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

 

 

 

 

 

 

 

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

 

1

 

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

 

2

 

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

 

3

 

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

 

4

 

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

 

5

 

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 

 

6 

 

 

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

 

7 

 

 

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

 

8 

 

 

Calamos Convertible Opportunities and Income Fund 

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

 

PRINCIPAL

AMOUNT

       VALUE 
 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

       VALUE 
 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

 

9 

 

 

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

 

PRINCIPAL

AMOUNT

       VALUE 
 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

       VALUE 
 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

 

10 

 

 

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

 

11

 

 

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

 

12

 

 

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		      VALUE 
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		      VALUE 
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

 

13

 

 

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		       VALUE 
            
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		       VALUE 
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

 

 14

 

 

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

 

15

 

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  $1,168,508,104 
Gross unrealized appreciation   39,554,629 
Gross unrealized depreciation   (91,117,603)
Net unrealized appreciation (depreciation)  $(51,562,974)

 

 

 

 

* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report.

 

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  Dividend Rate   Shares (000’s)   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:

 

 

 

 

   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 

 

 

 
 

 

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 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