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