26 | $ 11,432 | |
| 14,000 | Vine Oil & Gas, LP | |
| / Vine Oil & Gas Finance Corp.*^ 8.750%, 04/15/23 | 11,629 | |
| 21,000 | W&T Offshore, Inc.*^ 9.750%, 11/01/23 | 20,552 |
| 27,000 | Weatherford International, | |
| Ltd. 8.250%, 06/15/23 | 17,345 | |
| 13,000 | Whiting Petroleum Corp.^ 6.625%, 01/15/26 | 12,762 |
| 14,000 | WildHorse Resource Development | |
| Corp. 6.875%, 02/01/25 | 14,205 | |
| 623,117 | ||
| Financials | ||
| (0.1%) | ||
| 26,000 | Acrisure, LLC / Acrisure | |
| Finance, Inc.* 7.000%, 11/15/25 | 22,707 | |
| 38,000 | Ally Financial, Inc. 8.000%, 11/01/31 | 45,714 |
| 13,000 | Amwins Group, Inc.* 7.750%, | |
| 07/01/26 | 13,062 | |
| Ardonagh Midco 3, PLC* | ||
| 23,000 | 8.625%, 07/15/23^ | 19,831 |
| 5,000 | 8.625%, 07/15/23 | 4,257 |
| 23,000 | AssuredPartners, Inc.* 7.000%, 08/15/25 | 22,076 |
| 13,000 | Bank of America Corp.μ‡ 5.875%, 03/15/28 3 mo. USD LIBOR + 2.93% | 12,654 |
| 13,000 | Bank of Nova Scotiaμ^‡ 4.650%, 10/12/22 3 mo. USD LIBOR + 2.65% | 11,637 |
| 22,000 | Brookfield Residential | |
| Properties, Inc.* 6.375%, 05/15/25 | 20,646 | |
| 25,000 | Charles Schwab Corp.μ‡ 5.000%, 12/01/27 3 mo. USD LIBOR + 2.58% | 22,534 |
| 13,000 | Discover Financial Servicesμ‡ 5.500%, 10/30/27 3 mo. USD LIBOR + 3.08% | 11,978 |
| 6,000 | Greystar Real Estate | |
| Partners, LLC* 5.750%, 12/01/25 | 5,980 | |
| 13,000 | HUB International, Ltd.* 7.000%, 05/01/26 | 12,623 |
| 19,000 | ILFC E-Capital Trust | |
| II*‡ 4.800%, 12/21/65 3 mo. USD LIBOR + 1.80% | 14,677 | |
| 29,000 | Iron Mountain, Inc.μ* 5.250%, 03/15/28 | 26,997 |
| Jefferies Finance, LLC* | ||
| 30,000 | 7.375%, 04/01/20 | 30,130 |
| 28,000 | 7.250%, 08/15/24 | 26,706 |
| 12,000 | Ladder Capital Finance | |
| Holdings LLLP / Ladder Capital Finance Corp.μ* 5.250%, 10/01/25 | 11,047 | |
| 11,000 | Level 3 Financing, Inc.^ 5.375%, 05/01/25 | 10,896 |
| 13,000 | Lions Gate Capital Holdings, | |
| LLC* 6.375%, 02/01/24 | 13,135 |
| PRINCIPAL
AMOUNT | | VALUE |
| --- | --- | --- |
| 14,000 | LPL Holdings,
Inc. 5.750%, 09/15/25 | $ 13,771 |
| 22,000 | MetLife, Inc.μ^ 6.400%,
12/15/66 | 23,308 |
| 24,000 | Nationstar Mortgage,
LLC / Nationstar Capital Corp. 6.500%, 07/01/21 | 23,971 |
| | Navient Corp.^ | |
| 16,000 | 6.750%, 06/25/25 | 15,471 |
| 7,000 | 6.500%, 06/15/22 | 7,168 |
| 11,000 | NexBank Capital, Inc.‡& 6.375%, 09/30/27 3 mo. USD LIBOR + 4.59% | 11,097 |
| 21,000 | Oil Insurance, Ltd.‡ 5.785%, 03/30/19 3 mo. USD LIBOR + 2.98% | 20,068 |
| 14,000 | Simmons First National
Corp.‡ 5.000%, 04/01/28 3 mo. USD LIBOR + 2.15% | 13,917 |
| | Springleaf Finance Corp. | |
| 17,000 | 6.875%, 03/15/25^ | 16,290 |
| 13,000 | 7.125%, 03/15/26 | 12,436 |
| 7,000 | Towne Bank‡ 4.500%,
07/30/27 3 mo. USD LIBOR + 2.55% | 6,976 |
| 26,000 | Tronox Finance, PLC^ 5.750%, 10/01/25 | 22,553 |
| | | 546,313 |
| | Health
Care (0.1%) | |
| 24,000 | Acadia Healthcare Company,
Inc.^ 5.625%, 02/15/23 | 23,573 |
| 26,000 | Bausch Health Cos., Inc. 9.000%, 12/15/25 | 27,720 |
| | Community Health Systems,
Inc. | |
| 40,000 | 8.125%, 06/30/24^ | 31,880 |
| 4,000 | 6.875%, 02/01/22 | 2,277 |
| 38,000 | DaVita, Inc.^ 5.125%,
07/15/24 | 37,485 |
| 35,000 | Endo DAC / Endo Finance,
LLC / Endo Finco, Inc.^ 6.000%, 07/15/23 | 28,679 |
| 7,000 | Endo Finance, LLC / Endo
Finco, Inc. 7.250%, 01/15/22 | 6,602 |
| | HCA, Inc. | |
| 77,000 | 5.875%, 05/01/23 | 81,585 |
| 12,000 | 7.500%, 11/06/33 | 13,277 |
| 12,000 | Horizon Pharma, Inc.
/ Horizon Pharma USA, Inc.^ 8.750%, 11/01/24 | 12,704 |
| 13,000 | Magellan Health, Inc.μ 4.400%, 09/22/24 | 12,235 |
| 17,000 | Mallinckrodt International
Finance, SA / Mallinckrodt CB, LLC^ 5.625%, 10/15/23 | 14,389 |
| 5,000 | Team Health Holdings,
Inc.^ 6.375%, 02/01/25 | 4,067 |
| | Tenet Healthcare Corp. | |
| 37,000 | 6.750%, 06/15/23^ | 36,355 |
| 15,000 | 4.625%, 07/15/24μ | 14,748 |
| 14,000 | 6.250%, 02/01/27 | 14,217 |
| 1,000 | 6.875%, 11/15/31 | 893 |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 12; Options: NewSection; Value: 11
Field: Sequence; Type: Arabic; Name: PageNo 11 Field: /Sequence
Field: /Page
Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 16,000 | Teva | |
| Pharmaceutical Finance Company, BV^ 2.950%, 12/18/22 | $ 14,981 | |
| 40,000 | Teva | |
| Pharmaceutical Finance IV, BVμ 3.650%, 11/10/21 | 38,750 | |
| Teva | ||
| Pharmaceutical Finance Netherlands III, BV^ | ||
| 19,000 | 6.000%, 04/15/24 | 19,366 |
| 8,000 | 2.800%, 07/21/23 | 7,213 |
| Valeant | ||
| Pharmaceuticals International* | ||
| 26,000 | 8.500%, 01/31/27 | 27,195 |
| 13,000 | 9.250%, 04/01/26 | 13,979 |
| 11,000 | West | |
| Street Merger Sub, Inc.* 6.375%, 09/01/25 | 9,983 | |
| 494,153 | ||
| Industrials | ||
| (0.1%) | ||
| 15,000 | ACCO | |
| Brands Corp.*^ 5.250%, 12/15/24 | 14,858 | |
| 8,000 | Albertsons | |
| Companies, LLC / Safeway, Inc. / New Albertsons, LP / Albertson’s, LLC* 7.500%, 03/15/26 | 8,029 | |
| Allison | ||
| Transmission, Inc.μ* | ||
| 9,000 | 4.750%, 10/01/27 | 8,432 |
| 6,000 | 5.000%, 10/01/24 | 5,919 |
| 15,000 | Arconic, | |
| Inc.μ^ 5.125%, 10/01/24 | 15,151 | |
| 14,000 | ARD | |
| Securities Finance Sarl* 8.750%, 01/31/23 8.750% PIK rate | 12,280 | |
| 13,000 | Beacon | |
| Roofing Supply, Inc.*^ 4.875%, 11/01/25 | 12,191 | |
| 19,000 | Bombardier, | |
| Inc.*^ 7.500%, 03/15/25 | 18,323 | |
| CFX | ||
| Escrow Corp.* | ||
| 8,000 | 6.375%, 02/15/26 | 8,000 |
| 8,000 | 6.000%, 02/15/24 | 8,130 |
| Covanta | ||
| Holding Corp. | ||
| 15,000 | 5.875%, 03/01/24 | 14,964 |
| 3,000 | 5.875%, 07/01/25 | 2,936 |
| 13,000 | Delphi | |
| Technologies, PLC*^ 5.000%, 10/01/25 | 11,169 | |
| 19,000 | Fly | |
| Leasing, Ltd. 5.250%, 10/15/24 | 17,755 | |
| 3,000 | FXI | |
| Holdings, Inc.*^ 7.875%, 11/01/24 | 2,840 | |
| 23,000 | Garda | |
| World Security Corp.* 7.250%, 11/15/21 | 22,569 | |
| Golden | ||
| Nugget, Inc.* | ||
| 14,000 | 6.750%, 10/15/24 | 14,079 |
| 12,000 | 8.750%, 10/01/25 | 12,326 |
| 13,000 | Great | |
| Lakes Dredge & Dock Corp. 8.000%, 05/15/22 | 13,405 | |
| 19,000 | H&E | |
| Equipment Services, Inc.^ 5.625%, 09/01/25 | 18,601 | |
| Hertz | ||
| Corp.^ | ||
| 8,000 | 7.375%, 01/15/21 | 7,989 |
| 3,000 | 7.625%, 06/01/22* | 3,000 |
| Icahn | ||
| Enterprises, LPμ^ | ||
| 14,000 | 6.750%, 02/01/24 | 14,506 |
| 13,000 | 6.375%, 12/15/25 | 13,368 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 4,000 | James | |
| Hardie International Finance, Ltd.μ* 4.750%, 01/15/25 | $ 3,815 | |
| 13,000 | Jeld-Wen, | |
| Inc.*^ 4.625%, 12/15/25 | 11,743 | |
| 7,000 | JPW | |
| Industries Holding Corp.* 9.000%, 10/01/24 | 6,995 | |
| 22,000 | Meritor, | |
| Inc. 6.250%, 02/15/24 | 22,144 | |
| 11,000 | Multi-Color | |
| Corp.*^ 4.875%, 11/01/25 | 10,459 | |
| 19,000 | Navistar | |
| International Corp.*^ 6.625%, 11/01/25 | 19,100 | |
| Park | ||
| Aerospace Holdings, Ltd.* | ||
| 8,000 | 4.500%, | |
| 03/15/23μ | 7,894 | |
| 6,000 | 5.500%, 02/15/24 | 6,106 |
| 23,000 | Park-Ohio | |
| Industries, Inc.^ 6.625%, 04/15/27 | 22,397 | |
| 13,000 | Scientific | |
| Games International, Inc.*^ 5.000%, 10/15/25 | 12,332 | |
| 8,000 | Tennant | |
| Company 5.625%, 05/01/25 | 7,955 | |
| 3,000 | Titan | |
| Acquisition, Ltd. / Titan Co-Borrower, LLC*^ 7.750%, 04/15/26 | 2,629 | |
| 4,000 | TransDigm | |
| UK Holdings, PLC* 6.875%, 05/15/26 | 3,889 | |
| 8,000 | TransDigm, | |
| Inc.* 6.250%, 03/15/26 | 8,133 | |
| United | ||
| Rentals North America, Inc.^ | ||
| 10,000 | 5.875%, 09/15/26 | 10,205 |
| 10,000 | 4.875%, 01/15/28 | 9,490 |
| 5,000 | 6.500%, 12/15/26 | 5,202 |
| 7,000 | Waste | |
| Pro USA, Inc.* 5.500%, 02/15/26 | 6,817 | |
| 458,125 | ||
| Information | ||
| Technology (0.0%) | ||
| 20,000 | Alliance | |
| Data Systems Corp.* 5.875%, 11/01/21 | 20,241 | |
| 5,000 | Cardtronics, | |
| Inc.* 5.500%, 05/01/25 | 4,773 | |
| 21,000 | CBS | |
| Radio, Inc.*^ 7.250%, 11/01/24 | 19,871 | |
| Clear | ||
| Channel Worldwide Holdings, Inc. | ||
| 24,000 | 7.625%, 03/15/20 | 23,997 |
| 9,000 | 7.625%, 03/15/20^ | 9,017 |
| 12,000 | CommScope | |
| Technologies, LLC*^ 6.000%, 06/15/25 | 11,331 | |
| 26,000 | Dell | |
| International, LLC / EMC Corp.μ*^ 6.020%, 06/15/26 | 27,183 | |
| 14,000 | Harland | |
| Clarke Holdings Corp.* 8.375%, 08/15/22 | 13,148 | |
| 13,000 | Nuance | |
| Communications, Inc.μ 6.000%, 07/01/24 | 13,155 | |
| 11,000 | VFH | |
| Parent, LLC*^ 6.750%, 06/15/22 | 11,294 | |
| 154,010 | ||
| Materials | ||
| (0.0%) | ||
| 23,000 | AK | |
| Steel Corp.^ 6.375%, 10/15/25 | 18,782 |
See accompanying Notes to Schedule of Investments
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Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| Alcoa Nederland Holding, | ||
| BV*^ | ||
| 20,000 | 7.000%, 09/30/26 | $ 21,092 |
| 2,000 | 6.125%, 05/15/28 | 2,029 |
| 42,000 | ArcelorMittal, SA 7.000%, | |
| 10/15/39 | 46,077 | |
| 24,000 | Ardagh Packaging Finance, | |
| PLC / Ardagh Holdings USA, Inc.*^ 6.000%, 02/15/25 | 23,368 | |
| 5,000 | Baffinland Iron Mines | |
| Corp. / Baffinland Iron Mines, LP* 8.750%, 07/15/26 | 5,006 | |
| First Quantum Minerals, | ||
| Ltd.* | ||
| 8,000 | 7.000%, 02/15/21^ | 7,989 |
| 6,000 | 7.250%, 04/01/23 | 5,750 |
| 19,000 | INEOS Group Holdings, | |
| SA*^ 5.625%, 08/01/24 | 18,267 | |
| 8,000 | JW Aluminum Continuous | |
| Cast Company* 10.250%, 06/01/26 | 8,005 | |
| 8,000 | Kinross Gold Corp.μ^ 4.500%, 07/15/27 | 7,223 |
| 12,000 | New Gold, Inc.* 6.375%, | |
| 05/15/25 | 10,126 | |
| 31,000 | PBF Holding Company, | |
| LLC / PBF Finance Corp. 7.250%, 06/15/25 | 31,048 | |
| 25,000 | PH Glatfelter Companyμ 5.375%, 10/15/20 | 25,039 |
| United States Steel Corp. | ||
| 25,000 | 6.875%, 08/15/25 | 23,939 |
| 5,000 | 6.250%, 03/15/26^ | 4,553 |
| 258,293 | ||
| Real | ||
| Estate (0.0%) | ||
| 8,000 | CBL & Associates, | |
| LP^ 5.250%, 12/01/23 | 6,739 | |
| 21,000 | MPT Operating Partnership, | |
| LP / MPT Finance Corp.μ 5.000%, 10/15/27 | 20,474 | |
| 13,000 | Starwood Property Trust, | |
| Inc.μ^ 4.750%, 03/15/25 | 12,630 | |
| 39,843 | ||
| Utilities | ||
| (0.0%) | ||
| 3,000 | NGPL PipeCo, LLC*^ 4.875%, | |
| 08/15/27 | 2,981 | |
| NRG Energy, Inc.^ | ||
| 8,000 | 6.625%, 01/15/27 | 8,484 |
| 8,000 | 5.750%, 01/15/28 | 8,099 |
| 25,000 | PPL Capital Funding, | |
| Inc.μ^‡ 5.468%, 03/30/67 3 mo. USD LIBOR + 2.67% | 22,747 | |
| 8,000 | Talen Energy Supply, | |
| LLC* 10.500%, 01/15/26 | 7,445 | |
| 13,000 | TerraForm Power Operating, | |
| LLC*^ 5.000%, 01/31/28 | 12,095 | |
| 11,000 | Vistra Energy Corp.* 8.125%, 01/30/26 | 11,924 |
| 73,775 | ||
| TOTAL CORPORATE BONDS | 4,056,303 | |
| U.S. | ||
| Government and Agency Securities (0.0%) | ||
| United States Treasury | ||
| Note | ||
| 72,000 | 1.875%, 05/31/22 | 70,723 |
| PRINCIPAL AMOUNT | VALUE | |
|---|---|---|
| 37,000 | 2.375%, 03/15/21 | $ 36,940 |
| TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES | 107,663 |
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | ||
|---|---|---|
| Purchased Options (0.1%) # | ||
| Financials | ||
| (0.1%) | ||
| 6,700 | Bank of America | |
| Corp. | ||
| 19,074,900 | Call, 06/21/19, Strike | |
| $30.00 | 706,850 | |
| Industrials | ||
| (0.0%) | ||
| 925 | Stanley Black & Decker, | |
| Inc. | ||
| 11,695,700 | Call, 04/18/19, Strike | |
| $155.00 | 27,750 | |
| TOTAL PURCHASED OPTIONS | 734,600 | |
| TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $5,965,886) | 4,898,566 |
| NUMBER OF SHARES | ||
|---|---|---|
| CONVERTIBLE PREFERRED STOCKS (14.1%) | ||
| Communication | ||
| Services (0.5%) | ||
| 19,000 | Alibaba Exchangeable | |
| (Softbank)*§ 5.750%, 06/01/19 | 3,589,784 | |
| Consumer | ||
| Staples (0.6%) | ||
| 47,389 | Bunge, Ltd. 4.875%, 12/31/49 | 4,699,283 |
| Energy | ||
| (0.7%) | ||
| NuStar Energy, LP‡ | ||
| 175,000 | 7.625%, 06/15/22 3 mo. | |
| USD LIBOR + 5.64% | 3,514,000 | |
| 55,769 | 8.500%, 12/15/21 3 mo. | |
| USD LIBOR + 6.77% | 1,263,726 | |
| 4,777,726 | ||
| Financials | ||
| (2.5%) | ||
| 4,600 | Bank of America Corp.^ 7.250%, 12/31/49 | 5,948,536 |
| 27,248 | Virtus Investment Partners, | |
| Inc. 7.250%, 02/01/20 | 2,267,579 | |
| 8,100 | Wells Fargo & Company 7.500%, 12/31/49 | 10,385,820 |
| 18,601,935 | ||
| Health | ||
| Care (0.9%) | ||
| 108,000 | Becton Dickinson and | |
| Company 6.125%, 05/01/20 | 6,642,000 | |
| Industrials | ||
| (1.7%) | ||
| 7,050 | Fortive Corp. 5.000%, | |
| 07/01/21 | 6,929,374 |
See accompanying Notes to Schedule of Investments
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Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| NUMBER OF SHARES | VALUE | |
|---|---|---|
| 105,400 | Rexnord Corp. 5.750%, 11/15/19 | $ 5,851,808 |
| 12,781,182 | ||
| Materials (0.5%) | ||
| 67,191 | International Flavors & Fragrances, Inc. 6.000%, 09/15/21 | 3,635,705 |
| Real Estate (2.2%) | ||
| 6,600 | Crown Castle International Corp. 6.875%, 08/01/20 | 7,302,240 |
| 130,225 | Welltower, Inc.^ 6.500%, 12/31/49 | 8,921,715 |
| 16,223,955 | ||
| Utilities (4.5%) | ||
| 95,000 | CenterPoint Energy, Inc. (Warner Media, LLC, Charter Communications Time, Inc.)§** 4.467%, 09/15/29 | 4,244,505 |
| 107,225 | DTE Energy Company 6.500%, 10/01/19 | 5,840,546 |
| 270,265 | NextEra Energy, Inc.^ 6.123%, 09/01/19 | 16,029,417 |
| Sempra Energy | ||
| 38,350 | 6.750%, 07/15/21 | 3,901,729 |
| 35,250 | 6.000%, 01/15/21 | 3,536,632 |
| 33,552,829 | ||
| TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $101,673,512) | 104,504,399 | |
| COMMON STOCKS (4.1%) | ||
| Communication Services (0.0%) | ||
| 11,593 | Cumulus Media, Inc. - Class A^# | 139,696 |
| Energy (1.1%) | ||
| 1,875 | Chevron Corp.^ | 214,969 |
| 58,950 | Energy Transfer, LP | 867,154 |
| 64,780 | Enterprise Products Partners, LP~ | 1,792,463 |
| 13,550 | GasLog, Ltd. | 242,951 |
| 17,855 | Magellan Midstream Partners, LP | 1,097,190 |
| 6,925 | Schlumberger, Ltd. | 306,154 |
| 344,673 | Southwestern Energy Company^# | 1,506,221 |
| 25,965 | Targa Resources Corp.^ | 1,116,755 |
| 36,427 | Tidewater, Inc.^# | 783,909 |
| 49,917 | Transocean, Ltd.^# | 427,789 |
| 8,500 | Williams Companies, Inc. | 228,905 |
| 8,584,460 | ||
| Financials (0.1%) | ||
| 13,850 | American International Group, Inc. | 598,735 |
| Health Care (2.9%) | ||
| 88,148 | Allergan, PLC | 12,691,549 |
| 28,685 | Anthem, Inc. | 8,691,555 |
| 21,383,104 | ||
| TOTAL | ||
| COMMON STOCKS (Cost $46,090,719) | 30,705,995 |
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |
|---|---|---|
| PURCHASED OPTION (0.1%) # | ||
| Consumer Discretionary (0.1%) | ||
| 519,347,331 | Booking Holdings, Inc. Put, 06/21/19, Strike $1,870.00 (Cost $674,664) | $ 721,395 |
| NUMBER OF SHARES | |||
|---|---|---|---|
| SHORT TERM INVESTMENTS (2.8%) | |||
| 10,380,629 | Fidelity Prime Money Market Fund - Institutional Class, 2.510%*** | 10,384,781 | |
| 10,284,724 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 2.310%*** | 10,284,724 | |
| TOTAL SHORT TERM INVESTMENTS (Cost $20,668,665) | 20,669,505 | ||
| TOTAL INVESTMENTS (150.8%) (Cost $1,168,810,160) | 1,117,232,770 | ||
| MANDATORY REDEEMABLE PREFERRED SHARES, AT LIQUIDATION VALUE (-13.5%) | (100,000,000 | ) | |
| LIABILITIES, LESS OTHER ASSETS (-37.3%) | (276,418,501 | ) | |
| NET ASSETS (100.0%) | $ | 740,814,269 |
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | |||
|---|---|---|---|
| WRITTEN OPTION (0.0%) # | |||
| Consumer Discretionary (0.0%) | |||
| 519,347,331 | Booking Holdings, Inc. Put, 06/21/19, Strike $1,650.00 (Premium $302,056) | (287,640 | ) |
| 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 $49,109,130. |
| * | 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. |
| ^ | Security,
or portion of security, is on loan. |
| ‡ | Variable
rate security. The rate shown is the rate in effect at January 31, 2019. |
| & | Illiquid
security. |
See accompanying Notes to Schedule of Investments
Field: Page; Sequence: 15; Options: NewSection; Value: 14
Field: Sequence; Type: Arabic; Name: PageNo 14 Field: /Sequence
Field: /Page
Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)
| ~ | 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 $912,850. |
| --- | --- |
| @ | In
default status and considered non-income producing. |
| § | Securities
exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified
in the parenthetical. |
| ¤ | The
synthetic convertible securities strategy combines separate securities that together possess the economic characteristics
similar to a convertible security. |
| ** | Step
coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at
January 31, 2019. |
| --- | --- |
| # | Non-income
producing security. |
| *** | The
rate disclosed is the 7 day net yield as of January 31, 2019. |
Note: 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
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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 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. The Fund invests in securities with a broad range of maturities. The average term to maturity of the Fund’s securities typically will range from five to ten years. A substantial portion of the Fund’s assets may be invested in below investment grade (high yield, high risk) 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 either by an independent pricing agent approved by the board of trustees or 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.
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 January 31, 2019 was as follows:*
| Cost basis of investments | $ | |
|---|---|---|
| Gross unrealized appreciation | 39,554,629 | |
| Gross unrealized depreciation | (91,117,603 | ) |
| Net unrealized appreciation (depreciation) | $ (51,562,974 | ) |
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Note 3 – Mandatory Redeemable Preferred Shares
On September 6, 2017, the Fund issued 4,000,000 mandatory redeemable preferred shares (“MRPS”) with an aggregate liquidation preference of $100.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations.
The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at January 31, 2019.
| Series | Term Redemption Date | Liquidation Preference Per Share | Aggregate Liquidation Preference | ||
|---|---|---|---|---|---|
| Series A | 9/06/22 | 3.70 % | 1,330 | $ 25 | $ 33,250,000 |
| Series B | 9/06/24 | 4.00 % | 1,330 | $ 25 | $ 33,250,000 |
| Series C | 9/06/27 | 4.24 % | 1,340 | $ 25 | $ 33,500,000 |
| Total | $ 100,000,000 |
The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.
Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated “AA” by Fitch Ratings, Inc. (“Fitch”). If on the first day of a monthly dividend period the MRPS of any class are rated lower than “A” by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund), the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS’ dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in “Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares” within the Statement of Operations.
The MRPS rank junior to the Fund’s borrowings under the SSB Agreement and senior to the Fund’s outstanding common stock. The Fund may, at its option, subject to various terms and conditions, redeem the MRPS, in whole or in part, at the liquidation preference amount plus all accumulated but unpaid dividends, plus a make whole premium equal to the discounted value of the remaining scheduled payments. Each class of MRPS is subject to mandatory redemption on the term redemption date specified in the table above. Periodically, the Fund is subject to an overcollateralization test based on applicable rating agency criteria (the “OC Test”) and an asset coverage test with respect to its outstanding senior securities (the “AC Test”). The Fund may be required to redeem MRPS before their term redemption date if it does not comply with one or both tests. So long as any MRPS are outstanding, the Fund may not declare, pay or set aside for payment cash dividends or other distributions on shares of its common stock unless (1) the Fund has satisfied the OC Test on at least one testing date in the preceding 65 days, (2) immediately after such transaction, the Fund would comply with the AC Test, (3) full cumulative dividends on the MRPS due on or prior to the date of such transaction have been declared and paid and (4) the Fund has redeemed all MRPS required to have been redeemed on such date or has deposited funds sufficient for such redemption, subject to certain grace periods and exceptions.
Except as otherwise required pursuant to the Fund’s governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.
Note 4 – Fair Value Measurements
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.
The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:
Field: Page; Sequence: 18
Field: /Page
| LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | |
|---|---|---|---|---|
| Assets: | ||||
| Corporate Bonds | $ — | $ 378,630,127 | $ — | $ 378,630,127 |
| Convertible Bonds | — | 531,344,294 | — | 531,344,294 |
| U.S. Government and Agency Securities | — | 10,016,984 | — | 10,016,984 |
| Bank Loans | — | 35,741,505 | — | 35,741,505 |
| Synthetic Convertible Securities (Corporate Bonds) | — | 4,056,303 | — | 4,056,303 |
| Synthetic Convertible Securities (U.S. Government and Agency Securities) | — | 107,663 | — | 107,663 |
| Synthetic Convertible Securities (Purchased Options) | 734,600 | — | — | 734,600 |
| Convertible Preferred Stocks | 91,970,827 | 12,533,572 | — | 104,504,399 |
| Common Stocks U.S. | 30,705,995 | — | — | 30,705,995 |
| Purchased Options | 721,395 | — | — | 721,395 |
| Short Term Investments | 20,669,505 | — | — | 20,669,505 |
| TOTAL | $ 144,802,322 | $ 972,430,448 | $ — | $ 1,117,232,770 |
| Liabilities: | ||||
| Written Options | $ 287,640 | $ — | $ — | $ 287,640 |
| TOTAL | $ 287,640 | $ — | $ — | $ 287,640 |
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Field: /Page
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.
b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
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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: | March 7, 2019 |
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: | March 7, 2019 |
| By: | /s/ Curtis Holloway |
|---|---|
| Name: | Curtis Holloway |
| Title: | Principal Financial Officer |
| Date: | March 7, 2019 |
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