================================================================================ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER: 811-21080 EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible Opportunities and Income Fund ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville, Illinois 60563-2787 NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary, Calamos Advisors LLC 2020 Calamos Court Naperville, Illinois 60563-2787 REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200 DATE OF FISCAL YEAR END: October 31, 2006 DATE OF REPORTING PERIOD: November 1, 2004 through April 30, 2006 ================================================================================ ITEM 1. REPORTS TO SHAREHOLDERS Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). [PICTURE] CALAMOS(R) CONVERTIBLE OPPORTUNITIES AND INCOME FUND (CHI) SEMIANNUAL REPORT APRIL 30, 2006 [CALAMOS INVESTMENTS(R) LOGO] CALAMOS INVESTMENTS(R) [PICTURE] Stay Connected with Calamos Visit www.calamos.com for timely fund performance rates, [STAY CONNECTED LOGO] insightful market commentary, fund news and portfolio information. GO PAPERLESS! For your convenience, you can view shareholder communications, annual reports and proxy statements online. Visit www.calamos.com to sign up for e-delivery. TABLE OF CONTENTS Letter to Shareholders ................................................. 1 Investment Team Interview .............................................. 4 Schedule of Investments ................................................ 8 Statement of Assets and Liabilities .................................... 30 Statement of Operations ................................................ 31 Statements of Changes In Net Assets .................................... 32 Notes to Financial Statements .......................................... 33 Financial Highlights ................................................... 44 Report of Independent Registered Public Accounting Firm .............................................. 46 Other Information ...................................................... 47 About Closed-End Funds ................................................. 49 Leverage ............................................................... 50 Level Rate Distribution Policy ......................................... 51 Automatic Dividend Reinvestment Plan ................................... 52 Calamos Closed-End Funds ............................................... 53 Letter to Shareholders [PHOTO OF JOHN P. CALAMOS] Dear Fellow Shareholders: Thank you for your investment in CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND (CHI). I am very pleased to report that for the six-month period ending April 30, 2006,the Fund continued to provide you with a consistent, attractive annualized distribution of 8.87% based on the closing market price of $20.29 at the end of the period. FUND STRATEGY The Fund is actively managed and seeks to provide attractive income to shareholders in a category we describe as Enhanced Fixed Income. These strategies utilize all ranges of credit quality and a variety of debt instruments to achieve the Fund's investment objective. In a low-inflation, low-interest rate environment, this strategy seeks to provide higher returns than traditional investment grade debt instruments. As the investment manager of this strategy, we see that three primary risks need to be addressed: changes in credit worthiness, equity market volatility and interest rate risk. Changes in credit worthiness are managed by analyzing each security through a fundamental analytical process as well as through diversification in the securities held and the industry groups held. The portfolio also seeks to mitigate some of the interest rate exposure by accepting some equity-market exposure in return. This is accomplished by using a combination of both high-yield bonds and convertible bonds.Interest rate risk is managed using a variety of techniques including the use of swaps, a hedging technique that seeks to minimize the impact of short-term interest rate increases, and actively managing the average duration of the portfolio. Duration takes into consideration the cash flows from the securities as well as the time to payment of principal. The potential advantage to the combination of these securities is that in a rising-interest-rate environment due to strong economic conditions, these securities can offset the higher interest rates. Convertible securities, for example, have an equity component that increases the value of the bond as the Convertible Opportunities and Income Fund Letter to Shareholders SEMIANNUAL REPORT 1 Letter to Shareholders underlying stock increases, regardless of what the general trend of interest rates happen to be at the time. As an investor, you must decide how much of your fixed-income asset allocation should be dedicated to an enhanced fixed-income strategy. We feel we are in a period where this strategy will prove valuable to your fixed-income asset allocation. For example, during the first calendar quarter of 2006, interest rates rose and the investment-grade market, as measured by the Lehman Brothers Aggregate Bond Index,1 was down -0.65%, whereas the Fund's total return based on the value of the portfolio, net asset value, increased 4.49%. This Fund should be considered the portion of your fixed-income allocation that favors economic growth because the convertible securities participate in the rising equity markets, while the high-yield bonds participate as access to capital improves companies' balance sheets whereby companies' experience credit-rating upgrades and the bonds rise in value. During the semiannual period, the Fund delivered a total of $0.860 per share in monthly distributions to shareholders, comprised of earned income. In addition,the Fund paid short- and long-term capital gains distributions totaling $0.3340 per share in January, reflecting the capacity for the Fund's holdings to not only generate income, but to also experience capital appreciation. OUR HISTORY OF INNOVATION CALAMOS INVESTMENTS has a history of producing innovative closed-end fund vehicles that offer a dynamic approach to asset allocation. For example, we were one of the first firms to introduce closed-end fund investors to the merits of combining convertible securities with other securities such as stocks and corporate bonds, aiming to provide total return with current income in a risk-managed framework. Calamos is dedicated to superior investment performance. The Fund is an example of the way we have created new strategies based on our core expertise to help you achieve and benefit from greater portfolio diversification. This is a recognized way to try to reduce some of the risk that comes with investing. At CALAMOS INVESTMENTS, we regard ourselves first and foremost as risk managers.The surest way of building wealth is protecting principal. We believe that by combining convertible- and corporate fixed-income securities that provide significant income as well as exposure to the equity market's upside potential, we can offer our shareholders the potential for long-term wealth creation in a manner Convertible Opportunities and Income Fund 2 SEMIANNUAL REPORT Letter to Shareholders Letter to Shareholders consistent with our focus on risk management. Talk to your financial advisor about other Calamos strategies that may fit your investment objectives. THE CONVENIENCE OF REINVESTMENT Take advantage of the convenience of accumulating more shares of the Fund through the dividend reinvestment plan, an efficient method for purchasing additional shares with a potential for cost savings. For example, if the Fund's shares are trading at a premium, dividends will be automatically reinvested through the plan at NAV or 95% of the market price, whichever is greater; if shares are trading at a discount, dividends will be reinvested by purchasing shares at the market price,below NAV. For additional information about the plan, please contact the Plan Agent, The Bank of New York, at 800-432-8224 or visit us on the web at www.calamos.com/chi.aspx. STAY CONNECTED WITH CALAMOS I welcome the opportunity to address shareholders in these reports but urge you to stay connected with Calamos via our website www.calamos.com where you will find timely portfolio details, our outlook and special reports. THANK YOU Thank you for the confidence you have placed in our team, investment process and the Calamos Closed-End Funds. We will do our utmost to continue to earn your trust and look forward to serving your long-term investment plan. Sincerely, /s/ JOHN P. CALAMOS, SR. ----------------------------- JOHN P. CALAMOS, SR. Chairman, CEO and Co-CIO Calamos Advisors LLC (1)Lehman Brothers Aggregate Bond Index is composed of securities from Lehman Brothers Government/Corporate Bond Index, Mortgage-Backed Securities Index, and the Asset-Backed Securities Index. The index's total return consists of price appreciation/depreciation plus income as a percentage of the original investment. Indexes are rebalanced monthly by market capitalization. Source: Russell/Mellon Analytical Services LLC. This report is presented for informational purposes and should not be considered investment advice. Convertible Opportunities and Income Fund Letter to Shareholders SEMIANNUAL REPORT 3 Investment Team Interview WITH THE CALAMOS INVESTMENT TEAM LED BY CO-CHIEF INVESTMENT OFFICERS, JOHN P. CALAMOS, SR. AND NICK P. CALAMOS HOW DOES THE FUND FIT IN AN INVESTOR'S OVERALL ASSET ALLOCATION? The Fund offers investors an enhanced fixed-income strategy focused on delivering an attractive income stream with the potential for capital gains. The types of bonds that the Fund holds (high-yield corporate and convertible securities) have different characteristics than traditional bonds, providing an attractive complement to a standard fixed-income allocation. The Fund is designed to perform well in a period marked by economic expansion and rising interest rates, whereas traditional high-quality bonds tend to perform poorly in a rising interest rate environment. (Such a distinction was made especially clear during the first calendar quarter of 2006, when traditional bonds endured negative returns, while equity-sensitive high-yield and convertible bonds enjoyed gains.) It is also worth noting that since the Fund's holdings have different sensitivities than traditional bonds, the Fund can further diversify the income-focused portion of an investor's asset allocation. FUND ASSET ALLOCATION AS OF APRIL 30, 2006 [PIE CHART] CONVERTIBLE SECURITIES 46.3% HIGH YIELD/CORPORATE BONDS 53.5% SHORT-TERM INVESTMENTS 0.2% Fund asset allocations are based on total investment (excluding security lending collateral) and may vary over time. HOW DID THE FUND PERFORM OVER THE REPORTING PERIOD? The Fund performed well: Its underlying portfolio (as represented by net asset value or NAV) returned 7.63% during the six-month period, and the Fund's market price returned 10.55% during the same period. TORAL RETURN* AS OF APRIL 30,2006 COMMON SHARES-INCEPTION 6/26/02 6 MONTHS 1 YEAR SINCE INCEPTION** On Share Price 10.55% 22.29% 21.48% On NAV 7.63 15.41 17.04 PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Due to ongoingmarket volatility, performance is subject to substantial short-term fluctuations. ---------- *Total return measures net investment income and capital gain or loss from portfolio investments, assuming reinvestment of income and capital gains distributions. **Annualized since inception. Convertible Opportunities and Income Fund 4 SEMIANNUAL REPORT Investment Team Interview Investment Team Interview INTEREST RATES CONTINUED TO MOVE HIGHER OVER THE PERIOD, WITH THE FEDERAL FUNDS RATE MOVING FROM 4.00% AT THE BEGINNING OF THE PERIOD TO 4.75% AT THE END OF APRIL 2006. HOW DID THIS RISING RATE ENVIRONMENT IMPACT THE PORTFOLIO? Rising short-term interest rates have had little impact on the Fund's cost of leverage. Many closed-end funds leverage the portfolio by borrowing funds at very short-term rates. As short-term interest rates rise, this increases the cost of leverage and can impact the yield and total return of the portfolio. While the Fund does employ leverage, the cost of leverage was locked in for longer periods at an earlier point in the interest rate cycle, when rates were lower. As of the end of April 2006, 99% of the leverage for CHI was locked in longer-term rates and not susceptible to rising short-term interest rates. By locking in the cost of leverage longer term, the portfolio is not significantly affected by rising short-term interest rates. Long-term interest rates also rose over the period, with the yield on the 10-year Treasury moving from 4.57% at the beginning of the period to 5.07% at the end of April 2006. Rising long-term interest rates tend to negatively affect traditional highquality fixed-income securities. As noted above, this portfolio combines high yield corporate bonds and convertible bonds that tend to be more economically sensitive and much less interest-rate sensitive. This is shown by the positive performance delivered over the period as the portfolio benefited from continued economic expansion and a rising equity market. Furthermore, the portfolio continues to provide an attractive yield for shareholders: CHI's monthly distribution equated to a 8.87% annualized distribution rate based on the market price as of April 30, 2006. TEN YEAR TREASURY AS OF APRIL 30, 2006 [LINE GRAPH] 31 Oct'05 4.57% Nov'05 4.49% Dec'05 4.39% Jan'06 4.53% Feb'06 4.55% Mar'06 4.86% Apr'06 5.07% Convertible Opportunities and Income Fund Investment Team Interview SEMIANNUAL REPORT 5 Investment Team Interview HOW DID THE FUND BENEFIT FROM POSITIONING DURING THE REPORTING PERIOD? On a sector basis, the Fund benefited significantly from our selection of holdings within the Financials, Information Technology, Industrials and Energy sectors. The portfolio also benefited from our focus on more equity-sensitive convertible securities, which performed well, reflecting the positive returns in their underlying equities. SECTOR ALLOCATION Consumer Discretionary 24.7% Financials 15.6 Energy 12.5 Consumer Staples 10.6 Information Technology 9.4 Industrials 9.4 Materials 5.6 Utilities 5.3 Health Care 5.1 Telecommunication Services 1.8 Sector allocations are based on total investments (excluding security lending collateral and short-term investments) and may vary over time. The portfolio has also increased the use of synthetic convertible securities, which has benefited the performance. Synthetic convertible securities are created by combining a traditional fixed-income bond with a call option. Through the use of these securities, the portfolio team can effectively manage the credit risk, interest-rate sensitivity, and equity sensitivity of the portfolio. Synthetic securities provide an additional tool for the investment team in constructing the portfolio and managing the overall risk/reward. HOW DID THE FUND'S POSITIONING HURT PERFORMANCE OVER THE PERIOD? While securities within each sector contributed to positive returns, issues within Materials, Health Care, Consumer Staples and Utilities lagged other sectors for the period. In addition, the investment team's focus on issues with solid credits and relatively strong balance sheets was not especially rewarded over the period, as many of the lowest-quality distressed credits performed well over the period. While avoiding distressed issues detracted from returns on a relative basis for this sixmonth period, we believe that over a full market cycle our rigorous credit research will provide clients with a portfolio with an attractive risk/reward profile. DO YOU ANTICIPATE MAKING ANY CHANGES WITHIN THE PORTFOLIO GOING FORWARD? The portfolio continues to be actively managed to take advantage of opportunities Convertible Opportunities and Income Fund 6 SEMIANNUAL REPORT investment Team Interview Investment Team Interview in the marketplace. Through extensive fundamental analysis, we are focusing on issues that have stable growth prospects and solid balance sheets, which can benefit from the current economic backdrop. For example, during a slow-but-stable growth phase of the economy, larger companies tend to outperform, as do sectors such as Consumer Staples. We also may continue to make use of synthetic convertible securities, as they allow the investment team the flexibility to control credit risk, interest-rate sensitivity and equity sensitivity. We continue to believe that the convertible market is attractively valued. Valuations within the convertible market had declined toward the end of 2004 and into 2005 due to selling pressure from hedge funds employing convertible arbitrage strategies. Valuations remain attractive within the convertible bond market, and the portfolio is positioned with the potential to take advantage of an improving convertible bond market. While current convertible valuations remain attractive, should valuations improve, the allocation to convertible securities would likely be reduced. We will continue to make use of our fundamental research as we look for securities with stable growth prospects, solid balance sheets and good risk/reward profiles. WHAT IS YOUR MARKET OUTLOOK AND HOW IS THE PORTFOLIO POSITIONED TO TAKE ADVANTAGE OF THIS ENVIRONMENT? We believe the economy is in the mid-cycle growth phase characterized by: - Positive but slowing gross domestic product growth - Corporate earnings that are strong, albeit slowing - High household net worth and wage growth - Strong corporate balance sheets that support increased capital expenditures We believe the portfolio will continue to perform well in this environment. The equity-sensitive nature of high-yield and convertible bonds can benefit from a positive environment for equity securities. Another positive factor for equity sensitive holdings may materialize should the Fed complete this cycle of raising interest rates. In the past, this has triggered renewed excitement for stocks and the Fund -- unlike traditional fixed-income holdings -- has the potential to significantly benefit from such enthusiasm. Convertible Opportunities and Income Fund Investment Team Interview SEMIANNUAL REPORT 7 SCHEDULE OF INVESTMENTS APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ----------- -------------- CORPORATE BONDS (77. 8%) CONSUMER DISCRETIONARY (27.3%) $ 2,160,000 Asbury Automotive Group, Inc. 9.000%, 06/15/12 $ 2,241,000 7,172,000 Aztar Corp.@ 7.875%, 06/15/14 7,799,550 11,233,000 Beazer Homes USA, Inc. 8.375%, 04/15/12 11,752,526 4,320,000 DEX Media, Inc. 8.000%, 11/15/13 4,455,000 3,052,000 DIRECTV Financing Company, Inc. 8.375%, 03/15/13 3,277,085 4,558,000 EchoStar Communications Corp.* 7.125%, 02/01/16 4,472,537 691,000 EchoStar DBS Corporation 6.625%, 10/01/14 667,679 6,886,000 GBP EMI Group, PLC 9.750%, 05/20/08 13,513,804 5,184,000 Ford Motor Company 8.625%, 11/01/10 4,907,885 Goodyear Tire & Rubber Company 7,344,000 7.000%, 03/15/28 6,315,840 3,456,000 7.857%, 08/15/11@ 3,421,440 4,752,000 GSC Holdings Corp.*@ 8.000%, 10/01/12 4,781,700 3,456,000 Hasbro, Inc. 6.600%, 07/15/28 3,229,217 6,891,000 Hovnanian Enterprises, Inc.@ 7.750%, 05/15/13 6,865,159 4,277,000 IMAX Corp.@ 9.625%, 12/01/10 4,587,082 4,320,000 Intrawest Corp. 7.500%, 10/15/13 4,395,600 12,097,000 Isle of Capri Casinos, Inc. 9.000%, 03/15/12 12,898,426 3,292,000 Jarden Corp. 9.750%, 05/01/12 3,440,140 2,395,000 Kellwood Company@ 7.625%, 10/15/17 2,217,775 3,456,000 Landry's Restaurants, Inc. 7.500%, 12/15/14 3,335,040 Convertible Opportunities and Income Fund 8 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ----------- -------------- $ 4,968,000 Linens `n Things, Inc.*@++ 10.702%, 01/15/14 $ 5,054,940 15,121,000 Mandalay Resort Group 10.250%, 08/01/07 15,914,852 6,740,000 NCL Holding, ASA 10.625%, 07/15/14 6,841,100 3,888,000 Oxford Industries, Inc. 8.875%, 06/01/11 4,033,800 4,320,000 Phillips-Van Heusen Corp. 8.125%, 05/01/13 4,568,400 1,728,000 Reader's Digest Association, Inc. 6.500%, 03/01/11 1,693,440 1,728,000 Rent-A-Center, Inc. 7.500%, 05/01/10 1,730,160 2,463,000 RH Donnelley Financial Corp.* 10.875%, 12/15/12 2,746,245 3,240,000 CAD Rogers Cable, Inc. 7.250%, 12/15/11 3,060,475 3,888,000 CAD Rogers Wireless, Inc. 7.625%, 12/15/11 3,712,213 2,592,000 Royal Caribbean Cruises, Ltd. 7.500%, 10/15/27 2,659,146 13,393,000 Russell Corp. 9.250%, 05/01/10 14,062,650 6,912,000 Time Warner@ 7.625%, 04/15/31 7,504,186 10,973,000 Vail Resorts, Inc. 6.750%, 02/15/14 10,657,526 4,320,000 Warnaco Group, Inc. 8.875%, 06/15/13 4,568,400 Warner Music Group 6,869,000 7.375%, 04/15/14 6,800,310 864,000 GBP 8.125%, 04/15/14 1,642,508 7,344,000 WCI Communities, Inc.@ 7.875%, 10/01/13 7,031,880 346,000 William Lyon Homes, Inc. 10.750%, 04/01/13 347,730 691,000 Wynn Las Vegas, LLC@ 6.625%, 12/01/14 675,453 -------------- 213,879,899 -------------- Convertible Opportunities and Income Fund Schedule of Investments SEMIANNUAL REPORT 9 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ----------- ----------- CONSUMER STAPLES (10.3%) $ 2,549,000 Central Garden & Pet Company 9.125%, 02/01/13 $ 2,721,058 4,320,000 Chattem, Inc. 7.000%, 03/01/14 4,341,600 3,759,000 Chiquita Brands International, Inc.@ 7.500%, 11/01/14 3,270,330 5,357,000 Del Monte Foods Company 8.625%, 12/15/12 5,651,635 Dole Food Company, Inc. 7,776,000 7.250%, 06/15/10 7,309,440 3,456,000 8.625%, 05/01/09 3,430,080 10,369,000 Jean Coutu Group, Inc.@ 8.500%, 08/01/14 9,772,782 3,024,000 NBTY, Inc.* 7.125%, 10/01/15 2,872,800 4,320,000 Pilgrim's Pride Corp.@ 9.250%, 11/15/13 4,384,800 5,184,000 Pinnacle Foods Holding@ 8.250%, 12/01/13 5,222,880 4,839,000 Playtex Products, Inc. 8.000%, 03/01/11 5,129,340 4,752,000 R.J. Reynolds Tobacco Holdings, Inc.@ 7.300%, 07/15/15 4,847,040 Revlon Consumer Products Corp. 864,000 11.020%, 07/11/06 885,600 864,000 10.910%, 08/14/06 885,600 864,000 10.690%, 06/06/06 885,600 432,000 10.720%, 05/09/06 442,800 3,586,000 Revlon, Inc.@ 9.500%, 04/01/11 3,532,210 8,640,000 Smithfield Foods, Inc. 7.750%, 05/15/13 8,748,000 4,450,000 Spectrum Brands, Inc.@ 8.500%, 10/01/13 3,949,375 1,728,000 WH Intermediate Holdings, Ltd. 9.500%, 04/01/11 1,857,600 ----------- 80,140,570 ----------- ENERGY (9.7%) 6,005,000 Arch Western Finance, LLC 6.750%, 07/01/13 5,974,975 Convertible Opportunities and Income Fund 10 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ----------- -------------- $ 8,187,000 Chesapeake Energy Corp. 6.875%, 01/15/16 $ 8,105,130 5,616,000 Comstock Resources, Inc. 6.875%, 03/01/12 5,517,720 648,000 Energy Partners, Ltd. 8.750%, 08/01/10 665,820 2,592,000 Forest Oil Corp.@ 8.000%, 12/15/11 2,770,200 4,033,000 Giant Industries, Inc. 11.000%, 05/15/12 4,446,383 4,839,000 KCS Energy, Inc. 7.125%, 04/01/12 4,899,487 9,764,000 Petroleo Brasileiro, SA 8.375%, 12/10/18 10,984,500 Premcor Refining Group, Inc. 5,530,000 9.500%, 02/01/13 6,092,948 2,355,000 7.500%, 06/15/15 2,477,173 2,592,000 Range Resources Corp. 7.375%, 07/15/13 2,666,520 6,048,000 Swift Energy Company@ 9.375%, 05/01/12 6,456,240 4,320,000 Whiting Petroleum Corp. 7.250%, 05/01/13 4,320,000 Williams Companies, Inc. 8,640,000 7.750%, 06/15/31 9,061,200 1,728,000 7.500%, 01/15/31 1,771,200 -------------- 76,209,496 -------------- FINANCIALS (2.7%) E*TRADE Financial Corporation 5,703,000 7.375%, 09/15/13 5,831,317 3,888,000 7.875%, 12/01/15@ 4,101,840 1,037,000 8.000%, 06/15/11 1,075,888 6,480,000 Leucadia National Corp. 7.000%, 08/15/13 6,463,800 1,469,000 Omega Healthcare Investors, Inc. 7.000%, 04/01/14 1,446,965 2,171,000 Senior Housing Properties Trust 7.875%, 04/15/15 2,257,840 -------------- 21,177,650 -------------- HEALTH CARE (4.9%) 3,543,000 Ameripath, Inc.@ 10.500%, 04/01/13 3,782,152 Convertible Opportunities and Income Fund Schedule of Investments SEMIANNUAL REPORT 11 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- $ 2,566,000 Angiotech Pharmaceuticals, Inc.* 7.750%, 04/01/14 $ 2,591,660 7,301,000 Bausch & Lomb, Inc. 7.125%, 08/01/28 7,009,522 1,469,000 Bio-Rad Laboratories, Inc. 7.500%, 08/15/13 1,513,070 1,728,000 Biovail Corp. 7.875%, 04/01/10 1,753,920 648,000 DaVita, Inc.@ 7.250%, 03/15/15 651,240 518,000 Omnicare, Inc.@ 6.875%, 12/15/15 514,763 3,024,000 Psychiatric Solutions, Inc. 7.750%, 07/15/15 3,114,720 7,344,000 Tenet Healthcare Corp.* 9.250%, 02/01/15 7,509,240 3,888,000 Valeant Pharmaceuticals International 7.000%, 12/15/11 3,868,560 5,616,000 Vanguard Health Systems, Inc.@ 9.000%, 10/01/14 5,826,600 -------------- 38,135,447 -------------- INDUSTRIALS (7.2%) 2,722,000 Accuride Corp. 8.500%, 02/01/15 2,701,585 2,160,000 Armor Holdings, Inc.@ 8.250%, 08/15/13 2,316,600 1,296,000 Columbus McKinnon Corp. 8.875%, 11/01/13 1,360,800 3,456,000 Commercial Vehicle Group, Inc. 8.000%, 07/01/13 3,473,280 2,592,000 Gardner Denver, Inc. 8.000%, 05/01/13 2,734,560 2,592,000 GATX Corp. 8.875%, 06/01/09 2,797,025 5,616,000 General Cable Corp. 9.500%, 11/15/10 6,093,360 1,104,000 Global Cash Access, Inc. 8.750%, 03/15/12 1,188,180 3,370,000 Greenbrier Companies, Inc. 8.375%, 05/15/15 3,542,712 Convertible Opportunities and Income Fund 12 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- $ 648,000 Hexcel Corporation 6.750%, 02/01/15 $ 639,900 4,320,000 Hutchison Whampoa, Ltd.*@ 6.250%, 01/24/14 4,364,505 JLG Industries, Inc. 3,888,000 8.250%, 05/01/08 4,101,840 864,000 8.375%, 06/15/12@ 920,160 2,938,000 Monitronics International, Inc. 11.750%, 09/01/10 2,930,655 955,000 Orbital Sciences Corp. 9.000%, 07/15/11 1,024,237 1,296,000 Sequa Corp. 8.875%, 04/01/08 1,357,560 6,048,000 Terex Corp. 7.375%, 01/15/14 6,153,840 1,728,000 Trinity Industries, Inc. 6.500%, 03/15/14 1,671,840 2,316,000 United Agri Products, Inc. 8.250%, 12/15/11 2,431,800 3,003,000 Wesco Distribution, Inc.*@ 7.500%, 10/15/17 3,078,075 Williams Scotsman International, Inc. 1,296,000 8.500%, 10/01/15 1,338,120 432,000 8.500%, 10/01/15* 446,040 -------------- 56,666,674 -------------- INFORMATION TECHNOLOGY (5.7%) 5,040,000 Advanced Micro Devices, Inc. 7.750%, 11/01/12 5,292,000 605,000 Avago Technologies* 11.875%, 12/01/15 668,525 3,456,000 Celestica, Inc.@ 7.875%, 07/01/11 3,533,760 4,320,000 Flextronics International, Ltd.@ 6.500%, 05/15/13 4,276,800 4,320,000 Freescale Semiconductor, Inc. 7.125%, 07/15/14 4,449,600 324,000 Sanmina-SCI Corporation 8.125%, 03/01/16 330,480 5,919,000 SunGard Data Systems, Inc.*@ 9.125%, 08/15/13 6,348,128 5,184,000 Telcordia Technologies* 10.000%, 03/15/13 4,769,280 Convertible Opportunities and Income Fund 13 Schedule of Investments SEMIANNUAL REPORT See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- Xerox Corp. $ 8,208,000 8.000%, 02/01/27@ $ 8,495,280 6,048,000 7.625%, 06/15/13 6,274,800 -------------- 44,438,653 -------------- MATERIALS (6.9%) Aleris International, Inc. 2,938,000 10.375%, 10/15/10 3,239,145 2,672,000 9.000%, 11/15/14@ 2,805,600 864,000 Crown Holdings, Inc.* 7.750%, 11/15/15 892,080 4,320,000 Equistar Chemicals, LP 10.625%, 05/01/11 4,730,400 7,405,000 Freeport-McMoRan Copper & Gold, Inc. 10.125%, 02/01/10 7,978,887 691,000 Gibraltar Industries, Inc.* 8.000%, 12/01/15 706,548 Ineos Group Holdings, PLC* 4,147,000 EUR 7.875%, 02/15/16 5,035,662 864,000 8.500%, 02/15/16@ 825,120 6,441,000 IPSCO, Inc. 8.750%, 06/01/13 7,020,690 3,456,000 Neenah Paper, Inc. 7.375%, 11/15/14 3,248,640 6,912,000 Sealed Air Corp.* 6.875%, 07/15/33 6,810,718 1,728,000 Texas Industries, Inc. 7.250%, 07/15/13 1,779,840 Union Carbide Corp. 3,456,000 7.500%, 06/01/25 3,614,402 2,679,000 7.875%, 04/01/23@ 2,833,683 2,765,000 Westlake Chemical Corporation@ 6.625%, 01/15/16 2,675,138 -------------- 54,196,553 -------------- TELECOMMUNICATION SERVICES (2.2%) 518,000 Citizens Communications Company 9.000%, 08/15/31 558,145 1,728,000 IPCS Escrow Company 11.500%, 05/01/12 1,965,600 8,640,000 Sprint Nextel Corporation 7.375%, 08/01/15 9,026,407 1,944,000 Stratos Global Corp.*@ 9.875%, 02/15/13 1,961,010 Convertible Opportunities and Income Fund 14 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- $ 3,456,000 Syniverse Technologies, Inc. 7.750%, 08/15/13 $ 3,464,640 -------------- 16,975,802 -------------- UTILITIES (0.9%) 1,080,000 Edison International 7.730%, 06/15/09 1,111,050 864,000 NRG Energy, Inc. 7.250%, 02/01/14 870,480 5,184,000 TXU Corp. 6.500%, 11/15/24 4,745,651 -------------- 6,727,181 -------------- TOTAL CORPORATE BONDS (Cost $598,235,189) 608,547,925 ============== CONVERTIBLE BONDS (16.0%) CONSUMER DISCRETIONARY (1.8%) 3,150,000 GBP Punch Taverns Redwood Jersey Co. Ltd. 5.000%, 12/14/10 6,155,602 7,500,000 Walt Disney Company@ 2.125%, 04/15/23 8,006,250 -------------- 14,161,852 -------------- ENERGY (1.4%) 7,500,000 Helix Energy Solutions Group* 3.250%, 12/15/25 10,846,875 FINANCIALS (0.8%) 2,750,000 Deutsche Bank Luxembourg S.A. (USA Interactive)*++[ ] 5.349%, 05/01/12 3,286,250 2,500,000 Travelers Property Casualty Corp.++ 4.500%, 04/15/32 2,466,000 -------------- 5,752,250 -------------- HEALTH CARE (0.9%) 6,500,000 Wyeth++ 4.239%, 01/15/24 6,919,900 -------------- INDUSTRIALS (4.0%) 7,000,000 Allied Waste Industries, Inc.@ 4.250%, 04/15/34 6,877,500 9,500,000 GATX Corp. 7.500%, 02/01/07 13,478,125 5,500,000 Lockheed Martin Corp.@++ 4.499%, 08/15/33 6,402,550 Convertible Opportunities and Income Fund 15 Schedule of Investments SEMIANNUAL REPORT See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- $ 3,000,000 Quanta Services, Inc. 4.500%, 10/01/23 $ 4,721,250 -------------- 31,479,425 -------------- INFORMATION TECHNOLOGY (6.2%) 6,500,000 ASML Holding, NV 5.750%, 10/15/06 7,607,600 1,000,000 Conexant Systems, Inc.*@ 4.000%, 03/01/26 1,047,500 5,500,000 DST Systems, Inc. 4.125%, 08/15/23 7,486,875 5,600,000 Electronic Data Systems Corp. 3.875%, 07/15/23 5,845,000 6,500,000 LSI Logic Corp. 4.000%, 05/15/10 6,979,375 5,000,000 Mentor Graphics Corp.*@ 6.250%, 03/01/26 5,512,500 2,000,000 Openwave Systems, Inc.@ 2.750%, 09/09/08 2,365,000 11,500,000 Vishay Intertechnology, Inc. 3.625%, 08/01/23 11,931,250 -------------- 48,775,100 -------------- UTILITIES (0.9%) 2,950,000 GBP Scottish and Southern Energy, PLC 3.750%, 10/29/09 6,923,769 -------------- TOTAL CONVERTIBLE BONDS (Cost $112,915,720) 124,859,171 ============== SYNTHETIC CONVERTIBLE SECURITIES (14.4%) CORPORATE BONDS (12.2%) CONSUMER DISCRETIONARY (4.3%) 340,000 Asbury Automotive Group, Inc. 9.000%, 06/15/12 352,750 1,128,000 Aztar Corp.@ 7.875%, 06/15/14 1,226,700 1,767,000 Beazer Homes USA, Inc. 8.375%, 04/15/12 1,848,724 680,000 DEX Media, Inc. 8.000%, 11/15/13 701,250 480,000 DIRECTV Financing Company, Inc. 8.375%, 03/15/13 515,400 717,000 EchoStar Communications Corp.* 7.125%, 02/01/16 703,556 Convertible Opportunities and Income Fund 16 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- $ 109,000 EchoStar DBS Corporation 6.625%, 10/01/14 $ 105,321 1,084,000 GBP EMI Group, PLC 9.750%, 05/20/08 2,127,355 816,000 Ford Motor Company 8.625%, 11/01/10 772,537 Goodyear Tire & Rubber Company 1,156,000 7.000%, 03/15/28 994,160 544,000 7.857%, 08/15/11@ 538,560 748,000 GSC Holdings Corp.@* 8.000%, 10/01/12 752,675 544,000 Hasbro, Inc. 6.600%, 07/15/28 508,303 1,084,000 Hovnanian Enterprises, Inc.@ 7.750%, 05/15/13 1,079,935 673,000 IMAX Corp.@ 9.625%, 12/01/10 721,792 680,000 Intrawest Corp. 7.500%, 10/15/13 691,900 1,903,000 Isle of Capri Casinos, Inc. 9.000%, 03/15/12 2,029,074 518,000 Jarden Corp. 9.750%, 05/01/12 541,310 377,000 Kellwood Company@ 7.625%, 10/15/17 349,103 544,000 Landry's Restaurants, Inc. 7.500%, 12/15/14 524,960 782,000 Linens `n Things, Inc.@*++ 10.702%, 01/15/14 795,685 2,379,000 Mandalay Resort Group 10.250%, 08/01/07 2,503,897 1,060,000 NCL Holding, ASA 10.625%, 07/15/14 1,075,900 612,000 Oxford Industries, Inc. 8.875%, 06/01/11 634,950 680,000 Phillips-Van Heusen Corp. 8.125%, 05/01/13 719,100 272,000 Reader's Digest Association, Inc. 6.500%, 03/01/11 266,560 272,000 Rent-A-Center, Inc. 7.500%, 05/01/10 272,340 Convertible Opportunities and Income Fund Schedule of Investments SEMIANNUAL REPORT 17 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- $ 387,000 RH Donnelley Financial Corp.* 10.875%, 12/15/12 $ 431,505 510,000 CAD Rogers Cable, Inc. 7.250%, 12/15/11 481,741 612,000 CAD Rogers Wireless, Inc. 7.625%, 12/15/11 584,330 408,000 Royal Caribbean Cruises, Ltd. 7.500%, 10/15/27 418,569 2,107,000 Russell Corp. 9.250%, 05/01/10 2,212,350 1,088,000 Time Warner@ 7.625%, 04/15/31 1,181,214 1,727,000 Vail Resorts, Inc. 6.750%, 02/15/14 1,677,349 680,000 Warnaco Group, Inc. 8.875%, 06/15/13 719,100 Warner Music Group 1,081,000 7.375%, 04/15/14 1,070,190 136,000 GBP 8.125%, 04/15/14 258,543 1,156,000 WCI Communities, Inc.@ 7.875%, 10/01/13 1,106,870 54,000 William Lyon Homes, Inc. 10.750%, 04/01/13 54,270 109,000 Wynn Las Vegas, LLC@ 6.625%, 12/01/14 106,548 -------------- 33,656,376 -------------- CONSUMER STAPLES (1.6%) 401,000 Central Garden & Pet Company 9.125%, 02/01/13 428,068 680,000 Chattem, Inc. 7.000%, 03/01/14 683,400 591,000 Chiquita Brands International, Inc.@ 7.500%, 11/01/14 514,170 843,000 Del Monte Foods Company 8.625%, 12/15/12 889,365 Dole Food Company, Inc. 1,224,000 7.250%, 06/15/10 1,150,560 544,000 8.625%, 05/01/09 539,920 1,631,000 Jean Coutu Group, Inc.@ 8.500%, 08/01/14 1,537,217 476,000 NBTY, Inc.* 7.125%, 10/01/15 452,200 Convertible Opportunities and Income Fund 18 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ----------- ------------- $ 680,000 Pilgrim's Pride Corp.@ 9.250%, 11/15/13 $ 690,200 816,000 Pinnacle Foods Holding@ 8.250%, 12/01/13 822,120 761,000 Playtex Products, Inc. 8.000%, 03/01/11 806,660 748,000 R.J. Reynolds Tobacco Holdings, Inc.@ 7.300%, 07/15/15 762,960 Revlon Consumer Products Corp. 136,000 11.020%, 07/11/06 139,400 136,000 10.910%, 08/14/06 139,400 136,000 10.690%, 06/06/06 139,400 68,000 10.720%, 05/09/06 69,700 564,000 Revlon, Inc.@ 9.500%, 04/01/11 555,540 1,360,000 Smithfield Foods, Inc. 7.750%, 05/15/13 1,377,000 700,000 Spectrum Brands, Inc.@ 8.500%, 10/01/13 621,250 272,000 WH Intermediate Holdings, Ltd. 9.500%, 04/01/11 292,400 ------------- 12,610,930 ------------- ENERGY (1.5%) 945,000 Arch Western Finance, LLC 6.750%, 07/01/13 940,275 1,288,000 Chesapeake Energy Corp. 6.875%, 01/15/16 1,275,120 884,000 Comstock Resources, Inc. 6.875%, 03/01/12 868,530 102,000 Energy Partners, Ltd. 8.750%, 08/01/10 104,805 408,000 Forest Oil Corp.@ 8.000%, 12/15/11 436,050 635,000 Giant Industries, Inc. 11.000%, 05/15/12 700,088 761,000 KCS Energy, Inc. 7.125%, 04/01/12 770,512 1,536,000 Petroleo Brasileiro, SA 8.375%, 12/10/18 1,728,000 Premcor Refining Group, Inc. 870,000 9.500%, 02/01/13 958,565 370,000 7.500%, 06/15/15 389,195 Convertible Opportunities and Income Fund Schedule of Investments SEMIANNUAL REPORT 19 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ----------- -------------- $ 408,000 Range Resources Corp. 7.375%, 07/15/13 $ 419,730 952,000 Swift Energy Company@ 9.375%, 05/01/12 1,016,260 680,000 Whiting Petroleum Corp. 7.250%, 05/01/13 680,000 Williams Companies, Inc. 1,360,000 7.750%, 06/15/31 1,426,300 272,000 7.500%, 01/15/31 278,800 -------------- 11,992,230 -------------- FINANCIALS (0.4%) E*TRADE Financial Corporation 897,000 7.375%, 09/15/13 917,182 612,000 7.875%, 12/01/15@ 645,660 163,000 8.000%, 06/15/11 169,113 1,020,000 Leucadia National Corp. 7.000%, 08/15/13 1,017,450 231,000 Omega Healthcare Investors, Inc. 7.000%, 04/01/14 227,535 342,000 Senior Housing Properties Trust 7.875%, 04/15/15 355,680 -------------- 3,332,620 -------------- HEALTH CARE (0.8%) 557,000 Ameripath, Inc.@ 10.500%, 04/01/13 594,597 404,000 Angiotech Pharmaceuticals, Inc.* 7.750%, 04/01/14 408,040 1,149,000 Bausch & Lomb, Inc. 7.125%, 08/01/28 1,103,128 231,000 Bio-Rad Laboratories, Inc. 7.500%, 08/15/13 237,930 272,000 Biovail Corp. 7.875%, 04/01/10 276,080 102,000 DaVita, Inc.@ 7.250%, 03/15/15 102,510 82,000 Omnicare, Inc.@ 6.875%, 12/15/15 81,488 476,000 Psychiatric Solutions, Inc. 7.750%, 07/15/15 490,280 1,156,000 Tenet Healthcare Corp.* 9.250%, 02/01/15 1,182,010 Convertible Opportunities and Income Fund 20 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ----------- ------------ $ 612,000 Valeant Pharmaceuticals International 7.000%, 12/15/11 $ 608,940 884,000 Vanguard Health Systems, Inc.@ 9.000%, 10/01/14 917,150 ------------ 6,002,153 ------------ INDUSTRIALS (1.2%) 428,000 Accuride Corp. 8.500%, 02/01/15 424,790 340,000 Armor Holdings, Inc.@ 8.250%, 08/15/13 364,650 204,000 Columbus McKinnon Corp. 8.875%, 11/01/13 214,200 544,000 Commercial Vehicle Group, Inc. 8.000%, 07/01/13 546,720 408,000 Gardner Denver, Inc. 8.000%, 05/01/13 430,440 408,000 GATX Corp. 8.875%, 06/01/09 440,272 884,000 General Cable Corp. 9.500%, 11/15/10 959,140 174,000 Global Cash Access, Inc. 8.750%, 03/15/12 187,268 530,000 Greenbrier Companies, Inc. 8.375%, 05/15/15 557,163 102,000 Hexcel Corporation 6.750%, 02/01/15 100,725 680,000 Hutchison Whampoa, Ltd.*@ 6.250%, 01/24/14 687,005 JLG Industries, Inc. 612,000 8.250%, 05/01/08 645,660 136,000 8.375%, 06/15/12@ 144,840 462,000 Monitronics International, Inc. 11.750%, 09/01/10 460,845 150,000 Orbital Sciences Corp. 9.000%, 07/15/11 160,875 204,000 Sequa Corp. 8.875%, 04/01/08 213,690 952,000 Terex Corp. 7.375%, 01/15/14 968,660 272,000 Trinity Industries, Inc. 6.500%, 03/15/14 263,160 Convertible Opportunities and Income Fund Schedule of Investments SEMIANNUAL REPORT 21 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ----------- ------------ $ 364,000 United Agri Products, Inc. 8.250%, 12/15/11 $ 382,200 472,000 Wesco Distribution, Inc.*@ 7.500%, 10/15/17 483,800 Williams Scotsman International, Inc. 204,000 8.500%, 10/01/15 210,630 68,000 8.500%, 10/01/15* 70,210 ------------ 8,916,943 ------------ INFORMATION TECHNOLOGY (0.9%) 793,000 Advanced Micro Devices, Inc. 7.750%, 11/01/12 832,650 95,000 Avago Technologies* 11.875%, 12/01/15 104,975 544,000 Celestica, Inc.@ 7.875%, 07/01/11 556,240 680,000 Flextronics International, Ltd.@ 6.500%, 05/15/13 673,200 680,000 Freescale Semiconductor, Inc. 7.125%, 07/15/14 700,400 51,000 Sanmina-SCI Corporation 8.125%, 03/01/16 52,020 931,000 SunGard Data Systems, Inc.*@ 9.125%, 08/15/13 998,498 816,000 Telcordia Technologies* 10.000%, 03/15/13 750,720 Xerox Corp. 1,292,000 8.000%, 02/01/27@ 1,337,220 952,000 7.625%, 06/15/13 987,700 ------------ 6,993,623 ------------ MATERIALS (1.1%) Aleris International, Inc. 462,000 10.375%, 10/15/10 509,355 421,000 9.000%, 11/15/14@ 442,050 136,000 Crown Holdings, Inc.* 7.750%, 11/15/15 140,420 680,000 Equistar Chemicals, LP 10.625%, 05/01/11 744,600 1,165,000 Freeport-McMoRan Copper & Gold, Inc. 10.125%, 02/01/10 1,255,287 109,000 Gibraltar Industries, Inc.* 8.000%, 12/01/15 111,453 Convertible Opportunities and Income Fund 22 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- Ineos Group Holdings, PLC* $ 653,000 EUR 7.875%, 02/15/16 $ 792,932 136,000 8.500%, 02/15/16@ 129,880 1,014,000 IPSCO, Inc. 8.750%, 06/01/13 1,105,260 544,000 Neenah Paper, Inc. 7.375%, 11/15/14 511,360 1,088,000 Sealed Air Corp.* 6.875%, 07/15/33 1,072,058 272,000 Texas Industries, Inc. 7.250%, 07/15/13 280,160 Union Carbide Corp. 544,000 7.500%, 06/01/25 568,934 421,000 7.875%, 04/01/23@ 445,308 435,000 Westlake Chemical Corporation@ 6.625%, 01/15/16 420,862 -------------- 8,529,919 -------------- TELECOMMUNICATION SERVICES (0.3%) 82,000 Citizens Communications Company 9.000%, 08/15/31 88,355 272,000 IPCS Escrow Company 11.500%, 05/01/12 309,400 1,360,000 Sprint Nextel Corporation 7.375%, 08/01/15 1,420,823 306,000 Stratos Global Corp.*@ 9.875%, 02/15/13 308,678 544,000 Syniverse Technologies, Inc. 7.750%, 08/15/13 545,360 -------------- 2,672,616 -------------- UTILITIES (0.1%) 170,000 Edison International 7.730%, 06/15/09 174,887 136,000 NRG Energy, Inc. 7.250%, 02/01/14 137,020 816,000 TXU Corp. 6.500%, 11/15/24 747,001 -------------- 1,058,908 -------------- TOTAL CORPORATE BONDS 95,766,318 -------------- Convertible Opportunities and Income Fund Schedule of Investments SEMIANNUAL REPORT 23 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) NUMBER OF CONTRACTS VALUE ------------ -------------- OPTIONS (2.2%) CONSUMER DISCRETIONARY (0.2%) 110 Garmin, Ltd.# Call, 01/19/08, Strike 85.00 $ 157,300 125 Lowe's Companies, Inc.# Call, 01/19/08, Strike 70.00 86,250 260 Office Depot, Inc.# Call, 01/19/08, Strike 40.00 192,400 180 Tiffany & Co.# Call, 01/19/08, Strike 40.00 68,400 2,500 YUM! Brands, Inc.# Call, 01/20/07, Strike 50.00 1,387,500 -------------- 1,891,850 -------------- CONSUMER STAPLES (0.1%) 520 Kroger Company# Call, 01/19/08, Strike 20.00 156,000 215 PepsiCo, Inc.# Call, 01/19/08, Strike 60.00 111,800 -------------- 267,800 -------------- ENERGY (0.6%) 75 Anadarko Petroleum Corp.# Call, 01/19/08, Strike 95.00 185,250 1,500 Apache Corp.# Call, 01/20/07, Strike 60.00 2,265,000 105 BJ Services Company# Call, 01/19/08, Strike 40.00 77,175 105 Devon Energy (Chevron) Corp.# Call, 01/19/08, Strike 65.00 104,475 80 Diamond Offshore Drilling, Inc.# Call, 01/19/08, Strike 85.00 176,000 180 Nabors Industries Ltd.# Call, 01/19/08, Strike 37.50 140,400 70 Petroleo Brasileiro, SA# Call, 01/19/08, Strike 90.00 167,650 120 Schlumberger, Ltd.# Call, 01/19/08, Strike 65.00 189,600 80 Sunoco, Inc.# Call, 01/19/08, Strike 75.00 156,400 800 Transocean, Inc.# Call, 01/19/08, Strike 80.00 1,392,000 Convertible Opportunities and Income Fund 24 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) NUMBER OF CONTRACTS VALUE ------------ -------------- 170 Weatherford International, Ltd.# Call, 01/19/08, Strike 45.00 $ 261,800 -------------- 5,115,750 -------------- FINANCIALS (0.2%) 200 Aon Corp.# Call, 01/19/08, Strike 35.00 214,000 500 Charles Schwab Corp.# Call, 01/19/08, Strike 15.00 242,500 15 Chicago Mercantile Exchange Holdings, Inc.# Call, 01/19/08, Strike 420.00 167,700 145 CIT Group, Inc.# Call, 01/19/08, Strike 50.00 146,450 220 E*TRADE Financial Corporation# Call, 01/19/08, Strike 25.00 110,000 60 Goldman Sachs Group, Inc.# Call, 01/19/08, Strike 160.00 151,800 75 Legg Mason, Inc.# Call, 01/20/07, Strike 120.00 87,375 60 Lehman Brothers Holdings, Inc.# Call, 01/19/08, Strike 150.00 150,000 145 Merrill Lynch & Company, Inc.# Call, 01/19/08, Strike 70.00 200,100 110 Prudential Financial, Inc.# Call, 01/19/08, Strike 75.00 135,850 190 State Street Corp.# Call, 01/19/08, Strike 60.00 228,000 -------------- 1,833,775 -------------- HEALTH CARE (0.1%) 170 Aetna, Inc.# Call, 01/19/08, Strike 50.00 56,100 75 Allergan, Inc.# Call, 01/19/08, Strike 110.00 96,750 200 AmerisourceBergen Corp.# Call, 01/19/08, Strike 47.50 94,000 80 Express Scripts, Inc.# Call, 01/19/08, Strike 90.00 78,400 180 Teva Pharmaceutical Industries, Ltd.# Call, 01/19/08, Strike 45.00 83,700 1,000 UnitedHealth Group, Inc.# Call, 01/19/08, Strike 70.00 250,000 -------------- 658,950 -------------- Convertible Opportunities and Income Fund Schedule of Investments SEMIANNUAL REPORT 25 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) NUMBER OF CONTRACTS VALUE ------------ -------------- INDUSTRIALS (0.1%) 110 Burlington Northern Santa Fe Corp.# Call, 01/19/08, Strike 80.00 $ 150,150 -------------- INFORMATION TECHNOLOGY (0.7%) 185 Agilent Technologies, Inc.# Call, 01/19/08, Strike 35.00 161,875 70 Apple Computer, Inc.# Call, 01/19/08, Strike 75.00 107,800 420 Electronic Data Systems Corp.# Call, 01/19/08, Strike 25.00 233,100 3,000 Emulex Corp.# Call, 01/20/07, Strike 17.50 840,000 280 Hewlett-Packard Company# Call, 01/19/08, Strike 30.00 209,160 160 Intuit, Inc.# Call, 01/19/08, Strike 55.00 139,200 100 Marvell Technology Group, Ltd.# Call, 01/19/08, Strike 65.00 109,000 275 Motorola, Inc.# Call, 01/19/08, Strike 22.50 88,000 195 National Semiconductor Corp.# Call, 01/19/08, Strike 25.00 180,375 Nokia Corp.# 1,900 Call, 01/19/08, Strike 20.00 988,000 1,900 Call, 01/19/08, Strike 17.50 1,311,000 200 NVIDIA Corp.# Call, 01/19/08, Strike 30.00 134,000 260 Paychex, Inc.# Call, 01/19/08, Strike 40.00 161,200 Sandisk Corp.# 900 Call, 01/20/07, Strike 60.00 1,179,000 80 Call, 01/19/08, STRIKE 65.00 140,000 -------------- 5,981,710 -------------- MATERIALS (0.1%) 210 Goldcorp, Inc.# Call, 01/19/08, Strike 27.50 266,700 286 Harmony Gold Mining Co, Ltd.# Call, 01/19/08, Strike 15.00 154,440 90 Phelps Dodge Corp.# Call, 01/19/08, Strike 72.50 190,800 -------------- 611,940 -------------- Convertible Opportunities and Income Fund 26 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) NUMBER OF CONTRACTS VALUE ------------ -------------- TELECOMMUNICATION SERVICES (0.1%) 190 America Movil S.A. de C.V.# Call, 01/19/08, Strike 30.00 $ 212,800 110 NII Holdings, Inc.# Call, 01/19/08, Strike 55.00 173,250 -------------- 386,050 -------------- TOTAL OPTIONS 16,897,975 -------------- TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $110,744,172) 112,664,293 ============== NUMBER OF SHARES VALUE ------------ ----------- CONVERTIBLE PREFERRED STOCKS (36.8%) CONSUMER DISCRETIONARY (2.2%) 610,000 Ford Motor Company Capital Trust II 6.500% 17,019,000 ----------- CONSUMER STAPLES (3.5%) 1,115,500 Albertson's, Inc. 7.250% 27,552,850 ----------- ENERGY (4.8%) 210,000 Amerada Hess Corp. 7.000% 25,328,100 91,100 Chesapeake Energy Corp.* 5.000% 12,605,962 ----------- 37,934,062 ----------- FINANCIALS (18.5%) 530,000 Chubb Corp. 7.000% 19,170,100 16,000,000 Fortis Insurance, N.V. (Assurant, Inc.)* [ ] 7.750% 21,000,000 250,000 Hartford Financial Services Group, Inc. 7.000% 20,392,500 240,000 Lazard, Ltd. 6.625% 9,487,200 640,000 Lehman Brothers Holdings, Inc. (General Mills, Inc.) [ ] 6.250% 16,646,400 190,000 Merrill Lynch & Co., Inc. (Nuveen Investments, Inc.)[ ] 6.750% 8,189,570 Convertible Opportunities and Income Fund Schedule of Investments SEMIANNUAL REPORT 27 See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) NUMBER OF SHARES VALUE ------------ ------------- 410,000 MetLife, Inc. 6.375% $ 11,488,200 650,000 National Australia Bank, Ltd. 7.875% 30,452,500 150,000 Washington Mutual, Inc. 5.375% 8,362,500 ----------- 145,188,970 ----------- HEALTH CARE (0.8%) 120,000 Schering-Plough Corp. 6.000% 6,141,600 ----------- INDUSTRIALS (1.2%) 2,500,000GBP BAE Systems, PLC 7.750% 9,235,199 ----------- UTILITIES (5.8%) 410,000 AES Corp. Trust III 6.750% 18,802,600 CenterPoint Energy, Inc. 350,000 (Time Warner, Inc.)++[ ] 2.000% 11,945,500 65,000 Southern Union Company 5.000% 3,332,550 140,000 TXU Corp. 8.125% 11,162,200 ----------- 45,242,850 ----------- TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $239,494,163) 288,314,531 =========== PRINCIPAL AMOUNT VALUE ------------ ----------- SHORT-TERM INVESTMENT (0.2%) $ 1,798,000 Citigroup, Inc. 4.770%, 05/01/06 (Cost $1,798,000) 1,798,000 ----------- Convertible Opportunities and Income Fund 28 SEMIANNUAL REPORT Schedule of Investments See accompanying Notes to Schedule of Investments. Schedule of Investments APRIL 30, 2006 (UNAUDITED) NUMBER OF SHARES VALUE ------------ --------------- INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (14.0%) 109,618,390 Bank of New York Institutional Cash Reserve Fund current rate 4.894% (Cost $109,618,390) $ 109,618,390 --------------- TOTAL INVESTMENTS (159.2%) (Cost $1,172,805,634) 1,245,802,310 =============== PAYABLE UPON RETURN OF SECURITIES ON LOAN (-14.0%) (109,618,390) --------------- OTHER ASSETS, LESS LIABILITIES (3.9%) 30,771,786 --------------- PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-49.1%) (384,505,797) --------------- NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 782,449,909 =============== NOTES TO SCHEDULE OF INVESTMENTS Note: Value 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. * Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers ("QIBs"), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted or excepted from such registration requirements. At April 30, 2006, the market value of 144A securities that could not be exchanged to the registered form is $103,979,612 or 13.3% 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 April 30, 2006. [ ] Securities exchangeable or convertible into securities of an entity different than the issuer. Such entity is identified in the paranthetical. FOREIGN CURRENCY ABBREVIATIONS CAD Canadian Dollar EUR European Monetary Unit GBP British Pound Sterling Convertible Opportunities and Income Fund Schedule of Investments SEMIANNUAL REPORT 29 See accompanying Notes to Schedule of Investments. STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2006 (UNAUDITED) ASSETS Investments, at value* (cost $1,172,805,634) $ 1,245,802,310 Cash with custodian (interest bearing) 1,546 Restricted cash for open options (interest bearing) 1,000 Accrued interest and dividends receivables 19,942,502 Unrealized appreciation on interest rate swaps 11,411,043 Prepaid expenses 60,534 Other assets 46,926 --------------- Total assets 1,277,265,861 --------------- LIABILITIES Payable upon return of securities loaned 109,618,390 Payable to investment advisor 523,258 Payable to financial accountant 10,752 Payable for deferred compensation to Trustees 46,926 Other accounts payable and accrued liabilities 110,829 --------------- Total liabilities 110,310,155 --------------- PREFERRED SHARES $25,000 liquidation value per share applicable to 15,360 shares, including dividends payable 384,505,797 --------------- NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 782,449,909 =============== COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS Common stock, no par value, unlimited shares authorized 46,607,554 shares issued and outstanding $ 676,740,630 Undistributed net investment income (loss) (11,020,692) Accumulated net realized gain (loss) on investments, foreign currency transactions and interest rate swaps 32,258,834 Net unrealized appreciation (depreciation) on investments, foreign currency translations and interest rate swaps 84,471,137 --------------- NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 782,449,909 =============== Net asset value per common share based on 46,607,554 shares issued and outstanding $ 16.79 =============== * Includes $107,117,856 of securities loaned. Convertible Opportunities and Income Fund 30 SEMIANNUAL REPORT Statement of Assets and Liabilities See accompanying Notes to Schedule of Investments. Statement of Operations SIX MONTHS ENDED APRIL 30, 2006 (UNAUDITED) INVESTMENT INCOME Interest $ 31,957,048 Dividends 6,892,100 Securities lending income 163,820 ------------ Total investment income 39,012,968 ============ EXPENSES Investment advisory fees 4,577,820 Financial accounting fees 64,706 Auction agent and rating agency fees 511,264 Accounting fees 77,279 Printing and mailing fees 46,003 Audit and legal fees 38,937 Custodian fees 37,918 Registration fees 22,468 Transfer agent fees 18,105 Trustees' fees and officer compensation 15,500 Other 17,612 ------------ Total expenses 5,427,612 Less investment advisory fees waived (1,430,569) ============ Net expenses 3,997,043 ============ NET INVESTMENT INCOME(LOSS) 35,015,925 ============ REALIZED AND UNREALIZED GAIN(LOSS) FROM INVESTMENTS, FOREIGN CURRENCY AND INTEREST RATE SWAPS NET REALIZED GAIN (LOSS) FROM: Investments 29,880,830 Foreign currency transactions 1,354,442 Interest rate swaps 3,111,603 CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON: Investments 2,859,614 Foreign currency translations 49,667 Interest rate swaps (976,730) ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, FOREIGN CURRENCY AND INTEREST RATE SWAPS 36,279,426 ============ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 71,295,351 ============ DIVIDENDS TO PREFERRED SHAREHOLDERS FROM Net investment income (6,742,776) Capital gains (1,505,459) ------------ NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS $ 63,047,116 ============ Convertible Opportunities and Income Fund Statement of Operations SEMIANNUAL REPORT 31 See accompanying Notes to Schedule of Investments. Statements of Changes in Net Assets Six Months Ended April 30, 2006 Year Ended (unaudited) October 31, 2005 ---------------- ---------------- OPERATIONS Net investment income (loss) $ 35,015,925 $ 75,173,585 Net realized gain (loss) from investments, foreign currency transactions and interest rate swaps 34,346,875 26,810,228 Change in net unrealized appreciation/depreciation on investments, foreign currency translations and interest rate swaps 1,932,551 (28,272,712) Distributions to preferred shareholders from Net investment income (6,742,776) (8,732,689) Capital gains (1,505,459) (2,857,443) --------------------------------- Net increase (decrease) in net assets applicable to common shareholders resulting from operations 63,047,116 62,120,969 --------------------------------- DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM Net investment income (39,830,850) (74,800,128) Capital gains (15,433,800) (54,850,485) --------------------------------- Net decrease in net assets from distributions to common shareholders (55,264,650) (129,650,613) CAPITAL STOCK TRANSACTIONS Reinvestment of distributions resulting in the issuance of common stock 10,164,969 23,753,632 --------------------------------- Net increase (decrease) in net assets from capital stock transactions 10,164,969 23,753,632 --------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 17,947,435 (43,776,012) --------------------------------- NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS Beginning of period 764,502,474 808,278,486 --------------------------------- End of period $ 782,449,909 $ 764,502,474 ================================= Undistributed net investment income (loss) $ (11,020,692) $ 537,009 Convertible Opportunities and Income Fund 32 SEMIANNUAL REPORT Statements of Changes in Net Assets See accompanying Notes to Schedule of Investments. Notes to Financial Statements (Unaudited) NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES ORGANIZATION. CALAMOS Convertible Opportunities and Income Fund (the "Fund") was organized as a Delaware statutory trust on April 17, 2002 and is registered under the Investment Company Act of 1940 (the "1940 Act") as a diversified, closed-end management investment company. The Fund commenced operations on June 26, 2002. The Fund's investment 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 Fund's total assets (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 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 a fair value of the security, the security is val- Convertible Opportunities and Income Fund Notes to Financial Statements SEMIANNUAL REPORT 33 Notes to Financial Statements (Unaudited) used 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 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. Convertible Opportunities and Income Fund 34 SEMIANNUAL REPORT Notes to Financial Statements Notes to Financial Statements (Unaudited) 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 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, the difference in the foreign exchange rates between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end. 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 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 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 Convertible Opportunities and Income Fund Notes to Financial Statements SEMIANNUAL REPORT 35 Notes to Financial Statements (Unaudited) 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 U.S. income taxes because the Fund's policy is to continue to qualify as a regulated investment company under Internal Revenue Code of 1986, as amended (the "Code") and distribute to shareholders substantially all of its taxable income and net realized 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 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 fixed income securities. Financial records are not adjusted for temporary differences. INDEMNIFICATIONS. Under the Fund's organizational documents, its officers and trustees are indemnified against certain liabilities incurred by them by reason of having been an officer or trustee of the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 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 Convertible Opportunities and Income Fund 36 SEMIANNUAL REPORT Notes to Financial Statements Notes to Financial Statements (Unaudited) 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). 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 total of the average daily net assets of Calamos Investment Trust and Calamos Advisors Trust and the average weekly managed assets of Calamos Convertible and High Income Fund, Calamos Convertible Opportunities and Income Fund, Calamos Strategic Total Return Fund and Calamos Global 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 liabilities and monitoring trustee deferred compensation plan accruals and valuations. The Fund will pay its pro rata share of the financial accounting service fee payable to Calamos Advisors based on the Fund's relative portion of combined assets. Effective August 1, 2005, the Fund began reimbursing the advisor for a portion of compensation paid to the Fund's Chief Compliance Officer. This compensation is reported as part of "Trustees' fees and officer compensation" expenses on the Statement of Operations. 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, except for the Chief Compliance Officer as described above. The Fund has adopted a deferred compensation plan (the "Plan"). Under the Plan, a trustee who is not an "interested person" (as defined in the 1940 Act) of CFS or 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 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 Convertible Opportunities and Income Fund Notes to Financial Statements SEMIANNUAL REPORT 37 Notes to Financial Statements (Unaudited) in the value of the measuring shares. Deferred compensation of $46,926 is included in "Other assets" on the Statement of Assets and Liabilities at April 30, 2006. 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, 2006. NOTE 3 - INVESTMENTS Purchases and sales of investments, other than short-term obligations, for the six months ended April 30, 2006 were as follows: Purchases $ 252,663,825 Proceeds from sales 240,180,392 The cost basis of investments for Federal income tax purposes at April 30, 2006 was as follows: Cost basis of investments $ 1,183,306,048 --------------- Gross unrealized appreciation 85,972,232 Gross unrealized depreciation (23,475,970) --------------- Net unrealized appreciation (depreciation) $ 62,496,262 =============== NOTE 4 - INCOME TAXES Distributions during the fiscal year ended October 31, 2005 were characterized for Federal income tax purposes as follows: DISTRIBUTIONS PAID FROM: Ordinary income $84,592,513 Long-Term capital gains 56,322,944 Convertible Opportunities and Income Fund 38 SEMIANNUAL REPORT Notes to Financial Statements Notes to Financial Statements (Unaudited) As of October 31, 2005, the components of accumulated earnings on a tax basis were as follows: Undistributed ordinary income $ 14,782,592 Undistributed capital gains 9,379,551 ------------- Total undistributed earnings 24,162,143 Accumulated capital and other losses -- Net unrealized gains 74,166,404 ------------- Total accumulated earnings 98,328,547 Other (401,734) Paid-in capital 666,575,661 ============= Net assets applicable to common shareholders $ 764,502,474 ============= NOTE 5 - COMMON STOCK There are unlimited common shares of beneficial interest authorized and 46,607,554 shares outstanding at April 30, 2006. Calamos Advisors owned 15,360 of the outstanding shares at April 30, 2006. Transactions in common shares were as follows: FOR THE SIX FOR THE MONTHS ENDED YEAR ENDED APRIL 30, 2006 OCTOBER 31, 2005 -------------- ---------------- Beginning shares 46,079,867 44,833,669 Shares sold -- -- Shares issued through reinvestment of distributions 527,687 1,246,198 -------------- ---------------- Ending shares 46,607,554 46,079,867 ============== ================= NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, 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 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 when a position is closed or upon settlement of the contracts. There were no open forward foreign currency contracts at April 30, 2006. Convertible Opportunities and Income Fund Notes to Financial Statements SEMIANNUAL REPORT 39 Notes to Financial Statements (Unaudited) 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 convertible instruments 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 Rate Cumulative 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 or twenty-eight days based on the results of an auction. Dividend rates ranged from Convertible Opportunities and Income Fund 40 SEMIANNUAL REPORT Notes to Financial Statements Notes to Financial Statements (Unaudited) 3.50% to 4.82% for the six months ended April 30, 2006. Under the 1940 Act, 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 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 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 Convertible Opportunities and Income Fund Notes to Financial Statements SEMIANNUAL REPORT 41 Notes to Financial Statements (Unaudited) recorded upon payment or termination of swap agreements. Details of the swap agreements outstanding as April 30, 2006 were as follows: NOTIONAL UNREALIZED TERMINATION AMOUNT FIXED RATE FLOATING RATE APPRECIATION COUNTERPARTY DATE (000) (FUND PAYS) (FUND RECEIVES) (DEPRECIATION) ------------- ----------------- ---------- ----------- --------------- -------------- Merrill Lynch July 3, 2006 $ 65,000 1.91% 1 month LIBOR $ 493,113 Merrill Lynch November 28, 2006 60,000 2.82% 1 month LIBOR 816,704 Merrill Lynch July 3, 2007 65,000 2.33% 1 month LIBOR 2,264,943 Merrill Lynch November 28, 2007 60,000 3.26% 1 month LIBOR 1,774,266 Merrill Lynch July 3, 2008 70,000 2.69% 1 month LIBOR 3,735,767 Merrill Lynch November 28, 2008 60,000 3.60% 1 month LIBOR 2,326,250 -------------- $ 11,411,043 -------------- NOTE 10 - SECURITIES LENDING During the six months ended April 30, 2006, the Fund loaned certain of their 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 and the security lending agent will monitor the creditworthiness of the firms to which the Fund lends securities. At April 30, 2006, the Fund had securities valued at $107,117,856 that were on loan to broker-dealers and banks and $109,618,390 in cash or cash equivalent collateral. Convertible Opportunities and Income Fund 42 SEMIANNUAL REPORT Notes to Financial Statements This page intentionally left blank. Financial Highlights SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS: Six Months June 26, Ended 2002* April 30, For the Year Ended through (unaudited) October 31, October 31, --------------------------------------------------------------------- 2006 2005 2004 2003 2002 --------------------------------------------------------------------- Net asset value, beginning of period $ 16.59 $ 18.03 $ 18.01 $ 13.56 $ 14.32(a) --------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.76 1.65 1.91 1.77(b) 0.39(c) --------------------------------------------------------------------- Net realized and unrealized gain (loss) from investments, foreign currency and interest rate swaps 0.81 0.03 0.52 4.38(b) (0.77) --------------------------------------------------------------------- Dividends to preferred shareholders from: Net investment income (common share equivalent basis) (0.15) (0.19) (0.11) (0.06) (0.01) --------------------------------------------------------------------- Capital gains (common share equivalent basis) (0.03) (0.06) --(d) -- -- --------------------------------------------------------------------- Total from investment operations 1.39 1.43 2.32 6.09 (0.39) --------------------------------------------------------------------- Less dividends to common shareholders from: Net investment income (0.86) (1.65) (1.80) (1.64) (0.29) --------------------------------------------------------------------- Capital gains (0.33) (1.22) (0.45) -- -- --------------------------------------------------------------------- Capital charge resulting from issuance of common and preferred shares -- -- (0.05) --(d) (0.08) --------------------------------------------------------------------- Net asset value, end of period $ 16.79 $ 16.59 $ 18.03 $ 18.01 $ 13.56 --------------------------------------------------------------------- Market value, end of period $ 20.29 $ 19.52 $ 20.50 $ 19.60 $ 14.20 --------------------------------------------------------------------- Total investment return based on (e): Net asset value 7.63% 6.69% 12.65% 46.48% (3.33)% --------------------------------------------------------------------- Market value 10.55% 10.40% 17.69% 52.22% (3.33)% --------------------------------------------------------------------- Ratios and supplemental data: Net assets applicable to common shareholders, end of period (000's omitted) $ 782,450 $ 764,502 $ 808,278 $ 790,764 $ 586,893 --------------------------------------------------------------------- Preferred shares, at redemption value ($25,000 per share liquidation preference) (000's omitted) $ 384,000 $ 384,000 $ 384,000 $ 204,000 $ 204,000 --------------------------------------------------------------------- Ratios to average net assets applicable to common shareholders: Net expenses(f)(g) 1.05% 1.06% 1.00% 0.86% 0.79% --------------------------------------------------------------------- Gross expenses prior to waiver of expenses by the advisor (f)(g) 1.42% 1.43% 1.37% 1.18% 1.06% --------------------------------------------------------------------- Net investment income (loss) (f)(g) 9.17% 9.59% 10.56% 10.89%(b) 8.21% --------------------------------------------------------------------- Preferred share dividends(f) 1.77% 1.11% 0.65% 0.39% 0.23% --------------------------------------------------------------------- Net investment income (loss), net of preferred share dividends(f) 7.40% 8.48% 9.91% 10.50%(b) 7.98% --------------------------------------------------------------------- Portfolio turnover rate 22% 76% 54% 42% 2% --------------------------------------------------------------------- Asset coverage per preferred share, at end of period (h) $ 75,974 $ 74,795 $ 77,624 $ 121,907 $ 96,934 --------------------------------------------------------------------- PLEASE REFER TO THE FOLLOWING PAGE FOR IMPORTANT NOTES Convertible Opportunities and Income Fund 44 SEMIANNUAL REPORT Financial Highlights Financial Highlights * Commencement of operations. (a) Net of sales load of $0.675 on initial shares issued and beginning net asset value of $14.325. (b) Interest rate swap payment reclassed from net investment income (loss) to net realized and unreal- ized gain (loss) on investments, foreign currency and interest rate swaps. (c) Based on average shares method. (d) Amount equated to less than $0.005 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. NAV per share is determined by dividing the value of the Fund's portfolio securities, cash and other assets, less all liablities, by the total number of common shares outstanding. The common share market price is the price the market is willing to pay for shares of the Fund at a given time. Common share market price is influenced by a range of factors, including supply and demand and market conditions. (f) Annualized for periods less than one year. (g) Does not reflect the effect of dividend payments to Preferred Shareholders. (h) 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 Financial Highlights SEMIANNUAL REPORT 45 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, 2006, 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 the 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 the standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets for the year ended October 31, 2005 and the financial highlights for each of the three years then ended October 31, 2005; and in our report dated December 16, 2005, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights. /s/ (DELOITTE & TOUCHE LLP) ------------------------------ Chicago, Illinois June 21, 2006 Convertible Opportunities and Income Fund 46 SEMIANNUAL REPORT Report of Independent Registered Public Accounting Firm Other Information (Unaudited) RESULTS OF SHAREHOLDER MEETING. The Annual Meeting of Shareholders of the Fund was held on March 30, 2006 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 ------------------------- Joe F. Hanauer 44,162,640 432,773 John E. Neal 44,211,863 383,550 David D. Tripple 44,203,709 391,704 The other trustees of the Fund whose terms did not expire in 2006 are John P. Calamos, Sr., Nick P. Calamos, Weston W. Marsh, William R. Rybak and Stephen B. Timbers. Convertible Opportunities and Income Fund Other Information SEMIANNUAL REPORT 47 This page intentionally left blank. About Closed-End Funds WHAT IS A CLOSED-END FUND? A closed-end fund is a publicly traded investment company that raises its initial investment capital through the issuance of a fixed number of shares to investors in a public offering. Shares of a closed-end fund are listed on a stock exchange or traded in the over-the-counter market. Like all investment companies, a closed-end fund is professionally managed and offers investors a unique investment solution based on its investment objective approved by the fund's Board of Directors. ADVANTAGES OF CLOSED-END FUND INVESTING - DEFINED ASSET POOL ALLOWS EFFICIENT PORTFOLIO MANAGEMENT--Although closed-end fund shares trade actively on a securities exchange, this doesn't affect the closed-end fund manager because there are no new investors buying into or selling out of the fund's portfolio. - MORE FLEXIBILITY IN THE TIMING AND PRICE OF TRADES--Investors can purchase and sell shares of closed-end funds throughout the trading day, just like the shares of other publicly traded securities. - LOWER EXPENSE RATIOS--The expense ratios of closed-end funds are oftentimes less than those of mutual funds. Over time, a lower expense ratio could enhance investment performance. - CLOSED-END STRUCTURE MAKES SENSE FOR LESS-LIQUID ASSET CLASSES--A closed- end structure makes sense for investors considering less-liquid asset classes, such as high-yield bonds or micro-cap stocks. - ABILITY TO PUT LEVERAGE TO WORK--Closed-end funds may issue senior securities (such as preferred stock or debentures) or borrow money to "leverage" their investment positions. - NO MINIMUM INVESTMENT REQUIREMENTS Convertible Opportunities and Income Fund About Closed-End Funds SEMIANNUAL REPORT 49 Leverage USING LEVERAGE TO ENHANCE TOTAL RETURN Closed-end funds can use leverage which utilizes borrowed money to increase the return on invested capital. The Fund will invest the borrowed assets into securities, which we believe will provide a greater total return to investors than the cost of the borrowing. HIGHLIGHTS ON LEVERAGE - Leveraging the portfolio allows the investment team to potentially enhance the income and total returns of the Fund. - In a rising-rate environment, the cost of leverage often increases; however, the investment team has locked in the cost of leverage for a longer term. In leveraged closed-end funds that invest in interest-rate sensitive securities (high-quality traditional fixed income), rising rates can hurt a fund in two ways: first, the cost of leverage increases; second, the value of securities drops. - This portfolio does not have notable sensitivity to rising interest rates. Much of the cost of leverage has been locked in, and the portfolio seeks to invest in securities that should be more economically sensitive and less interest-rate sensitive. MANAGING THE INTEREST RATE RISK OF LEVERAGE In general, leverage can expose a closed-end fund to the risk of fluctuations in short-term interest rates. As we discussed in the Investment Team Interview, Calamos Investments has taken steps to mitigate some of this risk to our shareholders. Specifically, we hedged the Fund's preferred shares (used these shares as principal) to enter into interest rate swap agreements. In its simplest form, an interest rate swap involves two parties agreeing to exchange or "swap" one set of cash flows for another set. In essence, the agreement allows a party that desires to avoid a variable rate (Calamos) to pay a fixed rate to a party that desires variability. THE DEALER MARKET FOR INTEREST RATE SWAPS [FLOW CHART] Under these agreements, the Fund pays a potentially higher rate for borrowing initially, but that rate is fixed for a period of three to five years, thereby potentially reducing the interest costs that the Fund would otherwise pay over the period based on a floating or variable rate. To learn more about the use of leverage and interest rate swaps, visit our special report titled "Using Leverage and Interest Rate Swaps in Today's Market" at www.calamos.com/closedend.aspx. Convertible Opportunities and Income Fund 50 SEMIANNUAL REPORT Leverage Level Rate Distribution Policy USING A LEVEL RATE DISTRIBUTION POLICY TO PROMOTE DEPENDABLE INCOME AND TOTAL RETURN The goal of the level rate distribution policy is to provide investors a predictable, though not assured, level of cash flow, which can either serve as a stable income stream or, through reinvestment, contribute significantly to long-term total return. We understand the importance that investors place on the stability of dividends and their ability to contribute to long-term total return, which is why we have instituted a level rate distribution policy for the Fund. Under the policy, monthly distributions paid may include net investment income, net realized short-term capital gains and, if necessary, return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. There is no guarantee that the Fund will realize capital gains in any given year. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. All shareholders with taxable accounts will receive written notification regarding the components and tax treatment for distributions via Form 1099-DIV. Distributions from the Fund are generally subject to Federal income taxes. For purposes of maintaining the level rate distribution policy, the Fund may realize short-term capital gains on securities that, if sold at a later date, would have resulted in long-term capital gains. Maintenance of a level rate distribution policy may increase transaction and tax costs associated with the Fund. Convertible Opportunities and Income Fund Level Rate Distribution Policy SEMIANNUAL REPORT 51 Automatic Dividend Reinvestment Plan MAXIMIZING INVESTMENT WITH AN AUTOMATIC DIVIDEND REINVESTMENT PLAN The Automatic Dividend Reinvestment Plan offers a simple, cost-efficient and convenient way to reinvest your dividends and capital gains distributions in additional shares of the Fund, allowing you to increase your investment in the Fund. BENEFITS - COMPOUNDED GROWTH: By automatically reinvesting with the Plan, you gain the potential to allow your dividends and capital gains to compound over time. - POTENTIAL FOR LOWER COMMISSION COSTS: Additional shares are purchased in large blocks, with brokerage commissions shared among all plan participants. There is no cost to enroll in the Plan. - CONVENIENCE: After enrollment, the Plan is automatic and includes detailed statements for participants. Participants can terminate their enrollment at any time. For additional information about the Plan, please contact the Plan Agent, The Bank of New York, at 800-432-8224 or visit us on the web at www.calamos.com/chi.aspx. If you wish to participate in the Plan and your shares are held in your own name, simply call the Plan Agent. If your shares are not held in your name, please contact your brokerage firm, bank, or other nominee to request that they participate in the Plan on your behalf. If your brokerage firm, bank, or other nominee is unable to participate on your behalf, you may request that your shares be re-registered in your own name. We're pleased to provide our shareholders with the additional benefit of the Fund's Dividend Reinvestment Plan and hope that it may serve your financial plan. Convertible Opportunities and Income Fund 52 SEMIANNUAL REPORT Automatic Dividend Reinvestment Plan Calamos Closed-End Funds INTELLIGENT ASSET ALLOCATION IN FOUR DISTINCT CLOSED-END FUNDS Depending on which Calamos closed-end fund you currently own, you may want to consider one or more of our other closed-end strategies to help further diversify your investment portfolio. Seek the advice of your financial advisor, who can help you determine your financial goals, risk tolerance, time horizon and income needs. To learn more, you can also visit our website at www.calamos.com. FUND ASSET ALLOCATION AS OF 4/30/06 FUND PROFILE CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND (CHI) [PIE CHART] CONVERTIBLE SECURITIES 46.3% HIGH YIELD/CORPORATE BONDS 53.5% SHORT-TERM INVESTMENTS 0.2% PROVIDING ENHANCED FIXED INCOME OBJECTIVE: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of convertible securities and below investment-grade (high-yield) fixed-income securities. CALAMOS CONVERTIBLE AND HIGH INCOME FUND (CHY) [PIE CHART] CONVERTIBLE SECURITIES 40.3% HIGH YIELD/CORPORATE BONDS 58.5% SHORT-TERM INVESTMENTS 1.2% PROVIDING ENHANCED FIXED INCOME OBJECTIVE: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of convertible securities and below investment-grade (high-yield) fixed-income securities. CALAMOS STRATEGIC TOTAL RETURN FUND (CSQ) [PIE CHART] COMMON STOCK 42.3% CONVERTIBLE SECURITIES 30.8% HIGH YIELD/CORPORATE BONDS 25.7% SHORT-TERM INVESTMENTS 1.2% PROVIDING DEFENSIVE EQUITY OBJECTIVE: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of equity, convertible and high-yield securities. CALAMOS GLOBAL TOTAL RETURN FUND (CGO) [PIE CHART] COMMON STOCK 54.0% CONVERTIBLE SECURITIES 17.4% HIGH YIELD/CORPORATE BONDS 28.3% SHORT-TERM INVESTMENTS 0.3% PROVIDING DEFENSIVE GLOBAL EQUITY OBJECTIVE: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of global equity, global convertible and high-yield securities. Convertible Opportunities and Income Fund Calamos Closed-End Funds SEMIANNUAL REPORT 53 [CALAMOS INVESTMENTS LOGO] Calamos Investments | 2020 Calamos Court | Naperville, IL 60563-2787 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, by writing Calamos at: Calamos Investments, Attn: Client Services, 2020 Calamos Court, Naperville, IL 60563 and by visiting the SEC's Web site at www.sec.gov. The Fund's proxy voting record for the twelve month period ended June 30, 2005, is also available free of charge 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 SEC's 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 2020 Calamos Court Naperville, IL 60563-2787 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 REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP Chicago, IL LEGAL COUNSEL Bell, Boyd & Lloyd LLC Chicago, IL (C) 2006 Calamos Holdings LLC. All Rights Reserved. Calamos(R), CALAMOSINVESTMENTS(R), Strategies for Serious Money(R) and the Calamos(R) logo are registered trademarks of Calamos Holdings LLC. CHISAN 1790 2006 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 OF (d) MAXIMUM (a) SHARES (OR NUMBER (OR TOTAL (b) UNITS) APPROXIMATE NUMBER AVERAGE PURCHASED AS DOLLAR VALUE) OF OF PRICE PART OF SHARES (OR UNITS) SHARES PAID PER PUBLICLY THAT MAY YET BE (OR SHARE ANNOUNCED PURCHASED UNDER UNITS) (OR PLANS OR THE PLANS OR PERIOD PURCHASED UNIT) PROGRAMS PROGRAMS ------------------------- --------- -------- ------------ ----------------- November 1 to November 30 N/A N/A N/A N/A December 1 to December 31 N/A N/A N/A N/A January 1 to January 31 N/A N/A N/A N/A February 1 to February 28 N/A N/A N/A N/A March 1 to March 31 N/A N/A N/A N/A April 1 to April 30 N/A N/A N/A N/A Total N/A N/A N/A N/A 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, 2006 By: /s/ Patrick H. Dudasik --------------------------------- Name: Patrick H. Dudasik Title: Principal Financial Officer Date: June 29, 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: June 29, 2006 By: /s/ Patrick H. Dudasik --------------------------------- Name: Patrick H. Dudasik Title: Principal Financial Officer Date: June 29, 2006