UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21080
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible
Opportunities and Income
Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 1111 East Warrenville Road, Naperville,
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Asset Management,
Inc., 1111 East Warrenville Road,
Naperville, Illinois
60563-1493
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2003
DATE OF REPORTING PERIOD: November 1, 2002 through April 30, 2003
Item 1. Reports to Stockholders
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SEMI-ANNUAL REPORT APRIL 30, 2003
[CALAMOS INVESTMENTS LOGO]
Strategies for Serious Money(TM)
CALAMOS CONVERTIBLE
OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2003 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
CORPORATE BONDS (63.8%)
BASIC INDUSTRIES (5.1%)
$ 8,200,000 Dan River, Inc.(a)
12.750%, 04/15/09 $ 8,036,000
5,000,000 Equistar Chemicals LP(a)
10.625%, 05/01/11 5,312,500
1,750,000 FMC Corp.
10.250%, 11/01/09 1,977,500
13,000,000 Georgia-Pacific Corp.
8.125%, 05/15/11 12,935,000
1,190,000 Jarden Corp.
9.750%, 05/01/12 1,285,200
4,000,000 PolyOne Corp.(a)
10.625%, 05/15/10 4,090,000
4,500,000 Pope & Talbot, Inc.
8.375%, 06/01/13 4,162,500
------------
37,798,700
CAPITAL GOODS - INDUSTRIAL (2.3%)
9,150,000 AGCO Corp.
8.500%, 03/15/06 9,195,750
4,500,000 JLG Industries, Inc.(a)
8.250%, 05/01/08 4,601,250
2,800,000 Sonic Automotive, Inc.
11.000%, 08/01/08 2,989,000
------------
16,786,000
CAPITAL GOODS - TECHNOLOGY (7.6%)
8,000,000 AOL Time Warner, Inc.
7.625%, 04/15/31 8,854,808
13,000,000 Avnet, Inc.
9.750%, 02/15/08 14,218,880
12,500,000 EUR Legrand, SA(a)
11.000%, 02/15/13 15,411,987
10,450,000 Sanmina-SCI Corp.(a)
10.375%, 01/15/10 11,965,250
4,900,000 Stoneridge, Inc.
11.500%, 05/01/12 5,371,625
------------
55,822,550
CONSUMER CYCLICAL (24.2%)
8,700,000 American Axle & Manufacturing,
Inc.
9.750%, 03/01/09 9,526,500
9,200,000 Aztar Corp.
8.875%, 05/15/07 9,660,000
750,000 Delta Air Lines, Inc.
9.750%, 05/15/21 461,250
12,000,000 Delta Air Lines, Inc.
7.700%, 12/15/05 9,450,000
17,250,000 Intrawest Corp.
10.500%, 02/01/10 18,802,500
14,000,000 Isle of Capri Casinos, Inc.
9.000%, 03/15/12 14,945,000
2,000,000 Isle of Capri Casinos, Inc.
8.750%, 04/15/09 2,115,000
9,100,000 La Quinta Properties(a)
8.875%, 03/15/11 9,577,750
12,350,000 Levi Strauss & Co.(a)
12.250%, 12/15/12 10,312,250
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
$17,500,000 Mandalay Resort Group
10.250%, 08/01/07 $ 19,425,000
3,200,000 Moore North America, Inc.(a)
7.875%, 01/15/11 3,424,000
2,850,000 RH Donnelley Financial Corp.(a)
10.875%, 12/15/12 3,313,125
13,100,000 Royal Caribbean Cruises, Ltd.
8.750%, 02/02/11 13,362,000
15,500,000 Russell Corp.
9.250%, 05/01/10 16,895,000
19,700,000 Saks, Inc.
8.250%, 11/15/08 21,374,500
6,000,000 Station Casinos, Inc.
8.875%, 12/01/08 6,345,000
2,900,000 The Gap, Inc.
10.550%, 12/15/08 3,472,750
5,200,000 Toys "R" Us, Inc.
7.625%, 08/01/11 5,401,692
------------
177,863,317
CONSUMER GROWTH STAPLES (7.9%)
2,250,000 Alpharma, Inc.(a)
8.625%, 05/01/11 2,340,000
10,000,000 American Greetings Corp.
11.750%, 07/15/08 11,500,000
4,100,000 AmeriPath, Inc.(a)
10.500%, 04/01/13 4,366,500
9,000,000 Avis Group Holdings, Inc.
11.000%, 05/01/09 10,080,000
8,450,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 7,969,871
1,000,000 CanWest Media, Inc.(a)
7.625%, 04/15/13 1,055,000
9,735,000 Hanger Orthopedic Group, Inc.
11.250%, 06/15/09 10,513,800
10,000,000 Spanish Broadcasting Systems,
Inc.
9.625%, 11/01/09 10,625,000
------------
58,450,171
CONSUMER STAPLES (0.6%)
4,200,000 Del Monte Foods Company(a)
8.625%, 12/15/12 4,541,250
CREDIT CYCLICALS (2.7%)
9,000,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 9,877,500
9,300,000 Standard Pacific Corp.
9.500%, 09/15/10 10,230,000
------------
20,107,500
ENERGY (4.1%)
1,000,000 Frontier Escrow Corp.(a)
8.000%, 04/15/13 1,040,000
5,500,000 Newfield Exploration Company
8.375%, 08/15/12 6,037,114
5,000,000 Plains All American Pipeline,
LP
7.750%, 10/15/12 5,475,000
6,400,000 Premcor, Inc.(a)
9.500%, 02/01/13 7,168,000
1 See accompanying Notes to Schedule of Investments.
CALAMOS CONVERTIBLE
OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2003 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
$ 1,000,000 Tesoro Petroleum Corp.(a)
8.000%, 04/15/08 $ 1,040,000
8,500,000 Western Gas Resources, Inc.
10.000%, 06/15/09 9,307,500
------------
30,067,614
FINANCIAL (1.9%)
9,300,000 Host Marriott Corp.
9.500%, 01/15/07 9,823,125
3,900,000 Senior Housing Property Trust
7.875%, 04/15/15 3,978,000
------------
13,801,125
TELECOMMUNICATIONS (2.2%)
9,000,000 Avaya, Inc.
11.125%, 04/01/09 9,990,000
5,500,000 DIRECTV, Inc.(a)
8.375%, 03/15/13 6,187,500
------------
16,177,500
TRANSPORTATION (1.7%)
3,000,000 GATX Financial Corp.
8.875%, 06/01/09 3,000,192
8,700,000 General Maritime Corp.(a)
10.000%, 03/15/13 9,439,500
------------
12,439,692
UTILITIES (3.5%)
10,000,000 Calpine Corp.
8.500%, 02/15/11 7,350,000
9,000,000 Calpine Corp.
7.750%, 04/15/09 6,480,000
12,000,000 The AES Corp.
10.250%, 07/15/06 11,940,000
------------
25,770,000
------------
TOTAL CORPORATE BONDS
(Cost $437,758,055) 469,625,419
CONVERTIBLE BONDS (39.2%)
CAPITAL GOODS - INDUSTRIAL (3.8%)
12,979,000 Brooks-PRI Automation, Inc.
4.750%, 06/01/08 10,561,661
6,475,000 Spherion Corp.
4.500%. 06/01/05 5,803,219
13,500,000 Standard Motor Products, Inc.
6.750%, 07/15/09 11,778,750
------------
28,143,630
CAPITAL GOODS - TECHNOLOGY (15.2%)
5,944,000 Advanced Energy Industries,
Inc.
5.000%, 09/01/06 5,431,330
29,250,000 EUR Amazon.com, Inc.
6.875%, 02/16/10 31,127,452
6,500,000 ASML Holding, NV
5.750%, 10/15/06 6,370,000
11,000,000 Brocade Communications Systems,
Inc.
2.000%, 01/01/07 8,855,000
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
$12,100,000 Cypress Semiconductor Corp.
3.750%, 07/01/05 $ 10,905,125
28,200,000 Juniper Networks, Inc.
4.750%, 03/15/07 25,662,000
4,400,000 Mentor Graphics Corp.
6.875%, 06/15/07 4,383,500
6,000,000 Quantum Corp.
7.000%, 08/01/04 5,820,000
7,562,000 Richardson Electronics, Ltd.
8.250%, 06/15/06 6,975,945
11,788,000 Solectron Corp.
0.000%, 11/20/20 6,439,195
------------
111,969,547
CONSUMER CYCLICAL (4.5%)
30,000,000 Royal Caribbean Cruises, Ltd.
0.000%, 02/02/21 13,387,500
3,500,000 The Interpublic Group of
Companies, Inc.
1.870%, 06/01/06 3,014,375
17,375,000 The Interpublic Group of
Companies, Inc.
1.800%, 09/16/04 16,484,531
------------
32,886,406
CONSUMER GROWTH STAPLES (6.7%)
3,900,000 ICN Pharmaceuticals, Inc.
6.500%, 07/15/08 3,310,125
10,500,000 IVAX Corp.
5.500%, 05/15/07 10,736,250
12,600,000 Service Corp.
6.750%, 06/22/08 12,206,250
17,050,000 Skechers USA., Inc.
4.500%, 04/15/07 13,554,750
9,000,000 Sunrise Assisted Living, Inc.
5.250%, 02/01/09 9,540,000
------------
49,347,375
CONSUMER STAPLES (0.5%)
3,500,000 EUR Royal Numico, NV
1.500%, 09/22/04 3,790,093
FINANCIAL (1.8%)
14,375,000 NCO Group, Inc.
4.750%, 04/15/06 13,314,844
TELECOMMUNICATIONS (6.7%)
22,000,000 Corning, Inc.
4.875%, 03/01/08 20,212,500
15,000,000 Liberty Media Corp.
(Sprint PCS Group)
3.750%, 02/15/30 8,568,750
20,000,000 Nextel Communications, Inc.
6.000%, 06/01/11 20,475,000
------------
49,256,250
------------
TOTAL CONVERTIBLE BONDS
(Cost $235,538,032) 288,708,145
See accompanying Notes to Schedule of Investments. 2
CALAMOS CONVERTIBLE
OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS APRIL 30, 2003 (UNAUDITED)
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (21.2%)
CAPITAL GOODS - INDUSTRIAL (5.3%)
138,000 Cummins Capital Trust I
7.000% $ 6,313,500
746,000 Ford Motor Company Capital
Trust II
6.500% 32,727,020
------------
39,040,520
CAPITAL GOODS - TECHNOLOGY (3.1%)
525,000 Electronic Data Systems Corp.
7.625% 10,395,000
230,000 Raytheon Company
8.250% 12,422,300
------------
22,817,300
CONSUMER GROWTH STAPLES (2.4%)
262,000 Cendant Corp.
7.750% 9,995,300
174,530 Sinclair Broadcast Group, Inc.
6.000% 7,264,811
------------
17,260,111
FINANCIAL (3.2%)
650,000 National Australia Bank, Ltd.
7.875% 23,725,000
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
TELECOMMUNICATIONS (3.3%)
25,700 Lucent Technologies, Inc.
8.000% $ 24,455,169
TRANSPORTATION (2.2%)
320,000 Union Pacific Capital Trust
6.250% 16,360,000
UTILITIES (1.7%)
410,000 AES Trust III
6.750% 12,853,500
------------
TOTAL CONVERTIBLE PREFERRED
STOCK
(Cost $141,923,567) 156,511,600
TOTAL INVESTMENTS (124.2%)
(Cost $815,219,654) 914,845,164
OTHER ASSETS, LESS LIABILITIES (3.5%) 25,824,963
PREFERRED SHARES AT REDEMPTION VALUE, INCLUDING
DIVIDENDS PAYABLE (-27.7%) (204,013,586)
------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
(100.0%) $736,656,541
============
NOTES TO SCHEDULE OF INVESTMENTS
All securities are shown in U.S. Dollars
(a) 144A securities are those that are exempt from registration under Rule 144A
of the Securities Act of 1933, as amended. These securities generally are
issued to qualified institutional buyers, such as the Fund, and any resale
by the Fund must be an exempt transaction, normally to other qualified
institutional investors, unless exchanged pursuant to registration rights,
pursuant to sale. At April 30, 2003 the market value of 144A securities that
can not be exchanged pursuant to registration rights is $113,221,862 or
15.4% of net assets of the Fund.
FOREIGN CURRENCY ABBREVIATIONS
EUR: European Monetary Unit
3 See accompanying Notes to Financial Statements.
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2003 (UNAUDITED)
ASSETS
Investments, at value (cost $815,219,654) $914,845,164
Cash with Custodian (interest bearing) 18,071,126
Accrued interest and dividends receivable 15,460,625
Receivable for investments sold 5,060,479
Receivable for dividend reinvestment shares 719,154
Prepaid expenses 29,570
Other Assets 17,223
------------
Total Assets 954,203,341
------------
LIABILITIES
Payable for investments purchased 12,980,250
Payable to investment adviser 409,398
Other accounts payable and accrued liabilities 143,566
------------
Total Liabilities 13,533,214
------------
PREFERRED SHARES
$25,000 liquidation value per share applicable to 8,160
shares, including dividends payable $204,013,586
------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $736,656,541
============
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, 96,782,000 shares authorized,
43,471,885 shares issued and outstanding $619,515,094
Undistributed net investment income (loss) 6,745,894
Accumulated net realized gain (loss) on investments and
foreign currency transactions 10,743,693
Unrealized appreciation (depreciation) of investments and
foreign currency transactions 99,651,860
------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $736,656,541
============
Net asset value per common share based on 43,471,885 shares
issued and outstanding $ 16.95
------------
See accompanying Notes to Financial Statements. 4
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED APRIL 30, 2003 (UNAUDITED)
INVESTMENT INCOME
Interest $ 33,690,254
Dividends 6,746,570
------------
Total Investment Income 40,436,824
------------
EXPENSES
Investment advisory fees 3,411,067
Auction agent fees 206,611
Transfer agent fees 67,876
Printing and mailing fees 62,911
Custodian fees 61,176
Audit and legal fees 51,768
Registration fees 23,245
Trustees' fees 1,974
Other 40,158
------------
Total expenses 3,926,786
------------
Less expense waived 1,065,958
------------
Net expenses 2,860,828
------------
NET INVESTMENT INCOME 37,575,996
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investment transactions and
foreign currency transactions 12,723,824
Change in net unrealized appreciation/depreciation of
investments and foreign currency transactions 130,974,728
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 143,698,552
------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 181,274,548
------------
DIVIDENDS TO PREFERRED SHAREHOLDERS
Net investment income (1,489,771)
------------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS RESULTING FROM OPERATIONS $179,784,777
============
5 See accompanying Notes to Financial Statements.
STATEMENT OF CHANGES
IN NET ASSETS
For the For the
Six Months Ended Period Ended
April 30, 2003 (unaudited) October 31, 2002*
-------------------------- -----------------
OPERATIONS
Net investment income (loss) $ 37,575,996 $ 16,782,168
Net realized gain (loss) on investments and foreign currency
transactions 12,723,824 (1,921,055)
Change in net unrealized appreciation/depreciation on
investments and foreign currency transactions 130,974,728 (31,322,868)
Dividends to Preferred shareholders from
Net investment income (1,489,771) (460,142)
------------ ------------
Net increase (decrease) in net assets applicable to Common
Shareholders resulting from operations 179,784,777 (16,921,897)
------------ ------------
DIVIDENDS TO COMMON SHAREHOLDERS FROM
Net investment income (33,150,918) (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 3,129,589 489,847
------------ ------------
Net increase (decrease) in net assets from common stock
transactions 3,129,589 616,385,505
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 149,763,448 586,893,093
------------ ------------
NET ASSETS
Beginning of period 586,893,093 $ --
------------ ------------
End of period $736,656,541 $586,893,093
------------ ------------
Undistributed net investment income $ 6,745,894 $ 3,810,587
============ ============
* June 28, 2002 (commencement of operations)
See accompanying Notes to Financial Statements. 6
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION. CALAMOS Convertible Opportunities and Income Fund (the "Fund"),
was organized as a Delaware Statutory Trust on April 17, 2002 and is registered
under the Investment Company Act of 1940 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. In computing the net asset value of the Fund, portfolio
securities, including options, that are traded on a national securities exchange
and securities reported on the Nasdaq National Market System are valued at the
last reported sales price. Securities traded in the over-the-counter market and
listed securities for which no sales were reported are valued at the mean of the
most recently quoted bid and asked prices. Each outstanding futures contract is
valued at the official settlement price for the contract on the exchange on
which the contract is traded, except that if the market price of the contract
has increased or decreased by the maximum amount permitted on the valuation date
("up or down the limit"), the contract is valued at a fair value as described
below. Short-term obligations with maturities of 60 days or less are valued at
amortized cost, which approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of a fair value of the security, the security
is valued at a fair value following procedures approved by the board of trustees
or a committee thereof. These procedures may utilize valuations furnished by
pricing services approved by the board of trustees or a committee thereof, 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.
Securities that are principally traded in a foreign market are valued as of the
close of the appropriate exchange or other designated time. Trading in
securities on European and Far Eastern securities exchanges and over-the-counter
markets is normally completed at various times before the close of business on
each day on which the New York Stock Exchange ("NYSE") is open. Trading of these
securities may not take place on every NYSE business day. In addition, trading
may take place in various foreign markets on Saturdays or on other days when the
NYSE is not open and on which the Fund's net asset value is not calculated.
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 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 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 exchange prevailing on the respective dates of such transaction. Realized
foreign exchange gain of $164,381 and unrealized foreign exchange gain of
$26,350 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.
7
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 income tax regulations, which may differ from accounting principles
generally accepted in the United States.
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.
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 an annual fee, payable monthly, equal to 0.80% based on
the 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,
Princeton Administrators, L.P. 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 six months ended April 30, 2003,
the Fund paid no brokerage commissions to CFS on purchases or sales of Fund
securities.
Certain officers and trustees of the Fund are also officers and directors of CFS
and CAM. All officers and all trustees who are "interested persons" of CAM serve
without direct compensation from the Fund.
The Fund has adopted a deferred compensation plan (the "Plan"). Under the Plan,
a trustee who is not an "interested person" of CAM and has elected to
participate in the Plan (a "participating trustee") may defer receipt of all or
a portion of his compensation from the Trust in order to defer payment of income
taxes or for other reasons. The deferred compensation payable to the
participating trustee is credited to the trustee's deferral account as of the
business day such compensation would have been paid to the trustee. The value of
a trustee's deferred compensation account at any time is equal to what would be
the value if the amounts credited to the account had instead been invested in
shares of one or more of the Funds of the Calamos Investment Trust as designated
by the trustee. Thus, the value of the account increases with contributions to
the account or with increases in the value of the measuring shares, and the
value of the account decreases with withdrawals from the account or with
declines in the value of the measuring shares. If a participating trustee
retires, the trustee may elect to receive payments under the plan in a lump sum
or in equal installments over a period of five years. If a participating trustee
dies, any amount payable under the Plan will be paid to the trustee's
beneficiaries. Deferred compensation investments of $17,223 are included in
"Other Assets" on the Statement of Assets and Liabilities at April 30, 2003.
NOTE 3 - INVESTMENTS
Purchases and sales of investments other than short-term obligation for the six
months ended April 30, 2003 were as follows:
Purchases $204,419,783
Proceeds from sales 213,117,819
8
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
The following information is presented on an income tax basis as of April 30,
2003. Differences between amounts for financial statements and Federal income
tax purposes are primarily due to timing differences. The cost basis of
investments for tax purposes at April 30, 2003 was as follows:
Cost basis of investments $816,451,813
Gross unrealized appreciation 111,634,168
Gross unrealized depreciation (13,976,273)
------------
Net unrealized appreciation of investments 97,657,895
============
NOTE 4 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes 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 to 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 upon settlement of the contracts. There were no open
forward foreign currency contracts at April 30, 2003.
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 six months ended April 30, 2003, the Fund earned $18,374.
9
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 7 - COMMON STOCK
There are 96,782,000 common shares of beneficial interest authorized and
43,471,885 shares outstanding at April 30, 2003. CAM owned 7,151 of the
outstanding shares. Transactions in common shares were as follows:
Six Months Ended Year Ended
April 30, 2003 October 31, 2002
--------------------------------------------------------------------------------------------------
Beginning Shares 43,267,593 --
Shares Sold -- 43,232,000
Shares Issued Through Reinvestment of distributions 204,292 35,593
---------- ----------
Ending Shares 43,471,885 43,267,593
--------------------------------------------------------------------------------------------------
NOTE 8 - PREFERRED SHARES
There are unlimited shares of Auction Market Preferred Shares ("Preferred
Shares") authorized. The preferred shares have rights as determined by the Board
of Trustees. The 8,160 shares of Preferred Shares 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 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 and twenty-eight days based on the results of an auction. Dividend rates
ranged from 1.14% to 1.95% for the six months ended April 30, 2003. 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 Shares would be less than 200%.
The Preferred Shares are 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 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 Declaration of Trust
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.
10
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD WAS AS
FOLLOWS:
For the Period
For the Six Months Ended Ended
April 30, 2003 October 31,
(unaudited) 2002*
----------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 13.56 $ 14.32(a)
-------- --------
Income from investment operations:
Net investment income 0.87 0.39
Net realized and unrealized gain (loss) on investments and
foreign currency transactions 3.31 (0.77)
Dividends to preferred shareholders from
Net investment income (common stock equivalent basis) (0.03) (0.01)
-------- --------
Total from investment operations 4.15 (0.39)
----------------------------------------------------------------------------------------------------------------
Less dividends to common shareholders from
Net investment income (common stock equivalent basis) (0.76) (0.29)
-------- --------
Capital charge resulting from issuance of common and
preferred shares 0.00 (0.08)
----------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 16.95 $ 13.56
======== ========
----------------------------------------------------------------------------------------------------------------
Market value, end of period $ 16.83 $ 14.20
----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN BASED ON(B):
Net Asset Value 31.26% -3.33%
Market Value 24.45% -3.33%
----------------------------------------------------------------------------------------------------------------
RATIO TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS/
SUPPLEMENTARY DATA:
Net assets applicable common shareholders, end of year
(000's omitted) 736,657 586,893
Preferred shares, at redemption value ($25,000 per share
liquidation preference) (000's omitted) 204,000 204,000
Ratio of net expenses to average net assets(c) 0.88% 0.79%
Ratio of net investment income to averages net assets(c) 11.55% 8.21%
Ratio of gross expenses to average net assets prior to
waiver of expense by the adviser(c) 1.21% 1.06%
Preferred share dividends(c) 0.46% 0.23%
Net investment income, net of preferred share dividends(c) 11.10% 7.99%
----------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 24.41% 1.66%
----------------------------------------------------------------------------------------------------------------
Asset coverage per preferred share, at end of period(d) $115,278 $ 96,934
----------------------------------------------------------------------------------------------------------------
* The Fund commenced operations on June 28, 2002.
(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.
(d) Calculated by subtracting the Fund's total liabilities (not including
preferred shares) from the Fund's total assets and dividing this by the
number of preferred shares outstanding.
11
SUPPLEMENTAL PROXY AND
OTHER INFORMATION
(UNAUDITED)
The Annual Meeting of Shareholders of the Trust was held on March 5, 2003 where
shareholders voted on the election of trustees.
With regards to the election of the following trustees by the shareholders of
the Trust:
# of Shares
---------------------
Trustees For Withheld
-----------------------------------------------------------------------------------
Joe F. Hanauer 42,132,944 592,233
John E. Neal 42,216,179 508,998
The other trustees of the Trust whose terms did not expire in 2003 are John P.
Calamos, Nick P. Calamos, Richard J. Dowen, Weston W. Marsh and William R.
Rybak.
NON-FUNDAMENTAL INVESTMENT GUIDELINE CHANGE
Effective March 19, 2003, the Fund changed its non-fundamental investment
guideline of investing, under normal circumstances, at least 50% of its managed
assets in convertible securities to investing, under normal circumstances, at
least 35% of its managed assets in convertible securities.
INTEREST RATE TRANSACTIONS
The Fund may enter into interest rate swap or cap transactions to attempt to
protect itself from increasing dividend or interest expense on its leverage
resulting from increasing short-term interest rates. A decline in interest rates
may result in a decline in the value of the swap or cap, which may result in a
decline in the net asset value of the Fund. In addition, if the counterparty to
an interest rate swap or cap defaults, the Fund would not be able to use the
anticipated receipts under the swap or cap to offset the dividend or interest
payments on the Fund's leverage. At the time an interest rate swap or cap
reaches its scheduled termination, there is a risk that the Fund would not be
able to obtain a replacement transaction or that the terms of the replacement
would not be as favorable as on the expiring transaction. In addition, if the
Fund is required to terminate any swap or cap early due to the Fund failing to
maintain a required 200% asset coverage of the liquidation value of the
outstanding preferred shares or the Fund loses its credit rating on its
preferred shares, then the Fund could be required to make a termination payment,
in addition to redeeming all or some of the preferred shares.
OTC OPTIONS
The Fund may enter into over-the-counter options ("OTC options"). OTC options
are purchased from or sold to securities dealers, financial institutions or
other parties ("Counterparties") through direct bilateral agreement with the
Counterparty. Unlike exchange listed options, OTC options do not have
standardized terms, but rather the terms are negotiated between the parties. The
Fund may sell OTC options (other than OTC currency options) that are subject to
a buy-back provision permitting the Fund to require the Counterparty to sell the
option back to the Fund at a formula price within seven days. The Fund expects
generally to enter into OTC options that have cash settlement provisions,
although it is not required to do so. OTC options settling with physical
delivery, or with an election of either physical delivery or cash settlement,
will be treated the same as other options settling with physical delivery. The
staff of the SEC currently takes the position that OTC options purchased by a
fund, and portfolio securities "covering" the amount of a fund's obligation
pursuant to an OTC option sold by it (or the amount of assets equal to the
formula price for the repurchase of the option, if any, less the amount by which
the option is "in the money") are illiquid.
Unless the parties provide for it, there is no central clearing or guaranty
function in an OTC option. As a result, if the Counterparty fails to make or
take delivery of the security, currency or other instrument underlying an OTC
option it has entered into with the Fund or fails to make a cash settlement
payment due in accordance with the terms of that option, the
12
Fund will lose any premium it paid for the option, as well as, any anticipated
benefit of the transaction. Accordingly, Calamos Asset Management, Inc. ("CAM")
must assess the creditworthiness of each such Counterparty or any guarantor or
credit enhancement of the Counterparty's credit to determine the likelihood that
the terms of the OTC option will be satisfied. The Fund will engage in OTC
option transactions only with U.S. government securities dealers recognized by
the Federal Reserve Bank of New York as "primary dealers" or broker/dealers,
domestic or foreign banks or other financial institutions which have received
(or the guarantors of the obligation of which have received) a short-term credit
rating of A-1 from S&P or P-1 from Moody's or an equivalent rating from any
nationally recognized statistical rating organization or, in the case of OTC
currency transactions, are determined to be of equivalent credit quality by CAM.
INDEPENDENT ACCOUNTANT CHANGE
Effective April 14, 2003, the Fund's Audit Committee of its Board of Trustees
selected Deloitte & Touche LLP as the Fund's independent accountant. Also
effective April 14, 2003, the client-auditor relationship between the Fund and
Ernst & Young LLP ceased. The cessation of this relationship was based on the
desire to retain the same independent accountant for the Fund as an affiliated
closed-end fund, and to diversify the expertise provided to the funds within the
Calamos fund complex.
NASDAQ OFFICIAL CLOSING PRICE
Effective August 1, 2003, securities traded in the over-the-counter market and
quoted on the NASDAQ National Market System, shall be 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 on 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.
13
INDEPENDENT ACCOUNTANTS' REPORT
The Board of Trustees and Shareholders of
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
We have reviewed the accompanying statement of assets and liabilities, including
the schedule of investments, of CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME
FUND (the "Fund") as of April 30, 2003, and the related statements of operations
and of changes in net assets and the financial highlights for the period
November 1, 2002 through April 30, 2003. These financial statements are the
responsibility of the Fund's management.
We conducted our review in accordance with standards established by the American
Institute of Certified Public Accountants. A review of interim financial
information consists principally of applying analytical procedures to financial
data and of making inquiries of persons responsible for financial and accounting
matters. It is substantially less in scope than an audit conducted in accordance
with auditing standards generally accepted in the United States of America, the
objective of which is the expression of an opinion regarding the financial
statements taken as a whole. Accordingly, we do not express such an opinion.
Based on our review, we are not aware of any material modifications that should
be made to the 2003 financial statements referred to above for them to be in
conformity with accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Chicago, Illinois
June 17, 2003
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
Deloitte & Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
The views expressed in this report reflect those of Calamos Asset Management,
Inc. only through April 30, 2003. The manager's views are subject to change at
any time based on market and other conditions.
[RECYCLED LOGO] 1643
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable for semi-annual reports.
ITEM 6. [RESERVED.]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable for semi-annual reports.
ITEM 8. [RESERVED.]
ITEM 9. CONTROLS AND PROCEDURES.
The registrant's chief executive officer and chief financial officer have
concluded that the registrant's disclosure controls and procedures are
sufficient to ensure that information required to be disclosed by the registrant
in this Form N-CSR was recorded, processed, summarized and reported within the
time periods specified in the Securities and Exchange Commission's rules and
forms, based upon such officers' evaluation of these controls and procedures as
of a date within 90 days of the filing date of the report.
There were no significant changes or corrective actions with regard to
significant deficiencies or material weaknesses in the registrant's internal
controls or in other factors that could significantly affect the registrant's
internal controls subsequent to the date of their evaluation.
ITEM 10. EXHIBITS.
(a) Code of Ethics -- Not applicable for semi-annual reports.
(b)(1) Certification of Chief Executive Officer.
(b)(2) Certification of Chief 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: Chief Executive Officer
Date: June 30, 2003
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Chief Financial Officer
Date: June 30, 2003
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: Chief Executive Officer
Date: June 30, 2003
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Chief Financial Officer
Date: June 30, 2003