UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21080
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible
Opportunities and Income Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 1111 East Warrenville Road, Naperville,
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Asset Management,
Inc., 1111 East Warrenville Road,
Naperville, Illinois
60563-1493
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2004
DATE OF REPORTING PERIOD: May 1, 2004 through July 31, 2004
Item 1. SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
CORPORATE BONDS (92.9%)
CONSUMER DISCRETIONARY (34.9%)
$ 6,718,000 AOL Time Warner
7.625%, 04/15/31 $ 7,413,064
6,634,000 Aztar Corp.(a)(c)
7.875%, 06/15/14 6,741,803
10,916,000 Beazer Homes USA, Inc.(c)
8.375%, 04/15/12 11,734,700
7,557,000 Boise Cascade Corp.(c)
7.000%, 11/01/13 8,501,625
3,359,000 Cadmus Communications Corp.(a)(c)
8.375%, 06/15/14 3,493,360
840,000 CanWest Media, Inc.
7.625%, 04/15/13 879,900
Charter Communications Holdings(c)
6,298,000 10.000%, 04/01/09 4,991,165
3,359,000 9.625%, 11/15/09 2,569,635
2,099,000 11.125%, 01/15/11 1,673,953
4,199,000 DEX Media, Inc.(a)(c)
8.000%, 11/15/13 4,240,990
4,618,000 DIRECTV, Inc. (c)
8.375%, 03/15/13 5,195,250
6,693,000 GBP EMI Group, PLC
9.750%, 05/20/08 12,852,539
1,931,000 Fedders Corp.(a)
9.875%, 03/01/14 1,602,730
2,435,000 Gap, Inc.(c)
10.300%, 12/15/08 2,970,700
6,718,000 General Motors Corp.(c)
8.250%, 07/15/23 6,997,160
1,679,000 Global Cash Access, LLC(a)
8.750%, 03/15/12 1,767,148
3,359,000 Hasbro, Inc.
6.600%, 07/15/28 3,275,025
6,697,000 Hovnanian Enterprises, Inc.(c)
7.750%, 05/15/13 6,897,910
3,359,000 IMAX Corp.(a)(c)
9.625%, 12/01/10 3,157,460
4,199,000 Interpublic Group of Companies, Inc.(c)
7.250%, 08/15/11 4,498,053
14,485,000 Intrawest Corp.
10.500%, 02/01/10 15,716,225
11,756,000 Isle of Capri Casinos, Inc.(c)
9.000%, 03/15/12 12,872,820
1,940,000 Jarden Corp.
9.750%, 05/01/12 2,124,300
3,590,000 Kellwood Company
7.625%, 10/15/17 3,864,366
7,641,000 La Quinta Properties(c)
8.875%, 03/15/11 8,462,407
14,695,000 Mandalay Resort Group
10.250%, 08/01/07 16,495,137
3,779,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 4,043,530
4,199,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 4,429,945
1,679,000 Reader's Digest Association, Inc.(c)
6.500%, 03/01/11 1,670,605
2,393,000 RH Donnelley Financial Corp.(a)
10.875%, 12/15/12 2,811,775
11,000,000 Royal Caribbean Cruises, Ltd.(c)
8.750%, 02/02/11 12,430,000
13,016,000 Russell Corp.(c)
9.250%, 05/01/10 14,024,740
16,542,000 Saks, Inc.(c)
8.250%, 11/15/08 17,989,425
8,397,000 Spanish Broadcasting Systems, Inc.
9.625%, 11/01/09 8,879,827
7,809,000 Standard Pacific Corp.
9.500%, 09/15/10 8,589,900
4,115,000 Stoneridge, Inc.
11.500%, 05/01/12 4,886,562
2,519,000 United Agri Products(a)
8.250%, 12/15/11 2,796,090
10,664,000 Vail Resorts, Inc.(c)
6.750%, 02/15/14 10,610,680
5,878,000 Warner Music Group(a)(c)
7.375%, 04/15/14 5,642,880
4,513,000 EUR Waterford Wedgwood, PLC(a)
9.875%, 12/01/10 4,889,879
7,138,000 WCI Communities, Inc.
7.875%, 10/01/13 7,334,295
-----------
272,019,558
-----------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
CONSUMER STAPLES (9.1%)
$ 1,679,000 Central Garden & Pet Company
9.125%, 02/01/13 $ 1,813,320
4,199,000 Chattem, Inc.
7.000%, 03/01/14 4,094,025
5,206,000 Del Monte Foods Company(c)
8.625%, 12/15/12 5,700,570
5,038,000 DIMON, Inc.(c)
7.750%, 06/01/13 4,760,910
Dole Food Company, Inc.(c)
7,557,000 7.250%, 06/15/10 7,519,215
3,359,000 8.625%, 05/01/09 3,543,745
6,298,000 Jean Coutu Group, Inc.(a)(c)
8.500%, 08/01/14 6,274,382
840,000 Pilgrims Pride Corp.
9.250%, 11/15/13 907,200
5,038,000 Pinnacle Foods Holding Corp.(a)(c)
8.250%, 12/01/13 4,861,670
4,702,000 Playtex Products, Inc.(a)(c)
8.000%, 03/01/11 4,901,835
9,237,000 Rayovac Corp.
8.500%, 10/01/13 9,814,312
3,359,000 Revlon Consumer Products Corp.
7.700%, 07/09/10 3,426,180
4,199,000 Rite Aid Corp.
9.250%, 06/01/13 4,419,447
8,397,000 Smithfield Foods, Inc.
7.750%, 05/15/13 8,942,805
-----------
70,979,616
-----------
ENERGY (10.7%)
7,138,000 Chesapeake Energy Corp.
6.875%, 01/15/16 7,066,620
5,458,000 Comstock Resources, Inc.(c)
6.875%, 03/01/12 5,389,775
Forest Oil Corp.
2,519,000 8.000%, 12/15/11(c) 2,752,008
1,679,000 8.000%, 06/15/08 1,825,913
9,825,000 General Maritime Corp.(c)
10.000%, 03/15/13 10,856,625
4,923,000 Giant Industries, Inc.
11.000%, 05/15/12 5,612,220
3,863,000 KCS Energy, Inc.(a)(c)
7.125%, 04/01/12 3,882,315
4,618,000 Newfield Exploration Company(c)
8.375%, 08/15/12 5,010,530
3,359,000 Overseas Shipholding Group, Inc.
7.500%, 02/15/24 3,107,075
5,038,000 Paramount Resources, Ltd.
7.875%, 11/01/10 4,886,860
9,489,000 Petrobras International Finance Company(c)
8.375%, 12/10/18 9,061,995
4,199,000 Plains All American Pipeline, LP
7.750%, 10/15/12 4,760,520
Premcor, Inc.(c)
5,374,000 9.500%, 02/01/13 6,260,710
2,288,000 7.500%, 06/15/15 2,425,280
2,519,000 Range Resources Corp.(a)
7.375%, 07/15/13 2,581,975
1,679,000 Swift Energy Company
9.375%, 05/01/12 1,813,320
Tesoro Petroleum Corp.(c)
4,463,000 9.625%, 04/01/12 5,121,293
840,000 8.000%, 04/15/08 911,400
-----------
83,326,434
-----------
FINANCIALS (4.1%)
2,519,000 GATX Corp.(c)
8.875%, 06/01/09 2,849,755
7,809,000 Host Marriott Corp.(c)
9.500%, 01/15/07 8,570,378
6,298,000 Leucadia National Corp.(c)
7.000%, 08/15/13 6,203,530
9,237,000 LNR Property Corp.
7.250%, 10/15/13 9,237,000
1,428,000 OMEGA Healthcare Investors, Inc.(a)
7.000%, 04/01/14 1,367,310
3,275,000 Senior Housing Properties Trust
7.875%, 04/15/15 3,414,187
-----------
31,642,160
-----------
HEALTH CARE (3.7%)
1,889,000 Alpharma, Inc.(a)(c)
8.625%, 05/01/11 1,959,838
3,443,000 Ameripath, Inc.(c)
10.500%, 04/01/13 3,511,860
7,096,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 7,271,222
2,519,000 Beverly Enterprises, Inc.(a)(c)
7.875%, 06/15/14 2,544,190
See accompanying Notes of Schedule of Investments
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
$ 2,519,000 Curative Health Services, Inc. (a)
10.750%, 05/01/11 $ 2,292,290
3,359,000 Medcath Corp.(a)
9.875%, 07/15/12 3,434,577
5,458,000 Quintiles Transnational Corp.
10.000%, 10/01/13 5,635,385
2,519,000 Valeant Pharmaceuticals International(a)(c)
7.000%, 12/15/11 2,493,810
-----------
29,143,172
-----------
INDUSTRIALS (8.5%)
4,199,000 AMR Corp. (a)
7.250%, 02/05/09 3,968,055
10,496,000 EUR FIMEP, SA
11.000%, 02/15/13 15,005,406
5,458,000 General Cable Corp.(c)
9.500%, 11/15/10 5,976,510
5,038,000 Hutchison Whampoa International, Ltd.(a)(c)
6.250%, 01/24/14 4,968,672
2,519,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 2,733,115
JLG Industries, Inc.(c)
3,779,000 8.250%, 05/01/08 3,949,055
840,000 8.375%, 06/15/12 869,400
5,374,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 5,978,575
2,855,000 Monitronics International, Inc.(a)
11.750%, 09/01/10 3,094,106
928,000 Orbital Sciences Corp.
9.000%, 07/15/11 1,025,440
1,679,000 Shaw Group, Inc.(c)
10.750%, 03/15/10 1,670,605
7,557,000 Terex Corp.
7.375%, 01/15/14 7,651,462
10,077,000 United Rentals, Inc.(c)
7.000%, 02/15/14 9,245,647
-----------
66,136,048
-----------
INFORMATION TECHNOLOGY (6.2%)
5,016,000 Avaya, Inc.(c)
11.125%, 04/01/09 5,881,260
10,916,000 Avnet, Inc.(c)
9.750%, 02/15/08 12,457,885
3,359,000 Celestica, Inc.(c)
7.875%, 07/01/11 3,451,373
1,260,000 Communications & Power Industries, Inc.
8.000%, 02/01/12 1,278,900
4,199,000 Flextronics International, Ltd.(c)
6.500%, 05/15/13 4,146,513
3,359,000 Freescale Semiconductor, Inc.(a)
7.125%, 07/15/14 3,426,180
8,775,000 Sanmina-Sci Corp.
10.375%, 01/15/10 9,981,562
1,679,000 Stratus Technologies, Inc.(a)
10.375%, 12/01/08 1,637,025
5,878,000 Xerox Corp.(c)
7.625%, 06/15/13 6,054,340
-----------
48,315,038
-----------
MATERIALS (12.0%)
5,038,000 Arch Western Finance, LLC(a)(c)
7.250%, 07/01/13 5,138,760
6,718,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 6,936,335
4,199,000 Equistar Chemicals, LP(c)
10.625%, 05/01/11 4,681,885
1,470,000 FMC Corp.
10.250%, 11/01/09 1,705,200
7,196,000 Freeport-McMoRan Copper & Gold, Inc.(c)
10.125%, 02/01/10 8,023,540
14,275,000 Georgia-Pacific Corp.(c)
8.125%, 05/15/11 16,095,063
2,015,000 IMCO Recycling, Inc.
10.375%, 10/15/10 2,186,275
6,260,000 IPSCO, Inc.
8.750%, 06/01/13 7,042,500
4,618,000 Ispat International, NV(a)(c)
9.750%, 04/01/14 4,791,175
5,038,000 Polyone Corp.(c)
10.625%, 05/15/10 5,415,850
3,779,000 Pope & Talbot, Inc.
8.375%, 06/01/13 3,911,265
6,718,000 Sealed Air Corp.(a)(c)
6.875%, 07/15/33 6,880,119
Steel Dynamics, Inc.
2,519,000 9.500%, 03/15/09(c) 2,808,685
1,679,000 9.500%, 03/15/09 1,872,085
7,096,000 Texas Industries, Inc.
10.250%, 06/15/11 8,124,920
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
Union Carbide Corp.(c)
$ 3,359,000 7.500%, 06/01/25 $ 3,165,857
2,603,000 7.875%, 04/01/23 2,518,402
1,679,000 6.700%, 04/01/09 1,708,382
-----------
93,006,298
-----------
TELECOMMUNICATION SERVICES (1.9%)
1,679,000 IPCS Escrow Company(a)
11.500%, 05/01/12 1,737,765
8,397,000 Nextel Communications, Inc.(c)
7.375%, 08/01/15 8,858,835
5,626,000 Primus Telecommunications Group, Inc.(c)
8.000%, 01/15/14 4,191,370
-----------
14,787,970
-----------
UTILITIES (1.8%)
Calpine Corp.(c)
8,397,000 8.500%, 02/15/11 5,290,110
7,557,000 7.750%, 04/15/09 4,647,555
2,519,000 8.500%, 05/01/08 1,580,673
2,519,000 NRG Energy, Inc.(a)(c)
8.000%, 12/15/13 2,588,272
-----------
14,106,610
-----------
TOTAL CORPORATE BONDS
(Cost $693,851,943) 723,462,904
===========
CONVERTIBLE BONDS (10.8%)
CONSUMER DISCRETIONARY (5.9%)
30,000,000 Royal Caribbean Cruises, Ltd.(b)
0.000%, 02/02/21 16,050,000
17,050,000 Skechers USA, Inc.
4.500%, 04/15/07 16,858,188
13,500,000 Standard Motor Products, Inc.
6.750%, 07/15/09 13,398,750
-----------
46,306,938
-----------
INFORMATION TECHNOLOGY (4.9%)
11,000,000 Advanced Micro Devices, Inc.(c)(e)
4.750%, 02/01/22 10,477,500
6,500,000 ASML Holding, NV
5.750%, 10/15/06 7,296,250
12,000,000 Corning, Inc.
4.875%, 03/01/08 12,555,000
7,562,000 Richardson Electronics, Ltd.(c)
8.250%, 06/15/06 7,495,832
-----------
37,824,582
-----------
TOTAL CONVERTIBLE BONDS
(Cost $71,616,477) 84,131,520
===========
SYNTHETIC CONVERTIBLES SECURITIES (20.9)%
CORPORATE BONDS (17.8)%
CONSUMER DISCRETIONARY (6.7%)
1,282,000 AOL Time Warner
7.625%, 04/15/31 1,414,640
1,266,000 Aztar Corp.(a)(c)
7.875%, 06/15/14 1,286,572
2,084,000 Beazer Homes USA, Inc.(c)
8.375%, 04/15/12 2,240,300
1,443,000 Boise Cascade Corp.(c)
7.000%, 11/01/13 1,623,375
641,000 Cadmus Communications Corp.(a)(c)
8.375%, 06/15/14 666,640
160,000 CanWest Media, Inc.
7.625%, 04/15/13 167,600
Charter Communications Holdings(c)
1,202,000 10.000%, 04/01/09 952,585
641,000 9.625%, 11/15/09 490,365
401,000 11.125%, 01/15/11 319,797
801,000 DEX Media, Inc.(a)(c)
8.000%, 11/15/13 809,010
882,000 DIRECTV, Inc. (c)
8.375%, 03/15/13 992,250
1,277,000 GBP EMI Group, PLC
9.750%, 05/20/08 2,452,217
369,000 Fedders Corp.(a)
9.875%, 03/01/14 306,270
465,000 Gap, Inc.(c)
10.300%, 12/15/08 567,300
1,282,000 General Motors Corp.(c)
8.250%, 07/15/23 1,335,272
321,000 Global Cash Access, LLC(a)
8.750%, 03/15/12 337,852
641,000 Hasbro, Inc.
6.600%, 07/15/28 624,975
1,278,000 Hovnanian Enterprises, Inc.(c)
7.750%, 05/15/13 1,316,340
641,000 IMAX Corp.(a)(c)
9.625%, 12/01/10 602,540
See accompanying Notes of Schedule of Investments
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
$ 801,000 Interpublic Group of Companies, Inc.(c)
7.250%, 08/15/11 $ 858,047
2,765,000 Intrawest Corp.
10.500%, 02/01/10 3,000,025
2,244,000 Isle of Capri Casinos, Inc.(c)
9.000%, 03/15/12 2,457,180
370,000 Jarden Corp.
9.750%, 05/01/12 405,150
685,000 Kellwood Company
7.625%, 10/15/17 737,351
1,459,000 La Quinta Properties(c)
8.875%, 03/15/11 1,615,843
2,805,000 Mandalay Resort Group
10.250%, 08/01/07 3,148,613
721,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 771,470
801,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 845,055
321,000 Reader's Digest Association, Inc.(c)
6.500%, 03/01/11 319,395
457,000 RH Donnelley Financial Corp.(a)
10.875%, 12/15/12 536,975
2,100,000 Royal Caribbean Cruises, Ltd.(c)
8.750%, 02/02/11 2,373,000
2,484,000 Russell Corp.(c)
9.250%, 05/01/10 2,676,510
3,158,000 Saks, Inc.(c)
8.250%, 11/15/08 3,434,325
1,603,000 Spanish Broadcasting Systems, Inc.
9.625%, 11/01/09 1,695,173
1,491,000 Standard Pacific Corp.
9.500%, 09/15/10 1,640,100
785,000 Stoneridge, Inc.
11.500%, 05/01/12 932,188
481,000 United Agri Products(a)
8.250%, 12/15/11 533,910
2,036,000 Vail Resorts, Inc.(c)
6.750%, 02/15/14 2,025,820
1,122,000 Warner Music Group(a)(c)
7.375%, 04/15/14 1,077,120
862,000 EUR Waterford Wedgwood, PLC(a)
9.875%, 12/01/10 933,985
1,362,000 WCI Communities, Inc.
7.875%, 10/01/13 1,399,455
-----------
51,922,590
-----------
CONSUMER STAPLES (1.7%)
321,000 Central Garden & Pet Company
9.125%, 02/01/13 346,680
801,000 Chattem, Inc.
7.000%, 03/01/14 780,975
994,000 Del Monte Foods Company(c)
8.625%, 12/15/12 1,088,430
962,000 DIMON, Inc.(c)
7.750%, 06/01/13 909,090
Dole Food Company, Inc.(c)
1,443,000 7.250%, 06/15/10 1,435,785
641,000 8.625%, 05/01/09 676,255
1,202,000 Jean Coutu Group, Inc.(a)(c)
8.500%, 08/01/14 1,197,493
160,000 Pilgrims Pride Corp.
9.250%, 11/15/13 172,800
962,000 Pinnacle Foods Holding Corp.(a)(c)
8.250%, 12/01/13 928,330
898,000 Playtex Products, Inc.(a)(c)
8.000%, 03/01/11 936,165
1,763,000 Rayovac Corp.
8.500%, 10/01/13 1,873,188
641,000 Revlon Consumer Products Corp.
7.700%, 07/09/10 653,820
801,000 Rite Aid Corp.
9.250%, 06/01/13 843,053
1,603,000 Smithfield Foods, Inc.
7.750%, 05/15/13 1,707,195
-----------
13,549,259
-----------
ENERGY (2.0%)
1,362,000 Chesapeake Energy Corp.
6.875%, 01/15/16 1,348,380
1,042,000 Comstock Resources, Inc.(c)
6.875%, 03/01/12 1,028,975
Forest Oil Corp.
481,000 8.000%, 12/15/11(c) 525,492
321,000 8.000%, 06/15/08 349,087
1,875,000 General Maritime Corp.(c)
10.000%, 03/15/13 2,071,875
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
$ 940,000 Giant Industries, Inc.
11.000%, 05/15/12 $ 1,071,600
737,000 KCS Energy, Inc.(a)(c)
7.125%, 04/01/12 740,685
882,000 Newfield Exploration Company(c)
8.375%, 08/15/12 956,970
641,000 Overseas Shipholding Group, Inc.
7.500%, 02/15/24 592,925
962,000 Paramount Resources, Ltd.
7.875%, 11/01/10 933,140
1,811,000 Petrobras International Finance Company(c)
8.375%, 12/10/18 1,729,505
801,000 Plains All American Pipeline, LP
7.750%, 10/15/12 908,115
Premcor, Inc.(c)
1,026,000 9.500%, 02/01/13 1,195,290
437,000 7.500%, 06/15/15 463,220
481,000 Range Resources Corp.(a)
7.375%, 07/15/13 493,025
321,000 Swift Energy Company
9.375%, 05/01/12 346,680
Tesoro Petroleum Corp.(c)
852,000 9.625%, 04/01/12 977,670
160,000 8.000%, 04/15/08 173,600
-----------
15,906,234
-----------
FINANCIALS (0.8%)
481,000 GATX Corp.(c)
8.875%, 06/01/09 544,157
1,491,000 Host Marriott Corp.(c)
9.500%, 01/15/07 1,636,372
1,202,000 Leucadia National Corp.(c)
7.000%, 08/15/13 1,183,970
1,763,000 LNR Property Corp.
7.250%, 10/15/13 1,763,000
272,000 OMEGA Healthcare Investors, Inc.(a)
7.000%, 04/01/14 260,440
625,000 Senior Housing Properties Trust
7.875%, 04/15/15 651,563
-----------
6,039,502
-----------
HEALTH CARE (0.7%)
361,000 Alpharma, Inc.(a)(c)
8.625%, 05/01/11 374,537
657,000 Ameripath, Inc.(c)
10.500%, 04/01/13 670,140
1,354,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 1,387,434
481,000 Beverly Enterprises, Inc.(a)(c)
7.875%, 06/15/14 485,810
481,000 Curative Health Services, Inc. (a)
10.750%, 05/01/11 437,710
641,000 Medcath Corp.(a)
9.875%, 07/15/12 655,423
1,042,000 Quintiles Transnational Corp.
10.000%, 10/01/13 1,075,865
481,000 Valeant Pharmaceuticals International(a)(c)
7.000%, 12/15/11 476,190
-----------
5,563,109
-----------
INDUSTRIALS (1.6%)
801,000 AMR Corp.(a)
7.250%, 02/05/09 756,945
2,004,000 EUR FIMEP, SA
11.000%, 02/15/13 2,864,980
1,042,000 General Cable Corp.(c)
9.500%, 11/15/10 1,140,990
962,000 Hutchison Whampoa International, Ltd.(a)(c)
6.250%, 01/24/14 948,762
481,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 521,885
JLG Industries, Inc.(c)
721,000 8.250%, 05/01/08 753,445
160,000 8.375%, 06/15/12 165,600
1,026,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 1,141,425
545,000 Monitronics International, Inc.(a)
11.750%, 09/01/10 590,644
177,000 Orbital Sciences Corp.
9.000%, 07/15/11 195,585
321,000 Shaw Group, Inc.(c)
10.750%, 03/15/10 319,395
1,443,000 Terex Corp.
7.375%, 01/15/14 1,461,038
1,923,000 United Rentals, Inc.(c)
7.000%, 02/15/14 1,764,353
-----------
12,625,047
-----------
See accompanying Notes of Schedule of Investments
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (1.2%)
$ 958,000 Avaya, Inc.(c)
11.125%, 04/01/09 $ 1,123,255
2,084,000 Avnet, Inc.(c)
9.750%, 02/15/08 2,378,365
641,000 Celestica, Inc.(c)
7.875%, 07/01/11 658,627
240,000 Communications & Power Industries, Inc.
8.000%, 02/01/12 243,600
801,000 Flextronics International, Ltd.(c)
6.500%, 05/15/13 790,987
641,000 Freescale Semiconductor, Inc.(a)
7.125%, 07/15/14 653,820
1,675,000 Sanmina-Sci Corp.
10.375%, 01/15/10 1,905,313
321,000 Stratus Technologies, Inc.(a)
10.375%, 12/01/08 312,975
1,122,000 Xerox Corp.(c)
7.625%, 06/15/13 1,155,660
-----------
9,222,602
-----------
MATERIALS (2.3%)
962,000 Arch Western Finance, LLC(a)(c)
7.250%, 07/01/13 981,240
1,282,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 1,323,665
801,000 Equistar Chemicals, LP(c)
10.625%, 05/01/11 893,115
280,000 FMC Corp.
10.250%, 11/01/09 324,800
1,374,000 Freeport-McMoRan Copper & Gold, Inc.(c)
10.125%, 02/01/10 1,532,010
2,725,000 Georgia-Pacific Corp.(c)
8.125%, 05/15/11 3,072,437
385,000 IMCO Recycling, Inc.
10.375%, 10/15/10 417,725
1,195,000 IPSCO, Inc.
8.750%, 06/01/13 1,344,375
882,000 Ispat International, NV(a)(c)
9.750%, 04/01/14 915,075
962,000 Polyone Corp.(c)
10.625%, 05/15/10 1,034,150
721,000 Pope & Talbot, Inc.
8.375%, 06/01/13 746,235
1,282,000 Sealed Air Corp.(a)(c)
6.875%, 07/15/33 1,312,937
Steel Dynamics, Inc.
481,000 9.500%, 03/15/09(c) 536,315
321,000 9.500%, 03/15/09 357,915
1,354,000 Texas Industries, Inc.
10.250%, 06/15/11 1,550,330
Union Carbide Corp.(c)
641,000 7.500%, 06/01/25 604,143
497,000 7.875%, 04/01/23 480,848
321,000 6.700%, 04/01/09 326,618
----------
17,753,933
-----------
TELECOMMUNICATION SERVICES (0.4%)
321,000 IPCS Escrow Company(a)
11.500%, 05/01/12 332,235
1,603,000 Nextel Communications, Inc.(c)
7.375%, 08/01/15 1,691,165
1,074,000 Primus Telecommunications Group, Inc.(c)
8.000%, 01/15/14 800,130
-----------
2,823,530
-----------
UTILITIES (0.4%)
Calpine Corp.(c)
1,603,000 8.500%, 02/15/11 1,009,890
1,443,000 7.750%, 04/15/09 887,445
481,000 8.500%, 05/01/08 301,827
481,000 NRG Energy, Inc.(a)(c)
8.000%, 12/15/13 494,228
-----------
2,693,390
-----------
TOTAL CORPORATE BONDS 138,099,196
-----------
NUMBER OF
CONTRACTS VALUE
-------------------------------------------------------------------------------------------
OPTIONS (3.1%)
CONSUMER DISCRETIONARY (1.0%)
2,000 Carnival Corp.(b)
Call, 01/21/06, Strike 45 $ 1,440,000
1,600 Federated Department Stores, Inc.(b)
Call, 01/21/06, Strike 55 696,000
2,200 International Game Technology(b)
Call, 01/21/06, Strike 45 407,000
1,300 J.C. Penney Company, Inc.(b)
Call, 01/21/06, Strike 40 760,500
3,800 Metro-Goldwyn-Mayer, Inc.(b)
Call, 01/21/06, Strike 9.50 1,216,000
1,500 Nordstrom, Inc.(b)
Call, 01/21/06, Strike 40 1,327,500
2,560 Starbucks Corp.(b)
Call, 01/21/06, Strike 45 1,996,800
-----------
7,843,800
-----------
CONSUMER STAPLES (0.6%)
1,700 Altria Group, Inc. (b)
Call, 01/21/06, Strike 55 578,000
1,400 Avon Products, Inc.(b)
Call, 01/20/07, Strike 45 889,000
1,300 Constellation Brands, Inc.(b)
Call, 01/20/07, Strike 35 1,222,000
1,800 Sara Lee Corp.(b)
Call, 01/20/07, Strike 22.50 463,500
4,000 Tyson Foods, Inc.(b)
Call, 01/21/06, Strike 17.50 1,420,000
-----------
4,572,500
-----------
ENERGY (0.8%)
1,750 Amerada Hess Corp.(b)
Call, 01/21/06, Strike 70 3,290,000
2,300 Apache Corp.(b)
Call, 01/21/06, Strike 45 1,725,000
2,400 Transocean, Inc.(b)
Call, 01/21/06, Strike 30 1,032,000
-----------
6,047,000
-----------
HEALTH CARE (0.3%)
1,400 Bausch & Lomb, Inc.(b)
Call, 01/21/06, Strike 60 1,330,000
1,500 Guidant Corp.(b)
Call, 01/21/06, Strike 70 540,000
2,700 Pfizer, Inc.(b)
Call, 01/21/06, Strike 37.50 364,500
-----------
2,234,500
-----------
INDUSTRIALS (0.1%)
1,950 American Standard Companies, Inc.(b)
Call, 01/21/06, Strike 36.63 1,160,250
-----------
INFORMATION TECHNOLOGY (0.3%)
3,000 Advanced Micro Devices, Inc.(b)
Call, 01/21/06, Strike 22.50 270,000
1,400 Broadcom Corp.(b)
Call, 01/21/06, Strike 50 546,000
Intel Corp.(b)
1,900 Call, 01/21/06, Strike 35 152,000
900 Call, 01/21/06, Strike 27.50 243,000
4,200 Motorola, Inc.(b)
Call, 01/21/06, Strike 20 588,000
3,200 National Semiconductor Corp.(b)
Call, 01/21/06, Strike 25 512,000
2,500 Sybase, Inc.(b)
Call, 01/21/06, Strike 20 200,000
-----------
2,511,000
-----------
TOTAL OPTIONS 24,369,050
-----------
TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
(Cost $159,604,369) 162,468,246
===========
See accompanying Notes of Schedule of Investments
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (20.5%)
CONSUMER DISCRETIONARY (5.3%)
486,000 Ford Motor Company Capital Trust II
6.500% $ 25,976,700
225,000 General Motors Corp.
5.250% 5,469,750
210,000 The Interpublic Group of Companies, Inc.
5.375% 10,161,900
------------
41,608,350
------------
CONSUMER STAPLES (1.3%)
380,500 Albertson's, Inc.
7.250% 9,835,925
------------
FINANCIALS (3.6%)
135,500 Capital One Financial Corp.
6.250% 6,967,410
650,000 National Australia Bank, Ltd.
7.875% 21,391,500
------------
28,358,910
------------
INDUSTRIALS (4.2%)
377,000 Cendant Corp.
7.750% 18,604,950
179,000 Cummins Capital Trust I
7.000% 13,984,375
------------
32,589,325
------------
INFORMATION TECHNOLOGY (1.6%)
235,000 Agilysys, Inc.
6.750% 12,308,125
------------
UTILITIES (4.5%)
410,000 AES Trust III(c)
6.750% 17,416,800
CenterPoint Energy, Inc.
350,000 (AOL Time Warner)
2.000% 11,272,450
140,000 TXU Corp.
8.125% 6,349,000
------------
35,038,250
------------
TOTAL CONVERTIBLE
PREFERRED STOCK
(Cost $136,691,043) 159,738,885
------------
SHARES/PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------------------
SHORT TERM INVESTMENTS (39.4%)
296,356,545 Bank of New York Institutional
Cash Reserve Fund(d)
current rate 1.340% 296,356,545
$ 10,433,000 Exxon Mobil Corporation
Commercial Paper
1.100%, 08/02/04 10,432,681
-------------
TOTAL SHORT TERM
(Cost $306,789,226) 306,789,226
=============
TOTAL INVESTMENTS (184.5%)
(Cost $1,368,553,058) 1,436,590,781
=============
LIABILITIES, LESS OTHER ASSETS (-35.2%) (274,126,201)
PREFERRED SHARES AT REDEMPTION VALUE,
INCLUDING DIVIDENDS PAYABLE (-49.3%) (384,101,144)
-------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $ 778,363,436
=============
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market Values for securities denominated in foreign currencies are shown
in U.S. dollars
(a) 144A securities are those that are exempt from registration under Rule 144A
of the Securities Act of 1933, as amended. These securities are generally issued
to qualified institutional buyers ("QIBs"), such as the Fund. Any resale of
these securities must be generally effected through a sale that is exempt from
registration (eg. a sale to another QIB), or the security must be registered for
public sale. At July 31, 2004, the market value of 144A securities that can not
currently be exchanged to the registered form is $134,810,230 or 17.3% of net
assets applicable to common shareholders of the Fund.
(b) Non-income producing security.
(c) Security, or portion of security, is on loan. At July 31, 2004, the Fund
had securities value at $284,545,905 on loan to broker-dealers and banks.
(d) Security is purchased with the cash collateral from securities loaned.
(e) Variable rate security. Coupon changes periodically. Stated rate in effect
at July 31, 2004.
FOREIGN CURRENCY ABBREVIATIONS
EUR: European Monetary Unit
GBP: Great Britain Pound
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
NOTE 1
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities, including options, that are traded on a national securities
exchange are valued at the last reported sales price. Securities quoted on the
NASDAQ National Market System are valued at the Nasdaq Official Closing Price
("NOCP"), as determined by Nasdaq, or lacking an NOCP, the last current
reported sale price as of the time of valuation. Securities traded in the
over-the-counter market and listed securities for which no sales were reported
are valued at the mean of the most recently quoted bid and asked prices.
Short-term securities with maturities of 60 days or less are valued at
amortized cost, which approximates market value. When market quotations are not
readily available or when the valuation methods mentioned above are not
reflective of the fair value of the security, the security is valued at a fair
value following procedures approved by the Board of Trustees or a committee
appointed by the Board of Trustees. The Fund may also use fair value pricing,
if the value of a security it holds is, in the opinion of the valuation
committee or pursuant to Board of Trustees' guidelines, effected by events
occurring after the close of the primary market or exchange on which the
security is traded. These 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 is employed, the value of the portfolio
security used to calculate the Fund's net asset value may differ from quoted or
published prices.
Securities that are principally traded in a foreign market are valued as of the
close of the appropriate exchange or other designated time. Trading in
securities on European and Far Eastern securities exchanges and
over-the-counter markets is normally completed at various times before the
close of business on each day on which the New York Stock Exchange ("NYSE") is
open. Trading of these 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
net asset value is not calculated. As stated above, if the market prices are
not readily available or are not reflective of the fair value of the security,
the security will be valued at a fair value following procedures approved by
the Board of Trustees or a committee appointed by the Board of Trustees.
INVESTMENT TRANSACTIONS Short term investment transactions are recorded on a
trade date basis. Long term investment transactions are recorded on a trade
date plus one basis, except for fiscal quarter ends, which are recorded on
trade date.
NOTE 2
INVESTMENTS. The following information is presented on an income tax basis as of
July 31, 2004. Differences between amounts for financial statements and Federal
income tax purposes are primarily due to timing differences.
The cost basis of investments for Federal income tax purposes at July 31, 2004
was as follows:
Cost basis of investments $ 1,369,437,978
================
Gross unrealized appreciation $ 89,743,087
Gross unrealized depreciation (22,590,284)
----------------
Net unrealized appreciation (depreciation) $ 67,152,803
================
NOTE 3
INTEREST RATE TRANSACTIONS. The Fund may enter into interest rate swap or cap
transactions to attempt to protect itself from increasing dividend or interest
expense on its leverage resulting from increasing short-term interest rates. A
decline in interest rates may result in a decline in the value of the swap or
cap, which may result in a decline in the net asset value of the Fund. In
addition, if the counterparty to an interest rate swap or cap defaults, the
Fund would not be able to use the anticipated receipts under the swap or cap to
offset the dividend or interest payments on the Fund's leverage. At the time an
interest rate swap or cap reaches its scheduled termination, there is a risk
that the Fund would not be able to obtain a replacement transaction or that the
terms of the replacement would not be as favorable as on the expiring
transaction. In addition, if the Fund is required to terminate any swap or cap
early due to the Fund failing to maintain a required 200% asset coverage of the
liquidation value of the outstanding preferred shares or the Fund loses its
credit rating on its preferred shares, then the Fund could be required to make
a termination payment, in addition to redeeming all or some of the preferred
shares. Details of the swap agreements outstanding as of July 31, 2004 were as
follows:
TERMINATION NOTIONAL UNREALIZED
COUNTERPARTY DATE AMOUNT (000) FIXED RATE FLOATING RATE APPRECIATION
------------- ----------------- ------------ ---------- ------------- ------------
Merrill Lynch July 3, 2006 $ 65,000 1.9100% 1 month LIBOR $ 1,252,341
Merrill Lynch July 3, 2007 65,000 2.3250% 1 month LIBOR 1,969,309
Merrill Lynch July 3, 2008 70,000 2.6850% 1 month LIBOR 2,758,984
Merrill Lynch November 28, 2006 60,000 2.8200% 1 month LIBOR 450,486
Merrill Lynch November 28, 2007 60,000 3.2575% 1 month LIBOR 587,729
Merrill Lynch November 28, 2008 60,000 3.5975% 1 month LIBOR 689,082
------------
$ 7,707,931
============
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure
controls and procedures were effective, as of that date, in ensuring that
information required to be disclosed by the registrant in this Form N-Q
was recorded, processed, summarized, and reported on a timely basis.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of
1940) that occurred during the registrant's last fiscal quarter that has
materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Convertible Opportunities and Income Fund
By: /s/ John P. Calamos, Sr.
-----------------------------------------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: September 23, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September 23, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Convertible Opportunities and Income Fund
By: /s/ John P. Calamos, Sr.
-----------------------------------------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: September 23, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September 23, 2004