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.