nvq
 

 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER:   811-21080
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:   Calamos Convertible
Opportunities and Income Fund
     
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:
  2020 Calamos Court, Naperville
 
  Illinois 60563
 
    
NAME AND ADDRESS OF AGENT FOR SERVICE:
  John P. Calamos, Sr., President
 
  Calamos Advisors LLC
 
  2020 Calamos Court,
 
  Naperville, Illinois
 
  60563
REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE:   (630) 245-7200
DATE OF FISCAL YEAR END:   October 31, 2007
DATE OF REPORTING PERIOD:   July 31, 2007
 
 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS July 31, 2007 (UNAUDITED)
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
Corporate Bonds (76.9%)        
       
Consumer Discretionary (29.3%)
        
$ 3,221,000    
Asbury Automotive Group, Inc.*
        
       
7.625%, 03/15/17
   $ 2,979,425  
  11,963,000    
Beazer Homes USA, Inc.
        
       
8.375%, 04/15/12
     10,048,920  
  4,601,000    
DEX Media, Inc.
        
       
8.000%, 11/15/13
     4,531,985  
  11,190,000    
DIRECTV Financing Company, Inc.
        
       
8.375%, 03/15/13
     11,385,825  
  4,854,000    
EchoStar DBS Corp.
        
       
7.125%, 02/01/16
     4,611,300  
  7,334,000    
EMI Group, PLC
        
       
9.750%, 05/20/08
     15,231,251  
  8,742,000    
Expedia, Inc.
        
       
7.456%, 08/15/18
     8,553,933  
       
Ford Motor Company
        
  5,521,000    
8.625%, 11/01/10
     5,369,128  
  4,601,000    
9.875%, 08/10/11^
     4,662,925  
  5,061,000    
GameStop Corp.^
        
       
8.000%, 10/01/12
     5,143,241  
  1,380,000    
General Motors Acceptance Corp.
        
       
6.875%, 09/15/11
     1,284,378  
       
General Motors Corp.^
        
  8,282,000    
7.200%, 01/15/11
     7,474,505  
  1,380,000    
7.125%, 07/15/13
     1,176,450  
       
Goodyear Tire & Rubber Company
        
  7,822,000    
7.000%, 03/15/28
     6,766,030  
  3,681,000    
7.857%, 08/15/11
     3,662,595  
  2,761,000    
Group 1 Automotive, Inc.
        
       
8.250%, 08/15/13
     2,788,610  
  5,291,000    
Hanes Brands, Inc.^‡
        
       
8.784%, 12/15/14
     5,211,635  
  3,681,000    
Hasbro, Inc.
        
       
6.600%, 07/15/28
     3,549,555  
  5,291,000    
Idearc, Inc.
        
       
8.000%, 11/15/16
     5,039,678  
  2,761,000    
Interpublic Group of Companies, Inc.^
        
       
7.250%, 08/15/11
     2,726,488  
  12,883,000    
Isle of Capri Casinos, Inc.
        
       
9.000%, 03/15/12
     13,511,046  
  2,540,000    
Jarden Corp.
        
       
7.500%, 05/01/17
     2,298,700  
  2,551,000    
Kellwood Company^
        
       
7.625%, 10/15/17
     2,500,207  
  3,681,000    
Landry’s Restaurants, Inc.
        
       
7.500%, 12/15/14
     3,570,570  
  2,761,000    
Liberty Media Corp.
        
       
8.250%, 02/01/30
     2,646,220  
  16,104,000    
MGM Mirage^
        
       
8.375%, 02/01/11
     16,385,820  
  7,178,000    
NCL Holding, ASA
        
       
10.625%, 07/15/14
     6,603,760  
  4,141,000    
Oxford Industries, Inc.
        
       
8.875%, 06/01/11
     4,203,115  
  4,601,000    
Phillips-Van Heusen Corp.^
        
       
8.125%, 05/01/13
     4,670,015  
                 
Principal            
Amount         Value  
 
       
 
        
$ 1,840,000    
Rent-A-Center, Inc.
        
       
7.500%, 05/01/10
   $ 1,798,600  
  2,623,000    
RH Donnelley Financial Corp.*
        
       
10.875%, 12/15/12
     2,780,380  
  4,601,000    
Royal Caribbean Cruises, Ltd.^
        
       
7.500%, 10/15/27
     4,091,826  
  6,442,000    
Service Corp. International*
        
       
7.500%, 04/01/27
     5,765,590  
  7,362,000    
Time Warner, Inc.
        
       
7.625%, 04/15/31
     7,879,652  
  11,687,000    
Vail Resorts, Inc.
        
       
6.750%, 02/15/14
     11,365,607  
  4,601,000    
Warnaco Group, Inc.
        
       
8.875%, 06/15/13
     4,854,055  
       
Warner Music Group
        
  7,316,000    
7.375%, 04/15/14
     6,584,400  
  920,000    
8.125%, 04/15/14
     1,821,897  
       
 
      
       
 
     215,529,317  
       
 
      
       
Consumer Staples (9.7%)
        
  920,000    
Alimentation Couche-Tard Inc.
        
       
7.500%, 12/15/13
     910,800  
  4,021,000    
Alliance One International, Inc.*^
        
       
8.500%, 05/15/12
     3,980,790  
  2,715,000    
Central Garden & Pet Company
        
       
9.125%, 02/01/13
     2,653,913  
  4,601,000    
Chattem, Inc.^
        
       
7.000%, 03/01/14
     4,347,945  
  5,061,000    
Chiquita Brands International, Inc.^
        
       
8.875%, 12/01/15
     4,377,765  
  5,705,000    
Del Monte Foods Company
        
       
8.625%, 12/15/12
     5,762,050  
  11,503,000    
Dole Food Company, Inc.^
        
       
8.875%, 03/15/11
     10,755,305  
  3,221,000    
NBTY, Inc.
        
       
7.125%, 10/01/15
     3,140,475  
       
Pilgrim’s Pride Corp.
        
  6,027,000    
8.375%, 05/01/17^
     5,755,785  
  1,564,000    
7.625%, 05/01/15
     1,517,080  
  5,153,000    
Playtex Products, Inc.
        
       
8.000%, 03/01/11
     5,346,238  
       
Reynolds American, Inc.
        
  5,061,000    
7.300%, 07/15/15
     5,148,707  
  2,761,000    
7.625%, 06/01/16
     2,863,891  
  2,761,000    
7.250%, 06/15/37
     2,816,573  
  9,202,000    
Smithfield Foods, Inc.
        
       
7.750%, 05/15/13
     9,109,980  
  2,761,000    
SUPERVALU, Inc.
        
       
7.500%, 11/15/14
     2,650,560  
       
 
      
       
 
     71,137,857  
       
 
      
       
Energy (9.6%)
        
  6,396,000    
Arch Western Finance, LLC
        
       
6.750%, 07/01/13
     5,852,340  
  8,282,000    
Chesapeake Energy Corp.
        
       
7.500%, 06/15/14
     8,344,115  
  2,761,000    
Comstock Resources, Inc.
        
       
6.875%, 03/01/12
     2,567,730  
See accompanying notes to Schedule of Investments

1

 

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
$ 2,761,000    
Forest Oil Corp.
        
       
8.000%, 12/15/11
   $ 2,795,513  
  2,301,000    
Hanover Compressor Company
        
       
9.000%, 06/01/14
     2,548,358  
  1,840,000    
Mariner Energy, Inc.
        
       
7.500%, 04/15/13
     1,752,600  
  5,153,000    
Petrohawk Energy Corp.
        
       
7.125%, 04/01/12
     5,075,705  
  10,399,000    
Petróleo Brasileiro, SA
        
       
8.375%, 12/10/18
     11,672,877  
       
Premcor Refining Group, Inc.
        
  5,889,000    
9.500%, 02/01/13
     6,235,038  
  2,508,000    
7.500%, 06/15/15
     2,590,992  
  2,761,000    
Range Resources Corp.
        
       
7.375%, 07/15/13
     2,761,000  
  3,221,000    
Superior Energy Services, Inc.
        
       
6.875%, 06/01/14
     3,011,635  
  4,601,000    
Whiting Petroleum Corp.^
        
       
7.250%, 05/01/13
     4,324,940  
       
Williams Companies, Inc.
        
  9,202,000    
7.750%, 06/15/31
     9,328,527  
  1,840,000    
7.500%, 01/15/31^
     1,821,600  
       
 
      
       
 
     70,682,970  
       
 
      
       
Financials (3.0%)
        
       
E*TRADE Financial Corp.
        
  6,073,000    
7.375%, 09/15/13
     6,133,730  
  4,141,000    
7.875%, 12/01/15
     4,285,935  
  1,104,000    
8.000%, 06/15/11
     1,131,600  
  6,902,000    
Leucadia National Corp.
        
       
7.000%, 08/15/13
     6,522,390  
  1,564,000    
Omega Healthcare Investors, Inc.
        
       
7.000%, 04/01/14
     1,501,440  
  2,313,000    
Senior Housing Properties Trust
        
       
7.875%, 04/15/15
     2,359,792  
       
 
      
       
 
     21,934,887  
       
 
      
       
Health Care (5.0%)
        
  3,681,000    
Angiotech Pharmaceuticals, Inc.^
        
       
7.750%, 04/01/14
     3,377,318  
  7,776,000    
Bausch & Lomb, Inc. •¤
        
       
7.125%, 08/01/28
     5,368,550  
  1,564,000    
Bio-Rad Laboratories, Inc.
        
       
7.500%, 08/15/13
     1,548,360  
  4,601,000    
Community Health Systems, Inc.*
        
       
8.875%, 07/15/15
     4,491,726  
  690,000    
DaVita, Inc.
        
       
7.250%, 03/15/15
     657,225  
       
Psychiatric Solutions, Inc.
        
  4,334,000    
7.750%, 07/15/15
     4,138,970  
  957,000    
7.750%, 07/15/15*
     913,935  
  7,822,000    
Tenet Healthcare Corp.
        
       
9.250%, 02/01/15
     6,726,920  
  4,141,000    
Valeant Pharmaceuticals International
        
       
7.000%, 12/15/11
     3,954,655  
  5,981,000    
Vanguard Health Systems, Inc.
        
       
9.000%, 10/01/14
     5,592,235  
       
 
      
       
 
     36,769,894  
       
 
      
                 
Principal            
Amount         Value  
 
       
 
        
       
Industrials (3.8%)
        
$ 690,000    
Belden CDT, Inc.*
        
       
7.000%, 03/15/17
   $ 655,500  
  920,000    
FTI Consulting, Inc.^
        
       
7.625%, 06/15/13
     910,800  
  2,761,000    
Gardner Denver, Inc.
        
       
8.000%, 05/01/13
     2,808,851  
  2,761,000    
GATX Corp.^
        
       
8.875%, 06/01/09
     2,923,477  
  1,176,000    
Global Cash Access, Inc.
        
       
8.750%, 03/15/12
     1,205,400  
  1,472,000    
H&E Equipment Service, Inc.
        
       
8.375%, 07/15/16
     1,508,800  
       
IKON Office Solutions, Inc.
        
  1,840,000    
7.750%, 09/15/15
     1,812,400  
  1,840,000    
6.750%, 12/01/25
     1,563,556  
  1,380,000    
Sequa Corp.
        
       
8.875%, 04/01/08
     1,407,600  
  6,442,000    
Terex Corp.
        
       
7.375%, 01/15/14
     6,345,370  
  1,840,000    
Trinity Industries, Inc.
        
       
6.500%, 03/15/14
     1,757,200  
  3,198,000    
WESCO Distribution, Inc.
        
       
7.500%, 10/15/17
     3,054,090  
  1,840,000    
Williams Scotsman International, Inc.
        
       
8.500%, 10/01/15
     1,987,200  
       
 
      
       
 
     27,940,244  
       
 
      
       
Information Technology (5.5%)
        
       
Amkor Tech, Inc.
        
  4,141,000    
9.250%, 06/01/16
     3,996,065  
  1,840,000    
7.750%, 05/15/13
     1,685,900  
  644,000    
Avago Technologies^
        
       
11.875%, 12/01/15
     708,400  
  3,681,000    
Celestica, Inc.^
        
       
7.875%, 07/01/11
     3,469,343  
  4,601,000    
Flextronics International, Ltd.
        
       
6.500%, 05/15/13
     4,255,925  
  5,291,000    
Freescale Semiconductor, Inc.*^
        
       
8.875%, 12/15/14
     4,788,355  
  6,304,000    
SunGard Data Systems, Inc.
        
       
9.125%, 08/15/13
     6,288,240  
       
Xerox Corp.
        
  8,742,000    
8.000%, 02/01/27^
     8,827,278  
  6,442,000    
7.625%, 06/15/13
     6,637,624  
       
 
      
       
 
     40,657,130  
       
 
      
       
Materials (6.0%)
        
  2,761,000    
Boise Cascade Company
        
       
7.125%, 10/15/14
     2,553,925  
  920,000    
Crown Holdings, Inc.
        
       
7.750%, 11/15/15
     910,800  
  2,301,000    
Equistar Chemicals, LP
        
       
10.625%, 05/01/11
     2,416,050  
  736,000    
Gibraltar Industries, Inc.
        
       
8.000%, 12/01/15
     702,880  
       
Ineos Group Holdings, PLC*
        
  4,417,000    
7.875%, 02/15/16
     5,295,283  
See accompanying notes to Schedule of Investments

2

 

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
$ 920,000    
8.500%, 02/15/16^
   $ 832,600  
  4,601,000    
Mosaic Company*
        
       
7.625%, 12/01/16
     4,647,010  
  3,681,000    
Neenah Paper, Inc.
        
       
7.375%, 11/15/14
     3,478,545  
  7,362,000    
Sealed Air Corp.*
        
       
6.875%, 07/15/33
     7,222,011  
  5,360,000    
Terra Industries, Inc.
        
       
7.000%, 02/01/17
     5,092,000  
  1,840,000    
Texas Industries, Inc.
        
       
7.250%, 07/15/13
     1,830,800  
       
Union Carbide Corp.
        
  3,681,000    
7.500%, 06/01/25
     3,645,294  
  2,853,000    
7.875%, 04/01/23
     2,924,040  
  2,945,000    
Westlake Chemical Corp.
        
       
6.625%, 01/15/16
     2,709,400  
       
 
      
       
 
     44,260,638  
       
 
      
       
Telecommunication Services (4.3%)
        
  4,334,000    
CenturyTel, Inc.
        
       
6.875%, 01/15/28
     4,206,247  
  5,613,000    
Citizens Communications Company
        
       
9.000%, 08/15/31
     5,248,155  
  5,521,000    
Leap Wireless International, Inc.
        
       
9.375%, 11/01/14
     5,472,691  
  5,521,000    
Qwest Communications International, Inc.^
        
       
7.750%, 02/15/31
     4,637,640  
  9,202,000    
Sprint Nextel Corp.
        
       
7.375%, 08/01/15
     8,933,495  
  3,681,000    
Syniverse Technologies, Inc.
        
       
7.750%, 08/15/13
     3,404,925  
       
 
      
       
 
     31,903,153  
       
 
      
       
Utilities (0.7%)
        
  920,000    
NRG Energy, Inc.
        
       
7.250%, 02/01/14
     890,100  
  5,521,000    
TXU Corp.
        
       
6.500%, 11/15/24
     4,350,543  
       
 
      
       
 
     5,240,643  
       
 
      
       
TOTAL CORPORATE BONDS
        
       
(Cost $579,662,185)
     566,056,733  
       
 
      
Convertible Bonds (31.3%)        
       
Consumer Discretionary (3.9%)
        
  5,000,000    
Amazon.com, Inc.
        
       
4.750%, 02/01/09
     5,387,500  
  1,870,000    
Liberty Media Corp. (Time Warner)∞
        
       
3.250%, 03/15/31
     1,547,425  
  5,500,000    
Punch Taverns Redwood Jersey Company Ltd.
        
       
5.000%, 12/14/10
     13,335,666  
  7,500,000    
Walt Disney Company^
        
       
2.125%, 04/15/23
     8,756,250  
       
 
      
       
 
     29,026,841  
       
 
      
                 
Principal            
Amount         Value  
 
       
 
        
       
Financials (1.5%)
        
$ 11,000,000    
Prudential Financial, Inc.^‡
        
       
2.960%, 12/12/36
   $ 11,052,470  
       
 
      
       
Health Care (3.9%)
        
  2,500,000    
Apria Healthcare Group, Inc.
        
       
3.375%, 09/01/33
     2,553,125  
  5,500,000    
Invitrogen Corp.
        
       
3.250%, 06/15/25
     5,555,000  
  8,500,000    
LifePoint Hospitals, Inc.
        
       
3.500%, 05/15/14
     7,490,625  
  5,500,000    
Millipore Corp.
        
       
3.750%, 06/01/26
     6,022,500  
  6,500,000    
Wyeth^‡
        
       
4.886%, 01/15/24
     6,934,200  
       
 
      
       
 
     28,555,450  
       
 
      
       
Industrials (5.8%)
        
  5,250,000    
EDO Corp.
        
       
4.000%, 11/15/25
     6,103,125  
  4,000,000    
FTI Consulting, Inc.
        
       
3.750%, 07/15/12
     5,980,000  
  10,500,000    
L-3 Communications Holdings, Inc.^
        
       
3.000%, 08/01/35
     11,786,250  
  8,250,000    
Lockheed Martin Corp.^‡
        
       
5.110%, 08/15/33
     11,620,125  
  5,000,000    
Quanta Services, Inc.*
        
       
3.750%, 04/30/26
     7,043,750  
       
 
      
       
 
     42,533,250  
       
 
      
       
Information Technology (12.6%)
        
  5,500,000    
Andrew Corp.
        
       
3.250%, 08/15/13
     5,830,000  
  2,000,000    
ASM International NV
        
       
4.250%, 12/06/11
     2,797,800  
  8,000,000    
Blackboard, Inc.^
        
       
3.250%, 07/01/27
     8,570,000  
  16,250,000    
Electronic Data Systems Corp.^
        
       
3.875%, 07/15/23
     16,656,250  
  8,500,000    
Informatica Corp.
        
       
3.000%, 03/15/26
     8,351,250  
  25,250,000    
Intel Corp.^
        
       
2.950%, 12/15/35
     24,650,312  
       
Linear Technology Corp.
        
  14,000,000    
3.000%, 05/01/27*
     14,210,000  
  2,500,000    
3.000%, 05/01/27
     2,537,500  
  9,000,000    
Vishay Intertechnology, Inc.
        
       
3.625%, 08/01/23
     9,157,500  
       
 
      
       
 
     92,760,612  
       
 
      
       
Telecommunication Services (1.5%)
        
  11,000,000    
NII Holdings, Inc.*
        
       
3.125%, 06/15/12
     11,082,500  
       
 
      
       
Utilities (2.1%)
        
  3,500,000    
International Power, PLC
        
       
3.250%, 07/20/13
     6,055,190  
See accompanying notes to Schedule of Investments

3

 

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
$ 2,950,000    
Scottish & Southern Energy, PLC
        
       
3.750%, 10/29/09
   $ 9,537,902  
       
 
      
       
 
     15,593,092  
       
 
      
       
TOTAL CONVERTIBLE BONDS
        
       
(Cost $221,855,982)
     230,604,215  
       
 
      
Synthetic Convertible Securities (7.8%)        
     
      Corporate Bonds (6.6%)
        
       
Consumer Discretionary (2.5%)
        
  279,000    
Asbury Automotive Group, Inc.*
        
       
7.625%, 03/15/17
     258,075  
  1,037,000    
Beazer Homes USA, Inc.
        
       
8.375%, 04/15/12
     871,080  
  399,000    
DEX Media, Inc.
        
       
8.000%, 11/15/13
     393,015  
  970,000    
DIRECTV Financing Company, Inc.
        
       
8.375%, 03/15/13
     986,975  
  421,000    
EchoStar DBS Corp.
        
       
7.125%, 02/01/16
     399,950  
  636,000    
EMI Group, PLC
        
       
9.750%, 05/20/08
     1,320,845  
  758,000    
Expedia, Inc.
        
       
7.456%, 08/15/18
     741,693  
       
Ford Motor Company
        
  479,000    
8.625%, 11/01/10
     465,824  
  399,000    
9.875%, 08/10/11^
     404,370  
  439,000    
GameStop Corp.^
        
       
8.000%, 10/01/12
     446,134  
  120,000    
General Motors Acceptance Corp.
        
       
6.875%, 09/15/11
     111,685  
       
General Motors Corp.^
        
  718,000    
7.200%, 01/15/11
     647,995  
  120,000    
7.125%, 07/15/13
     102,300  
       
Goodyear Tire & Rubber Company
        
  678,000    
7.000%, 03/15/28
     586,470  
  319,000    
7.857%, 08/15/11
     317,405  
  239,000    
Group 1 Automotive, Inc.
        
       
8.250%, 08/15/13
     241,390  
  459,000    
Hanes Brands, Inc.^‡
        
       
8.784%, 12/15/14
     452,115  
  319,000    
Hasbro, Inc.
        
       
6.600%, 07/15/28
     307,609  
  459,000    
Idearc, Inc.
        
       
8.000%, 11/15/16
     437,197  
  239,000    
Interpublic Group of Companies, Inc.^
        
       
7.250%, 08/15/11
     236,013  
  1,117,000    
Isle of Capri Casinos, Inc.
        
       
9.000%, 03/15/12
     1,171,454  
  220,000    
Jarden Corp.
        
       
7.500%, 05/01/17
     199,100  
  221,000    
Kellwood Company^
        
       
7.625%, 10/15/17
     216,600  
  319,000    
Landry’s Restaurants, Inc.
        
       
7.500%, 12/15/14
     309,430  
  239,000    
Liberty Media Corp.
        
       
8.250%, 02/01/30
     229,064  
                 
Principal            
Amount         Value  
 
       
 
        
$ 1,396,000    
MGM Mirage^
        
       
8.375%, 02/01/11
   $ 1,420,430  
  622,000    
NCL Holding, ASA
        
       
10.625%, 07/15/14
     572,240  
  359,000    
Oxford Industries, Inc.
        
       
8.875%, 06/01/11
     364,385  
  399,000    
Phillips-Van Heusen Corp.^
        
       
8.125%, 05/01/13
     404,985  
  160,000    
Rent-A-Center, Inc.
        
       
7.500%, 05/01/10
     156,400  
  227,000    
RH Donnelley Financial Corp.*
        
       
10.875%, 12/15/12
     240,620  
  399,000    
Royal Caribbean Cruises, Ltd.^
        
       
7.500%, 10/15/27
     354,844  
  558,000    
Service Corp. International*
        
       
7.500%, 04/01/27
     499,410  
  638,000    
Time Warner, Inc.
        
       
7.625%, 04/15/31
     682,860  
  1,013,000    
Vail Resorts, Inc.
        
       
6.750%, 02/15/14
     985,142  
  399,000    
Warnaco Group, Inc.
        
       
8.875%, 06/15/13
     420,945  
       
Warner Music Group
        
  634,000    
7.375%, 04/15/14
     570,600  
  80,000    
8.125%, 04/15/14
     158,426  
       
 
      
       
 
     18,685,075  
       
 
      
       
Consumer Staples (0.8%)
        
  80,000    
Alimentation Couche-Tard Inc.
        
       
7.500%, 12/15/13
     79,200  
  349,000    
Alliance One International, Inc.*^
        
       
8.500%, 05/15/12
     345,510  
  235,000    
Central Garden & Pet Company
        
       
9.125%, 02/01/13
     229,712  
  399,000    
Chattem, Inc.^
        
       
7.000%, 03/01/14
     377,055  
  439,000    
Chiquita Brands International, Inc.^
        
       
8.875%, 12/01/15
     379,735  
  495,000    
Del Monte Foods Company
        
       
8.625%, 12/15/12
     499,950  
  997,000    
Dole Food Company, Inc.^
        
       
8.875%, 03/15/11
     932,195  
  279,000    
NBTY, Inc.
        
       
7.125%, 10/01/15
     272,025  
       
Pilgrim’s Pride Corp.
        
  523,000    
8.375%, 05/01/17^
     499,465  
  136,000    
7.625%, 05/01/15
     131,920  
  447,000    
Playtex Products, Inc.
        
       
8.000%, 03/01/11
     463,762  
       
Reynolds American, Inc.
        
  439,000    
7.300%, 07/15/15
     446,608  
  239,000    
7.625%, 06/01/16
     247,907  
  239,000    
7.250%, 06/15/37
     243,811  
  798,000    
Smithfield Foods, Inc.
        
       
7.750%, 05/15/13
     790,020  
  239,000    
SUPERVALU, Inc.
        
       
7.500%, 11/15/14
     229,440  
       
 
      
       
 
     6,168,315  
       
 
      
See accompanying notes to Schedule of Investments

4

 

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
       
Energy (0.8%)
        
$ 554,000    
Arch Western Finance, LLC
        
       
6.750%, 07/01/13
   $ 506,910  
  718,000    
Chesapeake Energy Corp.
        
       
7.500%, 06/15/14
     723,385  
  239,000    
Comstock Resources, Inc.
        
       
6.875%, 03/01/12
     222,270  
  239,000    
Forest Oil Corp.
        
       
8.000%, 12/15/11
     241,988  
  199,000    
Hanover Compressor Company
        
       
9.000%, 06/01/14
     220,393  
  160,000    
Mariner Energy, Inc.
        
       
7.500%, 04/15/13
     152,400  
  447,000    
Petrohawk Energy Corp.
        
       
7.125%, 04/01/12
     440,295  
  901,000    
Petróleo Brasileiro, SA
        
       
8.375%, 12/10/18
     1,011,372  
       
Premcor Refining Group, Inc.
        
  511,000    
9.500%, 02/01/13
     541,026  
  217,000    
7.500%, 06/15/15
     224,181  
  239,000    
Range Resources Corp.
        
       
7.375%, 07/15/13
     239,000  
  279,000    
Superior Energy Services, Inc.
        
       
6.875%, 06/01/14
     260,865  
  399,000    
Whiting Petroleum Corp.^
        
       
7.250%, 05/01/13
     375,060  
       
Williams Companies, Inc.
        
  798,000    
7.750%, 06/15/31
     808,972  
  160,000    
7.500%, 01/15/31^
     158,400  
       
 
      
       
 
     6,126,517  
       
 
      
       
Financials (0.3%)
        
       
E*TRADE Financial Corp.
        
  527,000    
7.375%, 09/15/13
     532,270  
  359,000    
7.875%, 12/01/15
     371,565  
  96,000    
8.000%, 06/15/11
     98,400  
  598,000    
Leucadia National Corp.
        
       
7.000%, 08/15/13
     565,110  
  136,000    
Omega Healthcare Investors, Inc.
        
       
7.000%, 04/01/14
     130,560  
  200,000    
Senior Housing Properties Trust
        
       
7.875%, 04/15/15
     204,046  
       
 
      
       
 
     1,901,951  
       
 
      
       
Health Care (0.4%)
        
  319,000    
Angiotech Pharmaceuticals, Inc.^
        
       
7.750%, 04/01/14
     292,682  
  674,000    
Bausch & Lomb, Inc. •¤
        
       
7.125%, 08/01/28
     465,330  
  136,000    
Bio-Rad Laboratories, Inc.
        
       
7.500%, 08/15/13
     134,640  
  399,000    
Community Health Systems, Inc.*
        
       
8.875%, 07/15/15
     389,524  
  60,000    
DaVita, Inc.
        
       
7.250%, 03/15/15
     57,150  
       
Psychiatric Solutions, Inc.
        
  376,000    
7.750%, 07/15/15
     359,080  
  83,000    
7.750%, 07/15/15*
     79,265  
  678,000    
Tenet Healthcare Corp.
        
       
9.250%, 02/01/15
     583,080  
                 
Principal            
Amount         Value  
 
       
 
        
$ 359,000    
Valeant Pharmaceuticals International
        
       
7.000%, 12/15/11
   $ 342,845  
  519,000    
Vanguard Health Systems, Inc.
        
       
9.000%, 10/01/14
     485,265  
       
 
      
       
 
     3,188,861  
       
 
      
       
Industrials (0.3%)
        
  60,000    
Belden CDT, Inc.*
        
       
7.000%, 03/15/17
     57,000  
  80,000    
FTI Consulting, Inc.^
        
       
7.625%, 06/15/13
     79,200  
  239,000    
Gardner Denver, Inc.
        
       
8.000%, 05/01/13
     243,142  
  239,000    
GATX Corp.^
        
       
8.875%, 06/01/09
     253,064  
  102,000    
Global Cash Access, Inc.
        
       
8.750%, 03/15/12
     104,550  
  128,000    
H&E Equipment Service, Inc.
        
       
8.375%, 07/15/16
     131,200  
       
IKON Office Solutions, Inc.
        
  160,000    
7.750%, 09/15/15
     157,600  
  160,000    
6.750%, 12/01/25
     135,962  
  120,000    
Sequa Corp.
        
       
8.875%, 04/01/08
     122,400  
  558,000    
Terex Corp.
        
       
7.375%, 01/15/14
     549,630  
  160,000    
Trinity Industries, Inc.
        
       
6.500%, 03/15/14
     152,800  
  277,000    
WESCO Distribution, Inc.
        
       
7.500%, 10/15/17
     264,535  
  160,000    
Williams Scotsman International, Inc.
        
       
8.500%, 10/01/15
     172,800  
       
 
      
       
 
     2,423,883  
       
 
      
       
Information Technology (0.5%)
        
       
Amkor Tech, Inc.
        
  359,000    
9.250%, 06/01/16
     346,435  
  160,000    
7.750%, 05/15/13
     146,600  
  56,000    
Avago Technologies^
        
       
11.875%, 12/01/15
     61,600  
  319,000    
Celestica, Inc.^
        
       
7.875%, 07/01/11
     300,658  
  399,000    
Flextronics International, Ltd.
        
       
6.500%, 05/15/13
     369,075  
  459,000    
Freescale Semiconductor, Inc.*^
        
       
8.875%, 12/15/14
     415,395  
  546,000    
SunGard Data Systems, Inc.
        
       
9.125%, 08/15/13
     544,635  
       
Xerox Corp.
        
  758,000    
8.000%, 02/01/27^
     765,394  
  558,000    
7.625%, 06/15/13
     574,945  
       
 
      
       
 
     3,524,737  
       
 
      
       
Materials (0.5%)
        
  239,000    
Boise Cascade Company
        
       
7.125%, 10/15/14
     221,075  
  80,000    
Crown Holdings, Inc.
        
       
7.750%, 11/15/15
     79,200  
See accompanying notes to Schedule of Investments

5

 

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Principal            
Amount         Value  
 
       
 
        
$ 199,000    
Equistar Chemicals, LP
        
       
10.625%, 05/01/11
   $ 208,950  
  64,000    
Gibraltar Industries, Inc.
        
       
8.000%, 12/01/15
     61,120  
       
Ineos Group Holdings, PLC*
        
  383,000    
7.875%, 02/15/16
     459,156  
  80,000    
8.500%, 02/15/16^
     72,400  
  399,000    
Mosaic Company*
        
       
7.625%, 12/01/16
     402,990  
  319,000    
Neenah Paper, Inc.
        
       
7.375%, 11/15/14
     301,455  
  638,000    
Sealed Air Corp.*
        
       
6.875%, 07/15/33
     625,869  
  465,000    
Terra Industries, Inc.
        
       
7.000%, 02/01/17
     441,750  
  160,000    
Texas Industries, Inc.
        
       
7.250%, 07/15/13
     159,200  
       
Union Carbide Corp.
        
  319,000    
7.500%, 06/01/25
     315,906  
  247,000    
7.875%, 04/01/23
     253,150  
  255,000    
Westlake Chemical Corp.
        
       
6.625%, 01/15/16
     234,600  
       
 
      
       
 
     3,836,821  
       
 
      
       
Telecommunication Services (0.4%)
        
  376,000    
CenturyTel, Inc.
        
       
6.875%, 01/15/28
     364,916  
  487,000    
Citizens Communications Company
        
       
9.000%, 08/15/31
     455,345  
  479,000    
Leap Wireless International, Inc.
        
       
9.375%, 11/01/14
     474,809  
  479,000    
Qwest Communications International, Inc.
        
       
7.750%, 02/15/31
     402,360  
  798,000    
Sprint Nextel Corp.
        
       
7.375%, 08/01/15
     774,715  
  319,000    
Syniverse Technologies, Inc.
        
       
7.750%, 08/15/13
     295,075  
       
 
      
       
 
     2,767,220  
       
 
      
       
Utilities (0.1%)
        
  80,000    
NRG Energy, Inc.
        
       
7.250%, 02/01/14
     77,400  
  479,000    
TXU Corp.
        
       
6.500%, 11/15/24
     377,451  
       
 
      
       
 
     454,851  
       
 
      
       
Total Corporate Bonds
     49,078,231  
       
 
      
                 
Number of            
Contracts         Value  
 
       
 
        
     
          Options (1.2%)
        
       
Consumer Discretionary (0.2%)
        
  170    
Garmin, Ltd.#
        
       
Call, 01/17/09, Strike $70.00
     426,700  
  645    
Nike, Inc.#
        
       
Call, 01/17/09, Strike $55.00
     580,500  
                 
Number of            
Contracts         Value  
 
       
 
        
  700    
Omnicom Group, Inc.#
        
       
Call, 01/17/09, Strike $50.00
   $ 602,000  
       
 
      
       
 
     1,609,200  
       
 
      
       
Consumer Staples (0.1%)
        
  840    
Coca-Cola Company#
        
       
Call, 01/17/09, Strike $50.00
     592,200  
  430    
Kroger Company#
        
       
Call, 01/17/09, Strike $30.00
     102,125  
       
 
      
       
 
     694,325  
       
 
      
       
Financials (0.2%)
        
  450    
Franklin Resources, Inc.#
        
       
Call, 01/17/09, Strike $125.00
     1,055,250  
  130    
Goldman Sachs Group, Inc.#
        
       
Call, 01/17/09, Strike $220.00
     290,550  
  110    
Merrill Lynch & Company, Inc.#
        
       
Call, 01/17/09, Strike $90.00
     75,900  
       
 
      
       
 
     1,421,700  
       
 
      
       
Industrials (0.1%)
        
  460    
General Dynamics Corp.#
        
       
Call, 01/17/09, Strike $75.00
     607,200  
       
 
      
 
       
Information Technology (0.5%)
        
  55    
Apple Computer, Inc.#
        
       
Call, 01/17/09, Strike $140.00
     151,800  
  960    
Cisco Systems, Inc.#
        
       
Call, 01/17/09, Strike $27.50
     585,600  
  195    
Hewlett-Packard Company#
        
       
Call, 01/17/09, Strike $45.00
     164,775  
  500    
Infosys Technologies, Ltd.#
        
       
Call, 01/17/09, Strike $55.00
     380,000  
  1,300    
Microsoft Corp.#
        
       
Call, 01/17/09, Strike $30.00
     464,750  
       
Nokia Corp.#
        
  1,450    
Call, 01/17/09, Strike $30.00
     587,250  
  1,450    
Call, 01/17/09, Strike $25.00
     964,250  
  1,600    
Oracle Corp.#
        
       
Call, 01/17/09, Strike $17.50
     704,000  
       
 
      
       
 
     4,002,425  
       
 
      
       
Telecommunication Services (0.1%)
        
  110    
America Movil, S.A. de C.V.#
        
       
Call, 01/17/09, Strike $60.00
     134,750  
  100    
NII Holdings, Inc.#*
        
       
Call, 01/17/09, Strike $80.00
     190,000  
       
 
      
       
 
     324,750  
       
 
      
       
Total Options
     8,659,600  
       
 
      
       
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
        
       
(Cost $58,590,224)
     57,737,831  
       
 
      
                 
Number of            
Shares         Value  
 
       
 
        
Convertible Preferred Stocks (31.7%)        
       
Consumer Discretionary (1.0%)
        
  6,750    
Stanley Works‡
        
       
6.975%
     7,108,594  
       
 
      
See accompanying notes to Schedule of Investments

6

 

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments July 31, 2007 (unaudited)
                 
Number of            
Shares         Value  
 
       
 
        
       
Energy (1.9%)
        
  50,000    
Chesapeake Energy Corp.
        
       
6.250%
   $ 13,922,750  
       
 
      
       
Financials (17.9%)
        
  525,000    
Citigroup, Inc. (Genworth Financial, Inc.)‡∞
        
       
5.683%
     15,093,750  
  8,500    
Fortis Insurance, N.V. (Assurant, Inc.)*∞
        
       
7.750%
     10,933,550  
  240,000    
Lazard, Ltd.
        
       
6.625%
     7,708,800  
  850,000    
Lehman Brothers Holdings, Inc. (General Mills, Inc.)∞
        
       
6.250%
     22,210,500  
  190,000    
Merrill Lynch & Company, Inc. (Nuveen Investments, Inc.)∞
        
       
6.340%
     9,752,320  
  785,000    
MetLife, Inc.
        
       
6.375%
     23,455,800  
  55,000    
Reinsurance Group of America, Inc.
        
       
5.750%
     3,705,625  
  13,000    
Swiss Re
        
       
6.000%
     11,134,049  
  310,000    
Washington Mutual, Inc.
        
       
5.375%
     15,887,500  
  450,000    
XL Capital, Ltd.
        
       
7.000%
     12,312,000  
       
 
      
       
 
     132,193,894  
       
 
      
       
Health Care (1.9%)
        
  215,000    
Schering-Plough Corp.
        
       
4.650%
     13,876,100  
       
 
      
       
Materials (3.7%)
        
  105,000    
Freeport-McMoRan Copper & Gold, Inc.
        
       
6.750%
     14,862,750  
  14,000    
Givaudan SA
        
       
5.375%
     12,062,390  
       
 
      
       
 
     26,925,140  
       
 
      
       
Utilities (5.3%)
        
  410,000    
AES Corp. Trust III
        
       
6.750%
     19,536,500  
  435,000    
CenterPoint Energy, Inc. (Time Warner, Inc.)‡
        
       
2.000%
     15,925,350  
  65,000    
Southern Union Company
        
       
5.000%
     3,670,550  
       
 
      
       
 
     39,132,400  
       
 
      
       
TOTAL CONVERTIBLE PREFERRED STOCKS
        
       
(Cost $209,916,139)
     233,158,878  
       
 
      
                 
Number of            
Shares         Value  
 
       
 
        
Warrants (0.1%)        
       
Consumer Discretionary (0.1%)
        
  100,000    
Expedia, Inc.#
        
       
05/07/12 Strike $24.46
        
       
(Cost $198,500)
   $ 418,750  
       
 
      
Investment in Affiliated Fund (1.3%)        
  9,937,447    
Calamos Government Money Market Fund — Class I Shares
        
       
5.111%
        
       
(Cost $9,937,447)
     9,937,447  
       
 
      
Investments of Cash Collateral for Securities on Loan (20.4%)        
  150,159,216    
Bank of New York Institutional Cash Reserve Fund current rate 5.401%
        
       
(Cost $150,159,216)
     150,159,216  
       
 
      
TOTAL INVESTMENTS (169.5%)        
(Cost $1,230,319,693)     1,248,073,070  
       
 
      
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-20.4%)     (150,159,216 )
       
 
      
OTHER ASSETS, LESS LIABILITIES (3.1%)     22,683,905  
       
 
      
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-52.2%)     (384,311,568 )
       
 
      
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)   $ 736,286,191  
       
 
      
See accompanying notes to Schedule of Investments

7

 

INTEREST RATE SWAPS
                                         
SWAP Counterparty   Payments Made
by the Fund		     Payments Received
by the Fund		     Termination
Date		     Notional
Amount (USD)		     Unrealized
Appreciation/
(Depreciation)		  
Merrill Lynch
   3.60% monthly   1 month LIBOR     11/28/2008     $ 60,000,000     $ 1,147,708  
Merrill Lynch
   3.26% monthly   1 month LIBOR     11/28/2007       60,000,000       406,528  
Merrill Lynch
   2.69% monthly   1 month LIBOR     7/3/2008       70,000,000       1,712,585  
 
                                      
 
                                   $ 3,266,821  
 
                                      
NOTES TO SCHEDULE OF INVESTMENTS
Note: Value for Securities denominated in foreign currencies are shown in U.S. dollars. The principal amount for such securities are shown in the respective foreign currency. The date shown on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
 
*   Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted or excepted from such registration requirements. At July 31, 2007 the value of 144A securities that could not be exchanged to the registered form is $67,192,869 or 9.1% of net assets.
 
^   Security , or portion of security, is on loan.
 
‡   Variable rate or step bond security. The rate shown is the rate in effect at July 31, 2007.
 
∞   Securities exchangeable or convertible into securities of an entity different than the issuer. Such entity is identified in the parenthetical.
 
#   Non-income producing security.
 
•   Security is considered illiquid and may be difficult to sell.
 
¤   Security has been priced at a fair value following procedures approved by the Board of Trustees, and at July 31, 2007 involved the use of estimates and assumptions as determined by management personnel after evaluating information provided by an independent third party pricing service.

 

 

NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
NOTE 1 — ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization. CALAMOS Convertible Opportunities and Income Fund (the “Fund”) was organized as a Delaware statutory trust on April 17, 2002 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on June 26, 2002.
The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest at least 80% of its managed assets in a diversified portfolio of convertible and non-convertible income securities. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).
Portfolio Valuation. The valuation of the Fund’s portfolio securities is in accordance with policies and procedures adopted by and under the ultimate supervision of the Board of Trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option securities, are valued at the last current reported sales price at the time as of which a Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter (“OTC”) market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price (“NOCP”), as determined by NASDAQ, or lacking a NOCP, the last current reported sale price on NASDAQ at the time as of which a Fund determines its NAV.
When a most recent last sale or closing price is not available, portfolio securities, other than option securities, that are traded on a U.S. securities exchange and other securities traded in the OTC market are valued at the mean between the most recent bid and asked quotations in accordance with guidelines adopted by the Board of Trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the Board of Trustees. Each OTC option that is not traded through the Options Clearing Corporation is valued by the counterparty to such option.
Trading in securities on European and Far Eastern securities exchanges and OTC markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or OTC markets is evaluated utilizing a systematic fair valuation model provided by an independent pricing service approved by the Board of Trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last current sale price at the time as of which the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time, in accordance with guidelines adopted by the Board of Trustees. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security, including any thinly-traded security, junk bond or synthetic convertible instrument, is valued at a fair value by the pricing committee, under the ultimate supervision of the Board of Trustees, following the guidelines and/or procedures adopted by the Board of Trustees.

 

 

NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
The Fund also may use fair value pricing, under the ultimate supervision of the Board of Trustees, following the guidelines and/or procedures adopted by the Board of Trustees, if the value of a foreign security it holds is materially affected by events occurring before their valuation time but after the close of the primary market or exchange on which the security is traded. Those procedures may utilize valuations furnished by pricing services approved by the Board of Trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices.
Investment Transactions. Short-term and long-term investment transactions are recorded on a trade date basis on July 31, 2007.
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option, 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 the Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a written call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
NOTE 2 — INVESTMENTS
The following information is presented on a Federal income tax basis as of July 31, 2007. Differences between the cost basis under U.S. generally accepted accounting principles and Federal income tax purposes are primarily due to timing differences.
The cost basis of investments for Federal Income tax purposes at July 31, 2007 was as follows:
         
Cost basis of investments
   $ 1,248,073,070  
 
      
Gross unrealized appreciation
     50,453,071  
Gross unrealized depreciation
     (46,480,641 )
 
      
Net unrealized appreciation (depreciation)
   $ 3,972,430  
 
      

 

 

NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
Investments in Affiliated Fund. The Fund held the following investment in an affiliated fund as of July 31, 2007. Purchases, sales, dividend income and capital gains are shown during the period from November 1, 2006, through July 31, 2007.
                                                 
                                    Distributed    
    Value                           Capital   Value
    October 31,           Sales   Dividend   Gains   July 31,
Affiliated Fund   2006   Purchases   Proceeds   Income   Distributed   2007
Calamos Government Money Market Fund
   $  —     $ 99,318,446     $ 89,380,999     $ 231,709     $  —     $ 9,937,447  
NOTE 3 — FORWARD FOREIGN CURRENCY CONTRACTS
There were no open forward currency contracts at July 31, 2007.
NOTE 4 — PREFERRED SHARES
There are unlimited shares of Auction Rate Cumulative Preferred Shares (“Preferred Shares”) authorized. The Preferred Shares have rights as determined by the Board of Trustees. The 15,360 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.
NOTE 5 — INTEREST RATE TRANSACTIONS
Swap agreements are stated at fair value. The contracts are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation(depreciation).
Details of the interest rate swap agreements outstanding as of July 31, 2007 were as follows:
                                         
                                    Unrealized  
    Termination     Notional     Fixed Rate     Floating Rate     Appreciation  
Counterparty   Date     Amount (000)     (Fund Pays)     (Fund Receives)     (Depreciation)  
 
Merrill Lynch
     11/28/2008       60,000       3.60 %   1month LIBOR     1,147,708  
Merrill Lynch
     11/28/2007       60,000       3.26 %   1month LIBOR     406,528  
Merrill Lynch
     07/03/2008       70,000       2.69 %   1month LIBOR     1,712,585  
 
                                      
 
                                   $ 3,266,821  
 
                                      
NOTE 6 — SYNTHETIC CONVERTIBLE SECURITIES
The Fund may establish a “synthetic” convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities (“fixed-income component”, which may be a convertible or non-convertible security) and the right to acquire equity securities (“convertible component”). The fixed-income component is achieved by investing in fixed income securities such as bonds, preferred stocks, and money market instruments.

 

 

NOTES TO SCHEDULE OF INVESTMENTS
(unaudited)
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 also 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.
NOTE 7 — SECURITIES LENDING
For the period ended July 31, 2007, the Fund loaned one or more of their 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 receive an additional return that may be in the form of a fixed fee or a percentage of the income earned on 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 less than five business days. The Fund does not have the right to vote the securities during the existence of the loan but could call the loan in an attempt to permit voting of the securities in certain circumstances. Upon return of the securities loaned, the cash or cash equivalent collateral will be returned to the borrower. In the event of bankruptcy or other default of the borrower, the Fund could experience both delays in liquidating the loan collateral or recovering the loaned securities and losses, including (a) possible decline in the value of the collateral or in the value of the securities loaned during the period while the Fund seeks to enforce its rights thereto, (b) possible subnormal levels of income and lack of access to income during this period, and (c) the expenses of enforcing their rights. In an effort to reduce these risks, the Fund’s securities lending agent monitors and reports to Calamos Advisors on the creditworthiness of the firms to which a Fund lends securities. At July 31, 2007, the Fund had securities valued at $145,502,889 that were on loan to broker-dealers and banks and $150,159,216 in cash or cash equivalent collateral.

 

 

ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.
b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 3. EXHIBITS.
     (a) Certification of Principal Executive Officer.
     (b) Certification of Principal Financial Officer.

 

 

SIGNATURES
     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
         
Calamos Convertible Opportunities and Income Fund
 
        
By:
  /s/ John P. Calamos, Sr.    
 
       
Name:
  John P. Calamos, Sr.    
Title:
  Principal Executive Officer    
Date:
  September 25, 2007    
     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
         
Calamos Convertible Opportunities and Income Fund
 
        
By:
  /s/ John P. Calamos, Sr.    
 
       
Name:
  John P. Calamos, Sr.    
Title:
  Principal Executive Officer    
Date:
  September 25, 2007    
 
        
By:
  /s/ Patrick H. Dudasik    
 
       
Name:
  Patrick H. Dudasik    
Title:
  Principal Financial Officer    
Date:
  September 25, 2007