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: 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: November 1, 2003 through April 30, 2004
Item 1. Reports to Stockholders
CALAMOS CONVERTIBLE
OPPORTUNITIES AND INCOME FUND
SEMI-ANNUAL REPORT APRIL 30, 2004
[CALAMOS INVESTMENTS LOGO]
Strategies for Serious Money(R)
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
CORPORATE BONDS (86.6%)
BASIC INDUSTRIES (10.4%)
$ 7,452,000 Boise Cascade Corp.(c)
7.000%, 11/01/13 $ 7,859,744
6,624,000 Buckeye Technologies Inc.(c)
8.500%, 10/01/13 7,087,680
4,140,000 Equistar Chemicals, LP(c)
10.625%, 05/01/11 4,657,500
7,096,000 Freeport-McMoRan Copper &
Gold, Inc.(c)
10.125%, 02/01/10 7,841,080
1,449,000 FMC Corp.
10.250%, 11/01/09 1,717,065
14,076,000 Georgia-Pacific Corp.(c)
8.125%, 05/15/11 15,941,070
6,173,000 IPSCO, Inc.(c)
8.750%, 06/01/13 6,944,625
4,554,000 Ispat International(a)(c)
9.750%, 04/01/14 4,667,850
1,913,000 Jarden Corp.
9.750%, 05/01/12 2,161,690
3,726,000 Pope & Talbot, Inc.
8.375%, 06/01/13 3,875,040
6,624,000 Sealed Air Corp.(a)
6.875%, 07/15/33 6,870,837
1,656,000 Shaw Group, Inc.(c)
10.750%, 03/15/10 1,713,960
Steel Dynamics, Inc.
1,656,000 9.500%, 03/15/09(a) 1,858,860
2,484,000 9.500%, 03/15/09(c) 2,788,290
Union Carbide Corp.
2,567,000 7.875%, 04/01/23(c) 2,489,990
3,312,000 7.500%, 06/01/25(c) 3,113,280
1,656,000 6.700%, 04/01/09(c) 1,680,840
--------------
83,269,401
--------------
CAPITAL GOODS - INDUSTRIAL (3.9%)
4,140,000 General Motors Corp.(c)
8.250%, 07/15/23 4,441,504
4,968,000 Hutchison Whampoa
International, Ltd.(a)(c)
6.250%, 01/24/14 4,885,273
1,987,000 IMCO Recycling Inc.
10.375%, 10/15/10 2,131,058
2,484,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 2,794,500
JLG Industries, Inc.(c)
828,000 8.375%, 06/15/12 861,120
3,726,000 8.250%, 05/01/08 4,061,340
4,140,000 Navistar International
Corp.(c)
8.000%, 02/01/08 4,274,550
7,452,000 Terex Corp.(a)
7.375%, 01/15/14 7,805,970
--------------
31,255,315
--------------
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
CAPITAL GOODS - TECHNOLOGY (8.5%)
$ 10,764,000 Avnet, Inc.(c)
9.750%, 02/15/08 $ 12,432,420
10,350,000 EUR FIMEP, SA
11.000%, 02/15/13 14,856,839
4,140,000 Flextronics International,
Ltd.(c)
6.500%, 05/15/13 4,212,450
2,815,000 Monitronics International
Inc.(a)
11.750%, 09/01/10 3,026,125
915,000 Orbital Sciences Corp.
9.000%, 07/15/11 1,006,500
9,108,000 Rayovac Corp.(c)
8.500%, 10/01/13 9,791,100
8,653,000 Sanmina-SCI Corp.
10.375%, 01/15/10 10,167,275
4,057,000 Stoneridge, Inc.
11.500%, 05/01/12 4,868,400
1,656,000 Stratus Technologies, Inc.(a)
10.375%, 12/01/08 1,656,000
5,796,000 Xerox Corp.
7.625%, 06/15/13 5,940,900
--------------
67,958,009
--------------
CONSUMER CYCLICAL (21.0%)
4,140,000 American Airlines, Inc.(a)
7.250%, 02/05/09 4,041,675
7,618,000 Aztar Corp.(c)
8.875%, 05/15/07 7,903,675
6,599,000 GBP EMI Group PLC
9.750%, 5/20/08 12,627,477
1,904,000 Fedders Corp.(a)
9.875%, 03/01/14 1,856,400
1,656,000 Global Cash Access LLC(a)
8.750%, 3/15/12 1,730,520
3,312,000 Imax Corp.(a)
9.625%, 12/01/10 3,361,680
14,283,000 Intrawest Corp.
10.500%, 02/01/10 15,675,593
11,592,000 Isle of Capri Casinos, Inc.
9.000%, 03/15/12 13,127,940
7,535,000 La Quinta Corp.
8.875%, 03/15/11 8,401,525
14,490,000 Mandalay Resort Group(c)
10.250%, 08/01/07 16,917,075
3,726,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 3,996,135
4,140,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 4,367,700
2,360,000 RH Donnelley Financial
Corp.(a)
10.875%, 12/15/12 2,820,200
10,847,000 Royal Caribbean Cruises,
Ltd.(c)
8.750%, 02/02/11 12,284,227
12,834,000 Russell Corp.
9.250%, 05/01/10 13,539,870
16,312,000 Saks, Inc.(c)
8.250%, 11/15/08 18,065,540
See accompanying Notes to Schedule of Investments. 1
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 2,401,000 The Gap, Inc.(c)
10.550%, 12/15/08 $ 2,965,235
4,140,000 The Interpublic Group of
Companies, Inc.(c)
7.250%, 8/15/11 4,420,887
9,936,000 United Rentals, Inc.(a)(c)
7.000%, 02/15/14 9,290,160
10,516,000 Vail Resorts, Inc.(a)
6.750%, 02/15/14 10,358,260
--------------
167,751,774
--------------
CONSUMER GROWTH STAPLES (10.9%)
6,624,000 AOL Time Warner
7.625%, 04/15/31 7,270,993
1,863,000 Alpharma, Inc.(a)(c)
8.625%, 05/01/11 1,965,465
8,280,000 American Greetings Corp.(c)
11.750%, 07/15/08 9,729,000
3,395,000 AmeriPath, Inc.(c)
10.500%, 04/01/13 3,496,850
6,997,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 7,065,522
828,000 CanWest Media, Inc.
7.625%, 04/15/13 885,960
Charter Communications Inc.
2,070,000 11.125%, 01/15/11 1,831,950
3,312,000 9.625%, 11/15/09 2,831,760
6,210,000 Charter Communications
Holdings LLC
10.000%, 04/01/09 5,387,175
4,140,000 Chattem, Inc.(a)
7.000%, 03/01/14 4,057,200
2,484,000 Curative Health Services,
Inc.(a)
10.750%, 05/01/11 2,505,735
4,140,000 DEX Media, Inc.(a)(c)
8.000%, 11/15/13 4,036,500
3,312,000 Hasbro, Inc.
6.600%, 07/15/28 3,196,080
4,720,000 Mariner Health Care,
Inc.(a)(c)
8.250%, 12/15/13 4,790,800
4,637,000 Playtex Products, Inc.(a)(c)
8.000%, 03/01/11 4,892,035
5,382,000 Quintiles Transnational
Corp.(a)
10.000%, 10/01/13 5,597,280
4,140,000 Rite Aid Corp.(c)
9.250%, 06/01/13 4,409,100
8,280,000 Spanish Broadcasting Systems,
Inc.
9.625%, 11/01/09 8,797,500
1,656,000 The Reader's Digest
Association, Inc.(a)(c)
6.500%, 03/01/11 1,680,840
2,484,000 Valeant Pharmaceuticals
International(a)
7.000%, 12/15/11 2,533,680
--------------
86,961,425
--------------
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
CONSUMER STAPLES (4.6%)
$ 3,478,000 Del Monte Foods Company
8.625%, 12/15/12 $ 3,860,580
4,968,000 DIMON, Inc.(c)
7.750%, 06/01/13 4,881,060
Dole Food Company, Inc.
3,312,000 8.625%, 05/01/09 3,560,400
7,452,000 7.250%, 06/15/10(c) 7,545,150
4,968,000 Pinnacle Foods Holding
Corp.(a)(c)
8.250%, 12/01/13 5,210,190
8,280,000 Smithfield Foods, Inc.
7.750%, 05/15/13 8,983,800
2,484,000 United Agri Products(a)
8.250%, 12/15/11 2,825,550
--------------
36,866,730
--------------
CREDIT CYCLICAL (6.0%)
10,764,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 11,705,850
6,603,000 Hovnanian Enterprises, Inc.(c)
7.750%, 05/15/13 6,817,598
7,700,000 Standard Pacific Corp.(c)
9.500%, 09/15/10 8,527,750
6,997,000 Texas Industries, Inc.(c)
10.250%, 06/15/11 7,976,580
7,038,000 WCI Communities, Inc.(c)
7.875%, 10/01/13 7,389,900
4,451,000 EUR Waterford Wedgwood, PLC(a)
9.875%, 12/01/10 5,388,768
--------------
47,806,446
--------------
ENERGY (10.0%)
Chesapeake Energy Corp.
3,312,000 6.875%, 01/15/16(a)(c) 3,378,240
3,726,000 6.875%, 01/15/16(c) 3,800,520
4,554,000 Comstock Resources, Inc.
6.875%, 03/01/12 4,485,690
Forest Oil Corp.
2,484,000 8.000%, 12/15/11(c) 2,757,240
1,656,000 8.000%, 06/15/08 1,821,600
6,624,000 Giant Industries, Inc.
11.000%, 05/15/12 7,452,000
3,809,000 KCS Energy, Inc.(a)
7.125%, 04/01/12 3,828,045
4,554,000 Newfield Exploration
Company(c)
8.375%, 08/15/12 5,054,940
4,968,000 Paramount Resources, Ltd.
7.875%, 11/01/10 4,943,160
9,357,000 Petrobras International
Finance Company(c)
8.375%, 12/10/18 8,842,365
4,140,000 Plains All American Pipeline,
LP(c)
7.750%, 10/15/12 4,746,651
2 See accompanying Notes to Schedule of Investments.
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
Premcor, Inc.(c)
$ 5,299,000 9.500%, 02/01/13 $ 6,093,850
2,256,000 7.500%, 06/15/15 2,391,360
1,656,000 Swift Energy Company
9.375%, 05/01/12 1,846,440
Tesoro Petroleum Corp.
4,401,000 9.625%, 04/01/12(c) 4,984,133
1,656,000 9.000%, 07/01/08(c) 1,726,380
828,000 8.000%, 04/15/08 896,310
2,795,000 Tom Brown, Inc.
7.250%, 09/15/13 3,186,300
7,038,000 Western Gas Resources, Inc.
10.000%, 06/15/09 7,425,090
--------------
79,660,314
--------------
FINANCIAL (3.7%)
7,700,000 Host Marriott Corp.(c)
9.500%, 01/15/07 8,585,500
6,210,000 Leucadia National Corp.(c)
7.000%, 08/15/13 6,365,250
9,108,000 LNR Property Corp.
7.250%, 10/15/13 9,244,620
1,408,000 OMEGA Healthcare Investors,
Inc.(a)
7.000%, 04/01/14 1,443,200
3,229,000 Senior Housing Property Trust
7.875%, 04/15/15 3,438,885
--------------
29,077,455
--------------
TELECOMMUNICATIONS (3.0%)
4,947,000 Avaya, Inc.
11.125%, 04/01/09 5,862,195
4,554,000 DIRECTV, Inc.(c)
8.375%, 03/15/13 5,111,865
5,382,000 General Cable Corp.(a)
9.500%, 11/15/10 5,920,200
1,656,000 iPCS, Escrow Company(a)
11.500%, 05/01/12 1,689,120
5,548,000 Primus Telecommunications
Group, Inc.(a)(c)
8.000%, 01/15/14 5,131,900
--------------
23,715,280
--------------
TRANSPORTATION (2.5%)
2,484,000 GATX Corp.(c)
8.875%, 06/01/09 2,835,441
9,688,000 General Maritime Corp.(c)
10.000%, 03/15/13 10,947,440
5,299,000 Laidlaw Global Securities,
Inc.(a)
10.750%, 06/15/11 5,974,623
--------------
19,757,504
--------------
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
UTILITIES (2.1%)
$ 2,484,000 Calpine Canada Energy Finance,
ULC(c)
8.500%, 05/01/08 $ 1,763,640
Calpine Corp.(c)
8,280,000 8.500%, 02/15/11 5,837,400
7,452,000 7.750%, 04/15/09 5,197,770
1,242,000 Communications & Power
Industries, Inc.(a)
8.000%, 02/01/12 1,273,050
2,484,000 NRG Energy, Inc.(a)(c)
8.000%, 12/15/13 2,515,050
--------------
16,586,910
--------------
TOTAL CORPORATE BONDS
(Cost $652,376,254) 690,666,563
==============
CONVERTIBLE BONDS (16.2%)
CAPITAL GOODS - INDUSTRIAL (1.7%)
13,500,000 Standard Motor Products, Inc.
6.750%, 07/15/09 13,297,500
--------------
CAPITAL GOODS - TECHNOLOGY (3.3%)
6,500,000 ASML Holding, NV
5.750%, 10/15/06 7,556,250
11,000,000 Advanced Micro Devices,
Inc.(c)
4.750%, 02/01/22 11,206,250
7,562,000 Richardson Electronics,
Ltd.(c)
8.250%, 06/15/06 7,467,475
--------------
26,229,975
--------------
CONSUMER CYCLICAL (2.0%)
30,000,000 Royal Caribbean Cruises,
Ltd.(b)
0.000%, 02/02/21 15,787,500
--------------
CONSUMER GROWTH STAPLES (5.0%)
3,900,000 ICN Pharmaceuticals, Inc.
6.500%, 07/15/08 4,119,375
5,000,000 IVAX Corp.
5.500%, 05/15/07 5,131,250
12,600,000 Service Corp.(c)
6.750%, 06/22/08 14,080,500
17,050,000 Skechers USA, Inc.(c)
4.500%, 04/15/07 16,879,500
--------------
40,210,625
--------------
TELECOMMUNICATIONS (4.2%)
12,000,000 Corning, Inc.(c)
4.875%, 03/01/08 12,450,000
20,000,000 Nextel Communications, Inc.(c)
6.000%, 06/01/11 21,500,000
--------------
33,950,000
--------------
TOTAL CONVERTIBLE BONDS
(cost $99,939,893) 129,475,600
==============
See accompanying Notes to Schedule of Investments. 3
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
(+x
SYNTHETIC CONVERTIBLE SECURITIES 21.2%
BONDS - 18.0%
BASIC INDUSTRIES (2.2%)
$ 1,548,000 Boise Cascade Corp.(c)
7.000%, 11/01/13 $ 1,632,700
1,376,000 Buckeye Technologies Inc.(c)
8.500%, 10/01/13 1,472,320
860,000 Equistar Chemicals, LP(c)
10.625%, 05/01/11 967,500
1,474,000 Freeport-McMoRan Copper &
Gold, Inc.(c)
10.125%, 02/01/10 1,628,770
301,000 FMC Corp.
10.250%, 11/01/09 356,685
2,924,000 Georgia-Pacific Corp.(c)
8.125%, 05/15/11 3,311,430
1,282,000 IPSCO, Inc.(c)
8.750%, 06/01/13 1,442,250
946,000 Ispat International(a)(c)
9.750%, 04/01/14 969,650
397,000 Jarden Corp.
9.750%, 05/01/12 448,610
774,000 Pope & Talbot, Inc.
8.375%, 06/01/13 804,960
1,376,000 Sealed Air Corp.(a)
6.875%, 07/15/33 1,427,275
344,000 Shaw Group, Inc.(c)
10.750%, 03/15/10 356,040
Steel Dynamics, Inc.
344,000 9.500%, 03/15/09 (a) 386,140
516,000 9.500%, 03/15/09 (c) 579,210
Union Carbide Corp.
533,000 7.875%, 04/01/23 (c) 517,010
688,000 7.500%, 06/01/25 (c) 646,720
344,000 6.700%, 04/01/09 (c) 349,160
--------------
17,296,430
--------------
CAPITAL GOODS - INDUSTRIAL (0.8%)
860,000 General Motors Corp.(c)
8.250%, 07/15/23 922,631
1,032,000 Hutchison Whampoa
International, Ltd.(a)(c)
6.250%, 01/24/14 1,014,815
413,000 IMCO Recycling Inc.
10.375%, 10/15/10 442,942
516,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 580,500
JLG Industries, Inc.(c)
172,000 8.375%, 06/15/12 178,880
774,000 8.250%, 05/01/08 843,660
860,000 Navistar International
Corp.(c)
8.000%, 02/01/08 887,950
1,548,000 Terex Corp.(a)
7.375%, 01/15/14 1,621,530
--------------
6,492,908
--------------
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
CAPITAL GOODS - TECHNOLOGY (1.8%)
$ 2,236,000 Avnet, Inc.(c)
9.750%, 02/15/08 $ 2,582,580
2,150,000 EUR FIMEP, SA
11.000%, 02/15/13 3,086,203
860,000 Flextronics International,
Ltd.(c)
6.500%, 05/15/13 875,050
585,000 Monitronics International
Inc.(a)
11.750%, 09/01/10 628,875
190,000 Orbital Sciences Corp.
9.000%, 07/15/11 209,000
1,892,000 Rayovac Corp.(c)
8.500%, 10/01/13 2,033,900
1,797,000 Sanmina-SCI Corp.
10.375%, 01/15/10 2,111,475
843,000 Stoneridge, Inc.
11.500%, 05/01/12 1,011,600
344,000 Stratus Technologies, Inc.(a)
10.375%, 12/01/08 344,000
1,204,000 Xerox Corp.
7.625%, 06/15/13 1,234,100
--------------
14,116,783
--------------
CONSUMER CYCLICAL (4.4%)
860,000 American Airlines, Inc.(a)
7.250%, 02/05/09 839,575
1,582,000 Aztar Corp.(c)
8.875%, 05/15/07 1,641,325
1,371,000 GBP EMI Group PLC
9.750%, 5/20/08 2,623,469
396,000 Fedders Corp.(a)
9.875%, 03/01/14 386,100
344,000 Global Cash Access LLC(a)
8.750%, 3/15/12 359,480
688,000 Imax Corp.(a)
9.625%, 12/01/10 698,320
2,967,000 Intrawest Corp.
10.500%, 02/01/10 3,256,282
2,408,000 Isle of Capri Casinos, Inc.
9.000%, 03/15/12 2,727,060
1,565,000 La Quinta Corp.
8.875%, 03/15/11 1,744,975
3,010,000 Mandalay Resort Group(c)
10.250%, 08/01/07 3,514,175
774,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 830,115
860,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 907,300
490,000 RH Donnelley Financial
Corp.(a)
10.875%, 12/15/12 585,550
2,253,000 Royal Caribbean Cruises,
Ltd.(c)
8.750%, 02/02/11 2,551,523
2,666,000 Russell Corp.
9.250%, 05/01/10 2,812,630
3,388,000 Saks, Inc.(c)
8.250%, 11/15/08 3,752,210
4 See accompanying Notes to Schedule of Investments.
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
$ 499,000 The Gap, Inc.(c)
10.550%, 12/15/08 $ 616,265
860,000 The Interpublic Group of
Companies, Inc.(c)
7.250%, 8/15/11 918,348
2,064,000 United Rentals, Inc.(a)(c)
7.000%, 02/15/14 1,929,840
2,184,000 Vail Resorts, Inc.(a)
6.750%, 02/15/14 2,151,240
--------------
34,845,782
--------------
CONSUMER GROWTH STAPLES (2.3%)
1,376,000 AOL Time Warner
7.625%, 04/15/31 1,510,399
387,000 Alpharma, Inc.(a)(c)
8.625%, 05/01/11 408,285
1,720,000 American Greetings Corp.(c)
11.750%, 07/15/08 2,021,000
705,000 AmeriPath, Inc.(c)
10.500%, 04/01/13 726,150
1,453,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 1,467,229
172,000 CanWest Media, Inc.
7.625%, 04/15/13 184,040
Charter Communications Inc.
430,000 11.125%, 01/15/11 380,550
688,000 9.625%, 11/15/09 588,240
1,290,000 Charter Communications
Holdings LLC
10.000%, 04/01/09 1,119,075
860,000 Chattem, Inc.(a)
7.000%, 03/01/14 842,800
516,000 Curative Health Services,
Inc.(a)
10.750%, 05/01/11 520,515
860,000 DEX Media, Inc.(a)(c)
8.000%, 11/15/13 838,500
688,000 Hasbro, Inc.
6.600%, 07/15/28 663,920
980,000 Mariner Health Care,
Inc.(a)(c)
8.250%, 12/15/13 994,700
963,000 Playtex Products, Inc.(a)(c)
8.000%, 03/01/11 1,015,965
1,118,000 Quintiles Transnational
Corp.(a)
10.000%, 10/01/13 1,162,720
860,000 Rite Aid Corp.(c)
9.250%, 06/01/13 915,900
1,720,000 Spanish Broadcasting Systems,
Inc.
9.625%, 11/01/09 1,827,500
344,000 The Reader's Digest
Association, Inc.(a)(c)
6.500%, 03/01/11 349,160
516,000 Valeant Pharmaceuticals
International(a)
7.000%, 12/15/11 526,320
--------------
18,062,968
--------------
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
CONSUMER STAPLES (1.0%)
$ 722,000 Del Monte Foods Company
8.625%, 12/15/12 $ 801,420
1,032,000 DIMON, Inc.(c)
7.750%, 06/01/13 1,013,940
Dole Food Company, Inc.
688,000 8.625%, 05/01/09 739,600
1,548,000 7.250%, 06/15/10 (c) 1,567,350
1,032,000 Pinnacle Foods Holding
Corp.(a)(c)
8.250%, 12/01/13 1,082,310
1,720,000 Smithfield Foods, Inc.
7.750%, 05/15/13 1,866,200
516,000 United Agri Products(a)
8.250%, 12/15/11 586,950
--------------
7,657,770
--------------
CREDIT CYCLICAL (1.2%)
2,236,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 2,431,650
1,372,000 Hovnanian Enterprises, Inc.(c)
7.750%, 05/15/13 1,416,590
1,600,000 Standard Pacific Corp.(c)
9.500%, 09/15/10 1,772,000
1,453,000 Texas Industries, Inc.(c)
10.250%, 06/15/11 1,656,420
1,462,000 WCI Communities, Inc.(c)
7.875%, 10/01/13 1,535,100
924,000 EUR Waterford Wedgwood, PLC(a)
9.875%, 12/01/10 1,118,675
--------------
9,930,435
--------------
ENERGY (2.1%)
Chesapeake Energy Corp.
688,000 6.875%, 01/15/16(a)(c) 701,760
774,000 6.875%, 01/15/16(c) 789,480
946,000 Comstock Resources, Inc.
6.875%, 03/01/12 931,810
Forest Oil Corp.
516,000 8.000%, 12/15/11(c) 572,760
344,000 8.000%, 06/15/08 378,400
1,376,000 Giant Industries, Inc.
11.000%, 05/15/12 1,548,000
791,000 KCS Energy, Inc.(a)
7.125%, 04/01/12 794,955
946,000 Newfield Exploration
Company(c)
8.375%, 08/15/12 1,050,060
1,032,000 Paramount Resources, Ltd.
7.875%, 11/01/10 1,026,840
1,943,000 Petrobras International
Finance Company(c)
8.375%, 12/10/18 1,836,135
860,000 Plains All American Pipeline,
LP(c)
7.750%, 10/15/12 986,019
See accompanying Notes to Schedule of Investments. 5
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
Premcor, Inc.(c)
$ 1,101,000 9.500%, 02/01/13 $ 1,266,150
469,000 7.500%, 06/15/15 497,140
344,000 Swift Energy Company
9.375%, 05/01/12 383,560
Tesoro Petroleum Corp.
914,000 9.625%, 04/01/12(c) 1,035,105
344,000 9.000%, 07/01/08(c) 358,620
172,000 8.000%, 04/15/08 186,190
580,000 Tom Brown, Inc.
7.250%, 09/15/13 661,200
1,462,000 Western Gas Resources, Inc.
10.000%, 06/15/09 1,542,410
--------------
16,546,594
--------------
FINANCIAL (0.7%)
1,600,000 Host Marriott Corp.(c)
9.500%, 01/15/07 1,784,000
1,290,000 Leucadia National Corp.(c)
7.000%, 08/15/13 1,322,250
1,892,000 LNR Property Corp.
7.250%, 10/15/13 1,920,380
292,000 OMEGA Healthcare Investors,
Inc.(a)
7.000%, 04/01/14 299,300
671,000 Senior Housing Property Trust
7.875%, 04/15/15 714,615
--------------
6,040,545
--------------
TELECOMMUNICATIONS (0.6%)
1,027,000 Avaya, Inc.
11.125%, 04/01/09 1,216,995
946,000 DIRECTV, Inc.(c)
8.375%, 03/15/13 1,061,885
1,118,000 General Cable Corp.(a)
9.500%, 11/15/10 1,229,800
344,000 iPCS, Escrow Company(a)
11.500%, 05/01/12 350,880
1,152,000 Primus Telecommunications
Group, Inc.(a)(c)
8.000%, 01/15/14 1,065,600
--------------
4,925,160
--------------
TRANSPORTATION (0.5%)
516,000 GATX Corp.(c)
8.875%, 06/01/09 589,005
2,012,000 General Maritime Corp.(c)
10.000%, 03/15/13 2,273,560
1,101,000 Laidlaw Global Securities,
Inc.(a)
10.750%, 06/15/11 1,241,377
--------------
4,103,942
--------------
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
UTILITIES (0.4%)
$ 516,000 Calpine Canada Energy Finance,
ULC(c)
8.500%, 05/01/08 $ 366,360
Calpine Corp.(c)
1,720,000 8.500%, 02/15/11 1,212,600
1,548,000 7.750%, 04/15/09 1,079,730
258,000 Communications & Power
Industries, Inc.(a)
8.000%, 02/01/12 264,450
516,000 NRG Energy, Inc.(a)(c)
8.000%, 12/15/13 522,450
--------------
3,445,590
--------------
TOTAL BONDS 143,464,907
--------------
NUMBER OF
CONTRACTS VALUE
-----------------------------------------------------------------
OPTIONS (3.2%)
BASIC INDUSTRIES (0.1%)
1,600 Freeport-McMoRan Copper &
Gold, Inc.(b)
Call, 01/21/06, Strike 45.00 416,000
--------------
CAPITAL GOODS - TECHNOLOGY (0.7%)
3,000 Advanced Micro Devices,
Inc.(b)
Call, 01/21/06, Strike 22.50 540,000
1,400 Broadcom Corp.(b)
Call, 01/21/06, Strike 50.00 791,000
Intel Corp.(b)
1,900 Call, 01/21/06, Strike 35.00 342,000
900 Call, 01/21/06, Strike 27.50 369,000
4,200 Motorola, Inc.(b)
Call, 01/21/06, Strike 20.00 1,218,000
1,600 National Semiconductor
Corp.(b)
Call, 01/21/06, Strike 50.00 1,056,000
2,500 Sybase, Inc.(b)
Call, 01/21/06, Strike 20.00 562,500
Texas Instruments, Inc.(b)
2,200 Call, 01/21/06, Strike 40.00 308,000
800 Call, 01/21/06, Strike 30.00 288,000
--------------
5,474,500
--------------
CONSUMER CYCLICAL (0.7%)
650 American Standard Companies,
Inc.(b)
Call, 01/21/06, Strike 110.00 838,500
2,000 Carnival Corp.(b)
Call, 01/21/06, Strike 45.00 1,100,000
2,200 International Game
Technology(b)
Call, 01/21/06, Strike 45.00 1,034,000
6 See accompanying Notes to Schedule of Investments.
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
-----------------------------------------------------------------
3,800 Metro-Goldwyn-Mayer, Inc.(b)
Call, 01/21/06, Strike 17.50 $ 1,634,000
1,500 Nordstrom, Inc.(b)
Call, 01/21/06, Strike 40.00 630,000
1,300 J.C. Penney Company, Inc.
Holdings Company(b)
Call, 01/21/06, Strike 40.00 481,000
--------------
5,717,500
--------------
CONSUMER GROWTH STAPLES (0.7%)
1,400 Bausch & Lomb, Inc.(b)
Call, 01/21/06, Strike 60.00 1,428,000
1,600 Federated Department Stores,
Inc.(b)
Call, 01/21/06, Strike 55.00 960,000
1,500 Guidant Corp.(b)
Call, 01/21/06, Strike 70.00 1,207,500
2,700 Pfizer, Inc.(b)
Call, 01/21/06, Strike 37.50 918,000
2,560 Starbucks Corp.(b)
Call, 01/21/06, Strike 45.00 1,126,400
--------------
5,639,900
--------------
CONSUMER STAPLES (0.3%)
1,700 Altria Group, Inc.(b)
Call, 01/21/06, Strike 55.00 969,000
4,000 Tyson Foods, Inc.(b)
Call, 01/21/06, Strike 17.50 1,520,000
--------------
2,489,000
--------------
ENERGY (0.5%)
1,750 Amerada Hess Corp.(b)
Call, 01/21/06, Strike 70.00 1,688,750
2,300 Apache Corp.(b)
Call, 01/21/06, Strike 45.00 1,276,500
2,400 Transocean, Inc.(b)
Call, 01/21/06, Strike 30.00 1,128,000
--------------
4,093,250
--------------
FINANCIAL (0.1%)
850 Countrywide Financial Corp.(b)
Call, 01/21/06, Strike 63.375 1,204,875
--------------
NUMBER OF
CONTRACTS VALUE
-----------------------------------------------------------------
TELECOMMUNICATIONS (0.1%)
2,000 Nextel Communications, Inc.(b)
Call, 01/21/06, Strike 30.00 $ 545,000
--------------
TOTAL OPTIONS 25,580,025
--------------
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES
(Cost $162,853,503) 169,044,932
==============
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (17.8%)
CAPITAL GOODS - INDUSTRIAL (5.0%)
179,000 Cummins, Inc.(c)
7.000% 12,820,875
486,000 Ford Motor Company Capital
Trust II
6.500% 27,424,980
--------------
40,245,855
--------------
CAPITAL GOODS - TECHNOLOGY (0.9%)
135,300 Agilysys, Inc.
6.750% 6,815,738
--------------
CONSUMER CYCLICAL (1.5%)
210,000 The Interpublic Group of
Companies, Inc.
5.375% 12,083,400
--------------
CONSUMER GROWTH STAPLES (2.4%)
377,000 Cendant Corp.(c)
7.750% 18,774,600
--------------
FINANCIAL (2.9%)
650,000 National Australia Bank, Ltd.
7.875% 23,341,500
--------------
INDUSTRIAL (0.7%)
225,000 General Motors Corp.
5.250% 5,683,500
--------------
UTILITIES (4.4%)
410,000 AES Trust III(c)
6.750% 17,220,000
350,000 CenterPoint Energy, Inc.
(AOL Time Warner)
2.000% 11,692,800
140,000 TXU Corp.(c)
8.125% 5,878,600
--------------
34,791,400
--------------
TOTAL CONVERTIBLE PREFERRED
STOCK
(Cost $115,399,998) 141,735,993
==============
See accompanying Notes to Schedule of Investments. 7
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------
SHORT TERM INVESTMENTS (41.3%)
$320,375,130 Bank of New York Institutional
Cash Reserve Fund(d)
current rate 1.116% $ 320,375,130
8,821,000 Exxon Mobil Corp. Commercial
Paper
0.840%, 05/03/04 8,820,588
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $329,195,719) 329,195,718
==============
TOTAL INVESTMENTS (183.1%)
(Cost $1,359,765,367) 1,460,118,806
==============
LIABILITIES, LESS OTHER ASSETS (-34.9%) (278,802,777)
PREFERRED SHARES AT REDEMPTION VALUE, INCLUDING
DIVIDENDS PAYABLE (-48.2%)
(384,012,480)
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
(100.0%) $ 797,303,549
==============
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 April 30, 2004, the market value of 144A
securities that can not currently be exchanged to the registered form is
$171,547,643 or 21.5% of net assets applicable to common shareholders of the
Fund.
(b) Non-income producing security.
(c) Security, or portion of security, is on loan.
(d) Security is purchased with the cash collateral from securities loaned.
FOREIGN CURRENCY ABBREVIATIONS
EUR: European Monetary Unit
GBP: Great Britain Pound
8 See accompanying Notes to Schedule of Investments.
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2004 (UNAUDITED)
------------------------------------------------------------------------------
ASSETS
Investments, at value* (cost $1,359,765,367) $1,460,118,806
Cash with custodian (interest bearing) 2,968
Accrued interest and dividends receivable 23,255,353
Receivable for securities sold 15,092,068
Unrealized appreciation on interest rate swaps 7,206,647
Prepaid expenses 85,563
Other assets 17,126
--------------
Total Assets 1,505,778,531
--------------
LIABILITIES
Payable upon return of securities loaned 320,375,130
Payable for investments purchased 3,266,777
Payable to investment advisor 536,976
Payable for preferred shares offering 73,456
Payable for deferred compensation to Trustees 17,126
Other accounts payable and accrued liabilities 193,037
--------------
Total Liabilities 324,462,502
--------------
PREFERRED SHARES
$25,000 liquidation value per share applicable to 15,360
shares, including dividends payable $ 384,012,480
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 797,303,549
==============
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized,
44,481,278 shares issued and outstanding $ 636,151,963
Undistributed net investment income (loss) 8,682,999
Accumulated net realized gain (loss) on investments,
options, foreign currency transactions and interest rate
swaps 44,888,613
Net unrealized appreciation (depreciation) on investments,
options, foreign currency translations and interest rate
swaps 107,579,974
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 797,303,549
==============
Net asset value per common share based on 44,481,278 shares
issued and outstanding $ 17.92
==============
* Includes $306,954,161 of securities loaned.
See accompanying Notes to Financial Statements. 9
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2004 (UNAUDITED)
----------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 40,517,079
Dividends 5,966,495
Securities lending income 380,972
------------
Total investment income 46,864,546
------------
EXPENSES
Investment advisory fees 4,661,740
Auction agent fees 454,469
Audit and legal fees 50,020
Printing and mailing fees 73,794
Custodian fees 44,310
Registration fees 22,451
Transfer agent fees 13,264
Trustees' fees 7,451
Other 56,246
------------
Total expenses 5,383,745
------------
Less expenses waived (1,456,794)
------------
Net expenses 3,926,951
------------
NET INVESTMENT INCOME (LOSS) 42,937,595
------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS,
OPTIONS, FOREIGN CURRENCY AND INTEREST RATE SWAPS
Net realized gain (loss) from:
Investments 44,396,827
Foreign currency transactions 3,134,693
Interest rate swaps (2,643,401)
Change in net unrealized appreciation/depreciation on:
Investments (30,430,983)
Foreign currency translations (25,480)
Interest rate swaps 2,083,062
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS,
OPTIONS, FOREIGN CURRENCY AND INTEREST RATE SWAPS 16,514,718
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 59,452,313
------------
DIVIDENDS TO PREFERRED SHAREHOLDERS FROM
Net investment income (1,947,785)
Capital gains (162,833)
------------
(2,110,618)
------------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS RESULTING FROM OPERATIONS $ 57,341,695
============
10 See accompanying Notes to Financial Statements.
STATEMENT OF CHANGES
IN NET ASSETS
FOR THE
SIX MONTHS ENDED FOR THE
APRIL 30, 2004 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2003
----------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income (loss) $ 42,937,595 $ 77,268,986*
Net realized gain (loss) on investments, options, foreign
currency transactions and interest rate swaps 44,888,119 22,646,333*
Change in net unrealized appreciation/depreciation on
investments, options, foreign currency translations and
interest rate swaps (28,373,401) 167,276,243
Dividends to preferred shareholders from
Net investment income (1,947,785) (2,763,180)
Capital gains (162,833) --
------------ ------------
Net increase (decrease) in net assets applicable to common
shareholders resulting from operations 57,341,695 264,428,382
------------ ------------
DIVIDENDS TO COMMON SHAREHOLDERS FROM
Net investment income (39,774,332) (71,360,002)
Capital gains (19,991,745) --
------------ ------------
Net decrease in net assets from dividends to common
shareholders (59,766,077) (71,360,002)
------------ ------------
CAPITAL STOCK TRANSACTIONS
Offering costs on preferred shares (2,023,000) (92,968)
Reinvestment of dividends resulting in the issuance of
common stock 10,987,420 10,895,006
------------ ------------
Net increase (decrease) in net assets from capital stock
transactions 8,964,420 10,802,038
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS 6,540,038 203,870,418
------------ ------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Beginning of period 790,763,511 586,893,093
------------ ------------
End of period $797,303,549 $790,763,511
------------ ------------
Undistributed net investment income $ 8,682,999 $ 7,467,521
============ ============
* Interest rate swap payments reclassed from net investment income to net
realized gain (loss).
See accompanying Notes to Financial Statements. 11
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 as a diversified, closed-end management
investment company. The Fund commenced operations on June 28, 2002.
The Fund's investment objective is to provide total return, through a
combination of capital appreciation and current income. The Fund currently seeks
to achieve its investment objective by investing substantially all of its assets
in convertible securities and non-convertible income securities.
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 thereof. These procedures may utilize valuations
furnished by pricing services approved by the Board of Trustees or a committee
thereof, 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.
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.
Therefore, such calculation does not take place contemporaneously with the
determination of the prices of many of the portfolio securities used in such
calculation and the value of the Fund's portfolio may be significantly affected
on days when shares of the Fund may not be purchased or redeemed. 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 thereof.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. 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 April 30th
and October 31st, which are recorded on trade date. 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.
FOREIGN CURRENCY TRANSLATION. Values of investments denominated in foreign
currencies are converted into U.S. dollars using the spot market rate of
exchange. Purchases and sales of investments and dividend and interest income
are translated into U.S. dollars using the spot market rate of exchange
prevailing on the respective dates of such transaction.
FEDERAL INCOME TAXES. No provision has been made for Federal income taxes since
the Fund is taxed as a "regulated investment company" under Subchapter M of the
Internal Revenue Code of 1986.
12
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
DIVIDENDS. Dividends payable to shareholders are recorded by the Fund on the
ex-dividend date. Income and capital gain dividends are determined in accordance
with income tax regulations, which may differ from accounting principles
generally accepted in the United States. These differences are primarily due to
differing treatments for foreign currency transactions and contingent payment
debt instruments.
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States requires
management to make estimates and assumptions that affect the amounts reported in
the financial statements and accompanying notes. Actual results may differ from
those estimates.
NOTE 2 - INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with CALAMOS ASSET MANAGEMENT, INC.
("CAM"), the Fund pays an annual fee, payable monthly, equal to 0.80% based on
the average weekly managed assets. "Managed Assets" means the total assets of
the Fund (including any assets attributable to any leverage that may be
outstanding) minus the sum of accrued liabilities (other than debt representing
financial leverage). CAM has contractually agreed to waive a portion of its
management fee at the annual rate of 0.25% of the average weekly managed assets
of the Fund for the first five full years of the Fund's operation (through June
30, 2007) and to waive a declining amount for an additional three years (0.18%
of the average weekly managed assets in 2008, 0.11% in 2009, and 0.04% in 2010).
Under the terms of the Administration Agreement, CAM pays the Administrator,
Princeton Administrators, L.P. a monthly fee at an annual rate of 0.125% of the
Fund's average weekly managed assets, subject to a monthly minimum fee of
$12,500.
Certain portfolio transactions for the Fund may be executed through CALAMOS
FINANCIAL SERVICES, INC. ("CFS") as broker, consistent with the Fund's policy of
obtaining best price and execution. During the six months ended April 30, 2004,
the Fund paid no brokerage commissions to CFS on purchases or sales of Fund
securities.
Certain officers and trustees of the Fund are also officers and directors of CFS
and CAM. All officers and affiliated trustees serve without direct compensation
from the Fund.
The Fund has adopted a deferred compensation plan (the "Plan"). Under the Plan,
a trustee who is not an "interested person" of CAM and has elected to
participate in the Plan (a "participating trustee") may defer receipt of all or
a portion of his compensation from the Fund. The deferred compensation payable
to the participating trustee is credited to the trustee's deferral account as of
the business day such compensation would have been paid to the trustee. The
value of a trustee's deferred compensation account at any time is equal to what
would be the value if the amounts credited to the account had instead been
invested in shares of one or more of the Funds of the Calamos Investment Trust
as designated by the trustee. Thus, the value of the account increases with
contributions to the account or with increases in the value of the measuring
shares, and the value of the account decreases with withdrawals from the account
or with declines in the value of the measuring shares. If a participating
trustee retires, the trustee may elect to receive payments under the plan in a
lump sum or in equal installments over a period of five years. If a
participating trustee dies, any amount payable under the Plan will be paid to
the trustee's beneficiaries. Deferred compensation investments of $17,126 are
included in "Other Assets" on the Statement of Assets and Liabilities at April
30, 2004. The Fund's obligation to make payment under the Plan is a general
obligation of the Fund.
NOTE 3 - INVESTMENTS
Purchases and sales of investments other than short-term obligations for the six
months ended April 30, 2004 were as follows:
Purchases $460,862,052
Proceeds from sales 306,783,135
13
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
The following information is presented on an income tax basis as of April 30,
2004. Differences between amounts for financial statements and Federal income
tax purposes are primarily due to timing differences.
The cost basis of investments for tax purposes at April 30, 2004 was as follows:
Cost basis of investments $1,360,072,218
Gross unrealized appreciation 113,780,424
Gross unrealized depreciation (13,733,836)
--------------
Net unrealized appreciation (depreciation) $ 100,046,588
==============
NOTE 4 - FORWARD FOREIGN CURRENCY CONTRACTS
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 movement in the value of the
foreign currency relative to the U.S. dollar and the ability of the counterparty
to perform. The net unrealized gain, if any, represents the credit risk to the
Fund on a forward foreign currency contract. The contracts are valued daily at
forward exchange rates and an unrealized gain or loss is recorded. The Fund
realizes a gain or loss upon settlement of the contracts. There were no open
forward foreign currency contracts at April 30, 2004.
NOTE 5 - OPTIONS TRANSACTIONS
The Funds may engage in options transactions and in doing so achieve the similar
objectives to what they would achieve through the sale or purchase of individual
securities. For the six months ended April 30, 2004 net realized gain on option
transactions were $3,833,342.
NOTE 6 - DISTRIBUTIONS TO SHAREHOLDERS
The tax character of distributions paid during the year ended October 31, 2003
was as follows:
OCTOBER 31, 2003
--------------------------------------------------------------------------------
Distribution paid from:
Ordinary income $ 74,123,182
Net long-term capital gains --
------------
Total taxable distribution 74,123,182
============
As of October 31, 2003, the components of accumulated
earnings/(losses) on a tax basis were as follows:
Undistributed ordinary income -- net 22,302,635
Undistributed long-term capital gains -- net 5,444,071
------------
Total undistributed earnings -- net 27,746,706
Capital loss carryforward --
------------
Unrealized gains/(losses) -- net 135,829,262*
------------
Total accumulated earnings/(losses) -- net $163,575,968
============
* The difference between book-basis and tax-basis unrealized gains/(losses) is
attributable to the difference between book and tax amortization methods for
premiums and discounts on fixed income securities and other temporary book/tax
differences.
14
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
NOTE 7 - COMMON STOCK
There are unlimited common shares of beneficial interest authorized and
44,481,278 shares outstanding at April 30, 2004. CAM owned 7,213 of the
outstanding shares. Transactions in common shares were as follows:
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 OCTOBER 31, 2003
----------------------------------------------------------------------------------------------------
Beginning shares 43,904,538 43,267,593
Shares sold -- --
Shares issued through reinvestment of distributions 576,740 636,945
---------- ----------
Ending shares 44,481,278 43,904,538
========== ==========
NOTE 8 - PREFERRED SHARES
There are unlimited shares of Auction Market Preferred Shares ("Preferred
Shares") authorized. The Preferred Shares have rights as determined by the Board
of Trustees. The 15,360 shares of Preferred Shares outstanding consist of seven
series, 2,040 shares of M, 2,040 shares of TU, 2,040 shares of W7, 2,400 shares
of W28, 2,400 shares of TH7, 2,040 shares of TH28, and 2,400 shares of F. The
Preferred Shares have a liquidation value of $25,000 per share plus any
accumulated but unpaid dividends whether or not declared.
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven and twenty-eight days based on the results of an auction. Dividend rates
ranged from 1.03% to 1.50% for the six months ended April 30, 2004. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make other
distribution on shares of common stock or purchases any such shares if, at the
time of the declaration, distribution or purchase, asset coverage with respect
to the outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the option of the Fund, in whole or in
part, on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred shares or the holders of common shares.
NOTE 9 - 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
15
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
to make a termination payment, in addition to redeeming all or some of the
preferred shares. Details of the swap agreements outstanding as of April 30,
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 $1,107,615
Merrill Lynch July 3, 2007 65,000 2.3250% 1 month LIBOR 1,899,072
Merrill Lynch July 3, 2008 70,000 2.6850% 1 month LIBOR 2,811,935
Merrill Lynch November 28, 2006 60,000 2.8200% 1 month LIBOR 235,913
Merrill Lynch November 28, 2007 60,000 3.2575% 1 month LIBOR 465,612
Merrill Lynch November 28, 2008 60,000 3.5975% 1 month LIBOR 686,500
------------
$7,206,647
==========
NOTE 10 - SECURITIES LENDING
During the six months ended April 30, 2004, the Fund lent certain of its
securities to broker-dealers and banks. Any such loan must be continuously
secured by collateral in cash or cash equivalents maintained on a current basis
in an amount at least equal to the market value of the securities loaned by the
Fund. The Fund would continue to receive the equivalent of the interest or
dividends paid by the issuer on the securities loaned, and would also receive an
additional return that may be in the form of a fixed fee or a percentage of the
collateral. The Fund may pay reasonable fees to persons unaffiliated with the
Fund for services in arranging these loans. The Fund would have the right to
call the loan and obtain the securities loaned at any time on notice of not more
than five business days. The Fund would not have the right to vote the
securities during the existence of the loan but could call the loan in an
attempt to permit voting of the securities. In the event of bankruptcy or other
default of the borrower, the Fund could experience both delays in liquidating
the loan collateral or recovering the loaned securities and losses, including
(a) possible decline in the value of the collateral or in the value of the
securities loaned during the period while the Fund seeks to enforce its rights
thereto, (b) possible subnormal levels of income and lack of access to income
during this period, and (c) expenses of enforcing its rights. In an effort to
reduce these risks, the investment manager will monitor the creditworthiness of
the firms to which the Fund lends securities. At April 30, 2004, the Fund had
securities valued at $306,954,161 on loan to brokers-dealers and, $320,375,130
in cash equivalent collateral.
16
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD WAS AS
FOLLOWS:
For the Period Ended
For the Six Months October 31,
Ended April 30, 2004 ----------------------
(unaudited) 2003 2002*
----------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 18.01 $ 13.56 $ 14.32(a)
-------- -------- --------
Income from investment operations:
Net investment income (loss) 1.00 1.77(b) 0.39(c)
Net realized and unrealized gain (loss) from investments,
foreign currency and interest rate swaps 0.30 4.38(b) (0.77)
Dividends to preferred shareholders from
Net investment income (common stock equivalent basis) (0.04) (0.06) (0.01)
Capital gains (common stock equivalent basis) --(g) -- --
-------- -------- --------
Total from investment operations 1.26 6.09 (0.39)
----------------------------------------------------------------------------------------------------------------
Less dividends to common shareholders from
Net investment income (0.90) (1.64) (0.29)
Capital gains (0.45) -- --
Capital charge resulting from issuance of common and
preferred shares -- -- (0.08)
-------- -------- --------
----------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 17.92 $ 18.01 $ 13.56
======== ======== ========
Market value, end of period $ 19.07 $ 19.60 $ 14.20
----------------------------------------------------------------------------------------------------------------
Total investment return based on(d):
Net asset value 6.79% 46.48% -3.33%
Market value 4.42% 52.22% -3.33%
----------------------------------------------------------------------------------------------------------------
Ratios and Supplemental Data:
Net assets applicable to common shareholders, end of period
(000's omitted) $797,304 $790,764 $586,893
Preferred shares, at redemption value ($25,000 per share
liquidation preference) (000's omitted) 384,000 204,000 204,000
Ratios to average net assets:
Net expenses 0.99%(e) 0.86% 0.79%(e)
Gross expenses prior waiver of expense by the advisor 1.35%(e) 1.18% 1.06%(e)
Net investment income 10.77%(e) 10.89%(b) 8.21%(e)
Preferred share dividends 0.49%(e) 0.39% 0.23%(e)
Net investment income, net of preferred share dividends
from net investment income 10.28%(e) 10.50%(b) 7.99%(e)
Portfolio turnover rate 28% 42% 2%
Asset coverage per preferred share, at end of period(f) $ 76,909 $121,907 $ 96,934
----------------------------------------------------------------------------------------------------------------
* The Fund commenced operations on June 28, 2002.
(a) Net of sales load of $0.68 on initial shares issued.
(b) Interest rate swap payments reclassed from net investment income to net
realized gain (loss).
(c) Based on average shares method.
(d) 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.
(e) Annualized.
(f) Calculated by subtracting the Fund's total liabilities (not including
preferred shares) from the Fund's total assets and dividing this by the
number of preferred shares outstanding.
(g) Capital gains distributed to preferred shareholders equated to less than
$0.01 per common share.
17
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
CALAMOS Convertible Opportunities and Income Fund
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, 2004, and the related statements of operations
and changes in net assets and the financial highlights for the semi-annual
period then ended. These interim financial statements and financial highlights
are the responsibility of the Fund's management.
We conducted our review in accordance with standards of the Public Company
Accounting Oversight Board (United States). 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 standards
of the Public Company Accounting Oversight Board (United States), the objective
of which is the expression of an opinion regarding the financial statements
taken as a whole. Accordingly, we do not express such an opinion.
Based on our review, we are not aware of any material modifications that should
be made to such interim financial statements and financial highlights for them
to be in conformity with accounting principles generally accepted in the United
States of America.
We have previously audited, in accordance with standards of the Public Company
Accounting Oversight Board (United States), the statement of assets and
liabilities, including the schedule of investments, of the Fund as of October
31, 2003, and the related statements of operations and changes in net assets and
the financial highlights for the year then ended; and in our report dated
December 17, 2003, we expressed an unqualified opinion on those financial
statements and financial highlights.
/s/ Deloitte & Touche LLP
Chicago, Illinois
June 15, 2004
18
FOR 24 HOUR SHAREHOLDER ASSISTANCE
800.432.8224
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB-SITE
www.calamos.com
INVESTMENT ADVISER
CALAMOS ASSET MANAGEMENT, INC.
1111 E. Warrenville Road
Naperville, IL 60563-1463
ADMINISTRATOR
Princeton Administrators, L.P.
P.O. Box 9095
Princeton, NJ 08543-9095
CUSTODIAN AND TRANSFER AGENT
The Bank of New York
P.O. Box 11258
Church Street Station
New York, NY 10286
800.524.4458
INDEPENDENT AUDITORS
Deloitte & Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
[RECYCLED LOGO] 1790 04/04
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END FUNDS.
Not applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 10. 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 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 half-year (the
registrant's second fiscal half-year in the case of an annual report) that
has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 11. EXHIBITS.
(a)(1) Code of Ethics -- Not applicable.
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) 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: July 6, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: July 6, 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: July 6, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: July 6, 2004