UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21080
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EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:
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Calamos Convertible Opportunities and Income Fund
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ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:
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2020 Calamos Court, Naperville,
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Illinois 60563-2787
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NAME AND ADDRESS OF AGENT FOR SERVICE:
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John P. Calamos, Sr., President,
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Calamos Advisors LLC
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2020 Calamos Court
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Naperville, Illinois
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60563-2787
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REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2012
DATE OF REPORTING PERIOD: November 1, 2011 through October 31, 2012
Item 1. Report to Shareholders
Experience and Foresight
About Calamos Investments
For nearly 35 years, we have helped investors like you manage and build wealth
to meet their long-term individual objectives by working to capitalize on the opportunities of the evolving global marketplace. We launched our first open-end mutual fund in 1985 and our first closed-end fund in 2002. Today, we manage five
closed-end funds. Two are income-oriented total return offerings, which seek current income, with increased emphasis on capital gains potential. Three are enhanced fixed income offerings, which pursue high current income from income and capital
gains. Calamos Convertible Opportunities and Income Fund (CHI) falls into this category. Please see page 5 for a more detailed overview of our closed-end offerings.
We are dedicated to helping our clients build and protect wealth.
We understand when you entrust us with your assets, you also entrust us with your achievements, goals and aspirations. We believe we best
honor this trust by making investment decisions guided by integrity, by discipline, and by our conscientious research.
We believe that an active,
risk-conscious approach is essential for wealth creation.
In the 1970s, we pioneered strategies that seek to participate in equity market upside and mitigate some of the potential risks of equity market volatility. Our investment process seeks
to manage risk at multiple levels and draws upon our experience investing through multiple market cycles.
We have a global perspective.
We
believe that globalization offers tremendous opportunities for countries and companies all over the world. In our view, this creates significant opportunities for investors. In our U.S., global and international portfolios, we are seeking to
capitalize on the potential growth of the global economy.
We believe there are opportunities in all markets.
Our history traces back to the
1970s, a period of significant volatility and economic concerns. We have invested through multiple market cycles, each with its own challenges. Out of this experience comes our belief that the flipside of volatility is opportunity.
Letter to Shareholders
JOHN P. CALAMOS, SR.
CEO and Global Co-CIO
Dear Fellow Shareholder:
Welcome to your annual report for the period ended October 31, 2012. This report includes commentary from our investment team, as well as a listing of portfolio holdings, financial statements and highlights,
and detailed information about the performance and allocation of your fund. I invite you to read it carefully.
Calamos Convertible Opportunities and
Income Fund (CHI) is an enhanced fixed income fund. We utilize dynamic asset allocation to pursue high current income, while also maintaining a focus on capital gains. We believe that the flexibility to invest in high yield corporate bonds and
convertible securities is an important differentiator, especially given the low rates in many areas of the fixed income market.
Steady and
Competitive Distributions
During the annual period, CHI provided steady monthly distributions. We believe the Funds distribution rate, which
was 9.11% on a market price basis as of October 31, 2012, was very competitive, given the low interest rates in many segments of the bond market. We believe that this illustrates the benefits of a multi-asset class approach and flexible
allocation strategy.
We understand that many closed-end fund investors seek steady, predictable distributions instead of distributions that fluctuate.
Therefore, this Fund has a level rate distribution policy. As part of this policy, we aim to keep distributions consistent from month to month, and at a level that we believe can be sustained over the long term. In setting the Funds
distribution rate, the investment management team and the Funds Board of Trustees consider the interest rate, market and economic environment. We also factor in our assessment of individual securities and asset classes. (For additional
information on our level rate distribution policy, please see The Calamos Closed-End Funds: An Overview on page 5 and Level Rate Distribution Policy on page 38.)
Market Environment
Global markets advanced impressively over the 12-month period, even as stop-and-go rallies
and persistent volatility combined to keep investors in a heightened state of uncertainty. For every positive development like strong corporate earnings, an improving U.S. housing market and the ongoing liquidity measures of the worlds central
banks, the markets were given pause by continued economic instability in Europe, slowing
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CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
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1
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Letter to
Shareholders
growth in China and a still lackluster U.S. employment market. As the period ended, investors were also confronted with the uncertainty of the pending fiscal cliff.
Overall for the 12-month period, however, investors seemed to focus more on the positives than the negatives, as the U.S. high yield bond and convertible
securities markets posted strong performance. Convertible securities returned 9.42%, as measured by the BofA Merrill Lynch All U.S. Convertibles Ex-Mandatory Index. High yield bonds also performed well, as measured by the Credit Suisse High Yield
Index, up 12.86%. Within the high yield market, new issuance continued at a robust pace. However, even as market pressures intensified, the number and volume of defaults remained low. Convertible issuance was steady but muted throughout the period,
as a low rate environment encouraged companies to issue non-convertible, rather than convertible debt.
Outlook: Slow Growth Amid Uncertainty
We believe that the U.S. economy is positioned to stay on its slow-growth course. Despite the significant challenges of the fiscal cliff and the
ever-changing situation in the euro zone, consumers have remained relatively resilient and some manufacturing data, including a healthier auto industry, is pointing in a better direction. Businesses have improved their balance sheets and have plenty
of cash on hand, ready to invest and grow in the coming year. The recovery of the housing market, however gradual, can also provide a boost to the economy as rising prices contribute to increased consumer confidence.
Nonetheless, we are also cautious. We expect market volatility to continue, stoked in part by a range of near-term political uncertainties, including the recent
leadership change in China and ongoing partisan contentiousness in the U.S. While quantitative easing has proven to an effective short-term balm for the markets, the long-term effectiveness of the government continuing to pump money into the economy
is far less assured. In the U.S., job growth continues to be uninspiring, and while money supply has soared, the velocity of money has not. Although large companies have benefitted from low rates and have accumulated capital, smaller businesses face
persistent hurdles as banks keep the purse strings tight.
We maintain our view that sustained global growth requires a greater commitment to
pro-business policies and reduced government intervention. A strong private sector can set the stage for better wages and national prosperity, but rising government debt without rising personal income is a roadmap to economic stagnation.
In selecting investments for this Fund, we seek to balance yield and risk considerations. We therefore favor companies that we believe offer reliable debt
servicing, respectable balance sheets and strong cash flows. As part of our active approach, we subject each investment to our rigorous fundamental credit research.
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2
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CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
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Letter to Shareholders
Our Use of Leverage
We have the flexibility to utilize leverage in this Fund. Over the long term, we believe that the judicious use of leverage provides us with opportunities to enhance total return and support the Funds
distribution rate. Leverage strategies typically entail borrowing at short-term interest rates and investing the proceeds at higher rates of return. During the reporting period, we believed the prudent use of leverage would be advantageous given the
economic environment, specifically the low borrowing costs we were able to secure. Overall, our use of leverage contributed favorably to the returns of the Fund, as the performance of the Funds holdings exceeded the costs of our borrowing
activities.
Consistent with our focus on risk management, we have employed techniques to hedge against a rise in interest rates. We have used interest
rate swaps to manage the borrowing costs associated with our leverage activities. Interest rate swaps allow us to lock down an interest rate we believe to be attractive. Although rates are at historically low levels across much of the
fixed income market, history has taught us that rates can rise quickly, in some cases, in a matter of months. We believe that the Funds use of interest rate swaps is beneficial because it provides a degree of protection should a rise in rates
occur.
Opportunities: Global Equities Remain Compelling
Reflecting our outlook for continued slower growth and our wariness about inflation, we maintain a constructive view on equities. We believe that global secular themesincluding growing consumer strength in
the emerging markets, global demand for technology innovations and global infrastructure build-outcan continue to power a wide range of companies across the globe, even against the headwind of slower-growth outlook.
Valuations continue to be attractive, particularly in this low interest rate environment. Moreover, there is money sitting on the sidelines that we believe could
move into motion quickly, providing a tailwind to equities. In our opinion, the opportunities are most pronounced for multinational growth-oriented companies, particularly those poised to capitalize on the strengthening consumer power in the
emerging markets. These companies have the flexibility to go where capital is treated best. Further, while interest rates remain historically low for now, equities can act as a hedge against the potential risk of inflation.
Within fixed income, we see opportunity in the mid-grade corporate sector. As yields in the government bond market have all but evaporated, this segment of the
market continues to demonstrate attractive risk-reward characteristics for income-oriented investors. We are especially vigilant about interest rate risk, knowing from history how quickly inflation can sometimes arise.
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CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
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3
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Letter to
Shareholders
The past year has been encouraging, but the sustainability of the markets positive performance is yet to be
seen. This is an environment that requires patience and long-term, global perspective. We believe our dynamic allocation approach has been instrumental to the results we have achieved over full market cycles and will continue to be, particularly
given the low rates currently available in many segments of the fixed income marketplace.
If you would like any additional information about this Fund
or our other closed-end offerings, please contact your financial advisor or our client services team at 800.582.6959 (Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time), or visit us at calamos.com. We thank you for your continued
trust.
Sincerely,
John P. Calamos, Sr.
CEO and
Global Co-CIO,
Calamos Advisors LLC
This report is for
informational purposes only and should not be considered investment advice.
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4
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CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
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The Calamos Closed-End Funds: An Overview
In our closed-end funds, we draw upon decades of investment experience, including a long history of opportunistically blending asset classes in an attempt to capture upside potential while managing downside risk.
We launched our first closed-end fund in 2002.
Closed-end funds are long-term investments. Most focus on providing monthly distributions, but there are
important differences among individual closed-end funds. Calamos closed-end funds can be grouped into multiple categories designed to produce income while offering exposure to various asset classes and sectors.
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Portfolios Positioned to Pursue High Current Income from Income and Capital Gains
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Portfolios Positioned to Seek Current Income, with Increased Emphasis on Capital Gains Potential
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OBJECTIVE: U.S. ENHANCED FIXED
INCOME
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OBJECTIVE: GLOBAL TOTAL
RETURN
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Calamos Convertible Opportunities and Income Fund
(Ticker: CHI)
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Calamos Global Total Return Fund
(Ticker: CGO)
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Invests in high yield and convertible securities, primarily in U.S. markets
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Invests in equities and higher yielding convertible securities and corporate bonds, in both U.S. and non-U.S. markets
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OBJECTIVE: U.S. TOTAL
RETURN
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Calamos Convertible and High Income Fund
(Ticker CHY)
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Calamos Strategic Total Return Fund
(Ticker: CSQ)
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Invests in high yield and convertible securities, primarily in U.S. markets
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Invests in equities and higher yielding convertible securities and corporate bonds, primarily in U.S. markets
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OBJECTIVE: GLOBAL ENHANCED FIXED
INCOME
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Calamos Global Dynamic Income Fund
(Ticker: CHW)
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Invests in global fixed income securities, alternative investments and equities
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Our Level Rate Distribution Policy
Closed-end fund investors often look for a steady stream of income. Recognizing this, Calamos closed-end funds have a level rate distribution policy in which we aim
to keep monthly income consistent through the disbursement of net investment income, net realized short-term capital gains and, if necessary, return of capital. We set distributions at levels that we believe are sustainable for the long term. Our
team is focused on delivering an attractive monthly distribution, while maintaining a long-term focus on risk management. The level of the funds distributions can be greatly influenced by market conditions, including the interest rate
environment. The funds distributions will depend on the individual performance of positions the funds hold, our view of the benefits of retaining leverage, fund tax considerations, and maintaining regulatory requirements.
For more information about any of these funds, we encourage you to contact your financial advisor or Calamos Investments at 800.582.6959 (Monday through Friday from
8:00 a.m. to 6:00 p.m., Central Time). You can also visit us at calamos.com.
For more information on our level rate distribution policy, please see page
38.
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CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
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5
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Investment Team Discussion
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TOTAL RETURN* AS OF 10/31/12
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Common Shares Inception 6/26/02
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1 Year
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Since
Inception**
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On Market Price
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13.62%
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9.66%
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On NAV
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11.05%
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10.10%
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*Total return measures net investment income and net realized gain or loss from Fund investments, and change in
net unrealized appreciation and depreciation, assuming reinvestment of income and net realized gains distributions.
**Annualized
since inception.
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SECTOR WEIGHTINGS
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Energy
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17.5
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%
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Consumer Discretionary
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16.5
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Information Technology
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14.7
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Health Care
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13.3
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Industrials
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11.7
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Materials
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6.9
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Financials
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6.0
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Consumer Staples
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3.1
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Utilities
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2.9
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Telecommunication Services
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1.5
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Sector Weightings are based on managed assets and may vary over time. Sector Weightings exclude any
government/sovereign bonds or options on broad market indexes the Fund may hold.
CONVERTIBLE OPPORTUNITIES AND
INCOME FUND (CHI)
INVESTMENT TEAM DISCUSSION
The Funds Investment Team discusses strategy, performance and positioning for the 12-month period ended October 31, 2012.
Q. To provide a context for its performance, please discuss the Funds strategy and role within an asset allocation.
A. Calamos Convertible Opportunities and Income Fund (CHI) is an enhanced fixed income offering, seeking total return through a combination of capital
appreciation and current income. It provides an alternative to funds investing exclusively in investment grade fixed income instruments, and seeks to be less sensitive to interest rates. Like all five Calamos closed-end funds, the Fund seeks to
provide a steady stream of distributions paid out on a monthly basis and invests in multiple asset classes.
Within this Fund, we invest in a diversified
portfolio of convertible securities and high yield securities. The allocation to each asset class is dynamic, and reflects our view of the economic landscape, as well as the potential of individual securities. By combining these asset classes, we
believe that we are well positioned to generate capital gains as well as income. We believe the broader range of security types in which the Fund invests also provides us with increased opportunities for managing the risk and reward characteristics
of the portfolio over full market cycles.
We seek companies with respectable balance sheets, reliable debt servicing, and good prospects for sustainable
growth. While we invest primarily in securities of U.S. issuers, we favor those companies that are actively participating in globalization with geographically diversified revenue streams and global business strategies.
Q. How did the Fund perform over the reporting period?
A. The Fund gained 11.05% on a net asset value (NAV) basis and 13.62% on a market price basis for the 12-month period ended October 31, 2012, versus the 12.86% return of the Credit Suisse High Yield
Index for the same period.
As of the end of the reporting period, the Funds shares traded at a 0.48% premium to net asset value.
SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 10/31/12
Performance data quoted represents past performance, which is no guarantee of future results.
Current performance
may be lower or higher than the performance quoted.
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6
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CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
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Investment Team Discussion
Q. How do NAV and market price return differ?
A. Closed-end funds trade on exchanges, where the price of shares may be driven by factors other than the value of the underlying securities. The price
of a share in the market is called market value. Market price may be influenced by factors unrelated to the performance of the funds holdings. A funds NAV return measures the return of the individual securities in the portfolio, less
fund expenses. It also measures how a manager was able to capitalize on market opportunities. Because we believe closed-end funds are best utilized as a long-term holding within asset allocations, we believe that NAV return is the better measure of
a funds performance.
Q. Please discuss the Funds distributions during the annual period.
A. We employ a level rate distribution policy within this Fund with the goal of providing shareholders with a consistent distribution stream. The Fund
provided a steady distribution stream over the period. Monthly distributions were $0.0950 per share. The Funds annual distribution rate was 9.11% of market price as of October 31, 2012.
We believe that both the Funds distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of
the marketplace. For example, as of October 31, 2012, the dividend yield of S&P 500 Index stocks averaged 2.36%. Yields also remained low within the U.S. government bond market, with 10-year U.S. Treasurys and 30-year U.S. Treasurys
yielding 1.72% and 2.85%, respectively.
Q. What factors influenced performance over the reporting period?
A. Falling Treasury yields and tightening credit spreads both affected the Funds performance over the period. Yields on 10-year Treasurys, for
example, fell by 30 basis points, and credit spreads were tighter by 144 basis points, as measured by the Bank of America High Yield Broad Market Index. Credit quality was also a factor, as lower credit tiers outperformed. BB-rated securities in the
Credit Suisse High Yield Index returned 11.42%, while CCC-rated securities returned 14.53%.
The Fund benefited from underweight allocations to both the
materials and utilities sectors. An underweight to telecommunication services, on the other hand, was a drag on performance, as this was one of the better performing sectors during the period. The Funds overweight to energy was also
detrimental, as this area did not perform up to our expectations.
Security selection in health care (notably the biotechnology industry),
telecommunication services (specifically communications equipment) and utilities (notably electricity) provided the most significant contributions to returns during the period. Although our holdings in the energy and materials sectors had positive
absolute returns, they lagged their sector peers and were not helpful with respect to relative performance.
Q. How is the Fund
positioned?
A. The Fund is positioned with overweight exposures to the information technology, energy and health care sectors, and
underweight exposures to consumer discretionary, financials and telecommunication services. Fundamentally, we believe the portfolio is positioned properly given the current macroeconomic environment.
ASSET ALLOCATION AS OF 10/31/12
Fund asset allocations are based on total investments and may vary over time.
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CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
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7
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Investment
Team Discussion
Where the risk-reward is compelling, we are investing in global businesses with the ability to seek the best
opportunities around the world and diversify their revenue streams. Overall, our portfolio companies are performing very well fundamentally, earning attractive cash flow margins and improving their credit profiles while utilizing reasonable debt
levels to fund their operations.
The average credit quality of the portfolio is higher than that of the index. This is typical for the Fund, as our
credit process tends to guide us away from the most speculative corporate securities. We currently view the lowest credit tiers of the market as less attractive given their pricing and our outlook for a slower-growth global economy.
Q. What is your outlook for the Fund?
A. We see global credit markets as an attractive opportunity for investors, especially in this low-rate environment. The issuance environment for
corporate borrowers remains favorable, which enables debt refinancing at attractive rates. Corporate fundamentals also continue to improve in many sectors of the market.
We view the mid-grade credit space as particularly well-priced, offering both attractive levels of income with less exposure to potential inflation and higher interest rates. In addition, the mid-grade credit space
offers far healthier companies than are available in the most speculative credit tiers. While the lowest-quality securities can offer higher yields, we find the healthier companies with improving credit profiles to be more suitable investments amid
the current economic environment. As noted above, the Fund therefore maintains a higher average quality than the index as a result of this outlook.
The
low interest rate environment continues to present a challenge to the convertible market, as issuers find the low interest rates attractive without having to offer the equity enhancement. Our goal is to capture yield by focusing more on the
credit-sensitive side of the convertible market.
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8
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CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
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Schedule of Investments
October 31, 2012
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PRINCIPAL
AMOUNT
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VALUE
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CORPORATE BONDS (78.6%)
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Consumer Discretionary (15.4%)
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6,121,000
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American Axle & Manufacturing, Inc.
6.625%, 10/15/22
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$
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6,082,744
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3,296,000
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Asbury Automotive Group, Inc.
m
7.625%,
03/15/17
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3,415,480
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3,178,000
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Cedar Fair, LP
m
9.125%, 08/01/18
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3,611,002
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1,761,000
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Continental Rubber Of America Corp.*
4.500%, 09/15/19
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1,765,403
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5,754,000
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Cooper Tire & Rubber Company
m
8.000%, 12/15/19
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6,480,442
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|
|
5,068,000
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Dana Holding Corp.
m
6.750%, 02/15/21
|
|
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5,384,750
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DISH Network Corp.
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5,932,000
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7.875%, 09/01/19
m
|
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6,984,930
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|
|
4,967,000
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|
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5.875%, 07/15/22
|
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5,240,185
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|
|
3,767,000
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Dufry Finance SCA*
5.500%, 10/15/20
|
|
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3,851,757
|
|
|
4,708,000
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Express, LLC
m
8.750%, 03/01/18
|
|
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5,119,950
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Goodyear Tire & Rubber Company
m
|
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|
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6,591,000
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8.250%, 08/15/20
|
|
|
7,192,429
|
|
|
942,000
|
|
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|
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7.000%, 05/15/22
|
|
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992,633
|
|
|
2,232,000
|
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Hasbro, Inc.
m
6.600%, 07/15/28
|
|
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2,623,156
|
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Icahn Enterprises, LP
m
|
|
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|
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3,944,000
|
|
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|
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8.000%, 01/15/18
|
|
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4,259,520
|
|
|
1,318,000
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8.000%, 01/15/18*
|
|
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1,423,440
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J.C. Penney Company, Inc.
m
|
|
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|
|
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2,932,000
|
|
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6.375%, 10/15/36
|
|
|
2,429,895
|
|
|
2,702,000
|
|
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|
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7.125%, 11/15/23
|
|
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2,664,847
|
|
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|
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Jaguar Land Rover, PLC*
|
|
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|
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4,708,000
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|
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8.125%, 05/15/21
m
|
|
|
5,096,410
|
|
|
2,213,000
|
|
|
|
|
7.750%, 05/15/18
|
|
|
2,367,910
|
|
|
4,237,000
|
|
|
|
|
Lear Corp.
m
8.125%, 03/15/20
|
|
|
4,729,551
|
|
|
2,825,000
|
|
|
|
|
Liberty Media Corp.
m
8.250%, 02/01/30
|
|
|
3,036,875
|
|
|
|
|
|
|
|
Limited Brands, Inc.
|
|
|
|
|
|
2,825,000
|
|
|
|
|
7.600%, 07/15/37
m
|
|
|
2,927,406
|
|
|
1,132,000
|
|
|
|
|
5.625%, 02/15/22
m
|
|
|
1,226,805
|
|
|
739,000
|
|
|
|
|
6.950%, 03/01/33
|
|
|
751,009
|
|
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|
|
|
Meritage Homes Corp.
|
|
|
|
|
|
2,390,000
|
|
|
|
|
7.000%, 04/01/22
|
|
|
2,593,150
|
|
|
942,000
|
|
|
|
|
7.150%, 04/15/20
|
|
|
1,036,200
|
|
|
4,708,000
|
|
|
|
|
Royal Caribbean Cruises, Ltd.
m
7.500%, 10/15/27
|
|
|
5,072,870
|
|
|
|
|
|
|
|
Ryland Group, Inc.
|
|
|
|
|
|
5,179,000
|
|
|
|
|
6.625%, 05/01/20
|
|
|
5,696,900
|
|
|
1,403,000
|
|
|
|
|
5.375%, 10/01/22
|
|
|
1,427,553
|
|
|
1,761,000
|
|
|
|
|
Sally Holdings, LLC
m
5.750%, 06/01/22
|
|
|
1,890,874
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
6,591,000
|
|
|
|
|
Service Corp. International
m
7.500%, 04/01/27
|
|
$
|
7,052,370
|
|
|
2,637,000
|
|
|
|
|
Sirius XM Radio, Inc.*
5.250%, 08/15/22
|
|
|
2,650,185
|
|
|
2,213,000
|
|
|
|
|
Sothebys*
5.250%, 10/01/22
|
|
|
2,257,260
|
|
|
942,000
|
|
|
|
|
Toll Brothers Finance Corp.
m
5.875%, 02/15/22
|
|
|
1,065,907
|
|
|
3,273,000
|
|
|
|
|
Vail Resorts, Inc.
6.500%, 05/01/19
|
|
|
3,567,570
|
|
|
3,578,000
|
|
|
|
|
Viking Cruises, Ltd.*
8.500%, 10/15/22
|
|
|
3,712,175
|
|
|
221,000
|
|
|
|
|
Wolverine World Wide, Inc.*
6.125%, 10/15/20
|
|
|
231,221
|
|
|
1,412,000
|
|
|
|
|
Wynn Las Vegas, LLC
m
7.750%, 08/15/20
|
|
|
1,592,030
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
129,504,794
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (3.1%)
|
|
|
4,308,000
|
|
|
|
|
Darling International, Inc.
m
8.500%, 12/15/18
|
|
|
4,916,505
|
|
|
2,354,000
|
|
|
|
|
Dean Foods Company
m
9.750%, 12/15/18
|
|
|
2,662,374
|
|
|
588,000
|
|
|
|
|
Elizabeth Arden, Inc.
m
7.375%, 03/15/21
|
|
|
659,295
|
|
|
4,678,000
|
|
|
|
|
JBS USA, LLC
m
*
7.250%, 06/01/21
|
|
|
4,598,474
|
|
|
7,114,000
|
|
|
|
|
Post Holdings, Inc.
m
*
7.375%, 02/15/22
|
|
|
7,585,303
|
|
|
5,179,000
|
|
|
|
|
Smithfield Foods, Inc.
m
6.625%, 08/15/22
|
|
|
5,437,950
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,859,901
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (18.0%)
|
|
|
22,599,000
|
|
|
NOK
|
|
Aker Solutions, ASA
6.290%, 06/06/17
|
|
|
4,082,748
|
|
|
2,270,000
|
|
|
|
|
Atwood Oceanics, Inc.
m
6.500%, 02/01/20
|
|
|
2,451,600
|
|
|
4,708,000
|
|
|
|
|
Berry Petroleum Company
6.375%, 09/15/22
|
|
|
4,931,630
|
|
|
5,091,000
|
|
|
|
|
Bristow Group, Inc.
6.250%, 10/15/22
|
|
|
5,345,550
|
|
|
5,179,000
|
|
|
|
|
Calfrac Holdings, LP
m
*
7.500%, 12/01/20
|
|
|
5,153,105
|
|
|
|
|
|
|
|
Calumet Specialty Products, LP
|
|
|
|
|
|
3,767,000
|
|
|
|
|
9.375%, 05/01/19
m
|
|
|
4,068,360
|
|
|
1,412,000
|
|
|
|
|
9.625%, 08/01/20*
|
|
|
1,542,610
|
|
|
|
|
|
|
|
Carrizo Oil & Gas, Inc.
|
|
|
|
|
|
4,614,000
|
|
|
|
|
8.625%, 10/15/18
m
|
|
|
4,994,655
|
|
|
4,162,000
|
|
|
|
|
7.500%, 09/15/20
|
|
|
4,266,050
|
|
|
5,650,000
|
|
|
|
|
Cimarex Energy Companyµ
5.875%, 05/01/22
|
|
|
6,059,625
|
|
|
4,473,000
|
|
|
|
|
Continental Resources, Inc.*
5.000%, 09/15/22
|
|
|
4,724,606
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
9
|
|
Schedule of
Investments
October 31, 2012
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
6,591,000
|
|
|
|
|
Drill Rigs Holdings, Inc.*
6.500%, 10/01/17
|
|
$
|
6,591,000
|
|
|
767,000
|
|
|
|
|
Frontier Oil Corp.
6.875%, 11/15/18
|
|
|
820,690
|
|
|
5,179,000
|
|
|
|
|
GulfMark Offshore, Inc.
m
*
6.375%, 03/15/22
|
|
|
5,412,055
|
|
|
3,598,000
|
|
|
|
|
Helix Energy Solutions Group, Inc.*
9.500%, 01/15/16
|
|
|
3,728,427
|
|
|
2,825,000
|
|
|
|
|
Holly Energy Partners, LP*
6.500%, 03/01/20
|
|
|
2,980,375
|
|
|
1,912,000
|
|
|
|
|
HollyFrontier Corp.
m
9.875%, 06/15/17
|
|
|
2,093,640
|
|
|
|
|
|
|
|
Hornbeck Offshore Services, Inc.
|
|
|
|
|
|
2,759,000
|
|
|
|
|
8.000%, 09/01/17
m
|
|
|
2,965,925
|
|
|
942,000
|
|
|
|
|
5.875%, 04/01/20
|
|
|
963,195
|
|
|
5,179,000
|
|
|
|
|
Laredo Petroleum, Inc.
7.375%, 05/01/22
|
|
|
5,671,005
|
|
|
|
|
|
|
|
Linn Energy, LLC
|
|
|
|
|
|
4,708,000
|
|
|
|
|
8.625%, 04/15/20
m
|
|
|
5,172,915
|
|
|
1,883,000
|
|
|
|
|
6.250%, 11/01/19
m
*
|
|
|
1,892,415
|
|
|
1,412,000
|
|
|
|
|
7.750%, 02/01/21
|
|
|
1,514,370
|
|
|
942,000
|
|
|
|
|
6.500%, 05/15/19
|
|
|
953,775
|
|
|
3,682,000
|
|
|
|
|
MarkWest Energy Partners, LP
m
5.500%, 02/15/23
|
|
|
3,884,510
|
|
|
|
|
|
|
|
Oasis Petroleum, Inc.
|
|
|
|
|
|
3,945,000
|
|
|
|
|
6.500%, 11/01/21
|
|
|
4,191,562
|
|
|
1,177,000
|
|
|
|
|
6.875%, 01/15/23
m
|
|
|
1,253,505
|
|
|
4,708,000
|
|
|
|
|
Parker Drilling Company
9.125%, 04/01/18
|
|
|
5,061,100
|
|
|
2,825,000
|
|
|
|
|
Pioneer Drilling Company
m
9.875%, 03/15/18
|
|
|
3,072,187
|
|
|
5,179,000
|
|
|
|
|
Samson Investment Company
m
*
9.750%, 02/15/20
|
|
|
5,489,740
|
|
|
4,708,000
|
|
|
|
|
SEACOR Holdings, Inc.
m
7.375%, 10/01/19
|
|
|
5,115,746
|
|
|
|
|
|
|
|
SESI, LLC
|
|
|
|
|
|
3,060,000
|
|
|
|
|
6.875%, 06/01/14
m
|
|
|
3,065,722
|
|
|
2,354,000
|
|
|
|
|
7.125%, 12/15/21
|
|
|
2,636,480
|
|
|
|
|
|
|
|
SM Energy Company
|
|
|
|
|
|
3,593,000
|
|
|
|
|
6.625%, 02/15/19
|
|
|
3,781,632
|
|
|
1,695,000
|
|
|
|
|
6.500%, 11/15/21
m
|
|
|
1,792,463
|
|
|
3,202,000
|
|
|
|
|
Swift Energy Company
m
8.875%, 01/15/20
|
|
|
3,474,170
|
|
|
443,000
|
|
|
|
|
Tesoro Corp.
5.375%, 10/01/22
|
|
|
464,043
|
|
|
2,590,000
|
|
|
|
|
Tesoro Logistics, LP*
5.875%, 10/01/20
|
|
|
2,693,600
|
|
|
2,213,000
|
|
|
|
|
TransDigm Group, Inc.*
5.500%, 10/15/20
|
|
|
2,243,429
|
|
|
3,390,000
|
|
|
|
|
Trinidad Drilling, Ltd.
m
*
7.875%, 01/15/19
|
|
|
3,652,725
|
|
|
|
|
|
|
|
W&T Offshore, Inc.
|
|
|
|
|
|
6,121,000
|
|
|
|
|
8.500%, 06/15/19
m
|
|
|
6,472,957
|
|
|
2,637,000
|
|
|
|
|
8.500%, 06/15/19*
|
|
|
2,788,628
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
1,394,000
|
|
|
|
|
Whiting Petroleum Corp.
m
6.500%, 10/01/18
|
|
$
|
1,510,748
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
151,025,273
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (2.3%)
|
|
|
|
|
|
2,261,000
|
|
|
|
|
AON Corp.
m
8.205%, 01/01/27
|
|
|
2,841,704
|
|
|
1,563,000
|
|
|
|
|
Chesapeake Oilfield Finance, Inc.*
6.625%, 11/15/19
|
|
|
1,496,573
|
|
|
3,574,000
|
|
|
|
|
Legg Mason, Inc.
m
*
5.500%, 05/21/19
|
|
|
3,929,134
|
|
|
5,179,000
|
|
|
|
|
Neuberger Berman Group LLC
m
*
5.875%, 03/15/22
|
|
|
5,541,530
|
|
|
|
|
|
|
|
Nuveen Investments, Inc.*
|
|
|
|
|
|
2,778,000
|
|
|
|
|
9.500%, 10/15/20
|
|
|
2,812,725
|
|
|
2,778,000
|
|
|
|
|
9.125%, 10/15/17
|
|
|
2,788,417
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,410,083
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (10.6%)
|
|
|
|
|
|
173,000
|
|
|
|
|
AMERIGROUP Corp.
m
7.500%, 11/15/19
|
|
|
202,843
|
|
|
1,883,000
|
|
|
|
|
Bio-Rad Laboratories, Inc.
m
8.000%, 09/15/16
|
|
|
2,066,593
|
|
|
9,793,000
|
|
|
|
|
Community Health Systems, Inc.
7.125%, 07/15/20
|
|
|
10,368,339
|
|
|
5,591,000
|
|
|
|
|
DaVita, Inc.
m
6.625%, 11/01/20
|
|
|
5,996,347
|
|
|
|
|
|
|
|
Endo Pharmaceuticals Holdings, Inc.
|
|
|
|
|
|
7,062,000
|
|
|
|
|
7.000%, 12/15/20
|
|
|
7,626,960
|
|
|
942,000
|
|
|
|
|
7.000%, 07/15/19
m
|
|
|
1,022,070
|
|
|
942,000
|
|
|
|
|
Fresenius Med
m
*
5.875%, 01/31/22
|
|
|
1,006,763
|
|
|
9,887,000
|
|
|
|
|
Grifols, SA
8.250%, 02/01/18
|
|
|
11,024,005
|
|
|
2,825,000
|
|
|
|
|
HCA Holdings, Inc.
m
7.750%, 05/15/21
|
|
|
3,058,063
|
|
|
7,533,000
|
|
|
|
|
HCA, Inc.
5.875%, 05/01/23
|
|
|
7,627,162
|
|
|
3,955,000
|
|
|
|
|
Health Management Associates, Inc.
7.375%, 01/15/20
|
|
|
4,281,287
|
|
|
5,419,000
|
|
|
|
|
Hologic, Inc.
m
*
6.250%, 08/01/20
|
|
|
5,771,235
|
|
|
1,412,000
|
|
|
|
|
Mylan, Inc.
m
*
7.625%, 07/15/17
|
|
|
1,581,440
|
|
|
5,179,000
|
|
|
|
|
Teleflex, Inc.
m
6.875%, 06/01/19
|
|
|
5,593,320
|
|
|
5,791,000
|
|
|
|
|
Tenet Healthcare Corp.*
6.750%, 02/01/20
|
|
|
5,776,522
|
|
|
|
|
|
|
|
Valeant Pharmaceuticals International,
Inc.
m
*
|
|
|
5,838,000
|
|
|
|
|
7.000%, 10/01/20
|
|
|
6,312,337
|
|
|
989,000
|
|
|
|
|
6.750%, 10/01/17
|
|
|
1,065,648
|
|
|
8,346,000
|
|
|
|
|
Warner Chilcott Company, LLC
m
7.750%, 09/15/18
|
|
|
8,846,760
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
89,227,694
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
See accompanying Notes to Schedule of Investments
|
Schedule of Investments
October 31, 2012
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (10.6%)
|
|
|
|
|
|
7,533,000
|
|
|
|
|
Belden, Inc.
m
*
5.500%, 09/01/22
|
|
$
|
7,702,492
|
|
|
|
|
|
|
|
Deluxe Corp.
|
|
|
|
|
|
5,179,000
|
|
|
|
|
7.000%, 03/15/19~
|
|
|
5,489,740
|
|
|
4,374,000
|
|
|
|
|
7.375%, 06/01/15
m
|
|
|
4,477,883
|
|
|
3,898,000
|
|
|
|
|
Dycom Investments, Inc.
m
7.125%, 01/15/21
|
|
|
4,190,350
|
|
|
4,897,000
|
|
|
|
|
Edgen Murray Corp.*
8.750%, 11/01/20
|
|
|
4,884,757
|
|
|
3,351,000
|
|
|
|
|
General Cable Corp.*
5.750%, 10/01/22
|
|
|
3,426,398
|
|
|
4,237,000
|
|
|
|
|
H&E Equipment Services, Inc.*
7.000%, 09/01/22
|
|
|
4,427,665
|
|
|
2,707,000
|
|
|
|
|
Iron Mountain, Inc.
5.750%, 08/15/24
|
|
|
2,713,768
|
|
|
|
|
|
|
|
Manitowoc Company, Inc.
|
|
|
|
|
|
3,296,000
|
|
|
|
|
8.500%, 11/01/20
m
|
|
|
3,716,240
|
|
|
2,448,000
|
|
|
|
|
5.875%, 10/15/22
|
|
|
2,460,240
|
|
|
4,426,000
|
|
|
|
|
Monaco SpinCo, Inc.*
6.750%, 04/30/20
|
|
|
4,542,182
|
|
|
725,000
|
|
|
|
|
Nielsen Finance, LLC*
4.500%, 10/01/20
|
|
|
725,000
|
|
|
|
|
|
|
|
Nortek, Inc.
|
|
|
|
|
|
895,000
|
|
|
|
|
8.500%, 04/15/21*
|
|
|
962,125
|
|
|
804,000
|
|
|
|
|
8.500%, 04/15/21
|
|
|
868,320
|
|
|
8,239,000
|
|
|
|
|
Rexel, SA
m
*
6.125%, 12/15/19
|
|
|
8,486,170
|
|
|
4,708,000
|
|
|
|
|
Sensata Technologies Holding, B.V.
m
*
6.500%,
05/15/19
|
|
|
4,990,480
|
|
|
|
|
|
|
|
Terex Corp.
|
|
|
|
|
|
4,708,000
|
|
|
|
|
8.000%, 11/15/17
m
|
|
|
4,925,745
|
|
|
414,000
|
|
|
|
|
6.500%, 04/01/20
|
|
|
436,770
|
|
|
1,314,000
|
|
|
|
|
TransDigm Group, Inc.
7.750%, 12/15/18
|
|
|
1,455,255
|
|
|
|
|
|
|
|
Triumph Group, Inc.
|
|
|
|
|
|
3,578,000
|
|
|
|
|
8.625%, 07/15/18
m
|
|
|
4,034,195
|
|
|
235,000
|
|
|
|
|
8.000%, 11/15/17
|
|
|
259,088
|
|
|
5,085,000
|
|
|
|
|
United Rentals North America, Inc.
6.125%, 06/15/23
|
|
|
5,161,275
|
|
|
5,179,000
|
|
|
|
|
UR Financing Escrow Corp.*
7.625%, 04/15/22
|
|
|
5,690,426
|
|
|
3,272,000
|
|
|
|
|
WESCO Distribution, Inc.
m
7.500%, 10/15/17
|
|
|
3,333,350
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
89,359,914
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (9.4%)
|
|
|
|
|
|
|
|
Amkor Technology, Inc.
|
|
|
|
|
|
4,237,000
|
|
|
|
|
7.375%, 05/01/18
m
|
|
|
4,289,963
|
|
|
1,431,000
|
|
|
|
|
6.375%, 10/01/22*
|
|
|
1,334,408
|
|
|
884,000
|
|
|
|
|
6.625%, 06/01/21
m
|
|
|
846,430
|
|
|
7,430,000
|
|
|
|
|
Audatex North America, Inc.
m
*
6.750%, 06/15/18
|
|
|
8,005,825
|
|
|
2,825,000
|
|
|
|
|
Fidelity National Information Services, Inc.
m
7.875%,
07/15/20
|
|
|
3,171,063
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,121,000
|
|
|
|
|
Hughes Satellite Systems Corp.
7.625%, 06/15/21
|
|
$
|
6,840,217
|
|
|
7,533,000
|
|
|
|
|
iGATE Corp.
m
9.000%, 05/01/16
|
|
|
8,267,467
|
|
|
3,767,000
|
|
|
|
|
J2 Global, Inc.*
8.000%, 08/01/20
|
|
|
3,898,845
|
|
|
5,358,000
|
|
|
|
|
Lender Process Services Company, Inc.
m
5.750%,
04/15/23
|
|
|
5,692,875
|
|
|
7,919,000
|
|
|
|
|
Nuance Communications, Inc.*
5.375%, 08/15/20
|
|
|
8,116,975
|
|
|
6,092,000
|
|
|
|
|
Sanmina-SCI Corp.
m
*
7.000%, 05/15/19
|
|
|
6,000,620
|
|
|
|
|
|
|
|
Seagate Technology
m
|
|
|
|
|
|
4,473,000
|
|
|
|
|
6.875%, 05/01/20
|
|
|
4,685,467
|
|
|
3,531,000
|
|
|
|
|
7.000%, 11/01/21
|
|
|
3,707,550
|
|
|
1,648,000
|
|
|
|
|
7.750%, 12/15/18
|
|
|
1,796,320
|
|
|
4,242,000
|
|
|
|
|
SunGard Data Systems, Inc.*
6.625%, 11/01/19
|
|
|
4,300,328
|
|
|
3,202,000
|
|
|
|
|
ViaSat, Inc.*
6.875%, 06/15/20
|
|
|
3,362,100
|
|
|
5,179,000
|
|
|
|
|
Viasystems, Inc.*
7.875%, 05/01/19
|
|
|
5,088,367
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
79,404,820
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (5.4%)
|
|
|
2,590,000
|
|
|
|
|
AngloGold Holdings, PLC
m
5.125%, 08/01/22
|
|
|
2,643,960
|
|
|
4,583,000
|
|
|
|
|
Clearwater Paper Corp.
m
7.125%, 11/01/18
|
|
|
5,021,249
|
|
|
7,062,000
|
|
|
|
|
FMG Resources*
8.250%, 11/01/19
|
|
|
7,097,310
|
|
|
4,153,000
|
|
|
|
|
Greif, Inc.
m
7.750%, 08/01/19
|
|
|
4,786,332
|
|
|
4,426,000
|
|
|
|
|
IAMGOLD Corp.*
6.750%, 10/01/20
|
|
|
4,426,000
|
|
|
5,179,000
|
|
|
|
|
Inmet Mining Corp.*
8.750%, 06/01/20
|
|
|
5,399,107
|
|
|
3,767,000
|
|
|
|
|
New Gold, Inc.*
7.000%, 04/15/20
|
|
|
4,011,855
|
|
|
2,213,000
|
|
|
|
|
PH Glatfelter Company
m
*
5.375%, 10/15/20
|
|
|
2,254,494
|
|
|
3,343,000
|
|
|
|
|
Sealed Air Corp.*
8.125%, 09/15/19
|
|
|
3,668,943
|
|
|
|
|
|
|
|
Steel Dynamics, Inc.
|
|
|
|
|
|
3,013,000
|
|
|
|
|
6.125%, 08/15/19*
|
|
|
3,163,650
|
|
|
1,412,000
|
|
|
|
|
6.375%, 08/15/22*
|
|
|
1,482,600
|
|
|
942,000
|
|
|
|
|
7.625%, 03/15/20
|
|
|
1,037,378
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,992,878
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (1.9%)
|
|
|
3,456,000
|
|
|
|
|
Crown Castle International Corp.*
5.250%, 01/15/23
|
|
|
3,589,920
|
|
|
5,650,000
|
|
|
|
|
Qwest Communications International, Inc.
m
7.750%,
02/15/31
|
|
|
5,975,813
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
11
|
|
Schedule of
Investments
October 31, 2012
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
2,213,000
|
|
|
|
|
SBA Communications Corp.*
5.625%, 10/01/19
|
|
$
|
2,257,260
|
|
|
4,158,000
|
|
|
|
|
tw telecom, Inc.*
5.375%, 10/01/22
|
|
|
4,287,937
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,110,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (1.9%)
|
|
|
2,825,000
|
|
|
|
|
AES Corp.
7.375%, 07/01/21
|
|
|
3,171,063
|
|
|
7,769,000
|
|
|
|
|
AmeriGas Finance Corp.
m
7.000%, 05/20/22
|
|
|
8,477,921
|
|
|
|
|
|
|
|
Calpine Corp.
m
*
|
|
|
|
|
|
3,178,000
|
|
|
|
|
7.875%, 07/31/20
|
|
|
3,495,800
|
|
|
458,000
|
|
|
|
|
7.500%, 02/15/21
|
|
|
500,365
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,645,149
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
(Cost $633,276,680)
|
|
|
660,541,436
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE BONDS (27.5%)
|
|
|
|
|
|
|
|
Consumer Discretionary (5.7%)
|
|
|
3,800,000
|
|
|
|
|
International Game Technology
m
3.250%, 05/01/14
|
|
|
3,966,250
|
|
|
1,198,000
|
|
|
|
|
Jarden Corp.*
1.875%, 09/15/18
|
|
|
1,203,990
|
|
|
15,750,000
|
|
|
|
|
Liberty Media Corp.
(Time Warner, Inc.)
m
§
3.125%,
03/30/23
|
|
|
21,705,469
|
|
|
15,870,000
|
|
|
|
|
Liberty Media Corp.
(Viacom, CBS Corp. - Class
B)
m
§
3.250%, 03/15/31
|
|
|
14,719,425
|
|
|
6,027,000
|
|
|
|
|
Priceline.com, Inc.
m
*
1.000%, 03/15/18
|
|
|
6,354,718
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,949,852
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.8%)
|
|
|
8,500,000
|
|
|
|
|
Chesapeake Energy Corp.
m
2.250%, 12/15/38
|
|
|
7,145,313
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (1.6%)
|
|
|
3,000,000
|
|
|
|
|
Affiliated Managers Group, Inc.
m
3.950%, 08/15/38
|
|
|
3,354,375
|
|
|
762,000
|
|
|
|
|
Ares Capital Corp.
5.750%, 02/01/16
|
|
|
812,006
|
|
|
5,000,000
|
|
|
|
|
Fidelity National Financial, Inc.
m
4.250%, 08/15/18
|
|
|
6,059,375
|
|
|
2,850,000
|
|
|
|
|
Health Care REIT, Inc.
m
3.000%, 12/01/29
|
|
|
3,446,719
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,672,475
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (6.6%)
|
|
|
8,750,000
|
|
|
|
|
Gilead Sciences, Inc.
m
1.625%, 05/01/16
|
|
|
13,786,762
|
|
|
9,250,000
|
|
|
|
|
LifePoint Hospitals, Inc.
m
3.500%, 05/15/14
|
|
|
9,550,625
|
|
|
4,250,000
|
|
|
|
|
Salix Pharmaceuticals, Ltd.
m
*
1.500%, 03/15/19
|
|
|
4,064,063
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
15,000,000
|
|
|
|
|
Shire, PLC
2.750%, 05/09/14
|
|
$
|
16,550,899
|
|
|
9,000,000
|
|
|
|
|
Teleflex, Inc.
m
3.875%, 08/01/17
|
|
|
11,120,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55,072,974
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (1.3%)
|
|
|
10,500,000
|
|
|
|
|
Trinity Industries, Inc.
m
3.875%, 06/01/36
|
|
|
11,189,063
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (8.8%)
|
|
|
20,460,000
|
|
|
|
|
Intel Corp.
m
2.950%, 12/15/35
|
|
|
22,301,400
|
|
|
2,750,000
|
|
|
|
|
Ixia
m
3.000%, 12/15/15
|
|
|
3,011,250
|
|
|
|
|
|
|
|
Lam Research Corp.
m
|
|
|
|
|
|
4,851,000
|
|
|
|
|
1.250%, 05/15/18
|
|
|
4,757,012
|
|
|
3,000,000
|
|
|
|
|
0.500%, 05/15/16
|
|
|
2,881,875
|
|
|
17,800,000
|
|
|
|
|
Linear Technology Corp.
m
3.000%, 05/01/27
|
|
|
18,556,500
|
|
|
14,250,000
|
|
|
|
|
Mentor Graphics Corp.
m
4.000%, 04/01/31
|
|
|
16,200,469
|
|
|
5,500,000
|
|
|
|
|
Nuance Communications, Inc.
m
2.750%, 11/01/31
|
|
|
6,019,062
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73,727,568
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (2.7%)
|
|
|
11,100,000
|
|
|
|
|
AngloGold Ashanti, Ltd.
m
3.500%, 05/22/14
|
|
|
11,678,310
|
|
|
3,750,000
|
|
|
|
|
Newmont Mining Corp.
m
1.625%, 07/15/17
|
|
|
5,329,687
|
|
|
5,000,000
|
|
|
|
|
Royal Gold, Inc.
m
2.875%, 06/15/19
|
|
|
5,762,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,770,497
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE BONDS
(Cost $222,104,454)
|
|
|
231,527,742
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. GOVERNMENT AND AGENCY SECURITIES (0.6%)
|
|
|
|
|
|
|
|
United States Treasury Note~
|
|
|
|
|
|
4,237,000
|
|
|
|
|
1.375%, 02/15/13
|
|
|
4,252,393
|
|
|
942,000
|
|
|
|
|
0.125%, 08/31/13
|
|
|
941,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES
(Cost $5,192,882)
|
|
|
5,193,951
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SOVEREIGN BONDS (1.4%)
|
|
|
|
|
|
|
|
Federative Republic of Brazil
|
|
|
|
|
|
1,751,600
|
|
|
BRL
|
|
10.000%, 01/01/14
|
|
|
9,152,579
|
|
|
565,000
|
|
|
BRL
|
|
10.000%, 01/01/13
|
|
|
2,888,434
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SOVEREIGN BONDS
(Cost $12,837,481)
|
|
|
12,041,013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
See accompanying Notes to Schedule of Investments
|
Schedule of Investments
October 31, 2012
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
SYNTHETIC CONVERTIBLE SECURITIES (5.9%)
|
|
|
Corporate Bonds (4.9%)
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (1.0%)
|
|
|
379,000
|
|
|
|
|
American Axle & Manufacturing, Inc.
6.625%, 10/15/22
|
|
$
|
376,631
|
|
|
204,000
|
|
|
|
|
Asbury Automotive Group, Inc.
m
7.625%,
03/15/17
|
|
|
211,395
|
|
|
197,000
|
|
|
|
|
Cedar Fair, LP
m
9.125%, 08/01/18
|
|
|
223,841
|
|
|
109,000
|
|
|
|
|
Continental Rubber Of America Corp.*
4.500%, 09/15/19
|
|
|
109,272
|
|
|
357,000
|
|
|
|
|
Cooper Tire & Rubber Company
m
8.000%, 12/15/19
|
|
|
402,071
|
|
|
314,000
|
|
|
|
|
Dana Holding Corp.
m
6.750%, 02/15/21
|
|
|
333,625
|
|
|
|
|
|
|
|
DISH Network Corp.
|
|
|
|
|
|
368,000
|
|
|
|
|
7.875%, 09/01/19
m
|
|
|
433,320
|
|
|
308,000
|
|
|
|
|
5.875%, 07/15/22
|
|
|
324,940
|
|
|
233,000
|
|
|
|
|
Dufry Finance SCA*
5.500%, 10/15/20
|
|
|
238,242
|
|
|
292,000
|
|
|
|
|
Express, LLC
m
8.750%, 03/01/18
|
|
|
317,550
|
|
|
|
|
|
|
|
Goodyear Tire & Rubber Company
m
|
|
|
|
|
|
409,000
|
|
|
|
|
8.250%, 08/15/20
|
|
|
446,321
|
|
|
58,000
|
|
|
|
|
7.000%, 05/15/22
|
|
|
61,118
|
|
|
138,000
|
|
|
|
|
Hasbro, Inc.
m
6.600%, 07/15/28
|
|
|
162,184
|
|
|
|
|
|
|
|
Icahn Enterprises, LP
m
|
|
|
|
|
|
244,000
|
|
|
|
|
8.000%, 01/15/18
|
|
|
263,520
|
|
|
82,000
|
|
|
|
|
8.000%, 01/15/18*
|
|
|
88,560
|
|
|
|
|
|
|
|
J.C. Penney Company, Inc.
m
|
|
|
|
|
|
182,000
|
|
|
|
|
6.375%, 10/15/36
|
|
|
150,832
|
|
|
167,000
|
|
|
|
|
7.125%, 11/15/23
|
|
|
164,704
|
|
|
|
|
|
|
|
Jaguar Land Rover, PLC*
|
|
|
|
|
|
292,000
|
|
|
|
|
8.125%, 05/15/21
m
|
|
|
316,090
|
|
|
137,000
|
|
|
|
|
7.750%, 05/15/18
|
|
|
146,590
|
|
|
263,000
|
|
|
|
|
Lear Corp.
m
8.125%, 03/15/20
|
|
|
293,574
|
|
|
175,000
|
|
|
|
|
Liberty Media Corp.
m
8.250%, 02/01/30
|
|
|
188,125
|
|
|
|
|
|
|
|
Limited Brands, Inc.
|
|
|
|
|
|
175,000
|
|
|
|
|
7.600%, 07/15/37
m
|
|
|
181,344
|
|
|
70,000
|
|
|
|
|
5.625%, 02/15/22
m
|
|
|
75,863
|
|
|
46,000
|
|
|
|
|
6.950%, 03/01/33
|
|
|
46,748
|
|
|
|
|
|
|
|
Meritage Homes Corp.
|
|
|
|
|
|
148,000
|
|
|
|
|
7.000%, 04/01/22
|
|
|
160,580
|
|
|
58,000
|
|
|
|
|
7.150%, 04/15/20
|
|
|
63,800
|
|
|
292,000
|
|
|
|
|
Royal Caribbean Cruises, Ltd.
m
7.500%, 10/15/27
|
|
|
314,630
|
|
|
|
|
|
|
|
Ryland Group, Inc.
|
|
|
|
|
|
321,000
|
|
|
|
|
6.625%, 05/01/20
|
|
|
353,100
|
|
|
87,000
|
|
|
|
|
5.375%, 10/01/22
|
|
|
88,522
|
|
|
109,000
|
|
|
|
|
Sally Holdings, LLC
m
5.750%, 06/01/22
|
|
|
117,039
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
409,000
|
|
|
|
|
Service Corp. International
m
7.500%, 04/01/27
|
|
$
|
437,630
|
|
|
163,000
|
|
|
|
|
Sirius XM Radio, Inc.*
5.250%, 08/15/22
|
|
|
163,815
|
|
|
137,000
|
|
|
|
|
Sothebys*
5.250%, 10/01/22
|
|
|
139,740
|
|
|
58,000
|
|
|
|
|
Toll Brothers Finance Corp.
m
5.875%, 02/15/22
|
|
|
65,629
|
|
|
203,000
|
|
|
|
|
Vail Resorts, Inc.
6.500%, 05/01/19
|
|
|
221,270
|
|
|
222,000
|
|
|
|
|
Viking Cruises, Ltd.*
8.500%, 10/15/22
|
|
|
230,325
|
|
|
14,000
|
|
|
|
|
Wolverine World Wide, Inc.*
6.125%, 10/15/20
|
|
|
14,648
|
|
|
88,000
|
|
|
|
|
Wynn Las Vegas, LLC
m
7.750%, 08/15/20
|
|
|
99,220
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,026,408
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.2%)
|
|
|
267,000
|
|
|
|
|
Darling International, Inc.
m
8.500%, 12/15/18
|
|
|
304,714
|
|
|
146,000
|
|
|
|
|
Dean Foods Company
m
9.750%, 12/15/18
|
|
|
165,126
|
|
|
36,000
|
|
|
|
|
Elizabeth Arden, Inc.
m
7.375%, 03/15/21
|
|
|
40,365
|
|
|
290,000
|
|
|
|
|
JBS USA, LLC
m
*
7.250%, 06/01/21
|
|
|
285,070
|
|
|
441,000
|
|
|
|
|
Post Holdings, Inc.
m
*
7.375%, 02/15/22
|
|
|
470,216
|
|
|
321,000
|
|
|
|
|
Smithfield Foods, Inc.
m
6.625%, 08/15/22
|
|
|
337,050
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,602,541
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (1.1%)
|
|
|
1,401,000
|
|
|
NOK
|
|
Aker Solutions, ASA
6.290%, 06/06/17
|
|
|
253,105
|
|
|
141,000
|
|
|
|
|
Atwood Oceanics, Inc.
m
6.500%, 02/01/20
|
|
|
152,280
|
|
|
292,000
|
|
|
|
|
Berry Petroleum Company
6.375%, 09/15/22
|
|
|
305,870
|
|
|
315,000
|
|
|
|
|
Bristow Group, Inc.
6.250%, 10/15/22
|
|
|
330,750
|
|
|
321,000
|
|
|
|
|
Calfrac Holdings, LP
m
*
7.500%, 12/01/20
|
|
|
319,395
|
|
|
|
|
|
|
|
Calumet Specialty Products, LP
|
|
|
|
|
|
233,000
|
|
|
|
|
9.375%, 05/01/19
m
|
|
|
251,640
|
|
|
88,000
|
|
|
|
|
9.625%, 08/01/20*
|
|
|
96,140
|
|
|
|
|
|
|
|
Carrizo Oil & Gas, Inc.
|
|
|
|
|
|
286,000
|
|
|
|
|
8.625%, 10/15/18
m
|
|
|
309,595
|
|
|
258,000
|
|
|
|
|
7.500%, 09/15/20
|
|
|
264,450
|
|
|
350,000
|
|
|
|
|
Cimarex Energy Company
m
5.875%, 05/01/22
|
|
|
375,375
|
|
|
277,000
|
|
|
|
|
Continental Resources, Inc.*
5.000%, 09/15/22
|
|
|
292,581
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
13
|
|
Schedule of
Investments
October 31, 2012
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
409,000
|
|
|
|
|
Drill Rigs Holdings, Inc.*
6.500%, 10/01/17
|
|
$
|
409,000
|
|
|
48,000
|
|
|
|
|
Frontier Oil Corp.
6.875%, 11/15/18
|
|
|
51,360
|
|
|
321,000
|
|
|
|
|
GulfMark Offshore, Inc.
m
*
6.375%, 03/15/22
|
|
|
335,445
|
|
|
223,000
|
|
|
|
|
Helix Energy Solutions Group, Inc.*
9.500%, 01/15/16
|
|
|
231,084
|
|
|
175,000
|
|
|
|
|
Holly Energy Partners, LP*
6.500%, 03/01/20
|
|
|
184,625
|
|
|
118,000
|
|
|
|
|
HollyFrontier Corp.
m
9.875%, 06/15/17
|
|
|
129,210
|
|
|
|
|
|
|
|
Hornbeck Offshore Services, Inc.
|
|
|
|
|
|
171,000
|
|
|
|
|
8.000%, 09/01/17
m
|
|
|
183,825
|
|
|
58,000
|
|
|
|
|
5.875%, 04/01/20
|
|
|
59,305
|
|
|
321,000
|
|
|
|
|
Laredo Petroleum, Inc.
7.375%, 05/01/22
|
|
|
351,495
|
|
|
|
|
|
|
|
Linn Energy, LLC
|
|
|
|
|
|
292,000
|
|
|
|
|
8.625%, 04/15/20
m
|
|
|
320,835
|
|
|
117,000
|
|
|
|
|
6.250%, 11/01/19
m
*
|
|
|
117,585
|
|
|
88,000
|
|
|
|
|
7.750%, 02/01/21
|
|
|
94,380
|
|
|
58,000
|
|
|
|
|
6.500%, 05/15/19
|
|
|
58,725
|
|
|
228,000
|
|
|
|
|
MarkWest Energy Partners, LP
m
5.500%, 02/15/23
|
|
|
240,540
|
|
|
|
|
|
|
|
Oasis Petroleum, Inc.
|
|
|
|
|
|
245,000
|
|
|
|
|
6.500%, 11/01/21
|
|
|
260,312
|
|
|
73,000
|
|
|
|
|
6.875%, 01/15/23
m
|
|
|
77,745
|
|
|
292,000
|
|
|
|
|
Parker Drilling Company
9.125%, 04/01/18
|
|
|
313,900
|
|
|
175,000
|
|
|
|
|
Pioneer Drilling Company
m
9.875%, 03/15/18
|
|
|
190,313
|
|
|
321,000
|
|
|
|
|
Samson Investment Company
m
*
9.750%, 02/15/20
|
|
|
340,260
|
|
|
292,000
|
|
|
|
|
SEACOR Holdings, Inc.
m
7.375%, 10/01/19
|
|
|
317,289
|
|
|
|
|
|
|
|
SESI, LLC
|
|
|
|
|
|
190,000
|
|
|
|
|
6.875%, 06/01/14
m
|
|
|
190,355
|
|
|
146,000
|
|
|
|
|
7.125%, 12/15/21
|
|
|
163,520
|
|
|
|
|
|
|
|
SM Energy Company
|
|
|
|
|
|
223,000
|
|
|
|
|
6.625%, 02/15/19
|
|
|
234,707
|
|
|
105,000
|
|
|
|
|
6.500%, 11/15/21
m
|
|
|
111,038
|
|
|
198,000
|
|
|
|
|
Swift Energy Company
m
8.875%, 01/15/20
|
|
|
214,830
|
|
|
27,000
|
|
|
|
|
Tesoro Corp.
5.375%, 10/01/22
|
|
|
28,283
|
|
|
160,000
|
|
|
|
|
Tesoro Logistics, LP*
5.875%, 10/01/20
|
|
|
166,400
|
|
|
137,000
|
|
|
|
|
TransDigm Group, Inc.*
5.500%, 10/15/20
|
|
|
138,884
|
|
|
210,000
|
|
|
|
|
Trinidad Drilling, Ltd.
m
*
7.875%, 01/15/19
|
|
|
226,275
|
|
|
|
|
|
|
|
W&T Offshore, Inc.
|
|
|
|
|
|
379,000
|
|
|
|
|
8.500%, 06/15/19
m
|
|
|
400,792
|
|
|
163,000
|
|
|
|
|
8.500%, 06/15/19*
|
|
|
172,373
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
86,000
|
|
|
|
|
Whiting Petroleum Corp.
m
6.500%, 10/01/18
|
|
$
|
93,203
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,359,074
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.1%)
|
|
|
140,000
|
|
|
|
|
AON Corp.
m
8.205%, 01/01/27
|
|
|
175,957
|
|
|
97,000
|
|
|
|
|
Chesapeake Oilfield Finance, Inc.*
6.625%, 11/15/19
|
|
|
92,877
|
|
|
221,000
|
|
|
|
|
Legg Mason, Inc.
m
*
5.500%, 05/21/19
|
|
|
242,960
|
|
|
321,000
|
|
|
|
|
Neuberger Berman Group LLC
m
*
5.875%, 03/15/22
|
|
|
343,470
|
|
|
|
|
|
|
|
Nuveen Investments, Inc.*
|
|
|
|
|
|
172,000
|
|
|
|
|
9.500%, 10/15/20
|
|
|
174,150
|
|
|
172,000
|
|
|
|
|
9.125%, 10/15/17
|
|
|
172,645
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,202,059
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.7%)
|
|
|
11,000
|
|
|
|
|
AMERIGROUP Corp.
m
7.500%, 11/15/19
|
|
|
12,898
|
|
|
117,000
|
|
|
|
|
Bio-Rad Laboratories, Inc.
m
8.000%, 09/15/16
|
|
|
128,408
|
|
|
607,000
|
|
|
|
|
Community Health Systems, Inc.
7.125%, 07/15/20
|
|
|
642,661
|
|
|
347,000
|
|
|
|
|
DaVita, Inc.
m
6.625%, 11/01/20
|
|
|
372,157
|
|
|
|
|
|
|
|
Endo Pharmaceuticals Holdings, Inc.
|
|
|
|
|
|
438,000
|
|
|
|
|
7.000%, 12/15/20
|
|
|
473,040
|
|
|
58,000
|
|
|
|
|
7.000%, 07/15/19
m
|
|
|
62,930
|
|
|
58,000
|
|
|
|
|
Fresenius Med
m
*
5.875%, 01/31/22
|
|
|
61,988
|
|
|
613,000
|
|
|
|
|
Grifols, SA
8.250%, 02/01/18
|
|
|
683,495
|
|
|
175,000
|
|
|
|
|
HCA Holdings, Inc.
m
7.750%, 05/15/21
|
|
|
189,438
|
|
|
467,000
|
|
|
|
|
HCA, Inc.
5.875%, 05/01/23
|
|
|
472,837
|
|
|
245,000
|
|
|
|
|
Health Management Associates, Inc.
7.375%, 01/15/20
|
|
|
265,212
|
|
|
336,000
|
|
|
|
|
Hologic, Inc.
m
*
6.250%, 08/01/20
|
|
|
357,840
|
|
|
88,000
|
|
|
|
|
Mylan, Inc.
m
*
7.625%, 07/15/17
|
|
|
98,560
|
|
|
321,000
|
|
|
|
|
Teleflex, Inc.
m
6.875%, 06/01/19
|
|
|
346,680
|
|
|
359,000
|
|
|
|
|
Tenet Healthcare Corp.*
6.750%, 02/01/20
|
|
|
358,102
|
|
|
|
|
|
|
|
Valeant Pharmaceuticals International, Inc.
m
*
|
|
|
|
|
|
362,000
|
|
|
|
|
7.000%, 10/01/20
|
|
|
391,412
|
|
|
61,000
|
|
|
|
|
6.750%, 10/01/17
|
|
|
65,728
|
|
|
517,000
|
|
|
|
|
Warner Chilcott Company, LLC
m
7.750%, 09/15/18
|
|
|
548,020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,531,406
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
See accompanying Notes to Schedule of Investments
|
Schedule of Investments
October 31, 2012
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.7%)
|
|
|
|
|
|
467,000
|
|
|
|
|
Belden, Inc.
m
*
5.500%, 09/01/22
|
|
$
|
477,507
|
|
|
|
|
|
|
|
Deluxe Corp.
|
|
|
|
|
|
321,000
|
|
|
|
|
7.000%, 03/15/19~
|
|
|
340,260
|
|
|
271,000
|
|
|
|
|
7.375%, 06/01/15
m
|
|
|
277,436
|
|
|
242,000
|
|
|
|
|
Dycom Investments, Inc.
m
7.125%, 01/15/21
|
|
|
260,150
|
|
|
303,000
|
|
|
|
|
Edgen Murray Corp.*
8.750%, 11/01/20
|
|
|
302,242
|
|
|
208,000
|
|
|
|
|
General Cable Corp.*
5.750%, 10/01/22
|
|
|
212,680
|
|
|
263,000
|
|
|
|
|
H&E Equipment Services, Inc.*
7.000%, 09/01/22
|
|
|
274,835
|
|
|
168,000
|
|
|
|
|
Iron Mountain, Inc.
5.750%, 08/15/24
|
|
|
168,420
|
|
|
|
|
|
|
|
Manitowoc Company, Inc.
|
|
|
|
|
|
204,000
|
|
|
|
|
8.500%, 11/01/20
m
|
|
|
230,010
|
|
|
152,000
|
|
|
|
|
5.875%, 10/15/22
|
|
|
152,760
|
|
|
274,000
|
|
|
|
|
Monaco SpinCo, Inc.*
6.750%, 04/30/20
|
|
|
281,193
|
|
|
45,000
|
|
|
|
|
Nielsen Finance, LLC*
4.500%, 10/01/20
|
|
|
45,000
|
|
|
|
|
|
|
|
Nortek, Inc.
|
|
|
|
|
|
55,000
|
|
|
|
|
8.500%, 04/15/21*
|
|
|
59,125
|
|
|
50,000
|
|
|
|
|
8.500%, 04/15/21
|
|
|
54,000
|
|
|
511,000
|
|
|
|
|
Rexel, SA
m
*
6.125%, 12/15/19
|
|
|
526,330
|
|
|
292,000
|
|
|
|
|
Sensata Technologies Holding, B.V.
m
*
6.500%,
05/15/19
|
|
|
309,520
|
|
|
|
|
|
|
|
Terex Corp.
|
|
|
|
|
|
292,000
|
|
|
|
|
8.000%, 11/15/17
m
|
|
|
305,505
|
|
|
26,000
|
|
|
|
|
6.500%, 04/01/20
|
|
|
27,430
|
|
|
81,000
|
|
|
|
|
TransDigm Group, Inc.
7.750%, 12/15/18
|
|
|
89,708
|
|
|
|
|
|
|
|
Triumph Group, Inc.
|
|
|
|
|
|
222,000
|
|
|
|
|
8.625%, 07/15/18
m
|
|
|
250,305
|
|
|
15,000
|
|
|
|
|
8.000%, 11/15/17
|
|
|
16,538
|
|
|
315,000
|
|
|
|
|
United Rentals North America, Inc.
6.125%, 06/15/23
|
|
|
319,725
|
|
|
321,000
|
|
|
|
|
UR Financing Escrow Corp.*
7.625%, 04/15/22
|
|
|
352,699
|
|
|
203,000
|
|
|
|
|
WESCO Distribution, Inc.
m
7.500%, 10/15/17
|
|
|
206,806
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,540,184
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.6%)
|
|
|
|
|
|
|
|
|
|
|
Amkor Technology, Inc.
|
|
|
|
|
|
263,000
|
|
|
|
|
7.375%, 05/01/18
m
|
|
|
266,288
|
|
|
89,000
|
|
|
|
|
6.375%, 10/01/22*
|
|
|
82,993
|
|
|
55,000
|
|
|
|
|
6.625%, 06/01/21
m
|
|
|
52,663
|
|
|
460,000
|
|
|
|
|
Audatex North America, Inc.
m
*
6.750%, 06/15/18
|
|
|
495,650
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
175,000
|
|
|
|
|
Fidelity National Information
Services, Inc.
m
7.875%,
07/15/20
|
|
$
|
196,438
|
|
|
379,000
|
|
|
|
|
Hughes Satellite Systems Corp.
7.625%, 06/15/21
|
|
|
423,532
|
|
|
467,000
|
|
|
|
|
iGATE Corp.
m
9.000%, 05/01/16
|
|
|
512,532
|
|
|
233,000
|
|
|
|
|
J2 Global, Inc.*
8.000%, 08/01/20
|
|
|
241,155
|
|
|
332,000
|
|
|
|
|
Lender Process Services
Company, Inc.
m
5.750%,
04/15/23
|
|
|
352,750
|
|
|
491,000
|
|
|
|
|
Nuance Communications, Inc.*
5.375%, 08/15/20
|
|
|
503,275
|
|
|
378,000
|
|
|
|
|
Sanmina-SCI Corp.
m
*
7.000%, 05/15/19
|
|
|
372,330
|
|
|
|
|
|
|
|
Seagate Technology
m
|
|
|
|
|
|
277,000
|
|
|
|
|
6.875%, 05/01/20
|
|
|
290,157
|
|
|
219,000
|
|
|
|
|
7.000%, 11/01/21
|
|
|
229,950
|
|
|
102,000
|
|
|
|
|
7.750%, 12/15/18
|
|
|
111,180
|
|
|
263,000
|
|
|
|
|
SunGard Data Systems, Inc.*
6.625%, 11/01/19
|
|
|
266,616
|
|
|
198,000
|
|
|
|
|
ViaSat, Inc.*
6.875%, 06/15/20
|
|
|
207,900
|
|
|
321,000
|
|
|
|
|
Viasystems, Inc.*
7.875%, 05/01/19
|
|
|
315,382
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,920,791
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.3%)
|
|
|
|
|
|
160,000
|
|
|
|
|
AngloGold Holdings, PLC
m
5.125%, 08/01/22
|
|
|
163,333
|
|
|
284,000
|
|
|
|
|
Clearwater Paper Corp.
m
7.125%, 11/01/18
|
|
|
311,157
|
|
|
438,000
|
|
|
|
|
FMG Resources*
8.250%, 11/01/19
|
|
|
440,190
|
|
|
257,000
|
|
|
|
|
Greif, Inc.
m
7.750%, 08/01/19
|
|
|
296,193
|
|
|
274,000
|
|
|
|
|
IAMGOLD Corp.*
6.750%, 10/01/20
|
|
|
274,000
|
|
|
321,000
|
|
|
|
|
Inmet Mining Corp.*
8.750%, 06/01/20
|
|
|
334,642
|
|
|
233,000
|
|
|
|
|
New Gold, Inc.*
7.000%, 04/15/20
|
|
|
248,145
|
|
|
137,000
|
|
|
|
|
PH Glatfelter Company
m
*
5.375%, 10/15/20
|
|
|
139,569
|
|
|
207,000
|
|
|
|
|
Sealed Air Corp.*
8.125%, 09/15/19
|
|
|
227,183
|
|
|
|
|
|
|
|
Steel Dynamics, Inc.
|
|
|
|
|
|
187,000
|
|
|
|
|
6.125%, 08/15/19*
|
|
|
196,350
|
|
|
88,000
|
|
|
|
|
6.375%, 08/15/22*
|
|
|
92,400
|
|
|
58,000
|
|
|
|
|
7.625%, 03/15/20
|
|
|
63,873
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,787,035
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
15
|
|
Schedule of
Investments
October 31, 2012
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
|
|
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (0.1%)
|
|
|
|
|
|
214,000
|
|
|
|
|
Crown Castle International Corp.*
5.250%, 01/15/23
|
|
$
|
222,293
|
|
|
350,000
|
|
|
|
|
Qwest Communications International, Inc.
m
7.750%,
02/15/31
|
|
|
370,183
|
|
|
137,000
|
|
|
|
|
SBA Communications Corp.*
5.625%, 10/01/19
|
|
|
139,740
|
|
|
258,000
|
|
|
|
|
tw telecom, Inc.*
5.375%, 10/01/22
|
|
|
266,062
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
998,278
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.1%)
|
|
|
|
|
|
175,000
|
|
|
|
|
AES Corp.
7.375%, 07/01/21
|
|
|
196,438
|
|
|
481,000
|
|
|
|
|
AmeriGas Finance Corp.
m
7.000%, 05/20/22
|
|
|
524,891
|
|
|
|
|
|
|
|
Calpine Corp.
m
*
|
|
|
|
|
|
197,000
|
|
|
|
|
7.875%, 07/31/20
|
|
|
216,700
|
|
|
28,000
|
|
|
|
|
7.500%, 02/15/21
|
|
|
30,590
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
968,619
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
|
|
|
40,936,395
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government and Agency Securities (0.0%)
|
|
|
|
|
|
|
|
United States Treasury Note~
|
|
|
|
|
|
263,000
|
|
|
|
|
1.375%, 02/15/13
|
|
|
263,955
|
|
|
58,000
|
|
|
|
|
0.125%, 08/31/13
|
|
|
57,973
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL U.S. GOVERNMENT AND
AGENCY SECURITIES
|
|
|
321,928
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sovereign Bonds (0.1%)
|
|
|
|
|
|
|
|
Federative Republic of Brazil
|
|
|
|
|
|
109,000
|
|
|
BRL
|
|
10.000%, 01/01/14
|
|
|
569,554
|
|
|
35,000
|
|
|
BRL
|
|
10.000%, 01/01/13
|
|
|
178,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SOVEREIGN BONDS
|
|
|
748,484
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS
|
|
|
|
|
|
|
VALUE
|
|
|
Purchased Options (0.9%) #
|
|
|
|
|
|
|
|
Information Technology (0.9%)
|
|
|
|
|
|
270
|
|
|
|
|
Apple, Inc.
Call, 01/18/14, Strike $600.00
|
|
|
2,230,200
|
|
|
1,425
|
|
|
|
|
eBay, Inc.
Call, 01/18/14, Strike $40.00
|
|
|
1,727,812
|
|
|
1,900
|
|
|
|
|
QUALCOMM, Inc.
Call, 01/19/13, Strike $55.00
|
|
|
931,000
|
|
|
3,250
|
|
|
EUR
|
|
SAP, AG
Call, 06/21/13, Strike 53.59
|
|
|
2,241,014
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS
|
|
|
|
|
|
|
VALUE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
390
|
|
|
|
|
VMware, Inc., Class A
Call, 01/18/14, Strike $110.00
|
|
$
|
282,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS
|
|
|
7,412,776
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
(Cost $48,659,150)
|
|
|
49,419,583
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
SHARES
|
|
|
|
|
|
|
VALUE
|
|
|
CONVERTIBLE PREFERRED STOCKS (13.9%)
|
|
|
|
|
|
|
|
Consumer Staples (0.9%)
|
|
|
|
|
|
76,000
|
|
|
|
|
Bunge, Ltd.
m
4.875%
|
|
|
7,728,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (3.6%)
|
|
|
|
|
|
280,000
|
|
|
|
|
Apache Corp.
m
6.000%
|
|
|
13,064,800
|
|
|
18,431
|
|
|
|
|
Chesapeake Energy Corp.
m
*
5.750%
|
|
|
17,531,469
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,596,269
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (3.9%)
|
|
|
|
|
|
350,000
|
|
|
|
|
Affiliated Managers Group, Inc. 5.150%
|
|
|
16,581,250
|
|
|
13,874
|
|
|
|
|
Fifth Third Bancorp
8.500%
|
|
|
1,890,055
|
|
|
64,000
|
|
|
|
|
MetLife, Inc.
5.000%
|
|
|
2,975,360
|
|
|
9,100
|
|
|
|
|
Wells Fargo & Company
m
7.500%
|
|
|
11,375,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,821,665
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (2.8%)
|
|
|
|
|
|
58,966
|
|
|
|
|
Stanley Black & Decker, Inc.
m
4.750%
|
|
|
7,139,014
|
|
|
300,000
|
|
|
|
|
United Technologies Corp.
m
7.500%
|
|
|
16,314,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,453,014
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.9%)
|
|
|
|
|
|
175,000
|
|
|
|
|
AngloGold Ashanti, Ltd.
6.000%
|
|
|
7,075,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (1.8%)
|
|
|
|
|
|
300,000
|
|
|
|
|
NextEra Energy, Inc.
5.599%
|
|
|
15,411,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $117,333,838)
|
|
|
117,085,448
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
See accompanying Notes to Schedule of Investments
|
Schedule of Investments
October 31, 2012
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
SHARES
|
|
|
|
|
|
|
VALUE
|
|
|
COMMON STOCKS (0.3%)
|
|
|
|
|
|
|
|
Financials (0.3%)
|
|
|
|
|
|
13,850
|
|
|
|
|
American International Group, Inc.
m
#
|
|
$
|
483,780
|
|
|
45,171
|
|
|
|
|
MetLife, Inc.
|
|
|
1,603,119
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $2,208,745)
|
|
|
2,086,899
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT TERM INVESTMENT (3.1%)
|
|
|
|
|
|
26,063,774
|
|
|
|
|
Fidelity Prime Money Market Fund - Institutional Class
(Cost $26,063,774)
|
|
|
26,063,774
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (131.3%)
(Cost $1,067,677,004)
|
|
|
1,103,959,846
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES, LESS OTHER ASSETS (-31.3%)
|
|
|
(263,222,615
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS (100.0%)
|
|
$
|
840,737,231
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
m
|
Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $679,711,504. $275,031,305 of the collateral
has been re-registered by the counterparty.
|
*
|
Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities
may only be sold to qualified institutional buyers (QIBs), such as the fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration
requirements. At October 31, 2012, the value of 144A securities that could not be exchanged to the registered form is $176,852,086 or 21.0% of net assets applicable to common shareholders.
|
|
Variable rate or step bond security. The rate shown is the rate in effect at October 31, 2012.
|
~
|
Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options and swaps. The aggregate value of such
securities is $6,476,683.
|
|
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
|
§
|
Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
|
#
|
Non-income producing security.
|
FOREIGN CURRENCY
ABBREVIATIONS
|
|
|
BRL
|
|
Brazilian Real
|
EUR
|
|
European Monetary Unit
|
NOK
|
|
Norwegian Krone
|
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is
shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
INTEREST RATE SWAPS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COUNTERPARTY
|
|
FIXED RATE
(FUND PAYS)
|
|
FLOATING RATE
(FUND RECEIVES)
|
|
TERMINATION
DATE
|
|
NOTIONAL
AMOUNT
|
|
|
UNREALIZED
APPRECIATION/
(DEPRECIATION)
|
|
BNP Paribas, SA
|
|
2.430% quarterly
|
|
3 month LIBOR
|
|
04/14/14
|
|
$
|
80,000,000
|
|
|
$
|
(2,521,506
|
)
|
BNP Paribas, SA
|
|
1.160% quarterly
|
|
3 month LIBOR
|
|
04/19/17
|
|
|
55,000,000
|
|
|
|
(1,130,562
|
)
|
BNP Paribas, SA
|
|
1.140% quarterly
|
|
3 month LIBOR
|
|
03/14/17
|
|
|
40,000,000
|
|
|
|
(826,173
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(4,478,241
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
17
|
|
Statement of Assets and Liabilities
October 31,
2012
|
|
|
|
|
ASSETS
|
|
|
|
|
Investments in securities, at value (cost $1,067,677,004)
|
|
$
|
1,103,959,846
|
|
Receivables:
|
|
|
|
|
Accrued interest and dividends
|
|
|
15,413,044
|
|
Investments sold
|
|
|
19,700,184
|
|
Prepaid expenses
|
|
|
9,748
|
|
Other assets
|
|
|
176,699
|
|
|
|
Total assets
|
|
|
1,139,259,521
|
|
|
|
LIABILITIES
|
|
|
|
|
Unrealized depreciation on interest rate swaps
|
|
|
4,478,241
|
|
Payables:
|
|
|
|
|
Note payable
|
|
|
285,000,000
|
|
Investments purchased
|
|
|
7,983,689
|
|
Affiliates:
|
|
|
|
|
Investment advisory fees
|
|
|
766,322
|
|
Deferred compensation to trustees
|
|
|
158,519
|
|
Financial accounting fees
|
|
|
10,934
|
|
Trustees fees and officer compensation
|
|
|
3,814
|
|
Other accounts payable and accrued liabilities
|
|
|
120,771
|
|
|
|
Total liabilities
|
|
|
298,522,290
|
|
|
|
NET ASSETS
|
|
$
|
840,737,231
|
|
|
|
COMPOSITION OF NET ASSETS
|
|
|
|
|
Common stock, no par value, unlimited shares authorized 67,547,533 shares issued and outstanding
|
|
$
|
878,462,798
|
|
Undistributed net investment income (loss)
|
|
|
(25,507,907
|
)
|
Accumulated net realized gain (loss) on investments, foreign currency transactions and interest rate swaps
|
|
|
(44,022,436
|
)
|
Unrealized appreciation (depreciation) of investments, foreign currency translations and interest rate swaps
|
|
|
31,804,776
|
|
|
|
NET ASSETS
|
|
$
|
840,737,231
|
|
|
|
Net asset value per common shares based upon 67,547,533 shares issued and outstanding
|
|
$
|
12.45
|
|
|
|
|
|
|
|
|
18
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
See accompanying Notes to Financial Statements
|
Statement of Operations
Year Ended October 31,
2012
|
|
|
|
|
INVESTMENT INCOME
|
|
|
|
|
Interest
|
|
$
|
60,669,153
|
|
Dividends
|
|
|
6,773,021
|
|
Securities lending income
|
|
|
160,504
|
|
|
|
Total investment income
|
|
|
67,602,678
|
|
|
|
|
|
EXPENSES
|
|
|
|
|
Investment advisory fees
|
|
|
8,901,657
|
|
Interest expense and related fees
|
|
|
3,321,735
|
|
Printing and mailing fees
|
|
|
147,156
|
|
Financial accounting fees
|
|
|
126,981
|
|
Registration fees
|
|
|
87,279
|
|
Accounting fees
|
|
|
84,730
|
|
Legal fees
|
|
|
64,757
|
|
Audit fees
|
|
|
62,090
|
|
Custodian fees
|
|
|
56,234
|
|
Trustees fees and officer compensation
|
|
|
49,688
|
|
Transfer agent fees
|
|
|
33,076
|
|
Other
|
|
|
64,952
|
|
|
|
Total expenses
|
|
|
13,000,335
|
|
|
|
NET INVESTMENT INCOME (LOSS)
|
|
|
54,602,343
|
|
|
|
|
|
REALIZED AND UNREALIZED GAIN (LOSS)
|
|
|
|
|
Net realized gain (loss) from:
|
|
|
|
|
Investments, excluding purchased options
|
|
|
17,162,756
|
|
Purchased options
|
|
|
1,002,677
|
|
Foreign currency transactions
|
|
|
57,611
|
|
Interest rate swaps
|
|
|
(2,869,860
|
)
|
Change in net unrealized appreciation/(depreciation) on:
|
|
|
|
|
Investments, excluding purchased options
|
|
|
15,013,877
|
|
Purchased options
|
|
|
644,302
|
|
Foreign currency translations
|
|
|
801
|
|
Interest rate swaps
|
|
|
142,799
|
|
|
|
NET GAIN (LOSS)
|
|
|
31,154,963
|
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS
|
|
$
|
85,757,306
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
19
|
|
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
YEAR ENDED OCTOBER 31,
|
|
|
|
2012
|
|
|
2011
|
|
OPERATIONS
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
$
|
54,602,343
|
|
|
$
|
54,005,532
|
|
Net realized gain (loss)
|
|
|
15,353,184
|
|
|
|
(15,246,762
|
)
|
Change in unrealized appreciation/(depreciation)
|
|
|
15,801,779
|
|
|
|
(768,842
|
)
|
|
|
Net increase (decrease) in net assets applicable to shareholders resulting from operations
|
|
|
85,757,306
|
|
|
|
37,989,928
|
|
|
|
|
|
|
DISTRIBUTIONS FROM
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(76,707,494
|
)
|
|
|
(53,873,854
|
)
|
Return of capital
|
|
|
|
|
|
|
(20,219,093
|
)
|
|
|
Net decrease in net assets from distributions
|
|
|
(76,707,494
|
)
|
|
|
(74,092,947
|
)
|
|
|
|
|
|
CAPITAL STOCK TRANSACTIONS
|
|
|
|
|
|
|
|
|
Proceeds from shares sold
|
|
|
1,995,482
|
|
|
|
55,180,658
|
|
Offering costs on shares
|
|
|
(113,053
|
)
|
|
|
(307,087
|
)
|
Reinvestment of distributions resulting in the issuance of stock
|
|
|
2,465,836
|
|
|
|
7,214,238
|
|
|
|
Net increase (decrease) in net assets from capital stock transactions
|
|
|
4,348,265
|
|
|
|
62,087,809
|
|
|
|
TOTAL INCREASE (DECREASE) IN NET ASSETS
|
|
|
13,398,077
|
|
|
|
25,984,790
|
|
|
|
|
|
|
NET ASSETS
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
$
|
827,339,154
|
|
|
$
|
801,354,364
|
|
|
|
End of year
|
|
|
840,737,231
|
|
|
|
827,339,154
|
|
|
|
Undistributed net investment income (loss)
|
|
$
|
(25,507,907
|
)
|
|
$
|
(17,559,788
|
)
|
|
|
|
|
|
20
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
See accompanying Notes to Financial Statements
|
Statement of Cash Flows
Year Ended October 31,
2012
|
|
|
|
|
CASH FLOWS FROM OPERATING ACTIVITIES:
|
|
|
|
|
Net increase/(decrease) in net assets from operations
|
|
$
|
85,757,306
|
|
Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash provided by operating
activities:
|
|
|
|
|
Purchase of investment securities
|
|
|
(625,694,467
|
)
|
Net proceeds from disposition of short term investments
|
|
|
13,641,196
|
|
Proceeds from disposition of investment securities
|
|
|
633,154,189
|
|
Amortization and accretion of fixed-income securities
|
|
|
(1,360,084
|
)
|
Net realized gains/losses from investments, excluding purchased options
|
|
|
(17,162,756
|
)
|
Net realized gains/losses from purchased options
|
|
|
(1,002,677
|
)
|
Change in unrealized appreciation or depreciation on investments, excluding purchased options
|
|
|
(15,013,877
|
)
|
Change in unrealized appreciation or depreciation on purchased options
|
|
|
(644,302
|
)
|
Change in unrealized appreciation or depreciation on interest rate swaps
|
|
|
(142,799
|
)
|
Net change in assets and liabilities:
|
|
|
|
|
(Increase)/decrease in assets:
|
|
|
|
|
Accrued interest and dividends receivable
|
|
|
820,587
|
|
Prepaid expenses
|
|
|
13,249
|
|
Other assets
|
|
|
(24,172
|
)
|
Increase/(decrease) in liabilities:
|
|
|
|
|
Payables to affiliates
|
|
|
44,659
|
|
Other accounts payable and accrued liabilities
|
|
|
(26,823
|
)
|
|
|
Net cash provided by/(used in) operating activities
|
|
$
|
72,359,229
|
|
|
|
|
|
CASH FLOWS FROM FINANCING ACTIVITIES:
|
|
|
|
|
Proceeds from shares sold
|
|
|
1,995,482
|
|
Offering costs related to shares sold
|
|
|
(113,053
|
)
|
Distributions to shareholders
|
|
|
(74,241,658
|
)
|
|
|
Net cash provided by/(used in) financing activities
|
|
$
|
(72,359,229
|
)
|
|
|
Cash at beginning of year
|
|
$
|
|
|
|
|
Cash at end of year
|
|
$
|
|
|
|
|
Supplemental disclosure
|
|
|
|
|
Cash paid for interest and related fees
|
|
$
|
3,333,332
|
|
|
|
Non-cash financing activities not included herein consists of reinvestment of dividends and distributions:
|
|
$
|
2,465,836
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
21
|
|
Notes to Financial Statements
Note 1 Organization and Significant Accounting Policies
Organization.
Calamos
Convertible Opportunities and Income Fund (the Fund) was organized as a Delaware statutory trust on April 17, 2002 and is registered under the Investment Company Act of 1940 (the 1940 Act) as a diversified, closed-end
management investment company. The Fund commenced operations on June 26, 2002. The Funds investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the
Fund will invest at least 80% of its managed assets in a diversified portfolio of convertibles and non-convertible income securities. Managed assets means the Funds total assets (including any assets attributable to any leverage
that may be outstanding) minus total liabilities (other than debt representing financial leverage).
Fund Valuation.
The valuation of
the Funds investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Fund
securities that are traded on U.S. securities exchanges, except option securities, are valued at the last current reported sales price at the time a Fund determines its net asset value (NAV). Securities traded in the over-the-counter
market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its
NAV.
When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange
and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S.
securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options
Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by
dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality,
coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which
the New York Stock Exchange (NYSE) is open. Each security trading on these exchanges or over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board
of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet
the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between
the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign
markets on Saturdays or on other days when the NYSE is not open and on which the Funds NAV is not calculated.
If the pricing committee determines
that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of
trustees, following the guidelines and/or procedures adopted by the board of trustees.
The Fund also may use fair value pricing, pursuant to guidelines
adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Funds pricing time
but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for 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.
|
|
|
|
|
22
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
Notes to Financial Statements
When fair value pricing of securities is employed, the prices of securities used by a
Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
Investment Transactions.
Investment transactions are recorded on a trade date basis. Net realized gains and losses from investment transactions
are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. Dividend income is recognized on the ex-dividend date, except
that certain dividends from foreign securities are recorded as soon as the information becomes available after the ex-dividend date.
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.
The Fund does not isolate that portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of foreign currency, the difference in the foreign exchange rates between the trade
and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end.
Allocation of Expenses Among Funds.
Expenses directly attributable to the Fund are charged to the Fund; certain other common expenses of Calamos
Advisors Trust, Calamos Investment Trust, Calamos Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income Fund are
allocated proportionately among each fund to which the expenses relate in relation to the net assets of each fund or on another reasonable basis.
Use
of Estimates.
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements
and accompanying notes. Actual results may differ from those estimates.
Other Assets.
Other assets include amounts of deferred
compensation to trustees and certain recoverable legal expenses under an insurance policy.
Income Taxes.
No provision has been made
for U.S. income taxes because the Funds policy is to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended, and distribute to shareholders substantially all of the Funds taxable income
and net realized gains.
Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions
from net investment income and net realized capital gains is determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. To the extent these book/tax differences are
permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment. These differences are primarily due to differing treatments for foreign currency transactions, contingent payment debt
instruments and methods of amortizing and accreting for fixed income securities. The financial statements are not adjusted for temporary differences.
The Fund recognized no liability for uncertain tax positions. A reconciliation is not provided as the beginning and ending amounts of unrecognized benefits are
zero, with no interim additions, reductions or settlements. Tax years 2008 2011 remain subject to examination by the U.S. and the State of Illinois tax jurisdictions.
Indemnifications.
Under the Funds organizational documents, the Fund is obligated to indemnify its officers and trustees against certain liabilities incurred by them by reason of having been
an officer or trustee of the Fund. In addition, in the normal course of business, the Fund may enter into contracts that provide general indemnifications to other parties. The Funds maximum exposure under these arrangements is unknown as this
would involve future claims that may be made against the Fund that have not yet occurred. Currently, the Funds management expects the risk of material loss in connection to a potential claim to be remote.
|
|
|
|
|
|
|
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
23
|
|
Notes to
Financial Statements
Note 2 Investment Adviser and Transactions With Affiliates Or Certain Other Parties
Pursuant to an investment advisory agreement with Calamos Advisors LLC (Calamos Advisors), the Fund pays an annual fee, payable monthly, equal to 0.80% based on the average weekly managed assets.
Pursuant to a financial accounting services agreement, during the year the Fund paid Calamos Advisors a fee for financial accounting services payable
monthly at the annual rate of 0.0175% on the first $1 billion of combined assets, 0.0150% on the next $1 billion of combined assets and 0.0110% on combined assets above $2 billion (for purposes of this calculation combined assets means
the sum of the total average daily net assets of Calamos Investment Trust, Calamos Advisors Trust and the total average weekly managed assets of Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Convertible
Opportunities and Income Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income Fund). Financial accounting services include, but are not limited to, the following: managing expenses and expense payment processing; monitoring the
calculation of expense accrual amounts; calculating, tracking and reporting tax adjustments on all assets; and monitoring trustee deferred compensation plan accruals and valuations. The Fund pays its pro rata share of the financial accounting
services fee payable to Calamos Advisors based on its relative portion of combined assets used in calculating the fee.
The Fund reimburses Calamos
Advisors for a portion of compensation paid to the Funds Chief Compliance Officer. This compensation is reported as part of Trustees fees and officer compensation expense on the Statement of Operations.
A trustee and certain officers of the Fund are also officers and directors of Calamos Advisors. Such trustee and officers serve without direct compensation from the
Fund.
The Fund has adopted a deferred compensation plan (the Plan). Under the Plan, a trustee who is not an interested person
(as defined in the 1940 Act) and has elected to participate in the Plan (a participating trustee) may defer receipt of all or a portion of his compensation from the Fund. The deferred compensation payable to the participating trustee is
credited to the trustees deferral account as of the business day such compensation would have been paid to the participating trustee. The value of amounts deferred for a participating trustee is determined by reference to the change in value
of Class I shares of one or more funds of Calamos Investment Trust designated by the participant. The value of the account increases with contributions to the account or with increases in the value of the measuring shares, and the value of the
account decreases with withdrawals from the account or with declines in the value of the measuring shares. Deferred compensation of $158,519 is included in Other assets on the Statement of Assets and Liabilities at October 31, 2012.
The Funds obligation to make payments under the Plan is a general obligation of the Fund and is included in Payable for deferred compensation to trustees on the Statement of Assets and Liabilities at October 31, 2012.
Note 3 Investments
The cost of purchases
and proceeds from sale of long-term investments for the year ended October 31, 2012 were as follows:
|
|
|
|
|
Cost of purchases
|
|
$
|
600,293,035
|
|
Proceeds from sales
|
|
|
607,458,805
|
|
The following information is presented on a federal income tax basis as of October 31, 2012. Differences between the cost basis
under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.
The cost basis of
investments for federal income tax purposes at October 31, 2012 was as follows:
|
|
|
|
|
Cost basis of Investments
|
|
$
|
1,100,101,384
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
|
45,646,113
|
|
Gross unrealized depreciation
|
|
|
(41,787,651
|
)
|
|
|
|
|
|
Net unrealized appreciation (depreciation)
|
|
$
|
3,858,462
|
|
|
|
|
|
|
|
|
|
|
|
24
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
Notes to Financial Statements
Note 4 Income Taxes
For the fiscal year ended October 31, 2012, the Fund recorded the following permanent reclassifications to reflect tax character. The results of operations and
net assets were not affected by these reclassifications.
|
|
|
|
|
Paid-in capital
|
|
$
|
(16,182,388
|
)
|
Undistributed net investment income/(loss)
|
|
|
14,157,032
|
|
Accumulated net realized gain/(loss) on investments
|
|
|
2,025,356
|
|
The Fund intends to make monthly distributions from its income available for distribution, which consists of the Funds
dividends and interest income after payment of Fund expenses, and net realized gains on stock investments. At least annually, the Fund intends to distribute all or substantially all of its net realized capital gains, if any. Distributions are
recorded on the ex-dividend date. The Fund distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax
basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in-capital. For tax purposes, distributions from
short-term capital gains are considered to be from ordinary income. Distributions in any year may include a return of capital component.
Distributions
were characterized for federal income tax purposes as follows:
|
|
|
|
|
|
|
|
|
|
|
YEAR ENDED
OCTOBER 31, 2012
|
|
|
YEAR ENDED
OCTOBER 31, 2011
|
|
Distributions paid from:
|
|
|
|
|
|
|
|
|
Ordinary income
|
|
$
|
76,707,494
|
|
|
$
|
53,873,854
|
|
Return of capital
|
|
|
|
|
|
|
20,219,093
|
|
As of October 31, 2012, the components of accumulated earnings/(loss) on a tax basis were as follows:
|
|
|
|
|
Undistributed ordinary income
|
|
$
|
|
|
Undistributed capital gains
|
|
|
|
|
|
|
|
|
|
Total undistributed earnings
|
|
|
|
|
Accumulated capital and other losses
|
|
|
(36,969,556
|
)
|
Net unrealized gains/(losses)
|
|
|
(619,604
|
)
|
|
|
|
|
|
Total accumulated earnings/(losses)
|
|
|
(37,589,160
|
)
|
Other
|
|
|
(136,407
|
)
|
Paid-in capital
|
|
|
878,462,798
|
|
|
|
|
|
|
Net assets applicable to common shareholders
|
|
$
|
840,737,231
|
|
The Regulated Investment Company Modernization Act of 2010 (the Act) modernized various tax rules for regulated
investment companies, and was effective for taxable years beginning after the enactment date of December 22, 2010. One significant change is to the treatment of capital loss carryforwards. Now, any capital losses recognized will retain their
character as either short-term or long-term capital losses, will be utilized before the pre-Act capital loss carryforwards, and will be carried forward indefinitely, until applied in offsetting future capital gains.
As of October 31, 2012, the Fund had pre-Act capital loss carryforwards which, if not used, will expire as follows:
|
|
|
|
|
2017
|
|
$
|
(28,386,323
|
)
|
2018
|
|
|
(2,183,566
|
)
|
2019
|
|
|
(6,399,667
|
)
|
|
|
|
|
|
|
|
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
25
|
|
Notes to
Financial Statements
Note 5 Common Shares
There are unlimited common
shares of beneficial interest authorized and 67,547,533 shares outstanding at October 31, 2012. Calamos Advisors owned 18,722 of the outstanding shares at October 31, 2012. Transactions in common shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
YEAR ENDED
OCTOBER 31, 2012
|
|
|
YEAR ENDED
OCTOBER 31, 2011
|
|
Beginning shares
|
|
|
67,188,511
|
|
|
|
62,431,622
|
|
Shares sold
|
|
|
159,957
|
|
|
|
4,196,583
|
|
Shares issued through reinvestment of distributions
|
|
|
199,065
|
|
|
|
560,306
|
|
|
|
|
|
|
Ending shares
|
|
|
67,547,533
|
|
|
|
67,188,511
|
|
|
|
|
|
|
Notice is hereby given in accordance with Section 23(c) of the 1940 Act that the Fund may from time to time purchase its shares
of common stock in the open market.
The Fund also may offer and sell common shares from time to time at an offering price equal to or in excess of the
net asset value per share of the Funds common shares at the time such common shares are initially sold. Transactions for the fiscal year had net proceeds received in excess of net asset value of $18,981.
Note 6 Derivative Instruments
Foreign Currency
Risk.
The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase
or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty
to perform. The net unrealized gain, if any, represents the credit risk to the Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. The Fund realizes a gain or loss when a position is closed
or upon settlement of the contracts. There were no open forward foreign currency contracts at October 31, 2012.
Equity Risk.
The Fund
engaged in option transactions and in doing so achieves similar objectives to what it would achieve through the sale or purchase of individual securities. A call option, upon payment of a premium, gives the purchaser of the option the right to buy,
and the seller of the option the obligation to sell, the underlying security, index or other instrument at the exercise price. A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the seller the
obligation to buy, the underlying security, index, or other instrument at the exercise price.
To seek to offset some of the risk of a potential decline
in value of certain long positions, the Fund may also purchase put options on individual securities, broad-based securities indexes or certain exchange traded funds (ETFs). The Fund may also seek to generate income from option premiums
by writing (selling) options on a portion of the equity securities (including securities that are convertible into equity securities) in the Funds portfolio, on broad-based securities indexes, or certain ETFs.
When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium
and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Fund realizes a gain or loss to the extent of the
premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on a
closing purchase or sale transaction is also treated as a realized gain or loss. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put
options are decreased by the premiums paid. Gain or loss on written options and purchased options is presented separately as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.
As of October 31, 2012, the Fund had outstanding purchased options and/or written options as listed on the Schedule of Investments.
Interest Rate Risk.
The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Funds borrowings (see Note 7
Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of
|
|
|
|
|
26
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
Notes to Financial Statements
interest rate. If interest rates rise, resulting in a diminution in the value of the Funds portfolio, the Fund would receive payments under the swap that would offset, in whole or in part,
such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Unrealized gains are reported as an asset, and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The
change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on interest rate swaps in the Statement of Operations. A realized gain or
loss is recorded in net realized gain (loss) on interest rate swaps in the Statement of Operations upon payment or receipt of a periodic payment or termination of the swap agreements. Swap agreements are stated at fair value. Notional principal
amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the
terms of the respective swap contracts in the event of default or bankruptcy of the Fund.
Premiums paid to or by a Fund are accrued daily and included
in realized gain (loss) when paid on swaps in the accompanying Statement of Operations. The contracts are marked-to-market daily based upon third party vendor valuations and changes in value are recorded as unrealized appreciation (depreciation).
Gains or losses are realized upon early termination of the contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the
counterparties to perform under the contracts terms, counterpartys creditworthiness, and the possible lack of liquidity with respect to the contracts.
As of October 31, 2012, the Fund had outstanding interest rate swap agreements as listed on the Schedule of Investments.
As of October 31, 2012, the Fund had outstanding derivative contracts which are reflected on the Statement of Assets and Liabilities as follows:
|
|
|
|
|
ASSET
DERIVATIVES
|
|
|
FAIR VALUE
|
Options purchased
1
|
|
$7,412,776
|
|
|
|
|
LIABILITY
DERIVATIVES
|
Interest rate swaps
2
|
|
$4,478,241
|
(1)
|
Generally, the balance sheet location for Options purchased is Investment in securities.
|
(2)
|
Generally, the balance sheet location for Interest rate swaps is Unrealized appreciation (depreciation) on swaps.
|
For the twelve months ended October 31, 2012, the volume of derivative activity for the Fund is reflected below*
|
|
|
|
|
|
|
DERIVATIVE
TYPE
|
|
Options purchased
|
|
|
9,950
|
|
Interest rate swaps
|
|
|
$95,000,000
|
|
*
|
Activity during the period is measured by opened number of contracts for options purchased and opened amount for swap contracts (measured in notional).
|
Note 7 Borrowings
The Fund, with the approval of its
board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the Agreement) with BNP Paribas Prime Brokerage, Inc. (BNP) that allows the Fund to
borrow up to $300,000,000, and a Lending Agreement, as defined below. Borrowings under the Agreement are secured by assets of the Fund that are held with the Funds custodian in a separate account (the pledged collateral). Interest
is charged at the quarterly LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. For the year ended October 31, 2012, the average borrowings under the Agreement and the average interest rate
were $285,000,000 and 1.13%, respectively. As of October 31, 2012, the amount of such outstanding borrowings was $285,000,000. The interest rate applicable to the borrowings on October 31, 2012 was 0.96%.
|
|
|
|
|
|
|
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
27
|
|
Notes to
Financial Statements
The Lending Agreement is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the Lent
Securities) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the Agreement. BNP may
re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Funds
understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided
there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of
all dividends, interest or other distributions earned or made by the Lent Securities.
Under the terms of the Lending Agreement, the Lent Securities are
marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the Current Borrowings), BNP must, on that day, either (1) return Lent
Securities to the Funds custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Funds custodian equal to the difference between
the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding
Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Funds custodian no later than three business
days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Funds custodian for the
ultimate delivery of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and
set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.
Note 8 Synthetic Convertible Securities
The Fund may
establish a synthetic convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities (fixed-income component), which may be a
convertible or non-convertible security and the right to acquire equity securities (convertible component). The fixed-income component is achieved by investing in fixed income securities such as bonds, preferred stocks, and money market
instruments. The convertible component is achieved by investing in warrants or purchased options to buy common stock at a certain exercise price, or options on a stock index. In establishing a synthetic instrument, the Fund may pool a basket of
fixed-income securities and a basket of warrants or purchased options that produce the economic characteristics similar to a convertible security. Within each basket of fixed-income securities and warrants or options, different companies may issue
the fixed-income and convertible components, which may be purchased separately and at different times.
The Fund may also purchase synthetic securities
created by other parties, typically investment banks, including convertible structured notes. Convertible structured notes are fixed-income debentures linked to equity. Convertible structured notes have the attributes of a convertible security;
however, the investment bank that issued the convertible note assumes the credit risk associated with the investment, rather than the issuer of the underlying common stock into which the note is convertible. Purchasing synthetic convertible
securities may offer more flexibility than purchasing a convertible security.
Note 9 Fair Value Measurements
Various inputs are used to determine the value of the Funds investments. These inputs are categorized into three broad levels as follows:
|
|
|
Level 1 Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities
exchange) for identical assets.
|
|
|
|
Level 2 Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar
securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.
|
|
|
|
|
|
28
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
Notes to Financial Statements
|
|
|
Level 3 Prices reflect unobservable market inputs (including the Funds own judgments about assumptions market participants would use in determining
fair value) when observable inputs are unavailable.
|
Debt securities are valued based upon evaluated prices received from an
independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an
indication of the risk or liquidity of the Funds investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.
The following is a summary of the inputs used in valuing the Funds holdings at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LEVEL 1
|
|
|
LEVEL 2
|
|
|
LEVEL 3
|
|
|
TOTAL
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
$
|
|
|
|
$
|
660,541,436
|
|
|
$
|
|
|
|
$
|
660,541,436
|
|
Convertible Bonds
|
|
|
|
|
|
|
231,527,742
|
|
|
|
|
|
|
|
231,527,742
|
|
U.S. Government and Agency Securities
|
|
|
|
|
|
|
5,193,951
|
|
|
|
|
|
|
|
5,193,951
|
|
Sovereign Bonds
|
|
|
|
|
|
|
12,041,013
|
|
|
|
|
|
|
|
12,041,013
|
|
Synthetic Convertible Securities (Corporate Bonds)
|
|
|
|
|
|
|
40,936,395
|
|
|
|
|
|
|
|
40,936,395
|
|
Synthetic Convertible Securities (U.S. Government and Agency Securities)
|
|
|
|
|
|
|
321,928
|
|
|
|
|
|
|
|
321,928
|
|
Synthetic Convertible Securities (Sovereign Bonds)
|
|
|
|
|
|
|
748,484
|
|
|
|
|
|
|
|
748,484
|
|
Synthetic Convertible Securities (Purchased Options)
|
|
|
7,412,776
|
|
|
|
|
|
|
|
|
|
|
|
7,412,776
|
|
Convertible Preferred Stocks
|
|
|
59,833,479
|
|
|
|
57,251,969
|
|
|
|
|
|
|
|
117,085,448
|
|
Common Stocks
|
|
|
2,086,899
|
|
|
|
|
|
|
|
|
|
|
|
2,086,899
|
|
Short Term Investment
|
|
|
26,063,774
|
|
|
|
|
|
|
|
|
|
|
|
26,063,774
|
|
|
|
|
|
|
Total
|
|
$
|
95,396,928
|
|
|
$
|
1,008,562,918
|
|
|
$
|
|
|
|
$
|
1,103,959,846
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps
|
|
$
|
|
|
|
$
|
4,478,241
|
|
|
$
|
|
|
|
$
|
4,478,241
|
|
|
|
|
|
|
Total
|
|
$
|
|
|
|
$
|
4,478,241
|
|
|
$
|
|
|
|
$
|
4,478,241
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
29
|
|
Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended October 31,
|
|
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
Net asset value, beginning of period
|
|
|
$12.31
|
|
|
|
$12.84
|
|
|
|
$11.83
|
|
|
|
$8.26
|
|
|
|
$16.38
|
|
|
|
Income from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)**
|
|
|
0.81
|
|
|
|
0.83
|
|
|
|
0.91
|
|
|
|
0.84
|
|
|
|
1.16
|
|
|
|
Net realized and unrealized gain (loss)
|
|
|
0.47
|
|
|
|
(0.23
|
)
|
|
|
1.22
|
|
|
|
3.88
|
|
|
|
(7.31
|
)
|
|
|
Distributions to preferred shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (common share equivalent basis)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.01
|
)
|
|
|
(0.13
|
)
|
|
|
Net realized gains (common share equivalent basis)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.12
|
)
|
|
|
Total from investment operations
|
|
|
1.28
|
|
|
|
0.60
|
|
|
|
2.13
|
|
|
|
4.71
|
|
|
|
(6.40
|
)
|
|
|
Less distributions to common shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(1.14
|
)
|
|
|
(0.84
|
)
|
|
|
(1.00
|
)
|
|
|
(0.94
|
)
|
|
|
(1.41
|
)
|
|
|
Net realized gains
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.02
|
)
|
|
|
(0.31
|
)
|
|
|
Return of capital
|
|
|
|
|
|
|
(0.30
|
)
|
|
|
(0.14
|
)
|
|
|
(0.18
|
)
|
|
|
|
|
|
|
Total distributions
|
|
|
(1.14
|
)
|
|
|
(1.14
|
)
|
|
|
(1.14
|
)
|
|
|
(1.14
|
)
|
|
|
(1.72
|
)
|
|
|
Capital charge resulting from issuance of common and preferred shares and related offering costs(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premiums from shares sold in at the market offerings
|
|
|
|
(a)
|
|
|
0.01
|
|
|
|
0.02
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period
|
|
|
$12.45
|
|
|
|
$12.31
|
|
|
|
$12.84
|
|
|
|
$11.83
|
|
|
|
$8.26
|
|
|
|
Market value, end of period
|
|
|
$12.51
|
|
|
|
$12.09
|
|
|
|
$13.09
|
|
|
|
$11.40
|
|
|
|
$9.10
|
|
|
|
Total investment return based on:(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value
|
|
|
11.05%
|
|
|
|
4.92%
|
|
|
|
19.12%
|
|
|
|
62.00%
|
|
|
|
(42.58%
|
)
|
|
|
Market value
|
|
|
13.62%
|
|
|
|
1.08%
|
|
|
|
26.02%
|
|
|
|
41.70%
|
|
|
|
(38.69%
|
)
|
|
|
Net assets, end of period (000)
|
|
|
$840,737
|
|
|
|
$827,339
|
|
|
|
$801,354
|
|
|
|
$651,707
|
|
|
|
$409,035
|
|
|
|
Preferred shares, at redemption value ($25,000 per share liquidation preference) (000s omitted)
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$104,000
|
|
|
|
Ratios to average net assets applicable to common shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net expenses(c)
|
|
|
1.57%
|
|
|
|
1.55%
|
|
|
|
1.67%
|
|
|
|
2.87%
|
|
|
|
1.92%
|
|
|
|
Gross expenses prior to expense reductions and earnings credits(c)
|
|
|
1.57%
|
|
|
|
1.55%
|
|
|
|
1.71%
|
|
|
|
2.98%
|
|
|
|
2.16%
|
|
|
|
Net expenses, excluding interest expense
|
|
|
1.17%
|
|
|
|
1.19%
|
|
|
|
1.19%
|
|
|
|
2.36%
|
|
|
|
1.30%
|
|
|
|
Net investment income (loss)(c)
|
|
|
6.60%
|
|
|
|
6.56%
|
|
|
|
7.48%
|
|
|
|
8.79%
|
|
|
|
8.38%
|
|
|
|
Preferred share distributions
|
|
|
%
|
|
|
|
%
|
|
|
|
%
|
|
|
|
0.10%
|
|
|
|
0.92%
|
|
|
|
Net investment income (loss), net of preferred share distributions from net investment income
|
|
|
6.60%
|
|
|
|
6.56%
|
|
|
|
7.48%
|
|
|
|
8.69%
|
|
|
|
7.46%
|
|
|
|
Portfolio turnover rate
|
|
|
56%
|
|
|
|
44%
|
|
|
|
37%
|
|
|
|
30%
|
|
|
|
53%
|
|
|
|
Average commission rate paid
|
|
|
$0.0230
|
|
|
|
$0.0222
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
Asset coverage per preferred share, at end of period(d)
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$123,350
|
|
|
|
Asset coverage per $1,000 of loan outstanding(e)
|
|
|
$3,950
|
|
|
|
$3,903
|
|
|
|
$5,152
|
|
|
|
$4,377
|
|
|
|
$3,745
|
|
|
|
**
|
Net investment income allocated based on average shares method.
|
(a)
|
Amount equated to less than $0.005 per common share.
|
(b)
|
Total investment return is calculated assuming a purchase of common stock on the opening of the first day and a sale on the closing of the last day of the period reported.
Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Funds dividend reinvestment plan. Total return is not annualized for periods less than one year. Brokerage commissions are
not reflected. NAV per share is determined by dividing the value of the Funds portfolio securities, cash and other assets, less all liabilities, by the total number of common shares outstanding. The common share market price is the price the
market is willing to pay for shares of the Fund at a given time. Common share market price is influenced by a range of factors, including supply and demand and market conditions.
|
(c)
|
Does not reflect the effect of dividend payments to Preferred Shareholders.
|
(d)
|
Calculated by subtracting the Funds total liabilities (not including Preferred Shares) from the Funds total assets and dividing this by the number of Preferred Shares
outstanding.
|
(e)
|
Calculated by subtracting the Funds total liabilities (not including Note payable) and preferred shares from the Funds total assets and dividing this by the amount of
note payable outstanding, and by multiplying the result by 1,000.
|
|
|
|
|
|
30
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of Calamos Convertible Opportunities and Income Fund
We have audited the
accompanying statement of assets and liabilities, including the schedule of investments, of Calamos Convertible Opportunities and Income Fund (the Fund) as of October 31, 2012, the related statements of operations and cash flows for
the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights
are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance
about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included
consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds internal control
over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2012, by correspondence with the Funds custodian and
brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Fund as of October 31, 2012, the results of its
operations and cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America.
Chicago, Illinois
December 14, 2012
|
|
|
|
|
|
|
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
31
|
|
Trustee Appr
oval of Management Agreement
(Unaudited)
The Board of Trustees of the Fund oversees the management of the Fund, and, as required by law, determines annually whether to continue the Funds management
agreement with Calamos Advisors under which Calamos Advisors serves as the investment manager and administrator for the Fund. The Independent Trustees, who comprise more than 80% of the Board, have never been affiliated with Calamos
Advisors.
In connection with their most recent consideration regarding the continuation of the management agreement, the Trustees received and reviewed
a substantial amount of information provided by Calamos Advisors in response to detailed requests of the Independent Trustees and their independent legal counsel. In the course of their consideration of the agreement, the Independent Trustees were
advised by their counsel and, in addition to meeting with management of Calamos Advisors, they met separately in executive session with their counsel.
At a meeting held on June 28, 2012, based on their evaluation of the information referred to above and other information, the Trustees determined that the
overall arrangements between the Fund and Calamos Advisors were fair and reasonable in light of the nature, extent and quality of the services provided by Calamos Advisors and its affiliates, the fees charged for those services and other matters
that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees, including all of the Independent Trustees, approved the continuation of the management agreement through July 31, 2013, subject to
possible earlier termination as provided in the agreement.
In connection with its consideration of the management agreement, the Board considered, among
other things: (i) the nature, quality and extent of the Advisers services, (ii) the investment performance of the Fund as well as performance information for comparable funds and other comparable clients of the Advisor,
(iii) the fees and other expenses paid by the Fund as well as expense information for comparable funds and for other comparable clients of the Adviser, (iv) the profitability of the Adviser and its affiliates from their relationship with
the Fund, (v) the extent to which economies of scale may apply, and (vi) other benefits to the Adviser from its relationship with the Fund. In the Boards deliberations, no single factor was responsible for the Boards decision
to approve continuation of the management agreements.
Nature, Extent and Quality of Services.
The Boards consideration of the
nature, extent and quality of the Advisers services to the Fund took into account the knowledge gained from the Boards meetings with the Adviser throughout the prior year. In addition, the Board considered: the Advisers long-term
history of managing the Fund; the consistency of investment approach; the background and experience of the Advisers investment personnel responsible for managing the Fund; the Advisers performance as administrator of the Fund, including,
among other things, in the areas of brokerage selection, trade execution, compliance and shareholder communications; and frequent favorable recognition of the Adviser in the media and in industry publications. The Board also reviewed the
Advisers resources and key personnel involved in providing investment management services to the Fund, including the time that investment personnel devote to the Fund and the investment results produced by the Advisers in-house research.
The Board noted the personal investments that the Advisers key investment personnel have made in the Fund, which further aligns the interests of the Adviser and its personnel with those of the Funds shareholders. In addition, the Board
considered compliance reports about the Adviser from the Funds Chief Compliance Officer. The Board concluded that the nature, extent and quality of the services provided by the Adviser to the Fund were appropriate and consistent with the
management agreements and that the Fund was likely to continue to benefit from services provided under its management agreement with the Adviser.
Investment Performance of the Fund.
The Board considered the Funds investment performance over various time periods, including how the Fund
performed compared to the median performance of a group of comparable funds (the Funds Universe Median) selected by Lipper, Inc., an independent data service provider. The performance periods considered by the Board ended on
March 31, 2012. Where available, the Board considered one-, three-, five- and ten-year performance.
The Board considered the Funds net asset
value performance, noting that the Fund outperformed its Universe Median during the three- and five-year periods. The Fund performed at the Universe Median for the one-year period.
For the reasons noted above, the Board concluded that continuation of the management agreement for the Fund was in the best interest of the Fund and its shareholders.
Costs of Services Provided and Profits Realized by the Adviser.
Using information provided by Lipper, the Board evaluated the Funds actual
management fee rate compared to the median management fee rate for other mutual funds similar in size, character and
|
|
|
|
|
32
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
Trustee Approval of Management Agreement
(Unaudited)
investment strategy (the Funds Expense Group), and the Funds total expense ratio compared to the median total expense ratio of the Funds Expense Group.
The Board considered that the Funds management fee rate is equal to the median of the Funds Expense Group. The Board also noted that the Funds
total expense ratio, which reflects the total fees paid by an investor, is equal to the median of the Funds Expense Group. The Board, in its consideration of expenses, also took into account its review of the Funds performance.
The Board also reviewed the Advisers management fee rates for its institutional separate accounts and for its sub-advised funds (for which the
Adviser provides portfolio management services only). The Board took into account the Advisers assertion that although, generally, the rates of fees paid by institutional clients were lower than the rates of fees paid by the Fund, the
differences reflected the Advisers greater level of responsibilities and significantly broader scope of services regarding the Fund, and the more extensive regulatory obligations and risks associated with managing the Fund.
The Board also considered the Advisers costs in serving as the Funds investment adviser and manager, including costs associated with technology,
infrastructure and compliance necessary to manage the Fund. The Board reviewed the Advisers methodology for allocating costs among the Advisers lines of business. The Board also considered information regarding the structure of the
Advisers compensation program for portfolio managers, analysts and certain other employees and the relationship of such compensation to the attraction and retention of quality personnel. Finally, the Board reviewed information on the
profitability of the Adviser in serving as the Funds investment manager and of the Adviser and its affiliates in all of their relationships with the Fund, as well as an explanation of the methodology utilized in allocating various expenses
among the Fund and the Advisers other business units. Data was provided to the Board with respect to profitability, both on a pre- and post-marketing cost basis. The Board also reviewed the annual report of the Advisers parent company
and discussed its corporate structure.
After its review of all the matters addressed, including those outlined above, the Board concluded that the rate
of management fee paid by the Fund to the Adviser, in light of the nature and quality of the services provided, was reasonable and in the best interests of the Funds shareholders.
Economies of Scale and Fee Levels Reflecting Those Economies.
In reviewing the Funds fees and expenses, the Trustees examined the potential benefits of economies of scale and whether any
economies of scale should be reflected in the Funds fee structure. They noted that the Fund is a closed-end fund, and has therefore had a relatively stable asset base since commencement of operations, and that there do not appear to have been
any significant economies of scale realized since that time.
Other Benefits Derived from the Relationship with the Fund.
The Board
also considered other benefits that accrue to the Adviser and its affiliates from their relationship with the Fund. The Board concluded that, other than the services to be provided by the Adviser and its affiliates pursuant to their agreements with
the Fund and the fees payable by the Fund therefore, the Fund and the Adviser may potentially benefit from their relationship with each other in other ways. The Board also considered the Advisers use of a portion of the commissions paid by the
Fund on their portfolio brokerage transactions to obtain research products and services benefiting the Fund and/or other clients of the Adviser and concluded, based on reports from the Funds Chief Compliance Officer, that the Advisers
use of soft commission dollars to obtain research products and services was consistent with regulatory requirements.
After full
consideration of the above factors as well as other factors that were instructive in their consideration, the Trustees, including all of the Independent Trustees, concluded that the continuation of the management agreement with the Adviser was in
the best interest of the Fund and its shareholders.
|
|
|
|
|
|
|
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
33
|
|
Tax Information
(Unaudited)
We are providing this information as required by the Internal Revenue Code (Code). The amounts shown may differ from those elsewhere in this report due to
differences between tax and financial reporting requirements. In February 2013, shareholders will receive Form 1099-DIV which will include their share of qualified dividends and capital gains distributed during the calendar year 2012. Shareholders
are advised to check with their tax advisors for information on the treatment of these amounts on their individual income tax returns.
Under
Section 854(b)(2) of the Code, the Fund hereby designates $3,458,144 or the maximum amount allowable under the Code, as qualified dividends for the fiscal year ended October 31, 2012.
Under Section 854(b)(2) of the Code, the Fund hereby designates 5.41% of the ordinary income dividends as income qualifying for the corporate dividends
received deduction for the fiscal year ended October 31, 2012.
|
|
|
|
|
34
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
Trustees and Officers
(Unaudited)
The management of the Fund, including general supervision of the duties performed for the Fund under the investment management agreement between the Fund and
Calamos Advisors, is the responsibility of its board of trustees. Each trustee elected will hold office for the terms noted below or until such trustees earlier resignation, death or removal; however, each trustee who is not an interested
person of the Fund shall retire as a trustee at the end of the calendar year in which the trustee attains the age of 72 years.
The following table
sets forth each trustees name, age at October 31, 2012, position(s) with the Fund, number of portfolios in the Calamos Fund Complex overseen, principal occupation(s) during the past five years and other directorships held, and date
first elected or appointed.
|
|
|
|
|
|
|
NAME AND AGE
|
|
POSITIONS(S) WITH FUND
|
|
PORTFOLIOS IN
FUND COMPLEX^
OVERSEEN
|
|
PRINCIPAL OCCUPATION(S)
AND OTHER DIRECTORSHIPS
|
Trustees who are interested persons of the Fund:
|
|
|
|
|
|
|
|
John P. Calamos, Sr., 72*
|
|
Trustee and President (since 1988)
Term Expires 2014
|
|
19
|
|
Chairman, CEO, and Global Co-Chief Investment Officer, Calamos Asset Management, Inc. (CAM), Calamos Investments LLC (CILLC), Calamos Advisors LLC and its
predecessor (Calamos Advisors), and Calamos Wealth Management LLC (CWM) and Chief Executive Officer, Calamos Financial Services LLC and its predecessor (CFS); Director, CAM
|
|
|
|
|
|
|
|
Trustees who are not interested persons of the Fund:
|
|
|
|
|
|
|
|
Weston W. Marsh, 62
|
|
Trustee (since 2002)
Term
Expires 2013
|
|
19
|
|
Of Counsel and, until December 31, 2005, Partner, Freeborn & Peters LLP (law firm)
|
|
|
|
|
|
|
|
John E. Neal, 62
|
|
Trustee (since 2001)
Term
Expires 2015
|
|
19
|
|
Private investor; Director, Equity Residential (publicly-owned REIT) and Creation Investments (private international microfinance company); Partner, Linden LLC (health care private
equity)
|
|
|
|
|
|
|
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William R. Rybak, 61
|
|
Trustee (since 2002)
Term
Expires 2014
|
|
19
|
|
Private investor; Director, Christian Brothers Investment Services, Inc. (since February 2010); Director, Private Bancorp (since December 2003) formerly, Executive Vice President and
Chief Financial Officer, Van Kampen Investments, Inc. and subsidiaries (investment manager); Director, Howe Barnes Hoefer & Arnett (until March 2011) Trustee, JNL Series Trust, JNL Investors Series Trust and JNL Variable Fund LLC**; Trustee,
Lewis University (since October 2012)
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|
|
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Stephen B. Timbers, 68
|
|
Trustee (since 2004) and Lead Independent Trustee (since 2005)
Term Expires 2013
|
|
19
|
|
Private investor
|
|
|
|
|
|
|
|
David D. Tripple, 68
|
|
Trustee (since 2006)
Term
Expires 2015
|
|
19
|
|
Private investor; Trustee, Century Growth Opportunities Fund (since 2010), Century Shares Trust and Century Small Cap Select Fund (since January 2004)***
|
*
|
Mr. Calamos is an interested person of the Fund as defined in the 1940 Act because he is an officer of the Fund and an affiliate of Calamos Advisors and CFS.
|
**
|
Overseeing 104 portfolios in fund complex.
|
***
|
Overseeing three portfolios in fund complex.
|
^
|
The Fund Complex consists of CALAMOS Investment Trust, CALAMOS Advisors Trust, CALAMOS Convertible Opportunities and Income Fund, CALAMOS Convertible and High Income Fund,
CALAMOS Strategic Total Return Fund, CALAMOS Global Total Return Fund and CALAMOS Global Dynamic Income Fund.
|
The address of each trustee
is 2020 Calamos Court, Naperville, Illinois 60563.
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|
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|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
35
|
|
Trustees and Officers
(Unaudited)
Officers.
The preceding table gives information about John P. Calamos, Sr., who is president of the Fund. The following table sets forth each other officers name, age at October 31,
2012, position with the Fund and date first appointed to that position, and principal occupation(s) during the past five years. Each officer serves until his or her successor is chosen and qualified or until his or her resignation or removal by the
board of trustees.
|
|
|
|
|
NAME AND AGE
|
|
POSITION(S) WITH FUND
|
|
PRINCIPAL OCCUPATION(S)
DURING PAST 5 YEARS
|
Nimish S. Bhatt, 49
|
|
Vice President and Chief Financial Officer (since 2007)
|
|
Senior Vice President since 2004, Chief Financial Officer (since May 2011), Head of Fund Administration (since November 2011), CAM, CILLC,
Calamos Advisors, CWM and CFS; prior thereto Director of Operations (since 2004); Director, Calamos Global Funds PLC (since 2007); Member, board of directors of NICSA (a not-for-profit industry trade organization) (since June
2006)
|
|
|
|
|
|
James J. Boyne, 46
|
|
Vice President (since 2008) and Assistant Secretary (since 2010)
|
|
Executive Vice President and Chief Operating Officer, CAM, CILLC, CWM, Calamos Advisors and CFS (since 2011); prior thereto President of
Distribution and Operations (since 2008); Senior Vice President, General Counsel and Secretary, CAM, CILLC, CWM, Calamos Advisors (since 2008); Chief Operating Officer - Distribution, CFS (since 2008); prior thereto, Chief Operating Officer, General
Counsel and Executive Managing Director of McDonnell Investment Management, LLC (2001-2008)
|
|
|
|
|
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J. Christopher Jackson, 61
|
|
Vice President and Secretary (since 2010)
|
|
Senior Vice President, General Counsel and Secretary, CAM, CHLLC, Calamos Advisors and CFS (since 2010); Director, U.S. Head of Retail Legal and Co-Global Head of Retail Legal of
Deutsche Bank AG (2006-2010); prior thereto, Director, Senior Vice President, General Counsel and Assistant Secretary of Hansberger Global Investors, Inc. (1996-2006)
|
|
|
|
|
|
Mark J. Mickey, 61
|
|
Chief Compliance Officer (since 2005)
|
|
Chief Compliance Officer, Calamos Funds (since 2005) and Chief Compliance Officer, Calamos Advisors (2005-2006)
|
|
|
|
|
|
Curtis Holloway, 45
|
|
Treasure (since 2010), Prior thereto Assistant
Treasurer since 2007
|
|
Treasurer of Calamos Investment Trust, Calamos Advisors Trust, CHI, CHY, CSQ, CGO and CHW (since June 2010); prior thereto Assistant Treasurer (since 2007)
|
|
|
|
|
|
Gary Black, 52
|
|
Vice President
(since Sept 2012)
|
|
EVP, Global Co-Chief Investment Officer and Chief Investment Officer of Alternative Investments (since August 2012), CAM, CILLC, Calamos Advisors, CWM and CFS, prior thereto CEO, Chief
Investment Officer and Founding Member of Black Capital (since 2009); prior thereto, CEO of Janus Capital Group (since 2006)
|
The address of each officer is 2020 Calamos Court, Naperville, Illinois 60563.
Results of Annual Meeting
The Fund held its annual meeting
of shareholders on June 27, 2012. The purpose of the annual meeting was to elect two Trustees to the Funds board of trustees for a three-year term, or until the trustees successor is duly elected and qualified, and to conduct any other
lawful business of the Fund. Mr. John E. Neal and Mr. Donald D. Tapple were nominated for reelection as Trustees, and were elected as such by a plurality vote as follows:
|
|
|
|
|
|
|
TRUSTEE NOMINEE
|
|
VOTES FOR
|
|
VOTES WITHHELD
|
|
BROKER NON-
VOTES AND ABSTENTIONS
|
John E. Neal
|
|
57,715,884
|
|
1,462,559
|
|
0
|
|
|
|
|
|
|
|
Donald D. Tapple
|
|
57,746,339
|
|
1,432,104
|
|
0
|
Messrs. Calamos, Marsh, Rybak and Timbers terms of office as Trustees continued after the meeting.
|
|
|
|
|
36
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
About Closed-End Funds
What is a Closed-End Fund?
A closed-end fund is a publicly traded investment company that raises its initial
investment capital through the issuance of a fixed number of shares to investors in a public offering. Shares of a closed-end fund are listed on a stock exchange or traded in the over-the-counter market. Like all investment companies, a closed-end
fund is professionally managed and offers investors a unique investment solution based on its investment objective approved by the funds Board of Directors.
Potential Advantages of Closed-End Fund Investing
|
|
Defined Asset Pool Allows Efficient Portfolio Management
Although closed-end fund shares trade actively on a securities exchange, this doesnt
affect the closed-end fund manager because there are no new investors buying into or selling out of the funds portfolio.
|
|
|
More Flexibility in the Timing and Price of Trades
Investors can purchase and sell shares of closed-end funds throughout the trading day, just like
the shares of other publicly traded securities.
|
|
|
Lower Expense Ratios
The expense ratios of closed-end funds are oftentimes less than those of mutual funds. Over time, a lower expense ratio could
enhance investment performance.
|
|
|
Closed-End Structure Makes Sense for Less-Liquid Asset Classes
A closed-end structure makes sense for investors considering less-liquid asset
classes, such as high-yield bonds or micro-cap stocks.
|
|
|
Ability to Put Leverage to Work
Closed-end funds may issue senior securities (such as preferred shares or debentures) or borrow money to
leverage their investment positions.
|
|
|
No Minimum Investment Requirements
|
OPEN-END MUTUAL FUNDS VERSUS CLOSED-END FUNDS
|
|
|
OPEN-END FUND
|
|
CLOSED-END FUND
|
Issues new shares on an ongoing basis
|
|
Generally issues a fixed number of shares
|
Issues common equity shares
|
|
Can issue common equity securities and senior securities such as preferred shares and bonds
|
Sold at NAV plus any sales charge
|
|
Price determined by the marketplace
|
Sold through the funds distributor
|
|
Traded in the secondary market
|
Fund redeems shares at NAV calculated at the close of business day
|
|
Fund does not redeem shares
|
|
|
|
|
|
|
|
|
|
|
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
37
|
|
Level Rate Distribution Policy
Using a Level Rate Distribution Policy to Promote Dependable Income and Total Return
The goal of the
level rate distribution policy is to provide investors a predictable, though not assured, level of cash flow, which can either serve as a stable income stream or, through reinvestment, contribute significantly to long-term total return.
We understand the importance that investors place on the stability of dividends and their ability to contribute to long-term total return, which is why we have
instituted a level rate distribution policy for the Fund. Under the policy, monthly distributions paid may include net investment income, net realized short-term capital gains and, if necessary, return of capital. In addition, a limited number of
distributions per calendar year may include net realized long-term capital gains. There is no guarantee that the Fund will realize capital gains in any given year. Distributions are subject to re-characterization for tax purposes after the end of
the fiscal year. All shareholders with taxable accounts will receive written notification regarding the components and tax treatment for distributions via Form 1099-DIV.
Distributions from the Fund are generally subject to Federal income taxes. For purposes of maintaining the level rate distribution policy, the Fund may realize short-term capital gains on securities that, if sold
at a later date, would have resulted in long-term capital gains. Maintenance of a level rate distribution policy may increase transaction and tax costs associated with the Fund.
Automatic Dividend Reinvestment Plan
Maximizing Investment with an Automatic Dividend Reinvestment Plan
The Automatic Dividend Reinvestment Plan offers a simple, cost-efficient and convenient way to reinvest your dividends and capital gains distributions in additional shares of the Fund, allowing you to increase your
investment in the Fund.
Potential Benefits
|
|
Compounded Growth:
By automatically reinvesting with the Plan, you gain the potential to allow your dividends and capital gains to compound over time.
|
|
|
Potential for Lower Commission Costs:
Additional shares are purchased in large blocks, with brokerage commissions shared among all plan participants.
There is no cost to enroll in the Plan.
|
|
|
Convenience:
After enrollment, the Plan is automatic and includes detailed statements for participants. Participants can terminate their enrollment at any
time.
|
Pursuant to the Plan, unless a shareholder is ineligible or elects otherwise, all dividend and capital gains on common shares
distributions are automatically reinvested by Computershare, as agent for shareholders in administering the Plan (Plan Agent), in additional common shares of the Fund. Shareholders who elect not to participate in the Plan will receive
all dividends and distributions payable in cash paid by check mailed directly to the shareholder of record (or, if the shares are held in street or other nominee name, then to such nominee) by Plan Agent, as dividend paying agent. Shareholders may
elect not to participate in the Plan and to receive all dividends and distributions in cash by sending written instructions to Plan Agent, as dividend paying agent, at: Dividend Reinvestment Department, P.O. Box 358016, Pittsburgh, PA 15252.
Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by giving notice in writing to the Plan Agent; such termination will be effective with respect to a particular dividend or distribution if
notice is received prior to the record date for the applicable distribution.
The shares are acquired by the Plan Agent for the participants
account either (i) through receipt of additional common shares from the Fund (newly issued shares) or (ii) by purchase of outstanding common shares on the
|
|
|
|
|
38
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
Automatic Dividend Reinvestment Plan
open market (open-market purchases) on the NASDAQ or elsewhere. If, on the payment date, the net asset value per share of the common shares is equal to or less than the market price
per common share plus estimated brokerage commissions (a market premium), the Plan Agent will receive newly issued shares from the Fund for each participants account. The number of newly issued common shares to be credited to the
participants account will be determined by dividing the dollar amount of the dividend or distribution by the greater of (i) the net asset value per common share on the payment date, or (ii) 95% of the market price per common share on
the payment date.
If, on the payment date, the net asset value per common share exceeds the market price plus estimated brokerage commissions (a
market discount), the Plan Agent has a limited period of time to invest the dividend or distribution amount in shares acquired in open-market purchases. The weighted average price (including brokerage commissions) of all common shares
purchased by the Plan Agent as Plan Agent will be the price per common share allocable to each participant. If, the Plan Agent is unable to invest the full dividend amount in open-market purchases during the purchase period or if the market discount
shifts to a market premium during the purchase period, the Plan Agent will cease making open-market purchases and will invest the uninvested portion of the dividend or distribution amount in newly issued shares at the close of business on the last
purchase date.
The automatic reinvestment of dividends and distributions will not relieve participants of any federal, state or local income tax that
may be payable (or required to be withheld) on such dividends even though no cash is received by participants.
There are no brokerage charges with
respect to shares issued directly by the Fund as a result of dividends or distributions payable either in shares or in cash. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agents
open-market purchases in connection with the reinvestment of dividends or distributions. If a participant elects to have the Plan Agent sell part or all of his or her common shares and remit the proceeds, such participant will be charged his or her
pro rata share of brokerage commissions on the shares sold, plus a $15 transaction fee. There is no direct service charge to participants in the Plan; however, the Fund reserves the right to amend the Plan to include a service charge payable by the
participants.
A participant may request the sale of all of the common shares held by the Plan Agent in his or her Plan account in order to terminate
participation in the Plan. If such participant elects in advance of such termination to have the Plan Agent sell part or all of his shares, the Plan Agent is authorized to deduct from the proceeds a $15.00 fee plus the brokerage commissions incurred
for the transaction. A participant may re-enroll in the Plan in limited circumstances.
The terms and conditions of the Plan may be amended by the Plan
Agent or the Fund at any time upon notice are required by the Plan.
This discussion of the Plan is only summary, and is qualified in its entirety to the
Terms and Conditions of the Dividend Reinvestment Plan filed as part of the Funds registration statement.
For additional information about the
Plan, please contact the Plan Agent, Computershare, at 866.226.8016. If you wish to participate in the Plan and your shares are held in your own name, simply call the Plan Agent. If your shares are not held in your name, please contact your
brokerage firm, bank, or other nominee to request that they participate in the Plan on your behalf. If your brokerage firm, bank, or other nominee is unable to participate on your behalf, you may request that your shares be re-registered in your own
name.
Were pleased to provide our shareholders with the additional benefit of the Funds Dividend Reinvestment Plan and hope that it may
serve your financial plan.
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|
|
|
|
|
|
|
|
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT
|
|
|
39
|
|
MANAGING YOUR CALAMOS FUNDS INVESTMENTS
Calamos Investments offers several convenient means to monitor, manage and feel confident about your Calamos investment choice.
PERSONAL ASSISTANCE:
800.582.6959
Dial this toll-free number to speak with a knowledgeable Client Services Representative who can help answer questions or address issues
concerning your Calamos Fund.
YOUR FINANCIAL ADVISOR
We encourage you to talk to your financial advisor to determine
how the Calamos Funds can benefit your investment portfolio based on your financial goals, risk tolerance, time horizon and income needs.
|
|
|
|
|
STAY CONNECTED
calamos.com
|
|
Visit our Web site for timely fund performance, detailed fund profiles, fund news and insightful market
commentary.
|
A description of the Calamos Proxy Voting Policies and Procedures and the Funds proxy voting record for the
12-month period ended June 30, 2012, are available free of charge upon request by calling 800.582.6959, by visiting the Calamos Web site at calamos.com, by writing Calamos at: Calamos Investments, Attn: Client Services, 2020 Calamos Court,
Naperville, IL 60563. The Funds proxy voting record is also available free of charge by visiting the SEC Web site at sec.gov.
The Fund files its
complete list of portfolio holdings with the SEC for the first and third quarters each fiscal year on Form N-Q. The Forms N-Q are available free of charge, upon request, by calling or writing Calamos Investments at the phone number or address
provided above or by visiting the SEC Web site at sec.gov. You may also review or, for a fee, copy the forms at the SECs Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by
calling 800.732.0330.
On June 20, 2012, the Fund submitted a CEO annual certification to the NYSE on which the Funds chief executive officer
certified that he was not aware, as of that date, of any violation by the Fund of the NYSEs corporate governance listing standards. In addition, the Funds report to the SEC on Form N-CSR contains certifications by the funds
principal executive officer and principal financial officer as required by Rule 30a-2(a) under the 1940 Act, relating to, among other things, the quality of the Funds disclosure controls and procedures and internal control over financial
reporting.
FOR 24-HOUR AUTOMATED
SHAREHOLDER ASSISTANCE: 866.226.8016
TO OBTAIN INFORMATION ABOUT YOUR INVESTMENTS: 800.582.6959
VISIT OUR WEB SITE:
calamos.com
INVESTMENT ADVISER:
Calamos Advisors LLC
2020 Calamos Court
Naperville, IL 60563-2787
CUSTODIAN AND FUND ACCOUNTING AGENT:
State
Street Bank and Trust Company
225 Franklin Street
Boston, MA 02111
TRANSFER AGENT:
Computershare
P.O. Box 358016
Pittsburgh, PA 15252
866.226.8016
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM:
Deloitte & Touche LLP
Chicago, IL
LEGAL COUNSEL:
K&L Gates LLP
Chicago, IL
2020 Calamos Court
Naperville,
IL 60563-2787
800.582.6959
calamos.com
©
2012 Calamos
Holdings LLC. All Rights Reserved.
Calamos
®
and Calamos Investments
®
are registered
trademarks of Calamos Holdings LLC.
CHIANR 1790 2012
ITEM 2. CODE OF ETHICS.
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the Code of Ethics) that applies to its principal executive officer, principal financial
officer, principal accounting officer or controller, or person performing similar functions.
(b) No response required.
(c) The registrant has not amended its Code of Ethics as it relates to any element of the code of ethics definition enumerated in paragraph(b) of this
Item 2 during the period covered by this report.
(d) The registrant has not granted a waiver or an implicit waiver from its Code of
Ethics during the period covered by this report.
(e) Not applicable.
(f) (1) The registrants Code of Ethics is attached as an Exhibit hereto.
ITEM 3.
AUDIT COMMITTEE FINANCIAL EXPERT.
The registrants Board of Trustees has determined that, for the period covered by the shareholder
report presented in Item 1 hereto, it has four audit committee financial experts serving on its audit committee, each of whom is an independent Trustee for purpose of this N-CSR item: John E. Neal, William R. Rybak, Stephen B. Timbers and David
D. Tripple. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an expert for any purpose, including without limitation for the purposes of Section 11 of the
Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert pursuant to this Item. The designation or identification of a person as an audit committee financial expert does not impose on such person
any duties, obligations, or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of audit committee and board of directors in the absence of such designation or identification. The designation
or identification of a person as an audit committee financial expert pursuant to this Item does not affect the duties, obligations, or liabilities of any other member of the audit committee or board of directors.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
|
|
|
|
|
|
|
|
|
Fiscal Years Ended
|
|
10/31/2011
|
|
|
10/31/2012
|
|
Audit Fees(a)
|
|
$
|
61,711
|
|
|
$
|
44,436
|
|
Audit-Related Fees(b)
|
|
$
|
28,583
|
|
|
$
|
27,605
|
|
Tax Fees(c)
|
|
$
|
|
|
|
$
|
|
|
All Other Fees(d)
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
90,294
|
|
|
$
|
72,041
|
|
|
|
|
|
|
|
|
|
|
(a) Audit Fees are the aggregate fees billed in each of the last two fiscal years for professional services rendered by
the principal accountant to the registrant for the audit of the registrants annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those
fiscal years.
(b) Audit-Related Fees are the aggregate fees billed in each of the last two fiscal years for assurance and related services
rendered by the principal accountant to the registrant that are reasonably related to the performance of the audit of the registrants financial statements and are not reported under paragraph (a) of this Item 4.
(c) Tax Fees are the aggregate fees billed in each of the last two fiscal years for professional services
rendered by the principal accountant to the registrant for tax compliance, tax advice and tax planning.
(d) All Other Fees are the aggregate
fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraph (a)-(c) of this Item 4.
(e) (1) Registrants audit committee meets with the principal accountants and management to review and pre-approve all audit services to be
provided by the principal accountants.
The audit committee shall pre-approve all non-audit services to be provided by the
principal accountants to the registrant, including the fees and other compensation to be paid to the principal accountants; provided that the pre-approval of non-audit services is waived if (i) the services were not recognized by management at
the time of the engagement as non-audit services,(ii) the aggregate fees for all non-audit services provided to the registrant are less than 5% of the total fees paid by the registrant to its principal accountants during the fiscal year in which the
non-audit services are provided, and (iii) such services are promptly brought to the attention of the audit committee by management and the audit committee approves them prior to the completion of the audit.
The audit committee shall pre-approve all non-audit services to be provided by the principal accountants to the investment adviser or any
entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant if the engagement relates directly to the operations or financial reporting of the registrant, including the fees and other
compensation to be paid to the principal accountants; provided that pre-approval of non-audit services to the adviser or an affiliate of the adviser is not required if (i) the services were not recognized by management at the time of the
engagement as non-audit services, (ii) the aggregate fees for all non-audit services provided to the adviser and all entities controlling, controlled by or under common control with the adviser are less than 5% of the total fees for non-audit
services requiring pre-approval under paragraph (e)(1)of this Item 4 paid by the registrant, the adviser or its affiliates to the registrants principal accountants during the fiscal year in which the non-audit services are provided, and
(iii) such services are promptly brought to the attention of the audit committee by management and the audit committee approves them prior to the completion of the audit.
(e)(2) No percentage of the principal accountants fees or services described in each of paragraphs (b)(d) of this Item were approved pursuant to the waiver provision paragraph (c)(7)(i)(C) of
Rule 2-01 of Regulation S-X.
(f) No disclosures are required by this Item 4(f).
(g) The following table presents the aggregate non-audit fees billed in each of the last two fiscal years
for services rendered by the principal accountant to the registrant and the aggregate non-audit fees billed in each of the last two fiscal years for services rendered by the principal accountant to the investment adviser or any entity controlling,
controlled by or under common control of the adviser.
|
|
|
|
|
|
|
|
|
Fiscal Years Ended
|
|
10/31/2011
|
|
|
10/31/2012
|
|
Registrant
|
|
$
|
|
|
|
$
|
|
|
Investment Adviser
|
|
$
|
|
|
|
$
|
|
|
(h) No disclosures are required by this Item 4(h).
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately-designated
standing audit committee. The members of the registrants audit committee are Weston W. Marsh, John E. Neal, William R. Rybak, Stephen B. Timbers, and David D. Tripple.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in the Report to Shareholders in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
The registrant has delegated authority to vote all proxies relating to the Funds portfolio securities to the Funds investment advisor, Calamos
Advisors LLC (Calamos Advisors). The Calamos Advisors Proxy Voting Policies and Procedures are included as an Exhibit hereto.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a)(1) As of the date of this filing, the registrant is lead by a team of investment professionals. The Co-Chief Investment Officers and senior strategy analysts are responsible for the day-to-day
management of the registrants portfolio:
During the past five years, John P. Calamos, Sr. has been President and Trustee of the Fund
and chairman, CEO and Global Co-CIO of the Funds investment adviser, Calamos Advisors LLC and its predecessor company (Calamos Advisors), and Gary Black became the Executive Vice President, Global Co-CIO and CIO of Alternative
Strategies of Calamos Advisors as of August 31, 2012. John P. Calamos, Jr., Executive Vice President of Calamos Advisors, joined the firm in 1985 and has held various senior investment positions since that time. Jeff Scudieri joined Calamos Advisors
in 1997 and has been a Senior Vice President and Co-Head of Research and Investments since July 2010, prior thereto he was a senior strategy analyst since September 2002. Jon Vacko joined Calamos Advisors in 2000 and has been a Senior Vice President
and Co-Head of Research and Investments since July 2010, prior thereto he was a senior strategy analyst since July 2002. John Hillenbrand joined Calamos Advisors in 2002 and has been a senior strategy analyst since August 2002. Steve Klouda joined
Calamos Advisors in 1994 and has been a senior strategy analyst since July 2002. Christopher Hartman joined Calamos Advisors in February 1997 and has been a senior strategy analyst since May 2007. Joe Wysocki joined Calamos Advisors in October 2003
and has been a senior strategy analyst since February 2007.
(a)(2) The portfolio managers also have responsibility for the day-to-day
management of accounts other than the registrant. Information regarding these other accounts is set forth below.
NUMBER OF OTHER ACCOUNTS MANAGED AND ASSETS BY ACCOUNT TYPE AS OF OCTOBER 31, 2012
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|
|
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|
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Registered
Investment
Companies
|
|
|
Other Pooled
Investment
Vehicles
|
|
|
Other
Accounts
|
|
|
|
Accounts
|
|
Assets
|
|
|
Accounts
|
|
Assets
|
|
|
Accounts
|
|
|
Assets
|
|
John P. Calamos Sr.
|
|
23
|
|
|
24,394,602,270
|
|
|
11
|
|
|
2,012,531,959
|
|
|
|
2,573
|
|
|
|
4,951,107,661
|
|
Gary D. Black
|
|
23
|
|
|
24,394,602,270
|
|
|
12
|
|
|
2,037,431,753
|
|
|
|
2,573
|
|
|
|
4,951,107,661
|
|
John P. Calamos, Jr.
|
|
22
|
|
|
24,340,894,417
|
|
|
11
|
|
|
2,012,531,959
|
|
|
|
2,573
|
|
|
|
4,951,107,661
|
|
Jeff Scudieri
|
|
21
|
|
|
24,306,116,307
|
|
|
11
|
|
|
2,012,531,959
|
|
|
|
2,573
|
|
|
|
4,951,107,661
|
|
Jon Vacko
|
|
21
|
|
|
24,306,116,307
|
|
|
11
|
|
|
2,012,531,959
|
|
|
|
2,573
|
|
|
|
4,951,107,661
|
|
John Hillenbrand
|
|
21
|
|
|
24,306,116,307
|
|
|
11
|
|
|
2,012,531,959
|
|
|
|
2,573
|
|
|
|
4,951,107,661
|
|
Steve Klouda
|
|
21
|
|
|
24,306,116,307
|
|
|
11
|
|
|
2,012,531,959
|
|
|
|
2,573
|
|
|
|
4,951,107,661
|
|
Christopher Hartman
|
|
21
|
|
|
24,306,116,307
|
|
|
11
|
|
|
2,012,531,959
|
|
|
|
2,573
|
|
|
|
4,951,107,661
|
|
Joe Wysocki
|
|
21
|
|
|
24,306,116,307
|
|
|
11
|
|
|
2,012,531,959
|
|
|
|
2,573
|
|
|
|
4,951,107,661
|
|
Jeff Miller
|
|
1
|
|
|
53,707,853
|
|
|
0
|
|
|
|
|
|
|
3
|
|
|
|
1,578,223
|
|
Ariel Fromer
|
|
1
|
|
|
53,707,853
|
|
|
0
|
|
|
|
|
|
|
3
|
|
|
|
1,578,223
|
|
Tammy Miller
|
|
1
|
|
|
53,707,853
|
|
|
0
|
|
|
|
|
|
|
3
|
|
|
|
1,578,223
|
|
Number of Accounts and Assets for which Advisory Fee is Performance Based as of: October 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Registered
Investment
Companies
|
|
|
Other Pooled
Investment
Vehicles
|
|
|
Other
Accounts
|
|
|
|
Accounts
|
|
Assets
|
|
|
Accounts
|
|
Assets
|
|
|
Accounts
|
|
Assets
|
|
John P. Calamos Sr.
|
|
3
|
|
|
1,360,974,510
|
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
Gary D. Black
|
|
3
|
|
|
1,360,974,510
|
|
|
1
|
|
|
24,899,794
|
|
|
0
|
|
|
|
|
John P. Calamos, Jr.
|
|
3
|
|
|
1,360,974,510
|
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
Jeff Scudieri
|
|
3
|
|
|
1,360,974,510
|
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
Jon Vacko
|
|
3
|
|
|
1,360,974,510
|
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
John Hillenbrand
|
|
3
|
|
|
1,360,974,510
|
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
Steve Klouda
|
|
3
|
|
|
1,360,974,510
|
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
Christopher Hartman
|
|
3
|
|
|
1,360,974,510
|
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
Joe Wysocki
|
|
3
|
|
|
1,360,974,510
|
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
Jeff Miller
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
Ariel Fromer
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
Tammy Miller
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
|
0
|
|
|
|
|
Other than potential conflicts between investment strategies, the side-by-side management of both the Fund
and other accounts may raise potential conflicts of interest due to the interest held by Calamos Advisors in an account and certain trading practices used by the portfolio managers (e.g., cross trades between a Fund and another account and
allocation of aggregated trades). Calamos Advisors has developed policies and procedures reasonably designed to mitigate those conflicts. For example, Calamos Advisors will only place cross-trades in securities held by the Fund in accordance with
the rules promulgated under the 1940 Act and has adopted policies designed to ensure the fair allocation of securities purchased on an aggregated basis.
The portfolio managers advise certain accounts under a performance fee arrangement. A performance fee arrangement may create an incentive for a portfolio manager to make investments that are riskier or
more speculative than would be the case in the absence of performance fees. A performance fee arrangement may result in increased compensation to the portfolio managers from such accounts due to unrealized appreciation as well as realized gains in
the clients account.
(a)(3) Calamos Advisors has developed and implemented a number of incentives that reward the professional staff to
ensure that key employees are retained. Calamos Advisors senior management has established salary, short and long term incentive programs and benefit programs that we believe are competitive. Calamos Advisors incentive programs are based
on investment performance, professional performance and an individuals overall contribution. These goals and measures are established and reviewed on an annual basis during performance reviews. As of October 31, 2012, each portfolio
manager receives compensation in the form of an annual base salary and a discretionary target bonus, each payable in cash. Their discretionary target bonus is set at a percentage of the respective base salary. The amounts paid to the portfolio
managers and the criteria utilized to determine the amounts are benchmarked against industry specific data provided by a third party analytical agency. The compensation structure does not differentiate between the Funds and other accounts managed by
the portfolio managers, and is determined on an overall basis, taking into consideration the performance of the various strategies managed by the portfolio managers. Portfolio performance, as measured by risk-adjusted portfolio performance, is
utilized to determine the discretionary target bonus, as well as overall performance of Calamos Advisors. Portfolio managers are eligible to receive annual non-equity awards under a long term incentive compensation program, set at a percentage of
the respective base salary.
(a)(4) As of October 31, 2012, the end of the registrants most recently completed fiscal year, the
dollar range of securities beneficially owned by each portfolio manager in the registrant is shown below:
|
|
|
Portfolio Manager
|
|
Registrant
|
|
|
John P. Calamos Sr.
|
|
$100,001-$500,000
|
|
|
Gary Black
|
|
None
|
|
|
John P. Calamos, Jr.
|
|
None
|
|
|
Dino Dussias
|
|
None
|
|
|
Christopher Hartman
|
|
None
|
|
|
John Hillenbrand
|
|
None
|
|
|
Steve Klouda
|
|
None
|
|
|
Bryan Lloyd
|
|
None
|
|
|
Jeff Scudieri
|
|
None
|
|
|
Jon Vacko
|
|
$1-$10,000
|
|
|
Joe Wysocki
|
|
None
|
ITEM 9. PURCHASES OF
EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
No material changes.
ITEM 11. CONTROLS AND PROCEDURES.
a) The registrants principal executive officer and principal financial officer have evaluated the registrants disclosure controls and
procedures within 90 days of this filing and have concluded that the registrants disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was
recorded, processed, summarized, and timely reported.
b) There were no changes in the registrants internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the
registrants internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) Certification of Principal Financial Officer.
(a)(2)(iii) Proxy Voting Policies and Procedures.
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:
|
|
December 21, 2012
|
|
|
|
By:
|
|
/s/ Nimish S. Bhatt
|
|
|
|
Name:
|
|
Nimish S. Bhatt
|
Title:
|
|
Principal Financial Officer
|
Date:
|
|
December 21, 2012
|
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.
|
|
|
By:
|
|
/s/ John P. Calamos, Sr.
|
|
|
|
Name:
|
|
John P. Calamos, Sr.
|
Title:
|
|
Principal Executive Officer
|
Date:
|
|
December 21, 2012
|
|
|
|
By:
|
|
/s/ Nimish S. Bhatt
|
|
|
|
Name:
|
|
Nimish S. Bhatt
|
Title:
|
|
Principal Financial Officer
|
Date:
|
|
December 21, 2012
|
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