UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21080
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible
Opportunities and Income Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 1111 East Warrenville Road, Naperville,
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Asset Management,
Inc., 1111 East Warrenville Road,
Naperville, Illinois
60563-1493
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2005
DATE OF REPORTING PERIOD: November 1, 2004 through January 31, 2005
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Item 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
CORPORATE BONDS (85.5%)
CONSUMER DISCRETIONARY (27.0%)
$ 1,709,000 Accuride Corp.(a)
8.500%, 02/01/15 $ 1,768,815
6,137,000 Aztar Corp.(b)
7.875%, 06/15/14 6,781,385
10,099,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 11,134,147
777,000 CanWest Media, Inc.
7.625%, 04/15/13 843,045
3,107,000 Charter Communications, Inc.(b)
9.625%, 11/15/09 2,547,740
3,884,000 DEX Media, Inc.(b)
8.000%, 11/15/13 4,146,170
4,273,000 DIRECTV Financing Company,
Inc.
8.375%, 03/15/13 4,833,831
6,192,000 GBP EMI Group, PLC
9.750%, 05/20/08 12,833,549
6,215,000 General Motors Corp.(b)
8.250%, 07/15/23 6,282,221
1,554,000 Global Cash Access, L.L.C.(b)
8.750%, 03/15/12 1,693,860
Goodyear Tire & Rubber Company
6,603,000 7.000%, 03/15/28 5,711,595
3,107,000 7.857%, 08/15/11(b) 3,153,605
3,107,000 Hasbro, Inc.
6.600%, 07/15/28 3,138,070
6,195,000 Hovnanian Enterprises, Inc.(b)
7.750%, 05/15/13 6,737,062
3,107,000 IMAX Corp.(b)
9.625%, 12/01/10 3,378,862
2,331,000 Intrawest Corp.(a)
7.500%, 10/15/13 2,459,205
10,876,000 Isle of Capri Casinos, Inc.(b)
9.000%, 03/15/12 12,058,765
1,795,000 Jarden Corp.
9.750%, 05/01/12 1,965,525
3,321,000 Kellwood Company
7.625%, 10/15/17 3,653,100
7,069,000 La Quinta, Corp.
8.875%, 03/15/11 7,837,754
2,331,000 Landry's Restaurants, Inc.(a)
7.500%, 12/15/14 2,284,380
13,595,000 Mandalay Resort Group
10.250%, 08/01/07 15,430,325
6,059,000 NCL Holding, ASA(a)
10.625%, 07/15/14 6,119,590
3,496,000 Oxford Industries, Inc.
8.875%, 06/01/11 3,740,720
3,884,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 4,233,560
1,554,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 1,643,355
2,214,000 RH Donnelley Financial Corp.(a)
10.875%, 12/15/12 2,601,450
2,913,000 CAD Rogers Cable, Inc.(a)
7.250%, 12/15/11 2,432,880
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------------
$ 3,496,000 CAD Rogers Wireless Communications,
Inc.(a)
7.625%, 12/15/11 $ 2,947,967
10,177,000 Royal Caribbean Cruises, Ltd.(b)
8.750%, 02/02/11 11,983,418
12,041,000 Russell Corp.
9.250%, 05/01/10 13,004,280
7,769,000 Spanish Broadcasting Systems,
Inc.
9.625%, 11/01/09 8,176,873
3,807,000 Stoneridge, Inc.
11.500%, 05/01/12 4,397,085
6,215,000 Time Warner
7.625%, 04/15/31 7,679,751
9,866,000 Vail Resorts, Inc.(b)
6.750%, 02/15/14 10,001,658
Warner Music Group(a)
5,438,000 7.375%, 04/15/14 5,709,900
777,000 GBP 8.125%, 04/15/14 1,520,455
6,603,000 WCI Communities, Inc.
7.875%, 10/01/13 7,081,718
-----------
213,947,671
-----------
CONSUMER STAPLES (8.9%)
1,554,000 Central Garden & Pet Company
9.125%, 02/01/13 1,713,285
3,884,000 Chattem, Inc.
7.000%, 03/01/14 3,995,665
3,379,000 Chiquita Brands International,
Inc.(a)(b)
7.500%, 11/01/14 3,446,580
4,817,000 Del Monte Foods Company
8.625%, 12/15/12 5,376,976
4,661,000 DIMON, Inc.(b)
7.750%, 06/01/13 5,057,185
Dole Food Company, Inc.(b)
6,992,000 7.250%, 06/15/10 7,175,540
3,107,000 8.625%, 05/01/09 3,421,584
9,322,000 Jean Coutu Group, Inc.(a)(b)
8.500%, 08/01/14 9,345,305
777,000 Pilgrim's Pride Corp.
9.250%, 11/15/13 878,010
4,661,000 Pinnacle Foods Holding(a)(b)
8.250%, 12/01/13 4,288,120
4,350,000 Playtex Products, Inc.(b)
8.000%, 03/01/11 4,763,250
8,545,000 Rayovac Corp.
8.500%, 10/01/13 9,207,237
Revlon Consumer Products Corp.(e)
777,000 8.840%, 07/11/05 810,994
777,000 8.520%, 03/14/05 810,994
777,000 8.420%, 02/10/05 810,994
777,000 8.240%, 04/11/05 810,994
7,769,000 Smithfield Foods, Inc.
7.750%, 05/15/13 8,643,012
----------
70,555,725
----------
ENERGY (10.7%)
6,603,000 Chesapeake Energy Corp.
6.875%, 01/15/16 6,900,135
See accompanying Notes to Schedule of Investments
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------------------
$5,050,000 Comstock Resources, Inc.
6.875%, 03/01/12 $ 5,176,250
2,331,000 Forest Oil Corp.
8.000%, 12/15/11 2,654,426
9,089,000 General Maritime Corp.(b)
10.000%, 03/15/13 10,429,628
4,555,000 Giant Industries, Inc.(b)
11.000%, 05/15/12 5,261,025
3,574,000 KCS Energy, Inc.
7.125%, 04/01/12 3,761,635
5,333,000 Overseas Shipholding Group, Inc.
7.500%, 02/15/24 5,412,995
8,778,000 Petroleo Brasileiro, SA
8.375%, 12/10/18 9,238,845
3,884,000 Plains All American Pipeline, L.P.
7.750%, 10/15/12 4,577,212
4,972,000 Premcor Refining Group Inc.
9.500%, 02/01/13(b) 5,742,660
2,117,000 7.500%, 06/15/15 2,286,360
2,331,000 Range Resources Corp.
7.375%, 07/15/13 2,482,515
5,438,000 Swift Energy Company
9.375%, 05/01/12 6,063,370
4,129,000 Tesoro Petroleum Corp.(b)
9.625%, 04/01/12 4,717,383
Williams Companies, Inc.
7,769,000 7.750%, 06/15/31 8,584,745
1,554,000 7.500%, 01/15/31(b) 1,686,090
----------
84,975,274
----------
FINANCIALS (2.9%)
2,331,000 GATX Corp.
8.875%, 06/01/09 2,690,930
5,826,000 Leucadia National Corp.(b)
7.000%, 08/15/13 6,044,475
8,545,000 LNR Property Corp.
7.250%, 10/15/13 9,751,981
1,321,000 Omega Healthcare Investors,
Inc.(b)
7.000%, 04/01/14 1,340,815
3,030,000 Senior Housing Properties Trust
7.875%, 04/15/15 3,333,000
----------
23,161,201
----------
HEALTH CARE (5.4%)
1,748,000 Alpharma, Inc.(a)
8.625%, 05/01/11 1,822,290
3,185,000 Ameripath, Inc.(b)
10.500%, 04/01/13 3,344,250
6,564,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 7,222,829
2,331,000 Beverly Enterprises, Inc.(a)
7.875%, 06/15/14 2,622,375
3,496,000 Elan Corp. PLC(a)
7.750%, 11/15/11 3,670,800
3,107,000 MedCath Corp.
9.875%, 07/15/12 3,355,560
5,050,000 Quintiles Transnational Corp.
10.000%, 10/01/13 5,731,750
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------------------------------------
$ 6,603,000 Tenet Healthcare Corp.(a)(b)
9.250%, 02/01/15 $ 6,636,015
2,331,000 Valeant Pharmaceuticals
International(b)
7.000%, 12/15/11 2,447,550
5,050,000 Vanguard Health Systems,
Inc.(a)(b)
9.000%, 10/01/14 5,428,750
----------
42,282,169
----------
INDUSTRIALS (7.8%)
777,000 EUR AGCO Corp.
6.875%, 04/15/14 1,091,355
1,942,000 Armor Holdings, Inc.
8.250%, 08/15/13 2,170,185
5,050,000 General Cable Corp.
9.500%, 11/15/10 5,706,500
4,661,000 Hutchison Whampoa, Ltd.(a)(b)
6.250%, 01/24/14 4,975,995
2,331,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 2,610,720
JLG Industries, Inc.(b)
3,496,000 8.250%, 05/01/08 3,688,280
777,000 8.375%, 06/15/12 815,850
4,972,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 5,742,660
9,711,000 EUR Legrand Holding, SA
11.000%, 02/15/13 15,538,643
2,641,000 Monitronics International, Inc.
11.750%, 09/01/10 2,891,895
858,000 Orbital Sciences Corp.
9.000%, 07/15/11 965,250
5,438,000 Shaw Group, Inc.(b)
10.750%, 03/15/10 6,049,775
6,992,000 Terex Corp.(b)
7.375%, 01/15/14 7,376,560
2,082,000 United Agri Products, Inc.(a)
6.250%, 12/15/11 2,253,765
----------
61,877,433
----------
INFORMATION TECHNOLOGY (8.0%)
5,050,000 Advanced Micro Devices,
Inc.(a)(b)
7.750%, 11/01/12 5,062,625
6,992,000 Avnet, Inc.(b)
9.750%, 02/15/08 8,023,320
3,107,000 Celestica, Inc.
7.875%, 07/01/11 3,254,582
1,165,000 Communications & Power
Industries Holding Corp.
8.000%, 02/01/12 1,223,250
3,884,000 Flextronics International, Ltd.(b)
6.500%, 05/15/13 3,951,970
3,884,000 Freescale Semiconductor, Inc.(b)
7.125%, 07/15/14 4,209,285
Iron Mountain, Inc.
3,884,000 GBP 7.250%, 04/15/14(a) 6,995,954
1,554,000 6.625%, 01/01/16 1,472,415
Lucent Technologies, Inc.
3,418,000 6.500%, 01/15/28 3,059,110
See accompanying Notes to Schedule of Investments
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
$1,631,000 6.450%, 03/15/29(b) $ 1,463,823
8,118,000 Sanmina-Sci Corp.(b)
10.375%, 01/15/10 9,254,520
1,554,000 Stratus Technologies, Inc.
10.375%, 12/01/08 1,484,070
Xerox Corp.(b)
7,380,000 8.000%, 02/01/27 7,730,550
5,438,000 7.625%, 06/15/13 5,886,635
-----------
63,072,109
-----------
MATERIALS (13.2%)
6,215,000 AK Steel Holding Corp.(b)
7.750%, 06/15/12 6,416,987
4,661,000 Arch Western Finance, LLC
6.750%, 07/01/13 4,777,525
6,992,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 7,551,360
3,884,000 Equistar Chemicals, LP(b)
10.625%, 05/01/11 4,486,020
6,658,000 Freeport-McMoRan Copper &
Gold, Inc.
10.125%, 02/01/10 7,556,830
13,207,000 Georgia-Pacific Corp.(b)
8.125%, 05/15/11 15,254,085
4,661,000 Graham Packaging Holdings
Company(a)(b)
9.875%, 10/15/14 4,905,702
1,864,000 IMCO Recycling, Inc.
10.375%, 10/15/10 2,106,320
5,791,000 IPSCO, Inc.
8.750%, 06/01/13 6,572,785
2,804,000 Ispat Inland ULC(b)
9.750%, 04/01/14 3,469,950
1,554,000 Neenah Paper, Inc.(a)
7.375%, 11/15/14 1,569,540
2,136,000 Novelis, Inc.(a)
7.250%, 02/15/15 2,178,720
6,992,000 Polyone Corp.(b)
10.625%, 05/15/10 7,831,040
3,496,000 Pope & Talbot, Inc.
8.375%, 06/01/13 3,705,760
6,215,000 Sealed Air Corp.(a)
6.875%, 07/15/33 6,911,279
Steel Dynamics, Inc.
2,331,000 9.500%, 03/15/09(b) 2,564,100
1,554,000 9.500%, 03/15/09 1,709,400
6,564,000 Texas Industries, Inc.
10.250%, 06/15/11 7,647,060
Union Carbide Corp.(b)
3,107,000 7.500%, 06/01/25 3,239,048
2,408,000 7.875%, 04/01/23 2,576,560
1,554,000 6.700%, 04/01/09 1,651,125
-----------
104,681,196
-----------
TELECOMMUNICATION SERVICES (1.3%)
1,554,000 IPCS Escrow Company
11.500%, 05/01/12 1,783,215
7,769,000 Nextel Communications, Inc.
7.375%, 08/01/15 8,604,168
-----------
10,387,383
-----------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------
UTILITIES (0.3%)
$ 1,824,000 NRG Energy, Inc.(a)(b)
8.000%, 12/15/13 $ 1,974,480
-----------
TOTAL CORPORATE
BONDS
(Cost $626,794,545) 676,914,641
-----------
CONVERTIBLE BONDS (6.2%)
CONSUMER DISCRETIONARY (0.6%)
5,625,000 General Motors Corp.(d)
5.250%, 03/06/32 4,995,000
-----------
FINANCIALS (0.8%)
5,700,000 Assurant, Inc.(a)
7.750%, 01/26/08 5,985,000
-----------
INFORMATION TECHNOLOGY (4.8%)
5,500,000 Advanced Micro Devices,
Inc.(b)(e)
4.750%, 02/01/22 5,596,250
6,500,000 ASML Holding, NV
5.750%, 10/15/06 7,280,175
12,000,000 Corning, Inc.(b)
4.875%, 03/01/08 12,480,000
4,000,000 Lucent Technologies, Inc.
2.750%, 06/15/25 5,260,000
7,562,000 Richardson Electronics, Ltd.
8.250%, 06/15/06 7,647,072
-----------
38,263,497
-----------
TOTAL CONVERTIBLE
BONDS
(Cost $45,904,020) 49,243,497
-----------
SYNTHETIC CONVERTIBLE SECURITIES (28.9%)
CORPORATE BONDS (24.6%)
CONSUMER DISCRETIONARY (7.8%)
491,000 Accuride Corp.(a)
8.500%, 02/01/15 508,185
1,763,000 Aztar Corp.(b)
7.875%, 06/15/14 1,948,115
2,901,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 3,198,352
223,000 CanWest Media, Inc.
7.625%, 04/15/13 241,955
893,000 Charter Communications, Inc.(b)
9.625%, 11/15/09 732,260
1,116,000 DEX Media, Inc.(b)
8.000%, 11/15/13 1,191,330
1,227,000 DIRECTV Financing Company,
Inc.
8.375%, 03/15/13 1,388,044
1,778,000 GBP EMI Group, PLC
9.750%, 05/20/08 3,685,086
1,785,000 General Motors Corp.(b)
8.250%, 07/15/23 1,804,307
446,000 Global Cash Access, L.L.C.(b)
8.750%, 03/15/12 486,140
Goodyear Tire & Rubber Company
1,897,000 7.000%, 03/15/28 1,640,905
893,000 7.857%, 08/15/11(b) 906,395
See accompanying Notes to Schedule of Investments
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------
$ 893,000 Hasbro, Inc.
6.600%, 07/15/28 $ 901,930
1,780,000 Hovnanian Enterprises, Inc.(b)
7.750%, 05/15/13 1,935,750
893,000 IMAX Corp.(b)
9.625%, 12/01/10 971,137
669,000 Intrawest Corp.(a)
7.500%, 10/15/13 705,795
3,124,000 Isle of Capri Casinos, Inc.(b)
9.000%, 03/15/12 3,463,735
515,000 Jarden Corp.
9.750%, 05/01/12 563,925
954,000 Kellwood Company
7.625%, 10/15/17 1,049,400
2,031,000 La Quinta, Corp.
8.875%, 03/15/11 2,251,871
669,000 Landry's Restaurants, Inc.(a)
7.500%, 12/15/14 655,620
3,905,000 Mandalay Resort Group
10.250%, 08/01/07 4,432,175
1,741,000 NCL Holding, ASA(a)
10.625%, 07/15/14 1,758,410
1,004,000 Oxford Industries, Inc.
8.875%, 06/01/11 1,074,280
1,116,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 1,216,440
446,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 471,645
636,000 RH Donnelley Financial Corp.(a)
10.875%, 12/15/12 747,300
837,000 CAD Rogers Cable, Inc.(a)
7.250%, 12/15/11 699,046
1,004,000 CAD Rogers Wireless Communications,
Inc.(a)
7.625%, 12/15/11 846,613
2,923,000 Royal Caribbean Cruises, Ltd.(b)
8.750%, 02/02/11 3,441,832
3,459,000 Russell Corp.
9.250%, 05/01/10 3,735,720
2,231,000 Spanish Broadcasting Systems, Inc.
9.625%, 11/01/09 2,348,127
1,093,000 Stoneridge, Inc.
11.500%, 05/01/12 1,262,415
1,785,000 Time Warner
7.625%, 04/15/31 2,205,689
2,834,000 Vail Resorts, Inc.(b)
6.750%, 02/15/14 2,872,968
Warner Music Group(a)
1,562,000 7.375%, 04/15/14 1,640,100
223,000 GBP 8.125%, 04/15/14 436,372
1,897,000 WCI Communities, Inc.
7.875%, 10/01/13 2,034,533
----------
61,453,902
----------
CONSUMER STAPLES (2.6%)
446,000 Central Garden & Pet Company
9.125%, 02/01/13 491,715
1,116,000 Chattem, Inc.
7.000%, 03/01/14 1,148,085
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------------------------------------
$ 971,000 Chiquita Brands International,
Inc.(a)(b)
7.500%, 11/01/14 $ 990,420
1,383,000 Del Monte Foods Company
8.625%, 12/15/12 1,543,774
1,339,000 DIMON, Inc.(b)
7.750%, 06/01/13 1,452,815
Dole Food Company, Inc.(b)
2,008,000 7.250%, 06/15/10 2,060,710
893,000 8.625%, 05/01/09 983,416
2,678,000 Jean Coutu Group, Inc.(a)(b)
8.500%, 08/01/14 2,684,695
223,000 Pilgrim's Pride Corp.
9.250%, 11/15/13 251,990
1,339,000 Pinnacle Foods Holding(a)(b)
8.250%, 12/01/13 1,231,880
1,250,000 Playtex Products, Inc.(b)
8.000%, 03/01/11 1,368,750
2,455,000 Rayovac Corp.
8.500%, 10/01/13 2,645,263
Revlon Consumer Products Corp.(e)
223,000 8.840%, 07/11/05 232,756
223,000 8.520%, 03/14/05 232,756
223,000 8.420%, 02/10/05 232,756
223,000 8.240%, 04/11/05 232,756
2,231,000 Smithfield Foods, Inc.
7.750%, 05/15/13 2,481,988
-----------
20,266,525
-----------
ENERGY (3.1%)
1,897,000 Chesapeake Energy Corp.
6.875%, 01/15/16 1,982,365
1,450,000 Comstock Resources, Inc.
6.875%, 03/01/12 1,486,250
669,000 Forest Oil Corp.
8.000%, 12/15/11 761,824
2,611,000 General Maritime Corp.(b)
10.000%, 03/15/13 2,996,122
1,308,000 Giant Industries, Inc.(b)
11.000%, 05/15/12 1,510,740
1,026,000 KCS Energy, Inc.
7.125%, 04/01/12 1,079,865
1,532,000 Overseas Shipholding Group, Inc.
7.500%, 02/15/24 1,554,980
2,522,000 Petroleo Brasileiro, SA
8.375%, 12/10/18 2,654,405
1,116,000 Plains All American Pipeline, L.P.
7.750%, 10/15/12 1,315,183
1,428,000 Premcor Refining Group Inc.
9.500%, 02/01/13(b) 1,649,340
608,000 7.500%, 06/15/15 656,640
669,000 Range Resources Corp.
7.375%, 07/15/13 712,485
1,562,000 Swift Energy Company
9.375%, 05/01/12 1,741,630
1,186,000 Tesoro Petroleum Corp.(b)
9.625%, 04/01/12 1,355,005
Williams Companies, Inc.
2,231,000 7.750%, 06/15/31 2,465,255
See accompanying Notes to Schedule of Investments
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------------------------------------------
$ 446,000 7.500%, 01/15/31(b) $ 483,910
----------------
24,405,999
----------------
FINANCIALS (0.8%)
669,000 GATX Corp.
8.875%, 06/01/09 772,300
1,674,000 Leucadia National Corp.(b)
7.000%, 08/15/13 1,736,775
2,455,000 LNR Property Corp.
7.250%, 10/15/13 2,801,769
379,000 Omega Healthcare Investors,
Inc.(b)
7.000%, 04/01/14 384,685
870,000 Senior Housing Properties Trust
7.875%, 04/15/15 957,000
----------------
6,652,529
----------------
HEALTH CARE (1.5%)
502,000 Alpharma, Inc.(a)
8.625%, 05/01/11 523,335
915,000 Ameripath, Inc.(b)
10.500%, 04/01/13 960,750
1,886,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 2,075,298
669,000 Beverly Enterprises, Inc.(a)
7.875%, 06/15/14 752,625
1,004,000 Elan Corp. PLC(a)
7.750%, 11/15/11 1,054,200
893,000 MedCath Corp.
9.875%, 07/15/12 964,440
1,450,000 Quintiles Transnational Corp.
10.000%, 10/01/13 1,645,750
1,897,000 Tenet Healthcare Corp.(a)(b)
9.250%, 02/01/15 1,906,485
669,000 Valeant Pharmaceuticals
International(b)
7.000%, 12/15/11 702,450
1,450,000 Vanguard Health Systems,
Inc.(a)(b)
9.000%, 10/01/14 1,558,750
----------------
12,144,083
----------------
INDUSTRIALS (2.2%)
223,000 EUR AGCO Corp.
6.875%, 04/15/14 313,220
558,000 Armor Holdings, Inc.
8.250%, 08/15/13 623,565
1,450,000 General Cable Corp.
9.500%, 11/15/10 1,638,500
1,339,000 Hutchison Whampoa, Ltd.(a)(b)
6.250%, 01/24/14 1,429,491
669,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 749,280
JLG Industries, Inc.(b)
1,004,000 8.250%, 05/01/08 1,059,220
223,000 8.375%, 06/15/12 234,150
1,428,000 Laidlaw Global Securities, Inc.
10.750%, 06/15/11 1,649,340
2,789,000 EUR Legrand Holding, SA
11.000%, 02/15/13 4,462,700
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------- -----------------
$ 759,000 Monitronics International, Inc.
11.750%, 09/01/10 $ 831,105
247,000 Orbital Sciences Corp.
9.000%, 07/15/11 277,875
1,562,000 Shaw Group, Inc.(b)
10.750%, 03/15/10 1,737,725
2,008,000 Terex Corp.(b)
7.375%, 01/15/14 2,118,440
598,000 United Agri Products, Inc.(a)
8.250%, 12/15/11 647,335
----------
17,771,946
----------
INFORMATION TECHNOLOGY (2.3%)
1,450,000 Advanced Micro Devices,
Inc.(a)(b)
7.750%, 11/01/12 1,453,625
2,008,000 Avnet, Inc.(b)
9.750%, 02/15/08 2,304,180
893,000 Celestica, Inc.
7.875%, 07/01/11 935,417
335,000 Communications & Power
Industries Holding Corp.
8.000%, 02/01/12 351,750
1,116,000 Flextronics International, Ltd.(b)
6.500%, 05/15/13 1,135,530
1,116,000 Freescale Semiconductor, Inc.(b)
7.125%, 07/15/14 1,209,465
Iron Mountain, Inc.
1,116,000 GBP 7.250%, 04/15/14(a) 2,010,166
446,000 6.625%, 01/01/16 422,585
Lucent Technologies, Inc.
982,000 6.500%, 01/15/28 878,890
469,000 6.450%, 03/15/29(b) 420,928
2,332,000 Sanmina-Sci Corp.(b)
10.375%, 01/15/10 2,658,480
446,000 Stratus Technologies, Inc.
10.375%, 12/01/08 425,930
Xerox Corp.(b)
2,120,000 8.000%, 02/01/27 2,220,700
1,562,000 7.625%, 06/15/13 1,690,865
----------
18,118,511
----------
MATERIALS (3.8%)
1,785,000 AK Steel Holding Corp.(b)
7.750%, 06/15/12 1,843,012
1,339,000 Arch Western Finance, LLC
6.750%, 07/01/13 1,372,475
2,008,000 Buckeye Technologies, Inc.
8.500%, 10/01/13 2,168,640
1,116,000 Equistar Chemicals, LP(b)
10.625%, 05/01/11 1,288,980
1,912,000 Freeport-McMoRan Copper &
Gold, Inc.
10.125%, 02/01/10 2,170,120
3,793,000 Georgia-Pacific Corp.(b)
8.125%, 05/15/11 4,380,915
1,339,000 Graham Packaging Holdings
Company(a)(b)
9.875%, 10/15/14 1,409,297
See accompanying Notes to Schedule of Investments
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------------------
$ 536,000 IMCO Recycling, Inc.
10.375%, 10/15/10 $ 605,680
1,664,000 IPSCO, Inc.
8.750%, 06/01/13 1,888,640
805,000 Ispat Inland ULC(b)
9.750%, 04/01/14 996,188
446,000 Neenah Paper, Inc.(a)
7.375%, 11/15/14 450,460
614,000 Novelis, Inc.(a)
7.250%, 02/15/15 626,280
2,008,000 Polyone Corp.(b)
10.625%, 05/15/10 2,248,960
1,004,000 Pope & Talbot, Inc.
8.375%, 06/01/13 1,064,240
1,785,000 Sealed Air Corp.(a)
6.875%, 07/15/33 1,984,977
Steel Dynamics, Inc.
669,000 9.500%, 03/15/09(b) 735,900
446,000 9.500%, 03/15/09 490,600
1,886,000 Texas Industries, Inc.
10.250%, 06/15/11 2,197,190
Union Carbide Corp.(b)
893,000 7.500%, 06/01/25 930,953
692,000 7.875%, 04/01/23 740,440
446,000 6.700%, 04/01/09 473,875
-----------------
30,067,822
-----------------
TELECOMMUNICATION SERVICES (0.4%)
446,000 IPCS Escrow Company
11.500%, 05/01/12 511,785
2,231,000 Nextel Communications, Inc.
7.375%, 08/01/15 2,470,832
-----------------
2,982,617
-----------------
UTILITIES (0.1%)
524,000 NRG Energy, Inc.(a)(b)
8.000%, 12/15/13 567,230
-----------------
TOTAL CORPORATE BONDS 194,431,164
-----------------
NUMBER OF
CONTRACTS VALUE
----------------------------------------------------------------------------------------------------------
OPTIONS (4.3%)
CONSUMER DISCRETIONARY (1.8%)
2,000 Carnival Corp.(c)
Call, 01/20/07, Strike 60.00 1,470,000
750 eBay, Inc.(c)
Call, 01/20/07, Strike 110.00 772,500
2,650 Home Depot, Inc.(c)
Call, 01/20/07, Strike 40.00 1,590,000
1,700 International Game Technology(c)
Call, 01/20/07, Strike 35.00 680,000
1,300 J.C. Penney Company, Inc.(c)
Call, 01/21/06, Strike 40.00 799,500
3,800 Metro-Goldwyn-Mayer, Inc.(c)
Call, 01/21/06, Strike 9.50 997,500
1,400 Nike, Inc.(c)
Call, 01/20/07, Strike 80.00 2,135,000
1,500 Nordstrom, Inc.(c)
Call, 01/21/06, Strike 40.00 1,620,000
NUMBER OF
CONTRACTS VALUE
----------------------------------------------------------------------------------------------------------
1,800 Starbucks Corp.(c)
Call, 01/20/07, Strike 55.00 $ 1,710,000
2,250 YUM! Brands, Inc.(c)
Call, 01/20/07, Strike 40.00 2,328,750
-----------------
14,103,250
-----------------
CONSUMER STAPLES (0.5%)
1,400 Avon Products, Inc.(c)
Call, 01/20/07, Strike 45.00 672,000
1,300 Constellation Brands, Inc.(c)
Call, 01/20/07, Strike 35.00 2,626,000
1,800 Sara Lee Corp.(c)
Call, 01/20/07, Strike 22.50 441,000
-----------------
3,739,000
-----------------
ENERGY (0.6%)
2,300 Apache Corp.(c)
Call, 01/21/06, Strike 45.00 2,840,500
2,500 Transocean, Inc.(c)
Call, 01/21/06, Strike 40.00 2,150,000
-----------------
4,990,500
-----------------
HEALTH CARE (0.6%)
1,400 Bausch & Lomb, Inc.(c)
Call, 01/21/06, Strike 60.00 2,198,000
1,500 Guidant Corp.(c)
Call, 01/21/06, Strike 70.00 967,500
800 UnitedHealth Group, Inc.(c)
Call, 01/20/07, Strike 85.00 1,380,000
-----------------
4,545,500
-----------------
INDUSTRIALS (0.1%)
1,950 American Standard Companies,
Inc.(c)
Call, 01/21/06, Strike 36.63 1,179,750
-----------------
INFORMATION TECHNOLOGY (0.7%)
900 Apple Computer, Inc.(c)
Call, 01/20/07, Strike 75.00 1,854,000
450 Electronic Arts, Inc.(c)
Call, 01/20/07, Strike 50.00 900,000
4,200 Motorola, Inc.(c)
Call, 01/21/06, Strike 20.00 546,000
4,400 Nokia Corp.(c)
Call, 01/20/07, Strike 15.00 1,122,000
1,800 QUALCOMM, Inc.(c)
Call, 01/20/07, Strike 37.50 1,332,000
-----------------
5,754,000
-----------------
TOTAL OPTIONS 34,312,000
-----------------
TOTAL SYNTHETIC
CONVERTIBLE
SECURITIES
(Cost $209,964,589) 228,743,164
-----------------
NUMBER OF
SHARES VALUE
----------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (23.8%)
CONSUMER DISCRETIONARY (3.2%)
511,000 Ford Motor Company Capital
Trust II
6.500% 25,539,780
-----------------
See accompanying Notes to Schedule of Investments
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
------------------------------------------------------------------------------------------
CONSUMER STAPLES (2.9%)
935,500 Albertson's, Inc.
7.250% $ 22,788,780
--------------------
FINANCIALS (5.7%)
135,500 Capital One Financial Corp.(b)
6.250% 7,235,700
465,000 Lehman Brothers Holdings, Inc.
6.250% 13,066,500
650,000 National Australia Bank, Ltd.
7.875% 25,090,000
--------------------
45,392,200
--------------------
HEALTH CARE (0.3%)
50,000 Baxter International, Inc.(b)
7.000% 2,730,000
--------------------
INDUSTRIALS (2.7%)
2,500,000 GBP BAE Systems, PLC
7.750% 6,239,398
179,000 Cummins, Inc.
7.000% 15,192,625
--------------------
21,432,023
--------------------
INFORMATION TECHNOLOGY (1.7%)
235,000 Pioneer-Standard Financial Trust
6.750% 13,101,250
--------------------
TELECOMMUNICATION SERVICES (2.1%)
330,000 ALLTEL Corp.
7.750% 16,582,500
--------------------
UTILITIES (5.2%)
410,000 AES Corp. Trust III
6.750% 19,721,000
350,000 CenterPoint Energy, Inc.(e)
2.000% 12,817,700
140,000 TXU Corp.
8.125% 8,414,000
--------------------
40,952,700
--------------------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $157,260,636) 188,519,233
--------------------
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT (0.5%)
$ 4,257,000 Exxon Mobil Corporation
2.300%, 02/01/05 4,257,000
-------------------
TOTAL SHORT-TERM
INVESTMENT
(Cost $4,257,000) 4,257,000
-------------------
NUMBER OF
SHARES VALUE
-------------------------------------------------------------------------------------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (24.1%)
$ 190,391,869 Bank of New York Institutional
Cash Reserve Fund
current rate 2.519% $ 190,391,869
------------------
TOTAL INVESTMENT OF
CASH COLLATERAL
FOR SECURITIES ON
LOAN
(Cost $190,391,869) 190,391,869
------------------
TOTAL INVESTMENTS (169.0%)
(Cost $1,234,572,659) 1,338,069,404
------------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN
(-24.1%) (190,391,869)
------------------
OTHER ASSETS, LESS LIABILITIES
(3.6%) 28,281,457
------------------
PREFERRED SHARES AT REDEMPTION
VALUE INCLUDING DIVIDENDS PAYABLE
(-48.5%) (384,288,292)
------------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $ 791,670,700
------------------
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market Value for Securities denominated in foreign currencies are shown in
U.S. dollars.
(a) 144A securities are those that are exempt from registration under Rule 144A
of the Securities Act of 1933, as amended. These securities are generally issued
to qualified institutional buyers ("QIBs"), such as the Fund. Any resale of
these securities must generally be effected through a sale that is exempt from
registration (e.g. a sale to another QIB), or the security must be registered
for public sale. At January 31, 2005 the market value of 144A securities that
could not be exchanged to the registered form were $133,847,879 or 16.9 % of net
assets applicable to common shareholders of the Fund.
(b) Security, or portion of security, is on loan.
(c) Non-Income producing security.
(d) Security is purchased at a price that takes into account the value, if any,
of accrued but unpaid interest.
(e) Variable Rate Security. The interest rate shown is the rate in effect at
January 31,2005.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying Notes to Schedule of Investments
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
NOTE 1
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities, including options, that are traded on a national securities
exchange are valued at the last reported sales price. Securities quoted on the
NASDAQ National Market System are valued at the Nasdaq Official Closing Price
("NOCP"), as determined by Nasdaq, or lacking an NOCP, the last current
reported sale price as of the time of valuation. Securities traded in the
over-the-counter market and listed securities for which no sales were reported
are valued at the mean of the most recently quoted bid and asked prices.
Short-term securities with maturities of 60 days or less are valued at
amortized cost, which approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is priced at a fair value following procedures and/or guidelines
approved by the Board of Trustees, which may include utilizing a systematic
fair valuation model provided by an independent pricing system. The Fund may
also use fair value pricing, if the value of a security it holds is, pursuant
to Board of Trustees' guidelines, materially affected by events occurring
before the Fund's pricing time but after the closed of the primary market or
exchange on which the security is traded. These procedures may utilize
valuations furnished by pricing services approved by the Board of Trustees,
which may be based on market transactions for comparable securities and various
relationships between securities that are generally recognized by institutional
traders, a computerized matrix system, or appraisals derived from information
concerning the securities or similar securities received from recognized
dealers in those securities. When fair value pricing is employed, the value of
the portfolio security used to calculate the Fund's net asset value may differ
from quoted or official closing prices.
Securities that are principally traded in a foreign market are valued as of the
close of the appropriate exchange or other designated time. Trading in
securities on European and Far Eastern securities exchanges and
over-the-counter markets is normally completed at various times before the
close of business on each day on which the New York Stock Exchange ("NYSE") is
open. Trading of these securities may not take place on every NYSE business
day. In addition, trading may take place in various foreign markets on
Saturdays or on other days when the NYSE is not open and on which the Fund's
net asset value is not calculated. As stated above, if the market prices are
not readily available or are not reflective of the fair value of the security,
the security will be priced at a fair value following procedures approved by
the Board of Trustees. In light of the judgement involved in fair value
decisions, there can be no assurance that a fair value assigned to a particular
security is accurate.
INVESTMENT TRANSACTIONS. Short-term investment transactions are recorded on a
trade date basis. Long-term investment transactions are recorded on a trade
date plus one basis, except for fiscal quarter ends, which are recorded on
trade date.
FOREIGN CURRENCY TRANSLATION. Values of investments and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
using the spot market rate of exchange at the date 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.
OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option among others, is that the Fund pays a premium whether or
not the option is exercised. Additionally, the Fund bears the risk of loss of
premium and change in market value should the counterparty not perform under
the contract. Put and call options purchased are accounted for in the same
manner as portfolio securities. The cost of securities acquired through the
exercise of call options is increased by premiums paid. The proceeds from
securities sold through the exercise of put options are decreased by the
premiums paid.
When a Fund writes an option, an amount equal to the premium received by a 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 a Fund on the expiration date as realized gains from
investments. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount
paid for the closing purchase transaction, as a realized loss. If a call option
is exercised, the premium is added to the proceeds from the sale of the
underlying security or currency in determining whether a Fund has realized a
gain or loss. If a put option is exercised, the premium reduces the cost basis
of the securities purchased by a Fund. A Fund as writer of an option bears the
market risk of an unfavorable change in the price of the security underlying
the written option.
NOTE 2
INVESTMENTS. The following information is presented on an income tax basis as of
January 31, 2005. Differences between amounts for financial statements and
Federal income tax purposes are primarily due to timing differences. The cost
basis of investments for Federal income tax purposes at January 31, 2005 was as
follows:
Cost basis of investments $ 1,239,487,385
---------------
Gross unrealized appreciation $ 108,276,468
Gross unrealized depreciation (9,694,449)
---------------
Net unrealized appreciation (depreciation) $ 98,582,019
===============
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
NOTE 3
SYNTHETIC CONVERTIBLE SECURITIES. The Fund may establish a "synthetic"
convertible instrument by combining separate securities that possess economic
characteristics similar to a convertible security, i.e., fixed-income
securities ("fixed-income component") and the right to acquire equity
securities ("convertible component"). The fixed-income component is achieved by
investing in non-convertible, fixed-income securities such as bonds, preferred
stocks and money market instruments. The convertible component is achieved by
investing in warrants or options to buy common stock at a certain exercise
price, or options on a stock index. In establishing a synthetic instrument, the
Fund may pool a basket of fixed-income securities and a basket of warrants or
options that produce the economic characteristics similar to a convertible
security. Within each basket of fixed-income securities and warrants or
options, different companies may issue the fixed-income and convertible
components, which may be purchased separately and at different times.
The Fund may purchase synthetic securities created by other parties, typically
investment banks, including convertible structured notes. Convertible
structured notes are fixed-income debentures linked to equity. Convertible
structured notes have the attributes of a convertible security; however, the
investment bank that issued the convertible note assumes the credit risk
associated with the investment, rather than the issuer of the underlying common
stock into which the note is convertible. Purchasing synthetic convertible
securities may offer more flexibility than purchasing a convertible security.
Different companies may issue the fixed-income and convertible components,
which may be purchased separately and at different times.
NOTE 4
PREFERRED SHARES. There are unlimited shares of Auction Market Preferred Shares
("Preferred Shares") authorized. The Preferred Shares have rights as determined
by 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 1.85% to 2.70% for the year ended January 31, 2005. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make
other distributions on shares of common stock or purchase any such shares if,
at the time of the declaration, distribution or purchase, asset coverage with
respect to the outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the option of the Fund, in whole or in
part, on any dividend payment date at $25,000 per share plus any accumulated
but unpaid dividends. The Preferred Shares are also subject to mandatory
redemption at $25,000 per share plus any accumulated but unpaid dividends,
whether or not declared, if certain requirements relating to the composition of
the assets and liabilities of the Fund as set forth in the Statement of
Preferences are not satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or the holders of common shares.
NOTE 5
INTEREST RATE TRANSACTIONS. The Fund may enter into interest rate swap or cap
transactions to attempt to protect itself from increasing dividend or interest
expense on its leverage resulting from increasing short-term interest rates. A
decline in interest rates may result in a decline in the value of the swap or
cap, which may result in a decline in the net asset value of the Fund. In
addition, if the counterparty to an interest rate swap or cap defaults, the
Fund would not be able to use the anticipated receipts under the swap or cap to
offset the dividend or interest payments on the Fund's leverage. At the time an
interest rate swap or cap reaches its scheduled termination, there is a risk
that the Fund would not be able to obtain a replacement transaction or that the
terms of the replacement would not be as favorable as on the expiring
transaction. In addition, if the Fund is required to terminate any swap or cap
early due to the Fund failing to maintain a required 200% asset coverage of the
liquidation value of the outstanding preferred shares or the Fund loses its
credit rating on its preferred shares, then the Fund could be required to make
a termination payment, in addition to redeeming all or some of the preferred
shares. Details of the swap agreements outstanding as of January 31, 2005 were
as follows:
UNREALIZED
TERMINATION NOTIONAL FIXED RATE FLOATING RATE APPRECIATION
COUNTERPARTY DATE AMOUNT (000) (FUND PAYS) (FUND RECEIVES) (DEPRECIATION)
-------------- ---------------- ------------ ----------- --------------- --------------
Merrill Lynch July 3, 2006 $ 65,000 1.91% 1 month LIBOR $ 1,335,284
Merrill Lynch July 3, 2007 65,000 2.33% 1 month LIBOR 1,983,180
Merrill Lynch July 3, 2008 70,000 2.69% 1 month LIBOR 2,506,880
Merrill Lynch November 28, 2006 60,000 2.82% 1 month LIBOR 710,740
Merrill Lynch November 28, 2007 60,000 3.26% 1 month LIBOR 714,519
Merrill Lynch November 28, 2008 60,000 3.60% 1 month LIBOR 534,833
-----------
$ 7,785,436
===========
NOTE 6
SECURITIES LENDING. During the period ended January 31, 2005, the Fund lent
certain of its securities to broker-dealers and banks. Any such loan must be
continuously secured by collateral in cash or cash equivalents maintained on a
current basis in an amount at least equal to the market value of the securities
loaned by the Fund. The Fund continues to receive the equivalent of the
interest or dividends paid by the issuer on the securities loaned, and also
receives an additional return that may be in the form of a fixed fee or a
percentage of the collateral. The Fund may pay reasonable fees to persons
unaffiliated with the Fund for services in arranging these loans. The Fund has
the right to call the loan and obtain the securities loaned at any time on
notice of not more than five business days. The Fund does not have the right to
vote the securities during the existence of the loan but could call the loan in
an attempt to permit voting of the securities in certain circumstances. Upon
return of the securities loaned, the cash or cash equivalent collateral will be
returned to the borrower. In the event of bankruptcy or other default of the
borrower, the Fund could experience both delays in liquidating the loan
collateral or recovering the loaned securities and losses, including (a)
possible decline in the value of the collateral or in the value of the
securities loaned during the period while the Fund seeks to enforce its rights
thereto, (b) possible subnormal levels of income and lack of access to income
during this period, and (c) 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 each Fund lends securities.
At January 31, 2005 the Fund had securities valued at $185,974,201 on loan to
broker-dealers and banks and had $190,391,869 in cash collateral.
ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure
controls and procedures were effective, as of that date, in ensuring that
information required to be disclosed by the registrant in this Form N-Q
was recorded, processed, summarized, and reported on a timely basis.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of
1940) that occurred during the registrant's last fiscal quarter that has
materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) Certification of Principal Executive Officer.
(b) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Convertible Opportunities and Income Fund
By: /s/ John P. Calamos, Sr.
-----------------------------------------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 24, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 24, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Convertible Opportunities and Income Fund
By: /s/ John P. Calamos, Sr.
-----------------------------------------------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: March 24, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 24, 2005