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: July 31, 2006 CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ITEM 1. SCHEDULE OF INVESTMENTS July 31, 2006 (UNAUDITED) CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- CORPORATE BONDS (86.6%) CONSUMER DISCRETIONARY (31.3%) $ 2,369,000 Asbury Automotive Group, Inc. 9.000%, 06/15/12 $ 2,398,613 7,866,000 Aztar Corp.@ 7.875%, 06/15/14 8,396,955 12,320,000 Beazer Homes USA, Inc. 8.375%, 04/15/12 12,135,200 4,738,000 DEX Media, Inc. 8.000%, 11/15/13 4,761,690 3,791,000 DIRECTV Financing Company, Inc. 8.375%, 03/15/13 3,990,027 4,999,000 EchoStar Communications Corp.* 7.125%, 02/01/16 4,936,512 758,000 EchoStar DBS Corporation@ 6.625%, 10/01/14 733,365 7,553,000 GBP EMI Group, PLC 9.750%, 05/20/08 15,096,632 5,686,000 Ford Motor Company 8.625%, 11/01/10 5,470,785 5,212,000 GameStop Corp.@ 8.000%, 10/01/12 5,316,240 1,422,000 General Motors Acceptance Corporation 6.875%, 09/15/11 1,378,369 1,422,000 General Motors Corp.@ 7.125%, 07/15/13 1,215,810 Goodyear Tire & Rubber Company@ 8,055,000 7.000%, 03/15/28 6,423,862 3,791,000 7.857%, 08/15/11 3,525,630 2,843,000 Group 1 Automotive, Inc. 8.250%, 08/15/13 2,878,538 3,791,000 Hasbro, Inc. 6.600%, 07/15/28 3,640,448 7,558,000 Hovnanian Enterprises, Inc.@ 7.750%, 05/15/13 6,821,095 4,691,000 IMAX Corp.@ 9.625%, 12/01/10 4,925,550 4,738,000 Intrawest Corp. 7.500%, 10/15/13 4,743,922 13,268,000 Isle of Capri Casinos, Inc. 9.000%, 03/15/12 13,831,890 3,611,000 Jarden Corp.@ 9.750%, 05/01/12 3,773,495 2,627,000 Kellwood Company@ 7.625%, 10/15/17 2,412,285 3,791,000 Landry's Restaurants, Inc. 7.500%, 12/15/14 3,535,107 5,449,000 Linens 'n Things, Inc.*@++ 11.132%, 01/15/14 5,081,192 16,584,000 Mandalay Resort Group 10.250%, 08/01/07 17,205,900 7,392,000 NCL Holding, ASA 10.625%, 07/15/14 7,244,160 4,265,000 Oxford Industries, Inc. 8.875%, 06/01/11 4,307,650 4,738,000 Phillips-Van Heusen Corp.@ 8.125%, 05/01/13 4,880,140 PRINCIPAL AMOUNT VALUE ------------ -------------- $ 1,895,000 Reader's Digest Association, Inc.@ 6.500%, 03/01/11 $ 1,845,256 1,895,000 Rent-A-Center, Inc. 7.500%, 05/01/10 1,880,788 2,701,000 RH Donnelley Financial Corp.* 10.875%, 12/15/12 2,981,229 3,554,000 CAD Rogers Cable, Inc. 7.250%, 12/15/11 3,252,144 4,265,000 CAD Rogers Wireless, Inc. 7.625%, 12/15/11 3,966,522 2,843,000 Royal Caribbean Cruises, Ltd. 7.500%, 10/15/27 2,746,256 14,689,000 Russell Corp.@ 9.250%, 05/01/10 15,423,450 758,000 Station Casinos, Inc. 6.875%, 03/01/16 701,150 7,581,000 Time Warner, Inc. 7.625%, 04/15/31 8,175,184 12,036,000 Vail Resorts, Inc. 6.750%, 02/15/14 11,494,380 4,738,000 Warnaco Group, Inc. 8.875%, 06/15/13 4,862,372 Warner Music Group 7,534,000 7.375%, 04/15/14 7,307,980 948,000 GBP 8.125%, 04/15/14 1,823,990 8,055,000 WCI Communities, Inc.@ 7.875%, 10/01/13 6,967,575 379,000 William Lyon Homes, Inc. 10.750%, 04/01/13 350,575 758,000 Wynn Las Vegas, LLC@ 6.625%, 12/01/14 718,205 -------------- 235,558,118 -------------- CONSUMER STAPLES (10.6%) 948,000 Alimentation Couche-Tard Inc. 7.500%, 12/15/13 950,370 2,796,000 Central Garden & Pet Company 9.125%, 02/01/13 2,886,870 4,738,000 Chattem, Inc. 7.000%, 03/01/14 4,584,015 4,122,000 Chiquita Brands International, Inc.@ 7.500%, 11/01/14 3,524,310 5,876,000 Del Monte Foods Company 8.625%, 12/15/12 6,125,730 Dole Food Company, Inc. 8,529,000 7.250%, 06/15/10 7,718,745 3,791,000 8.625%, 05/01/09 3,639,360 11,372,000 Jean Coutu Group, Inc.@ 8.500%, 08/01/14 10,675,465 3,317,000 NBTY, Inc. 3,134,565 7.125%, 10/01/15 4,738,000 Pilgrim's Pride Corp.@ 4,773,535 9.250%, 11/15/13 5,686,000 Pinnacle Foods Holding@ 5,600,710 8.250%, 12/01/13 5,307,000 Playtex Products, Inc. 5,525,914 8.000%, 03/01/11 See accompanying notes to Schedule of Investments 1 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- $ 5,212,000 Reynolds American Inc.*@ 7.300%, 07/15/15 $ 5,241,474 9,477,000 Smithfield Foods, Inc.@ 7.750%, 05/15/13 9,500,692 4,881,000 Spectrum Brands, Inc.@ 8.500%, 10/01/13 3,917,003 1,895,000 WH Intermediate Holdings, Ltd. 9.500%, 04/01/11 2,082,131 -------------- 79,880,889 -------------- ENERGY (11.1%) 6,586,000 Arch Western Finance, LLC 6.750%, 07/01/13 6,306,095 8,979,000 Chesapeake Energy Corp. 6.875%, 01/15/16 8,709,630 6,160,000 Comstock Resources, Inc. 6.875%, 03/01/12 5,821,200 711,000 Energy Partners, Ltd. 8.750%, 08/01/10 695,003 2,843,000 Forest Oil Corp. 8.000%, 12/15/11 2,935,397 4,424,000 Giant Industries, Inc.@ 11.000%, 05/15/12 4,800,040 5,307,000 KCS Energy, Inc. 7.125%, 04/01/12 5,094,720 10,709,000 Petroleo Brasileiro, SA 8.375%, 12/10/18 12,141,329 Premcor Refining Group, Inc. 6,065,000 9.500%, 02/01/13 6,608,897 2,582,000 7.500%, 06/15/15 2,685,856 2,843,000 Range Resources Corp.@ 2,874,984 7.375%, 07/15/13 1,895,000 Superior Energy Services, Inc.* 6.875%, 06/01/14 1,847,625 6,634,000 Swift Energy Company@ 9.375%, 05/01/12 7,032,040 4,738,000 Whiting Petroleum Corp. 7.250%, 05/01/13 4,726,155 Williams Companies, Inc. 9,477,000 7.750%, 06/15/31 9,358,537 1,895,000 7.500%, 01/15/31 1,833,412 -------------- 83,470,920 -------------- FINANCIALS (3.0%) E*TRADE Financial Corporation 6,255,000 7.375%, 09/15/13 6,301,912 4,265,000 7.875%, 12/01/15@ 4,424,937 1,137,000 8.000%, 06/15/11 1,173,953 7,108,000 Leucadia National Corp. 7.000%, 08/15/13 7,001,380 1,611,000 Omega Healthcare Investors, Inc. 7.000%, 04/01/14 1,558,643 2,382,000 Senior Housing Properties Trust 7.875%, 04/15/15 2,417,730 -------------- 22,878,555 -------------- HEALTH CARE (5.5%) 3,885,000 Ameripath, Inc.@ 10.500%, 04/01/13 4,108,387 PRINCIPAL AMOUNT VALUE ------------ -------------- $ 3,791,000 Angiotech Pharmaceuticals, Inc.* 7.750%, 04/01/14 $ 3,686,748 8,008,000 Bausch & Lomb, Inc. 7.125%, 08/01/28 8,233,305 1,611,000 Bio-Rad Laboratories, Inc. 7.500%, 08/15/13 1,627,110 1,895,000 Biovail Corp. 7.875%, 04/01/10 1,932,900 711,000 DaVita, Inc.@ 7.250%, 03/15/15 683,449 569,000 Omnicare, Inc.@ 6.875%, 12/15/15 551,930 3,317,000 Psychiatric Solutions, Inc. 7.750%, 07/15/15 3,234,075 8,055,000 Tenet Healthcare Corp.*@ 9.250%, 02/01/15 7,450,875 4,265,000 Valeant Pharmaceuticals International 7.000%, 12/15/11 4,073,075 6,160,000 Vanguard Health Systems, Inc. 9.000%, 10/01/14 5,990,600 -------------- 41,572,454 -------------- INDUSTRIALS (7.4%) 2,985,000 Accuride Corp. 8.500%, 02/01/15 2,790,975 2,369,000 Armor Holdings, Inc.@ 8.250%, 08/15/13 2,487,450 1,422,000 Columbus McKinnon Corp. 8.875%, 11/01/13 1,457,550 3,791,000 Commercial Vehicle Group, Inc. 8.000%, 07/01/13 3,615,666 948,000 FTI Consulting, Inc. 7.625%, 06/15/13 962,220 2,843,000 Gardner Denver, Inc. 8.000%, 05/01/13 2,985,150 2,843,000 GATX Corp. 8.875%, 06/01/09 3,051,898 6,160,000 General Cable Corp. 9.500%, 11/15/10 6,591,200 1,211,000 Global Cash Access, Inc. 8.750%, 03/15/12 1,286,688 3,696,000 Greenbrier Companies, Inc. 8.375%, 05/15/15 3,774,540 1,516,000 H&E Equipment Service, Inc.* Y 5.375%, 07/15/16 1,533,055 531,000 Hexcel Corporation 6.750%, 02/01/15 511,088 JLG Industries, Inc. 4,265,000 8.250%, 05/01/08 4,499,575 948,000 8.375%, 06/15/12@ 1,009,620 3,222,000 Monitronics International, Inc. 11.750%, 09/01/10 3,185,752 1,047,000 Orbital Sciences Corp. 9.000%, 07/15/11 1,109,820 1,422,000 Sequa Corp. 8.875%, 04/01/08 1,487,768 6,634,000 Terex Corp.@ 7.375%, 01/15/14 6,617,415 See accompanying notes to Schedule of Investments 2 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- $ 1,895,000 Trinity Industries, Inc. 6.500%, 03/15/14 $ 1,847,625 3,293,000 Wesco Distribution, Inc. 7.500%, 10/15/17 3,284,767 1,895,000 Williams Scotsman International, Inc.@ 8.500%, 10/01/15 1,909,212 -------------- 55,999,034 -------------- INFORMATION TECHNOLOGY (6.3%) 5,528,000 Advanced Micro Devices, Inc.@ 7.750%, 11/01/12 5,562,550 663,000 Anixter International, Inc. 5.950%, 03/01/15 614,933 663,000 Avago Technologies*@ 11.875%, 12/01/15 719,355 3,791,000 Celestica, Inc.@ 7.875%, 07/01/11 3,772,045 4,738,000 Flextronics International, Ltd.@ 6.500%, 05/15/13 4,619,550 4,738,000 Freescale Semiconductor, Inc. 7.125%, 07/15/14 4,856,450 355,000 Sanmina-SCI Corporation@ 8.125%, 03/01/16 347,900 6,492,000 SunGuard Data Systems, Inc.@ 9.125%, 08/15/13 6,662,415 4,937,000 Telcordia Technologies* 10.000%, 03/15/13 Xerox Corp. 3,974,285 9,003,000 8.000%, 02/01/27@ 6,634,000 7.625%, 06/15/13 9,138,045 6,733,510 -------------- 47,001,038 -------------- MATERIALS (8.0%) 948,000 Agrium, Inc. 7.125%, 05/23/36 962,015 Aleris International, Inc. 3,222,000 10.375%, 10/15/10 3,536,145 2,931,000 9.000%, 11/15/14 3,312,030 948,000 Crown Americas, LLC*@ 7.750%, 11/15/15 939,705 4,738,000 Equistar Chemicals, LP 10.625%, 05/01/11 5,117,040 8,122,000 Freeport-McMoRan Copper & Gold, Inc.@ 10.125%, 02/01/10 8,690,540 758,000 Gibraltar Industries, Inc.* 8.000%, 12/01/15 758,000 Ineos Group Holdings, PLC* 4,549,000 EUR 7.875%, 02/15/16 5,447,713 948,000 8.500%, 02/15/16@ 893,490 7,065,000 IPSCO, Inc. 8.750%, 06/01/13 7,577,212 3,791,000 Neenah Paper, Inc.@ 7.375%, 11/15/14 3,544,585 7,581,000 Sealed Air Corp.* 6.875%, 07/15/33 7,390,307 1,895,000 Texas Industries, Inc. 7.250%, 07/15/13 1,906,844 PRINCIPAL AMOUNT VALUE ------------ -------------- Union Carbide Corp. $ 3,791,000 7.500%, 06/01/25 $ 3,925,645 2,938,000 7.875%, 04/01/23 3,154,766 3,033,000 Westlake Chemical Corporation 6.625%, 01/15/16 2,835,855 -------------- 59,991,892 -------------- TELECOMMUNICATION SERVICES (2.4%) 569,000 Citizens Communications Company 9.000%, 08/15/31 586,070 1,895,000 IPCS Escrow Company 11.500%, 05/01/12 2,131,875 9,477,000 Sprint Nextel Corporation 7.375%, 08/01/15 9,718,929 2,132,000 Stratos Global Corp.*@ 9.875%, 02/15/13 1,785,550 3,791,000 Syniverse Technologies,Inc. 7.750%, 08/15/13 3,705,702 -------------- 17,928,126 -------------- UTILITIES (1.0%) 1,185,000 Edison International 7.730%, 06/15/09 1,208,700 948,000 NRG Energy, Inc. 7.250%, 02/01/14 930,225 5,686,000 TXU Corp. 6.500%, 11/15/24 5,173,652 -------------- 7,312,577 -------------- TOTAL CORPORATE BONDS (Cost $654,782,236) 651,593,603 -------------- CONVERTIBLE BONDS (18.1%) CONSUMER DISCRETIONARY (2.7%) 3,150,000 GBP Punch Taverns Redwood Jersey Co. Ltd. 5.000%, 12/14/10 6,283,078 United Auto Group, Inc. 3,040,000 3.500%, 04/01/26@ 3,294,600 1,960,000 3.500%, 04/01/26* 2,124,150 7,500,000 Walt Disney Company@ 2.125%, 04/15/23 8,334,375 -------------- 20,036,203 -------------- ENERGY (1.5%) 7,500,000 Cal Dive International, Inc.* 3.250%, 12/15/25 11,071,875 -------------- FINANCIALS (0.7%) 2,750,000 Deutsche Bank Luxembourg S.A. (USA Interactive)*++[] 5.349%, 05/01/12 3,045,900 2,500,000 Travelers Property Casualty Corp. 4.500%, 04/15/32 2,445,000 -------------- 5,490,900 -------------- See accompanying notes to Schedule of Investments 3 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- HEALTH CARE (1.6%) $ 5,000,000 Advanced Medical Optics, Inc.* 3.250%, 08/01/26 $ 5,318,750 6,500,000 Wyeth++ 5.109%, 01/15/24 6,942,000 -------------- 12,260,750 -------------- INDUSTRIALS (3.9%) 7,000,000 Allied Waste Industries, Inc.@ 4.250%, 04/15/34 6,291,250 9,500,000 GATX Corp. 7.500%, 02/01/07 11,328,750 5,500,000 Lockheed Martin Corp.++ 4.920%, 08/15/33 6,615,400 5,000,000 Quanta Services, Inc.*@ 3.750%, 04/30/26 5,068,750 -------------- 29,304,150 -------------- INFORMATION TECHNOLOGY (6.7%) 6,500,000 ASML Holding, NV 5.750%, 10/15/06 7,052,142 5,500,000 DST Systems, Inc. 4.125%, 08/15/23 7,012,500 5,600,000 Electronic Data Systems Corp. 3.875%, 07/15/23 5,635,000 4,500,000 Euronet Worldwide, Inc.@ 3.500%, 10/15/25 4,398,750 6,500,000 LSI Logic Corp.@ 4.000%, 05/15/10 6,540,625 5,000,000 Mentor Graphics Corp.*@ 6.250%, 03/01/26 5,731,250 14,000,000 Vishay Intertechnology, Inc.@ 3.625%, 08/01/23 14,017,500 -------------- 50,387,767 -------------- UTILITIES (1.0%) 2,950,000 GBP Scottish & Southern Energy, PLC 3.750%, 10/29/09 7,527,884 -------------- TOTAL CONVERTIBLE BONDS (Cost $130,001,631) 136,079,529 -------------- SYNTHETIC CONVERTIBLE SECURITIES (5.6%) CORPORATE BONDS (4.8%) CONSUMER DISCRETIONARY (1.7%) 131,000 Asbury Automotive Group, Inc. 9.000%, 06/15/12 132,638 434,000 Aztar Corp.@ 7.875%, 06/15/14 463,295 680,000 Beazer Homes USA, Inc. 8.375%, 04/15/12 669,800 262,000 DEX Media, Inc. 8.000%, 11/15/13 263,310 209,000 DIRECTV Financing Company, Inc. 8.375%, 03/15/13 219,972 276,000 EchoStar Communications Corp.* 7.125%, 02/01/16 272,550 42,000 EchoStar DBS Corporation@ 6.625%, 10/01/14 40,635 PRINCIPAL AMOUNT VALUE ------------ -------------- $ 417,000 GBP EMI Group, PLC 9.750%, 05/20/08 $ 833,483 314,000 Ford Motor Company 8.625%, 11/01/10 302,115 288,000 GameStop Corp.@ 8.000%, 10/01/12 293,760 78,000 General Motors Acceptance Corporation 6.875%, 09/15/11 75,607 78,000 General Motors Corp.@ 7.125%, 07/15/13 66,690 Goodyear Tire & Rubber Company@ 445,000 7.000%, 03/15/28 354,887 209,000 7.857%, 08/15/11 194,370 157,000 Group 1 Automotive, Inc. 8.250%, 08/15/13 158,963 209,000 Hasbro, Inc. 6.600%, 07/15/28 200,700 417,000 Hovnanian Enterprises,Inc.@ 7.750%, 05/15/13 376,342 259,000 IMAX Corp.@ 9.625%, 12/01/10 271,950 262,000 Intrawest Corp. 7.500%, 10/15/13 262,327 732,000 Isle of Capri Casinos, Inc. 9.000%, 03/15/12 763,110 199,000 Jarden Corp.@ 9.750%, 05/01/12 207,955 145,000 Kellwood Company@ 7.625%, 10/15/17 133,149 209,000 Landry's Restaurants, Inc. 7.500%, 12/15/14 194,893 301,000 Linens 'n Things, Inc.*@++ 11.132%, 01/15/14 280,682 916,000 Mandalay Resort Group 10.250%, 08/01/07 950,350 408,000 NCL Holding, ASA 10.625%, 07/15/14 399,840 235,000 Oxford Industries, Inc. 8.875%, 06/01/11 237,350 262,000 Phillips-Van Heusen Corp.@ 8.125%, 05/01/13 269,860 105,000 Reader's Digest Association, Inc.@ 6.500%, 03/01/11 102,244 105,000 Rent-A-Center, Inc. 7.500%, 05/01/10 104,213 149,000 RH Donnelley Financial Corp.* 10.875%, 12/15/12 164,459 196,000 CAD Rogers Cable, Inc. 7.250%, 12/15/11 179,353 235,000 CAD Rogers Wireless, Inc. 7.625%, 12/15/11 218,554 157,000 Royal Caribbean Cruises, Ltd. 7.500%, 10/15/27 151,657 811,000 Russell Corp.@ 9.250%, 05/01/10 851,550 42,000 Station Casinos, Inc. 6.875%, 03/01/16 38,850 See accompanying notes to Schedule of Investments 4 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- $ 419,000 Time Warner, Inc. 7.625%, 04/15/31 $ 451,840 664,000 Vail Resorts, Inc. 6.750%, 02/15/14 634,120 262,000 Warnaco Group, Inc. 8.875%, 06/15/13 268,877 Warner Music Group 416,000 7.375%, 04/15/14 403,520 52,000 GBP 8.125%, 04/15/14 100,050 445,000 WCI Communities, Inc.@ 7.875%, 10/01/13 384,925 21,000 William Lyon Homes, Inc. 10.750%, 04/01/13 19,425 42,000 Wynn Las Vegas, LLC@ 6.625%, 12/01/14 39,795 -------------- 13,004,015 -------------- CONSUMER STAPLES (0.6%) 52,000 Alimentation Couche-Tard Inc. 7.500%, 12/15/13 52,130 154,000 Central Garden & Pet Company 9.125%, 02/01/13 159,005 262,000 Chattem, Inc. 7.000%, 03/01/14 253,485 228,000 Chiquita Brands International, Inc.@ 7.500%, 11/01/14 194,940 324,000 Del Monte Foods Company 8.625%, 12/15/12 337,770 Dole Food Company, Inc. 471,000 7.250%, 06/15/10 426,255 209,000 8.625%, 05/01/09 200,640 628,000 Jean Coutu Group, Inc.@ 8.500%, 08/01/14 589,535 183,000 NBTY, Inc. 7.125%, 10/01/15 172,935 262,000 Pilgrim's Pride Corp.@ 9.250%, 11/15/13 263,965 314,000 Pinnacle Foods Holding@ 8.250%, 12/01/13 309,290 293,000 Playtex Products, Inc. 8.000%, 03/01/11 305,086 288,000 Reynolds American Inc.*@ 7.300%, 07/15/15 289,629 523,000 Smithfield Foods, Inc.@ 7.750%, 05/15/13 524,307 269,000 Spectrum Brands, Inc.@ 8.500%, 10/01/13 215,873 105,000 WH Intermediate Holdings, Ltd. 9.500%, 04/01/11 115,369 -------------- 4,410,214 -------------- ENERGY (0.6%) 364,000 Arch Western Finance, LLC 6.750%, 07/01/13 348,530 496,000 Chesapeake Energy Corp. 6.875%, 01/15/16 481,120 340,000 Comstock Resources, Inc. 6.875%, 03/01/12 321,300 PRINCIPAL AMOUNT VALUE ------------ -------------- $ 39,000 Energy Partners, Ltd. 8.750%, 08/01/10 $ 38,123 157,000 Forest Oil Corp. 8.000%, 12/15/11 162,103 244,000 Giant Industries, Inc.@ 11.000%, 05/15/12 264,740 293,000 KCS Energy, Inc. 7.125%, 04/01/12 281,280 591,000 Petroleo Brasileiro, SA 8.375%, 12/10/18 670,046 Premcor Refining Group, Inc. 335,000 9.500%, 02/01/13 365,042 143,000 7.500%, 06/15/15 148,752 157,000 Range Resources Corp.@ 7.375%, 07/15/13 158,766 105,000 Superior Energy Services, Inc.* 6.875%, 06/01/14 102,375 366,000 Swift Energy Company@ 9.375%, 05/01/12 387,960 262,000 Whiting Petroleum Corp. 7.250%, 05/01/13 261,345 Williams Companies, Inc. 523,000 7.750%, 06/15/31 516,462 105,000 7.500%, 01/15/31 101,588 -------------- 4,609,532 -------------- FINANCIALS (0.2%) E*TRADE Financial Corporation 345,000 7.375%, 09/15/13 347,587 235,000 7.875%, 12/01/15@ 243,812 63,000 8.000%, 06/15/11 65,048 392,000 Leucadia National Corp. 7.000%, 08/15/13 386,120 89,000 Omega Healthcare Investors, Inc. 7.000%, 04/01/14 86,108 131,000 Senior Housing Properties Trust 7.875%, 04/15/15 132,965 -------------- 1,261,640 -------------- HEALTH CARE (0.3%) 215,000 Ameripath, Inc.@ 10.500%, 04/01/13 227,362 209,000 Angiotech Pharmaceuticals, Inc.* 7.750%, 04/01/14 203,253 442,000 Bausch & Lomb, Inc. 7.125%, 08/01/28 454,436 89,000 Bio-Rad Laboratories, Inc. 7.500%, 08/15/13 89,890 105,000 Biovail Corp. 7.875%, 04/01/10 107,100 39,000 DaVita, Inc.@ 7.250%, 03/15/15 37,489 31,000 Omnicare, Inc.@ 6.875%, 12/15/15 30,070 183,000 Psychiatric Solutions, Inc. 7.750%, 07/15/15 178,425 445,000 Tenet Healthcare Corp.*@ 9.250%, 02/01/15 411,625 See accompanying notes to Schedule of Investments 5 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- $ 235,000 Valeant Pharmaceuticals International 7.000%, 12/15/11 $ 224,425 340,000 Vanguard Health Systems, Inc. 9.000%, 10/01/14 330,650 -------------- 2,294,725 -------------- INDUSTRIALS (0.4%) 165,000 Accuride Corp. 8.500%, 02/01/15 154,275 131,000 Armor Holdings, Inc.@ 8.250%, 08/15/13 137,550 78,000 Columbus McKinnon Corp. 8.875%, 11/01/13 79,950 209,000 Commercial Vehicle Group, Inc. 8.000%, 07/01/13 199,334 52,000 FTI Consulting, Inc. 7.625%, 06/15/13 52,780 157,000 Gardner Denver, Inc. 8.000%, 05/01/13 164,850 157,000 GATX Corp. 8.875%, 06/01/09 168,536 340,000 General Cable Corp. 9.500%, 11/15/10 363,800 67,000 Global Cash Access, Inc. 8.750%, 03/15/12 71,188 204,000 Greenbrier Companies, Inc. 8.375%, 05/15/15 208,335 84,000 H&E Equipment Service, Inc.* Y 5.375%, 07/15/16 84,945 29,000 Hexcel Corporation 6.750%, 02/01/15 27,913 JLG Industries, Inc. 235,000 8.250%, 05/01/08 247,925 52,000 8.375%, 06/15/12@ 55,380 178,000 Monitronics International, Inc. 11.750%, 09/01/10 175,997 58,000 Orbital Sciences Corp. 9.000%, 07/15/11 61,480 78,000 Sequa Corp. 8.875%, 04/01/08 81,607 366,000 Terex Corp.@ 7.375%, 01/15/14 365,085 105,000 Trinity Industries, Inc. 6.500%, 03/15/14 102,375 182,000 Wesco Distribution, Inc. 7.500%, 10/15/17 181,545 105,000 Williams Scotsman International, Inc.@ 8.500%, 10/01/15 105,787 -------------- 3,090,637 -------------- INFORMATION TECHNOLOGY (0.4%) 305,000 Advanced Micro Devices, Inc.@ 7.750%, 11/01/12 306,906 37,000 Anixter International, Inc. 5.950%, 03/01/15 34,318 37,000 Avago Technologies*@ 11.875%, 12/01/15 40,145 PRINCIPAL AMOUNT VALUE ------------ -------------- $ 209,000 Celestica, Inc.@ 7.875%, 07/01/11 $ 207,955 262,000 Flextronics International, Ltd.@ 6.500%, 05/15/13 255,450 262,000 Freescale Semiconductor, Inc. 7.125%, 07/15/14 268,550 20,000 Sanmina-SCI Corporation@ 8.125%, 03/01/16 19,600 358,000 SunGuard Data Systems, Inc.@ 9.125%, 08/15/13 367,397 273,000 Telcordia Technologies* 10.000%, 03/15/13 219,765 Xerox Corp. 497,000 8.000%, 02/01/27@ 504,455 366,000 7.625%, 06/15/13 371,490 -------------- 2,596,031 -------------- MATERIALS (0.4%) 52,000 Agrium, Inc. 7.125%, 05/23/36 52,769 Aleris International, Inc. 178,000 10.375%, 10/15/10 195,355 162,000 9.000%, 11/15/14 183,060 52,000 Crown Americas, LLC*@ 7.750%, 11/15/15 51,545 262,000 Equistar Chemicals, LP 10.625%, 05/01/11 282,960 448,000 Freeport-McMoRan Copper & Gold, Inc.@ 10.125%, 02/01/10 479,360 42,000 Gibraltar Industries, Inc.* 8.000%, 12/01/15 42,000 Ineos Group Holdings, PLC* 251,000 EUR 7.875%, 02/15/16 300,588 52,000 8.500%, 02/15/16@ 49,010 390,000 IPSCO, Inc. 8.750%, 06/01/13 418,275 209,000 Neenah Paper, Inc.@ 7.375%, 11/15/14 195,415 419,000 Sealed Air Corp.* 6.875%, 07/15/33 408,461 105,000 Texas Industries, Inc. 7.250%, 07/15/13 105,656 Union Carbide Corp. 209,000 7.500%, 06/01/25 216,423 162,000 7.875%, 04/01/23 173,952 167,000 Westlake Chemical Corporation 6.625%, 01/15/16 156,145 -------------- 3,310,974 -------------- TELECOMMUNICATION SERVICES (0.1%) 31,000 Citizens Communications Company 9.000%, 08/15/31 31,930 105,000 IPCS Escrow Company 11.500%, 05/01/12 118,125 523,000 Sprint Nextel Corporation 7.375%, 08/01/15 536,351 See accompanying notes to Schedule of Investments 6 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED) PRINCIPAL AMOUNT VALUE ------------ -------------- $ 118,000 Stratos Global Corp. *@ 9.875%, 02/15/13 $ 98,825 209,000 Syniverse Technologies, Inc. 7.750%, 08/15/13 204,298 -------------- 989,529 -------------- UTILITIES (0.1%) 65,000 Edison International 7.730%, 06/15/09 66,300 52,000 NRG Energy, Inc. 7.250%, 02/01/14 51,025 314,000 TXU Corp. 6.500%, 11/15/24 285,706 -------------- 403,031 -------------- TOTAL CORPORATE BONDS 35,970,328 -------------- NUMBER OF CONTRACTS VALUE ------------ -------------- OPTIONS (0.8%) CONSUMER DISCRETIONARY (0.0%) 100 Garmin, Ltd.# Call, 01/19/08, Strike 100.00 172,500 250 Lowe's Companies, Inc.# Call, 01/19/08, Strike 35.00 51,250 260 Office Depot, Inc.# Call, 01/19/08, Strike 40.00 128,700 -------------- 352,450 -------------- CONSUMER STAPLES (0.1%) 520 Kroger Company# Call, 01/19/08, Strike 20.00 260,000 215 PepsiCo, Inc.# Call, 01/19/08, Strike 60.00 176,300 -------------- 436,300 -------------- ENERGY (0.1%) 150 Anadarko Petroleum Corp.# Call, 01/19/08, Strike 47.50 110,250 105 BJ Services Company# Call, 01/19/08, Strike 40.00 61,425 80 Diamond Offshore Drilling, Inc.# Call, 01/19/08, Strike 85.00 110,400 180 Nabors Industries Ltd.# Call, 01/19/08, Strike 37.50 101,700 70 Petroleo Brasileiro, SA# Call, 01/19/08, Strike 90.00 131,950 120 Schlumberger, Ltd.# Call, 01/19/08, Strike 65.00 162,600 110 Weatherford International, Ltd.# Call, 01/19/08, Strike 55.00 63,250 -------------- 741,575 -------------- FINANCIALS (0.2%) 200 Aon Corp.# Call, 01/19/08, Strike 35.00 91,000 400 Charles Schwab Corp.# Call, 01/19/08, Strike 17.50 85,000 15 Chicago Mercantile Exchange Holdings, Inc.# Call, 01/19/08, Strike 420.00 166,275 NUMBER OF CONTRACTS VALUE ------------ -------------- 145 CIT Group, Inc.# Call, 01/19/08, Strike 50.00 $ 70,325 220 E*TRADE Financial Corporation# Call, 01/19/08, Strike 25.00 89,100 60 Goldman Sachs Group, Inc.# Call, 01/19/08, Strike 160.00 120,900 120 Lehman Brothers Holdings, Inc.# Call, 01/19/08, Strike 75.00 81,000 145 Merrill Lynch & Company, Inc.# Call, 01/19/08, Strike 70.00 160,225 110 Prudential Financial, Inc.# Call, 01/19/08, Strike 75.00 133,650 190 State Street Corp.# Call, 01/19/08, Strike 60.00 149,150 -------------- 1,146,625 -------------- HEALTH CARE (0.0%) 75 Allergan, Inc.# Call, 01/19/08, Strike 110.00 118,500 200 AmerisourceBergen Corp.# Call, 01/19/08, Strike 47.50 87,000 -------------- 205,500 -------------- INDUSTRIALS (0.0%) 110 Burlington Northern Santa Fe Corp.# Call, 01/19/08, Strike 80.00 81,400 -------------- INFORMATION TECHNOLOGY (0.3%) 185 Agilent Technologies, Inc.# Call, 01/19/08, Strike 35.00 51,800 70 Apple Computer, Inc.# Call, 01/19/08, Strike 75.00 86,800 420 Electronic Data Systems Corp.# Call, 01/19/08, Strike 25.00 129,150 280 Hewlett-Packard Company# Call, 01/19/08, Strike 30.00 189,000 320 Intuit, Inc.# Call, 01/19/08, Strike 27.50 235,200 200 Marvell Technology Group, Ltd.# Call, 01/19/08, Strike 32.50 34,500 275 Motorola, Inc.# Call, 01/19/08, Strike 22.50 108,625 195 National Semiconductor Corp.# Call, 01/19/08, Strike 25.00 81,900 Nokia Corp.# 1,900 Call, 01/19/08, Strike 20.00 589,000 1,900 Call, 01/19/08, Strike 17.50 845,500 200 NVIDIA Corp.# Call, 01/19/08, Strike 30.00 57,500 260 Paychex, Inc.# Call, 01/19/08, Strike 40.00 70,200 80 Sandisk Corp.# Call, 01/19/08, Strike 65.00 54,000 -------------- 2,533,175 -------------- MATERIALS (0.1%) 100 Alcan, Inc.# Call, 01/19/08, Strike 55.00 51,000 See accompanying notes to Schedule of Investments 7 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED) NUMBER OF CONTRACTS VALUE ------------ -------------- 210 Goldcorp, Inc.# Call, 01/19/08, Strike 27.50 $ 174,300 286 Harmony Gold Mining Co, Ltd.# Call, 01/19/08, Strike 15.00 100,100 90 Phelps Dodge Corp.# Call, 01/19/08, Strike 72.50 223,200 80 United States Steel Corp.# Call, 01/19/08, Strike 70.00 90,800 -------------- 639,400 -------------- TELECOMMUNICATION SERVICES (0.0%) 190 America Movil, S.A. de C.V.# Call, 01/19/08, Strike 40.00 99,750 110 NII Holdings, Inc.# Call, 01/19/08, Strike 55.00 112,200 -------------- 211,950 -------------- TOTAL OPTIONS 6,348,375 -------------- TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $43,478,943) 42,318,703 -------------- NUMBER OF SHARES VALUE ------------ -------------- CONVERTIBLE PREFERRED STOCKS (35.9%) CONSUMER DISCRETIONARY (2.3%) 610,000 Ford Motor Company Capital Trust II 6.500% 17,446,000 -------------- CONSUMER STAPLES (3.7%) 1,115,500 Albertson's, Inc. 7.250% 27,876,345 -------------- ENERGY (5.6%) 50,000 Chesapeake Energy Corp. 6.250% 14,001,000 210,000 Hess Corp. 7.000% 27,885,900 -------------- 41,886,900 -------------- FINANCIALS (17.8%) 530,000 Chubb Corp. 7.000% 18,666,600 16,000 Fortis Insurance, N.V. (Assurant, Inc.)* [] 7.750% 20,432,000 185,000 Hartford Financial Services Group, Inc. 7.000% 13,786,200 240,000 Lazard, Ltd. 6.625% 8,366,400 640,000 Lehman Brothers Holdings, Inc. (General Mills, Inc.) [] 6.250% 16,684,800 190,000 Merrill Lynch & Co., Inc. (Nuveen Investments, Inc.) [] 6.750% 7,991,400 410,000 Metlife, Inc. 6.375% 11,258,600 NUMBER OF SHARES VALUE ------------ -------------- 650,000 National Australia Bank, Ltd. 7.875% $ 28,600,000 150,000 Washington Mutual, Inc. 5.375% 8,362,500 -------------- 134,148,500 -------------- HEALTH CARE (0.8%) 120,000 Schering-Plough Corp. 6.000% 6,367,200 -------------- INDUSTRIALS (1.1%) 2,500,000 GBP BAE Systems, PLC 7.750% 7,923,022 -------------- UTILITIES (4.6%) 410,000 AES Corp. Trust III 6.750% 19,561,100 350,000 CenterPoint Energy, Inc. (Time Warner, Inc.)++ [] 2.000% 11,452,000 65,000 Southern Union Company 5.000% 3,443,700 -------------- 34,456,800 -------------- TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $233,185,248) 270,104,767 -------------- PRINCIPAL AMOUNT VALUE ------------ -------------- SHORT-TERM INVESTMENT (1.3%) COMMERCIAL PAPER (1.3%) $ 9,713,000 Citigroup, Inc 5.230%, 08/01/06 (Cost $9,713,000) 9,713,000 -------------- NUMBER OF SHARES VALUE ------------ -------------- INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (16.4%) 123,506,367 Bank of New York Institutional Cash Reserve Fund current rate 5.400% (Cost $123,506,367) 123,506,367 -------------- TOTAL INVESTMENTS (163.9%) (Cost $1,194,667,425) 1,233,315,969 -------------- PAYABLE UPON RETURN OF SECURITIES ON LOAN (-16.4%) (123,506,367) -------------- OTHER ASSETS, LESS LIABILITIES (3.6%) 27,098,037 -------------- PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-51.1%) (384,307,121) -------------- NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 752,600,518 -------------- See accompanying notes to Schedule of Investments 8 CONVERTIBLE OPPORTUNITIES AND INCOME FUND SCHEDULES OF INVESTMENTS JULY 31, 2006 (unaudited) 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 contracts. The option contracts 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 July 31, 2006, the market value of 144A securities that were not subject to mandatory issuer registration obligations is $88,406,684 or 11.7 % of net assets. Y Security purchased on when issued basis. @ 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 July 31, 2006. [] Securities exchangeable or convertible into securities of an entity different than the issuer. Such entity is identified in the parenthetical. FOREIGN CURRENCY ABBREVIATIONS CAD Canadian Dollar EUR European Monetary Unit GBP British Pound Sterling See accompanying notes to Schedule of Investments 9 NOTES TO SCHEDULES OF INVESTMENTS (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. Calamos Advisors LLC values the Fund's portfolio securities in accordance with policies and procedures on the valuation of securities adopted by the Board of Trustees and under the ultimate supervision of the Board of Trustees. Portfolio securities that are traded on U.S. securities exchanges, except option securities, are valued at the last current reported sales price at the time as of which the Fund determines its NAV. Securities traded in the over-the-counter ("OTC") market and quoted on The Nasdaq Stock Market are valued at the Nasdaq Official Closing Price ("NOCP"), as determined by Nasdaq, or lacking a NOCP, the last current reported sale price on Nasdaq at the time as of which the Fund determines its NAV. When a most recent last sale or closing price is not available, portfolio securities, other than option securities, that are traded on a U.S. securities exchange and other securities traded in the OTC market are valued at the mean between the most recent bid and asked quotations in accordance with guidelines adopted by the Board of Trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the Board of Trustees. Each OTC option that is not traded through the Options Clearing Corporation is valued by the counterparty to such option. If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security, including any thinly-traded security, junk bond or synthetic convertible instrument, is valued at a fair value by the pricing committee, under the ultimate supervision of the Board of Trustees, following the guidelines and/or procedures adopted by the Board of Trustees, which may include utilizing a systematic fair valuation model provided by an independent pricing service. Securities that are principally traded in a foreign market are valued as of the last current sale price at the time as of which the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid 10 NOTES TO SCHEDULES OF INVESTMENTS (unaudited) and asked quotations as of the close of the appropriate exchange or other designated time, in accordance with guidelines adopted by the Board of Trustees. Trading in securities on European and Far Eastern securities exchanges and OTC markets is normally completed at various times before the close of business on each day on which the 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 NAV is not calculated. As stated above, if the market prices are not readily available or are not reflective of a security's fair value, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the Board of Trustees, following the guidelines and/or procedures adopted by the Board of Trustees. The Fund also may use fair value pricing, pursuant to Board of Trustees guidelines and under the ultimate supervision of the Board of Trustees if the value of a foreign security it holds is materially affected by events occurring before their pricing time but after the close of the primary market or exchange on which the security is traded. Those 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 of securities is employed, the prices of securities used by the Fund to calculate its NAV may differ from market quotations or official closing prices. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. Short-term investment transactions are recorded on a trade date basis. Long-term investment transactions are recorded on a trade date plus one basis, except for fiscal quarter ends, which are recorded on trade date. Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. Dividend income is recognized on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information becomes available. FOREIGN CURRENCY TRANSLATION. 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. 11 NOTES TO SCHEDULES OF INVESTMENTS (unaudited) 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 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 July 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 July 31, 2006 was as follows: 12 NOTES TO SCHEDULES OF INVESTMENTS (unaudited) Cost basis of investments $1,207,750,032 -------------- Gross unrealized appreciation 65,900,271 Gross unrealized depreciation (40,334,334) -------------- Net unrealized appreciation (depreciation) $ 25,565,937 -------------- NOTE 3 - 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 July 31, 2006. NOTE 4 - 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", which may be a convertible or non-convertible security) and the right to acquire equity securities ("convertible component"). The fixed-income component is achieved by investing in 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 13 NOTES TO SCHEDULES OF INVESTMENTS (unaudited) security. Different companies may issue the fixed-income and convertible components, which may be purchased separately and at different times. NOTE 5 - 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 3.50% to 5.36% for the nine-month period ended July 31, 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 only the holders of common stock, when the respective classes vote alone. NOTE 6 - 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 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 14 NOTES TO SCHEDULES OF INVESTMENTS (unaudited) 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 of July 31, 2006 were as follows: Unrealized Termination Notional Fixed Rate Floating Rate Appreciation Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation) ------------ ----------------- ------------ ----------- --------------- -------------- Merrill Lynch November 28, 2006 $60,000 2.82% 1 month LIBOR $ 529,196 Merrill Lynch July 3, 2007 65,000 2.33% 1 month LIBOR 1,973,716 Merrill Lynch November 28, 2007 60,000 3.26% 1 month LIBOR 1,643,081 Merrill Lynch July 3, 2008 70,000 2.69% 1 month LIBOR 3,500,313 Merrill Lynch November 28, 2008 60,000 3.60% 1 month LIBOR 2,221,092 ---------- $9,867,398 ========== NOTE 7 - SECURITIES LENDING During the nine-month period ended July 31, 2006, the Fund loaned 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 July 31, 2006, the Fund had securities valued at $120,429,382 that were on loan to broker-dealers and banks and $123,506,367 in cash or cash equivalent collateral. 15 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: September 22, 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: September 22, 2006 By: /s/ Patrick H. Dudasik --------------------------------------------- Name: Patrick H. Dudasik Title: Principal Financial Officer Date: September 22, 2006