N-CSRS 1 chi-ncsrs_043019.htm SEMI-ANNUAL SHAREHOLDER REPORT chi-ncsrs_043018
 

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

 

     
   
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:   Calamos Convertible Opportunities and Income Fund
   
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:  

2020 Calamos Court 

Naperville, Illinois 60563-2787

   
NAME AND ADDRESS OF AGENT FOR SERVICE:  

John P. Calamos, Sr., Founder, Chairman and
Global Chief Investment Officer
Calamos Advisors LLC
2020 Calamos Court
Naperville, Illinois 60563-2787

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200

DATE OF FISCAL YEAR END: October 31, 2019

DATE OF REPORTING PERIOD: November 1, 2018 through April 30, 2019

 

​

 

ITEM 1. REPORT TO SHAREHOLDERS

TIMELY INFORMATION INSIDE

Convertible Opportunities and Income Fund (CHI)

SEMIANNUAL REPORT APRIL 30, 2019

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communications, including fund prospectuses,
annual reports and other shareholder materials
online long before the printed publications
arrive by traditional mail.

Beginning on March 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by calling 800.582.6959. If you own these shares through a financial intermediary, you may contact your financial intermediary.

You may elect to receive all future reports in paper free of charge. You can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 800.582.6959. If you own these shares through a financial intermediary, you may contact your financial intermediary or follow instructions included with this disclosure to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held with the fund complex or your financial intermediary.

​

Experience and Foresight

Our Managed Distribution Policy

Closed-end fund investors often seek a steady stream of income. Recognizing this important need, Calamos closed-end funds adhere to a managed distribution policy in which we aim to provide consistent monthly distributions through the disbursement of the following:

•Net investment income

•Net realized short-term capital gains

•Net realized long-term capital gains

•And, if necessary, return of capital

We set distributions at levels that we believe are sustainable for the long term. The Fund’s current monthly distribution rate is $0.0800 per share. Our team focuses on delivering an attractive monthly distribution, while maintaining a long-term emphasis on risk management. The level of the Fund’s distribution can be greatly influenced by market conditions, including the interest rate environment, the individual performance of securities held by the funds, our view of retaining leverage, fund tax considerations, and regulatory requirements.

You should not draw any conclusions about the Fund’s investment performance from the amount of its distribution or from the terms of the Fund’s plan. The Fund’s Board of Trustees may amend or terminate the managed distribution policy at any time without prior notice to the Fund’s shareholders. However, at this time there are no reasonably foreseeable circumstances that might cause the termination of the Fund’s managed distribution policy.

For more information about any Calamos closed-end 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 www.calamos.com.

Note: The Fund adopted a managed distribution policy on January 1, 2018.

​

Letter to Shareholders

John P. calamos, sr.

Founder, Chairman
and Global Chief
Investment Officer

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   1

Dear Fellow Shareholder:

Welcome to your semiannual report for the six-month period ended April 30, 2019. In this report, you will find commentary from the Calamos portfolio management teams, as well as a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and positioning of the Calamos Fund.

Distribution

During the period, the Fund provided a monthly distribution of $0.0800 per share. We believe the Fund’s current annualized distribution rate, which was 9.00%* on a market price basis as of April 30, 2019, was very competitive, given the low interest rates in many segments of the bond market. In our view, the Fund’s distributions illustrate 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 managed 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 Fund’s distribution rate, the investment management team and the Fund’s Board of Trustees consider the interest rate, market and economic environment. We also factor in our assessment of individual securities and asset classes.

Market Review

During the semiannual period, broad stock market barometers posted strong results, both in the U.S. and globally.1 Convertible securities rose briskly,2 and high yield corporate and investment-grade bond markets advanced at a more measured but still healthy pace.3

*Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annualized percentage of the Fund’s current market price per share. The Fund’s 4/30/19 distribution was $0.0800 per share. Based on our current estimates, we anticipate that approximately $0.0329 is paid from ordinary income or capital gains and that approximately $0.0471 represents a return of capital. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s managed distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term and long-term capital gains and return of capital. When the net investment income and net realized short-term and long-term capital gains are not sufficient, a portion of the distribution will be a return of capital. The distribution rate may vary.

​

Letter to Shareholders

2   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

However, the six-month period was extremely volatile, with Federal Reserve policy, trade disputes, and growth concerns driving sharp swings in investor sentiment. During the final months of 2018, markets sold off steeply. Investors worried the Federal Reserve would derail the U.S. economic recovery and hinder global growth by raising short-term rates too quickly. Trade uncertainty and global economic data further unsettled market participants.

The tide of negative sentiment quickly turned in late December as comments from the Federal Reserve alleviated concerns about additional tightening. U.S. economic data continued to be healthy and financial conditions improved. The global growth outlook brightened, helped by a contained U.S. dollar, optimism about an eventual resolution to global trade disputes, and data supporting the view that China’s economy could achieve a soft landing. Against this backdrop, stocks, convertible securities and high yield bonds rallied dramatically through the end of the reporting period.

Outlook

We believe there is still real fundamental strength in the U.S. economy, as fiscal policy provides a wind in the sails for businesses. Unemployment is low, inflation is contained and corporate earnings are healthy. Consumers can continue to fuel growth, as they benefit from wage growth, manageable debt levels and employment gains. The Federal Reserve has affirmed its commitment to maintaining a patient approach to short-term interest rates.

Outside the U.S., economic data looks more encouraging than it did at the start of 2019. We may well see a pickup in the second half of the year, with accommodative global monetary policy, a contained dollar and U.S. growth providing tailwinds. Of course, the path of U.S.-China trade policy will influence what we see next, but a resolution is not out of reach.

Ongoing economic growth sets the stage for additional upside in stocks, convertible securities and high yield bonds. Yet, despite the favorable economic backdrop, we believe investors should be prepared for persistent volatility and episodic selloffs, such as the downturn that occurred in May of 2019 in the stock and high yield markets. A variety of political and geopolitical uncertainties—including tensions in the Middle East, election unknowns, and trade—are likely to stoke turbulence.

​

Letter to Shareholders

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   3

Asset allocation for long-term goals

Elevated volatility can be an unwelcomed prospect for investors. However, the flipside of volatility is opportunity. I have invested through many periods of market turmoil: the 1973–1974 crash, Black Monday in 1987, and the collapse of the dot.com bubble, to name just a few. In all of these markets, there were opportunities—to sell into strength or to pick up an attractive position at a lower price. Our investment teams are following just such an approach, drawing on Calamos Investments’ decades of proprietary research and risk-management strategies.

As I’ve discussed in past letters to shareholders, repositioning your portfolio quickly in response to short-term market changes can be a dangerous strategy. Far too often, investors catch the downside in the market, only to be on the sidelines when markets rally. Instead, I encourage you to work with your financial advisor to ensure that your investment portfolio reflects your risk tolerance and investment goals. With the right funds at the core of an allocation, it may be easier to stay invested through short-term volatility.

Conclusion

Thank you for your continued trust in Calamos Investments. We look forward to helping you pursue your financial objectives in the years to come.

Sincerely,

John P. Calamos, Sr.

Founder, Chairman and Global Chief Investment Officer

​

Letter to Shareholders

4   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

Before investing, carefully consider a fund’s investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information or call 800.582.6959. Please read the prospectus carefully. Performance data represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. Opinions are as of the publication date, subject to change and may not come to pass. Information is for informational purposes only and shouldn’t be considered investment advice.

Diversification and asset allocation do not guarantee a profit or protection against a loss.

1 The MSCI All Country World Index is a measure of global stock market performance, which returned 9.67% for the six-month period ending April 30, 2019. The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. For the six-month period ending April 30, 2019, the index returned 9.76%.

2The ICE BofAML All U.S. Convertibles Ex Mandatory Index represents the U.S. convertible securities market excluding mandatory convertibles. The index returned 9.44% for the six-month period ending April 30, 2019. The Thomson Reuters Global Convertible Bond Index is designed to broadly represent the global convertible bond market. The index returned 7.58% for the six-month period ending April 30, 2019.

3The Bloomberg Barclays U.S. Aggregate Bond Index is considered generally representative of the investment-grade bond market. For the six-month period ending April 30, 2019, the index returned 5.49%. The Bloomberg Barclays U.S. High Yield 2% Issuer Capped Index measures the performance of high yield corporate bonds with a maximum allocation of 2% to any one issuer. The index returned 5.54% for the six-month period ending April 30, 2019. The Bloomberg Barclays U.S. Government/Credit 1-3 Year Index includes all medium and larger issues of U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds that have maturities of between 1 and 3 years and are publicly issued. The index returned 2.52% for the six-month period ending April 30, 2019.

Duration is a measure of interest rate risk, with higher duration indicative of increased sensitivity to changes in interest rates.

Source: Lipper, Inc and Mellon Analytical Solutions, LLC. Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Investments in overseas markets pose special risks, including currency fluctuation and political risks. These risks are generally intensified for investments in emerging markets. Countries, regions, and sectors mentioned are presented to illustrate countries, regions, and sectors in which a fund may invest. Fund holdings are subject to change daily. The Funds are actively managed. The information contained herein is based on internal research derived from various sources and does not purport to be statements of all material facts relating to the securities mentioned. The information contained herein, while not guaranteed as to accuracy or completeness, has been obtained from sources we believe to be reliable. There are certain risks involved with investing in convertible securities in addition to market risk, such as call risk, dividend risk, liquidity risk and default risk, which should be carefully considered prior to investing.

​

The Calamos Closed-End Funds: An Overview

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   5

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 seeking to manage 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 that seek to produce income while offering exposure to various asset classes and sectors.

Portfolios Positioned to Pursue High Current Income from Income and Capital Gains

​

​

Portfolios Positioned to Seek Current Income, with Increased Emphasis on Capital Gains Potential

OBJECTIVE: U.S. ENHANCED FIXED INCOME

Calamos Convertible Opportunities and Income Fund

(Ticker: CHI)

Invests in high yield and convertible securities, primarily in U.S. markets

Calamos Convertible and High Income Fund

(Ticker: CHY)

Invests in high yield and convertible securities, primarily in U.S. markets

OBJECTIVE: GLOBAL ENHANCED FIXED INCOME

Calamos Global Dynamic Income Fund

(Ticker: CHW)

Invests in global fixed income securities, alternative investments and equities

​

​

OBJECTIVE: GLOBAL TOTAL RETURN

Calamos Global Total Return Fund

(Ticker: CGO)

Invests in equities and higher-yielding convertible securities and corporate bonds, in both U.S. and non-U.S. markets

OBJECTIVE: U.S. TOTAL RETURN

Calamos Strategic Total Return Fund

(Ticker: CSQ)

Invests in equities and higher-yielding convertible securities and corporate bonds, primarily in U.S. markets

Calamos Dynamic Convertible and Income Fund

(Ticker: CCD)

Invests in convertibles and other fixed income securities

​

Investment Team Discussion

6   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

TOTAL RETURN* AS OF 4/30/19

Common Shares – Inception 6/26/02

 

6 Months*

1 Year

Since
Inception

On Market Price

13.06%

3.81%

8.88%

On NAV

9.42%

9.93%

9.32%

*Not annualized.

SECTOR WEIGHTINGS

Information Technology

24.3%

Health Care

16.7

Consumer Discretionary

11.6

Financials

9.5

Energy

8.5

Communication Services

8.3

Industrials

7.2

Utilities

4.1

Materials

2.5

Consumer Staples

2.1

Real Estate

1.7

Airlines

0.1

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

Please discuss the Fund’s strategy and role within an asset allocation.

Calamos Convertible Opportunities and Income Fund (CHI) is an enhanced fixed income offering that seeks 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 Calamos closed-end funds, the Fund aims to provide a steady stream of distributions paid out monthly and invests in multiple asset classes.

The Fund invests 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 and the potential of individual securities. By combining these asset classes, we believe that the Fund is well positioned to generate capital gains and income. We also think the broader range of security types provides increased opportunities to manage the risk/reward characteristics of the portfolio over full market cycles. During the six-month period ended April 30, 2019, the Fund maintained a high proportional exposure to convertible assets. We believe such exposure, which constituted over half the portfolio, positions us well to participate in the equity markets in a risk-managed manner in 2019.

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 companies with geographically diversified revenue streams and global-scale business strategies.

How did the Fund perform over the reporting period?

The Fund returned 9.42% on a net asset value (NAV) basis and 13.06% on a market price basis for the six-month period ending April 30, 2019, versus 5.55% for the ICE BofAML U.S. High Yield Master II Index for the same period and 9.29% for the ICE BofAML All U.S. Convertibles Index.

At the end of the reporting period, the Fund’s shares traded at a -2.11% discount to net asset value.

How do NAV and market price return differ?

Closed-end funds trade on exchanges, where the price of shares may be influenced by factors other than the value of the underlying securities. The price of a share in the market is called market value. Market price can be influenced by factors unrelated to the performance of the fund’s holdings, such as general market sentiment or future expectations. A fund’s NAV return measures the actual 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 should be utilized long term within asset allocations, we think that NAV return is the better measure of a fund’s performance. However, when managing the fund, we strongly consider actions and policies that we believe will optimize its overall price performance and returns based on market value.

​

Investment Team Discussion

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   7

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 4/30/19

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost. Returns at NAV reflect the deduction of the Fund’s management fee, debt leverage costs and all other applicable fees and expenses. You can obtain performance data current to the most recent month end by visiting www.calamos.com.

Please discuss the Fund’s distributions during the last six-month period.

Within this Fund, we employ a managed distribution policy with the goal of providing shareholders a consistent distribution stream. For the last six months, the Fund distributed $0.0800 per share, resulting in a current annualized distribution rate of 9.00% of market price as of April 30, 2019.

We believe that both the Fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of the marketplace. For example, as of April 30, 2019 the dividend yield of S&P 500 Index stocks averaged approximately 1.92%. Yields also were low within the U.S. government bond market, with the 10-year U.S. Treasury and 30-year U.S. Treasury yielding 2.51% and 2.93%, respectively.

What factors influenced performance over the reporting period?

Improvements in the convertible bond markets contributed to the Fund’s strong performance over the period. Convertible bond Issuance was strong during the period, which presented us with a broad selection of investment opportunities. Price performance was enhanced by good valuations in the stock relative to the NAV earlier in the period, which served as an enticement to many investors.

From an economic sector perspective, our selection and overweight in information technology (application software) contributed to performance. In addition, the Fund was helped by its real estate (health care REITs) selection.

Our selection in consumer discretionary (namely automobile manufacturers) was detrimental to performance. In addition, our selection and overweight in health care (namely an overweight in pharmaceuticals) lagged relative to the index.

ASSET ALLOCATION AS OF 4/30/19

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Investment Team Discussion

8   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

How is the Fund positioned?

We continue to hold our highest allocation in the BB credit tier, as we believe this exposure offers investors a better risk/reward dynamic while continuing to provide regular income. From an economic sector perspective, our heaviest exposures are in the information technology, health care and communication services sectors. We believe that these sectors should outperform given where we are in the economic cycle and based on current demographic trends. We continue to maintain significant positions in convertible securities, which we believe can provide income, benefit from a rising equity market, and manage overall portfolio risk. As of April 30, 2019, approximately 57% our portfolio was invested in convertible securities. Long term, we believe patient investors will be rewarded for an allocation to convertibles and high yield at current levels, especially given the expectation for continued bouts of volatility in 2019.

The average credit quality of the portfolio is higher than that of the BofAML All U.S. Convertibles Index. This is typical for the Fund, as our credit process tends to guide us away from the most speculative corporate securities. That said, we do selectively invest in lower-credit securities when we believe the risk/reward dynamics are favorable for our investors.

Despite outsized returns in the equity alternative portion of the market during the latter half of the period, we believe balanced convertibles offer the most attractive investment opportunity, given their combination of upside potential and downside protection. We have been using the recent market volatility to actively rebalance the portfolio with a combination of both cyclical and secular opportunities, primarily in technology, health care and select consumer sectors. We have facilitated our active rebalancing by trimming positions that had become much more equity sensitive during the market rise. We subsequently redeployed proceeds to purchase convertibles that we expect will provide stronger risk/reward characteristics.

Moreover, 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, we believe that companies in the portfolio are performing very well fundamentally, earning attractive cash flow margins and improving their credit profiles, while utilizing reasonable debt levels to fund their operations.

Given our relatively low cost of borrowing, we believe that this is an environment that is conducive to the prudent use of leverage as a means of enhancing total return and supporting the Fund’s distribution rate.

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Investment Team Discussion

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   9

What are your closing thoughts for Fund shareholders?

Given our outlook for a continued period of moderate economic growth, we favor quality growth companies. Favorable factors within the U.S. include solid job creation, relatively low interest rates, less corporate regulations, increased consumer and business confidence, and limited inflationary pressures. We are emphasizing investments in companies with solid cash flow generation, stronger balance sheets and opportunities to benefit from U.S. and global economic expansion. From a thematic and sector perspective, we see opportunities in the technology and communication services sector, tied to global consumption, and companies positioned to benefit from improving fundamentals and the health of U.S. consumers. We are also optimistic about financials, as we believe those companies are favorably valued and positioned to grow revenues in a lower regulatory environment that is supported by a strong U.S. consumer. We are cautious about companies in the consumer staples and utilities sector. We believe they may be fully valued as investors seek these stocks for income rather than growth. Although we are optimistic on the sector based on our weighting, we are selective regarding companies in the health care sector, favoring diversified companies that are more growth oriented versus companies that may be more vulnerable to pricing pressures.

We believe that fiscal policy is likely to remain an important factor regarding equity valuations. In addition, geopolitical concerns will likely remain as an ongoing consideration. In our view, equities continue to offer compelling risk/reward characteristics, as we seek companies with attractively valued fundamentals in light of recent market volatility.

We believe that investing in convertibles provides a means to participate in a portion of the equity market upside and to procure a measured degree of downside protection. We expect markets to have bouts of volatility, which we see as a positive for convertibles. In this respect, we believe returns are best viewed over a full-market cycle. We are focused on the more balanced convertibles, which we believe can be beneficial in a volatile market as they are more likely to limit losses in down markets and participate in up markets. We are also encouraged by the issuance of convertibles, which should provide broad investment opportunities through the space. Our dynamic allocation mandate allows us to deploy assets over different asset classes to benefit our shareholders. Accordingly, we believe that active management in the convertible and high yield asset classes is essential to achieving desirable risk-managed results over time.

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Schedule of Investments April 30, 2019 (Unaudited)

10   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

 

VALUE

Corporate Bonds (46.9%)  

Airlines (0.1%) 

506,659

​

UAL Pass Through Trust Series 2007-1µ
6.636%, 01/02/24

$534,554​

 

​

​

​

​

Communication Services (6.4%) 

956,000

​

Altice Financing, SA*
7.500%, 05/15/26

​

969,059

2,224,000

​

Altice France, SA*
7.375%, 05/01/26

​

2,259,984

 

​

Altice Luxembourg, SA*

​

​

459,000

​

7.750%, 05/15/22^

​

467,882

383,000

​

7.625%, 02/15/25

​

359,419

478,000

​

Arrow Bidco, LLC*
9.500%, 03/15/24

​

474,353

1,243,000

​

Belo Corp.
7.250%, 09/15/27

​

1,340,656

 

​

Cincinnati Bell, Inc.*^

​

​

1,282,000

​

8.000%, 10/15/25

​

1,184,260

402,000

​

7.000%, 07/15/24

​

371,575

225,000

​

CommScope, Inc.*^
8.250%, 03/01/27

​

243,914

722,000

​

Consolidated Communications, Inc.^
6.500%, 10/01/22

​

686,034

 

​

CSC Holdings, LLC*

​

​

3,347,000

​

5.500%, 04/15/27^

​

3,454,707

1,456,000

​

5.500%, 05/15/26

​

1,499,440

1,052,000

​

7.500%, 04/01/28^

​

1,149,357

5,558,000

​

Embarq Corp.^
7.995%, 06/01/36

​

5,488,525

478,000

​

Entercom Media Corp.*
6.500%, 05/01/27

​

488,126

 

​

Frontier Communications Corp.

​

​

2,989,000

​

11.000%, 09/15/25^

​

1,939,129

2,273,000

​

7.625%, 04/15/24

​

1,258,560

952,000

​

8.500%, 04/01/26*

​

899,307

478,000

​

8.000%, 04/01/27*

​

495,657

 

​

Gray Television, Inc.*

​

​

655,000

​

5.875%, 07/15/26^

​

675,652

512,000

​

7.000%, 05/15/27

​

554,255

 

​

Hughes Satellite Systems Corp.^

​

​

837,000

​

6.625%, 08/01/26

​

848,161

258,000

​

5.250%, 08/01/26

​

259,752

 

​

Inmarsat Finance, PLCµ*

​

​

1,315,000

​

4.875%, 05/15/22

​

1,329,807

861,000

​

6.500%, 10/01/24^

​

907,412

 

​

Intelsat Jackson Holdings, SA

​

​

1,655,000

​

9.750%, 07/15/25*

​

1,708,051

966,000

​

5.500%, 08/01/23^

​

874,834

942,000

​

8.000%, 02/15/24*^

​

983,867

454,000

​

MDC Partners, Inc.*^
6.500%, 05/01/24

​

385,644

1,195,000

​

Nexstar Broadcasting, Inc.*
5.625%, 08/01/24

​

1,214,455

PRINCIPAL
AMOUNT

 

 

VALUE

1,195,000

​

Qwest Corp.µ
6.875%, 09/15/33

$

1,196,440

488,000

​

SBA Communications Corp.
4.000%, 10/01/22

​

492,268

 

​

Sprint Corp.

​

​

4,103,000

​

7.875%, 09/15/23^

​

4,280,557

2,324,000

​

7.125%, 06/15/24

​

2,335,620

1,243,000

​

7.625%, 03/01/26^

​

1,245,026

1,172,000

​

T-Mobile USA, Inc.^
4.750%, 02/01/28

​

1,184,710

722,000

​

Telecom Italia Capital, SA
6.000%, 09/30/34

​

669,521

1,831,000

​

United States Cellular Corp.
6.700%, 12/15/33

​

1,951,928

478,000

​

Wind Tre, S.p.A.*
5.000%, 01/20/26

​

441,378

 

​

Windstream Services, LLC / Windstream Finance Corp.@

​

​

375,000

​

7.750%, 10/01/21

​

82,170

160,000

​

10.500%, 06/30/24*

​

111,975

478,000

​

Zayo Group, LLC / Zayo Capital, Inc.*
5.750%, 01/15/27

​

485,507

 

​

49,248,934

 

​

​

​

Consumer Discretionary (7.8%) 

698,000

​

Ashton Woods USA, LLC / Ashton Woods Finance Company*
9.875%, 04/01/27

​

726,677

1,286,000

​

Beverages & More, Inc.*
11.500%, 06/15/22

​

950,547

1,133,000

​

Boyd Gaming Corp.
6.000%, 08/15/26

​

1,178,535

1,167,000

​

Caesars Resort Collection, LLC / CRC Finco, Inc.*^
5.250%, 10/15/25

​

1,143,415

 

​

CCO Holdings, LLC / CCO Holdings Capital Corp.

​

​

2,993,000

​

5.125%, 05/01/27*^

​

3,042,594

928,000

​

5.750%, 09/01/23

​

949,980

512,000

​

5.000%, 02/01/28*^

​

511,803

 

​

Century Communities, Inc.

​

​

2,238,000

​

5.875%, 07/15/25

​

2,223,073

1,300,000

​

6.875%, 05/15/22

​

1,329,016

3,252,000

​

Dana Financing Luxembourg Sarl*
6.500%, 06/01/26

​

3,412,437

 

​

DISH DBS Corp.^

​

​

1,100,000

​

7.750%, 07/01/26

​

986,134

746,000

​

5.875%, 11/15/24

​

645,376

2,157,000

​

Eldorado Resorts, Inc.
6.000%, 04/01/25

​

2,232,872

1,124,000

​

ESH Hospitality, Inc.*^
5.250%, 05/01/25

​

1,132,857

1,162,000

​

GLP Capital, LP / GLP Financing II, Inc.
5.250%, 06/01/25

​

1,227,827

​

Schedule of Investments April 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   11

PRINCIPAL
AMOUNT

 

 

VALUE

952,000

​

goeasy, Ltd.µ*
7.875%, 11/01/22

$

1,001,095

1,717,000

​

Guitar Center Escrow Issuer, Inc.*
9.500%, 10/15/21

​

1,673,860

1,187,000

​

Hasbro, Inc.
6.600%, 07/15/28

​

1,407,812

1,205,000

​

International Game Technology, PLC*^
6.250%, 01/15/27

​

1,266,286

 

​

L Brands, Inc.^

​

​

2,711,000

​

6.875%, 11/01/35

​

2,421,099

542,000

​

5.250%, 02/01/28

​

484,410

1,148,000

​

Lennar Corp.
5.250%, 06/01/26

​

1,197,530

1,200,000

​

Liberty Interactive, LLC
8.250%, 02/01/30

​

1,243,104

1,277,000

​

M/I Homes, Inc.^
5.625%, 08/01/25

​

1,259,135

 

​

Mattel, Inc.

​

​

1,095,000

​

6.750%, 12/31/25*^

​

1,098,186

43,000

​

2.350%, 08/15/21

​

41,410

1,105,000

​

Mclaren Finance, PLC*^
5.750%, 08/01/22

​

1,087,762

1,825,000

​

Meritage Homes Corp.
7.000%, 04/01/22

​

1,965,470

2,200,000

​

Penske Automotive Group, Inc.
5.375%, 12/01/24

​

2,235,035

 

​

PetSmart, Inc.*^

​

​

1,023,000

​

5.875%, 06/01/25

​

928,388

249,000

​

8.875%, 06/01/25

​

221,655

 

​

Rite Aid Corp.

​

​

2,568,000

​

7.700%, 02/15/27

​

1,596,269

713,000

​

6.125%, 04/01/23*^

​

607,177

3,266,000

​

Royal Caribbean Cruises, Ltd.^
7.500%, 10/15/27

​

3,958,359

937,000

​

Salem Media Group, Inc.*
6.750%, 06/01/24

​

843,651

1,145,000

​

Sally Holdings, LLC / Sally Capital, Inc.
5.625%, 12/01/25

​

1,142,870

3,347,000

​

Service Corp. International
7.500%, 04/01/27

​

3,857,049

1,162,000

​

Sotheby’s*
4.875%, 12/15/25

​

1,140,875

956,000

​

Staples, Inc.*^
7.500%, 04/15/26

​

957,434

889,000

​

Taylor Morrison Communities Corp.
6.625%, 05/15/22

​

919,430

2,867,000

​

Taylor Morrison Communities Corp. / Taylor Morrison Holdings II, Inc.*
5.250%, 04/15/21

​

2,877,723

428,678

​

US Airways Pass Through Trust Series 2012-2, Class B
6.750%, 12/03/22

​

450,515

PRINCIPAL
AMOUNT

 

 

VALUE

956,000

​

VOC Escrow, Ltd.*
5.000%, 02/15/28

$

952,879

 

​

60,529,611

 

​

​

​

Consumer Staples (2.9%) 

 

​

Albertsons Companies, LLC / Safeway, Inc. / New Albertsons, LP / Albertson’s, LLC

​

​

1,176,000

​

5.750%, 03/15/25

​

1,170,596

732,000

​

7.500%, 03/15/26*^

​

778,815

478,000

​

Dean Foods Company*
6.500%, 03/15/23

​

251,997

693,000

​

Energizer Holdings, Inc.*^
6.375%, 07/15/26

​

717,044

1,133,000

​

Fresh Market, Inc.*
9.750%, 05/01/23

​

870,422

 

​

JBS USA LUX, SA / JBS USA Finance, Inc.*

​

​

7,458,000

​

7.250%, 06/01/21

​

7,489,435

1,674,000

​

6.750%, 02/15/28

​

1,770,414

239,000

​

5.875%, 07/15/24

​

245,540

1,884,000

​

JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.*
6.500%, 04/15/29

​

1,992,321

 

​

New Albertson’s, Inc.

​

​

947,000

​

7.450%, 08/01/29^

​

888,101

779,000

​

7.750%, 06/15/26

​

742,823

555,000

​

8.000%, 05/01/31^

​

526,301

 

​

Pilgrim’s Pride Corp.*

​

​

1,387,000

​

5.875%, 09/30/27^

​

1,436,065

483,000

​

5.750%, 03/15/25

​

494,896

 

​

Post Holdings, Inc.*

​

​

1,195,000

​

5.750%, 03/01/27

​

1,228,418

239,000

​

5.625%, 01/15/28^

​

242,131

 

​

Simmons Foods, Inc.*

​

​

952,000

​

7.750%, 01/15/24

​

1,018,026

550,000

​

5.750%, 11/01/24^

​

506,127

 

​

22,369,472

 

​

​

​

Energy (6.8%) 

689,000

​

Apergy Corp.^
6.375%, 05/01/26

​

713,552

344,000

​

Berry Petroleum Company, LLC*
7.000%, 02/15/26

​

338,840

1,961,000

​

Blue Racer Midstream, LLC / Blue Racer Finance Corp.*
6.125%, 11/15/22

​

1,991,543

1,234,000

​

Brazos Valley Longhorn, LLC / Brazos Valley Longhorn Finance Corp.
6.875%, 02/01/25

​

1,241,762

706,000

​

Bruin E&P Partners, LLC*
8.875%, 08/01/23

​

671,046

1,195,000

​

Buckeye Partners, LPµ‡
6.375%, 01/22/78
3 mo. USD LIBOR + 4.02%

​

1,104,807

​

Schedule of Investments April 30, 2019 (Unaudited)

12   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

 

VALUE

1,913,000

​

Calfrac Holdings, LP*^
8.500%, 06/15/26

$

1,610,775

1,023,000

​

California Resources Corp.*^
8.000%, 12/15/22

​

782,605

1,499,000

​

Carrizo Oil & Gas, Inc.^
6.250%, 04/15/23

​

1,460,663

1,148,000

​

Chaparral Energy, Inc.*^
8.750%, 07/15/23

​

850,806

956,000

​

Cheniere Energy Partners, LP*^
5.625%, 10/01/26

​

988,834

 

​

Chesapeake Energy Corp.^

​

​

1,191,000

​

8.000%, 01/15/25

​

1,206,864

918,000

​

7.000%, 10/01/24

​

909,775

502,000

​

Comstock Resources, Inc.*
9.750%, 08/15/26

​

459,742

1,425,000

​

DCP Midstream Operating, LP*^‡
5.850%, 05/21/43
3 mo. USD LIBOR + 3.85%

​

1,330,323

478,000

​

DCP Midstream, LP‡
7.375%, 12/15/22
3 mo. USD LIBOR + 5.15%

​

472,704

 

​

Denbury Resources, Inc.

​

​

995,000

​

5.500%, 05/01/22

​

772,727

976,000

​

7.500%, 02/15/24*^

​

904,288

679,000

​

9.250%, 03/31/22*^

​

690,865

516,000

​

Diamond Offshore Drilling, Inc.
7.875%, 08/15/25

​

502,556

 

​

Energy Transfer Operating, LP

​

​

2,420,000

​

5.597%, 11/01/66µ‡
3 mo. USD LIBOR + 3.02%

​

2,008,467

1,817,000

​

5.875%, 01/15/24

​

1,985,000

301,000

​

5.500%, 06/01/27

​

327,029

 

​

Enterprise Products Operating, LLCµ‡

​

​

1,602,000

​

4.875%, 08/16/77
3 mo. USD LIBOR + 2.99%

​

1,532,850

464,000

​

5.375%, 02/15/78
3 mo. USD LIBOR + 2.57%

​

431,917

 

​

EP Energy, LLC / Everest Acquisition Finance, Inc.*

​

​

861,000

​

9.375%, 05/01/24

​

313,159

717,000

​

7.750%, 05/15/26

​

639,370

 

​

Genesis Energy, LP / Genesis Energy Finance Corp.

​

​

1,195,000

​

6.250%, 05/15/26^

​

1,184,777

1,148,000

​

6.500%, 10/01/25

​

1,154,997

 

​

Gulfport Energy Corp.^

​

​

1,148,000

​

6.375%, 05/15/25

​

1,012,157

689,000

​

6.000%, 10/15/24

​

607,050

942,000

​

Halcon Resources Corp.
6.750%, 02/15/25

​

607,873

1,148,000

​

HighPoint Operating Corp.^
7.000%, 10/15/22

​

1,117,693

1,549,000

​

Lonestar Resources America, Inc.*
11.250%, 01/01/23

​

1,545,561

PRINCIPAL
AMOUNT

 

 

VALUE

1,148,000

​

Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*
6.000%, 08/01/26

$

1,172,263

1,655,000

​

McDermott Technologies Americas, Inc. / McDermott Technology U.S., Inc.*
10.625%, 05/01/24

​

1,504,643

 

​

Moss Creek Resources Holdings, Inc.*

​

​

478,000

​

10.500%, 05/15/27

​

489,063

435,000

​

7.500%, 01/15/26^

​

399,445

717,000

​

Nine Energy Service, Inc.*^
8.750%, 11/01/23

​

742,070

124,650

​

Northern Oil and Gas, Inc.
9.500%, 05/15/23
9.500% PIK rate

​

131,572

818,000

​

Oasis Petroleum, Inc.*^
6.250%, 05/01/26

​

800,176

1,186,000

​

Par Petroleum, LLC / Par Petroleum Finance Corp.*
7.750%, 12/15/25

​

1,158,040

717,000

​

PDC Energy, Inc.^
5.750%, 05/15/26

​

718,663

1,051,500

​

Petroleum Geo-Services, ASA*
7.375%, 12/15/20

​

1,051,232

918,000

​

Plains All American Pipeline, LPµ‡
6.125%, 11/15/22
3 mo. USD LIBOR + 4.11%

​

883,341

478,000

​

QEP Resources, Inc.^
5.625%, 03/01/26

​

448,830

1,621,000

​

SESI, LLC^
7.750%, 09/15/24

​

1,197,789

502,000

​

SM Energy Company^
6.750%, 09/15/26

​

482,884

717,000

​

Targa Resources Partners, LP / Targa Resources Partners Finance Corp.*
6.500%, 07/15/27

​

769,495

239,000

​

TransMontaigne Partners, LP / TLP Finance Corp.
6.125%, 02/15/26

​

231,051

216,800

​

Transocean Pontus, Ltd.*
6.125%, 08/01/25

​

223,555

1,114,000

​

Transocean, Inc.*^
7.500%, 01/15/26

​

1,103,010

1,243,000

​

Vine Oil & Gas, LP / Vine Oil & Gas Finance Corp.*
8.750%, 04/15/23

​

971,995

1,913,000

​

W&T Offshore, Inc.*^
9.750%, 11/01/23

​

1,949,261

2,467,000

​

Weatherford International, Ltd.
8.250%, 06/15/23

​

1,743,565

1,172,000

​

Whiting Petroleum Corp.^
6.625%, 01/15/26

​

1,169,281

 

​

52,814,201

​

Schedule of Investments April 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   13

PRINCIPAL
AMOUNT

 

 

VALUE

 

​

​

​

Financials (6.6%) 

2,324,000

​

Acrisure, LLC / Acrisure Finance, Inc.*
7.000%, 11/15/25

$

2,107,926

2,943,000

​

Ally Financial, Inc.
8.000%, 11/01/31

​

3,778,150

1,195,000

​

Amwins Group, Inc.*
7.750%, 07/01/26

​

1,202,941

 

​

Ardonagh Midco 3, PLC*

​

​

2,118,000

​

8.625%, 07/15/23^

​

1,758,226

478,000

​

8.625%, 07/15/23

​

397,316

2,104,000

​

AssuredPartners, Inc.*
7.000%, 08/15/25

​

1,991,783

550,000

​

Bank of America Corp.^‡
5.875%, 03/15/28
3 mo. USD LIBOR + 2.93%

​

569,085

1,195,000

​

Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLC*
5.750%, 05/15/26

​

1,213,044

1,967,000

​

Brookfield Residential Properties, Inc.*^
6.375%, 05/15/25

​

1,935,892

430,000

​

Charles Schwab Corp.µ‡
5.000%, 12/01/27
3 mo. USD LIBOR + 2.58%

​

418,861

1,195,000

​

Credit Acceptance Corp.*^
6.625%, 03/15/26

​

1,257,875

1,186,000

​

Greystar Real Estate Partners, LLC*
5.750%, 12/01/25

​

1,193,401

1,195,000

​

HUB International, Ltd.*
7.000%, 05/01/26

​

1,206,102

1,745,000

​

ILFC E-Capital Trust II*‡
4.850%, 12/21/65
3 mo. USD LIBOR + 1.80%

​

1,351,860

2,099,000

​

Iron Mountain, Inc.*^
5.250%, 03/15/28

​

2,072,825

 

​

Jefferies Finance, LLC*

​

​

3,003,000

​

7.250%, 08/15/24^

​

2,968,766

2,726,000

​

7.375%, 04/01/20

​

2,733,278

1,114,000

​

Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.*
5.250%, 10/01/25

​

1,111,516

995,000

​

Level 3 Financing, Inc.^
5.375%, 05/01/25

​

1,014,970

1,195,000

​

Lions Gate Capital Holdings, LLC*^
6.375%, 02/01/24

​

1,252,103

1,234,000

​

LPL Holdings, Inc.*
5.750%, 09/15/25

​

1,259,303

1,994,000

​

MetLife, Inc.µ^
6.400%, 12/15/66

​

2,207,049

2,190,000

​

Nationstar Mortgage, LLC / Nationstar Capital Corp.
6.500%, 07/01/21

​

2,194,818

PRINCIPAL
AMOUNT

 

 

VALUE

 

​

Navient Corp.

​

​

1,435,000

​

6.750%, 06/25/25^

$

1,470,452

604,000

​

6.500%, 06/15/22

​

636,909

1,033,000

​

NexBank Capital, Inc.*‡&
6.375%, 09/30/27
3 mo. USD LIBOR + 4.59%

​

1,040,799

1,788,000

​

Oil Insurance, Ltd.*‡
5.574%, 06/30/19
3 mo. USD LIBOR + 2.98%

​

1,740,296

713,000

​

Realogy Group, LLC / Realogy Co-Issuer Corp.*^
4.875%, 06/01/23

​

680,886

1,243,000

​

Simmons First National Corp.‡
5.000%, 04/01/28
3 mo. USD LIBOR + 2.15%

​

1,259,358

 

​

Springleaf Finance Corp.

​

​

1,568,000

​

6.875%, 03/15/25^

​

1,684,040

1,176,000

​

7.125%, 03/15/26

​

1,264,159

1,195,000

​

Starwood Property Trust, Inc.
4.750%, 03/15/25

​

1,200,204

641,000

​

Towne Bank‡
4.500%, 07/30/27
3 mo. USD LIBOR + 2.55%

​

643,827

2,391,000

​

Tronox Finance, PLC*^
5.750%, 10/01/25

​

2,339,247

 

​

51,157,267

 

​

​

​

Health Care (5.7%) 

2,200,000

​

Acadia Healthcare Company, Inc.^
5.625%, 02/15/23

​

2,224,860

 

​

Bausch Health Americas, Inc.*^

​

​

2,611,000

​

8.500%, 01/31/27

​

2,851,695

1,148,000

​

9.250%, 04/01/26

​

1,279,262

 

​

Bausch Health Cos., Inc.*

​

​

2,343,000

​

9.000%, 12/15/25

​

2,596,595

239,000

​

5.750%, 08/15/27^

​

249,710

 

​

CHS/Community Health Systems, Inc.

​

​

3,628,000

​

8.125%, 06/30/24*^

​

2,712,710

717,000

​

6.250%, 03/31/23^

​

699,021

478,000

​

8.000%, 03/15/26*

​

465,656

329,000

​

6.875%, 02/01/22

​

216,090

2,597,000

​

DaVita, Inc.^
5.125%, 07/15/24

​

2,602,272

2,558,000

​

Endo DAC / Endo Finance, LLC / Endo Finco, Inc.*
6.000%, 07/15/23

​

2,088,543

 

​

HCA, Inc.

​

​

6,963,000

​

5.875%, 05/01/23

​

7,478,749

1,124,000

​

7.500%, 11/06/33

​

1,299,209

1,105,000

​

Horizon Pharma USA, Inc.*^
8.750%, 11/01/24

​

1,197,461

2,248,000

​

Magellan Health, Inc.^
4.900%, 09/22/24

​

2,193,700

​

Schedule of Investments April 30, 2019 (Unaudited)

14   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

 

VALUE

1,578,000

​

Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*^
5.625%, 10/15/23

$

1,240,734

708,000

​

Par Pharmaceutical, Inc.*^
7.500%, 04/01/27

​

735,899

493,000

​

Team Health Holdings, Inc.*^
6.375%, 02/01/25

​

420,213

 

​

Tenet Healthcare Corp.

​

​

1,344,000

​

4.625%, 07/15/24^

​

1,349,255

1,219,000

​

6.250%, 02/01/27*

​

1,272,039

478,000

​

6.875%, 11/15/31

​

441,478

1,435,000

​

Teva Pharmaceutical Finance Company, BVµ
2.950%, 12/18/22

​

1,349,345

 

​

Teva Pharmaceutical Finance Netherlands III, BV^

​

​

5,523,000

​

6.000%, 04/15/24

​

5,637,713

717,000

​

2.800%, 07/21/23

​

652,312

1,004,000

​

West Street Merger Sub, Inc.*
6.375%, 09/01/25

​

974,914

 

​

44,229,435

 

​

​

​

Industrials (5.5%) 

1,387,000

​

ACCO Brands Corp.*^
5.250%, 12/15/24

​

1,381,057

 

​

Allison Transmission, Inc.*

​

​

789,000

​

4.750%, 10/01/27

​

774,952

502,000

​

5.000%, 10/01/24µ

​

508,016

234,000

​

5.875%, 06/01/29

​

241,067

1,387,000

​

Arconic, Inc.^
5.125%, 10/01/24

​

1,433,069

1,305,304

​

ARD Securities Finance Sarl*
8.750%, 01/31/23
8.750% PIK rate

​

1,289,986

478,000

​

Avolon Holdings Funding, Ltd.*
5.250%, 05/15/24

​

500,287

1,191,000

​

Beacon Roofing Supply, Inc.*^
4.875%, 11/01/25

​

1,147,534

1,745,000

​

Bombardier, Inc.*^
7.500%, 03/15/25

​

1,756,281

 

​

Covanta Holding Corp.

​

​

1,339,000

​

5.875%, 03/01/24

​

1,380,850

277,000

​

5.875%, 07/01/25

​

284,701

1,195,000

​

Delphi Technologies, PLC*^
5.000%, 10/01/25

​

1,098,205

1,678,000

​

Fly Leasing, Ltd.
5.250%, 10/15/24

​

1,635,530

2,109,000

​

Garda World Security Corp.*
7.250%, 11/15/21

​

2,115,011

 

​

Golden Nugget, Inc.*

​

​

1,301,000

​

6.750%, 10/15/24

​

1,332,289

1,052,000

​

8.750%, 10/01/25^

​

1,100,944

1,162,000

​

Great Lakes Dredge & Dock Corp.
8.000%, 05/15/22

​

1,228,827

PRINCIPAL
AMOUNT

 

 

VALUE

1,755,000

​

H&E Equipment Services, Inc.^
5.625%, 09/01/25

$

1,792,610

 

​

Hertz Corp.

​

​

689,000

​

7.375%, 01/15/21

​

689,861

258,000

​

7.625%, 06/01/22*^

​

266,845

1,272,000

​

Icahn Enterprises, LPµ^
6.750%, 02/01/24

​

1,336,999

383,000

​

James Hardie International Finance, Ltd.*
4.750%, 01/15/25

​

384,130

1,195,000

​

Jeld-Wen, Inc.*^
4.625%, 12/15/25

​

1,145,097

598,000

​

JPW Industries Holding Corp.*
9.000%, 10/01/24

​

583,208

1,963,000

​

Meritor, Inc.
6.250%, 02/15/24

​

2,024,687

1,674,000

​

Navistar International Corp.*
6.625%, 11/01/25

​

1,712,812

 

​

Park Aerospace Holdings, Ltd.*

​

​

746,000

​

4.500%, 03/15/23

​

755,724

497,000

​

5.500%, 02/15/24

​

524,014

2,104,000

​

Park-Ohio Industries, Inc.^
6.625%, 04/15/27

​

2,111,659

 

​

Scientific Games International, Inc.*^

​

​

1,138,000

​

5.000%, 10/15/25

​

1,133,966

478,000

​

8.250%, 03/15/26

​

495,394

249,000

​

Summit Materials, LLC / Summit Materials Finance Corp.*
6.500%, 03/15/27

​

257,810

751,000

​

Tennant Company
5.625%, 05/01/25

​

773,583

234,000

​

Titan Acquisition, Ltd. / Titan Co-Borrower, LLC*^
7.750%, 04/15/26

​

215,379

383,000

​

TransDigm UK Holdings, PLC*^
6.875%, 05/15/26

​

385,419

 

​

TransDigm, Inc.*

​

​

1,205,000

​

6.250%, 03/15/26

​

1,256,182

1,148,000

​

7.500%, 03/15/27^

​

1,185,517

 

​

United Rentals North America, Inc.^

​

​

937,000

​

4.875%, 01/15/28

​

932,174

909,000

​

5.875%, 09/15/26

​

951,078

459,000

​

6.500%, 12/15/26

​

491,913

588,000

​

Waste Pro USA, Inc.*
5.500%, 02/15/26

​

587,694

1,195,000

​

XPO Logistics, Inc.*
6.750%, 08/15/24

​

1,238,110

 

​

42,440,471

 

Information Technology (1.2%) 

1,769,000

​

Alliance Data Systems Corp.*
5.875%, 11/01/21

​

1,811,483

1,076,000

​

CommScope Technologies, LLC*^
6.000%, 06/15/25

​

1,095,863

​

Schedule of Investments April 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   15

PRINCIPAL
AMOUNT

 

 

VALUE

2,372,000

​

Dell International, LLC / EMC Corp.µ*^
6.020%, 06/15/26

$

2,574,545

1,392,000

​

Entercom Media Corp.*^
7.250%, 11/01/24

​

1,442,599

1,219,000

​

Harland Clarke Holdings Corp.*
8.375%, 08/15/22

​

1,080,619

1,258,000

​

VFH Parent, LLC*^
6.750%, 06/15/22

​

1,302,043

 

​

9,307,152

 

Materials (2.5%) 

2,074,000

​

AK Steel Corp.^
6.375%, 10/15/25

​

1,754,998

1,554,000

​

Alcoa Nederland Holding, BV*^
7.000%, 09/30/26

​

1,677,636

3,754,000

​

ArcelorMittal, SA^
7.000%, 10/15/39

​

4,322,224

1,793,000

​

Ardagh Packaging Finance, PLC / Ardagh Holdings USA, Inc.*^
6.000%, 02/15/25

​

1,812,535

459,000

​

Baffinland Iron Mines Corp. / Baffinland Iron Mines, LP*
8.750%, 07/15/26

​

464,958

 

​

First Quantum Minerals, Ltd.*

​

​

715,000

​

7.000%, 02/15/21^

​

728,439

574,000

​

7.250%, 04/01/23

​

568,076

861,000

​

INEOS Group Holdings, SA*^
5.625%, 08/01/24

​

872,193

693,000

​

JW Aluminum Continuous Cast Company*
10.250%, 06/01/26

​

710,311

488,000

​

Kinross Gold Corp.
4.500%, 07/15/27

​

472,418

239,000

​

Mineral Resources, Ltd.*
8.125%, 05/01/27

​

245,548

1,081,000

​

New Gold, Inc.*^
6.375%, 05/15/25

​

870,000

2,759,000

​

PBF Holding Company, LLC / PBF Finance Corp.
7.250%, 06/15/25

​

2,850,088

 

​

United States Steel Corp.^

​

​

1,731,000

​

6.875%, 08/15/25

​

1,633,856

478,000

​

6.250%, 03/15/26

​

429,710

 

​

19,412,990

 

Real Estate (0.5%) 

1,172,000

​

CBL & Associates, LP^
5.250%, 12/01/23

​

852,237

1,195,000

​

Forestar Group, Inc.*
8.000%, 04/15/24

​

1,230,020

1,937,000

​

MPT Operating Partnership, LP / MPT Finance Corp.
5.000%, 10/15/27

​

1,944,564

 

​

4,026,821

PRINCIPAL
AMOUNT

 

 

VALUE

 

Utilities (0.9%) 

287,000

​

NGPL PipeCo, LLC*
4.875%, 08/15/27

$

296,599

 

​

NRG Energy, Inc.^

​

​

722,000

​

6.625%, 01/15/27

​

772,626

711,000

​

5.750%, 01/15/28

​

753,486

2,248,000

​

PPL Capital Funding, Inc.µ^‡
5.266%, 03/30/67
3 mo. USD LIBOR + 2.67%

​

2,100,329

478,000

​

Talen Energy Supply, LLC*
10.500%, 01/15/26

​

501,601

1,195,000

​

TerraForm Power Operating, LLC*
5.000%, 01/31/28

​

1,181,198

1,004,000

​

Vistra Energy Corp.*
8.125%, 01/30/26

​

1,096,368

 

​

6,702,207

 

​

Total Corporate Bonds
(Cost $369,104,360)

362,773,115

 

Convertible Bonds (72.8%)  

Communication Services (4.2%) 

9,423,000

​

GCI Liberty, Inc.*
1.750%, 09/30/46

​

10,649,969

 

​

Liberty Media Corp.

​

​

8,550,000

​

1.375%, 10/15/23

​

9,981,997

5,350,000

​

2.250%, 09/30/46

​

2,770,497

1,900,000

​

2.250%, 12/01/48*^

​

2,145,965

2,750,000

​

Liberty Media Corp. / Liberty Formula One
1.000%, 01/30/23

​

3,300,550

3,850,000

​

Twitter, Inc.*^
0.250%, 06/15/24

​

3,884,111

 

​

32,733,089

 

Consumer Discretionary (8.2%) 

8,000,000

​

Booking Holdings, Inc.~
0.350%, 06/15/20

​

11,438,680

4,750,000

​

Caesars Entertainment Corp.
5.000%, 10/01/24

​

7,038,977

2,344,000

​

Chegg, Inc.*^
0.125%, 03/15/25

​

2,245,740

 

​

DISH Network Corp.^

​

​

10,500,000

​

2.375%, 03/15/24

​

9,133,162

3,750,000

​

3.375%, 08/15/26

​

3,442,781

3,750,000

​

Guess, Inc.*^
2.000%, 04/15/24

​

3,921,694

 

​

Liberty Interactive, LLC

​

​

2,368,253

​

4.000%, 11/15/29

​

1,660,998

1,700,000

​

3.750%, 02/15/30

​

1,187,952

5,500,000

​

NIO, Inc.*^
4.500%, 02/01/24

​

4,228,125

3,375,000

​

Quotient Technology, Inc.
1.750%, 12/01/22

​

3,143,458

​

Schedule of Investments April 30, 2019 (Unaudited)

16   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

 

VALUE

3,850,000

​

RH*^
0.000%, 06/15/23

$

3,364,053

12,750,000

​

Tesla, Inc.^
1.250%, 03/01/21

​

12,539,816

 

​

63,345,436

 

Energy (3.6%) 

2,734,000

​

Helix Energy Solutions Group, Inc.
4.125%, 09/15/23

​

3,112,509

5,250,000

​

Nabors Industries, Inc.
0.750%, 01/15/24

​

3,828,221

5,186,000

​

Oil States International, Inc.
1.500%, 02/15/23

​

4,676,061

4,700,000

​

PDC Energy, Inc.
1.125%, 09/15/21

​

4,466,387

5,370,000

​

SM Energy Company
1.500%, 07/01/21

​

4,996,516

 

​

SunEdison, Inc.@

​

​

9,411,000

​

0.250%, 01/15/20*

​

290,282

898,000

​

2.000%, 10/01/18

​

27,699

3,000,000

​

TOTAL, SA^
0.500%, 12/02/22

​

3,195,990

3,000,000

​

Transocean, Inc.^
0.500%, 01/30/23

​

3,222,495

 

​

27,816,160

 

Financials (3.8%) 

5,375,000

​

Hope Bancorp, Inc.*
2.000%, 05/15/38

​

4,868,675

3,255,000

​

IAC FinanceCo, Inc.*^
0.875%, 10/01/22

​

5,053,957

6,800,000

​

JPMorgan Chase Bank, N.A.
0.000%, 12/30/20

​

7,988,572

7,000,000

​

JPMorgan Chase Financial Company, LLC (Voya Financial, Inc.)*^§
0.250%, 05/01/23

​

7,062,860

1,250,000

​

Prospect Capital Corp.
4.950%, 07/15/22

​

1,238,056

2,750,000

​

Starwood Property Trust, Inc.
4.375%, 04/01/23

​

2,755,005

 

​

28,967,125

 

Health Care (13.8%) 

9,961,000

​

BioMarin Pharmaceutical, Inc.^
1.500%, 10/15/20

​

11,194,969

6,600,000

​

CONMED Corp.*
2.625%, 02/01/24

​

7,261,023

7,700,000

​

DexCom, Inc.*
0.750%, 12/01/23

​

8,036,836

3,750,000

​

Evolent Health, Inc.*
1.500%, 10/15/25

​

3,073,125

6,750,000

​

Exact Sciences Corp.^
0.375%, 03/15/27

​

7,579,507

PRINCIPAL
AMOUNT

 

 

VALUE

2,700,000

​

Flexion Therapeutics, Inc.
3.375%, 05/01/24

$

2,283,485

5,000,000

​

Illumina, Inc.^
0.500%, 06/15/21

​

6,846,250

 

​

Innoviva, Inc.

​

​

3,500,000

​

2.125%, 01/15/23^

​

3,601,570

517,000

​

2.500%, 08/15/25

​

555,056

1,667,000

​

Insmed, Inc.
1.750%, 01/15/25

​

1,736,206

6,750,000

​

Insulet Corp.*^
1.375%, 11/15/24

​

7,676,336

5,900,000

​

Ionis Pharmaceuticals, Inc.^
1.000%, 11/15/21

​

7,586,898

3,250,000

​

Jazz Investments I, Ltd.
1.875%, 08/15/21

​

3,235,066

2,750,000

​

Neurocrine Biosciences, Inc.^
2.250%, 05/15/24

​

3,330,965

4,050,000

​

NuVasive, Inc.
2.250%, 03/15/21

​

4,639,822

7,000,000

​

Pacira BioSciences, Inc.^
2.375%, 04/01/22

​

7,013,545

2,350,000

​

Sarepta Therapeutics, Inc.^
1.500%, 11/15/24

​

4,134,026

3,094,000

​

Supernus Pharmaceuticals, Inc.^
0.625%, 04/01/23

​

3,126,054

3,800,000

​

Tabula Rasa HealthCare, Inc.*
1.750%, 02/15/26

​

3,963,989

4,000,000

​

Teladoc Health, Inc.*^
1.375%, 05/15/25

​

5,360,400

3,900,000

​

Wright Medical Group, Inc.*^
1.625%, 06/15/23

​

4,245,482

 

​

106,480,610

 

Industrials (2.8%) 

3,750,000

​

Air Transport Services Group, Inc.^
1.125%, 10/15/24

​

3,756,469

3,650,000

​

Atlas Air Worldwide Holdings, Inc.^
2.250%, 06/01/22

​

3,779,410

2,812,000

​

FTI Consulting, Inc.*^
2.000%, 08/15/23

​

3,022,169

8,000,000

​

Greenbrier Companies, Inc.^
2.875%, 02/01/24

​

8,034,720

3,250,000

​

Meritor, Inc.^
3.250%, 10/15/37

​

3,338,709

 

​

21,931,477

 

Information Technology (34.2%) 

6,250,000

​

8x8, Inc.*
0.500%, 02/01/24

​

7,041,688

2,250,000

​

Advanced Micro Devices, Inc.
2.125%, 09/01/26

​

7,948,654

6,997,000

​

Akamai Technologies, Inc.*^
0.125%, 05/01/25

​

7,405,275

​

Schedule of Investments April 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   17

PRINCIPAL
AMOUNT

 

 

VALUE

7,700,000

​

DocuSign, Inc.*^
0.500%, 09/15/23

$

8,280,465

 

​

Envestnet, Inc.

​

​

3,850,000

​

1.750%, 06/01/23*

​

4,640,386

3,250,000

​

1.750%, 12/15/19

​

3,823,983

3,180,000

​

Euronet Worldwide, Inc.*^
0.750%, 03/15/49

​

3,563,603

6,291,000

​

Finisar Corp.
0.500%, 12/15/36

​

6,171,691

4,000,000

​

FireEye, Inc.*^
0.875%, 06/01/24

​

4,030,140

7,000,000

​

Guidewire Software, Inc.^
1.250%, 03/15/25

​

8,006,460

6,200,000

​

II-VI, Inc.
0.250%, 09/01/22

​

6,782,800

8,350,000

​

Inphi Corp.^
0.750%, 09/01/21

​

8,867,157

4,750,000

​

Intel Corp.~
3.250%, 08/01/39

​

11,878,206

3,750,000

​

LivePerson, Inc.*^
0.750%, 03/01/24

​

3,882,731

4,250,000

​

Lumentum Holdings, Inc.^
0.250%, 03/15/24

​

5,300,961

16,500,000

​

Microchip Technology, Inc.^
1.625%, 02/15/27

​

21,400,912

6,475,000

​

New Relic, Inc.*^
0.500%, 05/01/23

​

7,550,562

6,500,000

​

NXP Semiconductors, NV
1.000%, 12/01/19

​

7,188,675

 

​

ON Semiconductor Corp.

​

​

5,918,000

​

1.000%, 12/01/20

​

7,935,505

5,250,000

​

1.625%, 10/15/23^

​

6,909,630

5,500,000

​

OSI Systems, Inc.
1.250%, 09/01/22

​

5,706,415

15,850,000

​

Palo Alto Networks, Inc.*^
0.750%, 07/01/23

​

17,969,303

1,764,000

​

Pluralsight, Inc.*
0.375%, 03/01/24

​

2,016,737

3,900,000

​

Pure Storage, Inc.
0.125%, 04/15/23

​

4,318,743

1,861,000

​

Q2 Holdings, Inc.
0.750%, 02/15/23

​

2,612,639

2,219,000

​

Rapid7, Inc.*
1.250%, 08/01/23

​

3,213,589

667,000

​

RealPage, Inc.
1.500%, 11/15/22

​

1,090,368

3,000,000

​

Silicon Laboratories, Inc.^
1.375%, 03/01/22

​

3,821,565

15,370,000

​

Splunk, Inc.*
0.500%, 09/15/23

​

17,487,218

7,700,000

​

Square, Inc.*^
0.500%, 05/15/23

​

9,162,577

PRINCIPAL
AMOUNT

 

 

VALUE

2,757,000

​

Synaptics, Inc.
0.500%, 06/15/22

$

2,518,588

2,750,000

​

Twilio, Inc.*^
0.250%, 06/01/23

​

5,548,208

 

​

Viavi Solutions, Inc.

​

​

4,583,000

​

1.000%, 03/01/24^

​

5,364,402

902,000

​

1.750%, 06/01/23*

​

1,043,524

7,800,000

​

Wix.com, Ltd.*^
0.000%, 07/01/23

​

9,164,532

9,500,000

​

Workday, Inc.
0.250%, 10/01/22

​

14,105,458

7,000,000

​

Zendesk, Inc.
0.250%, 03/15/23

​

10,577,000

 

​

264,330,350

 

Materials (0.6%) 

4,700,000

​

Royal Gold, Inc.
2.875%, 06/15/19

4,700,376

 

Real Estate (1.0%) 

3,000,000

​

Extra Space Storage, LP*
3.125%, 10/01/35

​

3,510,285

3,600,000

​

IH Merger Sub, LLC^
3.500%, 01/15/22

​

4,181,310

 

​

7,691,595

 

Utilities (0.6%) 

4,000,000

​

NRG Energy, Inc.*
2.750%, 06/01/48

4,498,660

 

​

Total Convertible Bonds
(Cost $559,724,547)

562,494,878

 

Bank Loans (5.4%)  

Communication Services (1.4%) 

398,362

​

Charter Communications Operating, LLC‡
4.490%, 04/30/25
1 mo. LIBOR + 2.00%

​

399,794

825,000

​

CommScope, Inc.‡
5.733%, 04/06/26
1 mo. LIBOR + 3.25%

​

833,378

550,000

​

CSC Holdings, LLC‡
5.473%, 04/15/27
1 mo. LIBOR + 3.00%

​

552,679

2,218,256

​

Cumulus Media New Holdings, Inc.‡
6.990%, 05/15/22
1 mo. LIBOR + 4.50%

​

2,203,560

1,300,000

​

Intelsat Jackson Holdings, SA
6.625%, 01/02/24

​

1,314,085

475,000

​

Intelsat Jackson Holdings, SA‡
6.979%, 01/02/24
1 mo. LIBOR + 4.50%

​

479,667

​

Schedule of Investments April 30, 2019 (Unaudited)

18   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

 

VALUE

1,724,864

​

New Media Holdings II, LLC‡
8.733%, 07/14/22
1 mo. LIBOR + 6.25%

$

1,725,580

2,154,600

​

Sprint Communications, Inc.‡
5.500%, 02/02/24
1 mo. LIBOR + 3.00%

​

2,126,773

1,000,000

​

Windstream Services, LLC‡
9.750%, 02/17/24
3 mo. PRIME + 4.25%

​

1,017,000

 

​

10,652,516

 

Consumer Discretionary (0.7%) 

496,250

​

American Greetings Corp.‡
6.983%, 04/06/24
1 mo. LIBOR + 4.50%

​

498,421

475,000

​

MGM Resorts International‡
4.733%, 12/21/23
1 mo. LIBOR + 2.25%

​

473,416

793,798

​

PetSmart, Inc.‡
6.730%, 03/11/22
1 mo. LIBOR + 4.25%

​

767,448

1,745,625

​

R.R. Donnelley & Sons Company‡
7.483%, 01/15/24
1 mo. LIBOR + 5.00%

​

1,752,529

2,343,750

​

Weight Watchers International, Inc.‡
7.350%, 11/29/24
3 mo. LIBOR + 4.75%

​

2,260,254

 

​

5,752,068

 

Consumer Staples (0.1%) 

667,253

​

JBS USA LUX, SA!
10/30/22

668,471

 

Energy (0.3%) 

800,000

​

Epic Crude Services, LP‡
7.490%, 02/20/26
1 mo. LIBOR + 5.00%

​

798,668

990,000

​

McDermott Technology Americas, Inc.‡
7.483%, 05/10/25
1 mo. LIBOR + 5.00%

​

981,852

493,750

​

Par Pacific Holdings, Inc.‡
9.340%, 12/17/25
3 mo. LIBOR + 6.75%

​

499,922

 

​

2,280,442

 

Financials (0.5%) 

247,327

​

AssuredPartners, Inc.‡
5.733%, 10/22/24
1 mo. LIBOR + 3.25%

​

246,555

1,188,000

​

Genworth Holdings, Inc.‡
6.987%, 03/07/23
1 mo. LIBOR + 4.50%

​

1,200,622

PRINCIPAL
AMOUNT

 

 

VALUE

763,636

​

GLP Financing, LLC‡
3.977%, 04/28/21
1 mo. LIBOR + 1.50%

$

759,341

992,500

​

HUB International, Ltd.‡
5.336%, 04/25/25
3 mo. LIBOR + 2.75%

​

983,816

400,000

​

Level 3 Financing, Inc.‡
4.733%, 02/22/24
1 mo. LIBOR + 2.25%

​

400,700

 

​

3,591,034

 

Health Care (1.6%)

2,480,672

​

Amneal Pharmaceuticals, LLC‡
6.000%, 05/04/25
1 mo. LIBOR + 3.50%

​

2,492,765

2,312,500

​

Bausch Health Americas, Inc.‡
5.474%, 06/02/25
1 mo. LIBOR + 3.00%

​

2,325,635

862,403

​

Bausch Health Cos., Inc.‡
5.224%, 11/27/25
1 mo. LIBOR + 2.75%

​

864,214

249,346

​

DaVita, Inc.‡
5.233%, 06/24/21
1 mo. LIBOR + 2.75%

​

250,187

1,775,000

​

Gentiva Health Services, Inc.‡
9.500%, 07/02/26
1 mo. LIBOR + 7.00%

​

1,827,141

583,493

​

Gentiva Health Services, Inc.‡
6.250%, 07/02/25
1 mo. LIBOR + 3.75%

​

586,049

324,181

​

HCA, Inc.‡
4.483%, 03/13/25
1 mo. LIBOR + 2.00%

​

325,224

1,128,089

​

Mallinckrodt International Finance, SA‡
5.351%, 09/24/24
3 mo. LIBOR + 2.75%

​

1,019,307

1,176,000

​

Ortho Clinical Diagnostics, SA‡
5.733%, 06/30/25
1 mo. LIBOR + 3.25%

​

1,155,420

1,994,559

​

Team Health Holdings, Inc.‡
5.233%, 02/06/24
1 mo. LIBOR + 2.75%

​

1,877,379

 

​

12,723,321

 

Industrials (0.2%) 

1,250,000

​

Dun & Bradstreet Corporation (The)‡
7.479%, 02/01/26
1 mo. LIBOR + 5.00%

​

1,260,944

748,125

​

RegionalCare Hospital Partners Holdings, Inc.‡
6.987%, 11/16/25
1 mo. LIBOR + 4.50%

​

752,801

 

​

2,013,745

​

​

Schedule of Investments April 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   19

PRINCIPAL
AMOUNT

 

 

VALUE

 

Information Technology (0.6%) 

1,147,125

​

BMC Software Finance, Inc.‡
6.851%, 10/02/25
3 mo. LIBOR + 4.25%

$

1,142,106

389,000

​

CDW, LLC‡
4.230%, 08/17/23
1 mo. LIBOR + 1.75%

​

390,500

647,347

​

Dell International LLC‡
4.490%, 09/07/23
1 mo. LIBOR + 2.00%

​

648,441

2,275,000

​

First Data Corp.‡
4.481%, 04/26/24
1 mo. LIBOR + 2.00%

​

2,277,138

 

​

4,458,185

 

​

Total Bank Loans
(Cost $41,964,213)

42,139,782

 

SYNTHETIC CONVERTIBLE SECURITIES (2.5%) ¤ 

Corporate Bonds (2.1%)  

Airlines (0.0%) 

23,000

​

UAL Pass Through Trust Series 2007-1µ
6.636%, 01/02/24

24,266

 

Communication Services (0.3%) 

44,000

​

Altice Financing, SA*
7.500%, 05/15/26

​

44,601

101,000

​

Altice France, SA*
7.375%, 05/01/26

​

102,634

 

​

Altice Luxembourg, SA*

​

​

21,000

​

7.750%, 05/15/22^

​

21,406

17,000

​

7.625%, 02/15/25

​

15,953

22,000

​

Arrow Bidco, LLC*
9.500%, 03/15/24

​

21,832

57,000

​

Belo Corp.
7.250%, 09/15/27

​

61,478

 

​

Cincinnati Bell, Inc.*^

​

​

58,000

​

8.000%, 10/15/25

​

53,578

18,000

​

7.000%, 07/15/24

​

16,638

10,000

​

CommScope, Inc.*^
8.250%, 03/01/27

​

10,841

33,000

​

Consolidated Communications, Inc.^
6.500%, 10/01/22

​

31,356

 

​

CSC Holdings, LLC*

​

​

153,000

​

5.500%, 04/15/27^

​

157,924

66,000

​

5.500%, 05/15/26

​

67,969

48,000

​

7.500%, 04/01/28^

​

52,442

253,000

​

Embarq Corp.^
7.995%, 06/01/36

​

249,838

22,000

​

Entercom Media Corp.*
6.500%, 05/01/27

​

22,466

PRINCIPAL
AMOUNT

 

 

VALUE

 

​

Frontier Communications Corp.

​

​

136,000

​

11.000%, 09/15/25^

$

88,231

104,000

​

7.625%, 04/15/24

​

57,585

43,000

​

8.500%, 04/01/26*

​

40,620

22,000

​

8.000%, 04/01/27*

​

22,813

 

​

Gray Television, Inc.*

​

​

30,000

​

5.875%, 07/15/26^

​

30,946

23,000

​

7.000%, 05/15/27

​

24,898

 

​

Hughes Satellite Systems Corp.^

​

​

38,000

​

6.625%, 08/01/26

​

38,507

12,000

​

5.250%, 08/01/26

​

12,082

 

​

Inmarsat Finance, PLCµ*

​

​

60,000

​

4.875%, 05/15/22

​

60,676

39,000

​

6.500%, 10/01/24^

​

41,102

 

​

Intelsat Jackson Holdings, SA

​

​

75,000

​

9.750%, 07/15/25*

​

77,404

44,000

​

5.500%, 08/01/23^

​

39,848

43,000

​

8.000%, 02/15/24*^

​

44,911

21,000

​

MDC Partners, Inc.*^
6.500%, 05/01/24

​

17,838

55,000

​

Nexstar Broadcasting, Inc.*
5.625%, 08/01/24

​

55,895

55,000

​

Qwest Corp.µ
6.875%, 09/15/33

​

55,066

22,000

​

SBA Communications Corp.
4.000%, 10/01/22

​

22,192

 

​

Sprint Corp.

​

​

187,000

​

7.875%, 09/15/23^

​

195,092

106,000

​

7.125%, 06/15/24

​

106,530

57,000

​

7.625%, 03/01/26^

​

57,093

53,000

​

T-Mobile USA, Inc.^
4.750%, 02/01/28

​

53,575

33,000

​

Telecom Italia Capital, SA
6.000%, 09/30/34

​

30,601

84,000

​

United States Cellular Corp.
6.700%, 12/15/33

​

89,548

22,000

​

Wind Tre, S.p.A.*
5.000%, 01/20/26

​

20,314

 

​

Windstream Services, LLC / Windstream Finance Corp.@

​

​

17,000

​

7.750%, 10/01/21

​

3,725

7,000

​

10.500%, 06/30/24*

​

4,899

22,000

​

Zayo Group, LLC / Zayo Capital, Inc.*
5.750%, 01/15/27

​

22,346

 

​

2,245,293

 

Consumer Discretionary (0.4%) 

32,000

​

Ashton Woods USA, LLC / Ashton Woods Finance Company*
9.875%, 04/01/27

​

33,315

59,000

​

Beverages & More, Inc.*
11.500%, 06/15/22

​

43,610

52,000

​

Boyd Gaming Corp.
6.000%, 08/15/26

​

54,090

​

Schedule of Investments April 30, 2019 (Unaudited)

20   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

 

VALUE

53,000

​

Caesars Resort Collection, LLC / CRC Finco, Inc.*^
5.250%, 10/15/25

$

51,929

 

​

CCO Holdings, LLC / CCO Holdings Capital Corp.

​

​

137,000

​

5.125%, 05/01/27*^

​

139,270

42,000

​

5.750%, 09/01/23

​

42,995

23,000

​

5.000%, 02/01/28*^

​

22,991

 

​

Century Communities, Inc.

​

​

102,000

​

5.875%, 07/15/25

​

101,320

59,000

​

6.875%, 05/15/22

​

60,317

148,000

​

Dana Financing Luxembourg Sarl*
6.500%, 06/01/26

​

155,302

 

​

DISH DBS Corp.^

​

​

50,000

​

7.750%, 07/01/26

​

44,824

34,000

​

5.875%, 11/15/24

​

29,414

98,000

​

Eldorado Resorts, Inc.
6.000%, 04/01/25

​

101,447

51,000

​

ESH Hospitality, Inc.*^
5.250%, 05/01/25

​

51,402

53,000

​

GLP Capital, LP / GLP Financing II, Inc.
5.250%, 06/01/25

​

56,002

43,000

​

goeasy, Ltd.µ*
7.875%, 11/01/22

​

45,218

78,000

​

Guitar Center Escrow Issuer, Inc.*
9.500%, 10/15/21

​

76,040

54,000

​

Hasbro, Inc.
6.600%, 07/15/28

​

64,045

55,000

​

International Game Technology, PLC*^
6.250%, 01/15/27

​

57,797

 

​

L Brands, Inc.^

​

​

124,000

​

6.875%, 11/01/35

​

110,740

25,000

​

5.250%, 02/01/28

​

22,344

52,000

​

Lennar Corp.
5.250%, 06/01/26

​

54,244

55,000

​

Liberty Interactive, LLC
8.250%, 02/01/30

​

56,976

58,000

​

M/I Homes, Inc.^
5.625%, 08/01/25

​

57,189

 

​

Mattel, Inc.

​

​

50,000

​

6.750%, 12/31/25*^

​

50,145

2,000

​

2.350%, 08/15/21

​

1,926

50,000

​

Mclaren Finance, PLC*^
5.750%, 08/01/22

​

49,220

83,000

​

Meritage Homes Corp.
7.000%, 04/01/22

​

89,389

100,000

​

Penske Automotive Group, Inc.
5.375%, 12/01/24

​

101,592

 

​

PetSmart, Inc.*^

​

​

47,000

​

5.875%, 06/01/25

​

42,653

11,000

​

8.875%, 06/01/25

​

9,792

 

​

Rite Aid Corp.

​

​

117,000

​

7.700%, 02/15/27

​

72,727

32,000

​

6.125%, 04/01/23*^

​

27,251

PRINCIPAL
AMOUNT

 

 

VALUE

149,000

​

Royal Caribbean Cruises, Ltd.^
7.500%, 10/15/27

$

180,586

43,000

​

Salem Media Group, Inc.*
6.750%, 06/01/24

​

38,716

52,000

​

Sally Holdings, LLC / Sally Capital, Inc.
5.625%, 12/01/25

​

51,903

153,000

​

Service Corp. International
7.500%, 04/01/27

​

176,316

53,000

​

Sotheby’s*
4.875%, 12/15/25

​

52,036

44,000

​

Staples, Inc.*^
7.500%, 04/15/26

​

44,066

41,000

​

Taylor Morrison Communities Corp.
6.625%, 05/15/22

​

42,403

131,000

​

Taylor Morrison Communities Corp. / Taylor Morrison Holdings II, Inc.*
5.250%, 04/15/21

​

131,490

20,000

​

US Airways Pass Through Trust Series 2012-2, Class B
6.750%, 12/03/22

​

21,019

44,000

​

VOC Escrow, Ltd.*
5.000%, 02/15/28

​

43,856

 

​

2,759,907

 

Consumer Staples (0.1%) 

 

​

Albertsons Companies, LLC / Safeway, Inc. / New Albertsons, LP / Albertson’s, LLC

​

​

54,000

​

5.750%, 03/15/25

​

53,752

33,000

​

7.500%, 03/15/26*^

​

35,110

22,000

​

Dean Foods Company*
6.500%, 03/15/23

​

11,598

32,000

​

Energizer Holdings, Inc.*^
6.375%, 07/15/26

​

33,110

52,000

​

Fresh Market, Inc.*
9.750%, 05/01/23

​

39,949

 

​

JBS USA LUX, SA / JBS USA Finance, Inc.*

​

​

340,000

​

7.250%, 06/01/21

​

341,433

76,000

​

6.750%, 02/15/28

​

80,377

11,000

​

5.875%, 07/15/24

​

11,301

86,000

​

JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.*
6.500%, 04/15/29

​

90,945

 

​

New Albertson’s, Inc.

​

​

43,000

​

7.450%, 08/01/29^

​

40,326

36,000

​

7.750%, 06/15/26

​

34,328

25,000

​

8.000%, 05/01/31^

​

23,707

 

​

Pilgrim’s Pride Corp.*

​

​

63,000

​

5.875%, 09/30/27^

​

65,229

22,000

​

5.750%, 03/15/25

​

22,542

 

​

Post Holdings, Inc.*

​

​

55,000

​

5.750%, 03/01/27

​

56,538

11,000

​

5.625%, 01/15/28^

​

11,144

​

Schedule of Investments April 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   21

PRINCIPAL
AMOUNT

 

 

VALUE

 

​

Simmons Foods, Inc.*

​

​

43,000

​

7.750%, 01/15/24

$

45,982

25,000

​

5.750%, 11/01/24^

​

23,006

 

​

1,020,377

 

Energy (0.3%) 

31,000

​

Apergy Corp.^
6.375%, 05/01/26

​

32,105

16,000

​

Berry Petroleum Company, LLC*
7.000%, 02/15/26

​

15,760

89,000

​

Blue Racer Midstream, LLC / Blue Racer Finance Corp.*
6.125%, 11/15/22

​

90,386

56,000

​

Brazos Valley Longhorn, LLC / Brazos Valley Longhorn Finance Corp.
6.875%, 02/01/25

​

56,352

32,000

​

Bruin E&P Partners, LLC*
8.875%, 08/01/23

​

30,416

55,000

​

Buckeye Partners, LPµ‡
6.375%, 01/22/78
3 mo. USD LIBOR + 4.02%

​

50,849

87,000

​

Calfrac Holdings, LP*^
8.500%, 06/15/26

​

73,255

47,000

​

California Resources Corp.*^
8.000%, 12/15/22

​

35,956

68,000

​

Carrizo Oil & Gas, Inc.^
6.250%, 04/15/23

​

66,261

52,000

​

Chaparral Energy, Inc.*^
8.750%, 07/15/23

​

38,538

44,000

​

Cheniere Energy Partners, LP*^
5.625%, 10/01/26

​

45,511

 

​

Chesapeake Energy Corp.^

​

​

54,000

​

8.000%, 01/15/25

​

54,719

42,000

​

7.000%, 10/01/24

​

41,624

23,000

​

Comstock Resources, Inc.*
9.750%, 08/15/26

​

21,064

65,000

​

DCP Midstream Operating, LP*^‡
5.850%, 05/21/43
3 mo. USD LIBOR + 3.85%

​

60,681

22,000

​

DCP Midstream, LP‡
7.375%, 12/15/22
3 mo. USD LIBOR + 5.15%

​

21,756

 

​

Denbury Resources, Inc.

​

​

45,000

​

5.500%, 05/01/22

​

34,947

44,000

​

7.500%, 02/15/24*^

​

40,767

31,000

​

9.250%, 03/31/22*^

​

31,542

24,000

​

Diamond Offshore Drilling, Inc.
7.875%, 08/15/25

​

23,375

 

​

Energy Transfer Operating, LP

​

​

110,000

​

5.597%, 11/01/66µ‡
3 mo. USD LIBOR + 3.02%

​

91,294

83,000

​

5.875%, 01/15/24

​

90,674

14,000

​

5.500%, 06/01/27

​

15,211

PRINCIPAL
AMOUNT

 

 

VALUE

 

​

Enterprise Products Operating, LLCµ‡

​

​

73,000

​

4.875%, 08/16/77
3 mo. USD LIBOR + 2.99%

$

69,849

21,000

​

5.375%, 02/15/78
3 mo. USD LIBOR + 2.57%

​

19,548

 

​

EP Energy, LLC / Everest Acquisition Finance, Inc.*

​

​

39,000

​

9.375%, 05/01/24

​

14,185

33,000

​

7.750%, 05/15/26

​

29,427

 

​

Genesis Energy, LP / Genesis Energy Finance Corp.

​

​

55,000

​

6.250%, 05/15/26^

​

54,530

52,000

​

6.500%, 10/01/25

​

52,317

 

​

Gulfport Energy Corp.^

​

​

52,000

​

6.375%, 05/15/25

​

45,847

31,000

​

6.000%, 10/15/24

​

27,313

43,000

​

Halcon Resources Corp.
6.750%, 02/15/25

​

27,748

52,000

​

HighPoint Operating Corp.^
7.000%, 10/15/22

​

50,627

71,000

​

Lonestar Resources America, Inc.*
11.250%, 01/01/23

​

70,842

52,000

​

Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*
6.000%, 08/01/26

​

53,099

75,000

​

McDermott Technologies Americas, Inc. / McDermott Technology U.S., Inc.*
10.625%, 05/01/24

​

68,186

 

​

Moss Creek Resources Holdings, Inc.*

​

​

22,000

​

10.500%, 05/15/27

​

22,509

20,000

​

7.500%, 01/15/26^

​

18,365

33,000

​

Nine Energy Service, Inc.*^
8.750%, 11/01/23

​

34,154

6,000

​

Northern Oil and Gas, Inc.
9.500%, 05/15/23
9.500% PIK rate

​

6,333

37,000

​

Oasis Petroleum, Inc.*^
6.250%, 05/01/26

​

36,194

54,000

​

Par Petroleum, LLC / Par Petroleum Finance Corp.*
7.750%, 12/15/25

​

52,727

33,000

​

PDC Energy, Inc.^
5.750%, 05/15/26

​

33,077

48,000

​

Petroleum Geo-Services, ASA*
7.375%, 12/15/20

​

47,988

42,000

​

Plains All American Pipeline, LPµ‡
6.125%, 11/15/22
3 mo. USD LIBOR + 4.11%

​

40,414

22,000

​

QEP Resources, Inc.^
5.625%, 03/01/26

​

20,657

74,000

​

SESI, LLC^
7.750%, 09/15/24

​

54,680

23,000

​

SM Energy Company^
6.750%, 09/15/26

​

22,124

​

Schedule of Investments April 30, 2019 (Unaudited)

22   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

 

VALUE

33,000

​

Targa Resources Partners, LP / Targa Resources Partners Finance Corp.*
6.500%, 07/15/27

$

35,416

11,000

​

TransMontaigne Partners, LP / TLP Finance Corp.
6.125%, 02/15/26

​

10,634

10,000

​

Transocean Pontus, Ltd.*
6.125%, 08/01/25

​

10,312

51,000

​

Transocean, Inc.*^
7.500%, 01/15/26

​

50,497

57,000

​

Vine Oil & Gas, LP / Vine Oil & Gas Finance Corp.*
8.750%, 04/15/23

​

44,573

87,000

​

W&T Offshore, Inc.*^
9.750%, 11/01/23

​

88,649

113,000

​

Weatherford International, Ltd.
8.250%, 06/15/23

​

79,863

53,000

​

Whiting Petroleum Corp.^
6.625%, 01/15/26

​

52,877

 

​

2,408,604

 

Financials (0.3%) 

106,000

​

Acrisure, LLC / Acrisure Finance, Inc.*
7.000%, 11/15/25

​

96,145

134,000

​

Ally Financial, Inc.
8.000%, 11/01/31

​

172,026

55,000

​

Amwins Group, Inc.*
7.750%, 07/01/26

​

55,365

 

​

Ardonagh Midco 3, PLC*

​

​

97,000

​

8.625%, 07/15/23^

​

80,523

22,000

​

8.625%, 07/15/23

​

18,287

96,000

​

AssuredPartners, Inc.*
7.000%, 08/15/25

​

90,880

25,000

​

Bank of America Corp.^‡
5.875%, 03/15/28
3 mo. USD LIBOR + 2.93%

​

25,867

55,000

​

Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLC*
5.750%, 05/15/26

​

55,830

90,000

​

Brookfield Residential Properties, Inc.*^
6.375%, 05/15/25

​

88,577

20,000

​

Charles Schwab Corp.µ‡
5.000%, 12/01/27
3 mo. USD LIBOR + 2.58%

​

19,482

55,000

​

Credit Acceptance Corp.*^
6.625%, 03/15/26

​

57,894

54,000

​

Greystar Real Estate Partners, LLC*
5.750%, 12/01/25

​

54,337

55,000

​

HUB International, Ltd.*
7.000%, 05/01/26

​

55,511

80,000

​

ILFC E-Capital Trust II*‡
4.850%, 12/21/65
3 mo. USD LIBOR + 1.80%

​

61,976

PRINCIPAL
AMOUNT

 

 

VALUE

96,000

​

Iron Mountain, Inc.*^
5.250%, 03/15/28

$

94,803

 

​

Jefferies Finance, LLC*

​

​

137,000

​

7.250%, 08/15/24^

​

135,438

124,000

​

7.375%, 04/01/20

​

124,331

51,000

​

Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.*
5.250%, 10/01/25

​

50,886

45,000

​

Level 3 Financing, Inc.^
5.375%, 05/01/25

​

45,903

55,000

​

Lions Gate Capital Holdings, LLC*^
6.375%, 02/01/24

​

57,628

56,000

​

LPL Holdings, Inc.*
5.750%, 09/15/25

​

57,148

91,000

​

MetLife, Inc.µ^
6.400%, 12/15/66

​

100,723

100,000

​

Nationstar Mortgage, LLC / Nationstar Capital Corp.
6.500%, 07/01/21

​

100,220

 

​

Navient Corp.

​

​

65,000

​

6.750%, 06/25/25^

​

66,606

28,000

​

6.500%, 06/15/22

​

29,526

47,000

​

NexBank Capital, Inc.*‡&
6.375%, 09/30/27
3 mo. USD LIBOR + 4.59%

​

47,355

82,000

​

Oil Insurance, Ltd.*‡
5.574%, 06/30/19
3 mo. USD LIBOR + 2.98%

​

79,812

32,000

​

Realogy Group, LLC / Realogy Co-Issuer Corp.*^
4.875%, 06/01/23

​

30,559

57,000

​

Simmons First National Corp.‡
5.000%, 04/01/28
3 mo. USD LIBOR + 2.15%

​

57,750

 

​

Springleaf Finance Corp.

​

​

72,000

​

6.875%, 03/15/25^

​

77,328

54,000

​

7.125%, 03/15/26

​

58,048

55,000

​

Starwood Property Trust, Inc.
4.750%, 03/15/25

​

55,240

29,000

​

Towne Bank‡
4.500%, 07/30/27
3 mo. USD LIBOR + 2.55%

​

29,128

109,000

​

Tronox Finance, PLC*^
5.750%, 10/01/25

​

106,641

 

​

2,337,773

 

Health Care (0.3%) 

100,000

​

Acadia Healthcare Company, Inc.^
5.625%, 02/15/23

​

101,130

 

​

Bausch Health Americas, Inc.*^

​

​

119,000

​

8.500%, 01/31/27

​

129,970

52,000

​

9.250%, 04/01/26

​

57,946

​

Schedule of Investments April 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   23

PRINCIPAL
AMOUNT

 

 

VALUE

 

​

Bausch Health Cos., Inc.*

​

​

107,000

​

9.000%, 12/15/25

$

118,581

11,000

​

5.750%, 08/15/27^

​

11,493

 

​

CHS/Community Health Systems, Inc.

​

​

165,000

​

8.125%, 06/30/24*^

​

123,373

33,000

​

6.250%, 03/31/23^

​

32,172

22,000

​

8.000%, 03/15/26*

​

21,432

15,000

​

6.875%, 02/01/22

​

9,852

118,000

​

DaVita, Inc.^
5.125%, 07/15/24

​

118,240

117,000

​

Endo DAC / Endo Finance, LLC / Endo Finco, Inc.*
6.000%, 07/15/23

​

95,528

 

​

HCA, Inc.

​

​

317,000

​

5.875%, 05/01/23

​

340,480

51,000

​

7.500%, 11/06/33

​

58,950

50,000

​

Horizon Pharma USA, Inc.*^
8.750%, 11/01/24

​

54,184

102,000

​

Magellan Health, Inc.^
4.900%, 09/22/24

​

99,536

72,000

​

Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*^
5.625%, 10/15/23

​

56,611

32,000

​

Par Pharmaceutical, Inc.*^
7.500%, 04/01/27

​

33,261

22,000

​

Team Health Holdings, Inc.*^
6.375%, 02/01/25

​

18,752

 

​

Tenet Healthcare Corp.

​

​

61,000

​

4.625%, 07/15/24^

​

61,238

56,000

​

6.250%, 02/01/27*

​

58,437

22,000

​

6.875%, 11/15/31

​

20,319

65,000

​

Teva Pharmaceutical Finance Company, BVµ
2.950%, 12/18/22

​

61,120

 

​

Teva Pharmaceutical Finance Netherlands III, BV^

​

​

252,000

​

6.000%, 04/15/24

​

257,234

33,000

​

2.800%, 07/21/23

​

30,023

46,000

​

West Street Merger Sub, Inc.*
6.375%, 09/01/25

​

44,667

 

​

2,014,529

 

Industrials (0.2%) 

63,000

​

ACCO Brands Corp.*^
5.250%, 12/15/24

​

62,730

 

​

Allison Transmission, Inc.*

​

​

36,000

​

4.750%, 10/01/27

​

35,359

23,000

​

5.000%, 10/01/24µ

​

23,276

11,000

​

5.875%, 06/01/29

​

11,332

63,000

​

Arconic, Inc.^
5.125%, 10/01/24

​

65,093

59,000

​

ARD Securities Finance Sarl*
8.750%, 01/31/23
8.750% PIK rate

​

58,308

PRINCIPAL
AMOUNT

 

 

VALUE

22,000

​

Avolon Holdings Funding, Ltd.*
5.250%, 05/15/24

$

23,026

54,000

​

Beacon Roofing Supply, Inc.*^
4.875%, 11/01/25

​

52,029

80,000

​

Bombardier, Inc.*^
7.500%, 03/15/25

​

80,517

 

​

Covanta Holding Corp.

​

​

61,000

​

5.875%, 03/01/24

​

62,907

13,000

​

5.875%, 07/01/25

​

13,361

55,000

​

Delphi Technologies, PLC*^
5.000%, 10/01/25

​

50,545

77,000

​

Fly Leasing, Ltd.
5.250%, 10/15/24

​

75,051

96,000

​

Garda World Security Corp.*
7.250%, 11/15/21

​

96,274

 

​

Golden Nugget, Inc.*

​

​

59,000

​

6.750%, 10/15/24

​

60,419

48,000

​

8.750%, 10/01/25^

​

50,233

53,000

​

Great Lakes Dredge & Dock Corp.
8.000%, 05/15/22

​

56,048

80,000

​

H&E Equipment Services, Inc.^
5.625%, 09/01/25

​

81,714

 

​

Hertz Corp.

​

​

31,000

​

7.375%, 01/15/21

​

31,039

12,000

​

7.625%, 06/01/22*^

​

12,411

58,000

​

Icahn Enterprises, LPµ^
6.750%, 02/01/24

​

60,964

17,000

​

James Hardie International Finance, Ltd.*
4.750%, 01/15/25

​

17,050

55,000

​

Jeld-Wen, Inc.*^
4.625%, 12/15/25

​

52,703

27,000

​

JPW Industries Holding Corp.*
9.000%, 10/01/24

​

26,332

90,000

​

Meritor, Inc.
6.250%, 02/15/24

​

92,828

76,000

​

Navistar International Corp.*
6.625%, 11/01/25

​

77,762

 

​

Park Aerospace Holdings, Ltd.*

​

​

34,000

​

4.500%, 03/15/23

​

34,443

23,000

​

5.500%, 02/15/24

​

24,250

96,000

​

Park-Ohio Industries, Inc.^
6.625%, 04/15/27

​

96,350

 

​

Scientific Games International, Inc.*^

​

​

52,000

​

5.000%, 10/15/25

​

51,816

22,000

​

8.250%, 03/15/26

​

22,801

11,000

​

Summit Materials, LLC / Summit Materials Finance Corp.*
6.500%, 03/15/27

​

11,389

34,000

​

Tennant Company
5.625%, 05/01/25

​

35,022

11,000

​

Titan Acquisition, Ltd. / Titan Co-Borrower, LLC*^
7.750%, 04/15/26

​

10,125

​

Schedule of Investments April 30, 2019 (Unaudited)

24   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

 

VALUE

17,000

​

TransDigm UK Holdings, PLC*^
6.875%, 05/15/26

$

17,107

 

​

TransDigm, Inc.*

​

​

55,000

​

6.250%, 03/15/26

​

57,336

52,000

​

7.500%, 03/15/27^

​

53,699

 

​

United Rentals North America, Inc.^

​

​

43,000

​

4.875%, 01/15/28

​

42,779

41,000

​

5.875%, 09/15/26

​

42,898

21,000

​

6.500%, 12/15/26

​

22,506

27,000

​

Waste Pro USA, Inc.*
5.500%, 02/15/26

​

26,986

55,000

​

XPO Logistics, Inc.*
6.750%, 08/15/24

​

56,984

 

​

1,935,802

 

Information Technology (0.1%) 

81,000

​

Alliance Data Systems Corp.*
5.875%, 11/01/21

​

82,945

49,000

​

CommScope Technologies, LLC*^
6.000%, 06/15/25

​

49,904

108,000

​

Dell International, LLC / EMC Corp.µ*^
6.020%, 06/15/26

​

117,222

63,000

​

Entercom Media Corp.*^
7.250%, 11/01/24

​

65,290

56,000

​

Harland Clarke Holdings Corp.*
8.375%, 08/15/22

​

49,643

57,000

​

VFH Parent, LLC*^
6.750%, 06/15/22

​

58,996

 

​

424,000

 

Materials (0.1%) 

95,000

​

AK Steel Corp.^
6.375%, 10/15/25

​

80,388

71,000

​

Alcoa Nederland Holding, BV*^
7.000%, 09/30/26

​

76,649

171,000

​

ArcelorMittal, SA^
7.000%, 10/15/39

​

196,883

82,000

​

Ardagh Packaging Finance, PLC / Ardagh Holdings USA, Inc.*^
6.000%, 02/15/25

​

82,893

21,000

​

Baffinland Iron Mines Corp. / Baffinland Iron Mines, LP*
8.750%, 07/15/26

​

21,273

 

​

First Quantum Minerals, Ltd.*

​

​

33,000

​

7.000%, 02/15/21^

​

33,620

26,000

​

7.250%, 04/01/23

​

25,732

39,000

​

INEOS Group Holdings, SA*^
5.625%, 08/01/24

​

39,507

32,000

​

JW Aluminum Continuous Cast Company*
10.250%, 06/01/26

​

32,799

22,000

​

Kinross Gold Corp.
4.500%, 07/15/27

​

21,298

PRINCIPAL
AMOUNT

 

 

VALUE

11,000

​

Mineral Resources, Ltd.*
8.125%, 05/01/27

$

11,301

49,000

​

New Gold, Inc.*^
6.375%, 05/15/25

​

39,436

126,000

​

PBF Holding Company, LLC / PBF Finance Corp.
7.250%, 06/15/25

​

130,160

 

​

United States Steel Corp.^

​

​

79,000

​

6.875%, 08/15/25

​

74,567

22,000

​

6.250%, 03/15/26

​

19,777

 

​

886,283

 

Real Estate (0.0%) 

53,000

​

CBL & Associates, LP^
5.250%, 12/01/23

​

38,540

55,000

​

Forestar Group, Inc.*
8.000%, 04/15/24

​

56,612

88,000

​

MPT Operating Partnership, LP / MPT Finance Corp.
5.000%, 10/15/27

​

88,343

 

​

183,495

 

Utilities (0.0%) 

13,000

​

NGPL PipeCo, LLC*
4.875%, 08/15/27

​

13,435

 

​

NRG Energy, Inc.^

​

​

33,000

​

6.625%, 01/15/27

​

35,314

32,000

​

5.750%, 01/15/28

​

33,912

102,000

​

PPL Capital Funding, Inc.µ^‡
5.266%, 03/30/67
3 mo. USD LIBOR + 2.67%

​

95,300

22,000

​

Talen Energy Supply, LLC*
10.500%, 01/15/26

​

23,086

55,000

​

TerraForm Power Operating, LLC*
5.000%, 01/31/28

​

54,365

46,000

​

Vistra Energy Corp.*
8.125%, 01/30/26

​

50,232

 

​

305,644

 

​

Total Corporate Bonds

16,545,973

NUMBER OF
CONTRACTS/
 NOTIONAL
  AMOUNT

 

VALUE

Purchased Options (0.4%) # 

Consumer Discretionary (0.1%) 

41
7,898,732

​

Amazon.com, Inc.
Call, 01/17/20, Strike $1,900.00

808,623

 

Industrials (0.1%) 

685
10,042,100

​

Stanley Black & Decker, Inc.
Call, 01/17/20, Strike $145.00

924,750

​

Schedule of Investments April 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   25

NUMBER OF
CONTRACTS/
 NOTIONAL
  AMOUNT

 

VALUE

 

Information Technology (0.2%) 

370
7,674,910

​

Lam Research Corp.
Call, 01/17/20, Strike $190.00

$1,185,850​

 

​

​

​

 

​

Total Purchased Options

2,919,223

 

​

​

​

 

​

TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
(Cost $19,002,340)

19,465,196

NUMBER OF
SHARES

 

 

VALUE

Convertible Preferred Stocks (13.2%)  

Energy (0.5%) 

 

​

NuStar Energy, LP‡

​

​

142,240

​

7.625%, 06/15/22
3 mo. USD LIBOR + 5.64%

​

2,935,833

55,769

​

8.500%, 12/15/21^
3 mo. USD LIBOR + 6.77%

​

1,308,341

 

​

4,244,174

 

Financials (2.9%) 

32,300

​

Assurant, Inc.^
6.500%, 03/15/21

​

3,359,523

4,600

​

Bank of America Corp.
7.250%, 12/31/49

​

6,074,346

27,248

​

Virtus Investment Partners, Inc.
7.250%, 02/01/20

​

2,812,266

8,100

​

Wells Fargo & Company
7.500%, 12/31/49

​

10,590,264

 

​

22,836,399

 

​

​

​

​

Health Care (1.8%) 

108,000

​

Becton Dickinson and Company
6.125%, 05/01/20

​

6,427,080

6,850

​

Danaher Corp.
4.750%, 04/15/22

​

7,216,475

 

​

13,643,555

 

​

​

​

Industrials (1.8%) 

7,050

​

Fortive Corp.
5.000%, 07/01/21

​

7,610,052

105,400

​

Rexnord Corp.^
5.750%, 11/15/19

​

6,181,710

 

​

13,791,762

 

​

​

 

Materials (0.5%) 

67,191

​

International Flavors & Fragrances, Inc.
6.000%, 09/15/21

3,522,824

 

​

​

​

​

Real Estate (1.0%) 

6,600

​

Crown Castle International Corp.
6.875%, 08/01/20

7,616,334

NUMBER OF
SHARES

 

 

VALUE

 

Utilities (4.7%) 

135,895

​

American Electric Power Company, Inc.
6.125%, 03/15/22

$

7,063,822

68,600

​

Aqua America, Inc.
6.000%, 04/30/22

​

3,744,188

95,000

​

CenterPoint Energy, Inc. (Warner Media, LLC, Charter Communications Time, Inc.)§**
4.516%, 09/15/29

​

4,500,340

107,225

​

DTE Energy Company
6.500%, 10/01/19

​

5,984,227

111,670

​

NextEra Energy, Inc.
6.123%, 09/01/19

​

6,968,208

 

​

Sempra Energy

​

​

38,350

​

6.750%, 07/15/21

​

4,123,776

35,250

​

6.000%, 01/15/21

​

3,767,873

 

​

36,152,434

 

​

Total Convertible
Preferred Stocks
(Cost $96,347,373)

101,807,482

 

Common Stocks (2.9%)  

Communication Services (0.0%) 

8,127

​

Cumulus Media, Inc. - Class A#

147,261

 

Energy (1.1%) 

1,875

​

Chevron Corp.

​

225,112

58,950

​

Energy Transfer, LP

​

891,324

64,780

​

Enterprise Products Partners, LP~

​

1,854,651

13,550

​

GasLog, Ltd.

​

211,787

17,855

​

Magellan Midstream Partners, LP

​

1,107,189

6,925

​

Schlumberger, Ltd.

​

295,559

344,673

​

Southwestern Energy Company^#

​

1,361,458

25,965

​

Targa Resources Corp.^

​

1,042,495

36,427

​

Tidewater, Inc.^#

​

819,607

49,917

​

Transocean, Ltd.^#

​

392,348

8,500

​

Williams Companies, Inc.

​

240,805

 

​

8,442,335

 

Financials (0.1%) 

13,850

​

American International Group, Inc.

658,845

 

​

​

 

Health Care (1.7%) 

88,148

​

Allergan, PLC

12,957,756

 

​

Total Common Stocks
(Cost $39,272,330)

22,206,197


​

Schedule of Investments April 30, 2019 (Unaudited)

26   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

See accompanying Notes to Schedule of Investments

NUMBER OF
CONTRACTS/
 NOTIONAL
  AMOUNT

 

VALUE

Purchased Option (0.1%) # 

Consumer Discretionary (0.1%) 

51
9,460,449

​

Booking Holdings, Inc.
Put, 06/21/19, Strike $1,870.00
(Cost $674,664)

$425,340​

NUMBER OF
SHARES

 

 

VALUE

Short Term Investments (2.6%)  

10,023,252

​

Fidelity Prime Money Market Fund - Institutional Class, 2.500%***

​

10,026,259

9,921,202

​

Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 2.350%***

9,921,202

 

​

Total Short Term Investments
(Cost $19,947,765)

19,947,461

 

TOTAL INVESTMENTS (146.4%)
(Cost $1,146,037,592)

1,131,259,451

 

​

​

​

MANDATORY REDEEMABLE PREFERRED SHARES, AT LIQUIDATION VALUE (-12.9%)

(100,000,000)

 

​

LIABILITIES, LESS OTHER ASSETS (-33.5%)

(258,454,093)

 

​

NET ASSETS (100.0%)

$772,805,358​

NUMBER OF
CONTRACTS/
 NOTIONAL
  AMOUNT

 

VALUE

WRITTEN OPTION (0.0%) # 

Consumer Discretionary (0.0%) 

51
9,460,449

​

Booking Holdings, Inc.
Put, 06/21/19, Strike $1,650.00
(Premium $302,056)

(87,975)​

NOTES TO SCHEDULE OF INVESTMENTS

µSecurity, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $20,534,234 (see Note 6 – Notes Payable).

*Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.

^Security, or portion of security, is on loan.

@In default status and considered non-income producing.

‡Variable rate security. The rate shown is the rate in effect at April 30, 2019.

&Illiquid security.

~Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options. The aggregate value of such securities is $903,215.

§Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.

!This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.

¤The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security.

**Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at April 30, 2019.

#Non-income producing security.

***The rate disclosed is the 7 day net yield as of April 30, 2019.

Note: The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.


​

See accompanying Notes to Financial Statements 

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   27

Statement of Assets and Liabilities April 30, 2019 (Unaudited)

Assets

​

​

​

Investments in securities, at value (cost $1,146,037,592)

$

1,131,259,451

​

Cash with custodian (interest bearing)

​

67,618

​

Receivables:

​

​

​

Accrued interest and dividends

​

8,864,507

​

Investments sold

​

16,308,574

​

Prepaid expenses

​

460,349

​

Other assets

​

167,948

​

Total assets

​

1,157,128,447

​

 

LIABILITIES

​

​

​

Options written, at value (premium $302,056)

​

87,975

​

Mandatory Redeemable Preferred Shares ($25 liquidation value per share applicable to 4,000,000 shares authorized,
issued, and outstanding) (net of deferred offering costs of $836,122) (Note 7)

​

99,163,878

​

Payables:

​

​

​

Notes payable

​

277,400,000

​

Distributions payable to Mandatory Redeemable Preferred Shareholders

​

256,815

​

Investments purchased

​

5,797,404

​

Affiliates:

​

​

​

Investment advisory fees

​

750,473

​

Deferred compensation to trustees

​

167,948

​

Trustees’ fees and officer compensation

​

20,577

​

Other accounts payable and accrued liabilities

​

678,019

​

Total liabilities

​

384,323,089

​

NET ASSETS

$

772,805,358

​

 

COMPOSITION OF NET ASSETS

​

​

​

Common stock, no par value, unlimited shares authorized 70,872,811 shares issued and outstanding

$

803,099,676

​

Undistributed net investment income (loss)

​

(21,732,600

)

Accumulated net realized gain (loss) on investments and written options

​

6,002,342

​

Unrealized appreciation (depreciation) of investments and written options

​

(14,564,060

)

NET ASSETS

$

772,805,358

​

Net asset value per common shares based upon 70,872,811 shares issued and outstanding

$

10.90

​

​

Statement of Operations Six Months Ended April 30, 2019 (Unaudited)

28   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

See accompanying Notes to Financial Statements

INVESTMENT INCOME

​

​

​

Interest

$

25,110,126

​

Dividends

​

3,593,261

​

Total Investment Income

​

28,703,387

​

 

EXPENSES

​

​

​

Investment advisory fees

​

4,434,845

​

Interest expense on Notes Payable (Note 6)

​

3,741,478

​

Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares (Notes 1 and 7)

​

2,013,324

​

Printing and mailing fees

​

56,457

​

Fund administration fees

​

50,451

​

Legal fees

​

44,229

​

Accounting fees

​

38,790

​

Trustees’ fees and officer compensation

​

27,926

​

Audit fees

​

26,828

​

Transfer agent fees

​

16,015

​

Custodian fees

​

11,262

​

Registration fees

​

8,980

​

Other

​

73,972

​

Total expenses

​

10,544,557

​

NET INVESTMENT INCOME (LOSS)

​

18,158,830

​

 

REALIZED AND UNREALIZED GAIN (LOSS)

​

​

​

Net realized gain (loss) from:

​

​

​

Investments, excluding purchased options

​

(242,142

)

Purchased options

​

(2,101,024

)

Written options

​

(50,063

)

Change in net unrealized appreciation/(depreciation) on:

​

​

​

Investments, excluding purchased options

​

47,511,399

​

Purchased options

​

2,028,397

​

Written options

​

213,064

​

NET GAIN (LOSS)

​

47,359,631

​

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

$

65,518,461

​

​

Statements of Changes in Net Assets

See accompanying Notes to Financial Statements 

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   29

(Unaudited)
Six Months
Ended
April 30,
2019

 


Year
Ended
October 31, 2018

​

 

OPERATIONS

​

​

​

​

​

Net investment income (loss)

$

18,158,830

​

$

40,330,614

​

Net realized gain (loss)

​

(2,393,229

)

​

51,164,984

​

Change in unrealized appreciation/(depreciation)

​

49,752,860

​

​

(74,760,138

)

Net increase (decrease) in net assets applicable to common shareholders resulting from operations

​

65,518,461

​

​

16,735,460

​

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS

​

​

​

​

​

Total distributions

​

(34,018,953

)

​

(79,591,792

)

Net decrease in net assets from distributions to common shareholders

​

(34,018,953

)

​

(79,591,792

)

 

CAPITAL STOCK TRANSACTIONS

​

​

​

​

​

Proceeds from shares sold

​

—

​

​

3,750,338

​

Offering costs on shares

​

—

​

​

(31,543

)

Reinvestment of distributions resulting in the issuance of stock

​

—

​

​

2,475,449

​

Net increase (decrease) in net assets from capital stock transactions

​

—

​

​

6,194,244

​

TOTAL INCREASE (DECREASE) IN NET ASSETS

​

31,499,508

​

​

(56,662,088

)

 

NET ASSETS

​

​

​

​

​

Beginning of period

$

741,305,850

​

$

797,967,938

​

End of period

$

772,805,358

​

$

741,305,850

​

​

Statement of Cash Flows

30   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

See accompanying Notes to Financial Statements

 

(Unaudited)
Six Months
Ended
April 30,
2019

 

Year
Ended
October 31,
2018

​

 

CASH FLOWS FROM OPERATING ACTIVITIES:

​

​

​

​

​

​

Net increase/(decrease) in net assets from operations

$

65,518,461

​

$

16,735,460

​

Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash provided by operating activities:

​

​

​

​

​

​

Purchase of investment securities, including purchased options

​

(207,281,898

)

​

(673,388,665

)

Net proceeds from disposition of short term investments

​

3,304,764

​

​

7,098,191

​

Proceeds paid on closing written options

​

(667,777

)

​

(752,981

)

Proceeds from disposition of investment securities, including purchased options

​

237,443,908

​

​

697,557,826

​

Premiums received from written options

​

450,617

​

​

1,647,918

​

Amortization and accretion of fixed-income securities

​

(7,530,285

)

​

(13,333,186

)

Amortization of offering costs on Mandatory Redeemable Preferred Shares

​

76,502

​

​

167,404

​

Net realized gains/losses from investments, excluding purchased options

​

241,698

​

​

(48,896,213

)

Net realized gains/losses from purchased options

​

2,101,024

​

​

(1,538,771

)

Net realized gains/losses from written options

​

50,063

​

​

(744,198

)

Change in unrealized appreciation or depreciation on investments, excluding purchased options

​

(47,511,399

)

​

73,455,391

​

Change in unrealized appreciation or depreciation on purchased options

​

(2,028,397

)

​

1,317,098

​

Change in unrealized appreciation or depreciation on written options

​

(213,064

)

​

(10,364

)

Net change in assets and liabilities:

​

​

​

​

​

​

(Increase)/decrease in assets:

​

​

​

​

​

​

Accrued interest and dividends receivable

​

774,735

​

​

626,923

​

Prepaid expenses

​

(28,749

)

​

(344,633

)

Other assets

​

(10,558

)

​

1,057,521

​

Increase/(decrease) in liabilities:

​

​

​

​

​

​

Payables to affiliates

​

(42,382

)

​

(16,875

)

Other accounts payable and accrued liabilities

​

(2,959

)

​

(100,243

)

Net cash provided by/(used in) operating activities

$

44,644,304

​

$

60,537,603

​

 

CASH FLOWS FROM FINANCING ACTIVITIES:

​

​

​

​

​

​

Proceeds from shares sold

​

—

​

​

3,750,338

​

Offering costs related to shares sold

​

—

​

​

(31,543

)

Distributions to shareholders

​

(34,018,953

)

​

(77,116,343

)

(Decrease)/increase in Distributions to Mandatory Redeemable Preferred Shareholders

​

(53,504

)

​

310,319

​

Offering costs on Mandatory Redeemable Preferred Shares

​

2

​

​

(22,884

)

Net increase/(decrease) in due to custodian bank

​

—

​

​

(331,721

)

(Repayment)/Proceeds from Notes Payable

​

(10,600,000

)

​

13,000,000

​

Net cash provided by/(used in) financing activities

$

(44,672,455

)

$

(60,441,834

)

Net increase/(decrease) in cash

$

(28,151

)

$

95,769

​

Cash and restricted cash at beginning of period

$

95,769

​

$

—

​

Cash at end of period

$

67,618

​

$

95,769

​

Supplemental disclosure

​

​

​

​

​

​

Cash paid for interest on Notes Payable

$

3,824,592

​

$

5,702,742

​

Cash paid for interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares

$

1,959,820

​

$

4,436,971

​

Non-cash financing activities not included herein consists of reinvestment of dividends and distributions

$

—

​

$

2,475,449

​

The following table provides a reconciliation of cash and restricted cash reported within the Statement of Assets and Liabilities that sum to the total of the same such amounts shown in the Statements of Cash Flows.

Cash with custodian

​

67,618

​

​

95,769

​

Restricted cash for swap collateral

​

—

​

​

—

​

Total cash and restricted cash at period end

$

67,618

​

$

95,769

​

​

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   31

Notes to Financial Statements (Unaudited)

Note 1 – Organization and Significant Accounting Policies

Organization. Calamos Convertible Opportunities and Income Fund (the “Fund”) was organized as a Delaware statutory trust on April 17, 2002 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on June 26, 2002.

The Fund’s investment strategy is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest at least 80% of its managed assets in a diversified portfolio of convertibles and non-convertible income securities and under normal circumstances, the Fund will invest at least 35% of its managed assets in convertible securities. The Fund invests in securities with a broad range of maturities. The average term to maturity of the Fund’s securities typically will range from five to ten years. A substantial portion of the Fund’s assets may be invested in below investment grade (high yield, high risk) securities. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).

Significant Accounting Policies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP), and the Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Under U.S. GAAP, management is required to make certain estimates and assumptions at the date of the financial statements and actual results may differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued, have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time a Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.

​

32   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

Notes to Financial Statements (Unaudited)

If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.

When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.

Investment Transactions. Investment transactions are recorded on a trade date basis as of April 30, 2019. 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, Calamos Global Dynamic Income Fund and Calamos Dynamic Convertible and 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.

Income Taxes. No provision has been made for U.S. income taxes because the Fund’s 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 Fund’s taxable income and net realized gains.

Dividends and distributions paid to common 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.

Distributions to holders of mandatory redeemable preferred shares (“MRPS”) as described in Note 7 are accrued on a daily basis and are treated as an operating expense due to the fixed term of the obligation. The distributions are shown on the Statement of

​

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   33

Notes to Financial Statements (Unaudited)

Operations as Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares. For tax purposes, the distributions made to the holders of the MRPS are treated as dividends.

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 2016 - 2018 remain subject to examination by the U.S. and the State of Illinois tax jurisdictions.

Indemnifications. Under the Fund’s 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 Fund’s 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 Fund’s management expects the risk of material loss in connection to a potential claim to be remote.

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 period the Funds 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 and 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, Calamos Global Dynamic Income Fund and Calamos Dynamic Convertible and 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. On October 12, 2018, the Board of Trustees approved terminating the financial accounting services agreement between the Funds and Calamos Advisors effective November 1, 2018. Effective November 1, 2018, the Funds entered into an agreement with Ernst & Young LLP (“EY”) to provide certain tax services to the Funds. The tax services include the following: calculating, tracking and reporting tax adjustments on all assets of each Fund, including but not limited to contingent debt and preferred trust obligations; preparing excise tax and fiscal year distribution schedules; preparing tax information required for financial statement footnotes; preparing state and federal income tax returns; preparing specialized calculations of amortization on convertible securities; preparing year-end dividend disclosure information; providing treaty-based foreign withholding tax reclaim services; providing certain global compliance and reporting services; providing a match service and analysis of the “passive foreign investment company status of foreign corporate entities; and providing services related to corporate actions that may or may not have a tax impact on the Funds’ holdings. Effective November 1, 2018, the Funds entered into an agreement with State Street pursuant to which State Street provides certain administration treasury services to the Funds. These services include: monitoring the calculation of expense accrual amounts for each Fund and making any necessary modifications; managing the Fund’s expenses and expense payment processing; coordinating any expense reimbursement calculations and payment; calculating net investment income dividends and capital gain distributions; coordinating the audits for each Fund; preparing financial reporting statements for each Fund; preparing certain regulatory filings; and calculating asset coverage tests for certain Calamos Funds.

The Fund reimburses Calamos Advisors for a portion of compensation paid to the Fund’s Chief Compliance Officer. This compensation is reported as part of the “Trustees’ fees and officer compensation” expense on the Statement of Operations.

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 their compensation from the Fund. The deferred compensation payable to the participating trustee is credited to the trustee’s 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

​

34   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

Notes to Financial Statements (Unaudited)

the value of the measuring shares. Deferred compensation of $167,948 is included in “Other assets” on the Statement of Assets and Liabilities at April 30, 2019. The Fund’s 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 April 30, 2019.

Note 3 – Investments

The cost of purchases and proceeds from sales of long-term investments for the period ended April 30, 2019 were as follows:

 

U.S. Government Securities

 

Other

Cost of purchases 

$—​

​

$187,956,851​

Proceeds from sales

10,116,035

​

221,357,691

The cost basis of investments for federal income tax purposes at April 30, 2019 was as follows*:

Cost basis of investments

$1,145,735,536​

​

Gross unrealized appreciation

57,198,060

​

Gross unrealized depreciation

(71,762,120

)

Net unrealized appreciation (depreciation)

$(14,564,060​

)

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

Note 4 – Income Taxes

The Fund intends to make monthly distributions from its income available for distribution, which consists of the Fund’s 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.

The tax character of distributions for the period ended April 30, 2019 will be determined at the end of the Fund’s current fiscal year.

Distributions for the year ended October 31, 2018 were characterized for federal income tax purposes as follows:

 

YEAR ENDED OCTOBER 31, 2018

Distributions paid from:

Ordinary income

$81,202,251​

Long-term capital gains

2,348,789

Return of capital

—

As of October 31, 2018, the components of accumulated earnings/(loss) on a tax basis were as follows:

Undistributed ordinary income

$—​

​

Undistributed capital gains

2,739,454

​

Total undistributed earnings

2,739,454

​

Accumulated capital and other losses

—

​

Net unrealized gains/(losses)

(64,378,885

)

Total accumulated earnings/(losses)

(61,639,431

)

Other

(154,395

)

Paid-in-capital

803,099,676

​

Net assets applicable to common shareholders

$741,305,850​

​

​

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   35

Notes to Financial Statements (Unaudited)

Note 5 – 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.

To mitigate the counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting prvisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Generally, collateral is exchanged between the Fund and the counterparty and the amount of collateral due from the Fund or to a counterparty has to exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. When a Fund is required to post collateral under the terms of a derivatives transaction and master netting agreement, the Fund’s custodian holds the collateral in a segregated account, subject to the terms of a tri-party agreement among the Fund, the custodian and the counterparty.  The master netting agreement and tri-party agreement provide, in relevant part, that the counterparty may have rights to the amounts in the segregated account in the event that the Fund defaults in its obligation with respect to the derivative instrument that is subject to the collateral requirement.  When a counterparty is required to post collateral under the terms of a derivatives transaction and master netting agreement, the counterparty delivers such amount to the Fund’s custodian.  The master netting agreement provides, in relevant part, that the Fund may have rights to such collateral in the event that the counterparty defaults in its obligation with respect to the derivative instrument that is subject to the collateral requirement. Generally before a default, neither the Fund nor the counterparty may resell, rehypothecate, or repledge any collateral that it receives.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. 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 April 30, 2019.

Equity Risk. The Fund may engage 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 Fund’s 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.

​

36   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

Notes to Financial Statements (Unaudited)

Options written by the Fund do not typically give rise to counterparty credit risk since options written obligate the Fund and not the counterparty to perform. Exchange traded purchased options have minimal counterparty credit risk to the Fund since the exchange’s clearinghouse, as counterparty to such instruments, guarantees against a possible default.

As of April 30, 2019, the Fund had outstanding purchased options and/or written options as listed on the Schedule of Investments.

Interest Rate Risk. The Fund may engage in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 6 - Notes Payable). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s 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. Please see the disclosure regarding ISDA Master Agreements under Foreign Currency Risk within this note.

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, counterparty’s creditworthiness, and the possible lack of liquidity with respect to the contracts.

As of April 30, 2019, the Fund had no outstanding interest rate swap agreements.

As of April 30, 2019, the Fund had outstanding derivative contracts which are reflected on the Statement of Assets and Liabilities as follows:

 

 

ASSET DERIVATIVES

 

LIABILITY DERIVATIVES

​

Gross amounts at fair value:

​

​

​

​

​

Purchased options(1)

​

$3,344,563​

​

$—​

​

Written options(2)

​

—

 

87,975

​

 

​

$3,344,563​

 

$87,975​

​

(1) Generally, the Statement of Assets and Liabilities location for “Purchased options” is “Investments in securities, at Value.”

(2) Generally, the Statement of Assets and Liabilities location for “Written options” is “Options written, at value.”

For the period ended April 30, 2019, the volume of derivative activity for the Fund is reflected below*

 

 

Volume

Purchased options

​

8,782

Written options

​

526

*Activity during the period is measured by opened number of contracts for options purchased or written.

Note 6 – Notes Payable

The Fund has entered into an Amended and Restated Liquidity Agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to a limit of $430.0 million, as well as engage in securities lending and securities repurchase transactions. Borrowings under the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). Interest on the SSB Agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80%. A commitment fee of .10% is payable on any undrawn balance. For the period ended April 30, 2019,

​

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   37

Notes to Financial Statements (Unaudited)

the average borrowings under the Agreement were $280.9 million. For the period ended April 30, 2019, the average interest rate was 2.70%. As of April 30, 2019, the amount of total outstanding borrowings was $277.4 million, which approximates fair value. The interest rate applicable to the borrowings on April 30, 2019 was 2.71%.

Under the terms of the SSB Agreement, all securities lent through SSB must be secured continuously by collateral received in cash. Cash collateral held by SSB on behalf of a Fund may be credited against the amounts borrowed under the SSB Agreement. Under the terms of the SSB Agreement, SSB will return the value of the collateral to the borrower at the termination of the selected securities loan(s), which will eliminate the credit against the borrowings under the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. The cash collateral credits against the amounts borrowed are not reflected separately in the Statement of Assets and Liabilities but as a component of the Notes Payable. Under the terms of the SSB Agreement, the Fund will receive a rebate payment related to the securities lending and/or securities repurchase transactions which is reflected in interest expense in the Statement of Operations. The Fund has the right to call a loan and obtain the securities loaned at any time. As of April 30, 2019, approximately $255.1 million of securities were on loan ($251.3 million of fixed income securities and $3.8 million of equity securities) under the SSB Agreement which are reflected in the Investment in securities, at value on the Statement of Assets and Liabilities. The borrowings are categorized as Level 2 within the fair value hierarchy.

Note 7 – Mandatory Redeemable Preferred Shares

On September 6, 2017, the Fund issued 4,000,000 mandatory redeemable preferred shares (“MRPS”) with an aggregate liquidation preference of $100.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations.

The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at April 30, 2019.

Series

Term
Redemption
Date

 

Dividend
Rate

 

Shares
(000’s)

 

Liquidation
Preference
Per Share

 

Aggregate
Liquidation
Preference

Series A

9/06/22

​

3.70%

​

1,330

​

$25

​

$33,250,000​

Series B

9/06/24

​

4.00%

​

1,330

​

$25

​

$33,250,000​

Series C

9/06/27

​

4.24%

​

1,340

​

$25

​

$33,500,000​

 

​

​

​

​

​

​

Total

​

$100,000,000​

The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.

Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated “AA” by Fitch Ratings, Inc. (“Fitch”). If on the first day of a monthly dividend period the MRPS of any class are rated lower than “A” by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund), the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS’ dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in “Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares” within the Statement of Operations.

The MRPS rank junior to the Fund’s borrowings under the SSB Agreement and senior to the Fund’s outstanding common stock. The Fund may, at its option, subject to various terms and conditions, redeem the MRPS, in whole or in part, at the liquidation preference amount plus all accumulated but unpaid dividends, plus a make whole premium equal to the discounted value of the remaining scheduled payments. Each class of MRPS is subject to mandatory redemption on the term redemption date specified in the table above. Periodically, the Fund is subject to an overcollateralization test based on applicable rating agency criteria (the “OC Test”) and an asset coverage test with respect to its outstanding senior securities (the “AC Test”). The Fund may be required to redeem MRPS before their term redemption date if it does not comply with one or both tests. So long as any MRPS are outstanding, the Fund may not declare, pay or set aside for payment cash dividends or other distributions on shares of its common stock unless (1) the Fund has

​

38   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

Notes to Financial Statements (Unaudited)

satisfied the OC Test on at least one testing date in the preceding 65 days, (2) immediately after such transaction, the Fund would comply with the AC Test, (3) full cumulative dividends on the MRPS due on or prior to the date of such transaction have been declared and paid and (4) the Fund has redeemed all MRPS required to have been redeemed on such date or has deposited funds sufficient for such redemption, subject to certain grace periods and exceptions.

Except as otherwise required pursuant to the Fund’s governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.

Note 8 – Common Shares

There are unlimited common shares of beneficial interest authorized and 70,872,811 shares outstanding at April 30, 2019. Transactions in common shares were as follows:

 

SIX MONTHS ENDED
April 30, 2019

 

YEAR ENDED
October 31, 2018

Beginning shares

70,872,812

​

70,326,448

Shares sold

—

​

328,462

Shares issued through reinvestment of distributions

—

​

217,902

Shares adjusted

(1

)

—

Ending shares

70,872,811

 

70,872,812

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 Fund’s common shares at the time such common shares are initially sold.

Note 9 – Fair Value Measurements

Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:

•Level 1 – Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

•Level 2 – Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

•Level 3 – Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Fund’s investments.

​

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   39

Notes to Financial Statements (Unaudited)

The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:

 

 

LEVEL 1

 

LEVEL 2

 

LEVEL 3

 

TOTAL

 

Assets: 

​

​

​

​

​

​

​

​

​

Corporate Bonds

$

—

$

362,773,115

$

—

$

362,773,115

​

Convertible Bonds

​

—

​

562,494,878

​

—

​

562,494,878

​

Bank Loans

​

—

​

42,139,782

​

—

​

42,139,782

​

Synthetic Convertible Securities (Corporate Bonds)

​

—

​

16,545,973

​

—

​

16,545,973

​

Synthetic Convertible Securities (Purchased Options)

​

2,919,223

​

—

​

—

​

2,919,223

​

Convertible Preferred Stocks

​

97,307,142

​

4,500,340

​

—

​

101,807,482

​

Common Stocks U.S.

​

22,206,197

​

—

​

—

​

22,206,197

​

Purchased Option

​

425,340

​

—

​

—

​

425,340

​

Short Term Investments

 

19,947,461

 

—

 

—

 

19,947,461

 

Total

$

142,805,363

$

988,454,088

$

—

$

1,131,259,451

 

Liabilities: 

​

​

​

​

​

​

​

​

​

Written Option

$

87,975

$

—

$

—

$

87,975

 

Total

$

87,975

$

—

$

—

$

87,975

 

​

40   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

Financial Highlights

Selected data for a share outstanding throughout each period were as follows:

 

​

(Unaudited)
Six Months
Ended
April 30,
2019

Year Ended October 31,

​

2018

2017

2016

2015

2014

PER SHARE OPERATING PERFORMANCE

Net asset value, beginning of period

​

$10.46

​

$11.35

​

$10.73

​

$11.68

​

$13.45

​

$13.20

​

Income from investment operations:

​

​

​

​

​

​

​

​

​

​

​

​

​

Net investment income (loss)*

​

0.26

​

0.57

​

0.57

​

0.60

​

0.62

​

0.72

​

Net realized and unrealized gain (loss)

​

0.66

​

(0.33

)

1.19

​

(0.41

)

(1.25

)

0.67

​

Total from investment operations

​

0.92

​

0.24

​

1.76

​

0.19

​

(0.63

)

1.39

​

Less distributions to common shareholders from:

​

​

​

​

​

​

​

​

​

​

​

​

​

Net investment income

​

(0.44

)

(1.13

)

(0.67

)

(0.59

)

(0.81

)

(0.95

)

Net realized gains

​

(0.04

)

—

​

(0.08

)

—

​

(0.02

)

(0.19

)

Return of capital

​

—

​

—

​

(0.39

)

(0.55

)

(0.31

)

—

​

Total distributions

​

(0.48

)

(1.13

)

(1.14

)

(1.14

)

(1.14

)

(1.14

)

Premiums from shares sold in at the market offerings

​

—

​

0.00

(a)

0.00

(a)

—

​

0.00

(a)

0.00

(a)

Net asset value, end of period

​

$10.90

​

$10.46

​

$11.35

​

$10.73

​

$11.68

​

$13.45

​

Market value, end of period

​

$10.67

​

$9.91

​

$11.59

​

$9.89

​

$10.41

​

$13.69

​

TOTAL RETURN APPLICABLE TO COMMON SHAREHOLDERS

Total investment return based on:(b)

​

​

​

​

​

​

​

​

​

​

​

​

​

Net asset value

​

9.42%

​

1.81%

​

17.48%

​

3.19%

​

(4.69)%

​

10.90%

​

Market value

​

13.06%

​

(5.54)%

​

30.15%

​

6.72%

​

(16.54)%

​

13.83%

​

RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

Net expenses(c)

​

2.89%

(d)

2.52%

​

1.88%

​

1.74%

​

1.84%

​

1.47%

​

Net investment income (loss)

​

4.97%

(d)

5.11%

​

5.17%

​

5.61%

​

4.90%

​

5.38%

​

SUPPLEMENTAL DATA

Net assets applicable to common shareholders,
end of period (000)

​

$772,805

​

$741,306

​

$797,968

​

$750,773

​

$817,491

​

$931,703

​

Portfolio turnover rate

​

17%

​

58%

​

90%

​

34%

​

36%

​

40%

​

Average commission rate paid

​

$0.0201

​

$0.0270

​

$0.0282

​

$0.0220

​

$0.0303

​

$0.0294

​

Mandatory Redeemable Preferred Shares, at redemption value ($25 per share liquidation preference) (000’s omitted)

​

$100,000

​

$100,000

​

$100,000

​

$—

​

$—

​

$—

​

Notes Payable (000’s omitted)

​

$277,400

​

$288,000

​

$275,000

​

$306,000

​

$353,000

​

$360,000

​

Asset coverage per $1,000 of loan outstanding(e)

​

$4,146

​

$3,921

​

$4,265

​

$3,454

​

$3,316

​

$3,588

​

Asset coverage per $25 liquidation value per share of Mandatory Redeemable Preferred Shares(f)

​

$288

​

$282

​

$293

​

$—

​

$—

​

$—

​

*Net investment income calculated based on average shares method.

(a)Amount is 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 Fund’s 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 Fund’s 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)Ratio of net expenses, excluding interest expense on Notes Payable and interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares, to average net assets was 1.31%, 1.28%, 1.24%, 1.24%, 1.50% and 1.18%, respectively.

(d)Annualized.

(e)Calculated by subtracting the Fund’s total liabilities (not including Notes payable and Mandatory Redeemable Preferred Shares) from the Fund’s total assets and dividing this by the amount of notes payable outstanding, and by multiplying the result by 1,000.

(f)Calculated by subtracting the Fund’s total liabilities (not including Notes payable and Mandatory Redeemable Preferred Shares) from the Fund’s total assets and dividing this by the amount of Mandatory Redeemable Preferred Shares outstanding, and by multiplying the result by 25.

​

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   41

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees of
Calamos Convertible Opportunities and Income Fund

Results of Review of Interim Financial Information

We have reviewed the accompanying statement of assets and liabilities, including the schedule of investments, of Calamos Convertible Opportunities and Income Fund (the “Fund”) as of April 30, 2019, and the related statements of operations, changes in net assets and cash flows, and the financial highlights for the six month period then ended. Based on our review, we are not aware of any material modifications that should be made to the accompanying interim financial statements and financial highlights for it to be in conformity with accounting principles generally accepted in the United States of America.

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the statement of changes in net assets of the Fund for the year ended October 31, 2018, and the financial highlights for each of the five years in the period then ended; and in our report dated December 17, 2018, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights.

Basis for Review Results

This interim financial information is the responsibility of the Fund’s management. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our review in accordance with standards of the PCAOB. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements and financial highlights taken as a whole. Accordingly, we do not express such an opinion.

June 14, 2019

We have served as the auditor of one or more Calamos investment companies since 2003.

​

About Closed-End Funds

42   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

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 fund’s 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 doesn’t affect the closed-end fund manager because there are no new investors buying into or selling out of the fund’s 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 shares and senior securities such as preferred shares and bonds

Sold at NAV plus any sales charge

​

Price determined by the marketplace

Sold through the fund’s distributor

​

Traded in the secondary market

Fund redeems shares at NAV calculated at the close of business day

​

Fund does not redeem shares

You can purchase or sell common shares of closed-end funds daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a discount, which is a market price that is below their net asset value.

Leverage creates risks which may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares and fluctuations in the variable rates of the leverage financing.

Each open-end or closed-end fund should be evaluated individually. Before investing carefully consider the fund’s investment objectives, risks, charges and expenses.

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Managed Distribution Policy

CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT   43

Using a Managed Distribution Policy to Promote Dependable Income and Total Return

The goal of the managed 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, may 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 managed distribution policy for the Fund. Under the policy, monthly distributions paid may include net investment income, net realized short-term capital gains, net realized long-term capital gains and, if necessary, return of capital. 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.

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 the 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 participant’s 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 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 participant’s account. The number of newly issued common shares to be credited to the participant’s 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.

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Automatic Dividend Reinvestment Plan

44   CALAMOS Convertible Opportunities and Income Fund SEMIANNUAL REPORT

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 Agent’s 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 as required by the Plan.

This discussion of the Plan is only summary, and is qualified in its entirety by the Terms and Conditions of the Dividend Reinvestment Plan filed as part of the Fund’s 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.

We’re pleased to provide our shareholders with the additional benefit of the Fund’s Dividend Reinvestment Plan and hope that it may serve your financial plan.

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STAY CONNECTED

www.calamos.com/connect

Visit our Web site for timely fund performance,
detailed fund profiles, fund news and insightful
market commentary.

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.

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A description of the Calamos Proxy Voting Policies and Procedures and the Fund’s proxy voting record for the 12-month period ended June 30 are available free of charge upon request by calling 800.582.6959, by visiting the Calamos Web site at www.calamos.com, by writing Calamos at: Calamos Investments, Attn: Client Services, 2020 Calamos Court, Naperville, IL 60563. The Fund’s proxy voting record is also available free of charge by visiting the SEC Web site at www.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 www.sec.gov. You may also review or, for a fee, copy the forms at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.732.0330.

The Fund’s report to the SEC on Form N-CSR contains certifications by the fund’s 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 Fund’s 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: www.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
Boston, MA

TRANSFER AGENT:

Computershare
P.O. Box 30170
College Station, TX 77842-3170
866.226.8016

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM:

Deloitte & Touche LLP
Chicago, IL

LEGAL COUNSEL:

Ropes & Gray
Chicago, IL

2020 Calamos Court

Naperville, IL 60563-2787

800.582.6959

www.calamos.com

© 2019 Calamos Investments LLC. All Rights Reserved.
Calamos® and Calamos Investments® are registered trademarks of Calamos Investments LLC.

CHISAN 1790 2019

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ITEM 2. CODE OF ETHICS.

 

The information required by this Item 2 is only required in an annual report on this Form N-CSR.

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The information required by this Item 3 is only required in an annual report on this Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

The information required by this Item 4 is only required in an annual report on this Form N-CSR.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

The information required by this Item 5 is only required in an annual report on this Form N-CSR.

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 information required by this Item7 is only required in an annual report on this Form N-CSR.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

(a) The information required by this Item 8 is only required in an annual report on this Form N-CSR.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

The information required by this Item 9 is only required in an annual report on this Form N-CSR.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

No material changes.

ITEM 11. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

The Fund did not participate directly in securities lending activity. See Note [6] to the Financial Statements in Item 1.

ITEM 13. EXHIBITS.

(a)(1) Code of Ethics - Not applicable for semiannual reports.

(a)(2)(i) Certification of Principal Executive Officer.

(a)(2)(ii) Certification of Principal Financial Officer.

(b) Certifications pursuant to Section 906 of the Sarbanes Oxley Act of 2002.

 

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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: June 25, 2019

 

     
By: /s/ Curtis Holloway
     
Name: Curtis Holloway
Title: Principal Financial Officer
Date: June 25, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

     
By: /s/ John P. Calamos, Sr.
     
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: June 25, 2019

 

     
By: /s/ Curtis Holloway
     
Name: Curtis Holloway
Title: Principal Financial Officer
Date: June 25, 2019