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 Advisors, LLC
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, 2005
DATE OF REPORTING PERIOD: November 1, 2004 through April 30, 2005
ITEM 1. REPORTS TO SHAREHOLDERS
[PHOTO OMITTED]
CALAMOS(R) CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SEMIANNUAL REPORT APRIL 30, 2005
[LOGO]
CALAMOS INVESTMENTS(R)
Table of Contents
President's Letter ........................................................ 1
Schedule of Investments ................................................... 3
Statement of Assets and Liabilities ....................................... 11
Statement of Operations ................................................... 12
Statement of Changes In Net Assets ........................................ 13
Notes to Financial Statements ............................................. 14
Financial Highlights ...................................................... 20
Report of Independent Registered Public
Accounting Firm ......................................................... 21
Other Information ......................................................... 22
President's Letter
[PHOTO OMITTED]
Dear Shareholder,
This semi-annual report covers the period of November 1, 2004, to April 30,
2005, a period where the convertible market declined and high-yield markets were
generally flat. Although the CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
(NYSE: CHI) dropped slightly in price during the period, it produced a steady,
significant monthly dividend for shareholders, and continues to trade at a
premium to its underlying portfolio's NAV (net asset value). As a refresher to
some of our shareholders, a closed-end fund is traded on an exchange, where
buyers and sellers determine the price of the fund. The fund thus may trade at a
premium (higher than NAV) or at a discount (lower than NAV).
Designed to provide total return through a combination of capital appreciation
and current income, the Fund makes use of convertible and high-yield securities
in a flexible, opportunistic manner to achieve this goal. It is important to
note that while convertible and high-yield bonds provide income to the
portfolio, they also provide the opportunity for capital appreciation, as they
are more equity sensitive than traditional fixed income bonds. By dynamically
combining these securities, we aim for long term total return, combining
significant current income with equity market participation.
For the semi-annual period, questions over the strength of the economy dampened
high yield bonds, while convertibles dropped due to declines in the volatility
of equities and excessive selling by hedge funds. We think the market was driven
by short-term concerns during this semi-annual period, while our portfolios
remained positioned to take advantage of longer-term trends. We viewed the
convertible market as substantially undervalued in the first portion of 2005,
and invested in additional opportunities which we believe offered potentially
significant upside yet met our investment team's risk-management criteria.
A recent development worth noting is the Board of Trustees' ratification of a
level-rate distribution policy for the Fund, announced in June of 2005. We
recognize how important stability of income can be, particularly to closed-end
fund investors, and sought to formalize the Fund's aim to providing such
stability. At a monthly rate of $0.15 per share, the Fund's distribution
represents an annualized rate of 12% based on the Fund's
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
The views expressed in this report reflect those of Calamos Advisors LLC through
June 20, 2005. The manager's views are subject to change at any time based on
market and other conditions. This report is submitted for general information
for the shareholders of the fund.
Convertible Opportunities and Income Fund
President's Letter SEMIANNUAL REPORT 1
President's Letter
initial offering price of $15.00, and equates to $1.80 per share on an annual
basis. We believe that the adoption of a level rate distribution policy has the
potential to serve the long-term interests of you as a CHI shareholder, as
consistent, dependable distributions can be an important component of your total
return goals. If any distribution exceeds the Fund's net investment company
taxable income, the excess will generally be a tax-free return of capital.
Together, the Fund's portfolio management team's risk-managed approach,
communications efforts, and dividend policy are all designed to enhance the
value of your investment. We believe that the Fund's flexible mandate and its
focus on long-term total return provides the potential to create long term
wealth for shareholders, while our risk management and dividend commitment
provide downside protection and current, dependable income. As a portfolio
manager--and shareholder--I remain committed to striving to help you meet your
long-term investment goals. Thank you for your confidence in CALAMOS INVESTMENTS
and CHI.
Sincerely,
/s/ John P. Calamos
JOHN P. CALAMOS, SR.
Chairman, Chief Executive Officer and Co-Chief Investment Officer
Convertible Opportunities and Income Fund
2 SEMIANNUAL REPORT President's Letter
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
CORPORATE BONDS (93.0%)
CONSUMER DISCRETIONARY (29.9%)
$ 1,916,000 Accuride Corp.*
8.500%, 02/01/15 $ 1,810,620
6,879,000 Aztar Corp.^
7.875%, 06/15/14 7,240,147
11,319,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 12,054,735
871,000 CanWest Media, Inc.^
7.625%, 04/15/13 916,780
4,354,000 DEX Media, Inc.^
8.000%, 11/15/13 4,506,390
3,075,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 3,344,062
6,940,000 GBP EMI Group, PLC
9.750%, 05/20/08 14,356,958
6,966,000 General Motors Corp.^
8.250%, 07/15/23 5,340,456
1,741,000 Global Cash Access, Inc.^
8.750%, 03/15/12 1,880,280
Goodyear Tire & Rubber Company
7,401,000 7.000%, 03/15/28 6,161,332
3,483,000 7.857%, 08/15/11^ 3,152,115
3,483,000 Hasbro, Inc.
6.600%, 07/15/28 3,672,688
6,944,000 Hovnanian Enterprises, Inc.^
7.750%, 05/15/13 7,100,240
3,483,000 IMAX Corp.^
9.625%, 12/01/10 3,700,688
2,612,000 Intrawest Corp.
7.500%, 10/15/13 2,612,000
12,190,000 Isle of Capri Casinos, Inc.^
9.000%, 03/15/12 13,256,625
2,011,000 Jarden Corp.
9.750%, 05/01/12 2,151,770
3,722,000 Kellwood Company
7.625%, 10/15/17 3,970,090
7,923,000 La Quinta, Corp.
8.875%, 03/15/11 8,566,744
2,612,000 Landry's Restaurants, Inc.*^
7.500%, 12/15/14 2,442,220
15,237,000 Mandalay Resort Group
10.250%, 08/01/07 16,798,793
6,792,000 NCL Holding, ASA*
10.625%, 07/15/14 6,995,760
3,918,000 Oxford Industries, Inc.
8.875%, 06/01/11 4,074,720
4,354,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 4,506,390
1,741,000 Reader's Digest Association, Inc.^
6.500%, 03/01/11 1,736,648
2,482,000 RH Donnelley Financial Corp.*
10.875%, 12/15/12 2,848,095
3,918,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 3,199,352
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 3,265,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 $ 2,620,718
7,053,000 Royal Caribbean Cruises, Ltd.^
8.750%, 02/02/11 7,934,625
13,496,000 Russell Corp.
9.250%, 05/01/10 14,069,580
8,707,000 Spanish Broadcasting Systems, Inc.
9.625%, 11/01/09 9,131,466
4,266,000 Stoneridge, Inc.
11.500%, 05/01/12 4,543,290
6,966,000 Time Warner
7.625%, 04/15/31 8,515,392
11,058,000 Vail Resorts, Inc.
6.750%, 02/15/14 10,947,420
Warner Music Group
6,095,000 7.375%, 04/15/14^ 6,125,475
871,000 GBP 8.125%, 04/15/14 1,735,923
7,401,000 WCI Communities, Inc.
7.875%, 10/01/13 7,401,000
--------------
221,421,587
--------------
CONSUMER STAPLES (10.6%)
1,741,000 Central Garden & Pet Company^
9.125%, 02/01/13 1,880,280
4,354,000 Chattem, Inc.
7.000%, 03/01/14 4,419,310
3,788,000 Chiquita Brands International, Inc.^
7.500%, 11/01/14 3,484,960
5,398,000 Del Monte Foods Company
8.625%, 12/15/12 5,802,850
5,224,000 DIMON, Inc.
7.750%, 06/01/13 5,916,180
Dole Food Company, Inc.
7,836,000 7.250%, 06/15/10 7,904,565
3,483,000 8.625%, 05/01/09 3,683,273
10,448,000 Jean Coutu Group, Inc.^
8.500%, 08/01/14 9,899,480
871,000 Pilgrim's Pride Corp.
9.250%, 11/15/13 975,520
5,224,000 Pinnacle Foods Holding^
8.250%, 12/01/13 4,362,040
4,876,000 Playtex Products, Inc.
8.000%, 03/01/11 5,229,510
9,578,000 Rayovac Corp.^
8.500%, 10/01/13 9,889,285
Revlon Consumer Products Corp.
2,786,000 9.500%, 04/01/11*^ 2,695,455
871,000 9.380%, 10/11/05++ 892,775
871,000 8.840%, 07/11/05++ 892,775
871,000 8.770%, 05/11/05++ 892,775
435,000 9.000%, 06/13/05++ 445,875
8,707,000 Smithfield Foods, Inc.
7.750%, 05/15/13 9,360,025
--------------
78,626,933
--------------
Convertible Opportunities and Income Fund
Schedule of Investments SEMIANNUAL REPORT 3
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
ENERGY (12.3%)
$ 7,401,000 Chesapeake Energy Corp.
6.875%, 01/15/16 $ 7,401,000
5,660,000 Comstock Resources, Inc.
6.875%, 03/01/12 5,546,800
2,612,000 Forest Oil Corp.
8.000%, 12/15/11 2,847,080
10,187,000 General Maritime Corp.^
10.000%, 03/15/13 11,129,297
4,585,000 Giant Industries, Inc.
11.000%, 05/15/12 5,249,825
4,005,000 KCS Energy, Inc.
7.125%, 04/01/12 3,984,975
5,977,000 Overseas Shipholding Group, Inc.
7.500%, 02/15/24 5,767,805
9,839,000 Petroleo Brasileiro, SA^
8.375%, 12/10/18 10,097,274
4,354,000 Plains All American Pipeline, L.P.
7.750%, 10/15/12 5,113,490
5,573,000 Premcor Refining Group Inc.^
9.500%, 02/01/13 6,353,220
2,373,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 2,562,840
2,612,000 Range Resources Corp.
7.375%, 07/15/13 2,703,420
6,095,000 Swift Energy Company
9.375%, 05/01/12 6,552,125
4,628,000 Tesoro Petroleum Corp.^
9.625%, 04/01/12 5,137,080
Williams Companies, Inc.^
8,707,000 7.750%, 06/15/31 9,229,420
1,741,000 7.500%, 01/15/31 1,806,288
--------------
91,481,939
--------------
FINANCIALS (1.6%)
6,530,000 Leucadia National Corp.
7.000%, 08/15/13 6,562,650
1,480,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 1,435,600
3,396,000 Senior Housing Properties Trust
7.875%, 04/15/15 3,574,290
--------------
11,572,540
--------------
HEALTH CARE (5.6%)
1,802,000 Alpharma, Inc.*^
8.625%, 05/01/11 1,756,950
3,570,000 Ameripath, Inc.^
10.500%, 04/01/13 3,587,850
7,357,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 7,577,710
2,612,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 2,873,200
3,483,000 MedCath Corp.^
9.875%, 07/15/12 3,813,885
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 5,660,000 Quintiles Transnational Corp.
10.000%, 10/01/13 $ 6,141,100
7,401,000 Tenet Healthcare Corp.*^
9.250%, 02/01/15 7,438,005
2,612,000 Valeant Pharmaceuticals International^
7.000%, 12/15/11 2,572,820
5,660,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 5,928,850
--------------
41,690,370
--------------
INDUSTRIALS (8.8%)
871,000 EUR AGCO Corp.
6.875%, 04/15/14 1,176,889
2,177,000 Armor Holdings, Inc.^
8.250%, 08/15/13 2,318,505
1,862,000 Gardner Denver, Inc.*
8.000%, 05/01/13 1,871,310
2,612,000 GATX Corp.
8.875%, 06/01/09 2,974,684
5,660,000 General Cable Corp.
9.500%, 11/15/10 6,027,900
5,224,000 Hutchison Whampoa, Ltd.*^
6.250%, 01/24/14 5,524,281
2,612,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 2,807,900
JLG Industries, Inc.^
3,918,000 8.250%, 05/01/08 4,074,720
871,000 8.375%, 06/15/12 910,195
5,573,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 6,381,085
10,884,000 EUR Legrand Holding, SA
11.000%, 02/15/13 16,894,836
2,960,000 Monitronics International, Inc.
11.750%, 09/01/10 3,174,600
962,000 Orbital Sciences Corp.
9.000%, 07/15/11 1,048,580
7,836,000 Terex Corp.^
7.375%, 01/15/14 7,914,360
2,333,000 United Agri Products, Inc.
8.250%, 12/15/11 2,298,005
--------------
65,397,850
--------------
INFORMATION TECHNOLOGY (8.5%)
5,660,000 Advanced Micro Devices, Inc.^
7.750%, 11/01/12 5,334,550
3,483,000 Celestica, Inc.^
7.875%, 07/01/11 3,483,000
1,306,000 Communications & Power Industries Holding Corp.
8.000%, 02/01/12 1,266,820
4,354,000 Flextronics International, Ltd.^
6.500%, 05/15/13 4,179,840
4,354,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 4,549,930
Iron Mountain, Inc.
4,354,000 GBP 7.250%, 04/15/14* 7,598,111
1,741,000 6.625%, 01/01/16 1,558,195
Convertible Opportunities and Income Fund
4 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 3,831,000 Lucent Technologies, Inc.
6.500%, 01/15/28 $ 3,227,617
9,099,000 Sanmina-Sci Corp.
10.375%, 01/15/10 10,008,900
1,741,000 Stratus Technologies, Inc.^
10.375%, 12/01/08 1,706,180
5,224,000 Telcordia Technologies*
10.000%, 03/15/13 5,067,280
Xerox Corp.^
8,272,000 8.000%, 02/01/27 8,396,080
6,095,000 7.625%, 06/15/13 6,536,888
--------------
62,913,391
--------------
MATERIALS (13.9%)
Aleris International, Inc.
2,090,000 10.375%, 10/15/10 2,283,325
995,000 9.000%, 11/15/14*^ 1,019,875
5,224,000 Arch Western Finance, LLC^
6.750%, 07/01/13 5,263,180
7,836,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 8,188,620
4,354,000 Equistar Chemicals, LP
10.625%, 05/01/11 4,876,480
7,462,000 Freeport-McMoRan Copper & Gold, Inc.
10.125%, 02/01/10 8,208,200
14,802,000 Georgia-Pacific Corp.^
8.125%, 05/15/11 16,263,697
4,316,000 Graham Packaging Holdings Company*^
9.875%, 10/15/14 4,143,360
6,491,000 IPSCO, Inc.^
8.750%, 06/01/13 7,237,465
3,483,000 Neenah Paper, Inc.*^
7.375%, 11/15/14 3,326,265
2,394,000 Novelis, Inc.*
7.250%, 02/15/15 2,328,165
7,836,000 Polyone Corp.^
10.625%, 05/15/10 8,678,370
3,918,000 Pope & Talbot, Inc.
8.375%, 06/01/13 4,094,310
6,966,000 Sealed Air Corp.*
6.875%, 07/15/33 7,743,218
4,353,000 Steel Dynamics, Inc.
9.500%, 03/15/09^ 4,679,475
7,357,000 Texas Industries, Inc.
10.250%, 06/15/11 8,295,017
Union Carbide Corp.
3,483,000 7.500%, 06/01/25 3,737,621
2,699,000 7.875%, 04/01/23^ 2,960,215
--------------
103,326,858
--------------
TELECOMMUNICATION SERVICES (1.5%)
1,741,000 IPCS Escrow Company
11.500%, 05/01/12 1,932,510
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 8,707,000 Nextel Communications, Inc.
7.375%, 08/01/15 $ 9,316,490
--------------
11,249,000
--------------
UTILITIES (0.3%)
2,044,000 NRG Energy, Inc.*^
8.000%, 12/15/13 2,074,660
--------------
TOTAL CORPORATE BONDS
(Cost $662,298,184) 689,755,128
==============
CONVERTIBLE BONDS (6.1%)
CONSUMER DISCRETIONARY (1.6%)
5,625,000 General Motors Corp.+
5.250%, 03/06/32 3,728,250
7,500,000 Walt Disney Company^
2.125%, 04/15/23 7,912,500
--------------
11,640,750
--------------
INDUSTRIALS (1.2%)
6,000,000 GATX Corp.
7.500%, 02/01/07 6,967,500
1,852,000 Quanta Services Inc.
4.500%, 10/01/23 1,856,630
450,000 Titan International, Inc.
5.250%, 07/26/09 549,000
--------------
9,373,130
--------------
INFORMATION TECHNOLOGY (3.3%)
5,500,000 Advanced Micro Devices, Inc.^++
4.750%, 02/01/22 5,163,125
6,500,000 ASML Holding, NV
5.750%, 10/15/06 6,948,299
12,000,000 Corning, Inc.^
4.875%, 03/01/08 12,105,000
--------------
24,216,424
--------------
TOTAL CONVERTIBLE BONDS
(Cost $45,033,502) 45,230,304
==============
SYNTHETIC CONVERTIBLE SECURITIES (16.3%)
CORPORATE BONDS (13.8%)
CONSUMER DISCRETIONARY (4.4%)
284,000 Accuride Corp.*
8.500%, 02/01/15 268,380
1,021,000 Aztar Corp.^
7.875%, 06/15/14 1,074,602
1,681,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 1,790,265
129,000 CanWest Media, Inc.^
7.625%, 04/15/13 135,780
646,000 DEX Media, Inc.^
8.000%, 11/15/13 668,610
457,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 496,987
1,030,000 GBP EMI Group, PLC
9.750%, 05/20/08 2,130,788
Convertible Opportunities and Income Fund
Schedule of Investments SEMIANNUAL REPORT 5
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 1,034,000 General Motors Corp.^
8.250%, 07/15/23 $ 792,712
259,000 Global Cash Access, Inc.^
8.750%, 03/15/12 279,720
Goodyear Tire & Rubber Company
1,099,000 7.000%, 03/15/28 914,918
517,000 7.857%, 08/15/11^ 467,885
517,000 Hasbro, Inc.
6.600%, 07/15/28 545,156
1,031,000 Hovnanian Enterprises, Inc.^
7.750%, 05/15/13 1,054,198
517,000 IMAX Corp.^
9.625%, 12/01/10 549,313
388,000 Intrawest Corp.
7.500%, 10/15/13 388,000
1,810,000 Isle of Capri Casinos, Inc.^
9.000%, 03/15/12 1,968,375
299,000 Jarden Corp.
9.750%, 05/01/12 319,930
553,000 Kellwood Company
7.625%, 10/15/17 589,860
1,177,000 La Quinta, Corp.
8.875%, 03/15/11 1,272,631
388,000 Landry's Restaurants, Inc.*^
7.500%, 12/15/14 362,780
2,263,000 Mandalay Resort Group
10.250%, 08/01/07 2,494,958
1,008,000 NCL Holding, ASA*
10.625%, 07/15/14 1,038,240
582,000 Oxford Industries, Inc.
8.875%, 06/01/11 605,280
646,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 668,610
259,000 Reader's Digest Association, Inc.^
6.500%, 03/01/11 258,353
368,000 RH Donnelley Financial Corp.*
10.875%, 12/15/12 422,280
582,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 475,248
485,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 389,295
1,047,000 Royal Caribbean Cruises, Ltd.^
8.750%, 02/02/11 1,177,875
2,004,000 Russell Corp.
9.250%, 05/01/10 2,089,170
1,293,000 Spanish Broadcasting Systems, Inc.
9.625%, 11/01/09 1,356,034
634,000 Stoneridge, Inc.
11.500%, 05/01/12 675,210
1,034,000 Time Warner
7.625%, 04/15/31 1,263,984
1,642,000 Vail Resorts, Inc.
6.750%, 02/15/14 1,625,580
Warner Music Group
905,000 7.375%, 04/15/14^ 909,525
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 129,000 GBP 8.125%, 04/15/14 $ 257,100
1,099,000 WCI Communities, Inc.
7.875%, 10/01/13 1,099,000
--------------
32,876,632
--------------
CONSUMER STAPLES (1.6%)
259,000 Central Garden & Pet Company^
9.125%, 02/01/13 279,720
646,000 Chattem, Inc.
7.000%, 03/01/14 655,690
562,000 Chiquita Brands International, Inc.^
7.500%, 11/01/14 517,040
802,000 Del Monte Foods Company
8.625%, 12/15/12 862,150
776,000 DIMON, Inc.
7.750%, 06/01/13 878,820
Dole Food Company, Inc.
1,164,000 7.250%, 06/15/10 1,174,185
517,000 8.625%, 05/01/09 546,727
1,552,000 Jean Coutu Group, Inc.^
8.500%, 08/01/14 1,470,520
129,000 Pilgrim's Pride Corp.
9.250%, 11/15/13 144,480
776,000 Pinnacle Foods Holding^
8.250%, 12/01/13 647,960
724,000 Playtex Products, Inc.
8.000%, 03/01/11 776,490
1,422,000 Rayovac Corp.^
8.500%, 10/01/13 1,468,215
Revlon Consumer Products Corp.
414,000 9.500%, 04/01/11*^ 400,545
129,000 9.380%, 10/11/05++ 132,225
129,000 8.840%, 07/11/05++ 132,225
129,000 8.770%, 05/11/05++ 132,225
65,000 9.000%, 06/13/05++ 66,625
1,293,000 Smithfield Foods, Inc.
7.750%, 05/15/13 1,389,975
--------------
11,675,817
--------------
ENERGY (1.8%)
1,099,000 Chesapeake Energy Corp.
6.875%, 01/15/16 1,099,000
840,000 Comstock Resources, Inc.
6.875%, 03/01/12 823,200
388,000 Forest Oil Corp.
8.000%, 12/15/11 422,920
1,513,000 General Maritime Corp.^
10.000%, 03/15/13 1,652,952
681,000 Giant Industries, Inc.
11.000%, 05/15/12 779,745
595,000 KCS Energy, Inc.
7.125%, 04/01/12 592,025
888,000 Overseas Shipholding Group, Inc.
7.500%, 02/15/24 856,920
1,461,000 Petroleo Brasileiro, SA^
8.375%, 12/10/18 1,499,351
Convertible Opportunities and Income Fund
6 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 646,000 Plains All American Pipeline, L.P.
7.750%, 10/15/12 $ 758,685
827,000 Premcor Refining Group Inc.^
9.500%, 02/01/13 942,780
352,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 380,160
388,000 Range Resources Corp.
7.375%, 07/15/13 401,580
905,000 Swift Energy Company
9.375%, 05/01/12 972,875
687,000 Tesoro Petroleum Corp.^
9.625%, 04/01/12 762,570
Williams Companies, Inc.^
1,293,000 7.750%, 06/15/31 1,370,580
259,000 7.500%, 01/15/31 268,713
--------------
13,584,056
--------------
FINANCIALS (0.2%)
970,000 Leucadia National Corp.
7.000%, 08/15/13 974,850
220,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 213,400
504,000 Senior Housing Properties Trust
7.875%, 04/15/15 530,460
--------------
1,718,710
--------------
HEALTH CARE (0.8%)
268,000 Alpharma, Inc.*^
8.625%, 05/01/11 261,300
530,000 Ameripath, Inc.^
10.500%, 04/01/13 532,650
1,093,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 1,125,790
388,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 426,800
517,000 MedCath Corp.^
9.875%, 07/15/12 566,115
840,000 Quintiles Transnational Corp.
10.000%, 10/01/13 911,400
1,099,000 Tenet Healthcare Corp.*^
9.250%, 02/01/15 1,104,495
388,000 Valeant Pharmaceuticals International^
7.000%, 12/15/11 382,180
840,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 879,900
--------------
6,190,630
--------------
INDUSTRIALS (1.3%)
129,000 EUR AGCO Corp.
6.875%, 04/15/14 174,304
323,000 Armor Holdings, Inc.^
8.250%, 08/15/13 343,995
277,000 Gardner Denver, Inc.*
8.000%, 05/01/13 278,385
388,000 GATX Corp.
8.875%, 06/01/09 441,875
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 840,000 General Cable Corp.
9.500%, 11/15/10 $ 894,600
776,000 Hutchison Whampoa, Ltd.*^
6.250%, 01/24/14 820,605
388,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 417,100
JLG Industries, Inc.^
582,000 8.250%, 05/01/08 605,280
129,000 8.375%, 06/15/12 134,805
827,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 946,915
1,616,000 EUR Legrand Holding, SA
11.000%, 02/15/13 2,508,458
440,000 Monitronics International, Inc.
11.750%, 09/01/10 471,900
143,000 Orbital Sciences Corp.
9.000%, 07/15/11 155,870
1,164,000 Terex Corp.^
7.375%, 01/15/14 1,175,640
347,000 United Agri Products, Inc.
8.250%, 12/15/11 341,795
--------------
9,711,527
--------------
INFORMATION TECHNOLOGY (1.3%)
840,000 Advanced Micro Devices, Inc.^
7.750%, 11/01/12 791,700
517,000 Celestica, Inc.^
7.875%, 07/01/11 517,000
194,000 Communications & Power Industries Holding Corp.
8.000%, 02/01/12 188,180
646,000 Flextronics International, Ltd.^
6.500%, 05/15/13 620,160
646,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 675,070
Iron Mountain, Inc.
646,000 GBP 7.250%, 04/15/14* 1,127,327
259,000 6.625%, 01/01/16 231,805
569,000 Lucent Technologies, Inc.
6.500%, 01/15/28 479,382
1,351,000 Sanmina-Sci Corp.
10.375%, 01/15/10 1,486,100
259,000 Stratus Technologies, Inc.^
10.375%, 12/01/08 253,820
776,000 Telcordia Technologies*
10.000%, 03/15/13 752,720
Xerox Corp.^
1,228,000 8.000%, 02/01/27 1,246,420
905,000 7.625%, 06/15/13 970,613
--------------
9,340,297
--------------
MATERIALS (2.1%)
Aleris International, Inc.
310,000 10.375%, 10/15/10 338,675
148,000 9.000%, 11/15/14*^ 151,700
776,000 Arch Western Finance, LLC^
6.750%, 07/01/13 781,820
Convertible Opportunities and Income Fund
Schedule of Investments SEMIANNUAL REPORT 7
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
$ 1,164,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 $ 1,216,380
646,000 Equistar Chemicals, LP
10.625%, 05/01/11 723,520
1,108,000 Freeport-McMoRan Copper & Gold, Inc.
10.125%, 02/01/10 1,218,800
2,198,000 Georgia-Pacific Corp.^
8.125%, 05/15/11 2,415,052
641,000 Graham Packaging Holdings Company*^
9.875%, 10/15/14 615,360
964,000 IPSCO, Inc.^
8.750%, 06/01/13 1,074,860
517,000 Neenah Paper, Inc.*^
7.375%, 11/15/14 493,735
356,000 Novelis, Inc.*
7.250%, 02/15/15 346,210
1,164,000 Polyone Corp.^
10.625%, 05/15/10 1,289,130
582,000 Pope & Talbot, Inc.
8.375%, 06/01/13 608,190
1,034,000 Sealed Air Corp.*
6.875%, 07/15/33 1,149,366
647,000 Steel Dynamics, Inc.
9.500%, 03/15/09^ 695,525
1,093,000 Texas Industries, Inc.
10.250%, 06/15/11 1,232,358
Union Carbide Corp.
517,000 7.500%, 06/01/25 554,795
401,000 7.875%, 04/01/23^ 439,810
--------------
15,345,286
--------------
TELECOMMUNICATION SERVICES (0.2%)
259,000 IPCS Escrow Company
11.500%, 05/01/12 287,490
1,293,000 Nextel Communications, Inc.
7.375%, 08/01/15 1,383,510
--------------
1,671,000
--------------
UTILITIES (0.1%)
304,000 NRG Energy, Inc.*^
8.000%, 12/15/13 308,560
--------------
TOTAL CORPORATE BONDS 102,422,515
==============
NUMBER OF
CONTRACTS VALUE
--------------------------------------------------------------------------------
OPTIONS (2.5%)
CONSUMER DISCRETIONARY (0.5%)
1,400 eBay, Inc.#
Call, 01/20/07, Strike 42.50 $ 476,000
2,650 Home Depot, Inc.#
Call, 01/20/07, Strike 40.00 874,500
1,000 Nordstrom, Inc.#
Call, 01/20/07, Strike 50.00 850,000
2,500 YUM! Brands, Inc.#
Call, 01/20/07, Strike 50.00 1,200,000
--------------
3,400,500
--------------
CONSUMER STAPLES (0.3%)
1,400 Avon Products, Inc.#
Call, 01/20/07, Strike 45.00 581,000
1,300 Constellation Brands, Inc.#
Call, 01/20/07, Strike 55.00 1,066,000
1,800 Sara Lee Corp.#
Call, 01/20/07, Strike 22.50 274,500
--------------
1,921,500
--------------
ENERGY (0.4%)
1,500 Apache Corp.#
Call, 01/20/07, Strike 60.00 1,290,000
1,000 Patterson-UTI Energy, Inc.#
Call, 01/20/07, Strike 25.00 535,000
1,600 Transocean, Inc.#
Call, 01/20/07, Strike 55.00 1,128,000
--------------
2,953,000
--------------
HEALTH CARE (0.5%)
1,500 Guidant Corp.#
Call, 01/21/06, Strike 70.00 1,005,000
750 Triad Hospitals, Inc.#
Call, 01/20/07, Strike 50.00 708,750
800 UnitedHealth Group, Inc.#
Call, 01/20/07, Strike 85.00 1,760,000
--------------
3,473,750
--------------
INDUSTRIALS (0.2%)
2,800 American Power Conversion Corp.#
Call, 01/20/07, Strike 25.00 896,000
1,700 American Standard Companies, Inc.#
Call, 01/20/07, Strike 50.00 765,000
--------------
1,661,000
--------------
Convertible Opportunities and Income Fund
8 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
NUMBER OF
CONTRACTS VALUE
--------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (0.6%)
1,800 Apple Computer, Inc.#
Call, 01/20/07, Strike 37.50 $ 1,458,000
600 Electronic Arts, Inc.#
Call, 01/20/07, Strike 70.00 264,000
3,000 Emulex Corp.#
Call, 01/20/07, Strike 17.50 885,000
4,400 Nokia Corp.#
Call, 01/20/07, Strike 15.00 1,320,000
1,800 Sandisk Corp.#
Call, 01/20/07, Strike 30.00 738,000
--------------
4,665,000
--------------
TOTAL OPTIONS 18,074,750
==============
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $121,124,037) 120,497,265
==============
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (31.4%)
CONSUMER DISCRETIONARY (4.5%)
856,000 Ford Motor Company Capital Trust II
6.500% 33,341,200
--------------
CONSUMER STAPLES (3.2%)
1,115,500 Albertson's, Inc.
7.250% 23,938,630
--------------
ENERGY (1.5%)
135,000 Amerada Hess Corp.
7.000% 10,979,550
--------------
FINANCIALS (12.4%)
11,700,000 Assurant, Inc.*
7.750% 11,928,150
400,000 Chubb Corp.
7.000% 11,936,000
250,000 Hartford Financial Services Group, Inc.
7.000% 16,500,000
465,000 Lehman Brothers Holdings, Inc.
6.250% 12,308,550
190,000 Merrill Lynch & Company, Inc.^
6.750% 6,565,070
650,000 National Australia Bank, Ltd.
7.875% 24,635,000
150,000 Washington Mutual, Inc.
5.375% 7,702,500
--------------
91,575,270
--------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
HEALTH CARE (1.9%)
245,000 Baxter International, Inc.^
7.000% $ 13,646,500
--------------
INDUSTRIALS (0.9%)
2,500,000 GBP BAE Systems, PLC
7.750% 6,525,593
--------------
INFORMATION TECHNOLOGY (1.5%)
235,000 Pioneer-Standard Financial Trust
6.750% 11,338,750
--------------
UTILITIES (5.5%)
410,000 AES Corp. Trust III
6.750% 17,978,500
350,000 CenterPoint Energy, Inc.++
2.000% 11,785,900
26,900 Southern Union Company
5.000% 1,349,035
140,000 TXU Corp.
8.125% 9,938,600
--------------
41,052,035
--------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $221,228,936) 232,397,528
==============
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
SHORT-TERM INVESTMENT (1.9%)
$ 13,938,000 Exxon Mobil Corporation
2.600%, 05/02/05
(Cost $13,936,993) 13,936,993
==============
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES
ON LOAN (20.5%)
152,104,340 Bank of New York Institutional Cash Reserve Fund
current rate 3.010%
(Cost $152,104,340) 152,104,340
==============
TOTAL INVESTMENTS (169.2%)
(Cost $1,215,725,992) 1,253,921,558
==============
PAYABLE UPON RETURN OF SECURITIES
ON LOAN (-20.5%) (152,104,340)
--------------
OTHER ASSETS, LESS LIABILITIES
(3.2%) 23,813,406
--------------
PREFERRED SHARES AT REDEMPTION VALUE
INCLUDING DIVIDENDS PAYABLE (-51.9%) (384,324,540)
--------------
NET ASSETS APPLICABLE TO
COMMON SHAREHOLDERS
(100.0%) $ 741,306,084
==============
Convertible Opportunities and Income Fund
Schedule of Investments SEMIANNUAL REPORT 9
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
NOTE: VALUES FOR SECURITIES DENOMINATED IN FOREIGN CURRENCIES ARE SHOWN IN U.S.
DOLLARS.
* 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 April 30, 2005, the market
value of 144A securities that could not be exchanged to the registered
form was $85,243,393 or 11.5% of net assets applicable to common
shareholders of the Fund.
^ Security, or portion of security, is on loan.
# Non-Income producing security.
+ Security was purchased at a price that takes into account the value, if
any, of accrued but unpaid interest.
++ Variable rate security. The interest rate shown is the rate in effect at
April 30, 2005.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
FUND SECTOR ALLOCATION
CONSUMER DISCRETIONARY 27.8%
ENERGY 10.9%
MATERIALS 10.9%
CONSUMER STAPLES 10.7%
INFORMATION TECHNOLOGY 10.3%
FINANCIALS 9.7%
INDUSTRIALS 8.5%
HEALTH CARE 6.0%
UTILITIES 4.0%
TELECOMMUNICATION SERVICES 1.2%
Convertible Opportunities and Income Fund
10 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Statement of Assets and Liabilities
APRIL 30, 2005 (UNAUDITED)
---------------------------------------------------------------------------------------------
ASSETS
Investments, at value* (cost $1,215,725,992) $1,253,921,558
Cash with custodian (interest bearing) 2,649
Receivable for investments sold 2,865,669
Accrued interest and dividends receivables 20,751,579
Unrealized appreciation on interest rate swaps 9,808,992
Prepaid expenses 37,877
Other assets 32,361
---------------------------------------------------------------------------------------------
Total assets 1,287,420,685
---------------------------------------------------------------------------------------------
LIABILITIES
Payable for investments purchased 9,014,212
Payable to investment advisor 516,377
Payable to financial accountant 10,818
Payable for deferred compensation to Trustees 32,361
Other accounts payable and accrued liabilities 111,953
Payable upon return of securities loaned 152,104,340
---------------------------------------------------------------------------------------------
Total liabilities 161,790,061
---------------------------------------------------------------------------------------------
PREFERRED SHARES
$25,000 liquidation value per share applicable to 15,360 shares, including
dividends payable 384,324,540
---------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 741,306,084
---------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized 45,687,414
shares issued and outstanding $ 659,222,410
Undistributed net investment income (loss) (405,727)
Accumulated net realized gain (loss) on investments, written options,
foreign currency transactions and interest rate swaps 34,476,390
Net unrealized appreciation (depreciation) on investments, written
options, foreign currency translations and interest rate swaps 48,013,011
---------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 741,306,084
---------------------------------------------------------------------------------------------
Net asset value per common share based on 45,687,414 shares issued and
outstanding $ 16.23
---------------------------------------------------------------------------------------------
* Includes $146,344,981 of securities loaned.
Convertible Opportunities and Income Fund
Statement of Assets and Liabilities SEMIANNUAL REPORT 11
See accompanying Notes to Financial Statements.
Statement of Operations
SIX MONTHS ENDED APRIL 30, 2005 (UNAUDITED)
----------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 36,278,481
Dividends 6,167,571
Securities lending income 286,884
----------------------------------------------------------------------------------------
Total investment income 42,732,936
----------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 4,686,099
Financial accounting fees 66,853
Auction agent and rating agency fees 527,235
Printing and mailing fees 101,177
Accounting fees 84,528
Audit and legal fees 53,139
Custodian fees 44,852
Registration fees 21,300
Transfer agent fees 18,506
Trustees' fees 13,549
Other 28,758
----------------------------------------------------------------------------------------
Total expenses 5,645,996
----------------------------------------------------------------------------------------
Less expense waived (1,464,406)
----------------------------------------------------------------------------------------
Net expenses 4,181,590
========================================================================================
NET INVESTMENT INCOME (LOSS) 38,551,346
========================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, WRITTEN OPTIONS,
FOREIGN CURRENCY AND INTEREST RATE SWAPS
NET REALIZED GAIN (LOSS) FROM:
Investments 35,150,508
Foreign currency transactions (139,735)
Interest rate swaps (720,761)
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments (69,419,195)
Foreign currency translations 54,632
Interest rate swaps 6,566,276
----------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS,
WRITTEN OPTIONS, FOREIGN CURRENCY AND INTEREST RATE SWAPS (28,508,275)
========================================================================================
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 10,043,071
========================================================================================
DIVIDENDS TO PREFERRED SHAREHOLDERS FROM
Net investment income (2,387,277)
Capital gains (2,644,295)
----------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS RESULTING FROM OPERATIONS $ 5,011,499
========================================================================================
Convertible Opportunities and Income Fund
12 SEMIANNUAL REPORT Statement of Operations
See accompanying Notes to Financial Statements.
Statement of Changes in Net Assets
For the Six
Months Ended For the Year
April 30, 2005 Ended
(unaudited) October 31, 2004
---------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income (loss) $ 38,551,346 $ 83,577,716
Net realized gain (loss) from investments, written options, foreign
currency transactions and interest rate swaps 34,290,012 48,505,589
Change in net unrealized appreciation/depreciation on investments,
written options, foreign currency translations and interest rate swaps (62,798,287) (25,142,077)
Dividends to preferred shareholders from
Net investment income (2,387,277) (4,964,502)
Capital gains (2,644,295) (162,833)
--------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to common shareholders
resulting from operations 5,011,499 101,813,893
--------------------------------------------------------------------------------------------------------------
DIVIDENDS TO COMMON SHAREHOLDERS FROM
Net investment income (41,820,927) (79,941,663)
Capital gains (46,563,355) (19,991,745)
Net decrease in net assets from dividends to common shareholders (88,384,282) (99,933,408)
CAPITAL STOCK TRANSACTIONS
Offering costs on preferred shares -- (2,000,548)
Reinvestment of dividends resulting in the issuance of common stock 16,400,381 17,635,038
Net increase (decrease) in net assets from capital stock transactions 16,400,381 15,634,490
--------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (66,972,402) 17,514,975
--------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Beginning of period 808,278,486 790,763,511
--------------------------------------------------------------------------------------------------------------
End of period $ 741,306,084 $ 808,278,486
==============================================================================================================
Undistributed net investment income (loss) $ (405,727) $ 5,251,131
Convertible Opportunities and Income Fund
Statement of Changes in Net Assets SEMIANNUAL REPORT 13
See accompanying Notes to Financial Statements.
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. Under normal
circumstances the Fund will invest at least 80% of its managed assets in a
diversified portfolio of convertible and non-convertible income securities.
"Managed Assets" means the total assets of the Fund (including any assets
attributable to any leverage that may be outstanding) minus total liabilities
(other than debt representing financial leverage).
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities, except exchange traded option securities, that are traded on a
securities exchange in the United States 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 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 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 such option security, such security is valued at the mid-point
of the consolidated bid/ask quote for the option security. 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.
Convertible Opportunities and Income Fund
14 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (unaudited)
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 fiscal
quarter ends, 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. 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.
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of
foreign currency, foreign currency gains or losses realized between the trade
and settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Fund's books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized foreign exchange gains and
losses arise from changes (due to the changes in the exchange rate) in the value
of foreign currency and other assets and liabilities denominated in foreign
currencies held at period end.
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
call options is increased by premiums paid. The proceeds from securities sold
through the exercise of 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 investments. 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 written 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 a
gain or loss. If a written 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.
USE OF ESTIMATES. The preparation of financial statements in conformity with
U.S. generally accepted accounting principles requires management to make
estimates and assumptions that affect the amounts reported in the financial
statements and accompanying notes. Actual results may differ from those
estimates.
INCOME TAXES. No provision has been made for income taxes because the Fund's
policy is to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute to shareholders substantially all of its
taxable income and gains.
Dividends and distributions paid to shareholders are recorded on the ex-dividend
date. The amount of dividends and distributions from net investment income and
net realized capital gains is determined in accordance with Federal income tax
regulations, which
Convertible Opportunities and Income Fund
Notes to Financial Statements SEMIANNUAL REPORT 15
Notes to Financial Statements (unaudited)
may differ from U.S. generally accepted accounting principles. To the extent
these "book/tax" differences are permanent in nature such amounts are
reclassified within the capital accounts based on their Federal tax-basis
treatment. These differences are primarily due to differing treatments for
foreign currency transactions, contingent payment debt instruments and methods
of amortizing and accreting on fixed income securities. Financial records are
not adjusted for temporary differences.
NOTE 2 - INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with Calamos Advisors LLC ("Calamos
Advisors"), the Fund pays an annual fee, payable monthly, equal to 0.80% based
on the average weekly managed assets. Calamos Advisors 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).
Effective November 1, 2004 Calamos Advisors receives a fee payable monthly at
the annual rate of 0.0175% on the first $1 billion of combined assets; 0.0150%
on the next $1 billion of combined assets; and 0.0110% on combined assets above
$2 billion for financial accounting services (for purposes of this calculation
combined assets means the net assets of Calamos Investment Trust and Calamos
Advisors Trust, and the managed assets of Calamos Convertible and High Income
Fund, Calamos Convertible Opportunities and Income Fund and Calamos Strategic
Total Return Fund). Financial accounting services include, but are not limited
to, the following: managing expenses and expense payment processing; monitoring
the calculation of expense accrual amounts; calculating, tracking, and reporting
tax adjustments on all assets and monitoring trustee deferred compensation plan
accruals and valuations. The Fund will pay its pro rata share of the financial
accounting services fee payable to Calamos Advisors based on average assets of
the Fund.
Certain officers and trustees of the Fund are also officers and directors of
Calamos Financial Services LLC ("CFS") and Calamos Advisors. 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 Calamos Advisors 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
participating trustee. The value of a participating 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 $32,361 are included in "Other assets" on
the Statement of Assets and Liabilities at April 30, 2005. The Fund's obligation
to make payments under the Plan is a general obligation of the Fund and is
included in "Payable for deferred compensation to Trustees" on the Statement of
Assets and Liabilities at April 30, 2005.
NOTE 3 - INVESTMENTS
Purchases and sales of investments other than short-term obligations For the six
months ended April 30, 2005 were as follows:
Purchases $ 247,655,081
Proceeds from sales 258,054,753
Convertible Opportunities and Income Fund
16 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (unaudited)
The following information is presented on an income tax basis as of April 30,
2005. 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 April 30, 2005
was as follows:
Cost basis of investments $ 1,221,676,371
---------------
Gross unrealized appreciation 67,228,076
Gross unrealized depreciation (34,982,889)
---------------
Net unrealized appreciation (depreciation) $ 32,245,187
===============
NOTE 4 - INCOME TAXES
Distributions during the fiscal year ended October 31, 2004 were characterized
for income tax purposes as follows:
DISTRIBUTIONS PAID FROM:
Net investment income $ 99,594,856
Capital gains 5,444,071
As of October 31, 2004, the components of net assets on a
tax basis were as follows:
Undistributed ordinary income $ 8,298,735
Undistributed capital gains 49,394,028
-------------
Total undistributed earnings 57,692,763
Accumulated capital and other losses --
Net unrealized gains/(losses) 107,844,425
-------------
Total accumulated earnings/(losses) 165,537,188
Other (80,731)
Paid-in capital 642,822,029
-------------
$ 808,278,486
-------------
NOTE 5 - COMMON STOCK
There are unlimited common shares of beneficial interest authorized and
45,687,414 shares outstanding at April 30, 2005. Calamos Advisors LLC owned
8,358 of the outstanding shares. Transactions in common shares were as follows:
For the Six Months
Ended For the Year
April 30, 2005 Ended
(unaudited) October 31, 2004
---------------------------------------------------------------------------------------------
Beginning shares 44,833,669 43,904,538
Shares sold -- --
Shares issued through reinvestment of distributions 853,745 929,131
------------------------------------
Ending shares 45,687,414 44,833,669
====================================
NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes in currency
exchange rates by entering into foreign currency contracts to purchase or sell
currencies. A forward foreign currency contract is a commitment to purchase or
sell a foreign currency at a future date at a negotiated forward rate. Risks
associated with such contracts include, among other things, movement in the
value of the foreign currency relative to the U.S. dollar and the ability of the
counterparty to perform. The net unrealized gain, if
Convertible Opportunities and Income Fund
Notes to Financial Statements SEMIANNUAL REPORT 17
Notes to Financial Statements (unaudited)
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, 2005.
NOTE 7 - 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 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 1.90% to 3.45% for the six months ended April 30, 2005. 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 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.
Convertible Opportunities and Income Fund
18 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (unaudited)
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 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, 2005 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% 1 month LIBOR $ 1,374,640
Merrill Lynch November 28, 2006 $60,000 2.82% 1 month LIBOR 922,920
Merrill Lynch July 3, 2007 $65,000 2.33% 1 month LIBOR 2,283,375
Merrill Lynch November 28, 2007 $60,000 3.26% 1 month LIBOR 1,140,512
Merrill Lynch July 3, 2008 $70,000 2.69% 1 month LIBOR 2,988,045
Merrill Lynch November 28, 2008 $60,000 3.60% 1 month LIBOR 1,099,500
------------
$ 9,808,992
============
NOTE 10 - SECURITIES LENDING
During the six months ended April 30, 2005, 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 April 30, 2005, the Fund had securities
valued at $146,344,981 that were on loan to broker-dealers and banks and
$152,104,340 in cash or cash equivalent collateral.
Convertible Opportunities and Income Fund
Notes to Financial Statements SEMIANNUAL REPORT 19
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period were as follows:
For the Six June 26,
Months Ended 2002*
April 30, For the Year Ended through
(unaudited) October 31, October 31,
------------------------------------------------------
2005 2004 2003 2002
-------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginnning of period $ 18.03 $ 18.01 $ 13.56 $ 14.32(a)
-------------------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.87 1.91 1.77(b) 0.39(c)
-------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) from investments,
written options, foreign currency and interest rate swaps (0.59) 0.52 4.38(b) (0.77)
-------------------------------------------------------------------------------------------------------------------------------
Dividends to preferred shareholders from:
Net investment income (common share equivalent basis) (0.05) (0.11) (0.06) (0.01)
-------------------------------------------------------------------------------------------------------------------------------
Capital gains (common share equivalent basis) (0.06) -- -- --
-------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.17 2.32 6.09 (0.39)
-------------------------------------------------------------------------------------------------------------------------------
Less dividends to common shareholders from:
Net investment income (0.93) (1.80) (1.64) (0.29)
-------------------------------------------------------------------------------------------------------------------------------
Capital gains (1.04) (0.45) -- --
-------------------------------------------------------------------------------------------------------------------------------
Capital charge resulting from issuance of common and preferred shares -- (0.05) --(d) (0.08)
-------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 16.23 $ 18.03 $ 18.01 $ 13.56
-------------------------------------------------------------------------------------------------------------------------------
Market value, end of period $ 18.51 $ 20.50 $ 19.60 $ 14.20
-------------------------------------------------------------------------------------------------------------------------------
Total investment return based on(e):
Net asset value (0.51)% 12.65% 46.48% (3.33)%
-------------------------------------------------------------------------------------------------------------------------------
Market value (0.20)% 17.69% 52.22% (3.33)%
-------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data:
Net assets applicable to common shareholders, end of period (000's omitted) $741,306 $808,278 $790,764 $586,893
-------------------------------------------------------------------------------------------------------------------------------
Preferred shares, at redemption value ($25,000 per share liquidation $384,000 $384,000 $204,000 $204,000
preference) (000's omitted)
-------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets applicable to common shareholders:
Net expenses(f) 1.06% 1.00% 0.86% 0.79%
-------------------------------------------------------------------------------------------------------------------------------
Gross expenses prior to waiver of expenses by the advisor(f) 1.43% 1.37% 1.18% 1.06%
-------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss)(f) 9.78% 10.56% 10.89%(b) 8.21%
-------------------------------------------------------------------------------------------------------------------------------
Preferred share dividends(f) 0.60% 0.65% 0.39% 0.23%
-------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss), net of preferred share dividends(f) 9.18% 9.91% 10.50%(b) 7.99%
-------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 22% 54% 42% 2%
-------------------------------------------------------------------------------------------------------------------------------
Asset coverage per preferred share, at end of period(g) $ 73,283 $ 77,624 $121,907 $ 96,934
-------------------------------------------------------------------------------------------------------------------------------
* Commencement of operations.
(a) Net of sales load of $.675 on initial shares issued and beginning net
asset value of $14,325.
(b) Interest rate swap payments reclassified from net investment income (loss)
to net realized and unrealized gain (loss) on investments, foreign
currency and interest rate swaps.
(c) Based on average shares method.
(d) Amount equated to less than $0.05 per common share.
(e) 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.
(f) Annualized for periods less than one year.
(g) 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.
Convertible Opportunities and Income Fund
20 SEMIANNUAL REPORT Financial Highlights
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, 2005, 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 the
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 changes in net
assets for the year ended October 31, 2004 and the financial highlights for each
of the two years in the period ended October 31, 2004; and in our report dated
December 21, 2004, we expressed an unqualified opinion on such statement of
changes in net assets and financial highlights.
/s/ Deloitte & Touche LLP
Chicago, Illinois
June 20, 2005
Convertible Opportunities and Income Fund
Report of Independent Registered Public Accounting Firm SEMIANNUAL REPORT 21
OTHER INFORMATION (UNAUDITED)
RESULTS OF SHAREHOLDER MEETING. The Annual Meeting of Shareholders of the Fund
was held on April 6, 2005 where shareholders voted on the elections of trustees.
With regard to the election, each trustee standing for election was elected by
the shareholders as follows:
# OF COMMON
TRUSTEES AND PREFERRED SHARES
--------------------------------------------------------------------------------
FOR WITHHELD
------------------------
John P. Calamos, Sr. 41,061,167 404,814
Weston W. Marsh 41,053,927 412,054
# OF PREFERRED SHARES
------------------------
FOR WITHHELD
------------------------
William R. Rybak 10,536 51
The other trustees of the Fund whose terms did not expire in 2005 are Nick P.
Calamos, Joe F. Hanauer, John E. Neal and Stephen B. Timbers.
Convertible Opportunities and Income Fund
22 SEMIANNUAL REPORT Other Information
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[LOGO]
CALAMOS INVESTMENTS(R)
--------------------------------------------------------------------------------
Calamos Investments | 1111 E. Warrenville Road | Naperville, IL 60563-1463 |
800.582.6959 | www.calamos.com
--------------------------------------------------------------------------------
A description of the Calamos Proxy Voting Policies and Procedures is available
free of charge upon request by calling (800) 582-6959, by visiting the Calamos
website at www.calamos.com, or by writing Calamos at: Calamos Investments, Attn:
Client Services, 1111 E. Warrenville Road, Naperville, IL 60563. The Fund's
proxy voting record for the twelve month period ended June 30, 2004, is also
available upon request by calling or writing Calamos Investments and by visiting
the SEC Web site at www.sec.gov.
The Fund files a complete list of its portfolio holdings with the SEC for the
first and third quarters each fiscal year on Form N-Q. The Form N-Q is available
free of charge, upon request, by calling or writing Calamos Investments or by
visiting the SEC website. You may also review or, for a fee, copy the forms at
the SECs Public Reference Room in Washington, D.C. (202) 942-8090.
FOR 24 HOUR SHAREHOLDER ASSISTANCE
800.432.8224
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB SITE
www.calamos.com
INVESTMENT ADVISOR
Calamos Advisors LLC
1111 E. Warrenville Road
Naperville, IL 60563-1463
FUND ACCOUNTING AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02111
CUSTODIAN AND TRANSFER AGENT
The Bank of New York
P.O. Box 11258
Church Street Station
New York, NY 10286
800.524.4458
INDEPENDENT ACCOUNTANTS
Deloitte and Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
AS OF JULY 15, 2005, CALAMOS INVESTMENTS
WILL BE LOCATED AT:
2020 CALAMOS COURT
NAPERVILLE, IL 60563
(C) 2005 Calamos Holdings LLC. All Rights Reserved.
Calamos(R), CALAMOS INVESTMENTS(R), STRATEGIES FOR SERIOUS MONEY(R)
and the Calamos(R) logo are registered trademarks of Calamos Holdings LLC.
CHISAN 1790 2005
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
Included in the Report to Shareholders in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
-------------------- ----------------- -------------- --------------------- ----------------------------
(C) TOTAL NUMBER (D) MAXIMUM NUMBER
(A) TOTAL OF SHARES (OR (OR APPROXIMATE DOLLAR
NUMBER OF (B) AVERAGE UNITS) PURCHASED VALUE) OF SHARES (OR
SHARES (OR PRICE PAID AS PART OF PUBLICLY UNITS) THAT MAY YET BE
UNITS) PER SHARE ANNOUNCED PLANS PURCHASED UNDER THE
PERIOD PURCHASED (OR UNIT) OR PROGRAMS PLANS OR PROGRAMS
-------------------- ----------------- -------------- --------------------- ----------------------------
November 1 to 0 0 0 0
November 30
-------------------- ----------------- -------------- --------------------- ----------------------------
December 1 to 3,290 $21.37 0 0
December 31
-------------------- ----------------- -------------- --------------------- ----------------------------
January 1 to 0 0 0 0
January 31
-------------------- ----------------- -------------- --------------------- ----------------------------
February 1 to 0 0 0 0
February 28
-------------------- ----------------- -------------- --------------------- ----------------------------
March 1 to 0 0 0 0
March 31
-------------------- ----------------- -------------- --------------------- ----------------------------
April 1 to April 0 0 0 0
30
-------------------- ----------------- -------------- --------------------- ----------------------------
Total 0 0 0 0
-------------------- ----------------- -------------- --------------------- ----------------------------
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
No material changes.
ITEM 11. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-CSR was recorded,
processed, summarized, and reported 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 second fiscal quarter of the period covered by this
report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. 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: June 29, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: June 29, 2005
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: June 29, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: June 29, 2005