UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER: 811-21080 EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible Opportunities and Income Fund ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville Illinois 60563 NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary, Calamos Advisors, LLC, 2020 Calamos Court, Naperville, Illinois 60563 REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200 DATE OF FISCAL YEAR END: October 31, 2006 DATE OF REPORTING PERIOD: January 31, 2006 CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ITEM 1. SCHEDULE OF INVESTMENTS January 31, 2006 (UNAUDITED) CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ----------- ------------ CORPORATE BONDS (70.3%) CONSUMER DISCRETIONARY (24.0%) $ 1,979,000 Asbury Automotive Group, Inc. 9.000%, 06/15/12 $ 2,018,580 6,571,000 Aztar Corp.@ 7.875%, 06/15/14 6,850,267 10,292,000 Beazer Homes USA, Inc.@ 8.375%, 04/15/12 10,806,600 3,958,000 DEX Media, Inc. 8.000%, 11/15/13 4,086,635 2,796,000 DIRECTV Financing Company, Inc. 8.375%, 03/15/13 3,012,690 4,176,000 EchoStar Communications Corp.* 7.125%, 02/01/16 4,139,460 633,000 EchoStar DBS Corporation 6.625%, 10/01/14 617,175 6,309,000 GBP EMI Group, PLC++ 9.750%, 05/20/08 12,168,738 Ford Motor Company 6,096,000 7.875%, 06/15/10 5,741,365 4,750,000 8.625%, 11/01/10 4,576,900 3,958,000 7.450%, 07/16/31 2,938,815 Goodyear Tire & Rubber Company 6,729,000 7.000%, 03/15/28@ 5,652,360 3,167,000 7.857%, 08/15/11 3,103,660 2,771,000 GSC Holdings Corp. (Gamestop, Inc.)*@ 8.000%, 10/01/12 2,705,189 3,167,000 Hasbro, Inc. 6.600%, 07/15/28 3,161,328 6,313,000 Hovnanian Enterprises, Inc.@ 7.750%, 05/15/13 6,391,912 3,167,000 IMAX Corp.@ 9.625%, 12/01/10 3,254,092 3,958,000 Intrawest Corp. 7.500%, 10/15/13 4,076,740 11,083,000 Isle of Capri Casinos, Inc. 9.000%, 03/15/12 11,803,395 3,016,000 Jarden Corp. 9.750%, 05/01/12 3,031,080 2,194,000 Kellwood Company@ 7.625%, 10/15/17 1,977,492 2,375,000 Landry's Restaurants, Inc. 7.500%, 12/15/14 2,256,250 13,854,000 Mandalay Resort Group@ 10.250%, 08/01/07 14,823,780 6,175,000 NCL Holding, ASA 10.625%, 07/15/14 6,491,469 3,562,000 Oxford Industries, Inc. 8.875%, 06/01/11 3,664,407 3,958,000 Phillips-Van Heusen Corp. 8.125%, 05/01/13 4,195,480 1,583,000 Reader's Digest Association, Inc. 6.500%, 03/01/11 1,571,128 2,256,000 RH Donnelley Financial Corp.* 10.875%, 12/15/12 2,549,280 $ 2,969,000 CAD Rogers Cable, Inc. 7.250%, 12/15/11 $ 2,683,634 3,562,000 CAD Rogers Wireless, Inc. 7.625%, 12/15/11 3,353,887 12,271,000 Russell Corp. 9.250%, 05/01/10 12,593,114 6,333,000 Time Warner 7.625%, 04/15/31 7,056,070 10,054,000 Vail Resorts, Inc. 6.750%, 02/15/14 10,154,540 Warner Music Group 5,542,000 7.375%, 04/15/14 5,555,855 792,000 GBP 8.125%, 04/15/14 1,474,132 6,729,000 WCI Communities, Inc.@ 7.875%, 10/01/13 6,594,420 317,000 William Lyon Homes, Inc. 10.750%, 04/01/13 329,680 633,000 Wynn Las Vegas, LLC@ 6.625%, 12/01/14 619,549 ------------ 188,081,148 ------------ CONSUMER STAPLES (8.5%) 1,583,000 Central Garden & Pet Company 9.125%, 02/01/13 1,670,065 3,958,000 Chattem, Inc. 7.000%, 03/01/14 4,007,475 3,444,000 Chiquita Brands International, Inc.@ 7.500%, 11/01/14 3,047,940 4,908,000 Del Monte Foods Company 8.625%, 12/15/12 5,227,020 Dole Food Company, Inc. 7,125,000 7.250%, 06/15/10 6,920,156 3,167,000 8.625%, 05/01/09 3,250,134 9,500,000 Jean Coutu Group, Inc.@ 8.500%, 08/01/14 9,096,250 2,771,000 NBTY, Inc.* 7.125%, 10/01/15 2,611,668 3,958,000 Pilgrim's Pride Corp. 9.250%, 11/15/13 4,225,165 4,750,000 Pinnacle Foods Holding@ 8.250%, 12/01/13 4,595,625 4,433,000 Playtex Products, Inc. 8.000%, 03/01/11 4,771,016 Revlon Consumer Products Corp.++ 792,000 10.560%, 04/11/06 818,730 792,000 10.330%, 02/13/06 818,730 792,000 9.920%, 03/08/06 818,730 396,000 9.980%, 02/08/06 409,365 2,533,000 Revlon, Inc.@ 9.500%, 04/01/11 2,343,025 7,917,000 Smithfield Foods, Inc. 7.750%, 05/15/13 8,362,331 4,077,000 Spectrum Brands, Inc.@ 8.500%, 10/01/13 3,516,413 ------------ 66,509,838 ------------ See accompanying notes to Schedule of Investments 1 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ---------- ----------- ENERGY (8.3%) $4,750,000 Arch Western Finance, LLC@++ 6.750%, 07/01/13 $ 4,821,250 6,729,000 Chesapeake Energy Corp.@ 6.875%, 01/15/16 6,897,225 5,146,000 Comstock Resources, Inc. 6.875%, 03/01/12 5,126,702 594,000 Energy Partners, Ltd. 8.750%, 08/01/10 616,275 2,375,000 Forest Oil Corp.@ 8.000%, 12/15/11 2,612,500 3,695,000 Giant Industries, Inc.@ 11.000%, 05/15/12 4,129,163 3,642,000 KCS Energy, Inc. 7.125%, 04/01/12 3,669,315 8,946,000 Petroleo Brasileiro, SA 8.375%, 12/10/18 10,243,170 Premcor Refining Group, Inc. 5,067,000 9.500%, 02/01/13 5,651,291 2,157,000 7.500%, 06/15/15 2,298,609 2,375,000 Range Resources Corp. 7.375%, 07/15/13 2,499,688 5,542,000 Swift Energy Company@ 9.375%, 05/01/12 5,999,215 Williams Companies, Inc. 7,917,000 7.750%, 06/15/31 8,629,530 1,583,000 7.500%, 01/15/31 1,685,895 ----------- 64,879,828 ----------- FINANCIALS (2.5%) E*TRADE Financial Corporation 5,225,000 7.375%, 09/15/13 5,355,625 3,562,000 7.875%, 12/01/15@ 3,740,100 950,000 8.000%, 06/15/11 992,750 5,937,000 Leucadia National Corp. 7.000%, 08/15/13 5,937,000 1,346,000 Omega Healthcare Investors, Inc. 7.000%, 04/01/14 1,372,920 1,989,000 Senior Housing Properties Trust 7.875%, 04/15/15 2,078,505 ----------- 19,476,900 ----------- HEALTH CARE (5.0%) 3,246,000 Ameripath, Inc.@ 10.500%, 04/01/13 3,440,760 6,689,000 Bausch & Lomb, Inc. 7.125%, 08/01/28 7,126,099 2,375,000 Beverly Enterprises, Inc. 7.875%, 06/15/14 2,624,375 435,000 Bio-Rad Laboratories, Inc. 7.500%, 08/15/13 461,100 1,583,000 Biovail Corp. 7.875%, 04/01/10 1,644,341 594,000 DaVita, Inc. 7.250%, 03/15/15 600,683 475,000 Omnicare, Inc.@ 6.875%, 12/15/15 477,969 2,771,000 Psychiatric Solutions, Inc. 7.750%, 07/15/15 2,881,840 $5,146,000 Quintiles Transnational Corp. 10.000%, 10/01/13 $ 5,737,790 6,729,000 Tenet Healthcare Corp.* 9.250%, 02/01/15 6,628,065 2,375,000 Valeant Pharmaceuticals International 7.000%, 12/15/11 2,339,375 5,146,000 Vanguard Health Systems, Inc. 9.000%, 10/01/14 5,454,760 ----------- 39,417,157 ----------- INDUSTRIALS (7.8%) 1,742,000 Accuride Corp. 8.500%, 02/01/15 1,742,000 1,979,000 Armor Holdings, Inc.@ 8.250%, 08/15/13 2,147,215 1,187,000 Columbus McKinnon Corp.* 8.875%, 11/01/13 1,255,253 3,167,000 Commercial Vehicle Group, Inc. 8.000%, 07/01/13 3,214,505 2,375,000 Gardner Denver, Inc. 8.000%, 05/01/13 2,505,625 2,375,000 GATX Corp. 8.875%, 06/01/09 2,609,011 5,146,000 General Cable Corp. 9.500%, 11/15/10 5,506,220 1,012,000 Global Cash Access, Inc. 8.750%, 03/15/12 1,087,900 2,335,000 Greenbrier Companies, Inc. 8.375%, 05/15/15 2,445,912 594,000 Hexcel Corporation 6.750%, 02/01/15 591,030 3,958,000 Hutchison Whampoa, Ltd.*@ 6.250%, 01/24/14 4,137,369 JLG Industries, Inc. 3,562,000 8.250%, 05/01/08 3,766,815 792,000 8.375%, 06/15/12@ 855,360 6,729,000 EUR Legrand Holding, SA 11.000%, 02/15/13 9,832,531 2,692,000 Monitronics International, Inc. 11.750%, 09/01/10 2,678,540 2,739,000 Navistar International Corp.@ 7.500%, 06/15/11 2,725,305 875,000 Orbital Sciences Corp. 9.000%, 07/15/11 942,813 1,187,000 Sequa Corp. 8.875%, 04/01/08 1,264,155 5,542,000 Terex Corp. 7.375%, 01/15/14 5,597,420 950,000 Trinity Industries, Inc. 6.500%, 03/15/14 952,375 2,122,000 United Agri Products, Inc. 8.250%, 12/15/11 2,262,582 2,751,000 Wesco Distribution Inc.*@ 7.500%, 10/15/17 2,812,897 ----------- 60,932,833 ----------- INFORMATION TECHNOLOGY (5.7%) 7,125,000 Advanced Micro Devices, Inc. 7.750%, 11/01/12 7,534,687 See accompanying notes to Schedule of Investments 2 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ---------- ------------ $ 554,000 Avago Technologies*@ 11.875%, 12/01/15 $ 560,925 3,167,000 Celestica, Inc.@ 7.875%, 07/01/11 3,206,588 3,958,000 Flextronics International, Ltd.@ 6.500%, 05/15/13 4,007,475 3,958,000 Freescale Semiconductor, Inc. 7.125%, 07/15/14 4,205,375 297,000 Sanmina-SCI Corporation 8.125%, 03/01/16 301,455 1,583,000 Stratus Technologies, Inc. 10.375%, 12/01/08 1,654,235 5,423,000 SunGard Data Systems Inc.*@ 9.125%, 08/15/13 5,667,035 4,750,000 Telcordia Technologies* 10.000%, 03/15/13 4,370,000 Xerox Corp.@ 7,521,000 8.000%, 02/01/27 7,793,636 5,542,000 7.625%, 06/15/13 5,916,085 ------------ 45,217,496 ------------ MATERIALS (6.2%) Aleris International, Inc. 2,692,000 10.375%, 10/15/10 2,974,660 1,697,000 9.000%, 11/15/14@ 1,781,850 792,000 Crown Holdings, Inc.*@ 7.750%, 11/15/15 825,660 3,958,000 Equistar Chemicals, LP 10.625%, 05/01/11 4,373,590 6,784,000 Freeport-McMoRan Copper & Gold, Inc. 10.125%, 02/01/10 7,462,400 633,000 Gibraltar Industries, Inc.* 8.000%, 12/01/15 637,748 Ineos Group Holdings, PLC* 3,800,000 EUR 7.875%, 02/15/16 4,617,568 792,000 8.500%, 02/15/16 792,990 5,902,000 IPSCO, Inc. 8.750%, 06/01/13 6,492,200 3,167,000 Neenah Paper, Inc. 7.375%, 11/15/14 2,992,815 6,333,000 Sealed Air Corp.* 6.875%, 07/15/33 6,458,957 1,583,000 Texas Industries, Inc.@ 7.250%, 07/15/13 1,642,362 Union Carbide Corp. 3,167,000 7.500%, 06/01/25 3,431,011 2,454,000 7.875%, 04/01/23@ 2,734,438 1,187,000 Westlake Chemical Corporation 6.625%, 01/15/16 1,194,419 ------------ 48,412,668 ------------ TELECOMMUNICATION SERVICES (1.8%) 475,000 Citizens Communications Company 9.000%, 08/15/31 491,625 1,583,000 IPCS Escrow Company 11.500%, 05/01/12 1,832,323 $7,917,000 Sprint Nextel Corporation 7.375%, 08/01/15 $ 8,373,296 3,167,000 Syniverse Technologies, Inc. 7.750%, 08/15/13 3,230,340 ------------ 13,927,584 ------------ UTILITIES (0.5%) 990,000 Edison International 7.730%, 06/15/09 1,022,175 NRG Energy, Inc. 1,859,000 8.000%, 12/15/13 2,082,080 792,000 7.250%, 02/01/14 804,870 ------------ 3,909,125 ------------ TOTAL CORPORATE BONDS (Cost $533,941,289) 550,764,577 ------------ CONVERTIBLE BONDS (15.1%) CONSUMER DISCRETIONARY (1.2%) 1,913,000 Lions Gate Entertainment Corp.@ 3.625%, 03/15/25 1,709,744 7,500,000 Walt Disney Company@ 2.125%, 04/15/23 7,706,250 ------------ 9,415,994 ------------ ENERGY (1.5%) 7,500,000 Cal Dive International, Inc.* 3.250%, 12/15/25 11,521,875 ------------ FINANCIALS (0.5%) 2,750,000 Deutsche Bank, LUX (USA Interactive)*++ 4.880%, 05/01/12 3,581,875 ------------ HEALTH CARE (3.2%) 8,500,000 Emdeon Corp.* 3.125%, 09/01/25 7,522,500 5,000,000 Invitrogen Corp.* 3.250%, 06/15/25 4,918,750 7,000,000 LifePoint Hospitals, Inc.*@ 3.250%, 08/15/25 5,950,000 6,500,000 Wyeth++ 4.239%, 01/15/24 6,769,750 ------------ 25,161,000 ------------ INDUSTRIALS (2.8%) 9,500,000 GATX Corp. 7.500%, 02/01/07 11,898,750 5,500,000 Lockheed Martin Corp.@++ 4.090%, 08/15/33 6,026,900 3,000,000 Quanta Services, Inc.@ 4.500%, 10/01/23 4,117,500 ------------ 22,043,150 ------------ INFORMATION TECHNOLOGY (5.1%) 5,500,000 Advanced Micro Devices, Inc.++ 4.750%, 02/01/22 9,865,625 6,500,000 ASML Holding, NV 5.750%, 10/15/06 8,017,750 5,500,000 DST Systems, Inc. 4.125%, 08/15/23 7,019,375 See accompanying notes to Schedule of Investments 3 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ---------- ------------ $6,500,000 LSI Logic Corp. 4.000%, 05/15/10 $ 6,605,625 2,000,000 Openwave Systems, Inc.@ 2.750%, 09/09/08 2,615,000 5,750,000 Vishay Intertechnology, Inc. 3.625%, 08/01/23 5,944,062 ------------ 40,067,437 ------------ UTILITIES (0.8%) 2,950,000 GBP Scottish and Southern Energy, PLC 3.750%, 10/29/09 6,428,528 ------------ TOTAL CONVERTIBLE BONDS (Cost $108,646,032) 118,219,859 ------------ SYNTHETIC CONVERTIBLE SECURITIES (21.8%) CORPORATE BONDS (18.5%) CONSUMER DISCRETIONARY (6.3%) 521,000 Asbury Automotive Group, Inc. 9.000%, 06/15/12 531,420 1,729,000 Aztar Corp.@ 7.875%, 06/15/14 1,802,482 2,708,000 Beazer Homes USA, Inc.@ 8.375%, 04/15/12 2,843,400 1,042,000 DEX Media, Inc. 8.000%, 11/15/13 1,075,865 736,000 DIRECTV Financing Company, Inc. 8.375%, 03/15/13 793,040 1,099,000 EchoStar Communications Corp.* 7.125%, 02/01/16 1,089,384 167,000 EchoStar DBS Corporation 6.625%, 10/01/14 162,825 1,661,000 GBP EMI Group, PLC++ 9.750%, 05/20/08 3,203,721 Ford Motor Company 1,604,000 7.875%, 06/15/10 1,510,687 1,250,000 8.625%, 11/01/10 1,204,447 1,042,000 7.450%, 07/16/31 773,685 Goodyear Tire & Rubber Company 1,771,000 7.000%, 03/15/28@ 1,487,640 833,000 7.857%, 08/15/11 816,340 729,000 GSC Holdings Corp. (Gamestop, Inc.)*@ 8.000%, 10/01/12 711,686 833,000 Hasbro, Inc. 6.600%, 07/15/28 831,508 1,662,000 Hovnanian Enterprises, Inc.@ 7.750%, 05/15/13 1,682,775 833,000 IMAX Corp.@ 9.625%, 12/01/10 855,908 1,042,000 Intrawest Corp. 7.500%, 10/15/13 1,073,260 2,917,000 Isle of Capri Casinos, Inc. 9.000%, 03/15/12 3,106,605 794,000 Jarden Corp. 9.750%, 05/01/12 797,970 $ 578,000 Kellwood Company@ 7.625%, 10/15/17 $ 520,962 625,000 Landry's Restaurants, Inc. 7.500%, 12/15/14 593,750 3,646,000 Mandalay Resort Group@ 10.250%, 08/01/07 3,901,220 1,625,000 NCL Holding, ASA 10.625%, 07/15/14 1,708,281 938,000 Oxford Industries, Inc. 8.875%, 06/01/11 964,967 1,042,000 Phillips-Van Heusen Corp. 8.125%, 05/01/13 1,104,520 417,000 Reader's Digest Association, Inc. 6.500%, 03/01/11 413,873 594,000 RH Donnelley Financial Corp.* 10.875%, 12/15/12 671,220 781,000 CAD Rogers Cable, Inc. 7.250%, 12/15/11 705,934 938,000 CAD Rogers Wireless, Inc. 7.625%, 12/15/11 883,197 3,229,000 Russell Corp. 9.250%, 05/01/10 3,313,761 1,667,000 Time Warner 7.625%, 04/15/31 1,857,330 2,646,000 Vail Resorts, Inc. 6.750%, 02/15/14 2,672,460 Warner Music Group 1,458,000 7.375%, 04/15/14 1,461,645 208,000 GBP 8.125%, 04/15/14 387,146 1,771,000 WCI Communities, Inc.@ 7.875%, 10/01/13 1,735,580 83,000 William Lyon Homes, Inc. 10.750%, 04/01/13 86,320 167,000 Wynn Las Vegas, LLC@ 6.625%, 12/01/14 163,451 ------------ 49,500,265 ------------ CONSUMER STAPLES (2.2%) 417,000 Central Garden & Pet Company 9.125%, 02/01/13 439,935 1,042,000 Chattem, Inc. 7.000%, 03/01/14 1,055,025 906,000 Chiquita Brands International, Inc.@ 7.500%, 11/01/14 801,810 1,292,000 Del Monte Foods Company 8.625%, 12/15/12 1,375,980 Dole Food Company, Inc. 1,875,000 7.250%, 06/15/10 1,821,094 833,000 8.625%, 05/01/09 854,866 2,500,000 Jean Coutu Group, Inc@ 8.500%, 08/01/14 2,393,750 729,000 NBTY, Inc.* 7.125%, 10/01/15 687,082 1,042,000 Pilgrim's Pride Corp. 9.250%, 11/15/13 1,112,335 1,250,000 Pinnacle Foods Holding@ 8.250%, 12/01/13 1,209,375 See accompanying notes to Schedule of Investments 4 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ---------- ----------- $1,167,000 Playtex Products, Inc. 8.000%, 03/01/11 $ 1,255,984 Revlon Consumer Products Corp.++ 208,000 10.560%, 04/11/06 215,020 208,000 10.330%, 02/13/06 215,020 208,000 9.920%, 03/08/06 215,020 104,000 9.980%, 02/08/06 107,510 667,000 Revlon, Inc.@ 9.500%, 04/01/11 616,975 2,083,000 Smithfield Foods, Inc. 7.750%, 05/15/13 2,200,169 1,073,000 Spectrum Brands, Inc.@ 8.500%, 10/01/13 925,462 ----------- 17,502,412 ----------- ENERGY (2.2%) 1,250,000 Arch Western Finance, LLC@++ 6.750%, 07/01/13 1,268,750 1,771,000 Chesapeake Energy Corp.@ 6.875%, 01/15/16 1,815,275 1,354,000 Comstock Resources, Inc. 6.875%, 03/01/12 1,348,922 156,000 Energy Partners, Ltd. 8.750%, 08/01/10 161,850 625,000 Forest Oil Corp.@ 8.000%, 12/15/11 687,500 973,000 Giant Industries, Inc.@ 11.000%, 05/15/12 1,087,327 958,000 KCS Energy, Inc. 7.125%, 04/01/12 965,185 2,354,000 Petroleo Brasileiro, SA 8.375%, 12/10/18 2,695,330 Premcor Refining Group, Inc. 1,333,000 9.500%, 02/01/13 1,486,712 568,000 7.500%, 06/15/15 605,290 625,000 Range Resources Corp. 7.375%, 07/15/13 657,813 1,458,000 Swift Energy Company@ 9.375%, 05/01/12 1,578,285 Williams Companies, Inc. 2,083,000 7.750%, 06/15/31 2,270,470 417,000 7.500%, 01/15/31 444,105 ----------- 17,072,814 ----------- FINANCIALS (0.7%) E*TRADE Financial Corporation 1,375,000 7.375%, 09/15/13 1,409,375 938,000 7.875%, 12/01/15@ 984,900 250,000 8.000%, 06/15/11 261,250 1,563,000 Leucadia National Corp. 7.000%, 08/15/13 1,563,000 354,000 Omega Healthcare Investors, Inc. 7.000%, 04/01/14 361,080 524,000 Senior Housing Properties Trust 7.875%, 04/15/15 547,580 ----------- 5,127,185 ----------- HEALTH CARE (1.3%) $ 854,000 Ameripath, Inc.@ 10.500%, 04/01/13 $ 905,240 1,761,000 Bausch & Lomb, Inc. 7.125%, 08/01/28 1,876,074 625,000 Beverly Enterprises, Inc. 7.875%, 06/15/14 690,625 115,000 Bio-Rad Laboratories, Inc. 7.500%, 08/15/13 121,900 417,000 Biovail Corp. 7.875%, 04/01/10 433,159 156,000 DaVita, Inc. 7.250%, 03/15/15 157,755 125,000 Omnicare, Inc.@ 6.875%, 12/15/15 125,781 729,000 Psychiatric Solutions, Inc. 7.750%, 07/15/15 758,160 1,354,000 Quintiles Transnational Corp. 10.000%, 10/01/13 1,509,710 1,771,000 Tenet Healthcare Corp.* 9.250%, 02/01/15 1,744,435 625,000 Valeant Pharmaceuticals International 7.000%, 12/15/11 615,625 1,354,000 Vanguard Health Systems, Inc. 9.000%, 10/01/14 1,435,240 ----------- 10,373,704 ----------- INDUSTRIALS (2.1%) 458,000 Accuride Corp. 8.500%, 02/01/15 458,000 521,000 Armor Holdings, Inc.@ 8.250%, 08/15/13 565,285 313,000 Columbus McKinnon Corp.* 8.875%, 11/01/13 330,998 833,000 Commercial Vehicle Group, Inc. 8.000%, 07/01/13 845,495 625,000 Gardner Denver, Inc. 8.000%, 05/01/13 659,375 625,000 GATX Corp. 8.875%, 06/01/09 686,582 1,354,000 General Cable Corp. 9.500%, 11/15/10 1,448,780 266,000 Global Cash Access, Inc. 8.750%, 03/15/12 285,950 615,000 Greenbrier Companies, Inc. 8.375%, 05/15/15 644,212 156,000 Hexcel Corporation 6.750%, 02/01/15 155,220 1,042,000 Hutchison Whampoa, Ltd.*@ 6.250%, 01/24/14 1,089,221 JLG Industries, Inc. 938,000 8.250%, 05/01/08 991,935 208,000 8.375%, 06/15/12@ 224,640 1,771,000 EUR Legrand Holding, SA 11.000%, 02/15/13 2,587,816 708,000 Monitronics International, Inc. 11.750%, 09/01/10 704,460 See accompanying notes to Schedule of Investments 5 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ---------- ------------ $ 721,000 Navistar International Corp.@ 7.500%, 06/15/11 $ 717,395 230,000 Orbital Sciences Corp. 9.000%, 07/15/11 247,825 313,000 Sequa Corp. 8.875%, 04/01/08 333,345 1,458,000 Terex Corp. 7.375%, 01/15/14 1,472,580 250,000 Trinity Industries, Inc. 6.500%, 03/15/14 250,625 558,000 United Agri Products, Inc. 8.250%, 12/15/11 594,968 724,000 Wesco Distribution Inc.*@ 7.500%, 10/15/17 740,290 ------------ 16,034,997 ------------ INFORMATION TECHNOLOGY (1.5%) 1,875,000 Advanced Micro Devices, Inc. 7.750%, 11/01/12 1,982,812 146,000 Avago Technologies*@ 11.875%, 12/01/15 147,825 833,000 Celestica, Inc.@ 7.875%, 07/01/11 843,413 1,042,000 Flextronics International, Ltd.@ 6.500%, 05/15/13 1,055,025 1,042,000 Freescale Semiconductor, Inc. 7.125%, 07/15/14 1,107,125 78,000 Sanmina-SCI Corporation 8.125%, 03/01/16 79,170 417,000 Stratus Technologies, Inc. 10.375%, 12/01/08 435,765 1,427,000 SunGard Data Systems Inc.*@ 9.125%, 08/15/13 1,491,215 1,250,000 Telcordia Technologies* 10.000%, 03/15/13 1,150,000 Xerox Corp.@ 1,979,000 8.000%, 02/01/27 2,050,739 1,458,000 7.625%, 06/15/13 1,556,415 ------------ 11,899,504 ------------ MATERIALS (1.6%) Aleris International, Inc. 708,000 10.375%, 10/15/10 782,340 446,000 9.000%, 11/15/14@ 468,300 208,000 Crown Holdings, Inc.*@ 7.750%, 11/15/15 216,840 1,042,000 Equistar Chemicals, LP 10.625%, 05/01/11 1,151,410 1,786,000 Freeport-McMoRan Copper & Gold, Inc. 10.125%, 02/01/10 1,964,600 167,000 Gibraltar Industries, Inc.* 8.000%, 12/01/15 168,253 Ineos Group Holdings, PLC* 1,000,000 EUR 7.875%, 02/15/16 1,215,150 208,000 8.500%, 02/15/16 208,260 1,553,000 IPSCO, Inc. 8.750%, 06/01/13 1,708,300 $ 833,000 Neenah Paper, Inc. 7.375%, 11/15/14 $ 787,185 1,667,000 Sealed Air Corp.* 6.875%, 07/15/33 1,700,155 417,000 Texas Industries, Inc.@ 7.250%, 07/15/13 432,637 Union Carbide Corp. 833,000 7.500%, 06/01/25 902,441 646,000 7.875%, 04/01/23@ 719,824 313,000 Westlake Chemical Corporation 6.625%, 01/15/16 314,956 ------------ 12,740,651 ------------ TELECOMMUNICATION SERVICES (0.5%) 125,000 Citizens Communications Company 9.000%, 08/15/31 129,375 417,000 IPCS Escrow Company 11.500%, 05/01/12 482,677 2,083,000 Sprint Nextel Corporation 7.375%, 08/01/15 2,203,054 833,000 Syniverse Technologies, Inc. 7.750%, 08/15/13 849,660 ------------ 3,664,766 ------------ UTILITIES (0.1%) 260,000 Edison International 7.730%, 06/15/09 268,450 NRG Energy, Inc. 489,000 8.000%, 12/15/13 547,680 208,000 7.250%, 02/01/14 211,380 ------------ 1,027,510 ------------ TOTAL CORPORATE BONDS 144,943,808 ------------ NUMBER OF CONTRACTS VALUE --------- ------------ OPTIONS (3.3%) CONSUMER DISCRETIONARY (0.2%) 110 Garmin, Ltd.# Call, 01/19/08, Strike 65.00 137,500 125 Lowe's Companies, Inc.# Call, 01/19/08, Strike 70.00 99,375 210 Office Depot, Inc.# Call, 01/19/08, Strike 30.00 174,300 180 Tiffany & Co.# Call, 01/19/08, Strike 40.00 112,500 2,500 YUM! Brands, Inc.# Call, 01/20/07, Strike 50.00 1,225,000 ------------ 1,748,675 ------------ CONSUMER STAPLES (0.1%) 520 Kroger Company# Call, 01/19/08, Strike 20.00 124,800 215 PepsiCo, Inc.# Call, 01/19/08, Strike 60.00 108,575 ------------ 233,375 ------------ See accompanying notes to Schedule of Investments 6 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED) NUMBER OF CONTRACTS VALUE --------- ----------- ENERGY (1.3%) 75 Anadarko Petroleum Corp.# Call, 01/19/08, Strike 95.00 $ 209,250 1,500 Apache Corp.# Call, 01/20/07, Strike 60.00 3,045,000 105 BJ Services Company# Call, 01/19/08, Strike 40.00 94,500 105 Devon Energy (Chevron) Corp.# Call, 01/19/08, Strike 65.00 169,050 110 Diamond Offshore Drilling, Inc.# Call, 01/19/08, Strike 70.00 284,900 90 Nabors Industries Ltd.# Call, 01/19/08, Strike 75.00 188,100 1,200 Patterson-UTI Energy, Inc.# Call, 01/20/07, Strike 35.00 864,000 100 Petroleo Brasileiro, SA# Call, 01/19/08, Strike 70.00 332,500 85 Schlumberger, Ltd.# Call, 01/19/08, Strike 100.00 347,225 80 Sunoco, Inc.# Call, 01/19/08, Strike 75.00 258,400 1,600 Transocean, Inc.# Call, 01/20/07, Strike 55.00 4,768,000 165 Weatherford International, Ltd.# Call, 01/19/08, Strike 35.00 249,150 125 XTO Energy, Inc.# Call, 01/19/08, Strike 45.00 156,875 ----------- 10,966,950 ----------- FINANCIALS (0.3%) 200 Aon Corp.# Call, 01/19/08, Strike 35.00 118,000 500 Charles Schwab Corp.# Call, 01/19/08, Strike 15.00 142,500 15 Chicago Mercantile Exchange Holdings, Inc.# Call, 01/19/08, Strike 360.00 191,175 145 CIT Group, Inc.# Call, 01/19/08, Strike 50.00 152,975 250 E*TRADE Financial Corporation# Call, 01/19/08, Strike 20.00 182,500 65 Goldman Sachs Group, Inc.# Call, 01/19/08, Strike 130.00 189,475 75 Legg Mason, Inc.# Call, 01/20/07, Strike 120.00 172,125 60 Lehman Brothers Holdings, Inc.# Call, 01/19/08, Strike 125.00 197,700 145 Merrill Lynch & Company, Inc.# Call, 01/19/08, Strike 70.00 205,900 110 Prudential Financial, Inc.# Call, 01/19/08, Strike 75.00 132,000 190 St. Paul Travelers Companies, Inc.# Call, 01/19/08, Strike 45.00 136,800 190 State Street Corp.# Call, 01/19/08, Strike 60.00 174,800 ----------- 1,995,950 ----------- HEALTH CARE (0.2%) 85 Aetna, Inc.# Call, 01/19/08, Strike 100.00 $ 152,150 75 Allergan, Inc.# Call, 01/19/08, Strike 110.00 183,750 190 AmerisourceBergen Corp.# Call, 01/19/08, Strike 40.00 182,400 80 Express Scripts, Inc.# Call, 01/19/08, Strike 90.00 156,800 220 Health Net, Inc.# Call, 01/19/08, Strike 55.00 94,600 63 Omnicare, Inc.# Call, 01/19/08, Strike 60.00 44,415 180 Teva Pharmaceutical Industries, Ltd.# Call, 01/19/08, Strike 45.00 110,700 UnitedHealth Group, Inc.# 1,000 Call, 01/19/08, Strike 70.00 710,000 100 Call, 01/19/08, Strike 60.00 115,000 ----------- 1,749,815 ----------- INDUSTRIALS (0.1%) 100 Burlington Northern Santa Fe Corp.# Call, 01/19/08, Strike 60.00 243,000 ----------- INFORMATION TECHNOLOGY (0.9%) 175 Advanced Micro Devices, Inc.# Call, 01/19/08, Strike 25.00 371,000 185 Agilent Technologies, Inc.# Call, 01/19/08, Strike 35.00 113,775 70 Apple Computer, Inc.# Call, 01/19/08, Strike 75.00 145,600 420 Electronic Data Systems Corp.# Call, 01/19/08, Strike 25.00 182,700 3,000 Emulex Corp.# Call, 01/20/07, Strike 17.50 960,000 15 Google, Inc.# Call, 01/19/08, Strike 430.00 177,900 280 Hewlett-Packard Company# Call, 01/19/08, Strike 30.00 183,400 160 Intuit, Inc.# Call, 01/19/08, Strike 55.00 129,600 100 Marvell Technology Group, Ltd.# Call, 01/19/08, Strike 65.00 209,000 335 Micron Technology, Inc.# Call, 01/19/08, Strike 12.50 152,425 275 Motorola, Inc.# Call, 01/19/08, Strike 22.50 126,500 195 National Semiconductor Corp.# Call, 01/19/08, Strike 25.00 160,875 4,400 Nokia Corp.# Call, 01/20/07, Strike 15.00 1,848,000 145 NVIDIA Corp.# Call, 01/19/08, Strike 35.00 239,250 260 Paychex, Inc.# Call, 01/19/08, Strike 40.00 104,000 Sandisk Corp.# 900 Call, 01/20/07, Strike 60.00 1,701,000 See accompanying notes to Schedule of Investments 7 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED) NUMBER OF CONTRACTS VALUE --------- ----------- 80 Call, 01/19/08, Strike 65.00 $ 184,800 ------------ 6,989,825 ------------ MATERIALS (0.1%) 155 Freeport-McMoRan Copper & Gold, Inc.# Call, 01/19/08, Strike 55.00 260,400 275 Goldcorp, Inc.# Call, 01/20/07, Strike 20.00 244,750 286 Harmony Gold Mining Co, Ltd.# Call, 01/19/08, Strike 15.00 205,920 45 Phelps Dodge Corp.# Call, 01/19/08, Strike 145.00 202,500 ------------ ` 913,570 ------------ TELECOMMUNICATION SERVICES (0.1%) 190 America Movil S.A. de C.V.# Call, 01/19/08, Strike 30.00 172,900 250 American Tower Corp.# Call, 01/19/08, Strike 27.50 192,500 190 Crown Castle International Corp.# Call, 01/19/08, Strike 25.00 200,450 125 NII Holdings, Inc.# Call, 01/19/08, Strike 45.00 171,875 ------------ 737,725 ------------ TOTAL OPTIONS 25,578,885 ------------ TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $159,304,776) 170,522,693 ------------ NUMBER OF SHARES VALUE ---------- ------------ CONVERTIBLE PREFERRED STOCKS (35.5%) CONSUMER DISCRETIONARY (1.0%) 247,400 Ford Motor Company Capital Trust II 6.500% 7,953,910 ------------ CONSUMER STAPLES (3.5%) 1,115,500 Albertson's, Inc. 7.250% 27,385,525 ------------ ENERGY (5.3%) 210,000 Amerada Hess Corp. 7.000% 27,373,500 91,100 Chesapeake Energy Corp.* 5.000% 13,744,713 ------------ 41,118,213 ------------ FINANCIALS (16.1%) 530,000 Chubb Corp. 7.000% 17,797,400 16,000,000 Fortis, NV (Assurant)* 7.750% 19,860,000 250,000 Hartford Financial Services Group, Inc. 7.000% 18,385,000 240,000 Lazard, Ltd. 6.625% $ 7,838,400 465,000 Lehman Brothers Holdings, Inc. 6.250% 12,062,100 190,000 Merrill Lynch & Company, Inc. 6.750% 7,837,500 225,000 Metlife, Inc. 6.375% 6,187,500 650,000 National Australia Bank, Ltd. 8.875% 27,748,500 150,000 Washington Mutual, Inc. 5.375% 8,175,000 ------------ 125,891,400 ------------ HEALTH CARE (2.8%) 305,000 Baxter International, Inc. 7.000% 15,725,800 120,000 Schering-Plough Corp. 6.000% 6,153,600 ------------ 21,879,400 ------------ INDUSTRIALS (1.1%) 2,500,000 GBP BAE Systems, PLC 7.750% 8,965,957 ------------ UTILITIES (5.7%) 410,000 AES Corp. Trust III 6.750% 18,142,500 350,000 CenterPoint Energy, Inc. 2.000% 11,830,000 65,000 Southern Union Company 5.000% 3,285,750 140,000 TXU Corp. 8.125% 11,438,000 ------------ 44,696,250 ------------ TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $235,623,884) 277,890,655 ------------ PRINCIPAL AMOUNT VALUE ----------- ---------- SHORT-TERM INVESTMENTS (4.5%) $ 9,946,000 Citigroup, Inc. 4.420%, 02/01/06 9,946,000 25,000,000 UBS Finance, Inc. 4.420%, 02/01/06 25,000,000 ---------- TOTAL SHORT-TERM INVESTMENTS (Cost $34,946,000) 34,946,000 ---------- NUMBER OF SHARES VALUE ----------- ----------- INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (15.8%) 124,046,388 Bank of New York Institutional Cash Reserve Fund current rate 4.528% (Cost $124,046,388) 124,046,388 ----------- See accompanying notes to Schedule of Investments 8 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED) TOTAL INVESTMENTS (163.0%) (Cost $1,196,508,369) $1,276,390,172 -------------- PAYABLE UPON RETURN OF SECURITIES ON LOAN (-15.8%) (124,046,388) -------------- OTHER ASSETS, LESS LIABILITIES (1.9%) 15,080,378 -------------- PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-49.1%) (384,514,290) -------------- NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 782,909,872 -------------- NOTES TO SCHEDULE OF INVESTMENTS Note: Market values for securities denominated in foreign currencies are shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date shown on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown. * 144A securities are those that are exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are generally issued to qualified institutional buyers ("QIBs"), such as the Fund. Any resale of these securities must generally be effected through a sale that is exempt from registration (e.g. a sale to another QIB), or the security must be registered for public sale. At January 31, 2006, the market value of 144A securities that could not be exchanged to the registered form is $99,090,916 or 12.7% of net assets. @ Security, or portion of security, is on loan. # Non-income producing security. ++ Variable rate security. The interest rate shown is the rate in effect at January 31, 2006. FOREIGN CURRENCY ABBREVIATIONS CAD Canadian Dollar EUR European Monetary Unit GBP British Pound Sterling See accompanying notes to Schedule of Investments 9 NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED) NOTE 1 PORTFOLIO VALUATION. In computing the Fund's net asset value, portfolio securities that are traded on a securities exchange in the United States, except for option securities, are valued at the last reported sale price as of the time of valuation, or lacking any current reported sale at the time of valuation, at the mean between the most recent bid and asked quotations. Each option security traded on a securities exchange in the United States is valued at the last current reported sale price as of the time of valuation if the last current reported sale price falls within the consolidated bid/ask quote for the option security. If the last current reported sale price as of the time of valuation does not fall within the consolidated bid/ask quote for the option security, the security is valued at the mid-point of the consolidated bid/ask quote for the option security. Each security traded in the over-the-counter market and quoted on the NASDAQ National Market System, is valued at the NASDAQ Official Closing Price ("NOCP"), as determined by NASDAQ, or lacking an NOCP, the last current reported sale price as of the time of valuation by NASDAQ, or lacking any current reported sale on NASDAQ at the time of valuation, at the mean between the most recent bid and asked quotations. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued by the counterparty, or if the counterparty's price is not readily available then by using the Black-Scholes method. Each other security traded over-the-counter is valued at the mean between the most recent bid and asked quotations. Short-term securities with maturities of 60 days or less are valued at amortized cost, which approximates market value. When market quotations are not readily available or when the valuation methods mentioned above are not reflective of the fair value of the security, the security is priced at a fair value following procedures and/or guidelines approved by the Board of Trustees, which may include utilizing a systematic fair valuation model provided by an independent pricing system. The Fund may also use fair value pricing if the value of a security it holds is, pursuant to Board of Trustees' guidelines, materially affected by events occurring before the Fund's pricing time but after the close of the primary market or exchange on which the security is traded. These procedures may utilize valuations furnished by pricing services approved by the Board of Trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities. When fair value pricing is employed, the value of the portfolio security used to calculate the Fund's net asset value may differ from quoted or official closing prices. Securities that are principally traded in a foreign market are valued at the last current sale price at the time of valuation or lacking any current or reported sale, at the time of valuation, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading in securities on European and Far Eastern securities exchanges and over-the-counter markets is normally completed at various times before the close of business on each day on which the New York Stock Exchange ("NYSE") is open. Trading of these securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund's net asset value is not calculated. As stated above, if the market prices are not readily available or are not reflective of the fair value of the security, the security will be priced at a fair value following procedures approved by the Board of Trustees. In light of the judgment involved in fair value decisions, there can be no assurance that a fair value assigned to a particular security is accurate. INVESTMENT TRANSACTIONS. Short-term investment transactions are recorded on a trade date basis. Long-term investment transactions are recorded on a trade date plus one basis, except for fiscal quarter ends, which are recorded on trade date. FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by a pricing service, values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate selected by the advisor from rates quoted by any major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service. OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option among others, is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of purchased call options is increased by premiums paid. The proceeds from securities sold through the exercise of purchased put options are decreased by the premiums paid. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized again or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option. NOTE 2 INVESTMENTS. The following information is presented on an income tax basis as of January 31, 2006. Differences between amounts for financial statements and Federal income tax purposes are primarily due to timing differences. The cost basis of investments for Federal income tax purposes at January 31, 2006 was as follows: Cost basis of investments $1,205,647,465 -------------- Gross unrealized appreciation 97,353,992 Gross unrealized depreciation (26,611,285) -------------- Net unrealized appreciation (depreciation) $ 70,742,707 ============== NOTE 3 SYNTHETIC CONVERTIBLE SECURITIES. The Fund may establish a "synthetic" convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities ("fixed-income component") and the right to acquire equity securities ("convertible component"). The fixed-income component is achieved by investing in non-convertible, fixed income securities such as bonds, preferred stocks and money market instruments. The convertible component is achieved by investing in warrants or options to buy common stock at a certain exercise price, or options on a stock index. In establishing a synthetic instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or options that produce the economic characteristics similar to a convertible security. Within each basket of fixed-income securities and warrants or options, different companies may issue the fixed-income and convertible components, which may be purchased separately and at different times. The Fund may purchase synthetic securities created by other parties, typically investment banks, including convertible structured notes. Convertible structured notes are fixed-income debentures linked to equity. Convertible structured notes have the attributes of a convertible security; however, the investment bank that issued the convertible note assumes the credit risk associated with the investment, rather than the issuer of the underlying common stock into which the note is convertible. Purchasing synthetic convertible securities may offer more flexibility than purchasing a convertible security. Different companies may issue the fixed-income and convertible components, which may be purchased separately and at different times. NOTE 4 PREFERRED SHARES. There are unlimited shares of Auction Rate Cumulative Preferred Shares ("Preferred Shares") authorized. The Preferred Shares have rights as determined by the Board of Trustees. The 15,360 Preferred Shares outstanding consist of seven series, 2,040 shares of M, 2,040 shares of TU, 2,040 shares of W7, 2,400 shares of W28, 2,400 shares of TH7, 2,040 shares of TH28, and 2,400 shares of F. The Preferred Shares have a liquidation value of $25,000 per share plus any accumulated but unpaid dividends, whether or not declared. Dividends on the Preferred Shares are cumulative at a rate typically reset every seven or twenty-eight days based on the results of an auction. Dividend rates ranged from 3.50% to 4.50% for the period ended January 31, 2006. Under the Investment Company Act of 1940, the Fund may not declare dividends or make other distributions on shares of common stock or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding Preferred Shares would be less than 200%. The Preferred Shares are redeemable at the Fund's option, in whole or in part, on any dividend payment date at $25,000 per share plus any accumulated but unpaid dividends. The Preferred Shares are also subject to mandatory redemption at $25,000 per share plus any accumulated but unpaid dividends, whether or not declared, if certain requirements relating to the composition of the assets and liabilities of the Fund as set forth in the Statement of Preferences are not satisfied. The holders of Preferred Shares have voting rights equal to the holders of common stock (one vote per share) and will vote together with holders of shares of common stock as a single class except on matters affecting only the holders of Preferred Shares or the holders of common shares. NOTE 5 INTEREST RATE TRANSACTIONS. The Fund may enter into interest rate swap or cap transactions to attempt to protect itself from increasing dividend or interest expense on its leverage resulting from increasing short-term interest rates. A decline in interest rates may result in a decline in the value of the swap or cap, which may result in a decline in the Fund's net asset value. In addition, if the counterparty to an interest rate swap or cap defaults, the Fund would not be able to use the anticipated receipts under the swap or cap to offset the dividend or interest payments on the Fund's leverage. At the time an interest rate swap or cap reaches its scheduled termination, there is a risk that the Fund would not be able to obtain a replacement transaction or that the terms of the replacement would not be as favorable as on the expiring transaction. In addition, if the Fund is required to terminate any swap or cap early due to the Fund failing to maintain a required 200% asset coverage of the liquidation value of the outstanding Preferred Shares or the Fund loses its credit rating on its Preferred Shares, then the Fund could be required to make a termination payment, in addition to redeeming all or some of the Preferred Shares. Net unrealized gains are reported as an asset and net unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest to be paid or received on swaps is reported as unrealized gains or losses in the Statement of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Details of the swap agreements outstanding as January 31, 2006 were as follows: Unrealized Termination Notional Fixed Rate Floating Rate Appreciation Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation) ------------ ----------------- ------------ ----------- --------------- -------------- Merrill Lynch July 3, 2006 $65,000 1.91% 1month LIBOR $ 889,681 Merrill Lynch November 28, 2006 60,000 2.82% 1month LIBOR 979,506 Merrill Lynch July 3, 2007 65,000 2.33% 1month LIBOR 2,353,998 Merrill Lynch November 28, 2007 60,000 3.26% 1month LIBOR 1,656,062 Merrill Lynch July 3, 2008 70,000 2.69% 1month LIBOR 3,535,490 Merrill Lynch November 28, 2008 60,000 3.60% 1month LIBOR 1,946,897 ----------- $11,361,634 =========== NOTE 6 SECURITIES LENDING. During the period ended January 31, 2006, the Fund lent certain of its securities to broker-dealers and banks. Any such loan must be continuously secured by collateral in cash or cash equivalents maintained on a current basis in an amount at least equal to the market value of the securities loaned by the Fund. The Fund continues to receive the equivalent of the interest or dividends paid by the issuer on the securities loaned and also receives an additional return that may be in the form of a fixed fee or a percentage of the collateral. The Fund may pay reasonable fees to persons unaffiliated with the Fund for services in arranging these loans. The Fund has the right to call the loan and obtain the securities loaned at any time on notice of not more than five business days. The Fund does not have the right to vote the securities during the existence of the loan but could call the loan in an attempt to permit voting of the securities in certain circumstances. Upon return of the securities loaned, the cash or cash equivalent collateral will be returned to the borrower. In the event of bankruptcy or other default of the borrower, the Fund could experience both delays in liquidating the loan collateral or recovering the loaned securities and losses, including (a) possible decline in the value of the collateral or in the value of the securities loaned during the period while the Fund seeks to enforce its rights thereto, (b) possible subnormal levels of income and lack of access to income during this period, and (c) the expenses of enforcing its rights. In an effort to reduce these risks, Calamos Advisors LLC and the security lending agent will monitor the creditworthiness of the firms to which the Fund lends securities. At January 31, 2006, the Fund had securities valued at $121,069,986 that were on loan to broker-dealers and banks and $124,046,388 in cash or cash equivalent collateral. ITEM 2. CONTROLS AND PROCEDURES. a) The registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures within 90 days of this filing and have concluded that the registrant's disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely. b) There were no changes in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. (a) Certification of Principal Executive Officer. (b) Certification of Principal Financial Officer. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Calamos Convertible Opportunities and Income Fund By: /s/ John P. Calamos, Sr. --------------------------------- Name: John P. Calamos, Sr. Title: Principal Executive Officer Date: March 30, 2006 By: /s/ Patrick H. Dudasik --------------------------------- Name: Patrick H. Dudasik Title: Principal Financial Officer Date: March 30, 2006 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. Calamos Convertible Opportunities and Income Fund By: /s/ John P. Calamos, Sr. --------------------------------- Name: John P. Calamos, Sr. Title: Principal Executive Officer Date: March 30, 2006 By: /s/ Patrick H. Dudasik --------------------------------- Name: Patrick H. Dudasik Title: Principal Financial Officer Date: March 30, 2006