UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21080
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible
Opportunities and Income Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors, LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2007
DATE OF REPORTING PERIOD: January 31, 2007
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
ITEM 1. SCHEDULE OF INVESTMENTS January 31, 2007 (UNAUDITED)
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
CORPORATE BONDS (79.9%)
CONSUMER DISCRETIONARY (29.1%)
$ 2,261,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 $ 2,376,876
7,507,000 Aztar Corp.
7.875%, 06/15/14 8,205,151
11,759,000 Beazer Homes USA, Inc.<
8.375%, 04/15/12 12,141,167
4,523,000 DEX Media, Inc.<
8.000%, 11/15/13 4,737,843
10,999,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 11,562,699
EchoStar DBS Corp.
4,771,000 7.125%, 02/01/16 4,812,746
724,000 6.625%, 10/01/14 711,330
7,209,000 GBP EMI Group, PLC
9.750%, 05/20/08 14,795,203
6,332,000 Expedia, Inc.*<
7.456%, 08/15/18 6,534,421
5,427,000 Ford Motor Company
8.625%, 11/01/10 5,611,941
4,975,000 GameStop Corp.<
8.000%, 10/01/12 5,285,938
1,357,000 General Motors Acceptance Corp.
6.875%, 09/15/11 1,378,522
General Motors Corp.
8,141,000 7.200%, 01/15/11 7,957,827
1,357,000 7.125%, 07/15/13< 1,319,683
Goodyear Tire & Rubber Company
7,688,000 7.000%, 03/15/28 6,919,200
3,618,000 7.857%, 08/15/11< 3,717,495
2,714,000 Group 1 Automotive, Inc.
8.250%, 08/15/13 2,808,990
5,201,000 Hanes Brands, Inc.*++
8.735%, 12/15/14 5,370,033
3,618,000 Hasbro, Inc.
6.600%, 07/15/28 3,546,736
5,201,000 Idearc, Inc.*
8.000%, 11/15/16 5,311,521
2,714,000 Interpublic Group of Companies, Inc.<
7.250%, 08/15/11 2,781,850
12,663,000 Isle of Capri Casinos, Inc.
9.000%, 03/15/12 13,296,150
3,446,000 Jarden Corp.
9.750%, 05/01/12 3,665,683
2,507,000 Kellwood Company<
7.625%, 10/15/17 2,292,759
3,618,000 Landry's Restaurants, Inc.<
7.500%, 12/15/14 3,581,820
2,714,000 Liberty Media Corp.<
8.250%, 02/01/30 2,695,881
5,201,000 Linens 'n Things, Inc.< ++
10.985%, 01/15/14 5,070,975
15,829,000 MGM Mirage<
8.375%, 02/01/11 16,719,381
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 7,055,000 NCL Holding, ASA
10.625%, 07/15/14 $ 7,213,738
2,714,000 OfficeMax, Inc.
7.125%, 10/15/14 2,659,720
4,070,000 Oxford Industries, Inc.
8.875%, 06/01/11 4,232,800
4,523,000 Phillips-Van Heusen Corp.<
8.125%, 05/01/13 4,771,765
1,809,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 1,858,748
1,809,000 Rent-A-Center, Inc.
7.500%, 05/01/10 1,836,135
2,578,000 RH Donnelley Financial Corp.*
10.875%, 12/15/12 2,816,465
2,714,000 Royal Caribbean Cruises, Ltd.<
7.500%, 10/15/27 2,678,254
724,000 Station Casinos, Inc.
6.875%, 03/01/16 666,080
7,236,000 Time Warner, Inc.
7.625%, 04/15/31 8,134,653
11,487,000 Vail Resorts, Inc.
6.750%, 02/15/14 11,372,130
4,523,000 Warnaco Group, Inc.
8.875%, 06/15/13 4,828,303
Warner Music Group
7,191,000 7.375%, 04/15/14 7,119,090
905,000 GBP 8.125%, 04/15/14 1,826,948
724,000 Wynn Las Vegas, LLC
6.625%, 12/01/14 720,380
---------------
227,945,030
---------------
CONSUMER STAPLES (10.2%)
905,000 Alimentation Couche-Tard, Inc.
7.500%, 12/15/13 925,363
2,668,000 Central Garden & Pet Company
9.125%, 02/01/13 2,794,730
4,523,000 Chattem, Inc.
7.000%, 03/01/14 4,489,078
3,618,000 Chiquita Brands International, Inc.<
8.875%, 12/01/15 3,437,100
5,608,000 Del Monte Foods Company
8.625%, 12/15/12 5,944,480
11,306,000 Dole Food Company, Inc.<
8.875%, 03/15/11 11,306,000
10,854,000 Jean Coutu Group, Inc.
8.500%, 08/01/14 11,342,430
3,166,000 NBTY, Inc.
7.125%, 10/01/15 3,173,915
Pilgrim's Pride Corp.
3,437,000 8.375%, 05/01/17< 3,402,630
1,538,000 7.625%, 05/01/15 1,530,310
5,427,000 Pinnacle Foods Holding<
8.250%, 12/01/13 5,576,242
5,065,000 Playtex Products, Inc.
8.000%, 03/01/11 5,324,581
Reynolds American, Inc.
4,975,000 7.300%, 07/15/15 5,181,945
2,714,000 7.625%, 06/01/16 2,884,903
See accompanying Notes to Schedule of Investments
1
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 9,045,000 Smithfield Foods, Inc.
7.750%, 05/15/13 $ 9,248,512
2,714,000 SUPERVALU, Inc.
7.500%, 11/15/14 2,841,447
---------------
79,403,666
---------------
ENERGY (11.1%)
6,286,000 Arch Western Finance, LLC
6.750%, 07/01/13 6,238,855
8,141,000 Chesapeake Energy Corp.
7.500%, 06/15/14 8,415,759
5,879,000 Comstock Resources, Inc.
6.875%, 03/01/12 5,665,886
606,000 Energy Partners, Ltd.
8.750%, 08/01/10 618,120
2,714,000 Forest Oil Corp.
8.000%, 12/15/11 2,829,345
4,222,000 Giant Industries, Inc.
11.000%, 05/15/12 4,517,540
2,261,000 Hanover Compressor Company
9.000%, 06/01/14 2,419,270
1,809,000 Mariner Energy, Inc.
7.500%, 04/15/13 1,763,775
5,065,000 Petrohawk Energy Corp.
7.125%, 04/01/12 4,862,400
10,221,000 Petroleo Brasileiro, SA<
8.375%, 12/10/18 12,122,106
Premcor Refining Group, Inc.
5,789,000 9.500%, 02/01/13 6,231,882
2,465,000 7.500%, 06/15/15 2,530,855
2,714,000 Range Resources Corp.
7.375%, 07/15/13 2,768,280
3,166,000 Superior Energy Services, Inc.
6.875%, 06/01/14 3,118,510
6,332,000 Swift Energy Company<
9.375%, 05/01/12 6,680,260
4,523,000 Whiting Petroleum Corp.<
7.250%, 05/01/13 4,511,692
Williams Companies, Inc.
9,045,000 7.750%, 06/15/31 9,542,475
1,809,000 7.500%, 01/15/31 1,890,405
---------------
86,727,415
---------------
FINANCIALS (2.9%)
E*TRADE Financial Corp.
5,970,000 7.375%, 09/15/13 6,223,725
4,070,000 7.875%, 12/01/15< 4,375,250
1,085,000 8.000%, 06/15/11 1,137,894
6,784,000 Leucadia National Corp.
7.000%, 08/15/13 6,834,880
1,538,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 1,545,690
2,273,000 Senior Housing Properties Trust
7.875%, 04/15/15 2,363,920
---------------
22,481,359
---------------
HEALTH CARE (5.3%)
3,708,000 Ameripath, Inc.<
10.500%, 04/01/13 4,041,720
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 3,618,000 Angiotech Pharmaceuticals, Inc.
7.750%, 04/01/14 $ 3,346,650
7,643,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 7,684,784
1,538,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 1,599,520
1,809,000 Biovail Corp.
7.875%, 04/01/10 1,856,486
678,000 DaVita, Inc.
7.250%, 03/15/15 689,865
543,000 Omnicare, Inc.<
6.875%, 12/15/15 538,928
4,070,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 4,080,175
7,688,000 Tenet Healthcare Corp.<
9.250%, 02/01/15 7,707,220
4,070,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 3,927,550
5,879,000 Vanguard Health Systems, Inc.<
9.000%, 10/01/14 6,048,021
---------------
41,520,919
---------------
INDUSTRIALS (4.6%)
2,261,000 Armor Holdings, Inc.
8.250%, 08/15/13 2,374,050
905,000 FTI Consulting, Inc.<
7.625%, 06/15/13 931,019
2,714,000 Gardner Denver, Inc.
8.000%, 05/01/13 2,842,915
2,714,000 GATX Corp.<
8.875%, 06/01/09 2,901,323
5,879,000 General Cable Corp.<
9.500%, 11/15/10 6,231,740
1,156,000 Global Cash Access, Inc.
8.750%, 03/15/12 1,213,800
1,447,000 H&E Equipment Service, Inc.
8.375%, 07/15/16 1,537,437
IKON Office Solutions, Inc.
1,809,000 7.750%, 09/15/15 1,913,017
1,809,000 6.750%, 12/01/25 1,595,721
1,357,000 Sequa Corp.
8.875%, 04/01/08 1,401,103
6,332,000 Terex Corp.
7.375%, 01/15/14 6,490,300
1,809,000 Trinity Industries, Inc.
6.500%, 03/15/14 1,786,387
3,143,000 WESCO International, Inc.
7.500%, 10/15/17 3,174,430
1,809,000 Williams Scotsman International, Inc.
8.500%, 10/01/15 1,890,405
---------------
36,283,647
---------------
INFORMATION TECHNOLOGY (5.4%)
5,276,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 5,407,900
633,000 Anixter International, Inc.
5.950%, 03/01/15 602,141
See accompanying Notes to Schedule of Investments
2
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 633,000 Avago Technologies*<
11.875%, 12/01/15 $ 696,300
3,618,000 Celestica, Inc.<
7.875%, 07/01/11 3,554,685
4,523,000 Flextronics International, Ltd.<
6.500%, 05/15/13 4,409,925
5,201,000 Freescale Semiconductor, Inc.*
8.875%, 12/15/14 5,201,000
339,000 Sanmina-SCI Corp.
8.125%, 03/01/16 324,593
6,196,000 SunGard Data Systems, Inc.
9.125%, 08/15/13 6,552,270
Xerox Corp.
8,593,000 8.000%, 02/01/27< 8,807,825
6,332,000 7.625%, 06/15/13 6,616,940
---------------
42,173,579
---------------
MATERIALS (6.5%)
905,000 Agrium, Inc.
7.125%, 05/23/36 952,751
905,000 Crown Holdings, Inc.
7.750%, 11/15/15 941,200
4,523,000 Equistar Chemicals, LP
10.625%, 05/01/11 4,816,995
724,000 Gibraltar Industries, Inc.
8.000%, 12/01/15 716,760
Ineos Group Holdings, PLC*
4,342,000 EUR 7.875%, 02/15/16 5,347,890
905,000 8.500%, 02/15/16< 871,063
6,743,000 IPSCO, Inc.
8.750%, 06/01/13 7,265,582
3,618,000 Neenah Paper, Inc.
7.375%, 11/15/14 3,500,415
7,236,000 Sealed Air Corp.*
6.875%, 07/15/33 7,209,372
3,460,000 Terra Industries, Inc.*+
7.000%, 02/01/17 3,425,400
1,809,000 Texas Industries, Inc.
7.250%, 07/15/13 1,858,748
4,523,000 The Mosaic Company*
7.625%, 12/01/16 4,647,382
Union Carbide Corp.
3,618,000 7.500%, 06/01/25 3,735,733
2,804,000 7.875%, 04/01/23 3,003,572
2,894,000 Westlake Chemical Corp.
6.625%, 01/15/16 2,850,590
---------------
51,143,453
---------------
TELECOMMUNICATION SERVICES (3.9%)
2,714,000 CenturyTel, Inc.
6.875%, 01/15/28 2,633,421
543,000 Citizens Communications Company
9.000%, 08/15/31 587,798
1,809,000 iPCS, Inc.
11.500%, 05/01/12 2,007,990
2,714,000 Leap Wireless International, Inc.*<
9.375%, 11/01/14 2,863,270
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 2,714,000 Qwest Communications International,
Inc.<
7.750%, 02/15/31 $ 2,714,000
3,392,000 CAD Rogers Communications, Inc.
7.250%, 12/15/11 3,148,380
4,070,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 3,845,922
9,045,000 Sprint Nextel Corp.
7.375%, 08/01/15 9,278,587
3,618,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 3,645,135
---------------
30,724,503
---------------
UTILITIES (0.9%)
1,131,000 Edison International
7.730%, 06/15/09 1,170,585
905,000 NRG Energy, Inc.
7.250%, 02/01/14 909,525
5,427,000 TXU Corp.
6.500%, 11/15/24 5,052,776
---------------
7,132,886
---------------
TOTAL CORPORATE BONDS
(Cost $606,594,220) 625,536,457
---------------
CONVERTIBLE BONDS (19.8%)
CONSUMER DISCRETIONARY (6.1%)
5,500,000 EchoStar Communications Corp.
5.750%, 05/15/08 5,616,875
1,870,000 Liberty Media Corp. (CBS Corp.) &
3.250%, 03/15/31 1,617,550
5,500,000 GBP Punch Taverns Redwood Jersey
Company, Ltd.
5.000%, 12/14/10 13,291,184
9,000,000 The Interpublic Group of Companies,
Inc.*++
5.710%, 06/15/09 11,648,700
United Auto Group, Inc.
3,040,000 3.500%, 04/01/26 3,545,400
1,960,000 3.500%, 04/01/26* 2,285,850
7,500,000 Walt Disney Company<
2.125%, 04/15/23 9,365,625
---------------
47,371,184
---------------
CONSUMER STAPLES (0.7%)
3,500,000 Church & Dwight Co., Inc.
5.250%, 08/15/33 5,346,250
---------------
FINANCIALS (0.3%)
2,500,000 Travelers Property Casualty Corp.
4.500%, 04/15/32 2,576,000
---------------
HEALTH CARE (1.6%)
5,000,000 Health Management Associates, Inc.<
4.375%, 08/01/23 5,187,500
6,500,000 Wyeth< ++
4.877%, 01/15/24 6,982,950
---------------
12,170,450
---------------
See accompanying Notes to Schedule of Investments
3
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
INDUSTRIALS (1.7%)
$ 5,500,000 Lockheed Martin Corp.< ++
5.124%, 08/15/33 $ 7,601,990
5,000,000 Quanta Services, Inc.*
3.750%, 04/30/26 5,743,750
---------------
13,345,740
---------------
INFORMATION TECHNOLOGY (7.8%)
3,000,000 Andrew Corp.
3.250%, 08/15/13 3,060,000
2,000,000 ASM International NV
4.250%, 12/06/11 2,412,068
16,250,000 Electronic Data Systems Corp.<
3.875%, 07/15/23 17,042,188
25,250,000 Intel Corp.<
2.950%, 12/15/35 23,230,000
Mentor Graphics Corp.
5,000,000 6.250%, 03/01/26* 6,687,500
2,500,000 6.250%, 03/01/26< 3,343,750
5,370,000 Vishay Intertechnology, Inc.
3.625%, 08/01/23 5,356,575
---------------
61,132,081
---------------
UTILITIES (1.6%)
1,750,000 EUR International Power, PLC
3.250%, 07/20/13 2,777,554
2,950,000 GBP Scottish & Southern Energy, PLC
3.750%, 10/29/09 9,817,868
---------------
12,595,422
---------------
TOTAL CONVERTIBLE BONDS
(Cost $140,755,390) 154,537,127
---------------
SYNTHETIC CONVERTIBLE SECURITIES (9.9%)
CORPORATE BONDS (8.4%)
CONSUMER DISCRETIONARY (3.1%)
239,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 251,249
793,000 Aztar Corp.
7.875%, 06/15/14 866,749
1,241,000 Beazer Homes USA, Inc.<
8.375%, 04/15/12 1,281,332
477,000 DEX Media, Inc.<
8.000%, 11/15/13 499,658
1,161,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 1,220,501
EchoStar DBS Corp.
504,000 7.125%, 02/01/16 508,410
76,000 6.625%, 10/01/14 74,670
761,000 GBP EMI Group, PLC
9.750%, 05/20/08 1,561,818
668,000 Expedia, Inc.*<
7.456%, 08/15/18 689,355
573,000 Ford Motor Company
8.625%, 11/01/10 592,527
525,000 GameStop Corp.<
8.000%, 10/01/12 557,812
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 143,000 General Motors Acceptance Corp.
6.875%, 09/15/11 $ 145,268
General Motors Corp.
859,000 7.200%, 01/15/11 839,672
143,000 7.125%, 07/15/13< 139,068
Goodyear Tire & Rubber Company
812,000 7.000%, 03/15/28 730,800
382,000 7.857%, 08/15/11< 392,505
286,000 Group 1 Automotive, Inc.
8.250%, 08/15/13 296,010
549,000 Hanes Brands, Inc.*++
8.735%, 12/15/14 566,842
382,000 Hasbro, Inc.
6.600%, 07/15/28 374,476
549,000 Idearc, Inc.*
8.000%, 11/15/16 560,666
286,000 Interpublic Group of Companies, Inc.<
7.250%, 08/15/11 293,150
1,337,000 Isle of Capri Casinos, Inc.
9.000%, 03/15/12 1,403,850
364,000 Jarden Corp.
9.750%, 05/01/12 387,205
265,000 Kellwood Company<
7.625%, 10/15/17 242,354
382,000 Landry's Restaurants, Inc.<
7.500%, 12/15/14 378,180
286,000 Liberty Media Corp.<
8.250%, 02/01/30 284,091
549,000 Linens 'n Things, Inc.< ++
10.985%, 01/15/14 535,275
1,671,000 MGM Mirage<
8.375%, 02/01/11 1,764,994
745,000 NCL Holding, ASA
10.625%, 07/15/14 761,762
286,000 OfficeMax, Inc.
7.125%, 10/15/14 280,280
430,000 Oxford Industries, Inc.
8.875%, 06/01/11 447,200
477,000 Phillips-Van Heusen Corp.<
8.125%, 05/01/13 503,235
191,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 196,253
191,000 Rent-A-Center, Inc.
7.500%, 05/01/10 193,865
272,000 RH Donnelley Financial Corp.*
10.875%, 12/15/12 297,160
286,000 Royal Caribbean Cruises, Ltd.<
7.500%, 10/15/27 282,233
76,000 Station Casinos, Inc.
6.875%, 03/01/16 69,920
764,000 Time Warner, Inc.
7.625%, 04/15/31 858,883
1,213,000 Vail Resorts, Inc.
6.750%, 02/15/14 1,200,870
477,000 Warnaco Group, Inc.
8.875%, 06/15/13 509,197
Warner Music Group
759,000 7.375%, 04/15/14 751,410
See accompanying Notes to Schedule of Investments
4
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 95,000 GBP 8.125%, 04/15/14 $ 191,779
76,000 Wynn Las Vegas, LLC
6.625%, 12/01/14 75,620
---------------
24,058,154
---------------
CONSUMER STAPLES (1.1%)
95,000 Alimentation Couche-Tard, Inc.
7.500%, 12/15/13 97,138
282,000 Central Garden & Pet Company
9.125%, 02/01/13 295,395
477,000 Chattem, Inc.
7.000%, 03/01/14 473,423
382,000 Chiquita Brands International, Inc.<
8.875%, 12/01/15 362,900
592,000 Del Monte Foods Company
8.625%, 12/15/12 627,520
1,194,000 Dole Food Company, Inc.<
8.875%, 03/15/11 1,194,000
1,146,000 Jean Coutu Group, Inc.
8.500%, 08/01/14 1,197,570
334,000 NBTY, Inc.
7.125%, 10/01/15 334,835
Pilgrim's Pride Corp.
363,000 8.375%, 05/01/17< 359,370
162,000 7.625%, 05/01/15 161,190
573,000 Pinnacle Foods Holding<
8.250%, 12/01/13 588,757
535,000 Playtex Products, Inc.
8.000%, 03/01/11 562,419
Reynolds American, Inc.
525,000 7.300%, 07/15/15 546,838
286,000 7.625%, 06/01/16 304,010
955,000 Smithfield Foods, Inc.
7.750%, 05/15/13 976,487
286,000 SUPERVALU, Inc.
7.500%, 11/15/14 299,430
---------------
8,381,282
---------------
ENERGY (1.2%)
664,000 Arch Western Finance, LLC
6.750%, 07/01/13 659,020
859,000 Chesapeake Energy Corp.
7.500%, 06/15/14 887,991
621,000 Comstock Resources, Inc.
6.875%, 03/01/12 598,489
64,000 Energy Partners, Ltd.
8.750%, 08/01/10 65,280
286,000 Forest Oil Corp.
8.000%, 12/15/11 298,155
446,000 Giant Industries, Inc.
11.000%, 05/15/12 477,220
239,000 Hanover Compressor Company
9.000%, 06/01/14 255,730
191,000 Mariner Energy, Inc.
7.500%, 04/15/13 186,225
535,000 Petrohawk Energy Corp.
7.125%, 04/01/12 513,600
1,079,000 Petroleo Brasileiro, SA<
8.375%, 12/10/18 1,279,694
PRINCIPAL
AMOUNT VALUE
------------ ---------------
Premcor Refining Group, Inc.
$ 611,000 9.500%, 02/01/13 $ 657,744
260,000 7.500%, 06/15/15 266,946
286,000 Range Resources Corp.
7.375%, 07/15/13 291,720
334,000 Superior Energy Services, Inc.
6.875%, 06/01/14 328,990
668,000 Swift Energy Company<
9.375%, 05/01/12 704,740
477,000 Whiting Petroleum Corp.<
7.250%, 05/01/13 475,808
Williams Companies, Inc.
955,000 7.750%, 06/15/31 1,007,525
191,000 7.500%, 01/15/31 199,595
---------------
9,154,472
---------------
FINANCIALS (0.3%)
E*TRADE Financial Corp.
630,000 7.375%, 09/15/13 656,775
430,000 7.875%, 12/01/15< 462,250
115,000 8.000%, 06/15/11 120,606
716,000 Leucadia National Corp.
7.000%, 08/15/13 721,370
162,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 162,810
240,000 Senior Housing Properties Trust
7.875%, 04/15/15 249,600
---------------
2,373,411
---------------
HEALTH CARE (0.5%)
392,000 Ameripath, Inc.<
10.500%, 04/01/13 427,280
382,000 Angiotech Pharmaceuticals, Inc.
7.750%, 04/01/14 353,350
807,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 811,412
162,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 168,480
191,000 Biovail Corp.
7.875%, 04/01/10 196,014
72,000 DaVita, Inc.
7.250%, 03/15/15 73,260
57,000 Omnicare, Inc.<
6.875%, 12/15/15 56,572
430,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 431,075
812,000 Tenet Healthcare Corp.<
9.250%, 02/01/15 814,030
430,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 414,950
621,000 Vanguard Health Systems, Inc.<
9.000%, 10/01/14 638,854
---------------
4,385,277
---------------
INDUSTRIALS (0.5%)
239,000 Armor Holdings, Inc.
8.250%, 08/15/13 250,950
95,000 FTI Consulting, Inc.<
7.625%, 06/15/13 97,731
See accompanying Notes to Schedule of Investments
5
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 286,000 Gardner Denver, Inc.
8.000%, 05/01/13 $ 299,585
286,000 GATX Corp.<
8.875%, 06/01/09 305,740
621,000 General Cable Corp.<
9.500%, 11/15/10 658,260
122,000 Global Cash Access, Inc.
8.750%, 03/15/12 128,100
153,000 H&E Equipment Service, Inc.
8.375%, 07/15/16 162,563
IKON Office Solutions, Inc.
191,000 7.750%, 09/15/15 201,982
191,000 6.750%, 12/01/25 168,481
143,000 Sequa Corp.
8.875%, 04/01/08 147,648
668,000 Terex Corp.
7.375%, 01/15/14 684,700
191,000 Trinity Industries, Inc.
6.500%, 03/15/14 188,613
332,000 WESCO International, Inc.
7.500%, 10/15/17 335,320
191,000 Williams Scotsman International, Inc.
8.500%, 10/01/15 199,595
---------------
3,829,268
---------------
INFORMATION TECHNOLOGY (0.5%)
557,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 570,925
67,000 Anixter International, Inc.
5.950%, 03/01/15 63,734
67,000 Avago Technologies*<
11.875%, 12/01/15 73,700
382,000 Celestica, Inc.<
7.875%, 07/01/11 375,315
477,000 Flextronics International, Ltd.<
6.500%, 05/15/13 465,075
549,000 Freescale Semiconductor, Inc.*
8.875%, 12/15/14 549,000
36,000 Sanmina-SCI Corp.
8.125%, 03/01/16 34,470
654,000 SunGard Data Systems, Inc.
9.125%, 08/15/13 691,605
Xerox Corp.
907,000 8.000%, 02/01/27< 929,675
668,000 7.625%, 06/15/13 698,060
---------------
4,451,559
---------------
MATERIALS (0.7%)
95,000 Agrium, Inc.
7.125%, 05/23/36 100,013
95,000 Crown Holdings, Inc.
7.750%, 11/15/15 98,800
477,000 Equistar Chemicals, LP
10.625%, 05/01/11 508,005
76,000 Gibraltar Industries, Inc.
8.000%, 12/01/15 75,240
Ineos Group Holdings, PLC*
458,000 EUR 7.875%, 02/15/16 564,103
PRINCIPAL
AMOUNT VALUE
------------ ---------------
$ 95,000 8.500%, 02/15/16< $ 91,438
712,000 IPSCO, Inc.
8.750%, 06/01/13 767,180
382,000 Neenah Paper, Inc.
7.375%, 11/15/14 369,585
764,000 Sealed Air Corp.*
6.875%, 07/15/33 761,188
365,000 Terra Industries, Inc.*+
7.000%, 02/01/17 361,350
191,000 Texas Industries, Inc.
7.250%, 07/15/13 196,252
477,000 The Mosaic Company*
7.625%, 12/01/16 490,117
Union Carbide Corp.
382,000 7.500%, 06/01/25 394,431
296,000 7.875%, 04/01/23 317,067
306,000 Westlake Chemical Corp.
6.625%, 01/15/16 301,410
---------------
5,396,179
---------------
TELECOMMUNICATION SERVICES (0.4%)
286,000 CenturyTel, Inc.
6.875%, 01/15/28 277,509
57,000 Citizens Communications Company
9.000%, 08/15/31 61,702
191,000 iPCS, Inc.
11.500%, 05/01/12 212,010
286,000 Leap Wireless International, Inc.*<
9.375%, 11/01/14 301,730
286,000 Qwest Communications International,
Inc.<
7.750%, 02/15/31 286,000
358,000 CAD Rogers Communications, Inc.
7.250%, 12/15/11 332,288
430,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 406,326
955,000 Sprint Nextel Corp.
7.375%, 08/01/15 979,663
382,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 384,865
---------------
3,242,093
---------------
UTILITIES (0.1%)
119,000 Edison International
7.730%, 06/15/09 123,165
95,000 NRG Energy, Inc.
7.250%, 02/01/14 95,475
573,000 TXU Corp.
6.500%, 11/15/24 533,488
---------------
752,128
---------------
TOTAL CORPORATE BONDS 66,023,823
---------------
See accompanying Notes to Schedule of Investments
6
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
------------ ---------------
OPTIONS (1.5%)
CONSUMER DISCRETIONARY (0.3%)
725 Comcast Corp.#
Call, 01/17/09, Strike $42.50 $ 663,375
200 Garmin, Ltd.#
Call, 01/19/08, Strike $50.00 149,000
470 Harley-Davidson, Inc.#
Call, 01/17/09, Strike $70.00 493,500
Nike, Inc.#
180 Call, 01/17/09, Strike $100.00 238,500
180 Call, 01/17/09, Strike $90.00 342,900
260 Office Depot, Inc.#
Call, 01/19/08, Strike $40.00 94,900
350 Omnicom Group, Inc.#
Call, 01/17/09, Strike $100.00 633,500
---------------
2,615,675
---------------
CONSUMER STAPLES (0.1%)
820 Coca-Cola Company#
Call, 01/17/09, Strike $45.00 524,800
375 Kroger Company#
Call, 01/17/09, Strike $25.00 159,375
215 PepsiCo, Inc.#
Call, 01/19/08, Strike $60.00 176,300
---------------
860,475
---------------
FINANCIALS (0.3%)
460 A.G. Edwards, Inc.#
Call, 01/17/09, Strike $70.00 395,600
750 Bank of America Corp.#
Call, 01/17/09, Strike $50.00 528,750
15 Chicago Mercantile Exchange
Holdings, Inc.#
Call, 01/19/08, Strike $510.00 152,475
Goldman Sachs Group, Inc.#
85 Call, 01/17/09, Strike $195.00 411,825
60 Call, 01/19/08, Strike $190.00 234,600
120 Lehman Brothers Holdings, Inc.#
Call, 01/19/08, Strike $75.00 173,400
130 Merrill Lynch & Company, Inc.#
Call, 01/19/08, Strike $85.00 193,050
---------------
2,089,700
---------------
HEALTH CARE (0.1%)
75 Allergan, Inc.#
Call, 01/19/08, Strike $110.00 130,500
650 Johnson & Johnson#
Call, 01/17/09, Strike $65.00 529,750
---------------
660,250
---------------
INDUSTRIALS (0.1%)
460 General Dynamics Corp.#
Call, 01/17/09, Strike $75.00 627,900
---------------
INFORMATION TECHNOLOGY (0.6%)
70 Apple Computer, Inc.#
Call, 01/19/08, Strike $90.00 88,900
960 Cisco Systems, Inc.#
Call, 01/17/09, Strike $27.50 470,400
280 Hewlett-Packard Company#
Call, 01/19/08, Strike $40.00 198,800
NUMBER OF
CONTRACTS VALUE
------------ ---------------
500 Infosys Technologies, Ltd.#
Call, 01/17/09, Strike $55.00 $ 680,000
250 Intuit, Inc.#
Call, 01/19/08, Strike $35.00 60,625
1,300 Microsoft Corp.#
Call, 01/17/09, Strike $30.00 637,000
275 Motorola, Inc.#
Call, 01/19/08, Strike $22.50 37,812
Nokia Corp.#
1,900 Call, 01/19/08, Strike $20.00 684,000
1,900 Call, 01/19/08, Strike $17.50 1,026,000
200 NVIDIA Corp.#
Call, 01/19/08, Strike $40.00 49,000
1,600 Oracle Corp.#
Call, 01/17/09, Strike $17.50 520,000
---------------
4,452,537
---------------
TELECOMMUNICATION SERVICES (0.0%)
190 America Movil, S.A. de C.V.#
Call, 01/19/08, Strike $40.00 171,000
130 NII Holdings, Inc.#
Call, 01/19/08, Strike $70.00 176,150
---------------
347,150
---------------
TOTAL OPTIONS 11,653,687
---------------
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES
(Cost $75,387,553) 77,677,510
---------------
NUMBER OF
SHARES VALUE
------------ ---------------
CONVERTIBLE PREFERRED STOCKS (34.0%)
CONSUMER DISCRETIONARY (2.9%)
610,000 Ford Motor Company Capital Trust II
6.500% 22,490,700
---------------
CONSUMER STAPLES (0.8%)
5,000 Universal Corp.
6.750% 6,070,000
---------------
ENERGY (1.6%)
50,000 Chesapeake Energy Corp.
6.250% 12,753,750
---------------
FINANCIALS (22.0%)
525,000 Citigroup, Inc. (Genworth Financial,
Inc.)< ++ &
5.020% 17,272,500
16,000 Fortis Insurance, N.V. (Assurant,
Inc.)*&
7.750% 22,689,600
240,000 Lazard, Ltd.
6.625% 10,466,400
850,000 Lehman Brothers Holdings, Inc.
(General Mills, Inc.)&
6.250% 23,264,500
190,000 Merrill Lynch & Co., Inc. (Nuveen
Investments, Inc.)&
6.750% 8,455,000
See accompanying Notes to Schedule of Investments
7
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2007 (UNAUDITED)
NUMBER OF
SHARES VALUE
------------ ---------------
785,000 Metlife, Inc.
6.375% $ 24,664,700
650,000 National Australia Bank, Ltd.
7.875% 33,280,000
55,000 Reinsurance Group of America, Inc.
5.750% 3,985,300
130,000 CHF Swiss Re
6.000% 10,780,075
310,000 Washington Mutual, Inc.
5.375% 17,174,000
---------------
172,032,075
---------------
HEALTH CARE (1.6%)
215,000 Schering-Plough Corp.
6.000% 12,663,500
---------------
UTILITIES (5.1%)
410,000 AES Corp. Trust III
6.750% 19,593,900
435,000 CenterPoint Energy, Inc. (Time
Warner, Inc.)++&
2.000% 16,801,875
65,000 Southern Union Company
5.000% 3,442,725
---------------
39,838,500
---------------
TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $225,483,032) 265,848,525
---------------
WARRANTS (0.1%)
CONSUMER DISCRETIONARY (0.1%)
100,000 Expedia, Inc.#
05/07/12, Strike $24.46 262,500
100,000 IAC/InterActiveCorp#
05/07/12, Strike $30.54 787,500
---------------
1,050,000
---------------
TOTAL WARRANTS
(Cost $831,500) 1,050,000
---------------
PRINCIPAL
AMOUNT VALUE
------------ ---------------
SHORT-TERM INVESTMENT (2.9%)
COMMERCIAL PAPER (2.9%)
$ 22,741,000 Citigroup, Inc.
5.210%, 02/01/07
(Cost $22,741,000) 22,741,000
---------------
NUMBER OF
SHARES VALUE
------------ ---------------
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN (19.4%)
151,986,000 Bank of New York Institutional Cash
Reserve Fund
current rate 5.384%
(Cost $151,986,000) 151,986,000
---------------
TOTAL INVESTMENTS (166.0%)
(Cost $1,223,778,695) 1,299,376,619
---------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-19.4%) (151,986,000)
---------------
OTHER ASSETS, LESS LIABILITIES (2.5%) 20,213,225
---------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS
PAYABLE (-49.1%) (384,694,301)
---------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 782,909,543
---------------
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market Value for Securities denominated in foreign currencies are shown
in U.S. dollars.
* 144A securities are those that are exempt from registration under Rule 144A
of the Securities Act of 1933, as amended. These securities are generally
issued to qualified institutional buyers ("QIBs"), such as the Fund. Any
resale of these securities must generally be effected through a sale that
is exempt from registration (e.g. a sale to another QIB), or the security
must be registered for public sale. At January 31, 2007, the market value
of 144A securities that were not subject to mandatory issuer registration
obligations is $86,825,441 or 11.1% of net assets.
+ Security was purchased on when issued basis.
< Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate or step bond security. The interest rate shown is the rate in
effect at January 31, 2007.
& Securities exchangeable or convertible into securities of an entity
different than the issuer. Such entity is identified in the parenthetical.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
CHF Swiss Franc
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying Notes to Schedule of Investments
8
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION. CALAMOS Convertible Opportunities and Income Fund (the "Fund") was
organized as a Delaware statutory trust on April 17, 2002 and is registered
under the Investment Company Act of 1940 (the "1940 Act") as a diversified,
closed-end management investment company. The Fund commenced operations on June
26, 2002.
The Fund's investment objective is to provide total return through a combination
of capital appreciation and current income. Under normal circumstances, the Fund
will invest at least 80% of its managed assets in a diversified portfolio of
convertible and non-convertible income securities. "Managed assets" means the
Fund's total assets (including any assets attributable to any leverage that may
be outstanding) minus total liabilities (other than debt representing financial
leverage).
PORTFOLIO VALUATION. The valuation of the Fund's portfolio securities is in
accordance with policies and procedures adopted by and under the ultimate
supervision of the Board of Trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option
securities, are valued at the last current reported sales price at the time as
of which the Fund determines its NAV. Securities traded in the over-the-counter
("OTC") market and quoted on The Nasdaq Stock Market are valued at the Nasdaq
Official Closing Price ("NOCP"), as determined by Nasdaq, or lacking a NOCP, the
last current reported sale price on Nasdaq at the time as of which the Fund
determines its NAV.
When a most recent last sale or closing price is not available, portfolio
securities, other than option securities, that are traded on a U.S. securities
exchange and other securities traded in the OTC market are valued at the mean
between the most recent bid and asked quotations in accordance with guidelines
adopted by the Board of Trustees. Each option security traded on a U.S.
securities exchange is valued at the mid-point of the consolidated bid/ask quote
for the option security, also in accordance with guidelines adopted by the Board
of Trustees. Each OTC option that is not traded through the Options Clearing
Corporation is valued by the counterparty to such option. If the pricing
committee determines that the valuation of a security in accordance with the
methods described above is not reflective of a fair value for such security, the
security, including any thinly-traded security, junk bond or synthetic
convertible instrument, is valued at a fair value by the pricing committee,
under the ultimate supervision of the Board of Trustees, following the
guidelines and/or procedures adopted by the Board of Trustees.
Trading in securities on European and Far Eastern securities exchanges and OTC
markets is typically completed at various times before the close of business on
each day on which the NYSE is open. Each security trading on these exchanges or
OTC markets is evaluated 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
current sale price at the time as of which the Fund determines its NAV, or when
reliable market prices or quotations are not readily available, at the mean
between the most recent bid and asked quotations as of the close of the
appropriate exchange or other designated time, in accordance with guidelines
adopted by the Board of Trustees. Trading 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. As stated above, if the market prices
are not readily available or are not reflective of a security's fair value, the
security is valued at a fair value by the pricing committee, under the ultimate
9
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
supervision of the Board of Trustees, following the guidelines and/or procedures
adopted by the Board of Trustees.
The Fund also may use fair value pricing, pursuant to Board of Trustees
guidelines and under the ultimate supervision of the Board of Trustees if the
value of a foreign security it holds is materially affected by events occurring
before their pricing time but after the close of the primary market or exchange
on which the security is traded. Those procedures may utilize valuations
furnished by pricing services approved by the Board of Trustees, which may be
based on market transactions for comparable securities and various relationships
between securities that are generally recognized by institutional traders, a
computerized matrix system, or appraisals derived from information concerning
the securities or similar securities received from recognized dealers in those
securities.
When fair value pricing of securities is employed, the prices of securities used
by the Fund to calculate its NAV may differ from market quotations or official
closing prices.
INVESTMENT TRANSACTIONS. Short-term and long-term investment transactions are
recorded on a trade date basis on January 31, 2007.
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 market value should the counterparty not perform under the contract.
Put and call options purchased are accounted for in the same manner as portfolio
securities. The cost of securities acquired through the exercise of purchased
call options is increased by premiums paid. The proceeds from securities sold
through the exercise of purchased put options are decreased by the premiums
paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from written options. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a written call
option is exercised, the premium is added to the proceeds from the sale of the
underlying security or currency in determining whether the Fund has realized a
gain or loss. If a written put option is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. The Fund as writer of an option
bears the market risk of an unfavorable change in the price of the security
underlying the written option.
NOTE 2 - INVESTMENTS
The following information is presented on a Federal income tax basis as of
January 31, 2007. Differences between the cost basis under U.S. generally
accepted accounting principles and Federal income tax purposes are primarily due
to timing differences.
10
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
Cost basis of investments $1,235,360,012
--------------
Gross unrealized appreciation 78,616,932
Gross unrealized depreciation (14,600,325)
--------------
Net unrealized appreciation (depreciation) $ 64,016,607
--------------
NOTE 3 - FORWARD FOREIGN CURRENCY CONTRACTS
There were no open forward foreign currency contracts at January 31, 2007.
NOTE 4 - SYNTHETIC CONVERTIBLE SECURITIES
The Fund may establish a "synthetic" convertible instrument by combining
separate securities that possess the economic characteristics similar to a
convertible security, i.e., fixed-income securities ("fixed-income component",
which may be a convertible or non-convertible security) and the right to acquire
equity securities ("convertible component"). The fixed-income component is
achieved by investing in fixed income securities such as bonds, preferred stocks
and money market instruments. The convertible component is achieved by investing
in warrants or options to buy common stock at a certain exercise price, or
options on a stock index. In establishing a synthetic instrument, the Fund may
pool a basket of fixed-income securities and a basket of warrants or options
that produce the economic characteristics similar to a convertible security.
Within each basket of fixed-income securities and warrants or options, different
companies may issue the fixed-income and convertible components, which may be
purchased separately and at different times.
The Fund may purchase synthetic convertible instruments created by other
parties, typically investment banks, including convertible structured notes.
Convertible structured notes are fixed-income debentures linked to equity.
Convertible structured notes have the attributes of a convertible security;
however, the investment bank that issued the convertible note assumes the credit
risk associated with the investment, rather than the issuer of the underlying
common stock into which the note is convertible. Purchasing synthetic
convertible securities may offer more flexibility than purchasing a convertible
security.
NOTE 5 - PREFERRED SHARES
There are unlimited shares of Auction Rate Cumulative Preferred Shares
("Preferred Shares") authorized. The Preferred Shares have rights as determined
by the Board of Trustees. The 15,360 shares of Preferred Shares outstanding
consist of seven series, 2,040 shares of M, 2,040 shares of TU, 2,040 shares of
W7, 2,400 shares of W28, 2,400 shares of TH7, 2,040 shares of TH28, and 2,400
shares of F. The Preferred Shares have a liquidation value of $25,000 per share
plus any accumulated but unpaid dividends, whether or not declared.
NOTE 6 - INTEREST RATE TRANSACTIONS
Swap agreements are stated at fair value. The contracts are marked-to-market
daily based on dealer-supplied valuations and changes in value are recorded as
unrealized appreciation (depreciation).
Details of the interest rate swap agreements outstanding as of January 31, 2007
were as follows:
11
NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
Unrealized
Termination Notional Fixed Rate Floating Rate Appreciation
Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation)
------------- ----------------- ------------ ----------- --------------- -------------
Merrill Lynch July 3, 2007 65,000 2.33% 1 month LIBOR 968,576
Merrill Lynch November 28, 2007 60,000 3.26% 1 month LIBOR 1,012,223
Merrill Lynch July 3, 2008 70,000 2.69% 1 month LIBOR 2,617,412
Merrill Lynch November 28, 2008 60,000 3.60% 1 month LIBOR 1,683,339
----------
$6,281,550
==========
NOTE 7 - SECURITIES LENDING
For the three-month period ended January 31, 2007, the Fund loaned certain of
its securities to broker-dealers and banks. Any such loan must be continuously
secured by collateral in cash or cash equivalents maintained on a current basis
in an amount at least equal to the market value of the securities loaned by the
Fund. The Fund continues to receive the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receives an additional
return that may be in the form of a fixed fee or a percentage of the collateral.
The Fund may pay reasonable fees to persons unaffiliated with the Fund for
services in arranging these loans. The Fund has the right to call the loan and
obtain the securities loaned at any time on notice of not more than five
business days. The Fund does not have the right to vote the securities during
the existence of the loan but could call the loan in an attempt to permit voting
of the securities in certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
In the event of bankruptcy or other default of the borrower, the Fund could
experience both delays in liquidating the loan collateral or recovering the
loaned securities and losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the period while the
Fund seeks to enforce its rights thereto, (b) possible subnormal levels of
income and lack of access to income during this period, and (c) the expenses of
enforcing its rights. In an effort to reduce these risks, the Fund's securities
lending agent monitors, and reports to Calamos Advisors on, the creditworthiness
of the firms to which a Fund lends securities. At January 31, 2007, the Fund had
securities valued at $146,071,683 that were on loan to broker-dealers and banks
and $151,986,000 in cash or cash equivalent collateral.
12
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-Q was recorded,
processed, summarized, and reported timely.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Convertible Opportunities and Income Fund
By: /s/ John P. Calamos, Sr.
---------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 28, 2007
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 28, 2007
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 28, 2007