CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
ANNUAL REPORT OCTOBER 31, 2002
[CALAMOS INVESTMENTS LOGO]
Strategies for Serious Money(TM)
PRESIDENT'S LETTER
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President Photo
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Dear Shareholder:
In our debut report, I am pleased to have the chance to thank you for
your decision to invest in the CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME
FUND. For shareholders that are new to CALAMOS INVESTMENTS, we welcome you. To
all our shareholders, we appreciate the confidence you have entrusted with us as
we enter the closed-end fund arena. As with all of our products and services, we
pledge to you our commitment to performance and exceptional client service. As
we enter our first months as a fully invested, leveraged portfolio, we are
confident that your Fund is well positioned to achieve that goal.
CALAMOS has been researching and investing in higher-yielding,
lower-quality portfolios of convertible and straight bonds for 25 years. Our
quantitative research and qualitative analysis of companies, industries, and the
economic environment enable us to identify both risks and opportunities for the
Fund, constructing an appropriate mix of securities that aims to provide
shareholders with significant total return, including high current income.
ONE WAY TO USE THE FUND'S SIZABLE DIVIDEND TO YOUR ADVANTAGE IS THROUGH
THE FUND'S DIVIDEND REINVESTMENT PLAN. I encourage you to consider participating
in this program as a means to increase your number of shares in the Fund at
significant cost savings. For example, when the Fund's market price is at a
premium to its net asset value (NAV), dividends automatically reinvested through
the plan purchase shares either at NAV or at 95% of the market price, whichever
is greater. With more shares, investors increase their power of compounding, and
the plan's cost savings and convenience make that prospect even more attractive.
We have enclosed a brochure detailing the plan for your review.
Again, thank you for entrusting your investment with the CALAMOS
Convertible Opportunities and Income Fund. We pledge our continued commitment to
serving you with Strategies for Serious Money.
Sincerely,
/S/ JOHN P. CALAMOS
John P. Calamos, Sr.
President and Chief Investment Officer
(1) Strategies for Serious Money (TM)
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS OCTOBER 31, 2002
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
CORPORATE BONDS (62.7%)
BASIC INDUSTRIES (4.5%)
$ 1,750,000 FMC Corp.(a)
10.250%, 11/01/09 $ 1,811,250
13,000,000 Georgia-Pacific Corp.
8.125%, 05/15/11 11,264,643
6,000,000 Greif Bros. Corp.(a)
8.875%, 08/01/12 6,240,000
4,650,000 Mail-Well, Inc.(a)
9.625%, 03/15/12 3,301,500
4,500,000 Pope & Talbot, Inc.
8.375%, 06/01/13 3,943,125
------------
26,560,518
CAPITAL GOODS - INDUSTRIAL (4.3%)
9,150,000 AGCO Corp.
8.500%, 03/15/06 9,012,750
2,800,000 Sonic Automotive, Inc.
11.000%, 08/01/08 2,912,000
2,900,000 The Manitowoc Company, Inc.(a)
10.500%, 08/01/12 2,900,000
Tyco International, Ltd.
4,500,000 6.750%, 02/15/11 3,831,912
7,600,000 6.375%, 10/15/11 6,472,555
------------
25,129,217
CAPITAL GOODS - TECHNOLOGY (4.5%)
AOL Time Warner, Inc.
16,000,000 7.625%, 04/15/31 14,545,408
8,000,000 6.875%, 05/01/12 7,919,424
4,900,000 Stoneridge, Inc.
11.500%, 05/01/12 4,140,500
------------
26,605,332
CONSUMER CYCLICAL (27.3%)
8,700,000 American Axle & Manufacturing,
Inc.
9.750%, 03/01/09 9,309,000
9,200,000 Aztar Corp.
8.875%, 05/15/07 9,200,000
Dana Corp.
6,500,000 10.125%, 03/15/10 6,337,500
10,000,000 9.000%, 08/15/11 9,300,000
Delta Air Lines, Inc.
750,000 9.750%, 05/15/21 353,021
11,750,000 7.700%, 12/15/05 7,290,311
5,500,000 International Game Technology
8.375%, 05/15/09 6,050,000
Intrawest Corp.
2,250,000 10.500%, 02/01/10(a) 2,272,500
15,000,000 10.500%, 02/01/10 15,150,000
Isle of Capri Casinos, Inc.
14,000,000 9.000%, 03/15/12 14,210,000
2,000,000 8.750%, 04/15/09 2,010,000
17,500,000 Mandalay Resort Group
10.250%, 08/01/07 18,856,250
13,100,000 Royal Caribbean Cruises, Ltd.
8.750%, 02/02/11 11,416,008
15,500,000 Russell Corp.(a)
9.250%, 05/01/10 16,042,500
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
$19,700,000 Saks, Inc.
8.250%, 11/15/08 $ 18,025,500
6,000,000 Station Casinos, Inc.
8.875%, 12/01/08 6,300,000
2,900,000 The Gap, Inc
10.550%, 12/15/08 2,958,000
6,000,000 Toys "R" Us, Inc.
7.625%, 08/01/11 5,148,258
------------
160,228,848
CONSUMER GROWTH STAPLES (8.6%)
10,000,000 American Greetings Corp.
11.750%, 07/15/08 10,775,000
9,000,000 Avis Group Holdings, Inc.
11.000%, 05/01/09 9,753,750
8,450,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 6,817,536
9,735,000 Hanger Orthopedic Group, Inc.
11.250%, 06/15/09 10,367,775
12,300,000 PacifiCare Health Systems, Inc.
10.750%, 06/01/09 12,853,500
------------
50,567,561
CONSUMER STAPLES (0.9%)
Fleming Companies, Inc.
6,500,000 10.625%, 07/31/07 4,160,000
900,000 10.125%, 04/01/08 769,500
------------
4,929,500
CREDIT CYCLICALS (6.0%)
9,000,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 9,202,500
15,900,000 KB HOME
9.500%, 02/15/11 16,575,750
9,300,000 Standard Pacific Corp.
9.500%, 09/15/10 9,532,500
------------
35,310,750
ENERGY (3.4%)
5,500,000 Newfield Exploration Company
8.375%, 08/15/12 5,847,066
5,000,000 Plains All American Pipeline,
L.P.(a)
7.750%, 10/15/12 5,125,000
8,500,000 Western Gas Resources, Inc.
10.000%, 06/15/09 8,967,500
------------
19,939,566
FINANCIAL (1.6%)
9,300,000 Host Marriott, Corp.
9.500%, 01/15/07 9,346,500
UTILITIES (1.6%)
Calpine Corp.
10,000,000 8.500%, 02/15/11 3,300,000
9,000,000 7.750%, 04/15/09 2,925,000
12,000,000 The AES Corp.
10.250%, 07/15/06 3,180,000
------------
9,405,000
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TOTAL CORPORATE BONDS
(Cost $384,196,397) 368,022,792
See accompanying Notes to Schedule of Investments. (2)
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS OCTOBER 31, 2002
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
CONVERTIBLE BONDS (47.4%)
CAPITAL GOODS - INDUSTRIAL (7.1%)
$12,304,000 Brooks-PRI Automation, Inc.
4.750%, 06/01/08 $ 9,212,620
6,475,000 Spherion Corp.
4.500%, 06/01/05 5,762,750
13,500,000 Standard Motor Products, Inc.
6.750%, 07/15/09 9,703,125
Tyco International, Ltd.
15,000,000 0.000%, 11/17/20 10,181,250
9,500,000 0.000%, 02/12/21 6,994,375
------------
41,854,120
CAPITAL GOODS - TECHNOLOGY (17.7%)
4,200,000 Advanced Energy Industries,
Inc.
5.000%, 09/01/06 3,386,250
29,250,000 EUR Amazon.com, Inc.
6.875%, 02/16/10 20,130,565
7,500,000 ASML Holding N.V.
4.250%, 11/30/04 6,055,492
6,000,000 Brocade Communication Systems,
Inc.
2.000%, 01/01/07 4,162,500
8,100,000 Cypress Semiconductor Corp.
3.750%, 07/01/05 5,670,000
10,730,000 Electronic Data Systems Corp.
0.000%, 10/10/21 7,886,550
28,200,000 Juniper Networks, Inc.
4.750%, 03/15/07 20,092,500
6,000,000 Quantum Corp.
7.000%, 08/01/04 4,560,000
15,000,000 Rational Software Corp.
5.000%, 02/01/07 12,525,000
7,562,000 Richardson Electronics, Ltd.
8.250%, 06/15/06 6,673,465
27,500,000 Solectron Corp.
0.000%, 11/20/20 12,478,125
------------
103,620,447
CONSUMER CYCLICAL (4.2%)
30,000,000 Royal Caribbean Cruises, Ltd.
0.000%, 02/02/21 10,987,500
5,500,000 The Gap, Inc.
5.750%, 03/15/09 5,706,250
The Interpublic Group of
Companies, Inc.
1,000,000 1.870%, 06/01/06 646,250
9,300,000 1.800%, 09/16/04 7,381,875
------------
24,721,875
CONSUMER GROWTH STAPLES (10.1%)
6,500,000 Cendant Corp.
3.000%, 05/04/21 6,321,250
IVAX Corp.
10,500,000 5.500%, 05/15/07 9,187,500
9,500,000 4.500%, 05/15/08 7,564,375
6,750,000 NDCHealth Corp.
5.000%, 11/01/03 6,783,750
12,600,000 Service Corp. International
6.750%, 06/22/08 9,828,000
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
$17,050,000 Skechers USA, Inc.
4.500%, 04/15/07 $ 11,935,000
9,000,000 Sunrise Assisted Living, Inc.
5.250%, 02/01/09 7,773,750
------------
59,393,625
FINANCIAL (1.2%)
9,125,000 NCO Group, Inc.
4.750%, 04/15/06 6,877,969
TELECOMMUNICATIONS (7.1%)
22,000,000 Corning, Inc.
4.875%, 03/01/08 9,487,500
15,000,000 Liberty Media Corp.
(Sprint PCS Group)
3.750%, 02/15/30 7,087,500
30,000,000 Nextel Communications, Inc.
6.000%, 06/01/11 25,012,500
------------
41,587,500
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TOTAL CONVERTIBLE BONDS
(Cost $270,154,937) 278,055,536
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (21.5%)
CAPITAL GOODS - INDUSTRIAL (4.9%)
138,000 Cummins Capital Trust I
7.000% $ 5,370,332
646,000 Ford Motor Company Capital
Trust II
6.500% 23,502,781
------------
28,873,113
CAPITAL GOODS - TECHNOLOGY (3.7%)
525,000 Electronic Data Systems Corp.
7.625% 9,607,500
230,000 Raytheon Company
8.250% 12,118,700
------------
21,726,200
CONSUMER CYCLICAL (1.4%)
335,000 Tower Automotive Capital Trust
6.750% 8,351,151
CONSUMER GROWTH STAPLES (2.5%)
250,000 Cendant Corp.
7.750% 8,495,000
172,000 Sinclair Broadcast Group, Inc.
6.000% 6,407,000
------------
14,902,000
FINANCIAL (3.8%)
650,000 National Australia Bank, Ltd.
7.875% 22,035,000
TELECOMMUNICATIONS (1.8%)
25,700 Lucent Technologies, Inc.
8.000% 10,565,913
TRANSPORTATION (2.8%)
320,000 Union Pacific Capital Trust
6.250% 16,197,717
(3) See accompanying Notes to Schedule of Investments.
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS OCTOBER 31, 2002
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
UTILITIES (0.6%)
410,000 AES Trust III
6.750% $ 3,410,482
------------
TOTAL CONVERTIBLE PREFERRED
STOCK
(Cost $149,107,126) 126,061,576
TOTAL INVESTMENTS (131.6%)
(Cost $803,458,460) 772,139,904
OTHER ASSETS LESS LIABILITIES (3.2%) 18,843,969
PREFERRED STOCK AT REDEMPTION VALUE, INCLUDING
DIVIDEND PAYABLE (34.8%) (204,090,780)
------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
(100.0%) $586,893,093
============
NOTE TO SCHEDULE OF INVESTMENTS
All Securities are shown in U.S. Dollars.
(a) Rule 144A security-Private placement securities issued under Rule 144A are
exempt from registration requirement of the Securities Act of 1933. These
securities generally are issued to qualified institutional buyers, such as
the funds and any resale by the funds must be exempt transactions, normally
to other qualified institutional investors. At October 31, 2002, the market
value of these securities aggregated $37,692,750 or 6.4% of net assets
applicable to common shareholders.
FOREIGN CURRENCY ABBREVIATIONS
EUR: European Monetary Unit
See accompanying Notes to Financial Statements. (4)
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2002
ASSETS
Investments, at value (cost $803,458,460) $772,139,904
Cash with custodian (interest bearing) 4,663,499
Foreign currency (cost $2,406) 2,435
Accrued interest and dividends receivable 17,058,909
Receivable for dividend reinvestment shares 190,559
Prepaid expenses 29,570
Other assets 9,918
------------
Total Assets 794,094,794
------------
LIABILITIES
Payable for investments purchased 2,519,261
Payable to investment advisor 361,729
Payable for offering and organizational fees 66,475
Other accounts payable and accrued liabilities 163,456
------------
Total Liabilities 3,110,921
------------
PREFERRED STOCK
$25,000 liquidation value per share applicable to 8,160
shares, including dividends payable 204,090,780
------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $586,893,093
============
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, 96,782,000 shares authorized,
43,267,593 shares issued and outstanding $616,385,505
Undistributed net investment income (loss) 3,810,587
Accumulated net realized capital gain (loss) on investments
and foreign currency transactions (1,980,131)
Unrealized appreciation (depreciation) of investments and
foreign currency transactions (31,322,868)
------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $586,893,093
============
Net asset value per common share based on 43,267,593 shares
issued and outstanding $ 13.56
------------
(5) See accompanying Notes to Financial Statements.
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED OCTOBER 31, 2002*
INVESTMENT INCOME
Interest $ 17,019,825
Dividends 1,368,062
------------
Total Investment Income 18,387,887
------------
EXPENSES
Investment advisory fees 1,818,166
Organization fees 82,881
Custodian fees 72,826
Audit and legal fees 65,085
Auction agent fees 49,205
Transfer agent fees 25,543
Trustees' fees 24,861
Shareholder reports 14,000
Registration fees 12,079
Other 9,250
------------
Total expenses 2,173,896
------------
Less expense waived 568,177
------------
Net expenses 1,605,719
------------
NET INVESTMENT INCOME 16,782,168
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investment transactions and
foreign currency transactions (1,921,055)
Change in net unrealized appreciation/depreciation on
investments and foreign currency transactions (31,322,868)
------------
NET GAIN (LOSS) ON INVESTMENTS (33,243,923)
------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (16,461,755)
------------
DIVIDENDS TO PREFERRED STOCK SHAREHOLDERS
Net investment income (460,142)
------------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS RESULTING FROM OPERATIONS $(16,921,897)
============
* June 28, 2002 (commencement of operations)
See accompanying Notes to Financial Statements. (6)
STATEMENT OF CHANGES
IN NET ASSETS
FOR THE PERIOD ENDED OCTOBER 31, 2002*
OPERATIONS:
Net investment income (loss) $ 16,782,168
Net realized gain (loss) on investments and foreign currency
transactions (1,921,055)
Change in net unrealized appreciation/depreciation on
investments and foreign currency transactions (31,322,868)
Dividends to Preferred Stock shareholders from
Net investment income (460,142)
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Net increase (decrease) in net assets applicable to Common
Shareholders resulting from operations (16,921,897)
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DIVIDENDS TO COMMON SHAREHOLDERS FROM
Net investment income (12,570,515)
CAPITAL STOCK TRANSACTIONS
Proceeds from initial offering 619,298,400
Offering costs on common shares (1,112,742)
Offering costs on preferred shares (2,290,000)
Reinvestment of dividends resulting in the issuance of
common stock 489,847
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Net increase (decrease) in net assets from common stock
transactions 616,385,505
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TOTAL INCREASE (DECREASE) IN NET ASSETS 586,893,093
------------
NET ASSETS
Beginning of period --
End of period* $586,893,093
------------
Undistributed net investment income $ 3,810,587
============
* June 28, 2002 (commencement of operations)
(7) See accompanying Notes to Financial Statements.
NOTES TO FINANCIAL STATEMENTS
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION. CALAMOS Convertible Opportunities and Income Fund (the "Fund"),
was organized as a Delaware Business Trust on April 17, 2002 and is registered
under the Investment Company Act of 1940 as a diversified, closed-end management
investment company. The Fund commenced operations on June 28, 2002.
The Fund's investment objective is to provide total return, through a
combination of capital appreciation and current income. The Fund currently seeks
to achieve its investment objective by investing substantially all of its assets
in convertible securities and non-convertible income securities.
PORTFOLIO VALUATION. Investments are stated at value. Securities for which
quotations are readily available are valued at the last available sale prices on
the exchange or market on which they are principally traded, or lacking any
sales, at the mean of the most recently quoted bid and asked prices. Securities
and other assets for which market quotations are not readily available or when
the valuation methods mentioned above do not produce a value reflective of the
fair value of a security, such security is valued at fair value determined in
good faith by or under the direction of the Fund's board of trustees. Forward
currency contracts are valued using forward currency exchange rates available
from a quotation service.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. Investment transactions are
recorded on a trade date basis. 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 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
information becomes available.
FOREIGN CURRENCY TRANSLATION. Values of investments denominated in foreign
currencies are converted into U.S. dollars using the spot market rate of
exchange at time of valuation. Purchases and sales of investments and dividend
and interest income are translated into U.S. dollars using the spot market rate
of exchanging prevailing on the respective dates of such transaction. Realized
foreign exchange gain of $58,903 and unrealized foreign exchange loss of $4,312
incurred by the Fund are included as a component of net realized gain (loss) on
investments and foreign currency transactions and change in net unrealized
appreciation/depreciation on investments and foreign currency transactions,
respectively.
FEDERAL INCOME TAXES. No provision has been made for Federal income taxes since
the Fund elected to be taxed as a "regulated investment company" under
Subchapter M of the Internal Revenue Code of 1986 and has made such
distributions to shareholders as to be relieved of all Federal income taxes.
DIVIDENDS. Dividends payable to shareholders are recorded by the Fund on the
ex-dividend date. Income and capital gain dividends are determined in accordance
with tax regulations, which may differ from generally accepted accounting
principles in the United States. These differences are primarily due to
differing treatment for foreign currency transactions.
USE OF ESTIMATES. The preparation of financial statements in conformity with
accounting principles generally accepted in the United States requires
management to make estimates and assumptions that affect the amounts reported in
the financial statements and accompanying notes. Actual results may differ from
those estimates.
(8)
NOTES TO FINANCIAL STATEMENTS
NOTE 2 - INVESTMENT ADVISER AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with CALAMOS Asset Management, Inc.
("CAM"), the Fund pays a monthly fee at the annual rate of 0.80% of the Fund's
average weekly managed assets. "Managed Assets" means the total assets of the
Fund (including any assets attributable to any leverage that may be outstanding)
minus the sum of accrued liabilities (other than debt representing financial
leverage). CAM has contractually agreed to waive its management fee in the
amount of the 0.25% of the average weekly managed assets of the Fund for the
first five full years of the Fund's operation through June 30, 2007 and a
declining amount for an additional three years (0.18% of the average weekly
managed in 2008, 0.11% of the average weekly managed in 2009, and 0.04% in
2010).
Under the terms of the Administration Agreement, CAM pays the Administrator a
monthly fee at an annual rate of 0.125% of the Fund's average weekly managed
assets, subject to a monthly minimum fee of $12,500.
Certain portfolio transactions for the Fund may be executed through CALAMOS
FINANCIAL SERVICES, INC. ("CFS") as broker, consistent with the Fund's policy of
obtaining best price and execution. During the period from June 28, 2002 though
October 31, 2002, the Fund paid no brokerage commissions to CFS on purchases and
sales of Fund securities.
Certain officers and trustees of the Fund are also officers and directors of CFS
and CAM. All officers and affiliated trustees serve without direct compensation
from the Fund. The Fund offers a deferred compensation plan for its trustees who
are not affiliated with CAM. Under the deferred compensation plan, a trustee may
elect to defer all or a portion of the trustees' compensation. Amounts deferred
are unfunded obligations of the Fund, whose value fluctuates with changes in the
value of shares of one or more funds of Calamos Investment Trust (including
reinvested distribution) designated by the trustee.
NOTE 3 - INVESTMENTS
Purchases and sales information for investments other than short-term
obligations for the period June 28, 2002 to October 31, 2002 were as follows:
Purchases $812,366,889
Proceeds from sales 10,092,750
The following information is presented on an income tax basis as of October 31,
2002. Differences between amounts for financial statement and Federal income tax
purposes are primarily due to timing differences. The cost basis of investments
for tax purposes at October 31, 2002 was as follows:
Cost basis of investments $804,113,772
Gross unrealized appreciation 24,468,979
Gross unrealized depreciation (56,442,847)
------------
Net unrealized depreciation of investments (31,973,868)
NOTE 4 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to change in currency
exchange rates by entering into foreign currency contracts to purchase or sell
currencies. A forward foreign currency contract is a commitment to purchase or
sell a foreign currency at a future date at a negotiated forward rate. Risks
associated with such contracts include 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 currency exchange rates and an unrealized gain or loss is recorded. The
Fund realizes a gain or loss upon settlement of the contracts. There were no
open forward foreign currency contracts at October 31, 2002.
(9)
NOTES TO FINANCIAL STATEMENTS
NOTE 5 - DISTRIBUTIONS TO SHAREHOLDERS
The tax character of distributions paid during the period of June 28, 2002 to
October 31, 2002 was as follows:
OCTOBER 31, 2002
--------------------------------------------------------------------------------
Distribution paid from:
Ordinary Income $13,030,657
Net Long-Term Capital Gains --
-----------
Total Taxable Distribution 13,030,657
As of October 31, 2002, the components of accumulated earnings/(losses) on a tax
basis were as follows:
Undistributed ordinary income -- net $ 4,329,093
Undistributed long-term capital gains -- net --
------------
Total undistributed earnings -- net $ 4,329,093
Capital loss carryforward (1,980,131)*
Unrealized gains/(losses) -- net (31,841,374)**
------------
Total accumulated earnings/(losses) -- net $(29,492,412)
----------------------------------------------------------------------------
* As of October 31, 2002, the Fund had capital loss carryforwards of
1,980,131, which, if not used, will expire in 2010.
** The difference between book-basis and tax-basis unrealized gains/(losses) is
attributable to the difference between book and tax amortization methods for
premiums and discounts on fixed income securities and other temporary
book/tax differences.
NOTE 6 - INTEREST BEARING CASH DEPOSIT WITH CUSTODIAN
The Fund earns interest on its average daily balance deposited with its
custodian. During the period from June 28, 2002 to October 31, 2002, the Fund
earned $356,975.
NOTE 7 - COMMON STOCK
There are 96,782,000 common shares of beneficial interest authorized and
43,267,593 shares outstanding at October 31, 2002. CAM owned 7,097 of the
outstanding shares.
NOTE 8 - PREFERRED STOCK
There are unlimited shares of Auction Market Preferred Stock ("Preferred Stock")
authorized. The preferred shares have rights as determined by the board of
trustees. The 8,160 shares of Preferred Stock outstanding consist of four
series, 2,040 shares of M, 2,040 shares of TU, 2,040 shares of W, and 2,040
shares of TH. The Preferred Stock has a liquidation value of $25,000 per share
plus any accumulated but unpaid dividends whether or not declared.
Dividends on the Preferred Stock are cumulative at a rate typically reset every
seven or twenty-eight days based on the results of an auction. Dividend rates
ranged from 1.78% to 2.00% from June 28, 2002 to October 31, 2002. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make other
distribution on shares of common stock or purchases any such shares if, at the
time of the declaration, distribution or purchase, asset coverage with respect
to the outstanding Preferred Stock would be less than 200%.
The Preferred Stock is redeemable at the option of the Fund, in whole or in
part, on any dividends payment date at $25,000 per share plus any accumulated
but the unpaid dividends. The Preferred Stock is 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 Declaration of Trust
are not satisfied.
The holders of Preferred Stock 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 holder of
preferred shares or the holder of common shares.
(10)
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD WAS AS
FOLLOWS:
For the Period Ended
October 31,
2002*
------------------------------------------------------------------------------------
Net asset value, beginning of period $ 14.32(a)
-------
Income from investment operations:
Net investment income 0.39
Net realized and unrealized gain (loss) on investments and
foreign currency transactions (0.77)
Dividends to preferred shareholders from
Net investment income (common stock equivalent basis) (0.01)
-------
Total from investment operations (0.39)
------------------------------------------------------------------------------------
Less dividends to common shareholders from
Net investment income (0.29)
-------
Capital charge resulting from issuance of common and
preferred shares (0.08)
------------------------------------------------------------------------------------
Net asset value, end of period $ 13.56
------------------------------------------------------------------------------------
Market value, end of period $ 14.20
------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN BASED ON(B):
Market Value -3.33%
Net Asset Value -3.33%
------------------------------------------------------------------------------------
RATIO TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS/SUPPLEMENTARY DATA:
Net assets applicable common shareholders, end of year
(000's omitted) 586,893
Preferred stock, at redemption value ($25,000 per share
liquidation preference) (000's omitted) 204,000
Ratio of net expenses to average net assets 1.02%(c)
Ratio of net investment income to average net assets 10.70%(c)
Ratio of gross expenses to average net assets prior to
waiver of expense by the adviser 1.38%(c)
Preferred stock dividends 0.29%(c)
Net investment income, net of preferred stock dividends 10.41%(c)
------------------------------------------------------------------------------------
Portfolio turnover rate 1.66%
------------------------------------------------------------------------------------
Asset coverage per preferred share, at end of period $96,934
------------------------------------------------------------------------------------
* June 28, 2002 (commencement of operations)
(a) Net of sales load of $0.68 on initial shares issued.
(b) Total investment return is calculated assuming a purchase of common stock
on the opening of the first day and a sale on the closing of the last day
of the period reported. Dividends and distributions are assumed, for
purposes of this calculation, to be reinvested at prices obtained under the
Fund's dividend reinvestment plan. Total return is not annualized for
periods less than one year. Brokerage commissions are not reflected.
(c) Annualized.
(11)
REPORT OF INDEPENDENT AUDITORS
The Board of Trustees and Shareholders
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND.
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Calamos Convertible Opportunities and Income
Fund as of October 31, 2002 and the related statement of operations, changes in
net assets and the financial highlights for the period from June 28, 2002
(commencement of operations) through October 31, 2002. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audit.
We conducted our audit in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of investments owned as of October 31, 2002, by correspondence with
the custodian and brokers or other appropriate auditing procedures where replies
from brokers were not received. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audit provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Calamos Convertible Opportunities and Income Fund at October 31, 2002, the
results of its operations, the changes in its net assets and the financial
highlights for the period from June 28, 2002 (commencement of operations)
through October 31, 2002, in conformity with accounting principles generally
accepted in the United States.
/s/ Ernst & Young LLP
Chicago, Illinois
December 16, 2002
(12)
TRUSTEES & OFFICERS
The Trust is subject to the overall direction of its board of trustees, which is
comprised of the following members.
NUMBER OF
PORTFOLIOS IN
POSITION(S) HELD WITH TRUST FUND COMPLEX
NAME AND AGE AT AND DATE FIRST ELECTED OVERSEEN BY PRINCIPAL OCCUPATION(S), DURING PAST
OCTOBER 31, 2002 OR APPOINTED TO OFFICE TRUSTEE FIVE YEARS AND OTHER DIRECTORSHIPS
------------------------------------------------------------------------------------------------------------------------
TRUSTEES WHO ARE INTERESTED PERSONS OF TRUST:
John P. Calamos, Trustee and President 9 President, Calamos Asset Management, Inc.
62* (since 2002) ("CAM") and Calamos Financial Services, Inc.
("CFS"), Trustee, Illinois Benedictine
University
Nick P. Calamos, Trustee and Vice President 9 Senior Executive Vice President, CAM and CFS
41* (since 2002)
TRUSTEES WHO ARE NOT INTERESTED PERSONS OF TRUST:
Richard J. Dowen, Trustee 9 Chair and Professor of Finance, Northern
58 (since 2002) Illinois University
Joe F. Hanauer, Trustee (since 2002) 9 Director of MAF Bancorp (banking),
65 Homestore.com, Inc., (Internet provider of real
estate information and products), Grubb & Ellis
Co. (advisory firm specializing in real estate)
and Combined Investments, L.P. (investment
management)
John E. Neal, Trustee (since 2002) 9 Managing Director, Banc One Capital Markets,
52 Inc. (investment banking) (since 2000);
Executive Vice President and Head of Real Estate
Department, Bank One, (1998-2000); Private
Investor (1998); and President, Kemper Mutual
Funds (1996-1997)
Weston W. Marsh, Trustee (since 2002) 9 Partner, Freeborn & Peters (law firm); Director,
52 Telesource International
William Rybak, Trustee (since 2002) 9 Executive Vice President and Chief Financial
51 Officer Van Kampen Investments, Inc. (and
subsidiaries) (investment manager) (1986-2000);
Director, Alliance Bancorp (formerly Hinsdale
Financial Corporation) (savings & loan holding
company) (1986-2001); Director, Howe Barnes
Investments (since January 2002)
* Messrs. John Calamos and Nick Calamos are trustees who are "interested
person" of the Trust as defined in the Investment Company Act of 1940 (the
"1940 Act") because they are affiliates of CAM and CFS. Nick Calamos is a
nephew of John Calamos.
The address of Messrs. John Calamos and Nick Calamos is 1111 East Warrenville
Road, Naperville, Illinois 60563-1493. The address of Mr. Dowen is Department of
Finance, Northern Illinois University, DeKalb, Illinois 60115; that of Mr.
Hanauer is 361 Forest Avenue, Suite 200, Laguna Beach, California 92651; that of
Mr. Neal is 309 Sterling Road, Kenilworth, Illinois 60043; that of Mr. Marsh is
311 South Wacker Drive, Suite 3000, Chicago, Illinois 60606-6677; and that of
Mr. Rybak is 12813 Misty Harbour Lane, Palos Park, Illinois 60464.
The trustees may fill vacancies on the board provided that at least two thirds
of the trustees, after such appointment, have been elected by the Trust's
shareholders. The Trust's shareholders may remove a trustee, with or without
cause, upon the declaration in writing or vote of two-thirds of the Trust's
outstanding shares. A trustee also may be removed, with or without cause, upon
the written declaration of two-thirds of the trustees.
The trustees elect the officers of the Trust. Each officer serves until the
election and qualification of his or her successor, or until he or she sooner
dies, resigns, or is removed or disqualified.
(13)
OFFICERS. Messrs. John Calamos and Nick Calamos have been president and vice
president of the Trust, respectively since 2002. The preceding table gives more
information about Messrs. John Calamos and Nick Calamos. The following table
sets forth each other officer's name, position with the Trust, age, principal
occupation during the past five years, other directorships, and the date on
which he or she first became an officer of the Trust. Each officer serves until
his or her successor is chosen and qualified or until his or her resignation or
removal by the board of trustees.
NAME AND AGE AT POSITION(S) HELD WITH TRUST AND DATE PRINCIPAL OCCUPATION(S), DURING PAST
OCTOBER 31, 2002 FIRST ELECTED OR APPOINTED TO OFFICE FIVE YEARS AND OTHER DIRECTORSHIPS
-------------------------------------------------------------------------------------------------------------------------
Rhowena Blank, Treasurer (since 2002) Vice President-Operations, CAM (since 1999); Vice
34 President, CFS (since 2000); Director of Operations,
Christian Brothers Investment Services (1998-1999); and
Audit Manager, Ernst & Young, LP (1994-1998)
Patrick H. Dudasik, Vice President (since 2002) Executive Vice President, Chief Financial Officer and
47 Administrative Officer, and Treasurer of CAM and CFS
(since 2001); Chief Financial Officer, David Gomez and
Associates, Inc. (1998-2001); and Chief Financial
Officer, Scudder Kemper Investments, Inc. (1996-1998)
James S. Hamman, Jr., Secretary (since 2002) Executive Vice President and General Counsel, CAM (since
33 1998) and CFS (since 1999); Vice President and Associate
Counsel, Scudder Kemper Investments, Inc. (1996-1998)
Jeff Lotito, Assistant Treasurer (since 2002) Operations Manager, CAM (since 2000); Manager Fund
30 Administration, Van Kampen Investments Inc. (1999-
2000); Supervisor-Corporate Accounting, Stein Roe and
Farnham Inc. (1998-1999); and Supervisor-Financial
Reporting, Scudder Kemper Investments, Inc. (1996-1998)
The address of each officer is 1111 East Warrenville Road, Naperville, Illinois
60563-1493.
(14)
FOR 24 HOUR SHAREHOLDER ASSISTANCE
800.432.8224
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB-SITE
www.calamos.com
INVESTMENT ADVISER
CALAMOS ASSET MANAGEMENT, INC.
1111 E. Warrenville Road
Naperville, IL 60563-1463
ADMINISTRATOR
PRINCETON ADMINISTRATORS, L.P.
P.O. Box 9095
Princeton, NJ 08543-9095
CUSTODIAN AND TRANSFER AGENT
THE BANK OF NEW YORK
P.O. Box 11258
Church Street Station
New York, NY 10286
(800) 524-4458
INDEPENDENT AUDITORS
Ernst & Young LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd, LLC
Chicago, IL
For the year ended October 31, 2002, none of the dividends paid from net
investment income, including short-term gains, qualifies for the dividends
received deduction available to corporate shareholders of the Fund.
The views expressed in this report reflect those of Calamos Asset Management,
Inc. only though October 31, 2002. The manager's views are subject to change at
any time based on market and other conditions.
1446