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, 2008 
 
DATE OF REPORTING PERIOD:   January 31, 2008 
 
 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS January 31, 2008 (UNAUDITED)
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
 
Corporate Bonds (88.2%)        
       
Consumer Discretionary (25.4%)
        
$ 3,328,000    
Asbury Automotive Group, Inc.
        
       
7.625%, 03/15/17
   $ 2,712,320  
  2,853,000    
Cooper Tire & Rubber Company^
        
       
8.000%, 12/15/19
     2,624,760  
       
D.R. Horton, Inc.
        
  1,902,000    
9.750%, 09/15/10
     1,866,338  
  1,902,000    
8.000%, 02/01/09
     1,878,225  
  1,441,000    
7.875%, 08/15/11
     1,397,770  
  4,754,000    
DEX Media, Inc.
        
       
8.000%, 11/15/13
     4,302,370  
  11,563,000    
DIRECTV Financing Company, Inc.
        
       
8.375%, 03/15/13
     12,011,066  
  5,016,000    
EchoStar DBS Corp.
        
       
7.125%, 02/01/16
     5,034,810  
  9,033,000    
Expedia, Inc.^
        
       
7.456%, 08/15/18
     9,424,725  
       
Ford Motor Company
        
  5,705,000    
8.625%, 11/01/10
     5,364,566  
  4,754,000    
9.875%, 08/10/11
     4,564,624  
  5,230,000    
GameStop Corp.
        
       
8.000%, 10/01/12
     5,452,275  
       
General Motors Corp.^
        
  8,558,000    
7.200%, 01/15/11
     7,851,965  
  1,426,000    
7.125%, 07/15/13
     1,219,230  
       
Goodyear Tire & Rubber Company
        
  8,083,000    
7.000%, 03/15/28
     6,345,155  
  3,804,000    
7.857%, 08/15/11
     3,851,550  
  2,853,000    
Group 1 Automotive, Inc.
        
       
8.250%, 08/15/13
     2,696,085  
  5,468,000    
Hanes Brands, Inc.^‡
        
       
8.204%, 12/15/14
     4,975,880  
  3,804,000    
Hasbro, Inc.
        
       
6.600%, 07/15/28
     3,681,739  
  3,090,000    
Idearc, Inc.^
        
       
8.000%, 11/15/16
     2,781,000  
  2,853,000    
Interpublic Group of Companies, Inc.
        
       
7.250%, 08/15/11
     2,738,880  
  2,624,000    
Jarden Corp.^
        
       
7.500%, 05/01/17
     2,256,640  
  2,636,000    
Kellwood Company^
        
       
7.625%, 10/15/17
     2,187,880  
  2,853,000    
Liberty Media Corp.^
        
       
8.250%, 02/01/30
     2,600,515  
  16,641,000    
MGM Mirage^
        
       
8.375%, 02/01/11
     17,098,628  
  7,417,000    
NCL Holding, ASA
        
       
10.625%, 07/15/14
     7,528,255  
  1,636,000    
Oxford Industries, Inc.
        
       
8.875%, 06/01/11
     1,607,370  
  4,754,000    
Phillips-Van Heusen Corp.
        
       
8.125%, 05/01/13
     4,872,850  
       
Pulte Homes, Inc.
        
  2,853,000    
7.875%, 08/01/11
     2,770,976  
  1,331,000    
8.125%, 03/01/11
     1,308,329  
  4,754,000    
Royal Caribbean Cruises, Ltd.
        
       
7.500%, 10/15/27
     4,346,297  
  6,656,000    
Service Corp. International
        
       
7.500%, 04/01/27
     5,990,400  
  7,607,000    
Time Warner, Inc.
        
       
7.625%, 04/15/31
     8,242,185  
  1,036,000    
Toll Brothers, Inc.^
        
       
8.250%, 12/01/11
     999,740  
  12,076,000    
Vail Resorts, Inc.
        
       
6.750%, 02/15/14
     11,653,340  
  4,754,000    
Warnaco Group, Inc.
        
       
8.875%, 06/15/13
     4,860,965  
       
Warner Music Group
        
  6,371,000    
7.375%, 04/15/14
     5,001,235  
  951,000   GBP
8.125%, 04/15/14
     1,371,055  
       
 
      
       
 
     177,471,993  
       
 
      
       
Consumer Staples (13.5%)
        
  951,000    
Alimentation Couche-Tard Inc.
        
       
7.500%, 12/15/13
     949,811  
  4,155,000    
Alliance One International, Inc.
        
       
8.500%, 05/15/12
     3,884,925  
  951,000    
Anheuser-Busch Companies, Inc.
        
       
5.000%, 03/01/19
     941,804  
       
5.500%, 01/15/18
     9,889,018  
  4,754,000    
Chattem, Inc.
        
       
7.000%, 03/01/14
     4,670,805  
  5,230,000    
Chiquita Brands International, Inc.^
        
       
8.875%, 12/01/15
     4,654,700  
  10,460,000    
Coca-Cola Company^
        
       
5.350%, 11/15/17
     10,974,475  
  5,895,000    
Del Monte Foods Company, Inc
        
       
8.625%, 12/15/12
     5,983,425  
  7,711,000    
Dole Foods Company, Inc.
        
       
8.875%, 03/15/11
     6,901,345  
  10,935,000    
Kimberly-Clark Corp.
        
       
6.125%, 08/01/17
     11,774,075  
  3,328,000    
NBTY, Inc.
        
       
7.125%, 10/01/15
     3,111,680  
       
Pilgrim’s Pride Corp.
        
  6,228,000    
8.375%, 05/01/17^
     5,465,070  
  1,617,000    
7.625%, 05/01/15
     1,540,193  
       
Reynolds American, Inc.
        
  5,230,000    
7.300%, 07/15/15
     5,472,829  
  2,853,000    
7.625%, 06/01/16
     3,035,746  
  2,853,000    
7.250%, 06/15/37
     2,883,533  
  9,509,000    
Smithfield Foods, Inc.^
        
       
7.750%, 05/15/13
     9,366,365  
  2,853,000    
SUPERVALU, Inc.
        
       
7.500%, 11/15/14
    2,906,494  
       
 
      
       
 
     94,406,293  
       
 
      
See accompanying notes to Schedule of Investments

1

 

CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
 
       
Energy (11.8%)
        
$ 6,609,000    
Arch Western Finance, LLC
        
       
6.750%, 07/01/13
   $ 6,427,252  
  2,092,000    
Bristow Group, Inc.*
        
       
7.500%, 09/15/17
     2,123,380  
       
Chesapeake Energy Corp.
        
  8,558,000    
7.500%, 06/15/14
     8,771,950  
  2,634,000    
6.875%, 11/15/20
     2,554,980  
  1,902,000    
Complete Production Services, Inc.
        
       
8.000%, 12/15/16
     1,854,450  
  2,853,000    
Comstock Resources, Inc.
        
       
6.875%, 03/01/12
     2,710,350  
  2,853,000    
Forest Oil Corp.
        
       
8.000%, 12/15/11
     2,974,252  
  1,902,000    
GulfMark Offshore, Inc.
        
       
7.750%, 07/15/14
     1,940,040  
  1,902,000    
Mariner Energy, Inc.
        
       
7.500%, 04/15/13
     1,830,675  
  5,325,000    
Petrohawk Energy Corp.
        
       
7.125%, 04/01/12
     5,085,375  
  10,745,000    
Petróleo Brasileiro, SA
        
       
8.375%, 12/10/18
     12,894,000  
       
Premcor Refining Group, Inc.
        
  6,086,000    
9.500%, 02/01/13
     6,395,796  
  2,591,000    
7.500%, 06/15/15
     2,728,756  
  2,853,000    
Range Resources Corp.
        
       
7.375%, 07/15/13
     2,902,927  
  761,000    
Southwestern Energy Company*
        
       
7.500%, 02/01/18
     785,733  
  3,328,000    
Superior Energy Services, Inc.
        
       
6.875%, 06/01/14
     3,228,160  
  4,754,000    
Whiting Petroleum Corp.
        
       
7.250%, 05/01/13
     4,706,460  
       
Williams Companies, Inc.
        
  9,509,000    
7.750%, 06/15/31
     10,364,810  
  1,902,000    
7.500%, 01/15/31
     2,035,140  
       
 
      
       
 
     82,314,486  
       
 
      
       
Financials (2.9%)
        
       
Leucadia National Corp.
        
  5,677,000    
8.125%, 09/15/15
     5,677,000  
  5,230,000    
7.000%, 08/15/13
     5,086,175  
  5,230,000    
Nuveen Investments, Inc.*
        
       
10.500%, 11/15/15
     5,099,250  
  1,617,000    
Omega Healthcare Investors, Inc.
        
       
7.000%, 04/01/14
     1,608,915  
  2,390,000    
Senior Housing Properties Trust
        
       
7.875%, 04/15/15
     2,502,239  
       
 
      
       
 
     19,973,579  
       
 
      
       
Health Care (4.5%)
        
  10,460,000    
Abbott Laboratories
        
       
5.875%, 05/15/16
     11,171,939  
  1,617,000    
Bio-Rad Laboratories, Inc.
        
       
7.500%, 08/15/13
     1,641,255  
  4,754,000    
Community Health Systems, Inc.
        
       
8.875%, 07/15/15
     4,807,482  
  3,090,000    
DaVita, Inc.
        
       
7.250%, 03/15/15
     3,090,000  
  5,468,000    
Psychiatric Solutions, Inc.
        
       
7.750%, 07/15/15
     5,413,320  
  4,279,000    
Valeant Pharmaceuticals International
        
       
7.000%, 12/15/11
     4,139,933  
  884,000    
Vanguard Health Systems, Inc.
        
       
9.000%, 10/01/14
     842,010  
       
 
      
       
 
     31,105,939  
       
 
      
       
Industrials (7.9%)
        
  1,189,000    
Belden CDT, Inc.
        
       
7.000%, 03/15/17
     1,144,413  
  951,000    
FTI Consulting, Inc.^
        
       
7.625%, 06/15/13
     974,775  
  2,853,000    
Gardner Denver, Inc.
        
       
8.000%, 05/01/13
     2,853,000  
  2,853,000    
GATX Corp.^
        
       
8.875%, 06/01/09
     3,010,360  
  10,460,000    
General Electric Company
        
       
5.250%, 12/06/17
     10,572,225  
  1,521,000    
H&E Equipment Service, Inc.
        
       
8.375%, 07/15/16
     1,353,690  
  5,325,000    
Helix Energy Solutions Group, Inc*
        
       
9.500%, 01/15/16
     5,431,500  
       
IKON Office Solutions, Inc.
        
  1,902,000    
7.750%, 09/15/15^
     1,940,040  
  951,000    
6.750%, 12/01/25
     691,448  
  2,377,000    
Interline Brands, Inc.
        
       
8.125%, 06/15/14
     2,329,460  
  2,320,000    
SPX Corp.*
        
       
7.625%, 12/15/14
     2,380,900  
  6,656,000    
Terex Corp.
        
       
7.375%, 01/15/14
     6,606,080  
  1,902,000    
Trinity Industries, Inc.
        
       
6.500%, 03/15/14
     1,835,430  
  10,460,000    
United Parcel Service, Inc.
        
       
5.500%, 01/15/18
     10,913,860  
  3,304,000    
WESCO International, Inc.
        
       
7.500%, 10/15/17
     3,006,640  
       
 
      
       
 
     55,043,821  
       
 
      
       
Information Technology (8.9%)
        
       
Amkor Tech, Inc.
        
  4,279,000    
9.250%, 06/01/16
     4,049,004  
  1,902,000    
7.750%, 05/15/13
     1,709,423  
  666,000    
Avago Technologies
        
       
11.875%, 12/01/15
     699,300  
  3,804,000    
Celestica, Inc.
        
       
7.875%, 07/01/11
     3,708,900  
  10,460,000    
Cisco Systems, Inc.
        
       
5.500%, 02/22/16
     10,827,240  
  4,754,000    
Flextronics International, Ltd.
        
       
6.500%, 05/15/13
     4,587,610  
See accompanying notes to Schedule of Investments

2

 

CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                 
Principal            
Amount         Value  
 
$ 4,327,000    
Freescale Semiconductor, Inc.
        
       
8.875%, 12/15/14
   $ 3,537,323  
  10,460,000    
Oracle Corp.
        
       
5.250%, 01/15/16
     10,502,384  
  6,514,000    
SunGard Data Systems, Inc.
        
       
9.125%, 08/15/13
     6,644,280  
       
Xerox Corp.
        
  9,033,000    
8.000%, 02/01/27^
     9,070,568  
  6,656,000    
7.625%, 06/15/13
     6,907,796  
       
 
      
       
 
     62,243,828  
       
 
      
       
Materials (6.3%)
        
  2,853,000    
Boise Cascade Company
        
       
7.125%, 10/15/14
     2,731,747  
  951,000    
Crown Holdings, Inc.
        
       
7.750%, 11/15/15
     972,398  
       
Ineos Group Holdings, PLC*
        
  4,564,000   EUR
7.875%, 02/15/16
     4,953,266  
  951,000    
8.500%, 02/15/16^
     760,800  
  4,754,000    
Mosaic Company*
        
       
7.625%, 12/01/16
     5,158,090  
  3,804,000    
Neenah Paper, Inc.
        
       
7.375%, 11/15/14
     3,404,580  
  7,607,000    
Sealed Air Corp.*
        
       
6.875%, 07/15/33
     7,298,589  
  7,441,000    
Terra Industries, Inc.
        
       
7.000%, 02/01/17
     7,347,987  
  1,902,000    
Texas Industries, Inc.
        
       
7.250%, 07/15/13
     1,835,430  
       
Union Carbide Corp.
        
  3,804,000    
7.500%, 06/01/25
     3,734,767  
  2,948,000    
7.875%, 04/01/23
     3,022,290  
  3,043,000    
Westlake Chemical Corp.
        
       
6.625%, 01/15/16
     2,784,345  
       
 
      
       
 
     44,004,289  
       
 
      
       
Telecommunication Services (6.3%)
        
  4,479,000    
CenturyTel, Inc.
        
       
6.875%, 01/15/28
     4,453,765  
  5,800,000    
Citizens Communications Company
        
       
9.000%, 08/15/31
     5,604,250  
  5,705,000    
Leap Wireless International, Inc.
        
       
9.375%, 11/01/14
     5,220,075  
  5,705,000    
Qwest Communications International, Inc.^
        
       
7.750%, 02/15/31
     5,077,450  
  9,509,000    
Sprint Nextel Corp.
        
       
7.375%, 08/01/15
     8,705,157  
  3,804,000    
Syniverse Technologies, Inc.
        
       
7.750%, 08/15/13
     3,675,615  
  10,935,000    
Verizon Communications, Inc.^
        
       
5.500%, 04/01/17
     11,130,080  
       
 
      
       
 
     43,866,392  
       
 
      
       
Utilities (0.7%)
        
  5,230,000    
TXU Corp.*
        
       
10.250%, 11/01/15
     5,164,625  
       
 
      
       
TOTAL CORPORATE BONDS
        
       
(Cost $627,084,729)
     615,595,245  
       
 
      
Convertible Bonds (31.6%)        
       
Consumer Discretionary (3.8%)
        
  15,000,000    
Amazon.com, Inc.
        
       
4.750%, 02/01/09
     16,912,500  
  1,870,000    
Liberty Media Corp. (Time Warner Corp.)¥
        
       
3.250%, 03/15/31
     1,395,487  
  7,500,000    
Walt Disney Company^
        
       
2.125%, 04/15/23
     8,090,625  
       
 
      
       
 
     26,398,612  
       
 
      
       
Energy (2.0%)
        
  6,000,000    
Pioneer Natural Resources
        
       
2.875%, 01/15/38
     6,150,000  
  5,500,000    
SeaDrill, Ltd.
        
       
3.625%, 11/08/12
     5,280,000  
  2,740,000    
St. Mary Land & Exploration Company^
        
       
3.500%, 04/01/27
     2,798,225  
       
 
      
       
 
     14,228,225  
       
 
      
       
Financials (1.5%)
        
  11,000,000    
Prudential Financial, Inc.‡
        
       
2.733%, 12/12/36
     10,815,200  
       
 
      
       
Health Care (5.3%)
        
  6,000,000    
Cubist Pharmaceuticals, Inc.
        
       
2.250%, 06/15/13
     5,422,500  
  16,000,000    
Invitrogen Corp.^
        
       
3.250%, 06/15/25
     17,920,000  
  5,500,000    
Millipore Corp.
        
       
3.750%, 06/01/26
     5,830,000  
  2,000,000    
Molina Healthcare, Inc.^
        
       
3.750%, 10/01/14
     2,110,000  
  5,500,000    
OSI Pharmaceuticals, Inc.^
        
       
3.250%, 09/08/23
     5,747,500  
       
 
      
       
 
     37,030,000  
       
 
      
       
Industrials (4.5%)
        
  10,500,000    
L-3 Communications Holdings, Inc.^
        
       
3.000%, 08/01/35
     13,269,375  
  8,250,000    
Lockheed Martin Corp.‡
        
       
4.619%, 08/15/33
     12,375,825  
  5,000,000    
Quanta Services, Inc.*
        
       
3.750%, 04/30/26
     5,937,500  
       
 
      
       
 
     31,582,700  
       
 
      
       
Information Technology (13.7%)
        
  8,000,000    
Blackboard, Inc.
        
       
3.250%, 07/01/27
     7,890,000  
  5,500,000    
Euronet Worldwide, Inc.
        
       
3.500%, 10/15/25
     5,341,875  
  8,500,000    
Informatica Corp.
        
       
3.000%, 03/15/26
     10,040,625  
See accompanying notes to Schedule of Investments

3

 

     CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                     
Principal                
Amount             Value  
$ 32,250,000    
 
   Intel Corp.        
       
 
   2.950%, 12/15/35   $ 32,250,000  
       
 
   Linear Technology Corp.        
  14,000,000    
 
   3.000%, 05/01/27*     12,932,500  
  2,500,000    
 
   3.000%, 05/01/27^     2,309,375  
  1,140,000    
 
   Seagate Technology        
       
 
   6.800%, 04/30/10     1,229,775  
  19,500,000    
 
   VeriSign, Inc.*        
       
 
   3.250%, 08/15/37     23,424,375  
       
 
          
       
 
         95,418,525  
       
 
          
       
 
   Utilities (0.8%)        
  3,500,000    
EUR
   International Power, PLC        
       
 
   3.250%, 07/20/13     5,875,849  
       
 
          
       
 
   TOTAL CONVERTIBLE BONDS        
       
 
   (Cost $214,521,335)     221,349,111  
       
 
          
Synthetic Convertible Securities (5.3%)        
       
 
 Corporate Bonds (4.5%)        
       
 
   Consumer Discretionary (1.3 %)        
  172,000    
 
   Asbury Automotive Group, Inc.        
       
 
   7.625%, 03/15/17     140,180  
  147,000    
 
   Cooper Tire & Rubber Company^        
       
 
   8.000%, 12/15/19     135,240  
       
 
   D.R. Horton, Inc.        
  98,000    
 
   9.750%, 09/15/10     96,163  
  98,000    
 
   8.000%, 02/01/09     96,775  
  74,000    
 
   7.875%, 08/15/11     71,780  
  246,000    
 
   DEX Media, Inc.        
       
 
   8.000%, 11/15/13     222,630  
  597,000    
 
   DIRECTV Financing Company, Inc.        
       
 
   8.375%, 03/15/13     620,134  
  259,000    
 
   EchoStar DBS Corp.        
       
 
   7.125%, 02/01/16     259,971  
  467,000    
 
   Expedia, Inc.^        
       
 
   7.456%, 08/15/18     487,252  
       
 
   Ford Motor Company        
  295,000    
 
   8.625%, 11/01/10     277,396  
  246,000    
 
   9.875%, 08/10/11     236,201  
  270,000    
 
   GameStop Corp.        
       
 
   8.000%, 10/01/12     281,475  
       
 
   General Motors Corp.^        
  442,000    
 
   7.200%, 01/15/11     405,535  
  74,000    
 
   7.125%, 07/15/13     63,270  
       
 
   Goodyear Tire & Rubber Company        
  417,000    
 
   7.000%, 03/15/28     327,345  
  196,000    
 
   7.860%, 08/15/11     198,450  
  147,000    
 
   Group 1 Automotive, Inc.        
       
 
   8.250%, 08/15/13     138,915  
  282,000    
 
   Hanes Brands, Inc.^‡        
       
 
   8.204%, 12/15/14     256,620  
  196,000    
 
   Hasbro, Inc.        
       
 
   6.600%, 07/15/28     189,701  
  160,000    
 
   Idearc, Inc.^        
       
 
   8.000%, 11/15/16     144,000  
  147,000    
 
   Interpublic Group of Companies, Inc.        
       
 
   7.250%, 08/15/11     141,120  
  136,000    
 
   Jarden Corp.^        
       
 
   7.500%, 05/01/17     116,960  
  136,000    
 
   Kellwood Company^        
       
 
   7.625%, 10/15/17     112,880  
  147,000    
 
   Liberty Media Corp.^        
       
 
   8.250%, 02/01/30     133,991  
  859,000    
 
   MGM Mirage^        
       
 
   8.375%, 02/01/11     882,622  
  383,000    
 
   NCL Holding, ASA        
       
 
   10.625%, 07/15/14     388,745  
  84,000    
 
   Oxford Industries, Inc.        
       
 
   8.875%, 06/01/11     82,530  
  246,000    
 
   Phillips-Van Heusen Corp.        
       
 
   8.125%, 05/01/13     252,150  
       
 
   Pulte Homes, Inc.        
  147,000    
 
   7.875%, 08/01/11     142,774  
  69,000    
 
   8.125%, 03/01/11     67,825  
  246,000    
 
   Royal Caribbean Cruises, Ltd.        
       
 
   7.500%, 10/15/27     224,903  
  344,000    
 
   Service Corp. International        
       
 
   7.500%, 04/01/27     309,600  
  393,000    
 
   Time Warner, Inc.        
       
 
   7.625%, 04/15/31     425,815  
  54,000    
 
   Toll Brothers, Inc.^        
       
 
   8.250%, 12/01/11     52,110  
  624,000    
 
   Vail Resorts, Inc.        
       
 
   6.750%, 02/15/14     602,160  
  246,000    
 
   Warnaco Group, Inc.        
       
 
   8.875%, 06/15/13     251,535  
       
 
   Warner Music Group        
  329,000    
 
   7.375%, 04/15/14     258,265  
  49,000    
GBP
   8.125%, 04/15/14     70,643  
       
 
          
       
 
         9,165,661  
       
 
          
       
 
   Consumer Staples (0.7%)        
  49,000    
 
   Alimentation Couche-Tard Inc.        
       
 
   7.500%, 12/15/13     48,939  
  215,000    
 
   Alliance One International, Inc.        
       
 
   8.500%, 05/15/12     201,025  
  49,000    
 
   Anheuser-Busch Companies, Inc.        
       
 
   5.000%, 03/01/19     48,526  
       
 
   5.500%, 01/15/18     510,622  
  246,000    
 
   Chattem, Inc.        
       
 
   7.000%, 03/01/14     241,695  
  270,000    
 
   Chiquita Brands International, Inc.^        
       
 
   8.875%, 12/01/15     240,300  
  540,000    
 
   Coca-Cola Company^        
       
 
   5.350%, 11/15/17     566,560  
  305,000    
 
   Del Monte Foods Company        
       
 
   8.625%, 12/15/12     309,575  
  398,000    
 
   Dole Foods Company, Inc.        
       
 
   8.875%, 03/15/11     356,210  
  565,000    
 
   Kimberly-Clark Corp.        
       
 
   6.125%, 08/01/17     608,354  
  172,000    
 
   NBTY, Inc.        
       
 
   7.125%, 10/01/15     160,820  
See accompanying notes to Schedule of Investments

4

 

CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                     
Principal                
Amount             Value  
       
 
   Pilgrim’s Pride Corp.        
$ 322,000    
 
   8.375%, 05/01/17^   $ 282,555  
  83,000    
 
   7.625%, 05/01/15     79,058  
       
 
   Reynolds American, Inc.        
  270,000    
 
   7.300%, 07/15/15     282,536  
  147,000    
 
   7.625%, 06/01/16     156,416  
  147,000    
 
   7.250%, 06/15/37     148,573  
  491,000    
 
   Smithfield Foods, Inc.^        
       
 
   7.750%, 05/15/13     483,635  
  147,000    
 
   SUPERVALU, Inc.        
       
 
   7.500%, 11/15/14     149,756  
       
 
          
       
 
         4,875,155  
       
 
          
       
 
   Energy (0.6%)        
  341,000    
 
   Arch Western Finance, LLC        
       
 
   6.750%, 07/01/13     331,622  
  108,000    
 
   Bristow Group, Inc.*        
       
 
   7.500%, 09/15/17     109,620  
       
 
   Chesapeake Energy Corp.        
  442,000    
 
   7.500%, 06/15/14     453,050  
  136,000    
 
   6.875%, 11/15/20     131,920  
  98,000    
 
   Complete Production Services, Inc.        
       
 
   8.000%, 12/15/16     95,550  
  147,000    
 
   Comstock Resources, Inc.        
       
 
   6.875%, 03/01/12     139,650  
  147,000    
 
   Forest Oil Corp.        
       
 
   8.000%, 12/15/11     153,247  
  98,000    
 
   GulfMark Offshore, Inc.        
       
 
   7.750%, 07/15/14     99,960  
  98,000    
 
   Mariner Energy, Inc.        
       
 
   7.500%, 04/15/13     94,325  
  555,000    
 
   Petróleo Brasileiro, SA        
       
 
   8.375%, 12/10/18     666,000  
  275,000    
 
   Petrohawk Energy Corp.        
       
 
   7.125%, 04/01/12     262,625  
       
 
   Premcor Refining Group, Inc.        
  314,000    
 
   9.500%, 02/01/13     329,984  
  134,000    
 
   7.500%, 06/15/15     141,124  
  147,000    
 
   Range Resources Corp.        
       
 
   7.375%, 07/15/13     149,573  
  39,000    
 
   Southwestern Energy Company*        
       
 
   7.500%, 02/01/18     40,268  
  172,000    
 
   Superior Energy Services, Inc.        
       
 
   6.875%, 06/01/14     166,840  
  246,000    
 
   Whiting Petroleum Corp.        
       
 
   7.250%, 05/01/13     243,540  
       
 
   Williams Companies, Inc.        
  491,000    
 
   7.750%, 06/15/31     535,190  
  98,000    
 
   7.500%, 01/15/31     104,860  
       
 
          
       
 
         4,248,948  
       
 
          
       
 
   Financials (0.2%)        
       
 
   Leucadia National Corp.        
  293,000    
 
   8.125%, 09/15/15     293,000  
  270,000    
 
   7.000%, 08/15/13     262,575  
  270,000    
 
   Nuveen Investments, Inc.*        
       
 
   10.500%, 11/15/15     263,250  
  83,000    
 
   Omega Healthcare Investors, Inc.        
       
 
   7.000%, 04/01/14     82,585  
  123,000    
 
   Senior Housing Properties Trust        
       
 
   7.875%, 04/15/15     128,776  
       
 
          
       
 
         1,030,186  
       
 
          
       
 
   Health Care (0.2%)        
  540,000    
 
   Abbott Laboratories        
       
 
   5.875%, 05/15/16     576,754  
  83,000    
 
   Bio-Rad Laboratories, Inc.        
       
 
   7.500%, 08/15/13     84,245  
  246,000    
 
   Community Health Systems, Inc.        
       
 
   8.875%, 07/15/15     248,767  
  160,000    
 
   DaVita, Inc.        
       
 
   7.250%, 03/15/15     160,000  
  282,000    
 
   Psychiatric Solutions, Inc.        
       
 
   7.750%, 07/15/15     279,180  
  221,000    
 
   Valeant Pharmaceuticals International        
       
 
   7.000%, 12/15/11     213,818  
  46,000    
 
   Vanguard Health Systems, Inc.        
       
 
   9.000%, 10/01/14     43,815  
       
 
          
       
 
         1,606,579  
       
 
          
       
 
   Industrials (0.4%)        
  61,000    
 
   Belden CDT, Inc.        
       
 
   7.000%, 03/15/17     58,712  
  49,000    
 
   FTI Consulting, Inc.^        
       
 
   7.625%, 06/15/13     50,225  
  147,000    
 
   Gardner Denver, Inc.        
       
 
   8.000%, 05/01/13     147,000  
  147,000    
 
   GATX Corp.^        
       
 
   8.875%, 06/01/09     155,108  
  540,000    
 
   General Electric Company        
       
 
   5.250%, 12/06/17     545,794  
  79,000    
 
   H&E Equipment Service, Inc.        
       
 
   8.375%, 07/15/16     70,310  
  275,000    
 
   Helix Energy Solutions Group, Inc*        
       
 
   9.500%, 01/15/16     280,500  
       
 
   IKON Office Solutions, Inc.        
  98,000    
 
   7.750%, 09/15/15^     99,960  
  49,000    
 
   6.750%, 12/01/25     35,627  
  123,000    
 
   Interline Brands, Inc.        
       
 
   8.125%, 06/15/14     120,540  
  120,000    
 
   SPX Corp.*        
       
 
   7.625%, 12/15/14     123,150  
  344,000    
 
   Terex Corp.        
       
 
   7.375%, 01/15/14     341,420  
  98,000    
 
   Trinity Industries, Inc.        
       
 
   6.500%, 03/15/14     94,570  
  540,000    
 
   United Parcel Service, Inc.        
       
 
   5.500%, 01/15/18     563,430  
  171,000    
 
   WESCO International, Inc.        
       
 
   7.500%, 10/15/17     155,610  
       
 
          
       
 
         2,841,956  
       
 
          
       
 
   Information Technology (0.5%)        
       
 
   Amkor Tech, Inc.        
  221,000    
 
   9.250%, 06/01/16     209,121  
  98,000    
 
   7.750%, 05/15/13     88,078  
See accompanying notes to Schedule of Investments

5

 

CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                     
Principal                
Amount             Value  
 
$ 34,000    
 
   Avago Technologies        
       
 
   11.875%, 12/01/15   $ 35,700  
  196,000    
 
   Celestica, Inc.        
       
 
   7.875%, 07/01/11     191,100  
  540,000    
 
   Cisco Systems, Inc.        
       
 
   5.500%, 02/22/16     558,959  
  246,000    
 
   Flextronics International, Ltd.        
       
 
   6.500%, 05/15/13     237,390  
  223,000    
 
   Freescale Semiconductor, Inc.        
       
 
   8.875%, 12/15/14     182,302  
  540,000    
 
   Oracle Corp.        
       
 
   5.250%, 01/15/16     542,188  
  336,000    
 
   SunGard Data Systems, Inc.        
       
 
   9.125%, 08/15/13     342,720  
       
 
   Xerox Corp.        
  467,000    
 
   8.000%, 02/01/27^     468,942  
  344,000    
 
   7.625%, 06/15/13     357,014  
       
 
          
       
 
         3,213,514  
       
 
          
       
 
   Materials (0.3%)        
  147,000    
 
   Boise Cascade Company        
       
 
   7.125%, 10/15/14     140,752  
  49,000    
 
   Crown Holdings, Inc.        
       
 
   7.750%, 11/15/15     50,102  
       
 
   Ineos Group Holdings, PLC*        
  236,000    
EUR
   7.875%, 02/15/16     256,129  
  49,000    
 
   8.500%, 02/15/16^     39,200  
  246,000    
 
   Mosaic Company*        
       
 
   7.625%, 12/01/16     266,910  
  196,000    
 
   Neenah Paper, Inc.        
       
 
   7.375%, 11/15/14     175,420  
  393,000    
 
   Sealed Air Corp.*        
       
 
   6.875%, 07/15/33     377,067  
  384,000    
 
   Terra Industries, Inc.        
       
 
   7.000%, 02/01/17     379,200  
  98,000    
 
   Texas Industries, Inc.        
       
 
   7.250%, 07/15/13     94,570  
       
 
   Union Carbide Corp.        
  196,000    
 
   7.500%, 06/01/25     192,433  
  152,000    
 
   7.875%, 04/01/23     155,830  
  157,000    
 
   Westlake Chemical Corp.        
       
 
   6.625%, 01/15/16     143,655  
       
 
          
       
 
         2,271,268  
       
 
          
       
 
   Telecommunication Services (0.3%)        
  231,000    
 
   CenturyTel, Inc.        
       
 
   6.875%, 01/15/28     229,699  
  300,000    
 
   Citizens Communications Company        
       
 
   9.000%, 08/15/31     289,875  
  295,000    
 
   Leap Wireless International, Inc.        
       
 
   9.375%, 11/01/14     269,925  
  295,000    
 
   Qwest Communications International, Inc.^        
       
 
   7.750%, 02/15/31     262,550  
  491,000    
 
   Sprint Nextel Corp.        
       
 
   7.375%, 08/01/15     449,493  
  196,000    
 
   Syniverse Technologies, Inc.        
       
 
   7.750%, 08/15/13     189,385  
  565,000    
 
   Verizon Communications, Inc.^        
       
 
   5.500%, 04/01/17     575,080  
       
 
          
       
 
         2,266,007  
       
 
          
       
 
   Utilities (0.0%)        
  270,000    
 
   TXU Corp.*        
       
 
   10.250%, 11/01/15     266,625  
       
 
          
 
       
 
  
Total Corporate Bonds
     31,785,899  
       
 
          
                     
Number of                
Contracts             Value  
 
Options (0.8%)        
       
 
   Consumer Discretionary (0.1%)        
  645    
 
   Nike, Inc.#        
       
 
   Call, 01/17/09, Strike $55.00     686,925  
  700    
 
   Omnicom Group, Inc.#        
       
 
   Call, 01/17/09, Strike $50.00     217,000  
       
 
          
       
 
         903,925  
       
 
          
       
 
   Consumer Staples (0.1%)        
  830    
 
   Coca-Cola Company#        
       
 
   Call, 01/17/09, Strike $60.00     385,950  
       
 
          
       
 
   Health Care (0.2%)        
  250    
 
   Alcon, Inc.#        
       
 
   Call, 01/17/09, Strike $140.00     463,750  
  500    
 
   Express Scripts, Inc.#        
       
 
   Call, 01/17/09, Strike $65.00     577,500  
       
 
          
       
 
         1,041,250  
       
 
          
       
 
   Industrials (0.1%)        
  425    
 
   General Dynamics Corp.#        
       
 
   Call, 01/17/09, Strike $90.00     318,750  
  570    
 
   Honeywell International, Inc.#        
       
 
   Call, 01/17/09, Strike $55.00     504,450  
       
 
          
       
 
         823,200  
       
 
          
       
 
   Information Technology (0.3%)        
  155    
 
   Apple, Inc.#        
       
 
   Call, 01/17/09, Strike $190.00     150,738  
  960    
 
   Cisco Systems, Inc.#        
       
 
   Call, 01/17/09, Strike $27.50     208,800  
  50    
 
   Google, Inc.#        
       
 
   Call, 01/17/09, Strike $710.00     178,750  
  195    
 
   Hewlett-Packard Company#        
       
 
   Call, 01/17/09, Strike $45.00     107,250  
  970    
 
   Microsoft Corp.#        
       
 
   Call, 01/17/09, Strike $35.00     225,525  
  2,710    
 
   Nokia Corp.#        
       
 
   Call, 01/17/09, Strike $40.00     1,084,000  
  1,760    
 
   Oracle Corp.#        
       
 
   Call, 01/17/09, Strike $22.50     400,400  
       
 
          
       
 
         2,355,463  
       
 
          
       
 
   Telecommunication Services (0.0%)        
  110    
 
   America Movil, S.A. de C.V.#        
       
 
   Call, 01/17/09, Strike $60.00     101,200  
       
 
          
       
 
   Total Options   $ 5,610,988  
       
 
          
       
 
   TOTAL SYNTHETIC CONVERTIBLE SECURITIES        
       
 
   (Cost $41,270,601)     37,396,887  
       
 
          
See accompanying notes to Schedule of Investments

6

 

CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                     
Number of                
Shares             Value  
 
Convertible Preferred Stocks (24.9%)
       
 
   Consumer Discretionary (0.9%)        
  6,750    
 
   Stanley Works~‡        
       
 
   6.530%     6,133,219  
       
 
          
       
 
   Consumer Staples (0.9%)        
  5,500    
 
   Bunge, Ltd.        
       
 
   5.125%     6,036,250  
       
 
          
       
 
   Energy (0.7%)        
  43,000    
 
   Credit Suisse (Transocean, Inc.)*¹ψ        
       
 
   12.000%     5,060,670  
       
 
          
       
 
   Financials (7.2%)        
  107,800    
 
   Citigroup, Inc.        
       
 
   6.500%     5,861,625  
  240,000    
 
   Lazard, Ltd.        
       
 
   6.625%     8,037,600  
  985,000    
 
   MetLife, Inc.~        
       
 
   6.375%     28,693,050  
  55,000    
 
   Reinsurance Group of America, Inc.~        
       
 
   5.750%     4,097,500  
  205,300    
 
   XL Capital, Ltd.        
       
 
   7.000%     3,518,842  
       
 
          
       
 
         50,208,617  
       
 
          
       
 
   Health Care (2.9%)        
  107,000    
 
            
       
 
   Schering-Plough Corp.        
       
 
   6.000%     20,500,130  
       
 
          
       
 
   Information Technology (3.0%)        
  265,000    
 
   Goldman Sachs (Oracle Corp.)        
       
 
   12.000%*¹ψ     5,392,220  
  144,935    
 
   JPMorgan Chase & Company        
       
 
   (Nokia Corp.)*¹ψ        
       
 
   12.000%     5,329,564  
  222,000    
 
   Morgan Stanley (Cisco Systems, Inc.)*¹ψ        
       
 
   12.000%     5,315,790  
  133,000    
 
   Morgan Stanley (Infosys Technologies, Ltd.)*¹ψ        
       
 
   12.000%     5,355,245  
       
 
          
       
 
         21,392,819  
       
 
          
       
 
   Materials (8.3%)        
  7,250    
EUR
  Bayer, AG        
       
 
   6.625%     15,909,168  
  170,000    
 
   Cia Vale do Rio Doce        
       
 
   5.500%     10,285,000  
  145,000    
 
   Freeport-McMoRan Copper & Gold, Inc.~        
       
 
   6.750%     19,256,000  
14,000  
CHF
   Givaudan SA        
       
 
   5.375%     12,410,475  
       
 
          
       
 
         57,860,643  
       
 
          
       
 
   Utilities (1.0%)        
  60,000    
 
   Entergy Corp.~        
       
 
   7.625%     3,840,000  
  65,000    
 
   Southern Union Company        
       
 
   5.000%     3,209,050  
       
 
          
       
 
         7,049,050  
       
 
          
       
 
   TOTAL CONVERTIBLE PREFERRED STOCKS        
       
 
   (Cost $183,342,736)     174,241,398  
       
 
          
                 
Principal            
Amount         Value  
 
Investment in Affiliated Fund (2.4%)        
$ 16,802,393    
Calamos Government Money Market Fund — Class I Shares Ω
       
       
(Cost $16,802,393)
     16,802,393  
       
 
      
       
 
        
Investments of Cash Collateral for Securities on Loan (11.6%)        
  40,788,000    
Bank of New York Institutional Cash Reserve Fund
     40,788,000  
  40,000,000    
Goldman Sachs Financial Square Prime Obligations Fund
     40,000,000  
       
 
      
 
       
TOTAL INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN
        
       
(Cost $80,788,000)
     80,788,000  
       
 
      
TOTAL INVESTMENTS (164.0%)        
(Cost $1,163,809,794)     1,146,173,034  
       
 
      
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-11.6%)     (80,788,000 )
       
 
      
OTHER ASSETS, LESS LIABILITIES (2.6%)     18,059,270  
       
 
      
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-55.0%)     (384,454,167 )
       
 
      
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)   $ 698,990,137  
       
 
      
                 
Number of        
Contracts       Value
 
Written Options (-0.0%)        
       
S & P 500 Index#
        
  100    
Call, 04/19/08, Strike $1,400.00
   $ (495,500 )
  85    
Call, 06/21/08, Strike $1,390.00
     (628,575 )
  40    
Call, 06/21/08, Strike $1,425.00
     (223,000 )
  40    
Call, 04/19/08, Strike $1,425.00
     (149,400 )
See accompanying notes to Schedule of Investments

7

 

CONVERTIBLE OPPORTUNITIES AND INCOME FUND
Schedule of Investments January 31, 2008 (unaudited)
                         
Number of                
Contracts               Value
 
    40          
Call, 03/22/08, Strike $1,420.00
   $ (110,600 )
    125          
SPDR Trust Series 1#
        
               
Call, 06/21/08, Strike $141.00
     (76,250 )
               
 
      
               
 
        
               
TOTAL WRITTEN OPTIONS
        
               
(Premium $1,975,095)
     (1,683,325 )
               
 
      
 
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.
^   Security, or portion of security, is on loan.
 
¹   Security or a portion of the security purchased on a delayed delivery or when-issued basis.
 
‡   Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2008.
 
*   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 January 31, 2008, the value of 144A securities that could not be exchanged to the registered form is $91,056,714 or 13.0% of net assets.
 
∞   Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
 
#   Non-income producing security.
 
~   Security, or portion of security, is held in a segregated account as collateral for written options aggregating a total market value of $35,013,194.
 
ψ   The security of the financial institution is linked to, and may be exchangeable or convertible to, the equity security shown in the parenthetical.
 
Ω   Investment in affiliated fund. During the period from November 1, 2007, through January 31, 2008, the fund had net redemptions of $5,042,122 and received $293,644 in dividend payments from the affiliated fund. As of October 31, 2007, the fund had holdings of 21,844,515 of the affiliated fund.
FOREIGN CURRENCY ABBREVIATIONS
     
CHF
  Swiss Franc
EUR
  European Monetary Unit
GBP
  British Pound Sterling
See accompanying notes to Schedule of Investments

8

 

                                         
INTEREST RATE SWAPS - (unaudited)  
                                    Unrealized  
                                    Appreciation/  
SWAP Counterparty   Payments Made by the Fund     Payments Received by the Fund     Termination Date     Notional Amount (USD)     (Depreciation)  
Merrill Lynch
   3.598       1 month LIBOR     11/28/2008     $ 60,000,000     $ (360,448 )
Merrill Lynch
   2.685       1 month LIBOR     7/3/2008       70,000,000       215,330  
                                     
 
                                   $ (145,118 )
                                     

 

 

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 market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, 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 over-the-counter 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 over-the-counter option that is not traded through the Options Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Trading in securities on European and Far Eastern securities exchanges and over-the-counter 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 over-the-counter 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, below investment grade 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.

 

 

The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if the value of a foreign security it holds is materially affected by events occurring before their pricing time but after the close of the primary market or exchange on which the security is traded. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
Investment Transactions. Short-term and long-term investment transactions are recorded on a trade date basis on January 31, 2008.
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 January 31, 2008. 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 January 31, 2008 was as follows:
         
Cost basis of investments
   $ 1,168,767,538  
 
      
Gross unrealized appreciation
     24,359,170  
Gross unrealized depreciation
     (46,953,674 )
 
      
Net unrealized appreciation (depreciation)
   $ (22,594,504 )
 
      

 

 

NOTE 3 — FORWARD FOREIGN CURRENCY CONTRACTS
There were no open forward currency contracts at January 31, 2008.
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 W, 2,400 shares of W28, 2,400 shares of TH7, 2,040 shares of TH, and 2,400 shares of F7. 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 January 31, 2008 were as follows:
                                         
    Fixed Rate     Floating Rate             Notional     Unrealized  
    (Fund     (Fund     Termination     Amount     Appreciation/  
Counterparty   Pays)   Receives)   Date     (USD)     (Depreciation)  
Merrill Lynch
   3.60% monthly   1 month LIBOR     11/28/2008     $ 60,000,000     $ (360,448 )
Merrill Lynch
   2.69% monthly   1 month LIBOR     07/03/2008       70,000,000       215,330  
 
                                      
 
                                   $ (145,118 )
 
                                      
 
                                      
NOTE 6 — SYNTHETIC CONVERTIBLE INSTRUMENTS
The Fund may establish a “synthetic” convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities (''fixed-income component’’, which may be a convertible or non-convertible security) and the right to acquire equity securities (“convertible component”). The fixed-income component is achieved by investing in fixed-income securities such as bonds, preferred stocks, and money market instruments. The convertible component is achieved by investing in warrants or options to buy common stock at a certain exercise price, or options on a stock index. In establishing a synthetic instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or options that produce the economic characteristics similar to a convertible security. Within each basket of fixed-income securities and warrants or options, different companies may issue the fixed-income and convertible components, which may be purchased separately and at different times.
The Fund may 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 January 31, 2008, the Fund may loan one or more 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 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 LLC on the creditworthiness of the firms to which a Fund lends securities. At January 31, 2008, the Fund had securities valued at $73,494,943 that were on loan to broker-dealers and banks and $80,825,534 in cash or cash equivalent collateral.
NOTE 8 — STRUCTURED EQUITY-LINKED SECURITIES
The Fund may also invest in structured equity-linked securities created by third parties, typically investment banks. Structured equity-linked securities created by such parties may be designed to simulate the characteristics of traditional convertible securities or may be designed to alter or emphasize a particular feature. Traditional convertible securities typically offer stable cash flows with the ability to participate in capital appreciation of the underlying common stock. Because traditional convertible securities are exercisable at the option of the holder, the holder is protected against downside risk. Structured equity-linked securities may alter these characteristics by offering enhanced yields in exchange for reduced capital appreciation or less downside protection, or any combination of these features. Structured equity-linked instruments may include structured notes, equity-linked notes, mandatory convertibles and combinations of securities and instruments, such as a debt instrument combined with a forward contract.

 

 

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:
Date:
  Principal Executive Officer
March 24, 2008		    
 
        
By:
   /s/ Nimish S. Bhatt     
Name:
 
 
Nimish S. Bhatt 		   
Title:
Date:
  Principal Financial Officer
March 24, 2008		    
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, 2008    
 
        
By:
   /s/ Nimish S. Bhatt     
Name:
 
 
Nimish S. Bhatt 		   
Title:
  Principal Financial Officer
    
Date:
  March 24, 2008