0001145549-21-020437.txt : 20210331 0001145549-21-020437.hdr.sgml : 20210331 20210331154025 ACCESSION NUMBER: 0001145549-21-020437 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210131 FILED AS OF DATE: 20210331 PERIOD START: 20211031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CALAMOS CONVERTIBLE OPPORTUNITIES & INCOME FUND CENTRAL INDEX KEY: 0001171471 IRS NUMBER: 030426532 FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21080 FILM NUMBER: 21792966 BUSINESS ADDRESS: STREET 1: 2020 CALAMOS COURT STREET 2: C/O CALAMOS ADVISORS LLC CITY: NAPERVILLE STATE: IL ZIP: 60653 BUSINESS PHONE: 6302451046 MAIL ADDRESS: STREET 1: 2020 CALAMOS COURT STREET 2: C/O CALAMOS ADVISORS LLC CITY: NAPERVILLE STATE: IL ZIP: 60653 NPORT-P 1 primary_doc.xml NPORT-P false 0001171471 XXXXXXXX Calamos Convertible Opportunities & Income Fund 811-21080 0001171471 549300ZBRGRX6VMFJ315 2020 Calamos Court Naperville 60563 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Long DBT CORP US N 2 2026-04-01 Fixed 4.700 N N N N N N 2021-03-31 Calamos Convertible Opportunities & Income Fund Stephen Atkins Stephen Atkins Treasurer XXXX NPORT-EX 2 convoppinc_partf3312021.htm PART F HTML

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
  CORPORATE BONDS (33.5%)  
    Airlines (0.6%)  
 
25,884
 
   

Air Canada Pass Through Trust

Series 2013-1, Class B*

5.375%, 11/15/22

 

$

25,997

 

 
278,399
 
   

Air Canada Pass Through Trust

Series 2015-2, Class B*

5.000%, 06/15/25

 

 

276,353

 

 
1,150,000
 
   

Alaska Airlines Pass Through

Trust Series 2020-1, Class A*µ

4.800%, 02/15/29

 

 

1,283,780

 

 
893,000
 
   

Alaska Airlines Pass Through

Trust Series 2020-1, Class B*µ

8.000%, 02/15/27

 

 

990,069

 

 
914,000
 
   

JetBlue Pass Through Trust

Series 2020-1, Class Bµ

7.750%, 05/15/30

 

 

1,040,169

 

 
585,000
 
   

Spirit Loyalty Cayman, Ltd. / Spirit

IP Cayman, Ltd.*µ

8.000%, 09/20/25

 

 

664,531

 

 
386,442
 
   

UAL Pass Through Trust Series 2007-1

6.636%, 01/02/24

 

 

396,234

 

 
971,562
 
   

United Airlines Pass Through

Trust Series 2014-2, Class Bµ

4.625%, 03/03/24

 

 

979,567

 

 
568,812
 
   

United Airlines Pass Through

Trust Series 2019-2, Class Bµ

3.500%, 11/01/29

 

 

537,999

 

     

 

 

 

        6,194,699  
     

 

 

 

    Communication Services (4.5%)  
 
1,630,000
 
   

Altice France, SA*

7.375%, 05/01/26

 

 

1,709,577

 

 
1,490,000
 
   

Arrow Bidco, LLC*

9.500%, 03/15/24

 

 

1,313,122

 

 
980,000
 
   

Ashtead Capital, Inc.*^

4.000%, 05/01/28

 

 

1,043,749

 

 
717,000
 
   

Beasley Mezzanine Holdings,

LLC*

8.625%, 02/01/26

 

 

721,474

 

  705,000      

Brink’s Company*

5.500%, 07/15/25

    752,016  
 
382,000
 
   

Cable One, Inc.*^

4.000%, 11/15/30

 

 

392,173

 

 
1,145,000
 
   

CenturyLink, Inc.*µ^

4.000%, 02/15/27

 

 

1,185,899

 

 
1,740,000
 
   

Cincinnati Bell, Inc.*

8.000%, 10/15/25

 

 

1,863,244

 

 
590,000
 
   

Consolidated Communications,

Inc.*^

6.500%, 10/01/28

 

 

642,421

 

   

CSC Holdings, LLC*

 
  3,100,000      

5.500%, 04/15/27^

    3,274,406  
  2,100,000      

5.750%, 01/15/30

    2,256,870  
  1,522,000      

5.500%, 05/15/26

    1,579,958  
  200,000      

4.625%, 12/01/30

    204,280  
 
2,175,000
 
   

Cumulus Media New Holdings,

Inc.*^

6.750%, 07/01/26

 

 

2,211,127

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
   

Diamond Sports Group, LLC /

Diamond Sports Finance

Company*^

 
  750,000      

6.625%, 08/15/27

  $ 477,788  
  540,000      

5.375%, 08/15/26

    437,114  
 
3,826,000
 
   

Embarq Corp.

7.995%, 06/01/36

 

 

4,694,234

 

   

Entercom Media Corp.*

 
  822,000      

7.250%, 11/01/24^

    838,522  
  683,000      

6.500%, 05/01/27

    701,093  
   

Frontier Communications Corp.

 
  1,425,000      

11.000%, 09/15/25@

    758,413  
  1,347,000      

7.625%, 04/15/24@

    697,988  
  351,000      

5.875%, 10/15/27*^

    376,448  
 
250,000
 
   

Go Daddy Operating Company,

LLC / GD Finance Company, Inc.*

5.250%, 12/01/27

 

 

263,930

 

 
270,000
 
   

Hughes Satellite Systems Corp.^

5.250%, 08/01/26

 

 

299,746

 

   

Intelsat Jackson Holdings, SA@

 
  1,206,000      

9.750%, 07/15/25*

    889,907  
  985,000      

8.000%, 02/15/24*

    1,010,226  
  475,000      

5.500%, 08/01/23

    332,614  
 
850,000
 
   

LCPR Senior Secured Financing

DAC*

6.750%, 10/15/27

 

 

915,118

 

 
475,000
 
   

Ligado Networks, LLC*

15.500%, 11/01/23

15.500% PIK rate

 

 

480,273

 

   

Netflix, Inc.^

 
  725,000      

4.875%, 06/15/30*

    881,723  
  525,000      

4.875%, 04/15/28

    615,405  
   

Scripps Escrow II, Inc.*

 
  477,000      

3.875%, 01/15/29µ

    478,269  
  239,000      

5.375%, 01/15/31

    241,818  
 
1,275,000
 
   

Scripps Escrow, Inc.*^

5.875%, 07/15/27

 

 

1,330,399

 

 
477,000
 
   

Shift4 Payments, LLC / Shift4

Payments Finance Sub, Inc.*

4.625%, 11/01/26

 

 

496,843

 

   

Sirius XM Radio, Inc.*^

 
  1,250,000      

5.500%, 07/01/29

    1,363,362  
  1,250,000      

4.625%, 07/15/24

    1,293,300  
 
855,000
 
   

Sprint Capital Corp.

6.875%, 11/15/28

 

 

1,099,710

 

   

Sprint Corp.

 
  2,430,000      

7.125%, 06/15/24

    2,836,029  
  1,300,000      

7.625%, 03/01/26^

    1,603,940  
 
755,000
 
   

Telecom Italia Capital, SA^

6.000%, 09/30/34

 

 

905,781

 

 
812,000
 
   

Telesat Canada / Telesat, LLC*µ

4.875%, 06/01/27

 

 

843,376

 

 
1,340,000
 
   

United States Cellular Corp.^

6.700%, 12/15/33

 

 

1,735,849

 

 
392,000
 
   

Windstream Services, LLC /

Windstream Finance Corp.@

7.750%, 10/01/21

 

 

4,214

 

     

 

 

 

        48,053,748  
     

 

 

 

    Consumer Discretionary (5.5%)  
 
1,004,000
 
   

American Axle & Manufacturing,

Inc.^

6.875%, 07/01/28

 

 

1,057,292

 

 

 

See accompanying Notes to Schedule of Investments

 

1


Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
   

Ashton Woods USA, LLC / Ashton

Woods Finance Company*

 
  705,000      

6.625%, 01/15/28

  $ 752,954  
  572,000      

9.875%, 04/01/27^

    648,522  
 
1,250,000
 
   

BorgWarner, Inc.*^

5.000%, 10/01/25

 

 

1,472,988

 

 
1,185,000
 
   

Boyd Gaming Corp.

6.000%, 08/15/26

 

 

1,228,264

 

   

Caesars Entertainment, Inc.*

 
  472,000      

8.125%, 07/01/27^

    517,845  
  472,000      

6.250%, 07/01/25

    497,974  
 
1,460,000
 
   

Caesars Resort Collection, LLC /

CRC Finco, Inc.*^

5.250%, 10/15/25

 

 

1,454,846

 

   

Carnival Corp.*^

 
  488,000      

10.500%, 02/01/26

    566,631  
  239,000      

7.625%, 03/01/26

    253,268  
 
710,000
 
   

Carvana Company*^

5.625%, 10/01/25

 

 

734,694

 

   

CCO Holdings, LLC / CCO

Holdings Capital Corp.*

 
  3,130,000      

5.125%, 05/01/27

    3,293,230  
  1,175,000      

5.750%, 02/15/26

    1,212,882  
  565,000      

5.000%, 02/01/28

    594,035  
  476,000      

4.250%, 02/01/31

    488,490  
 
750,000
 
   

Cedar Fair, LP^

5.250%, 07/15/29

 

 

751,950

 

   

Century Communities, Inc.

 
  1,250,000      

6.750%, 06/01/27

    1,339,200  
  1,095,000      

5.875%, 07/15/25

    1,140,990  
 
2,075,000
 
   

Dana Financing Luxembourg Sarl*

6.500%, 06/01/26

 

 

2,170,409

 

   

DISH DBS Corp.^

 
  763,000      

7.750%, 07/01/26

    828,763  
  250,000      

7.375%, 07/01/28

    260,663  
   

ESH Hospitality, Inc.*

 
  680,000      

5.250%, 05/01/25^

    694,171  
  500,000      

4.625%, 10/01/27

    511,685  
   

Expedia Group, Inc.*

 
  570,000      

7.000%, 05/01/25µ

    626,396  
  361,000      

6.250%, 05/01/25^

    417,803  
 
600,000
 
   

Ford Motor Company

8.500%, 04/21/23

 

 

672,624

 

   

Ford Motor Credit Company, LLC^

 
  1,300,000      

4.063%, 11/01/24

    1,355,510  
  1,140,000      

3.664%, 09/08/24

    1,176,594  
  1,120,000      

4.134%, 08/04/25

    1,177,456  
  600,000      

4.000%, 11/13/30

    615,000  
  500,000      

4.389%, 01/08/26

    532,235  
 
2,000,000
 
   

goeasy, Ltd.*

5.375%, 12/01/24

 

 

2,094,820

 

  477,000      

Guitar Center, Inc.*

 
   

8.500%, 01/15/26

    501,069  
 
250,000
 
   

Installed Building Products, Inc.*

5.750%, 02/01/28

 

 

267,600

 

   

International Game Technology,

PLC*

 
  1,260,000      

6.250%, 01/15/27µ^

    1,445,220  
  301,000      

5.250%, 01/15/29

    321,751  
   

L Brands, Inc.

 
  1,413,000      

6.875%, 11/01/35

    1,640,677  
  789,000      

6.694%, 01/15/27^

    884,248  
  238,000      

6.875%, 07/01/25*^

    259,670  
 
1,200,000
 
   

Lennar Corp.µ

5.250%, 06/01/26

 

 

1,417,356

 

   

Life Time, Inc.*

 
  717,000      

5.750%, 01/15/26

    725,389  

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
  478,000      

8.000%, 04/15/26

  $ 479,530  
   

M/I Homes, Inc.

 
  1,335,000      

5.625%, 08/01/25µ^

    1,388,974  
  705,000      

4.950%, 02/01/28

    744,706  
   

Macy’s Retail Holdings, LLC

 
  475,000      

6.700%, 07/15/34*

    452,979  
  250,000      

5.125%, 01/15/42

    204,233  
 
472,000
 
   

Macy’s, Inc.*µ^

8.375%, 06/15/25

 

 

523,184

 

   

Mattel, Inc.*^

 
  1,250,000      

5.875%, 12/15/27

    1,379,150  
  1,145,000      

6.750%, 12/31/25

    1,204,471  
 
1,155,000
 
   

Mclaren Finance, PLC*

5.750%, 08/01/22

 

 

1,097,597

 

   

Meredith Corp.^

 
  472,000      

6.500%, 07/01/25*

    502,977  
  235,000      

6.875%, 02/01/26

    238,111  
 
1,908,000
 
   

Meritage Homes Corp.

7.000%, 04/01/22

 

 

2,026,048

 

 
717,000
 
   

Mohegan Gaming &

Entertainment*

8.000%, 02/01/26

 

 

708,654

 

 
931,000
 
   

Newell Brands, Inc.

4.700%, 04/01/26

 

 

1,025,189

 

   

Rite Aid Corp.

 
  1,885,000      

8.000%, 11/15/26*

    2,028,844  
  474,000      

7.700%, 02/15/27

    473,592  
   

Royal Caribbean Cruises, Ltd.*µ

 
  465,000      

11.500%, 06/01/25

    536,643  
  233,000      

10.875%, 06/01/23

    263,083  
 
1,250,000
 
   

Speedway Motorsports, LLC /

Speedway Funding II, Inc.*

4.875%, 11/01/27

 

 

1,248,025

 

 
750,000
 
   

Taylor Morrison Communities,

Inc.*µ

5.750%, 01/15/28

 

 

850,005

 

 
1,250,000
 
   

Twin River Worldwide Holdings,

Inc.*

6.750%, 06/01/27

 

 

1,342,788

 

 
388,660
 
   

US Airways Pass Through Trust

Series 2012-2, Class B

6.750%, 12/03/22

 

 

386,581

 

 
238,000
 
   

Viking Cruises, Ltd.*

13.000%, 05/15/25

 

 

277,429

 

 
1,000,000
 
   

VOC Escrow, Ltd.*

5.000%, 02/15/28

 

 

974,810

 

     

 

 

 

        58,960,767  
     

 

 

 

    Consumer Staples (1.6%)  
 
477,000
 
   

Central Garden & Pet Company^

4.125%, 10/15/30

 

 

499,553

 

 
750,000
 
   

Dean Foods Company*@

6.500%, 03/15/23

 

 

14,565

 

 
482,000
 
   

Edgewell Personal Care

Company*

5.500%, 06/01/28

 

 

516,343

 

 
716,000
 
   

Energizer Holdings, Inc.*^

4.375%, 03/31/29

 

 

731,867

 

 
680,000
 
   

Fresh Market, Inc.*

9.750%, 05/01/23

 

 

702,209

 

 
1,275,000
 
   

JBS USA LUX, SA / JBS USA

Finance, Inc.*µ

6.750%, 02/15/28

 

 

1,415,556

 

 

 

See accompanying Notes to Schedule of Investments

 

2


Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
 
403,000
 
   

JBS USA LUX, SA / JBS USA

Food Company / JBS USA

Finance, Inc.*µ

6.500%, 04/15/29

 

$

458,751

 

   

Kraft Heinz Foods Company

 
  1,470,000      

4.375%, 06/01/46µ

    1,567,917  
  237,000      

4.250%, 03/01/31^

    267,220  
  237,000      

3.875%, 05/15/27^

    259,418  
   

New Albertson’s, Inc.

 
  621,000      

7.750%, 06/15/26

    722,664  
  248,000      

8.000%, 05/01/31

    308,596  
   

Pilgrim’s Pride Corp.*

 
  1,450,000      

5.875%, 09/30/27

    1,546,497  
  505,000      

5.750%, 03/15/25

    516,772  
   

Post Holdings, Inc.*

 
  1,250,000      

5.750%, 03/01/27

    1,314,137  
  375,000      

5.500%, 12/15/29

    407,606  
  250,000      

5.625%, 01/15/28

    265,680  
  245,000      

4.625%, 04/15/30

    254,192  
  995,000      

Simmons Foods, Inc.*

 
   

7.750%, 01/15/24

    1,039,666  
 
1,050,000
 
   

United Natural Foods, Inc.*^

6.750%, 10/15/28

 

 

1,111,771

 

   

Vector Group, Ltd.*

 
  1,320,000      

6.125%, 02/01/25

    1,340,209  
  1,320,000      

5.750%, 02/01/29

    1,364,378  
     

 

 

 

        16,625,567  
     

 

 

 

    Energy (3.3%)  
 
355,000
 
   

Antero Resources Corp.*^

7.625%, 02/01/29

 

 

362,483

 

   

Apache Corp.

 
  958,000      

5.100%, 09/01/40

    969,295  
  538,000      

4.875%, 11/15/27^

    553,629  
  478,000      

4.625%, 11/15/25^

    489,152  
 
738,000
 
   

Bruin E&P Partners, LLC*@

8.875%, 08/01/23

 

 

1,292

 

   

Buckeye Partners, LP^

 
  750,000      

3.950%, 12/01/26

    756,997  
  500,000      

5.850%, 11/15/43

    499,575  
 
720,000
 
   

ChampionX Corp.

6.375%, 05/01/26

 

 

755,568

 

 
1,000,000
 
   

Cheniere Energy Partners, LP^

5.625%, 10/01/26

 

 

1,042,710

 

 
477,000
 
   

Cheniere Energy, Inc.*

4.625%, 10/15/28

 

 

497,459

 

 
595,000
 
   

Chesapeake Energy Corp.*@

11.500%, 01/01/25

 

 

177,533

 

 
240,000
 
   

CNX Resources Corp.*^

7.250%, 03/14/27

 

 

258,024

 

   

Continental Resources, Inc.^

 
  965,000      

3.800%, 06/01/24

    991,016  
  725,000      

4.375%, 01/15/28

    740,471  
 
1,490,000
 
   

DCP Midstream Operating, LP*^‡

5.850%, 05/21/43

 
   

3 mo. USD LIBOR + 3.85%

    1,341,358  
 
540,000
 
   

Diamond Offshore Drilling, Inc.@

7.875%, 08/15/25

 

 

84,208

 

 
2,215,000
 
   

Energy Transfer Operating, LP‡

3.223%, 11/01/66

3 mo. USD LIBOR + 3.02%

 

 

1,542,238

 

   

EnLink Midstream Partners, LP

 
 
1,235,000
 
   

6.000%, 12/15/22‡

3 mo. USD LIBOR + 4.11%

 

 

682,659

 

  1,015,000      

4.850%, 07/15/26

    986,783  

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
   

EQT Corp.^

 
  550,000      

8.750%, 02/01/30

  $ 702,009  
  385,000      

7.875%, 02/01/25

    454,350  
  235,000      

5.000%, 01/15/29

    255,943  
 
978,000
 
   

Genesis Energy, LP / Genesis

Energy Finance Corp.

6.250%, 05/15/26

 

 

878,655

 

   

Gulfport Energy Corp.@

 
  1,200,000      

6.375%, 05/15/25

    926,460  
  720,000      

6.000%, 10/15/24

    556,452  
 
250,000
 
   

Hess Midstream Operations, LP*^

5.125%, 06/15/28

 

 

260,215

 

 
282,000
 
   

HighPoint Operating Corp.

7.000%, 10/15/22

 

 

113,649

 

 
235,000
 
   

Holly Energy Partners, LP / Holly

Energy Finance Corp.*^

5.000%, 02/01/28

 

 

236,763

 

 
807,000
 
   

Laredo Petroleum, Inc.^

10.125%, 01/15/28

 

 

703,494

 

 
1,485,000
 
   

Magnolia Oil & Gas Operating,

LLC / Magnolia Oil & Gas Finance

Corp.*^

6.000%, 08/01/26

 

 

1,536,515

 

   

Moss Creek Resources Holdings,

Inc.*

 
  500,000      

10.500%, 05/15/27

    445,105  
  455,000      

7.500%, 01/15/26

    382,259  
 
500,000
 
   

Murphy Oil Corp.^

5.875%, 12/01/27

 

 

475,940

 

 
477,000
 
   

New Fortress Energy, Inc.*

6.750%, 09/15/25

 

 

494,110

 

 
245,000
 
   

Newfield Exploration Companyµ

5.750%, 01/30/22

 

 

254,496

 

 
450,000
 
   

Nine Energy Service, Inc.*

8.750%, 11/01/23

 

 

187,817

 

   

Occidental Petroleum Corp.^

 
  2,930,000      

4.300%, 08/15/39

    2,568,643  
  2,142,000      

2.900%, 08/15/24

    2,081,167  
  1,816,000      

2.700%, 08/15/22

    1,823,300  
  494,000      

5.875%, 09/01/25

    518,552  
 
245,000
 
   

Ovintiv, Inc.^

6.500%, 08/15/34

 

 

299,689

 

 
464,000
 
   

Par Petroleum, LLC / Par

Petroleum Finance Corp.*

7.750%, 12/15/25

 

 

452,966

 

 
750,000
 
   

Parkland Fuel Corp.*^

5.875%, 07/15/27

 

 

802,717

 

 
960,000
 
   

Plains All American Pipeline,

LPµ‡

6.125%, 11/15/22

3 mo. USD LIBOR + 4.11%

 

 

805,814

 

 
360,000
 
   

Range Resources Corp.*^

8.250%, 01/15/29

 

 

378,731

 

 
1,050,000
 
   

SESI, LLC@

7.750%, 09/15/24

 

 

408,880

 

 
304,000
 
   

SM Energy Company*^

10.000%, 01/15/25

 

 

337,838

 

 
243,000
 
   

Southwestern Energy Companyµ

8.375%, 09/15/28

 

 

260,491

 

 
536,000
 
   

Transocean, Inc.*

11.500%, 01/30/27

 

 

423,376

 

 
1,300,000
 
   

Vine Oil & Gas, LP / Vine Oil &

Gas Finance Corp.*

8.750%, 04/15/23

 

 

1,210,742

 

 
500,000
 
   

Viper Energy Partners, LP*^

5.375%, 11/01/27

 

 

525,490

 

 

 

See accompanying Notes to Schedule of Investments

 

3


Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
 
905,000
 
   

W&T Offshore, Inc.*

9.750%, 11/01/23

 

$

717,149

 

 
460,000
 
   

Weatherford International, Ltd.*

11.000%, 12/01/24

 

 

394,781

 

     

 

 

 

        35,607,008  
     

 

 

 

    Financials (5.9%)  
 
3,175,000
 
   

Acrisure, LLC / Acrisure Finance,

Inc.*^

7.000%, 11/15/25

 

 

3,278,664

 

 
485,000
 
   

Aethon United BR, LP / Aethon

United Finance Corp.*

8.250%, 02/15/26

 

 

496,524

 

 
945,000
 
   

AG Issuer, LLC*

6.250%, 03/01/28

 

 

991,135

 

 
2,065,000
 
   

Alliant Holdings Intermediate, LLC

/ Alliant Holdings Co-Issuer*^

6.750%, 10/15/27

 

 

2,187,124

 

 
1,597,000
 
   

Ally Financial, Inc.

8.000%, 11/01/31

 

 

2,325,823

 

 
1,975,000
 
   

AmWINS Group, Inc.*

7.750%, 07/01/26

 

 

2,117,674

 

 
2,200,000
 
   

AssuredPartners, Inc.*

7.000%, 08/15/25

 

 

2,270,048

 

   

Aviation Capital Group, LLC*µ

 
  1,069,000      

3.500%, 11/01/27^

    1,129,880  
  250,000      

6.750%, 04/06/21

    252,730  
 
2,720,000
 
   

Brookfield Property REIT, Inc. /

BPR Cumulus, LLC / BPR

Nimbus, LLC / GGSI Sellco,

LLC*^

5.750%, 05/15/26

 

 

2,825,754

 

   

Credit Acceptance Corp.^

 
  1,250,000      

6.625%, 03/15/26

    1,327,438  
  869,000      

5.125%, 12/31/24*

    901,544  
 
297,000
 
   

Cushman & Wakefield US

Borrower, LLC*

6.750%, 05/15/28

 

 

323,587

 

 
1,250,000
 
   

Donnelley Financial Solutions, Inc.

8.250%, 10/15/24

 

 

1,316,963

 

 
1,005,000
 
   

Genworth Mortgage Holdings,

Inc.*^

6.500%, 08/15/25

 

 

1,076,737

 

 
839,362
 
   

Global Aircraft Leasing Company,

Ltd.*

6.500%, 09/15/24

7.250% PIK rate

 

 

753,755

 

 
923,000
 
   

Global Net Lease, Inc. / Global

Net Lease Operating Partnership,

LP*^

3.750%, 12/15/27

 

 

941,848

 

 
1,563,000
 
   

Greystar Real Estate Partners,

LLC*

5.750%, 12/01/25

 

 

1,615,704

 

 
4,250,000
 
   

HUB International, Ltd.*

7.000%, 05/01/26

 

 

4,411,627

 

   

Icahn Enterprises, LP / Icahn

Enterprises Finance Corp.

 
  1,180,000      

5.250%, 05/15/27

    1,242,269  
  238,000      

4.375%, 02/01/29*

    236,729  
 
1,825,000
 
   

ILFC E-Capital Trust II*‡

3.480%, 12/21/65

3 mo. USD LIBOR + 1.80%

 

 

1,475,731

 

 
2,195,000
 
   

Iron Mountain, Inc.*^

5.250%, 03/15/28

 

 

2,310,435

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
 
2,000,000
 
   

Jefferies Finance, LLC / JFIN Co-

Issuer Corp.*µ

6.250%, 06/03/26

 

$

2,102,500

 

   

Ladder Capital Finance Holdings

LLLP / Ladder Capital Finance

Corp.*

 
  2,114,000      

5.250%, 10/01/25

    2,116,537  
  237,000      

4.250%, 02/01/27^

    227,657  
 
1,040,000
 
   

Level 3 Financing, Inc.µ

5.375%, 05/01/25

 

 

1,068,933

 

 
2,168,000
 
   

LPL Holdings, Inc.*

5.750%, 09/15/25

 

 

2,241,300

 

 
2,085,000
 
   

MetLife, Inc.µ

6.400%, 12/15/66

 

 

2,700,033

 

 
480,000
 
   

MGIC Investment Corp.

5.250%, 08/15/28

 

 

513,754

 

   

Navient Corp.

 
  2,113,000      

5.000%, 03/15/27^

    2,144,315  
  550,000      

6.750%, 06/25/25^

    603,394  
  478,000      

4.875%, 03/15/28

    475,323  
 
540,000
 
   

NexBank Capital, Inc.*‡&

6.375%, 09/30/27

3 mo. USD LIBOR + 4.59%

 

 

531,970

 

   

OneMain Finance Corp.

 
  1,230,000      

7.125%, 03/15/26

    1,444,327  
  925,000      

6.875%, 03/15/25^

    1,061,262  
   

Park Intermediate Holdings, LLC /

PK Domestic Property, LLC / PK

Finance Co-Issuer*

 
  578,000      

7.500%, 06/01/25

    625,384  
  476,000      

5.875%, 10/01/28

    503,275  
 
1,100,000
 
   

Prospect Capital Corp.µ

3.706%, 01/22/26

 

 

1,089,165

 

 
1,250,000
 
   

Radian Group, Inc.µ^

4.875%, 03/15/27

 

 

1,353,188

 

 
580,000
 
   

SLM Corp.µ^

4.200%, 10/29/25

 

 

616,076

 

 
1,250,000
 
   

Starwood Property Trust, Inc.

4.750%, 03/15/25

 

 

1,259,725

 

 
943,000
 
   

StoneX Group, Inc.*µ

8.625%, 06/15/25

 

 

1,026,446

 

 
440,000
 
   

Tronox Finance, PLC*^

5.750%, 10/01/25

 

 

457,547

 

 
716,000
 
   

United Shore Financial Services,

LLC*^

5.500%, 11/15/25

 

 

754,471

 

 
940,000
 
   

VICI Properties, LP / VICI Note

Company, Inc.*^

3.750%, 02/15/27

 

 

958,386

 

 
1,017,000
 
   

XHR, LP*

6.375%, 08/15/25

 

 

1,068,521

 

     

 

 

 

        62,753,212  
     

 

 

 

    Health Care (3.3%)  
   

Acadia Healthcare Company,

 
   

Inc.^

 
  2,300,000      

5.625%, 02/15/23

    2,308,372  
  477,000      

5.000%, 04/15/29*

    502,586  
 
2,730,000
 
   

Bausch Health Americas, Inc.*

8.500%, 01/31/27

 

 

3,022,902

 

   

Bausch Health Companies, Inc.*

 
  1,050,000      

5.000%, 01/30/28

    1,083,033  
  413,000      

5.000%, 02/15/29

    423,569  
  239,000      

5.250%, 02/15/31

    246,256  
   

Centene Corp.

 
  1,000,000      

4.250%, 12/15/27^

    1,060,060  
 

 

See accompanying Notes to Schedule of Investments

 

4


Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
  477,000      

3.000%, 10/15/30

  $ 499,686  
   

CHS/Community Health Systems,

Inc.*

 
  3,793,000      

8.125%, 06/30/24

    3,997,822  
  1,100,000      

8.000%, 03/15/26^

    1,183,930  
  538,000      

6.875%, 04/15/29

    544,951  
   

DaVita, Inc.*

 
  1,206,000      

4.625%, 06/01/30

    1,267,554  
  237,000      

3.750%, 02/15/31

    235,592  
   

Encompass Health Corp.

 
  470,000      

4.750%, 02/01/30

    504,808  
  470,000      

4.500%, 02/01/28

    492,616  
 
1,175,000
 
   

HCA, Inc.

7.500%, 11/06/33

 

 

1,613,440

 

 
1,650,000
 
   

Mallinckrodt International Finance,

SA / Mallinckrodt CB, LLC*@

5.625%, 10/15/23

 

 

682,473

 

 
1,025,000
 
   

Team Health Holdings, Inc.*

6.375%, 02/01/25

 

 

924,222

 

   

Tenet Healthcare Corp.

 
  2,250,000      

6.250%, 02/01/27*^

    2,373,570  
  1,405,000      

4.625%, 07/15/24

    1,431,569  
  1,315,000      

6.875%, 11/15/31

    1,427,406  
  1,250,000      

4.875%, 01/01/26*

    1,305,725  
 
2,382,000
 
   

Teva Pharmaceutical Finance

Company, BVµ

2.950%, 12/18/22

 

 

2,391,242

 

   

Teva Pharmaceutical Finance

Netherlands III, BV^

 
  2,050,000      

6.000%, 04/15/24µ

    2,160,167  
  1,950,000      

2.800%, 07/21/23

    1,935,316  
 
1,696,000
 
   

West Street Merger Sub, Inc.*

6.375%, 09/01/25

 

 

1,748,780

 

     

 

 

 

        35,367,647  
     

 

 

 

    Industrials (5.1%)  
 
960,000
 
   

Abercrombie & Fitch Management

Company*^

8.750%, 07/15/25

 

 

1,068,000

 

 
1,020,000
 
   

ACCO Brands Corp.*^

5.250%, 12/15/24

 

 

1,049,264

 

   

Albertsons Companies, Inc. /

Safeway, Inc. / New Albertsons,

LP / Albertsons, LLC*

 
  1,175,000      

4.625%, 01/15/27

    1,233,198  
  703,000      

4.875%, 02/15/30

    752,266  
  477,000      

3.500%, 03/15/29

    471,553  
   

Allison Transmission, Inc.*^

 
  825,000      

4.750%, 10/01/27

    864,385  
  240,000      

3.750%, 01/30/31

    239,155  
   

American Airlines Group, Inc.*

 
  789,000      

5.000%, 06/01/22

    742,836  
  240,000      

3.750%, 03/01/25^

    184,380  
 
2,450,000
 
   

ARD Finance, SA*

6.500%, 06/30/27

7.250% PIK rate

 

 

2,587,322

 

 
500,000
 
   

Avolon Holdings Funding, Ltd.*µ^

5.250%, 05/15/24

 

 

547,810

 

 
1,245,000
 
   

Beacon Roofing Supply, Inc.*

4.875%, 11/01/25

 

 

1,260,189

 

   

Cascades, Inc. / Cascades USA,

Inc.*

 
  750,000      

5.125%, 01/15/26

    798,202  
  500,000      

5.375%, 01/15/28^

    529,335  
   

Delta Air Lines, Inc.^

 
  239,000      

7.375%, 01/15/26

    274,817  

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
  236,000      

3.800%, 04/19/23

  $ 242,164  
   

Delta Air Lines, Inc. / SkyMiles IP,

Ltd.*µ

 
  239,000      

4.750%, 10/20/28

    264,972  
  119,000      

4.500%, 10/20/25

    127,303  
 
478,000
 
   

Endurance Acquisition Merger

Sub*

6.000%, 02/15/29

 

 

472,044

 

 
475,000
 
   

EnerSys*

4.375%, 12/15/27

 

 

507,062

 

 
2,045,000
 
   

Fly Leasing, Ltd.^

5.250%, 10/15/24

 

 

1,995,020

 

 
477,000
 
   

GFL Environmental, Inc.*^

3.750%, 08/01/25

 

 

488,658

 

   

Golden Nugget, Inc.*

 
  725,000      

6.750%, 10/15/24

    726,682  
  505,000      

8.750%, 10/01/25^

    525,357  
 
533,000
 
   

Graham Packaging Company,

Inc.*^

7.125%, 08/15/28

 

 

579,675

 

 
500,000
 
   

Granite US Holdings Corp.*^

11.000%, 10/01/27

 

 

561,985

 

 
625,000
 
   

Graphic Packaging International,

LLC*

4.750%, 07/15/27

 

 

690,862

 

 
1,215,000
 
   

Great Lakes Dredge & Dock Corp.

8.000%, 05/15/22

 

 

1,236,384

 

 
1,099,000
 
   

H&E Equipment Services, Inc.*

3.875%, 12/15/28

 

 

1,095,989

 

 
110,000
 
   

Hawaiian Brand Intellectual

Property Ltd. / HawaiianMiles

Loyalty Ltd.*

5.750%, 01/20/26

 

 

114,290

 

 
1,250,000
 
   

Herc Holdings, Inc.*^

5.500%, 07/15/27

 

 

1,319,437

 

   

Howmet Aerospace, Inc.^

 
  1,450,000      

5.125%, 10/01/24

    1,596,943  
  429,000      

6.875%, 05/01/25

    500,403  
 
1,250,000
 
   

Jeld-Wen, Inc.*

4.625%, 12/15/25

 

 

1,277,775

 

 
865,000
 
   

KeHE Distributors, LLC / KeHE

Finance Corp.*

8.625%, 10/15/26

 

 

967,952

 

 
716,000
 
   

Ken Garff Automotive, LLC*

4.875%, 09/15/28

 

 

737,215

 

 
474,000
 
   

MasTec, Inc.*^

4.500%, 08/15/28

 

 

499,786

 

   

Meritor, Inc.^

 
  1,903,000      

6.250%, 02/15/24

    1,930,993  
  143,000      

4.500%, 12/15/28*

    145,780  
 
588,000
 
   

Moog, Inc.*

4.250%, 12/15/27

 

 

613,507

 

 
1,175,000
 
   

Nationstar Mortgage Holdings,

Inc.*

6.000%, 01/15/27

 

 

1,244,290

 

   

Navistar International Corp.*

 
  1,625,000      

6.625%, 11/01/25

    1,694,420  
  480,000      

9.500%, 05/01/25

    535,171  
 
940,000
 
   

Novelis Corp.*

4.750%, 01/30/30

 

 

990,563

 

 
1,120,000
 
   

Park-Ohio Industries, Inc.^

6.625%, 04/15/27

 

 

1,128,702

 

 
505,000
 
   

Patrick Industries, Inc.*

7.500%, 10/15/27

 

 

554,429

 

 

 

See accompanying Notes to Schedule of Investments

 

5


Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
 
1,050,000
 
   

Peninsula Pacific Entertainment,

LLC / Peninsula Pacific

Entertainment Finance In*

8.500%, 11/15/27

 

$

1,126,702

 

 
236,000
 
   

Picasso Finance Sub, Inc.*

6.125%, 06/15/25

 

 

252,520

 

 
935,000
 
   

QVC, Inc.µ

4.375%, 09/01/28

 

 

974,981

 

 
790,000
 
   

Scientific Games International,

Inc.*^

5.000%, 10/15/25

 

 

814,672

 

 
823,000
 
   

SEG Holding, LLC / SEG Finance

Corp.*^

5.625%, 10/15/28

 

 

878,059

 

 
479,000
 
   

Sensata Technologies, Inc.*µ

3.750%, 02/15/31

 

 

492,206

 

   

Sinclair Television Group, Inc.*^

 
  477,000      

4.125%, 12/01/30

    476,218  
  475,000      

5.500%, 03/01/30

    490,267  
   

Standard Industries, Inc.*

 
  475,000      

5.000%, 02/15/27µ

    495,819  
  236,000      

4.375%, 07/15/30^

    250,497  
   

Station Casinos, LLC*

 
  1,435,000      

4.500%, 02/15/28

    1,410,878  
  647,000      

5.000%, 10/01/25

    651,840  
 
477,000
 
   

Stericycle, Inc.*µ

3.875%, 01/15/29

 

 

490,366

 

 
717,000
 
   

STL Holding Company, LLC*

7.500%, 02/15/26

 

 

747,042

 

 
785,000
 
   

Tennant Company

5.625%, 05/01/25

 

 

816,989

 

 
1,000,000
 
   

TransDigm UK Holdings, PLC

6.875%, 05/15/26

 

 

1,057,170

 

   

TransDigm, Inc.

 
  1,260,000      

6.250%, 03/15/26*

    1,334,479  
  700,000      

7.500%, 03/15/27

    749,546  
   

United Rentals North America,

Inc.

 
  450,000      

5.875%, 09/15/26

    474,440  
  239,000      

3.875%, 02/15/31^

    249,920  
 
615,000
 
   

Waste Pro USA, Inc.*

5.500%, 02/15/26

 

 

634,108

 

   

WESCO Distribution, Inc.*

 
  470,000      

7.125%, 06/15/25

    511,910  
  235,000      

7.250%, 06/15/28

    264,344  
 
1,250,000
 
   

XPO Logistics, Inc.*^

6.750%, 08/15/24

 

 

1,323,087

 

     

 

 

 

        54,936,585  
     

 

 

 

    Information Technology (1.0%)  
 
500,000
 
   

CDK Global, Inc.*

5.250%, 05/15/29

 

 

542,475

 

 
1,114,000
 
   

CommScope Technologies, LLC*^

6.000%, 06/15/25

 

 

1,139,221

 

   

Dell International, LLC / EMC

Corp.*

 
  1,155,000      

6.020%, 06/15/26µ

    1,394,559  
  750,000      

6.100%, 07/15/27^

    928,807  
  425,000      

5.850%, 07/15/25µ

    505,087  
 
480,000
 
   

Fair Isaac Corp.*

4.000%, 06/15/28

 

 

496,142

 

 
1,050,000
 
   

KBR, Inc.*

4.750%, 09/30/28

 

 

1,091,695

 

 
1,050,000
 
   

MPH Acquisition Holdings, LLC*^

5.750%, 11/01/28

 

 

1,042,324

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
 
750,000
 
   

MTS Systems Corp.*^

5.750%, 08/15/27

 

$

816,390

 

 
723,000
 
   

ON Semiconductor Corp.*^

3.875%, 09/01/28

 

 

751,971

 

 
705,000
 
   

Open Text Corp.*

3.875%, 02/15/28

 

 

723,161

 

 
646,000
 
   

PTC, Inc.*µ

4.000%, 02/15/28

 

 

674,056

 

 
478,000
 
   

ZoomInfo Technologies, LLC /

ZoomInfo Finance Corp.*

3.875%, 02/01/29

 

 

483,832

 

     

 

 

 

        10,589,720  
     

 

 

 

    Materials (1.8%)  
 
1,625,000
 
   

Alcoa Nederland Holding, BV*

7.000%, 09/30/26

 

 

1,718,762

 

 
534,000
 
   

Allegheny Technologies, Inc.^

5.875%, 12/01/27

 

 

561,864

 

 
725,000
 
   

ArcelorMittal, SA^

7.250%, 10/15/39

 

 

1,048,067

 

 
412,000
 
   

Ardagh Packaging Finance, PLC /

Ardagh Holdings USA, Inc.*

6.000%, 02/15/25

 

 

424,690

 

 
1,040,000
 
   

Clearwater Paper Corp.*^

4.750%, 08/15/28

 

 

1,078,033

 

 
650,000
 
   

First Quantum Minerals, Ltd.*

7.250%, 04/01/23

 

 

665,347

 

   

Freeport-McMoRan, Inc.^

 
  645,000      

5.000%, 09/01/27

    687,422  
  475,000      

5.450%, 03/15/43

    595,470  
  425,000      

5.400%, 11/14/34

    529,920  
 
716,000
 
   

HB Fuller Company^

4.250%, 10/15/28

 

 

734,022

 

 
740,000
 
   

Hudbay Minerals, Inc.*^

6.125%, 04/01/29

 

 

785,517

 

 
725,000
 
   

JW Aluminum Continuous Cast

Company*^

10.250%, 06/01/26

 

 

770,958

 

   

Kaiser Aluminum Corp.*

 
  505,000      

4.625%, 03/01/28^

    522,114  
  449,000      

6.500%, 05/01/25

    480,973  
 
538,000
 
   

Mercer International, Inc.*^

5.125%, 02/01/29

 

 

548,254

 

 
250,000
 
   

Mineral Resources, Ltd.*

8.125%, 05/01/27

 

 

277,933

 

   

New Gold, Inc.*

 
  628,000      

6.375%, 05/15/25

    651,883  
  237,000      

7.500%, 07/15/27

    256,166  
 
250,000
 
   

Norbord, Inc.*

5.750%, 07/15/27

 

 

269,190

 

 
1,040,000
 
   

OCI, NV*

4.625%, 10/15/25

 

 

1,078,511

 

 
475,000
 
   

Owens-Brockway Glass

Container, Inc.*

6.625%, 05/13/27

 

 

515,518

 

   

PBF Holding Company, LLC /

PBF Finance Corp.

 
  2,050,000      

7.250%, 06/15/25

    1,362,286  
  240,000      

9.250%, 05/15/25*^

    231,900  
 
1,105,000
 
   

Silgan Holdings, Inc.^

4.125%, 02/01/28

 

 

1,147,852

 

 
1,000,000
 
   

Taseko Mines, Ltd.*

7.000%, 02/15/26

 

 

997,800

 

 
750,000
 
   

Univar Solutions USA, Inc.*

5.125%, 12/01/27

 

 

789,742

 

 

 

See accompanying Notes to Schedule of Investments

 

6


Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
 
239,000
 
   

Valvoline, Inc.*

3.625%, 06/15/31

 

$

240,728

 

     

 

 

 

        18,970,922  
     

 

 

 

    Real Estate (0.4%)  
 
1,225,000
 
   

CBL & Associates, LP@

5.250%, 12/01/23

 

 

459,730

 

 
289,000
 
   

EPR Properties^

3.750%, 08/15/29

 

 

282,882

 

   

Forestar Group, Inc.*

 
  1,250,000      

8.000%, 04/15/24

    1,315,975  
  750,000      

5.000%, 03/01/28

    781,927  
 
240,000
 
   

iStar, Inc.µ

5.500%, 02/15/26

 

 

244,620

 

   

Service Properties Trustµ

 
  1,250,000      

4.350%, 10/01/24

    1,229,275  
  465,000      

5.250%, 02/15/26

    458,774  
     

 

 

 

        4,773,183  
     

 

 

 

    Utilities (0.5%)  
 
705,000
 
   

Calpine Corp.*

4.500%, 02/15/28

 

 

725,149

 

 
755,000
 
   

NRG Energy, Inc.

6.625%, 01/15/27

 

 

792,909

 

 
1,449,000
 
   

PPL Capital Funding, Inc.µ‡

2.905%, 03/30/67

3 mo. USD LIBOR + 2.67%

 

 

1,350,816

 

   

Talen Energy Supply, LLC*^

 
  500,000      

10.500%, 01/15/26

    460,640  
  250,000      

7.250%, 05/15/27

    264,712  
 
1,250,000
 
   

TerraForm Power Operating,

LLC*µ

5.000%, 01/31/28

 

 

1,391,587

 

     

 

 

 

        4,985,813  
     

 

 

 

   

TOTAL CORPORATE BONDS

(Cost $348,714,354)

    357,818,871  
     

 

 

 

     

 

 

 

  CONVERTIBLE BONDS (84.2%)  
    Communication Services (6.8%)  
   

Liberty Media Corp.

 
  9,000,000      

0.500%, 12/01/50*

    9,290,970  
  8,550,000      

1.375%, 10/15/23

    10,505,556  
  5,350,000      

2.250%, 09/30/46

    2,533,706  
 
4,500,000
 
   

Liberty Media Corp. / Liberty

Formula One

1.000%, 01/30/23

 

 

5,541,840

 

 
5,250,000
 
   

Match Group FinanceCo 3, Inc.*^

2.000%, 01/15/30

 

 

9,533,055

 

 
4,500,000
 
   

Sea, Ltd.*

2.375%, 12/01/25

 

 

11,166,660

 

 
5,750,000
 
   

Snap, Inc.

0.750%, 08/01/26

 

 

13,785,280

 

 
7,400,000
 
   

Zynga, Inc.

0.250%, 06/01/24

 

 

9,981,638

 

     

 

 

 

        72,338,705  
     

 

 

 

    Consumer Discretionary (21.7%)  
 
9,000,000
 
   

Booking Holdings, Inc.*^

0.750%, 05/01/25

 

 

12,178,980

 

 
6,250,000
 
   

Burlington Stores, Inc.*

2.250%, 04/15/25

 

 

8,413,000

 

 
2,645,000
 
   

Carnival Corp.*

5.750%, 04/01/23

 

 

5,572,036

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
 
8,500,000
 
   

Chegg, Inc.*

0.000%, 09/01/26

 

$

9,856,260

 

 
2,500,000
 
   

Dick’s Sporting Goods, Inc.*^

3.250%, 04/15/25

 

 

5,126,025

 

 
2,752,000
 
   

DISH Network Corp.~

2.375%, 03/15/24

 

 

2,524,134

 

 
12,750,000
 
   

Etsy, Inc.*^

0.125%, 09/01/27

 

 

16,955,970

 

 
4,396,000
 
   

Fiverr International, Ltd.*

0.000%, 11/01/25

 

 

5,542,741

 

 
1,416,000
 
   

Guess, Inc.^

2.000%, 04/15/24

 

 

1,615,288

 

 
13,000,000
 
   

Liberty Broadband Corp.*

2.750%, 09/30/50

 

 

13,424,970

 

   

Liberty Interactive, LLC

 
  1,220,000      

4.000%, 11/15/29

    950,563  
  615,000      

3.750%, 02/15/30

    475,094  
 
11,250,000
 
   

Marriott Vacations Worldwide

Corp.*

0.000%, 01/15/26

 

 

11,340,000

 

   

NCL Corp., Ltd.*

 
  4,255,000      

5.375%, 08/01/25

    6,597,292  
  3,000,000      

6.000%, 05/15/24

    5,796,870  
 
4,500,000
 
   

RH*

0.000%, 09/15/24

 

 

10,332,450

 

 
15,250,000
 
   

Royal Caribbean Cruises, Ltd.*~

4.250%, 06/15/23

 

 

18,495,200

 

 
4,340,000
 
   

Tesla, Inc.

2.000%, 05/15/24

 

 

55,422,451

 

 
3,500,000
 
   

Under Armour, Inc.*

1.500%, 06/01/24

 

 

5,786,060

 

 
15,000,000
 
   

Vail Resorts, Inc.*^

0.000%, 01/01/26

 

 

15,126,600

 

 
12,500,000
 
   

Wayfair, Inc.*

0.625%, 10/01/25

 

 

12,760,250

 

 
6,000,000
 
   

Winnebago Industries, Inc.

1.500%, 04/01/25

 

 

7,853,400

 

     

 

 

 

        232,145,634  
     

 

 

 

    Energy (2.1%)  
 
2,734,000
 
   

Helix Energy Solutions Group, Inc.

4.125%, 09/15/23

 

 

2,580,568

 

 
9,000,000
 
   

Integra LifeSciences Holdings

Corp.*

0.500%, 08/15/25

 

 

10,119,510

 

 
7,000,000
 
   

Pioneer Natural Resources

Company*^~

0.250%, 05/15/25

 

 

9,692,480

 

   

SunEdison, Inc.@

 
  9,411,000      

0.250%, 01/15/20*

    118,579  
  898,000      

2.000%, 10/01/18

    11,153  
     

 

 

 

        22,522,290  
     

 

 

 

    Financials (0.1%)  
 
1,250,000
 
   

Prospect Capital Corp.

4.950%, 07/15/22

 

 

1,284,800

 

     

 

 

 

    Health Care (14.5%)  
 
4,500,000
 
   

BioMarin Pharmaceutical, Inc.*^

1.250%, 05/15/27

 

 

4,724,415

 

 
5,750,000
 
   

Bridgebio Pharma, Inc.*

2.250%, 02/01/29

 

 

5,560,825

 

 
2,750,000
 
   

CONMED Corp.^

2.625%, 02/01/24

 

 

3,864,300

 

 
14,000,000
 
   

DexCom, Inc.*^

0.250%, 11/15/25

 

 

14,291,200

 

 

 

See accompanying Notes to Schedule of Investments

 

7


Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
 
2,426,000
 
   

Envista Holdings Corp.*^

2.375%, 06/01/25

 

$

4,451,298

 

 
6,750,000
 
   

Exact Sciences Corp.^

0.375%, 03/15/27

 

 

9,666,135

 

 
9,000,000
 
   

Guardant Health, Inc.*^

0.000%, 11/15/27

 

 

12,031,920

 

 
13,500,000
 
   

Insulet Corp.^

0.375%, 09/01/26

 

 

18,668,745

 

 
9,950,000
 
   

Jazz Investments I, Ltd.*

2.000%, 06/15/26

 

 

12,986,242

 

 
10,250,000
 
   

NeoGenomics, Inc.^

0.250%, 01/15/28

 

 

11,078,303

 

 
2,100,000
 
   

Neurocrine Biosciences, Inc.^

2.250%, 05/15/24

 

 

3,141,558

 

 
4,000,000
 
   

NuVasive, Inc.*^

0.375%, 03/15/25

 

 

3,887,160

 

 
8,500,000
 
   

Omnicell, Inc.*

0.250%, 09/15/25

 

 

11,370,960

 

 
8,000,000
 
   

Pacira BioSciences, Inc.*

0.750%, 08/01/25

 

 

9,585,680

 

 
6,470,000
 
   

Repligen Corp.

0.375%, 07/15/24

 

 

11,773,847

 

 
1,675,000
 
   

Sarepta Therapeutics, Inc.^

1.500%, 11/15/24

 

 

2,468,615

 

 
3,500,000
 
   

Tandem Diabetes Care, Inc.*

1.500%, 05/01/25

 

 

4,043,970

 

 
6,750,000
 
   

Teladoc Health, Inc.*^

1.250%, 06/01/27

 

 

9,650,273

 

 
3,268,000
 
   

Tricida, Inc.*

3.500%, 05/15/27

 

 

1,599,228

 

     

 

 

 

        154,844,674  
     

 

 

 

    Industrials (6.4%)  
 
7,250,000
 
   

Air Canada*

4.000%, 07/01/25

 

 

9,883,635

 

 
3,750,000
 
   

Air Transport Services Group, Inc.

1.125%, 10/15/24

 

 

3,976,838

 

 
3,650,000
 
   

Atlas Air Worldwide Holdings, Inc.

1.875%, 06/01/24

 

 

4,108,038

 

 
4,250,000
 
   

Middleby Corp.*

1.000%, 09/01/25

 

 

5,348,710

 

 
13,380,000
 
   

Southwest Airlines Company^~

1.250%, 05/01/25

 

 

18,812,815

 

 
5,750,000
 
   

Sunrun, Inc.*

0.000%, 02/01/26

 

 

5,859,710

 

 
20,000,000
 
   

Uber Technologies, Inc.*^

0.000%, 12/15/25

 

 

20,960,800

 

     

 

 

 

        68,950,546  
     

 

 

 

    Information Technology (31.8%)  
 
505,000
 
   

Advanced Micro Devices, Inc.

2.125%, 09/01/26

 

 

5,425,260

 

 
7,750,000
 
   

Akamai Technologies, Inc.

0.375%, 09/01/27

 

 

8,872,665

 

 
11,500,000
 
   

Bentley Systems, Inc.*

0.125%, 01/15/26

 

 

11,584,985

 

 
5,207,000
 
   

Bill.com Holdings, Inc.*

0.000%, 12/01/25

 

 

5,660,790

 

 
3,500,000
 
   

Cloudflare, Inc.*

0.750%, 05/15/25

 

 

7,533,680

 

 
14,000,000
 
   

Coupa Software, Inc.*^

0.375%, 06/15/26

 

 

18,039,560

 

 
7,250,000
 
   

Datadog, Inc.*

0.125%, 06/15/25

 

 

9,745,160

 

   

Envestnet, Inc.

 
  3,000,000      

1.750%, 06/01/23^

    3,821,580  

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
  1,928,000      

0.750%, 08/15/25*

  $ 1,988,848  
 
2,500,000
 
   

Everbridge, Inc.

0.125%, 12/15/24

 

 

3,413,625

 

 
3,500,000
 
   

Five9, Inc.*

0.500%, 06/01/25

 

 

4,933,740

 

  4,500,000      

II-VI, Inc.

 
   

0.250%, 09/01/22

    8,309,385  
 
13,250,000
 
   

Inphi Corp.*~

0.750%, 04/15/25

 

 

19,277,160

 

 
4,750,000
 
   

LivePerson, Inc.*

0.000%, 12/15/26

 

 

5,280,955

 

 
7,000,000
 
   

Lumentum Holdings, Inc.^

0.500%, 12/15/26

 

 

8,623,300

 

 
18,705,000
 
   

Microchip Technology, Inc.^

0.125%, 11/15/24

 

 

21,192,204

 

 
6,750,000
 
   

MongoDB, Inc.

0.250%, 01/15/26

 

 

12,510,315

 

 
4,250,000
 
   

Nice, Ltd.*^

0.000%, 09/15/25

 

 

4,830,933

 

 
5,645,000
 
   

Nova Measuring Instruments,

Ltd.*

0.000%, 10/15/25

 

 

6,381,052

 

   

Okta, Inc.

 
  7,500,000      

0.125%, 09/01/25^

    11,396,250  
  4,000,000      

0.375%, 06/15/26*

    5,230,480  
 
3,250,000
 
   

ON Semiconductor Corp.

1.625%, 10/15/23

 

 

5,755,360

 

 
8,500,000
 
   

Palo Alto Networks, Inc.

0.750%, 07/01/23

 

 

12,069,745

 

 
6,750,000
 
   

Proofpoint, Inc.

0.250%, 08/15/24

 

 

7,407,113

 

 
2,000,000
 
   

Q2 Holdings, Inc.

0.750%, 06/01/26

 

 

3,097,980

 

 
11,250,000
 
   

Repay Holdings Corp.*

0.000%, 02/01/26

 

 

11,252,137

 

 
8,250,000
 
   

RingCentral, Inc.*^

0.000%, 03/01/25

 

 

10,361,422

 

 
13,750,000
 
   

Shift4 Payments, Inc.*^

0.000%, 12/15/25

 

 

15,738,937

 

 
1,824,000
 
   

Shopify, Inc.^

0.125%, 11/01/25

 

 

2,162,060

 

 
7,750,000
 
   

Silicon Laboratories, Inc.*^

0.625%, 06/15/25

 

 

10,040,668

 

 
18,000,000
 
   

Splunk, Inc.*^

1.125%, 06/15/27

 

 

18,963,360

 

   

Square, Inc.*^

 
  9,000,000      

0.250%, 11/01/27

    10,151,550  
  9,000,000      

0.000%, 05/01/26

    10,119,420  
 
3,000,000
 
   

Viavi Solutions, Inc.

1.750%, 06/01/23

 

 

3,814,200

 

 
4,250,000
 
   

Wix.com, Ltd.*^

0.000%, 08/15/25

 

 

4,334,533

 

 
5,250,000
 
   

Workday, Inc.^

0.250%, 10/01/22

 

 

8,419,950

 

 
7,750,000
 
   

Zendesk, Inc.*

0.625%, 06/15/25

 

 

11,498,675

 

 
7,250,000
 
   

Zscaler, Inc.*

0.125%, 07/01/25

 

 

10,838,097

 

     

 

 

 

        340,077,134  
     

 

 

 

    Real Estate (0.8%)  
 
3,600,000
 
   

IH Merger Sub, LLC

3.500%, 01/15/22

 

 

4,778,748

 

 

 

See accompanying Notes to Schedule of Investments

 

8


Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
  2,879,000      

Redfin Corp.*

 
   

0.000%, 10/15/25

  $ 3,548,972  
     

 

 

 

        8,327,720  
     

 

 

 

    TOTAL CONVERTIBLE BONDS (Cost $713,235,070)     900,491,503  
     

 

 

 

     

 

 

 

 

BANK LOANS (4.2%) ¡

 
    Communication Services (0.9%)  
 
1,283,750
 
   

Clear Channel Outdoor Holdings,

Inc.‡

3.711%, 08/21/26

3 mo. LIBOR + 3.50%

 

 

1,255,264

 

 
814,688
 
   

CommScope, Inc.‡

3.371%, 04/06/26

1 mo. LIBOR + 3.25%

 

 

815,005

 

 
493,763
 
   

Consolidated Communications,

Inc.!

0.000%, 10/02/27

 

 

498,644

 

 
369,075
 
   

Consolidated Communications,

Inc.‡

5.750%, 10/02/27

1 mo. LIBOR + 4.75%

 

 

372,723

 

 
543,139
 
   

CSC Holdings, LLC‡

2.627%, 04/15/27

1 mo. LIBOR + 2.50%

 

 

541,612

 

 
1,490,000
 
   

Frontier Communications Corp.‡

5.750%, 10/08/21

1 mo. LIBOR + 4.75%

 

 

1,493,628

 

 
960,300
 
   

iHeartCommunications, Inc.‡

3.121%, 05/01/26

1 mo. LIBOR + 3.00%

 

 

950,217

 

 
2,297,500
 
   

Intelsat Jackson Holdings, SA

8.625%, 01/02/24

1 mo. LIBOR + 8.63%

 

 

2,341,118

 

 
1,775,000
 
   

Intelsat Jackson Holdings, SA‡

8.750%, 01/02/24

3 mo. PRIME + 5.50%

 

 

1,804,705

 

     

 

 

 

        10,072,916  
     

 

 

 

    Consumer Discretionary (0.9%)  
 
594,198
 
   

Meredith Corp.‡

5.250%, 01/31/25

3 mo. LIBOR + 4.25%

 

 

606,640

 

 
555,000
 
   

Meredith Corp.!

0.000%, 01/31/25

 

 

566,622

 

 
1,100,000
 
   

Petco Animal Supplies, Inc.!

0.000%, 01/26/23

 

 

1,100,313

 

 
3,351,614
 
   

PetSmart, Inc.‡

4.500%, 03/11/22

3 mo. LIBOR + 3.50%

 

 

3,355,284

 

 
955,000
 
   

PetSmart, Inc.!

0.000%, 03/11/22

 

 

956,046

 

 
480,000
 
   

PetSmart, Inc.!

0.000%, 01/27/28

 

 

480,000

 

 
200,000
 
   

United Natural Foods, Inc.!

0.000%, 10/22/25

 

 

200,726

 

 
1,962,662
 
   

Weight Watchers International,

Inc.‡

5.500%, 11/29/24

1 mo. LIBOR + 4.75%

 

 

1,969,414

 

     

 

 

 

        9,235,045  
     

 

 

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
    Energy (0.1%)  
 
202,967
 
   

Lealand Finance Company, BV‡

1.121%, 06/30/25

1 mo. LIBOR + 1.00%

 

$

135,988

 

 
16,010
 
   

McDermott Technology Americas,

Inc.‡

3.121%, 06/30/24

1 mo. LIBOR + 3.00%

 

 

13,208

 

 
1,065,789
 
   

Par Pacific Holdings, Inc.‡

7.000%, 01/12/26

3 mo. LIBOR + 6.75%

 

 

1,050,692

 

     

 

 

 

        1,199,888  
     

 

 

 

    Financials (0.1%)  
 
1,260,475
 
   

Connect Finco Sarl‡

5.500%, 12/11/26

1 mo. LIBOR + 4.50%

 

 

1,265,649

 

 
269,862
 
   

Level 3 Financing, Inc.‡

1.871%, 03/01/27

1 mo. LIBOR + 1.75%

 

 

268,767

 

     

 

 

 

        1,534,416  
     

 

 

 

    Health Care (1.0%)  
 
2,436,922
 
   

Amneal Pharmaceuticals, LLC‡

3.625%, 05/04/25

1 mo. LIBOR + 3.50%

 

 

2,420,168

 

 
1,722,154
 
   

Endo Luxembourg Finance

Company I Sarl‡

5.000%, 04/29/24

3 mo. LIBOR + 4.25%

 

 

1,713,543

 

 
1,450,878
 
   

Gentiva Health Services, Inc.‡

3.375%, 07/02/25

1 mo. LIBOR + 3.25%

 

 

1,454,055

 

 
1,107,945
 
   

Mallinckrodt International Finance,

SA‡

5.500%, 09/24/24

3 mo. LIBOR + 4.75%

 

 

1,047,080

 

 
1,541,990
 
   

Ortho Clinical Diagnostics, SA‡

3.394%, 06/30/25

1 mo. LIBOR + 3.25%

 

 

1,540,062

 

 
2,195,259
 
   

Team Health Holdings, Inc.‡

3.750%, 02/06/24

1 mo. LIBOR + 2.75%

 

 

2,057,145

 

     

 

 

 

        10,232,053  
     

 

 

 

    Industrials (0.7%)  
 
1,773,000
 
   

Berry Global, Inc.‡

2.133%, 07/01/26

1 mo. LIBOR + 2.00%

 

 

1,772,663

 

 
1,100,710
 
   

BW Gas & Convenience Holdings,

LLC‡

6.380%, 11/18/24

1 mo. LIBOR + 6.25%

 

 

1,118,596

 

 
1,017,313
 
   

Dun & Bradstreet Corp.‡

3.878%, 02/06/26

1 mo. LIBOR + 3.75%

 

 

1,021,310

 

 
745,563
 
   

Granite US Holdings Corp.‡

5.504%, 09/30/26

3 mo. LIBOR + 5.25%

 

 

740,437

 

 
797,215
 
   

Navistar International Corp.‡

3.630%, 11/06/24

1 mo. LIBOR + 3.50%

 

 

798,311

 

 

 

See accompanying Notes to Schedule of Investments

 

9


Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE
 
569,422
 
   

RegionalCare Hospital Partners

Holdings, Inc.‡

3.871%, 11/16/25

1 mo. LIBOR + 3.75%

 

$

569,815

 

 
1,588,664
 
   

Scientific Games International,

Inc.‡

2.871%, 08/14/24

1 mo. LIBOR + 2.75%

 

 

1,564,588

 

 
270,188
 
   

TransDigm, Inc.‡

2.371%, 12/09/25

1 mo. LIBOR + 2.25%

 

 

266,135

 

     

 

 

 

        7,851,855  
     

 

 

 

    Information Technology (0.4%)  
 
1,127,000
 
   

BMC Software Finance, Inc.‡

4.371%, 10/02/25

1 mo. LIBOR + 4.25%

 

 

1,127,530

 

 
1,188,000
 
   

Camelot U.S. Acquisition 1

Company‡

3.121%, 10/30/26

1 mo. LIBOR + 3.00%

 

 

1,192,206

 

 
640,000
 
   

Camelot U.S. Acquisition 1

Company‡

4.000%, 10/30/26

1 mo. LIBOR + 3.00%

 

 

643,200

 

 
1,028,684
 
   

VFH Parent, LLC‡

3.129%, 03/01/26

1 mo. LIBOR + 3.00%

 

 

1,028,467

 

     

 

 

 

        3,991,403  
     

 

 

 

    Materials (0.1%)  
 
724,525
 
   

Innophos, Inc.‡

3.621%, 02/07/27

1 mo. LIBOR + 3.50%

 

 

726,035

 

     

 

 

 

   

TOTAL BANK LOANS

(Cost $45,110,380)

 

 

44,843,611

 

     

 

 

 

     

 

 

 

  NUMBER OF

SHARES

      

 

    

 

 

VALUE

  CONVERTIBLE PREFERRED STOCKS (15.6%)  
    Communication Services (0.8%)  
 
7,750
 
   

2020 Cash Mandatory

Exchangeable Trust*

5.250%, 06/01/23

 

 

8,960,651

 

     

 

 

 

    Consumer Discretionary (1.2%)  
 
78,610
 
   

Aptiv, PLC^

5.500%, 06/15/23

 

 

12,219,925

 

     

 

 

 

    Consumer Staples (0.3%)  
 
35,755
 
   

Energizer Holdings, Inc.

7.500%, 01/15/22

 

 

3,287,672

 

     

 

 

 

    Financials (2.6%)  
 
32,300
 
   

Assurant, Inc.^

6.500%, 03/15/21

 

 

4,144,413

 

 
4,600
 
   

Bank of America Corp. ‡‡

7.250%

 

 

6,728,788

 

 
83,355
 
   

KKR & Company, Inc.^

6.000%, 09/15/23

 

 

4,848,760

 

 
8,100
 
   

Wells Fargo & Company ‡‡

7.500%

 

 

11,696,400

 

     

 

 

 

        27,418,361  
     

 

 

 

  NUMBER OF

SHARES

      

 

    

 

 

VALUE

    Health Care (3.1%)  
 
113,945
 
   

Avantor, Inc.

6.250%, 05/15/22

 

$

10,552,446

 

 
70,970
 
   

Boston Scientific Corp.^

5.500%, 06/01/23

 

 

7,754,182

 

 
9,125
 
   

Danaher Corp.^

4.750%, 04/15/22

 

 

14,785,238

 

     

 

 

 

        33,091,866  
     

 

 

 

    Industrials (1.7%)  
 
10,855
 
   

Fortive Corp.

5.000%, 07/01/21

 

 

10,424,057

 

 
73,760
 
   

Stanley Black & Decker, Inc.^

5.250%, 11/15/22

 

 

8,037,627

 

     

 

 

 

        18,461,684  
     

 

 

 

    Information Technology (2.1%)  
 
15,360
 
   

Broadcom, Inc.~

8.000%, 09/30/22

 

 

22,560,000

 

     

 

 

 

    Utilities (3.8%)  
 
151,970
 
   

Dominion Energy, Inc.

7.250%, 06/01/22

 

 

14,999,439

 

 
68,440
 
   

DTE Energy Company^

6.250%, 11/01/22

 

 

3,174,247

 

   

NextEra Energy, Inc.

 
  177,495      

6.219%, 09/01/23

    9,446,284  
  138,185      

4.872%, 09/01/22^

    8,451,395  
  77,785      

5.279%, 03/01/23^

    4,156,830  
     

 

 

 

        40,228,195  
     

 

 

 

   

TOTAL CONVERTIBLE

PREFERRED STOCKS

(Cost $149,616,910)

 

 

166,228,354

 

     

 

 

 

     

 

 

 

  COMMON STOCKS (0.8%)  
    Communication Services (0.0%)  
  6,663      

Cumulus Media, Inc. - Class A#

    57,835  
     

 

 

 

    Energy (0.7%)  
  40,024      

Calfrac Well Services, Ltd.#

    117,547  
  1,875      

Chevron Corp.^

    159,750  
  54,408      

Denbury, Inc.^#

    1,556,613  
  58,950      

Energy Transfer, LP

    369,617  
  64,780      

Enterprise Products Partners, LP~

    1,310,499  
  6,644      

EP Energy Corp.#

    272,404  
  13,550      

GasLog, Ltd.^

    55,555  
  62,208      

Lonestar Resources US, Inc.#

    310,418  
  17,855      

Magellan Midstream Partners, LP

    793,833  
  110,308      

Mcdermott International, Ltd.^#

    112,514  
  6,835      

Oasis Petroleum, Inc.^#

    256,107  
  6,925      

Schlumberger, Ltd.

    153,804  
  224,673      

Southwestern Energy Company^#

    847,017  
  25,965      

Targa Resources Corp.^

    710,662  
  20,897      

Tidewater, Inc.#

    198,313  
  15,224      

Weatherford International, PLC#

    103,523  
  14,631      

Whiting Petroleum Corp.#

    297,595  
  8,500      

Williams Companies, Inc.^

    180,455  
     

 

 

 

        7,806,226  
     

 

 

 

    Financials (0.1%)  
  13,850      

American International Group, Inc.

    518,544  
     

 

 

 

 

 

See accompanying Notes to Schedule of Investments

 

10


Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

  NUMBER OF

SHARES

      

 

    

 

 

VALUE

    Industrials (0.0%)  
  159,459      

McDermott International, Inc.#

  $ 162,648  
     

 

 

 

   

TOTAL COMMON STOCKS

(Cost $18,601,522)

 

 

8,545,253

 

     

 

 

 

     

 

 

 

  PREFERRED STOCKS (0.5%)  
    Communication Services (0.1%)  
 
42,000
 
   

United States Cellular Corp.

6.250%, 09/01/69

 

 

1,124,340

 

     

 

 

 

    Consumer Discretionary (0.1%)  
  6,123      

Guitar Center, Inc.

    691,843  
 
7,763
 
   

Qurate Retail, Inc.

8.000%, 03/15/31

 

 

776,766

 

     

 

 

 

        1,468,609  
     

 

 

 

    Energy (0.3%)  
 
62,620
 
   

NuStar Energy, LP‡

7.625%, 06/15/22

3 mo. USD LIBOR + 5.64%

 

 

1,075,185

 

 
37,094
 
   

NuStar Energy, LP‡

8.500%, 12/15/21

3 mo. USD LIBOR + 6.77%

 

 

743,735

 

 
43,000
 
   

NuStar Logistics, LP^‡

6.975%, 01/15/43

3 mo. USD LIBOR + 6.73%

 

 

953,310

 

     

 

 

 

        2,772,230  
     

 

 

 

   

TOTAL PREFERRED STOCKS

(Cost $6,210,493)

 

 

5,365,179

 

     

 

 

 

     

 

 

 

  WARRANTS (0.0%) #  
    Energy (0.0%)  
 
4,875
 
   

Denbury, Inc.

09/18/25, Strike $32.59

 

 

42,169

 

 
1,776
 
   

Denbury, Inc.

09/18/23, Strike $35.41

 

 

7,210

 

 
47,739
 
   

Mcdermott International, Ltd.

06/30/27, Strike $15.98

 

 

5

 

 
42,965
 
   

Mcdermott International, Ltd.

06/30/27, Strike $12.33

 

 

4

 

     

 

 

 

   

TOTAL WARRANTS

(Cost $284,064)

 

 

49,388

 

     

 

 

 

     

 

 

 

  NUMBER OF

CONTRACTS/

NOTIONAL

AMOUNT

      

 

    

 

 

VALUE

  PURCHASED OPTIONS (1.6%) #  
    Consumer Discretionary (0.6%)  
  540      

Alibaba Group Holding, Ltd.

 
  13,706,820      

Call, 03/19/21, Strike $270.00

    549,450  
  350      

Tesla, Inc.

 
  27,773,550      

Put, 01/21/22, Strike $700.00

    6,237,000  
        6,786,450  
     

 

 

 

    Financials (0.2%)  
  3,325      

Bank of America Corp.

 
  9,858,625      

Call, 01/21/22, Strike $35.00

    673,313  

NUMBER OF

CONTRACTS/

NOTIONAL

AMOUNT

      

 

    

 

 

VALUE

  4,235      

Wells Fargo & Company

 
  12,654,180      

Call, 04/16/21, Strike $30.00

  $ 948,640  
     

 

 

 

        1,621,953  
     

 

 

 

    Information Technology (0.2%)  
  1,885      

Micron Technology, Inc.

 
  14,753,895      

Call, 06/18/21, Strike $75.00

    2,092,350  
     

 

 

 

    Other (0.6%)  
  1,350      

Invesco QQQ Trust Series

 
  42,465,600      

Put, 01/21/22, Strike $275.00

    2,997,000  
  1,200      

SPDR S&P 500 ETF Trust

 
  44,408,400      

Put, 01/21/22, Strike $340.00

    3,199,200  
     

 

 

 

        6,196,200  
     

 

 

 

   

TOTAL PURCHASED OPTIONS

(Cost $15,157,524)

 

 

16,696,953

 

     

 

 

 

     

 

 

 

NUMBER OF

SHARES

      

 

    

 

 

VALUE

  SHORT TERM INVESTMENTS (4.6%)  
 
24,731,318
 
   

JPMorgan Prime Money Market

Fund - Capital Class, 0.110%***

 

 

24,743,684

 

 
24,741,052
 
   

Morgan Stanley Institutional

Liquidity Funds - Government

Portfolio, 0.030%***

 

 

24,741,052

 

     

 

 

 

   

TOTAL SHORT TERM

INVESTMENTS

(Cost $49,484,736)

 

 

49,484,736

 

     

 

 

 

     

 

 

 

 

     TOTAL INVESTMENTS (145.0%)

     (Cost $1,346,415,053)

 

 

1,549,523,848

 

     

 

 

 

     

 

 

 

 

MANDATORY REDEEMABLE PREFERRED

SHARES, AT LIQUIDATION VALUE (-9.4%)

 

 

(100,000,000)

 

     

 

 

 

  LIABILITIES, LESS OTHER ASSETS (-35.6%)     (380,625,520)  
     

 

 

 

  NET ASSETS (100.0%)   $ 1,068,898,328  
     

 

 

 

     

 

 

 

NOTES TO SCHEDULE OF INVESTMENTS

*

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 from such registration requirements.

µ

Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $41,850,709.

^

Security, or portion of security, is on loan.

@

In default status and considered non-income producing.

Variable rate security. The rate shown is the rate in effect at January 31, 2021.

&

Illiquid security.

 

 

See accompanying Notes to Schedule of Investments

 

11


Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED)

 

~

Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options. The aggregate value of such securities is $7,991,945.

¡

Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown.

!

This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.

#

Non-income producing security.

‡‡

Perpetual maturity.

***

The rate disclosed is the 7 day net yield as of January 31, 2021.

Note: The date 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.

 

 

See accompanying Notes to Schedule of Investments

 

12


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.

Significant Accounting Policies. The Schedules of Investments have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:

In March 2017, the Financial Accounting Standards Board (“FASB”) issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The Fund adopted ASU2017-08 as of January 1, 2020, with no material impact on the Fund’s financial statements.

In October 2020, FASB issued ASU No. 2020-08, Codification Improvements to Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs (“ASU 2020-08”). ASU 2020-08 was issued to clarify how to amortize premiums for debt securities where there are bonds with multiple call dates. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. Management has evaluated the impact of this guidance within the Fund’s financial statements and has determined the adoption of ASU 2020-08 will have no impact on the Fund’s financial statements.

Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each 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 the Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange 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 either by an independent pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

Fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

Trading on European and Far Eastern 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 in over-the-counter markets may be valued 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 reported sale price at the time 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. 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 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 trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. 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. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s net asset value (“NAV”).

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 value should the counterparty not perform under the contract. 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 cost basis of investments for federal income tax purposes at January 31, 2021 was as follows:*

 

Cost basis of investments

                                                       $ 1,346,415,053  
   

 

 

 

Gross unrealized appreciation

                  248,470,311  

Gross unrealized depreciation

                  (45,361,516)  
   

 

 

 

Net unrealized appreciation (depreciation)

                $ 203,108,795  
   

 

 

 

* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report.

Note 3 – Mandatory Redeemable Preferred Shares

On September 6, 2017, the Fund issued 4,000,000 mandatory redeemable preferred shares (“MRPS”) with an aggregate liquidation preference of $100.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations.

The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at January 31, 2021.

 

Series

 

Term

  Redemption Date  

 

    Dividend Rate  

 

  Shares (000’s)  

 

  Liquidation Preference Per Share  

 

  Aggregate Liquidation Preference  

Series A     9/06/22   3.70%   1,330   $25   $33,250,000
Series B     9/06/24   4.00%   1,330   $25   $33,250,000
Series C     9/06/27   4.24%   1,340   $25   $33,500,000
                Total   $100,000,000

The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.

Previously, the MRPS had been assigned a rating of “AA” by Fitch Ratings, Inc. (“Fitch”). As of December 17, 2020, Kroll Bond Rating Agency LLC (“Kroll”) replaced Fitch as the rating agency for the MRPS. The MRPS have been assigned a rating of `AA-’ by Kroll. If the ratings of the MRPS are downgraded, the Fund’s dividend expense may increase, as described below.

Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated “AA-” by Kroll. If on the first day of a monthly dividend period the MRPS of any class are rated lower than “A” by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund, such as Kroll), the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS’ dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in “Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares” within the Statement of Operations.

The MRPS rank junior to the Fund’s borrowings under the SSB Agreement and senior to the Fund’s outstanding common stock. The Fund may, at its option, subject to various terms and conditions, redeem the MRPS, in whole or in part, at the liquidation preference amount plus all accumulated but unpaid dividends, plus a make whole premium equal to the discounted value of the remaining scheduled payments. Each class of MRPS is subject to mandatory redemption on the term redemption date specified in the table above. Periodically, the Fund is subject to an overcollateralization test based on applicable rating agency criteria (the “OC Test”) and an asset coverage test with respect to its outstanding senior securities (the “AC Test”). The Fund may be required to redeem MRPS before their term redemption date if it does not comply with one or both tests. So long as any MRPS are outstanding, the Fund may not declare, pay or set aside for payment cash dividends or other distributions on shares of its common stock unless (1) the Fund has satisfied the OC Test on at least one testing date in the preceding 65 days, (2) immediately after such transaction, the Fund would comply with the AC Test, (3) full cumulative dividends on the MRPS due on or prior to the date of such transaction have been declared and paid and (4) the Fund has redeemed all MRPS required to have been redeemed on such date or has deposited funds sufficient for such redemption, subject to certain grace periods and exceptions.

Except as otherwise required pursuant to the Fund’s governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.