UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21080
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible
Opportunities and Income Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors, LLC,
2020 Calamos Court,
Naperville, Illinois 60563
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2006
DATE OF REPORTING PERIOD: January 31, 2006
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
ITEM 1. SCHEDULE OF INVESTMENTS January 31, 2006 (UNAUDITED)
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
CORPORATE BONDS (70.3%)
CONSUMER DISCRETIONARY (24.0%)
$ 1,979,000 Asbury Automotive
Group, Inc.
9.000%, 06/15/12 $ 2,018,580
6,571,000 Aztar Corp.@
7.875%, 06/15/14 6,850,267
10,292,000 Beazer Homes USA, Inc.@
8.375%, 04/15/12 10,806,600
3,958,000 DEX Media, Inc.
8.000%, 11/15/13 4,086,635
2,796,000 DIRECTV Financing Company,
Inc.
8.375%, 03/15/13 3,012,690
4,176,000 EchoStar Communications
Corp.*
7.125%, 02/01/16 4,139,460
633,000 EchoStar DBS Corporation
6.625%, 10/01/14 617,175
6,309,000 GBP EMI Group, PLC++
9.750%, 05/20/08 12,168,738
Ford Motor Company
6,096,000 7.875%, 06/15/10 5,741,365
4,750,000 8.625%, 11/01/10 4,576,900
3,958,000 7.450%, 07/16/31 2,938,815
Goodyear Tire & Rubber Company
6,729,000 7.000%, 03/15/28@ 5,652,360
3,167,000 7.857%, 08/15/11 3,103,660
2,771,000 GSC Holdings Corp.
(Gamestop, Inc.)*@
8.000%, 10/01/12 2,705,189
3,167,000 Hasbro, Inc.
6.600%, 07/15/28 3,161,328
6,313,000 Hovnanian Enterprises,
Inc.@
7.750%, 05/15/13 6,391,912
3,167,000 IMAX Corp.@
9.625%, 12/01/10 3,254,092
3,958,000 Intrawest Corp.
7.500%, 10/15/13 4,076,740
11,083,000 Isle of Capri Casinos, Inc.
9.000%, 03/15/12 11,803,395
3,016,000 Jarden Corp.
9.750%, 05/01/12 3,031,080
2,194,000 Kellwood Company@
7.625%, 10/15/17 1,977,492
2,375,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 2,256,250
13,854,000 Mandalay Resort Group@
10.250%, 08/01/07 14,823,780
6,175,000 NCL Holding, ASA
10.625%, 07/15/14 6,491,469
3,562,000 Oxford Industries, Inc.
8.875%, 06/01/11 3,664,407
3,958,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 4,195,480
1,583,000 Reader's Digest
Association, Inc.
6.500%, 03/01/11 1,571,128
2,256,000 RH Donnelley Financial
Corp.*
10.875%, 12/15/12 2,549,280
$ 2,969,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 $ 2,683,634
3,562,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 3,353,887
12,271,000 Russell Corp.
9.250%, 05/01/10 12,593,114
6,333,000 Time Warner
7.625%, 04/15/31 7,056,070
10,054,000 Vail Resorts, Inc.
6.750%, 02/15/14 10,154,540
Warner Music Group
5,542,000 7.375%, 04/15/14 5,555,855
792,000 GBP 8.125%, 04/15/14 1,474,132
6,729,000 WCI Communities, Inc.@
7.875%, 10/01/13 6,594,420
317,000 William Lyon Homes, Inc.
10.750%, 04/01/13 329,680
633,000 Wynn Las Vegas, LLC@
6.625%, 12/01/14 619,549
------------
188,081,148
------------
CONSUMER STAPLES (8.5%)
1,583,000 Central Garden & Pet
Company
9.125%, 02/01/13 1,670,065
3,958,000 Chattem, Inc.
7.000%, 03/01/14 4,007,475
3,444,000 Chiquita Brands
International, Inc.@
7.500%, 11/01/14 3,047,940
4,908,000 Del Monte Foods Company
8.625%, 12/15/12 5,227,020
Dole Food Company, Inc.
7,125,000 7.250%, 06/15/10 6,920,156
3,167,000 8.625%, 05/01/09 3,250,134
9,500,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 9,096,250
2,771,000 NBTY, Inc.*
7.125%, 10/01/15 2,611,668
3,958,000 Pilgrim's Pride Corp.
9.250%, 11/15/13 4,225,165
4,750,000 Pinnacle Foods Holding@
8.250%, 12/01/13 4,595,625
4,433,000 Playtex Products, Inc.
8.000%, 03/01/11 4,771,016
Revlon Consumer Products Corp.++
792,000 10.560%, 04/11/06 818,730
792,000 10.330%, 02/13/06 818,730
792,000 9.920%, 03/08/06 818,730
396,000 9.980%, 02/08/06 409,365
2,533,000 Revlon, Inc.@
9.500%, 04/01/11 2,343,025
7,917,000 Smithfield Foods, Inc.
7.750%, 05/15/13 8,362,331
4,077,000 Spectrum Brands, Inc.@
8.500%, 10/01/13 3,516,413
------------
66,509,838
------------
See accompanying notes to Schedule of Investments
1
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- -----------
ENERGY (8.3%)
$4,750,000 Arch Western Finance, LLC@++
6.750%, 07/01/13 $ 4,821,250
6,729,000 Chesapeake Energy Corp.@
6.875%, 01/15/16 6,897,225
5,146,000 Comstock Resources, Inc.
6.875%, 03/01/12 5,126,702
594,000 Energy Partners, Ltd.
8.750%, 08/01/10 616,275
2,375,000 Forest Oil Corp.@
8.000%, 12/15/11 2,612,500
3,695,000 Giant Industries, Inc.@
11.000%, 05/15/12 4,129,163
3,642,000 KCS Energy, Inc.
7.125%, 04/01/12 3,669,315
8,946,000 Petroleo Brasileiro, SA
8.375%, 12/10/18 10,243,170
Premcor Refining Group, Inc.
5,067,000 9.500%, 02/01/13 5,651,291
2,157,000 7.500%, 06/15/15 2,298,609
2,375,000 Range Resources Corp.
7.375%, 07/15/13 2,499,688
5,542,000 Swift Energy Company@
9.375%, 05/01/12 5,999,215
Williams Companies, Inc.
7,917,000 7.750%, 06/15/31 8,629,530
1,583,000 7.500%, 01/15/31 1,685,895
-----------
64,879,828
-----------
FINANCIALS (2.5%)
E*TRADE Financial Corporation
5,225,000 7.375%, 09/15/13 5,355,625
3,562,000 7.875%, 12/01/15@ 3,740,100
950,000 8.000%, 06/15/11 992,750
5,937,000 Leucadia National Corp.
7.000%, 08/15/13 5,937,000
1,346,000 Omega Healthcare
Investors, Inc.
7.000%, 04/01/14 1,372,920
1,989,000 Senior Housing Properties
Trust
7.875%, 04/15/15 2,078,505
-----------
19,476,900
-----------
HEALTH CARE (5.0%)
3,246,000 Ameripath, Inc.@
10.500%, 04/01/13 3,440,760
6,689,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 7,126,099
2,375,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 2,624,375
435,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 461,100
1,583,000 Biovail Corp.
7.875%, 04/01/10 1,644,341
594,000 DaVita, Inc.
7.250%, 03/15/15 600,683
475,000 Omnicare, Inc.@
6.875%, 12/15/15 477,969
2,771,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 2,881,840
$5,146,000 Quintiles Transnational
Corp.
10.000%, 10/01/13 $ 5,737,790
6,729,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 6,628,065
2,375,000 Valeant Pharmaceuticals
International
7.000%, 12/15/11 2,339,375
5,146,000 Vanguard Health Systems,
Inc.
9.000%, 10/01/14 5,454,760
-----------
39,417,157
-----------
INDUSTRIALS (7.8%)
1,742,000 Accuride Corp.
8.500%, 02/01/15 1,742,000
1,979,000 Armor Holdings, Inc.@
8.250%, 08/15/13 2,147,215
1,187,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 1,255,253
3,167,000 Commercial Vehicle Group,
Inc.
8.000%, 07/01/13 3,214,505
2,375,000 Gardner Denver, Inc.
8.000%, 05/01/13 2,505,625
2,375,000 GATX Corp.
8.875%, 06/01/09 2,609,011
5,146,000 General Cable Corp.
9.500%, 11/15/10 5,506,220
1,012,000 Global Cash Access, Inc.
8.750%, 03/15/12 1,087,900
2,335,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 2,445,912
594,000 Hexcel Corporation
6.750%, 02/01/15 591,030
3,958,000 Hutchison Whampoa, Ltd.*@
6.250%, 01/24/14 4,137,369
JLG Industries, Inc.
3,562,000 8.250%, 05/01/08 3,766,815
792,000 8.375%, 06/15/12@ 855,360
6,729,000 EUR Legrand Holding, SA
11.000%, 02/15/13 9,832,531
2,692,000 Monitronics International,
Inc.
11.750%, 09/01/10 2,678,540
2,739,000 Navistar International
Corp.@
7.500%, 06/15/11 2,725,305
875,000 Orbital Sciences Corp.
9.000%, 07/15/11 942,813
1,187,000 Sequa Corp.
8.875%, 04/01/08 1,264,155
5,542,000 Terex Corp.
7.375%, 01/15/14 5,597,420
950,000 Trinity Industries, Inc.
6.500%, 03/15/14 952,375
2,122,000 United Agri Products, Inc.
8.250%, 12/15/11 2,262,582
2,751,000 Wesco Distribution Inc.*@
7.500%, 10/15/17 2,812,897
-----------
60,932,833
-----------
INFORMATION TECHNOLOGY (5.7%)
7,125,000 Advanced Micro Devices,
Inc.
7.750%, 11/01/12 7,534,687
See accompanying notes to Schedule of Investments
2
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- ------------
$ 554,000 Avago Technologies*@
11.875%, 12/01/15 $ 560,925
3,167,000 Celestica, Inc.@
7.875%, 07/01/11 3,206,588
3,958,000 Flextronics International, Ltd.@
6.500%, 05/15/13 4,007,475
3,958,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 4,205,375
297,000 Sanmina-SCI Corporation
8.125%, 03/01/16 301,455
1,583,000 Stratus Technologies, Inc.
10.375%, 12/01/08 1,654,235
5,423,000 SunGard Data Systems Inc.*@
9.125%, 08/15/13 5,667,035
4,750,000 Telcordia Technologies*
10.000%, 03/15/13 4,370,000
Xerox Corp.@
7,521,000 8.000%, 02/01/27 7,793,636
5,542,000 7.625%, 06/15/13 5,916,085
------------
45,217,496
------------
MATERIALS (6.2%)
Aleris International, Inc.
2,692,000 10.375%, 10/15/10 2,974,660
1,697,000 9.000%, 11/15/14@ 1,781,850
792,000 Crown Holdings, Inc.*@
7.750%, 11/15/15 825,660
3,958,000 Equistar Chemicals, LP
10.625%, 05/01/11 4,373,590
6,784,000 Freeport-McMoRan Copper & Gold, Inc.
10.125%, 02/01/10 7,462,400
633,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 637,748
Ineos Group Holdings, PLC*
3,800,000 EUR 7.875%, 02/15/16 4,617,568
792,000 8.500%, 02/15/16 792,990
5,902,000 IPSCO, Inc.
8.750%, 06/01/13 6,492,200
3,167,000 Neenah Paper, Inc.
7.375%, 11/15/14 2,992,815
6,333,000 Sealed Air Corp.*
6.875%, 07/15/33 6,458,957
1,583,000 Texas Industries, Inc.@
7.250%, 07/15/13 1,642,362
Union Carbide Corp.
3,167,000 7.500%, 06/01/25 3,431,011
2,454,000 7.875%, 04/01/23@ 2,734,438
1,187,000 Westlake Chemical Corporation
6.625%, 01/15/16 1,194,419
------------
48,412,668
------------
TELECOMMUNICATION SERVICES (1.8%)
475,000 Citizens Communications Company
9.000%, 08/15/31 491,625
1,583,000 IPCS Escrow Company
11.500%, 05/01/12 1,832,323
$7,917,000 Sprint Nextel Corporation
7.375%, 08/01/15 $ 8,373,296
3,167,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 3,230,340
------------
13,927,584
------------
UTILITIES (0.5%)
990,000 Edison International
7.730%, 06/15/09 1,022,175
NRG Energy, Inc.
1,859,000 8.000%, 12/15/13 2,082,080
792,000 7.250%, 02/01/14 804,870
------------
3,909,125
------------
TOTAL CORPORATE BONDS
(Cost $533,941,289) 550,764,577
------------
CONVERTIBLE BONDS (15.1%)
CONSUMER DISCRETIONARY (1.2%)
1,913,000 Lions Gate Entertainment Corp.@
3.625%, 03/15/25 1,709,744
7,500,000 Walt Disney Company@
2.125%, 04/15/23 7,706,250
------------
9,415,994
------------
ENERGY (1.5%)
7,500,000 Cal Dive International, Inc.*
3.250%, 12/15/25 11,521,875
------------
FINANCIALS (0.5%)
2,750,000 Deutsche Bank, LUX (USA Interactive)*++
4.880%, 05/01/12 3,581,875
------------
HEALTH CARE (3.2%)
8,500,000 Emdeon Corp.*
3.125%, 09/01/25 7,522,500
5,000,000 Invitrogen Corp.*
3.250%, 06/15/25 4,918,750
7,000,000 LifePoint Hospitals, Inc.*@
3.250%, 08/15/25 5,950,000
6,500,000 Wyeth++
4.239%, 01/15/24 6,769,750
------------
25,161,000
------------
INDUSTRIALS (2.8%)
9,500,000 GATX Corp.
7.500%, 02/01/07 11,898,750
5,500,000 Lockheed Martin Corp.@++
4.090%, 08/15/33 6,026,900
3,000,000 Quanta Services, Inc.@
4.500%, 10/01/23 4,117,500
------------
22,043,150
------------
INFORMATION TECHNOLOGY (5.1%)
5,500,000 Advanced Micro Devices, Inc.++
4.750%, 02/01/22 9,865,625
6,500,000 ASML Holding, NV
5.750%, 10/15/06 8,017,750
5,500,000 DST Systems, Inc.
4.125%, 08/15/23 7,019,375
See accompanying notes to Schedule of Investments
3
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- ------------
$6,500,000 LSI Logic Corp.
4.000%, 05/15/10 $ 6,605,625
2,000,000 Openwave Systems, Inc.@
2.750%, 09/09/08 2,615,000
5,750,000 Vishay Intertechnology, Inc.
3.625%, 08/01/23 5,944,062
------------
40,067,437
------------
UTILITIES (0.8%)
2,950,000 GBP Scottish and Southern Energy, PLC
3.750%, 10/29/09 6,428,528
------------
TOTAL CONVERTIBLE BONDS
(Cost $108,646,032) 118,219,859
------------
SYNTHETIC CONVERTIBLE SECURITIES (21.8%)
CORPORATE BONDS (18.5%)
CONSUMER DISCRETIONARY (6.3%)
521,000 Asbury Automotive Group, Inc.
9.000%, 06/15/12 531,420
1,729,000 Aztar Corp.@
7.875%, 06/15/14 1,802,482
2,708,000 Beazer Homes USA, Inc.@
8.375%, 04/15/12 2,843,400
1,042,000 DEX Media, Inc.
8.000%, 11/15/13 1,075,865
736,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 793,040
1,099,000 EchoStar Communications Corp.*
7.125%, 02/01/16 1,089,384
167,000 EchoStar DBS Corporation
6.625%, 10/01/14 162,825
1,661,000 GBP EMI Group, PLC++
9.750%, 05/20/08 3,203,721
Ford Motor Company
1,604,000 7.875%, 06/15/10 1,510,687
1,250,000 8.625%, 11/01/10 1,204,447
1,042,000 7.450%, 07/16/31 773,685
Goodyear Tire & Rubber Company
1,771,000 7.000%, 03/15/28@ 1,487,640
833,000 7.857%, 08/15/11 816,340
729,000 GSC Holdings Corp. (Gamestop, Inc.)*@
8.000%, 10/01/12 711,686
833,000 Hasbro, Inc.
6.600%, 07/15/28 831,508
1,662,000 Hovnanian Enterprises, Inc.@
7.750%, 05/15/13 1,682,775
833,000 IMAX Corp.@
9.625%, 12/01/10 855,908
1,042,000 Intrawest Corp.
7.500%, 10/15/13 1,073,260
2,917,000 Isle of Capri Casinos, Inc.
9.000%, 03/15/12 3,106,605
794,000 Jarden Corp.
9.750%, 05/01/12 797,970
$ 578,000 Kellwood Company@
7.625%, 10/15/17 $ 520,962
625,000 Landry's Restaurants, Inc.
7.500%, 12/15/14 593,750
3,646,000 Mandalay Resort Group@
10.250%, 08/01/07 3,901,220
1,625,000 NCL Holding, ASA
10.625%, 07/15/14 1,708,281
938,000 Oxford Industries, Inc.
8.875%, 06/01/11 964,967
1,042,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 1,104,520
417,000 Reader's Digest
Association, Inc.
6.500%, 03/01/11 413,873
594,000 RH Donnelley Financial Corp.*
10.875%, 12/15/12 671,220
781,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 705,934
938,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 883,197
3,229,000 Russell Corp.
9.250%, 05/01/10 3,313,761
1,667,000 Time Warner
7.625%, 04/15/31 1,857,330
2,646,000 Vail Resorts, Inc.
6.750%, 02/15/14 2,672,460
Warner Music Group
1,458,000 7.375%, 04/15/14 1,461,645
208,000 GBP 8.125%, 04/15/14 387,146
1,771,000 WCI Communities, Inc.@
7.875%, 10/01/13 1,735,580
83,000 William Lyon Homes, Inc.
10.750%, 04/01/13 86,320
167,000 Wynn Las Vegas, LLC@
6.625%, 12/01/14 163,451
------------
49,500,265
------------
CONSUMER STAPLES (2.2%)
417,000 Central Garden & Pet Company
9.125%, 02/01/13 439,935
1,042,000 Chattem, Inc.
7.000%, 03/01/14 1,055,025
906,000 Chiquita Brands
International, Inc.@
7.500%, 11/01/14 801,810
1,292,000 Del Monte Foods Company
8.625%, 12/15/12 1,375,980
Dole Food Company, Inc.
1,875,000 7.250%, 06/15/10 1,821,094
833,000 8.625%, 05/01/09 854,866
2,500,000 Jean Coutu Group, Inc@
8.500%, 08/01/14 2,393,750
729,000 NBTY, Inc.*
7.125%, 10/01/15 687,082
1,042,000 Pilgrim's Pride Corp.
9.250%, 11/15/13 1,112,335
1,250,000 Pinnacle Foods Holding@
8.250%, 12/01/13 1,209,375
See accompanying notes to Schedule of Investments
4
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- -----------
$1,167,000 Playtex Products, Inc.
8.000%, 03/01/11 $ 1,255,984
Revlon Consumer Products Corp.++
208,000 10.560%, 04/11/06 215,020
208,000 10.330%, 02/13/06 215,020
208,000 9.920%, 03/08/06 215,020
104,000 9.980%, 02/08/06 107,510
667,000 Revlon, Inc.@
9.500%, 04/01/11 616,975
2,083,000 Smithfield Foods, Inc.
7.750%, 05/15/13 2,200,169
1,073,000 Spectrum Brands, Inc.@
8.500%, 10/01/13 925,462
-----------
17,502,412
-----------
ENERGY (2.2%)
1,250,000 Arch Western Finance, LLC@++
6.750%, 07/01/13 1,268,750
1,771,000 Chesapeake Energy Corp.@
6.875%, 01/15/16 1,815,275
1,354,000 Comstock Resources, Inc.
6.875%, 03/01/12 1,348,922
156,000 Energy Partners, Ltd.
8.750%, 08/01/10 161,850
625,000 Forest Oil Corp.@
8.000%, 12/15/11 687,500
973,000 Giant Industries, Inc.@
11.000%, 05/15/12 1,087,327
958,000 KCS Energy, Inc.
7.125%, 04/01/12 965,185
2,354,000 Petroleo Brasileiro, SA
8.375%, 12/10/18 2,695,330
Premcor Refining Group, Inc.
1,333,000 9.500%, 02/01/13 1,486,712
568,000 7.500%, 06/15/15 605,290
625,000 Range Resources Corp.
7.375%, 07/15/13 657,813
1,458,000 Swift Energy Company@
9.375%, 05/01/12 1,578,285
Williams Companies, Inc.
2,083,000 7.750%, 06/15/31 2,270,470
417,000 7.500%, 01/15/31 444,105
-----------
17,072,814
-----------
FINANCIALS (0.7%)
E*TRADE Financial Corporation
1,375,000 7.375%, 09/15/13 1,409,375
938,000 7.875%, 12/01/15@ 984,900
250,000 8.000%, 06/15/11 261,250
1,563,000 Leucadia National Corp.
7.000%, 08/15/13 1,563,000
354,000 Omega Healthcare
Investors, Inc.
7.000%, 04/01/14 361,080
524,000 Senior Housing Properties
Trust
7.875%, 04/15/15 547,580
-----------
5,127,185
-----------
HEALTH CARE (1.3%)
$ 854,000 Ameripath, Inc.@
10.500%, 04/01/13 $ 905,240
1,761,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 1,876,074
625,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 690,625
115,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 121,900
417,000 Biovail Corp.
7.875%, 04/01/10 433,159
156,000 DaVita, Inc.
7.250%, 03/15/15 157,755
125,000 Omnicare, Inc.@
6.875%, 12/15/15 125,781
729,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 758,160
1,354,000 Quintiles Transnational
Corp.
10.000%, 10/01/13 1,509,710
1,771,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 1,744,435
625,000 Valeant Pharmaceuticals
International
7.000%, 12/15/11 615,625
1,354,000 Vanguard Health Systems,
Inc.
9.000%, 10/01/14 1,435,240
-----------
10,373,704
-----------
INDUSTRIALS (2.1%)
458,000 Accuride Corp.
8.500%, 02/01/15 458,000
521,000 Armor Holdings, Inc.@
8.250%, 08/15/13 565,285
313,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 330,998
833,000 Commercial Vehicle Group,
Inc.
8.000%, 07/01/13 845,495
625,000 Gardner Denver, Inc.
8.000%, 05/01/13 659,375
625,000 GATX Corp.
8.875%, 06/01/09 686,582
1,354,000 General Cable Corp.
9.500%, 11/15/10 1,448,780
266,000 Global Cash Access, Inc.
8.750%, 03/15/12 285,950
615,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 644,212
156,000 Hexcel Corporation
6.750%, 02/01/15 155,220
1,042,000 Hutchison Whampoa, Ltd.*@
6.250%, 01/24/14 1,089,221
JLG Industries, Inc.
938,000 8.250%, 05/01/08 991,935
208,000 8.375%, 06/15/12@ 224,640
1,771,000 EUR Legrand Holding, SA
11.000%, 02/15/13 2,587,816
708,000 Monitronics International,
Inc.
11.750%, 09/01/10 704,460
See accompanying notes to Schedule of Investments
5
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- ------------
$ 721,000 Navistar International
Corp.@
7.500%, 06/15/11 $ 717,395
230,000 Orbital Sciences Corp.
9.000%, 07/15/11 247,825
313,000 Sequa Corp.
8.875%, 04/01/08 333,345
1,458,000 Terex Corp.
7.375%, 01/15/14 1,472,580
250,000 Trinity Industries, Inc.
6.500%, 03/15/14 250,625
558,000 United Agri Products, Inc.
8.250%, 12/15/11 594,968
724,000 Wesco Distribution Inc.*@
7.500%, 10/15/17 740,290
------------
16,034,997
------------
INFORMATION TECHNOLOGY (1.5%)
1,875,000 Advanced Micro Devices,
Inc.
7.750%, 11/01/12 1,982,812
146,000 Avago Technologies*@
11.875%, 12/01/15 147,825
833,000 Celestica, Inc.@
7.875%, 07/01/11 843,413
1,042,000 Flextronics International,
Ltd.@
6.500%, 05/15/13 1,055,025
1,042,000 Freescale Semiconductor,
Inc.
7.125%, 07/15/14 1,107,125
78,000 Sanmina-SCI Corporation
8.125%, 03/01/16 79,170
417,000 Stratus Technologies, Inc.
10.375%, 12/01/08 435,765
1,427,000 SunGard Data Systems Inc.*@
9.125%, 08/15/13 1,491,215
1,250,000 Telcordia Technologies*
10.000%, 03/15/13 1,150,000
Xerox Corp.@
1,979,000 8.000%, 02/01/27 2,050,739
1,458,000 7.625%, 06/15/13 1,556,415
------------
11,899,504
------------
MATERIALS (1.6%)
Aleris International, Inc.
708,000 10.375%, 10/15/10 782,340
446,000 9.000%, 11/15/14@ 468,300
208,000 Crown Holdings, Inc.*@
7.750%, 11/15/15 216,840
1,042,000 Equistar Chemicals, LP
10.625%, 05/01/11 1,151,410
1,786,000 Freeport-McMoRan Copper &
Gold, Inc.
10.125%, 02/01/10 1,964,600
167,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 168,253
Ineos Group Holdings, PLC*
1,000,000 EUR 7.875%, 02/15/16 1,215,150
208,000 8.500%, 02/15/16 208,260
1,553,000 IPSCO, Inc.
8.750%, 06/01/13 1,708,300
$ 833,000 Neenah Paper, Inc.
7.375%, 11/15/14 $ 787,185
1,667,000 Sealed Air Corp.*
6.875%, 07/15/33 1,700,155
417,000 Texas Industries, Inc.@
7.250%, 07/15/13 432,637
Union Carbide Corp.
833,000 7.500%, 06/01/25 902,441
646,000 7.875%, 04/01/23@ 719,824
313,000 Westlake Chemical
Corporation
6.625%, 01/15/16 314,956
------------
12,740,651
------------
TELECOMMUNICATION SERVICES (0.5%)
125,000 Citizens Communications
Company
9.000%, 08/15/31 129,375
417,000 IPCS Escrow Company
11.500%, 05/01/12 482,677
2,083,000 Sprint Nextel Corporation
7.375%, 08/01/15 2,203,054
833,000 Syniverse Technologies,
Inc.
7.750%, 08/15/13 849,660
------------
3,664,766
------------
UTILITIES (0.1%)
260,000 Edison International
7.730%, 06/15/09 268,450
NRG Energy, Inc.
489,000 8.000%, 12/15/13 547,680
208,000 7.250%, 02/01/14 211,380
------------
1,027,510
------------
TOTAL CORPORATE BONDS 144,943,808
------------
NUMBER OF
CONTRACTS VALUE
--------- ------------
OPTIONS (3.3%)
CONSUMER DISCRETIONARY (0.2%)
110 Garmin, Ltd.#
Call, 01/19/08, Strike
65.00 137,500
125 Lowe's Companies, Inc.#
Call, 01/19/08, Strike
70.00 99,375
210 Office Depot, Inc.#
Call, 01/19/08, Strike
30.00 174,300
180 Tiffany & Co.#
Call, 01/19/08, Strike
40.00 112,500
2,500 YUM! Brands, Inc.#
Call, 01/20/07, Strike
50.00 1,225,000
------------
1,748,675
------------
CONSUMER STAPLES (0.1%)
520 Kroger Company#
Call, 01/19/08, Strike
20.00 124,800
215 PepsiCo, Inc.#
Call, 01/19/08, Strike
60.00 108,575
------------
233,375
------------
See accompanying notes to Schedule of Investments
6
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
--------- -----------
ENERGY (1.3%)
75 Anadarko Petroleum Corp.#
Call, 01/19/08, Strike 95.00 $ 209,250
1,500 Apache Corp.#
Call, 01/20/07, Strike 60.00 3,045,000
105 BJ Services Company#
Call, 01/19/08, Strike 40.00 94,500
105 Devon Energy (Chevron) Corp.#
Call, 01/19/08, Strike 65.00 169,050
110 Diamond Offshore Drilling, Inc.#
Call, 01/19/08, Strike 70.00 284,900
90 Nabors Industries Ltd.#
Call, 01/19/08, Strike 75.00 188,100
1,200 Patterson-UTI Energy, Inc.#
Call, 01/20/07, Strike 35.00 864,000
100 Petroleo Brasileiro, SA#
Call, 01/19/08, Strike 70.00 332,500
85 Schlumberger, Ltd.#
Call, 01/19/08, Strike 100.00 347,225
80 Sunoco, Inc.#
Call, 01/19/08, Strike 75.00 258,400
1,600 Transocean, Inc.#
Call, 01/20/07, Strike 55.00 4,768,000
165 Weatherford International, Ltd.#
Call, 01/19/08, Strike 35.00 249,150
125 XTO Energy, Inc.#
Call, 01/19/08, Strike 45.00 156,875
-----------
10,966,950
-----------
FINANCIALS (0.3%)
200 Aon Corp.#
Call, 01/19/08, Strike 35.00 118,000
500 Charles Schwab Corp.#
Call, 01/19/08, Strike 15.00 142,500
15 Chicago Mercantile Exchange Holdings, Inc.#
Call, 01/19/08, Strike 360.00 191,175
145 CIT Group, Inc.#
Call, 01/19/08, Strike 50.00 152,975
250 E*TRADE Financial Corporation#
Call, 01/19/08, Strike 20.00 182,500
65 Goldman Sachs Group, Inc.#
Call, 01/19/08, Strike 130.00 189,475
75 Legg Mason, Inc.#
Call, 01/20/07, Strike 120.00 172,125
60 Lehman Brothers Holdings, Inc.#
Call, 01/19/08, Strike 125.00 197,700
145 Merrill Lynch & Company, Inc.#
Call, 01/19/08, Strike 70.00 205,900
110 Prudential Financial, Inc.#
Call, 01/19/08, Strike 75.00 132,000
190 St. Paul Travelers Companies, Inc.#
Call, 01/19/08, Strike 45.00 136,800
190 State Street Corp.#
Call, 01/19/08, Strike 60.00 174,800
-----------
1,995,950
-----------
HEALTH CARE (0.2%)
85 Aetna, Inc.#
Call, 01/19/08, Strike 100.00 $ 152,150
75 Allergan, Inc.#
Call, 01/19/08, Strike 110.00 183,750
190 AmerisourceBergen Corp.#
Call, 01/19/08, Strike 40.00 182,400
80 Express Scripts, Inc.#
Call, 01/19/08, Strike 90.00 156,800
220 Health Net, Inc.#
Call, 01/19/08, Strike 55.00 94,600
63 Omnicare, Inc.#
Call, 01/19/08, Strike 60.00 44,415
180 Teva Pharmaceutical Industries, Ltd.#
Call, 01/19/08, Strike 45.00 110,700
UnitedHealth Group, Inc.#
1,000 Call, 01/19/08, Strike 70.00 710,000
100 Call, 01/19/08, Strike 60.00 115,000
-----------
1,749,815
-----------
INDUSTRIALS (0.1%)
100 Burlington Northern Santa Fe Corp.#
Call, 01/19/08, Strike 60.00 243,000
-----------
INFORMATION TECHNOLOGY (0.9%)
175 Advanced Micro Devices, Inc.#
Call, 01/19/08, Strike 25.00 371,000
185 Agilent Technologies, Inc.#
Call, 01/19/08, Strike 35.00 113,775
70 Apple Computer, Inc.#
Call, 01/19/08, Strike 75.00 145,600
420 Electronic Data Systems Corp.#
Call, 01/19/08, Strike 25.00 182,700
3,000 Emulex Corp.#
Call, 01/20/07, Strike 17.50 960,000
15 Google, Inc.#
Call, 01/19/08, Strike 430.00 177,900
280 Hewlett-Packard Company#
Call, 01/19/08, Strike 30.00 183,400
160 Intuit, Inc.#
Call, 01/19/08, Strike 55.00 129,600
100 Marvell Technology Group, Ltd.#
Call, 01/19/08, Strike 65.00 209,000
335 Micron Technology, Inc.#
Call, 01/19/08, Strike 12.50 152,425
275 Motorola, Inc.#
Call, 01/19/08, Strike 22.50 126,500
195 National Semiconductor Corp.#
Call, 01/19/08, Strike 25.00 160,875
4,400 Nokia Corp.#
Call, 01/20/07, Strike 15.00 1,848,000
145 NVIDIA Corp.#
Call, 01/19/08, Strike 35.00 239,250
260 Paychex, Inc.#
Call, 01/19/08, Strike 40.00 104,000
Sandisk Corp.#
900 Call, 01/20/07, Strike 60.00 1,701,000
See accompanying notes to Schedule of Investments
7
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
--------- -----------
80 Call, 01/19/08, Strike 65.00 $ 184,800
------------
6,989,825
------------
MATERIALS (0.1%)
155 Freeport-McMoRan Copper & Gold, Inc.#
Call, 01/19/08, Strike 55.00 260,400
275 Goldcorp, Inc.#
Call, 01/20/07, Strike 20.00 244,750
286 Harmony Gold Mining Co, Ltd.#
Call, 01/19/08, Strike 15.00 205,920
45 Phelps Dodge Corp.#
Call, 01/19/08, Strike 145.00 202,500
------------
` 913,570
------------
TELECOMMUNICATION SERVICES (0.1%)
190 America Movil S.A. de C.V.#
Call, 01/19/08, Strike 30.00 172,900
250 American Tower Corp.#
Call, 01/19/08, Strike 27.50 192,500
190 Crown Castle International Corp.#
Call, 01/19/08, Strike 25.00 200,450
125 NII Holdings, Inc.#
Call, 01/19/08, Strike 45.00 171,875
------------
737,725
------------
TOTAL OPTIONS 25,578,885
------------
TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
(Cost $159,304,776) 170,522,693
------------
NUMBER OF
SHARES VALUE
---------- ------------
CONVERTIBLE PREFERRED STOCKS (35.5%)
CONSUMER DISCRETIONARY (1.0%)
247,400 Ford Motor Company Capital Trust II
6.500% 7,953,910
------------
CONSUMER STAPLES (3.5%)
1,115,500 Albertson's, Inc.
7.250% 27,385,525
------------
ENERGY (5.3%)
210,000 Amerada Hess Corp.
7.000% 27,373,500
91,100 Chesapeake Energy Corp.*
5.000% 13,744,713
------------
41,118,213
------------
FINANCIALS (16.1%)
530,000 Chubb Corp.
7.000% 17,797,400
16,000,000 Fortis, NV (Assurant)*
7.750% 19,860,000
250,000 Hartford Financial Services Group, Inc.
7.000% 18,385,000
240,000 Lazard, Ltd.
6.625% $ 7,838,400
465,000 Lehman Brothers Holdings, Inc.
6.250% 12,062,100
190,000 Merrill Lynch & Company, Inc.
6.750% 7,837,500
225,000 Metlife, Inc.
6.375% 6,187,500
650,000 National Australia Bank, Ltd.
8.875% 27,748,500
150,000 Washington Mutual, Inc.
5.375% 8,175,000
------------
125,891,400
------------
HEALTH CARE (2.8%)
305,000 Baxter International, Inc.
7.000% 15,725,800
120,000 Schering-Plough Corp.
6.000% 6,153,600
------------
21,879,400
------------
INDUSTRIALS (1.1%)
2,500,000 GBP BAE Systems, PLC
7.750% 8,965,957
------------
UTILITIES (5.7%)
410,000 AES Corp. Trust III
6.750% 18,142,500
350,000 CenterPoint Energy, Inc.
2.000% 11,830,000
65,000 Southern Union Company
5.000% 3,285,750
140,000 TXU Corp.
8.125% 11,438,000
------------
44,696,250
------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $235,623,884) 277,890,655
------------
PRINCIPAL
AMOUNT VALUE
----------- ----------
SHORT-TERM INVESTMENTS (4.5%)
$ 9,946,000 Citigroup, Inc.
4.420%, 02/01/06 9,946,000
25,000,000 UBS Finance, Inc.
4.420%, 02/01/06 25,000,000
----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $34,946,000) 34,946,000
----------
NUMBER OF
SHARES VALUE
----------- -----------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (15.8%)
124,046,388 Bank of New York
Institutional Cash Reserve Fund
current rate 4.528%
(Cost $124,046,388) 124,046,388
-----------
See accompanying notes to Schedule of Investments
8
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
TOTAL INVESTMENTS (163.0%)
(Cost $1,196,508,369) $1,276,390,172
--------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-15.8%) (124,046,388)
--------------
OTHER ASSETS, LESS LIABILITIES (1.9%) 15,080,378
--------------
PREFERRED SHARES AT REDEMPTION VALUE
INCLUDING DIVIDENDS PAYABLE (-49.1%) (384,514,290)
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 782,909,872
--------------
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market values for securities denominated in foreign currencies are shown
in U.S. dollars. The principal amount for such securities is shown in the
respective foreign currency. The date shown 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.
* 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 generally be effected through a sale that
is exempt from registration (e.g. a sale to another QIB), or the security
must be registered for public sale. At January 31, 2006, the market value
of 144A securities that could not be exchanged to the registered form is
$99,090,916 or 12.7% of net assets.
@ Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate security. The interest rate shown is the rate in effect at
January 31, 2006.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying notes to Schedule of Investments
9
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
NOTE 1
PORTFOLIO VALUATION. In computing the Fund's net asset value, portfolio
securities that are traded on a securities exchange in the United States, except
for option securities, are valued at the last reported sale price as of the time
of valuation, or lacking any current reported sale at the time of valuation, at
the mean between the most recent bid and asked quotations. Each option security
traded on a securities exchange in the United States is valued at the last
current reported sale price as of the time of valuation if the last current
reported sale price falls within the consolidated bid/ask quote for the option
security. If the last current reported sale price as of the time of valuation
does not fall within the consolidated bid/ask quote for the option security, the
security is valued at the mid-point of the consolidated bid/ask quote for the
option security. Each security traded in the over-the-counter market and quoted
on the NASDAQ National Market System, is 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 by NASDAQ, or lacking any
current reported sale on NASDAQ at the time of valuation, at the mean between
the most recent bid and asked quotations. Each over-the-counter option that is
not traded through the Options Clearing Corporation is valued by the
counterparty, or if the counterparty's price is not readily available then by
using the Black-Scholes method. Each other security traded over-the-counter is
valued at the mean between the most recent bid and asked quotations. 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 priced at a fair value following procedures and/or guidelines
approved by the Board of Trustees, which may include utilizing a systematic fair
valuation model provided by an independent pricing system. The Fund may also use
fair value pricing if the value of a security it holds is, pursuant to Board of
Trustees' guidelines, 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 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
official closing prices.
Securities that are principally traded in a foreign market are valued at the
last current sale price at the time of valuation or lacking any current or
reported sale, at the time of valuation, at the mean between the most recent bid
and asked quotations 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 priced at a fair value following
procedures approved by the Board of Trustees. In light of the judgment involved
in fair value decisions, there can be no assurance that a fair value assigned to
a particular security is accurate.
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.
FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by
a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
selected by the advisor from rates quoted by any major bank or dealer in the
particular currency market, as reported by a recognized quotation dissemination
service.
OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option among others, is that the Fund pays a premium whether or
not the option is exercised. Additionally, the Fund bears the risk of loss of
premium and change in market value should the counterparty not perform under the
contract. Put and call options purchased are accounted for in the same manner as
portfolio securities. The cost of securities acquired through the exercise of
purchased call options is increased by premiums paid. The proceeds from
securities sold through the exercise of purchased put options are decreased by
the premiums paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from written options. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a call option is
exercised, the premium is added to the proceeds from the sale of the underlying
security or currency in determining whether the Fund has realized again or loss.
If a put option is exercised, the premium reduces the cost basis of the
securities purchased by the Fund. The Fund as writer of an option bears the
market risk of an unfavorable change in the price of the security underlying the
written option.
NOTE 2
INVESTMENTS. The following information is presented on an income tax basis as of
January 31, 2006. 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 January 31,
2006 was as follows:
Cost basis of investments $1,205,647,465
--------------
Gross unrealized appreciation 97,353,992
Gross unrealized depreciation (26,611,285)
--------------
Net unrealized appreciation (depreciation) $ 70,742,707
==============
NOTE 3
SYNTHETIC CONVERTIBLE SECURITIES. The Fund may establish a "synthetic"
convertible instrument by combining separate securities that possess the
economic characteristics similar to a convertible security, i.e., fixed-income
securities ("fixed-income component") and the right to acquire equity securities
("convertible component"). The fixed-income component is achieved by investing
in non-convertible, fixed income securities such as bonds, preferred stocks and
money market instruments. The convertible component is achieved by investing in
warrants or options to buy common stock at a certain exercise price, or options
on a stock index. In establishing a synthetic instrument, the Fund may pool a
basket of fixed-income securities and a basket of warrants or options that
produce the economic characteristics similar to a convertible security. Within
each basket of fixed-income securities and warrants or options, different
companies may issue the fixed-income and convertible components, which may be
purchased separately and at different times.
The Fund may purchase synthetic securities created by other parties, typically
investment banks, including convertible structured notes. Convertible structured
notes are fixed-income debentures linked to equity. Convertible structured notes
have the attributes of a convertible security; however, the investment bank that
issued the convertible note assumes the credit risk associated with the
investment, rather than the issuer of the underlying common stock into which the
note is convertible. Purchasing synthetic convertible securities may offer more
flexibility than purchasing a convertible security. Different companies may
issue the fixed-income and convertible components, which may be purchased
separately and at different times.
NOTE 4
PREFERRED SHARES. There are unlimited shares of Auction Rate Cumulative
Preferred Shares ("Preferred Shares") authorized. The Preferred Shares have
rights as determined by the Board of Trustees. The 15,360 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 or twenty-eight days based on the results of an auction. Dividend rates
ranged from 3.50% to 4.50% for the period ended January 31, 2006. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make other
distributions on shares of common stock or purchase 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 Fund's option, 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 5
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 Fund's net asset value. 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. Net unrealized
gains are reported as an asset and net unrealized losses are reported as a
liability on the Statement of Assets and Liabilities. The change in the value of
the swaps, including periodic amounts of interest to be paid or received on
swaps is reported as unrealized gains or losses in the Statement of Operations.
A realized gain or loss is recorded upon payment or termination of swap
agreements. Details of the swap agreements outstanding as January 31, 2006 were
as follows:
Unrealized
Termination Notional Fixed Rate Floating Rate Appreciation
Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation)
------------ ----------------- ------------ ----------- --------------- --------------
Merrill Lynch July 3, 2006 $65,000 1.91% 1month LIBOR $ 889,681
Merrill Lynch November 28, 2006 60,000 2.82% 1month LIBOR 979,506
Merrill Lynch July 3, 2007 65,000 2.33% 1month LIBOR 2,353,998
Merrill Lynch November 28, 2007 60,000 3.26% 1month LIBOR 1,656,062
Merrill Lynch July 3, 2008 70,000 2.69% 1month LIBOR 3,535,490
Merrill Lynch November 28, 2008 60,000 3.60% 1month LIBOR 1,946,897
-----------
$11,361,634
===========
NOTE 6
SECURITIES LENDING. During the period ended January 31, 2006, 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 continues to receive the equivalent of the interest
or dividends paid by the issuer on the securities loaned and also receives 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 has 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 does 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 certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
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) the expenses of
enforcing its rights. In an effort to reduce these risks, Calamos Advisors LLC
and the security lending agent will monitor the creditworthiness of the firms to
which the Fund lends securities. At January 31, 2006, the Fund had securities
valued at $121,069,986 that were on loan to broker-dealers and banks and
$124,046,388 in cash or cash equivalent collateral.
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-Q was recorded,
processed, summarized, and reported timely.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Convertible Opportunities and
Income Fund
By: /s/ John P. Calamos, Sr.
---------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 30, 2006
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 30, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Convertible Opportunities and
Income Fund
By: /s/ John P. Calamos, Sr.
---------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 30, 2006
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 30, 2006