NPORT-EX 2 convoppinc_partf01312022.htm PART F HTML

Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  CORPORATE BONDS (36.3%)  
    Airlines (0.9%)  
  1,614,492      

Air Canada Pass Through Trust

Series 2015-1, Class B*µ

3.875%, 09/15/24

  $ 1,623,759  
  233,599      

Air Canada Pass Through Trust

Series 2015-2, Class B*

5.000%, 06/15/25

    237,657  
  1,059,854      

Alaska Airlines Pass Through

Trust Series 2020-1, Class A*

4.800%, 02/15/29

    1,155,876  
  721,684      

Alaska Airlines Pass Through

Trust Series 2020-1, Class B*µ

8.000%, 02/15/27

    802,917  
  431,000      

American Airlines Pass Through

Trust Series 2021-1, Class B

3.950%, 01/11/32

    421,393  
   

American Airlines, Inc. /

AAdvantage Loyalty IP, Ltd.*

 
  717,000      

5.500%, 04/20/26

    734,466  
  239,000      

5.750%, 04/20/29

    245,080  
  1,105,000      

British Airways Pass Through

Trust Series 2021-1, Class B*

3.900%, 03/15/33

    1,097,210  
  818,635      

JetBlue Pass Through Trust

Series 2020-1, Class B

7.750%, 05/15/30

    946,030  
  351,000      

Spirit Loyalty Cayman, Ltd. / Spirit

IP Cayman, Ltd.*

8.000%, 09/20/25

    380,716  
  284,911      

UAL Pass Through Trust Series

2007-1

6.636%, 01/02/24

    289,666  
  807,090      

United Airlines Pass Through

Trust Series 2014-2, Class B

4.625%, 03/03/24

    814,249  
  497,174      

United Airlines Pass Through

Trust Series 2019-2, Class B

3.500%, 11/01/29

    482,796  
     

 

 

 
        9,231,815  
     

 

 

 
    Communication Services (4.2%)

 

  1,100,000      

Altice France SA/France*

5.500%, 10/15/29

    1,043,240  
  480,000      

APi Escrow Corp.*

4.750%, 10/15/29

    470,760  
  1,490,000      

Arrow Bidco, LLC*^

9.500%, 03/15/24

    1,514,093  
  717,000      

Beasley Mezzanine Holdings,

LLC*

8.625%, 02/01/26

    712,375  
  356,000      

Cincinnati Bell Telephone

Company, LLC

6.300%, 12/01/28

    367,296  
  1,465,000      

Consolidated Communications,

Inc.*^

6.500%, 10/01/28

    1,513,111  
   

CSC Holdings, LLC*

 

  3,100,000      

5.500%, 04/15/27

    3,172,044  
  2,100,000      

5.750%, 01/15/30

    1,981,623  
  1,450,000      

5.375%, 02/01/28^

    1,456,525  
  1,350,000      

4.625%, 12/01/30^

    1,203,012  
  440,000      

4.500%, 11/15/31

    410,410  
PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  1,010,000      

Cumulus Media New Holdings,

Inc.*^

6.750%, 07/01/26

  $ 1,041,775  
   

Diamond Sports Group, LLC /

Diamond Sports Finance

Company*

 
  750,000      

6.625%, 08/15/27

    198,285  
  540,000      

5.375%, 08/15/26

    250,695  
  1,080,000      

DIRECTV Holdings, LLC /

DIRECTV Financing Company, Inc.*

5.875%, 08/15/27

    1,084,471  
  1,884,000      

Embarq Corp.

7.995%, 06/01/36

    1,941,952  
   

Entercom Media Corp.*^

 
  683,000      

6.500%, 05/01/27

    649,683  
  478,000      

6.750%, 03/31/29

    449,817  
  411,000      

Frontier California, Inc.

6.750%, 05/15/27

    426,528  
  1,039,000      

Frontier Florida, LLC^&

6.860%, 02/01/28

    1,081,859  
  1,445,000      

Frontier North, Inc.

6.730%, 02/15/28

    1,497,844  
  1,001,000      

Gannett Holdings, LLC*

6.000%, 11/01/26

    1,020,840  
   

Go Daddy Operating Company,

LLC / GD Finance Company, Inc.*

 
  835,000      

3.500%, 03/01/29

    779,506  
  250,000      

5.250%, 12/01/27

    257,392  
  270,000      

Hughes Satellite Systems Corp.

5.250%, 08/01/26

    287,736  
   

Intelsat Jackson Holdings, SA@

 
  731,000      

9.750%, 07/15/25*

    324,622  
  475,000      

5.500%, 08/01/23

    209,385  
  1,215,000      

LCPR Senior Secured Financing

DAC*

6.750%, 10/15/27

    1,264,353  
  574,172      

Ligado Networks, LLC*

15.500%, 11/01/23

15.500% PIK rate

    429,148  
   

Lumen Technologies, Inc.

 
  1,145,000      

4.000%, 02/15/27*

    1,102,589  
  60,000      

7.600%, 09/15/39

    60,193  
  478,000      

Match Group Holdings II, LLC*

3.625%, 10/01/31

    438,871  
  840,000      

Midas OpCo Holdings, LLC*

5.625%, 08/15/29

    827,400  
   

Netflix, Inc.

 
  725,000      

4.875%, 06/15/30*^

    811,761  
  525,000      

4.875%, 04/15/28

    577,983  
   

Scripps Escrow II, Inc.*

 
  477,000      

3.875%, 01/15/29

    455,788  
  239,000      

5.375%, 01/15/31

    236,684  
  1,755,000      

Scripps Escrow, Inc.*

5.875%, 07/15/27

    1,801,806  
   

Sirius XM Radio, Inc.*

 
  1,250,000      

5.500%, 07/01/29^

    1,298,912  
  723,000      

4.000%, 07/15/28

    699,893  
  475,000      

3.125%, 09/01/26

    457,278  
  239,000      

3.875%, 09/01/31

    221,264  
  715,000      

Spanish Broadcasting System,

Inc.*

9.750%, 03/01/26

    739,932  
  2,430,000      

Sprint Corp.

7.125%, 06/15/24

    2,650,717  
 

 

See accompanying Notes to Schedule of Investments

 

1


Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  755,000      

Telecom Italia Capital, SA

6.000%, 09/30/34

  $ 743,501  
  1,340,000      

United States Cellular Corp.

6.700%, 12/15/33

    1,492,130  
     

 

 

 
        41,657,082  
     

 

 

 
    Consumer Discretionary (6.2%)

 

  1,004,000      

American Axle & Manufacturing,

Inc.^

6.875%, 07/01/28

    1,056,308  
  480,000      

Asbury Automotive Group, Inc.*

4.625%, 11/15/29

    473,698  
   

Ashton Woods USA, LLC / Ashton

Woods Finance Company*

 
  705,000      

6.625%, 01/15/28

    742,238  
  598,000      

4.625%, 08/01/29

    591,255  
  239,000      

4.625%, 04/01/30

    236,094  
  242,000      

At Home Group, Inc.*

4.875%, 07/15/28

    232,030  
  285,000      

Avis Budget Car Rental, LLC /

Avis Budget Finance, Inc.*^

5.375%, 03/01/29

    286,208  
   

Bath & Body Works, Inc.

 
  1,264,000      

6.694%, 01/15/27

    1,425,527  
  718,000      

6.875%, 11/01/35

    826,540  
   

Caesars Entertainment, Inc.*

 

  604,000      

4.625%, 10/15/29

    579,447  
  472,000      

8.125%, 07/01/27

    508,316  
  472,000      

6.250%, 07/01/25

    489,577  
   

Carnival Corp.*

 
  488,000      

10.500%, 02/01/26

    549,000  
  239,000      

7.625%, 03/01/26

    244,138  
  1,130,000      

Carriage Services, Inc.*

4.250%, 05/15/29

    1,103,095  
  710,000      

Carvana Company*

5.625%, 10/01/25

    677,290  
   

CCO Holdings, LLC / CCO

Holdings Capital Corp.*

 
  3,130,000      

5.125%, 05/01/27^

    3,209,565  
  1,055,000      

4.750%, 03/01/30

    1,048,860  
  565,000      

5.000%, 02/01/28

    572,447  
  500,000      

4.500%, 08/15/30

    488,055  
  478,000      

4.750%, 02/01/32

    470,534  
  476,000      

4.250%, 02/01/31

    455,004  
  360,000      

4.250%, 01/15/34

    334,098  
  750,000      

Cedar Fair, LP^

5.250%, 07/15/29

    752,572  
   

Century Communities, Inc.

 
  1,250,000      

6.750%, 06/01/27

    1,303,800  
  240,000      

3.875%, 08/15/29*

    229,922  
   

Dana, Inc.

 
  478,000      

4.500%, 02/15/32

    457,049  
  263,000      

4.250%, 09/01/30

    256,107  
   

DISH DBS Corp.

 
  763,000      

7.750%, 07/01/26^

    786,989  
  720,000      

5.250%, 12/01/26*

    699,178  
  595,000      

7.375%, 07/01/28^

    576,579  
  1,365,000      

Empire Resorts, Inc.*

7.750%, 11/01/26

    1,384,929  
  1,058,000      

Everi Holdings, Inc.*

5.000%, 07/15/29

    1,053,937  
   

Ford Motor Credit Company, LLC

 

  1,525,000      

4.000%, 11/13/30

    1,534,211  
  1,300,000      

4.063%, 11/01/24

    1,326,533  
  1,140,000      

3.664%, 09/08/24

    1,154,877  
  1,120,000      

4.134%, 08/04/25

    1,147,754  
PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  500,000      

4.389%, 01/08/26

  $ 517,975  
   

Gap, Inc.*

 

  359,000      

3.875%, 10/01/31^

    333,820  
  48,000      

3.625%, 10/01/29

    44,685  
   

goeasy, Ltd.*

 

  1,660,000      

5.375%, 12/01/24

    1,699,906  
  881,000      

4.375%, 05/01/26^

    878,286  
  478,000      

Goodyear Tire & Rubber

Company*

5.000%, 07/15/29

    478,707  
  466,000      

Group 1 Automotive, Inc.*

4.000%, 08/15/28

    446,894  
  1,197,000      

Guitar Center, Inc.*&

8.500%, 01/15/26

    1,274,996  
   

International Game Technology,

PLC*

 

 

  1,260,000      

6.250%, 01/15/27

    1,372,631  
  301,000      

5.250%, 01/15/29

    308,320  
  200,000      

4.125%, 04/15/26

    200,616  
   

Liberty Interactive, LLC

 

  965,000      

8.250%, 02/01/30^

    1,003,909  
  475,000      

8.500%, 07/15/29

    494,157  
   

Life Time, Inc.*

 

  717,000      

8.000%, 04/15/26^

    733,534  
  480,000      

5.750%, 01/15/26

    482,851  
  616,000      

Lindblad Expeditions, LLC*

6.750%, 02/15/27

    623,663  
   

M/I Homes, Inc.

 

  705,000      

4.950%, 02/01/28

    714,821  
  635,000      

3.950%, 02/15/30^

    619,246  
  1,003,000      

Macy’s Retail Holdings, LLC*

6.700%, 07/15/34

    1,132,166  
   

Mattel, Inc.*

 

  1,250,000      

5.875%, 12/15/27

    1,329,300  
  120,000      

3.750%, 04/01/29

    120,095  
  1,130,000      

Mclaren Finance, PLC*

7.500%, 08/01/26

    1,159,380  
  1,219,000      

Midwest Gaming Borrower, LLC /

Midwest Gaming Finance Corp.*

4.875%, 05/01/29

    1,191,987  
  1,062,000      

Mohegan Gaming &

Entertainment*

8.000%, 02/01/26

    1,081,275  
  931,000      

Newell Brands, Inc.

4.700%, 04/01/26

    976,814  
  500,000      

Nordstrom, Inc.^

5.000%, 01/15/44

    446,245  
  478,000      

Papa John’s International, Inc.*^

3.875%, 09/15/29

    455,123  
  1,105,000      

Penn National Gaming, Inc.*^

4.125%, 07/01/29

    1,039,540  
  1,340,000      

Premier Entertainment Sub, LLC /

Premier Entertainment Finance

Corp.*

5.625%, 09/01/29

    1,260,498  
  2,360,000      

Rite Aid Corp.*

8.000%, 11/15/26

    2,319,408  
  1,350,000      

Simmons Foods, Inc. / Simmons

Prepared Foods, Inc. / Simmons

Pet Food, Inc. / Simmons Feed*

4.625%, 03/01/29

    1,301,022  
  598,000      

Sonic Automotive, Inc.*

4.625%, 11/15/29

    584,204  
  1,250,000      

Speedway Motorsports, LLC /

Speedway Funding II, Inc.*

4.875%, 11/01/27

    1,263,925  
 

 

See accompanying Notes to Schedule of Investments

 

2


Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  750,000      

Taylor Morrison Communities,

Inc.*

5.750%, 01/15/28

  $ 803,040  
  239,000      

Thor Industries, Inc.*^

4.000%, 10/15/29

    228,771  
  238,000      

Viking Cruises, Ltd.*

13.000%, 05/15/25

    266,734  
  1,100,000      

Vista Outdoor, Inc.*

4.500%, 03/15/29

    1,067,792  
  1,000,000      

VOC Escrow, Ltd.*

5.000%, 02/15/28

    968,160  
  241,000      

Williams Scotsman International,

Inc.*

4.625%, 08/15/28

    243,892  
     

 

 

 
        60,732,149  
     

 

 

 
    Consumer Staples (1.8%)

 

  1,099,000      

Central Garden & Pet Company*

4.125%, 04/30/31

    1,051,996  
  1,332,000      

Edgewell Personal Care

Company*

4.125%, 04/01/29

    1,308,530  
  1,331,000      

Energizer Holdings, Inc.*

4.375%, 03/31/29

    1,260,231  
  680,000      

Fresh Market, Inc.*

9.750%, 05/01/23

    696,816  
  1,275,000      

JBS USA LUX, SA / JBS USA

Finance, Inc.*

6.750%, 02/15/28

    1,367,259  
   

JBS USA LUX, SA / JBS USA

Food Company / JBS USA

Finance, Inc.*

 
  1,415,000      

5.500%, 01/15/30

    1,506,876  
  403,000      

6.500%, 04/15/29^

    438,670  
   

Kraft Heinz Foods Company

 
  1,470,000      

4.375%, 06/01/46

    1,543,338  
  237,000      

3.875%, 05/15/27

    246,354  
  621,000      

New Albertsons, LP

7.750%, 06/15/26

    702,239  
  957,000      

Performance Food Group, Inc.*

4.250%, 08/01/29

    900,317  
  300,000      

Petsmart, Inc. / PetSmart Finance

Corp.*

4.750%, 02/15/28

    300,225  
  1,450,000      

Pilgrim’s Pride Corp.*^

5.875%, 09/30/27

    1,515,236  
   

Post Holdings, Inc.*

 
  1,250,000      

5.750%, 03/01/27

    1,284,988  
  696,000      

4.625%, 04/15/30^

    671,341  
  240,000      

5.500%, 12/15/29

    246,986  
  909,000      

Prestige Brands, Inc.*

3.750%, 04/01/31

    827,426  
  1,050,000      

United Natural Foods, Inc.*^

6.750%, 10/15/28

    1,115,006  
  1,020,000      

Vector Group, Ltd.*

5.750%, 02/01/29

    945,713  
     

 

 

 
        17,929,547  
     

 

 

 
    Energy (3.0%)

 

   

Antero Resources Corp.*

 
  296,000      

7.625%, 02/01/29

    322,735  
  239,000      

5.375%, 03/01/30

    247,052  
   

Apache Corp.

 
  958,000      

5.100%, 09/01/40

    1,005,239  
  478,000      

4.625%, 11/15/25

    499,883  
PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
   

Buckeye Partners, LP

 
  750,000      

3.950%, 12/01/26

  $ 749,812  
  500,000      

5.850%, 11/15/43

    463,135  
  239,000      

ChampionX Corp.

6.375%, 05/01/26

    248,072  
   

Cheniere Energy Partners, LP

 
  478,000      

3.250%, 01/31/32*

    450,037  
  232,000      

4.000%, 03/01/31

    231,991  
  477,000      

Cheniere Energy, Inc.

4.625%, 10/15/28

    484,618  
  480,000      

Chesapeake Energy Corp.*

6.750%, 04/15/29

    513,643  
  1,490,000      

DCP Midstream Operating, LP*‡

5.850%, 05/21/43

3 mo. USD LIBOR + 3.85%

    1,425,483  
  12,570      

Diamond Foreign Asset Company

/ Diamond Finance, LLC

9.000%, 04/22/27

    12,629  
  502,000      

DT Midstream, Inc.*

4.125%, 06/15/29

    496,578  
   

Energy Transfer, LP‡

 
  1,400,000      

3.334%, 11/01/66

3 mo. USD LIBOR + 3.02%

    1,127,210  
  700,000      

6.500%, 02/01/34^

5 year CMT + 5.69%

    716,303  
   

EnLink Midstream Partners, LP

 
  1,235,000      

6.000%, 02/01/34‡

3 mo. USD LIBOR + 4.11%

    937,464  
  1,015,000      

4.850%, 07/15/26

    1,043,917  
   

EQT Corp.

 

  550,000      

7.500%, 02/01/30

    655,215  
  385,000      

6.625%, 02/01/25

    415,415  
  235,000      

5.000%, 01/15/29

    249,297  
  978,000      

Genesis Energy, LP / Genesis

Energy Finance Corp.^

6.250%, 05/15/26

    944,621  
  250,000      

Gulfport Energy Operating Corp.*

8.000%, 05/17/26

    268,972  
   

Gulfport Energy Operating Corp.

 

  940,000      

6.375%, 05/15/25&

    1  
  287,285      

8.000%, 05/17/26

    309,087  
  478,000      

Howard Midstream Energy

Partners, LLC*

6.750%, 01/15/27

    491,351  
   

Laredo Petroleum, Inc.^

 

  807,000      

10.125%, 01/15/28

    853,798  
  243,000      

7.750%, 07/31/29*

    234,996  
  1,060,000      

Magnolia Oil & Gas Operating,

LLC / Magnolia Oil & Gas Finance

Corp.*^

6.000%, 08/01/26

    1,085,906  
   

Moss Creek Resources Holdings,

Inc.*

 
  500,000      

10.500%, 05/15/27

    490,480  
  455,000      

7.500%, 01/15/26

    416,857  
  478,000      

Murphy Oil Corp.^

6.375%, 07/15/28

    495,127  
   

New Fortress Energy, Inc.*

 

  952,000      

6.750%, 09/15/25

    902,496  
  478,000      

6.500%, 09/30/26

    448,636  
  240,000      

Oasis Midstream Partners, LP /

OMP Finance Corp.*

8.000%, 04/01/29

    256,582  
   

Occidental Petroleum Corp.

 

  3,402,000      

4.300%, 08/15/39

    3,224,824  
  494,000      

5.875%, 09/01/25^

    528,427  
 

 

See accompanying Notes to Schedule of Investments

 

3


Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  874,000      

Par Petroleum, LLC / Par

Petroleum Finance Corp.*

7.750%, 12/15/25

  $ 888,360  
  750,000      

Parkland Corp.*^

5.875%, 07/15/27

    773,580  
  960,000      

Plains All American Pipeline, LP‡

6.125%, 02/01/34

3 mo. USD LIBOR + 4.11%

    812,429  
  1,100,000      

Rockcliff Energy II, LLC*

5.500%, 10/15/29

    1,109,295  
  239,000      

Southwestern Energy Company

4.750%, 02/01/32

    239,045  
  239,000      

Sunoco, LP / Sunoco Finance

Corp.*

4.500%, 04/30/30

    236,232  
   

Venture Global Calcasieu Pass,

LLC*

 
  240,000      

4.125%, 08/15/31

    242,059  
  240,000      

3.875%, 08/15/29

    240,094  
  500,000      

Viper Energy Partners, LP*

5.375%, 11/01/27

    516,005  
  665,000      

W&T Offshore, Inc.*

9.750%, 11/01/23

    649,253  
  865,000      

Weatherford International, Ltd.*

6.500%, 09/15/28

    897,048  
     

 

 

 
        29,851,289  
     

 

 

 
    Financials (6.5%)  
   

Acrisure, LLC / Acrisure Finance,

Inc.*

 
  1,434,000      

6.000%, 08/01/29

    1,362,960  
  1,280,000      

7.000%, 11/15/25^

    1,278,336  
  960,000      

Aethon United BR, LP / Aethon

United Finance Corp.*

8.250%, 02/15/26

    1,013,894  
  1,459,000      

AG Issuer, LLC*

6.250%, 03/01/28

    1,511,072  
   

Alliant Holdings Intermediate, LLC /

Alliant Holdings Co-Issuer*

 
  2,065,000      

6.750%, 10/15/27

    2,045,692  
  240,000      

5.875%, 11/01/29

    237,043  
  235,000      

4.250%, 10/15/27

    229,492  
   

Ally Financial, Inc.

 
  1,287,000      

4.700%, 02/01/34

7 year CMT + 3.48%‡

    1,285,253  
  777,000      

8.000%, 11/01/31

    1,053,876  
  1,100,000      

American Finance Trust, Inc. /

American Finance Operating

Partner, LP*

4.500%, 09/30/28

    1,068,023  
  1,923,000      

AmWINS Group, Inc.*

4.875%, 06/30/29

    1,888,694  
  2,200,000      

AssuredPartners, Inc.*

7.000%, 08/15/25

    2,198,790  
  1,069,000      

Aviation Capital Group, LLC*^

3.500%, 11/01/27

    1,072,357  
  1,916,000      

BroadStreet Partners, Inc.*

5.875%, 04/15/29

    1,828,611  
   

Brookfield Property REIT, Inc. /

BPR Cumulus, LLC / BPR

Nimbus, LLC / GGSI Sellco LLC*

 
  1,920,000      

4.500%, 04/01/27

    1,819,450  
  1,180,000      

5.750%, 05/15/26

    1,183,611  
   

Credit Acceptance Corp.^

 
  1,250,000      

6.625%, 03/15/26

    1,290,025  
  869,000      

5.125%, 12/31/24*

    880,054  
PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  297,000      

Cushman & Wakefield US

Borrower, LLC*

6.750%, 05/15/28

  $ 313,902  
  1,005,000      

Enact Holdings, Inc.*

6.500%, 08/15/25

    1,066,546  
  1,398,000      

Global Net Lease, Inc. / Global

Net Lease Operating Partnership,

LP*^

3.750%, 12/15/27

    1,346,568  
  1,563,000      

Greystar Real Estate Partners,

LLC*

5.750%, 12/01/25

    1,590,743  
   

HUB International, Ltd.*

 
  4,250,000      

7.000%, 05/01/26

    4,354,592  
  480,000      

5.625%, 12/01/29

    476,194  
   

Icahn Enterprises, LP / Icahn

Enterprises Finance Corp.

 
  1,180,000      

5.250%, 05/15/27

    1,190,148  
  718,000      

4.375%, 02/01/29

    683,507  
  1,825,000      

ILFC E-Capital Trust II*‡

3.620%, 12/21/65

3 mo. USD LIBOR + 1.80%

    1,582,330  
  2,195,000      

Iron Mountain, Inc.*

5.250%, 03/15/28

    2,230,757  
  2,435,000      

Jefferies Finance, LLC / JFIN Co-

Issuer Corp.*

5.000%, 08/15/28

    2,410,820  
   

Ladder Capital Finance Holdings

LLLP / Ladder Capital Finance

Corp.*

 
  1,874,000      

5.250%, 10/01/25

    1,885,450  
  478,000      

4.750%, 06/15/29

    468,387  
  1,359,000      

LD Holdings Group, LLC*

6.125%, 04/01/28

    1,212,473  
   

Level 3 Financing, Inc.

 
  1,040,000      

5.375%, 05/01/25

    1,056,515  
  985,000      

4.250%, 07/01/28*

    941,453  
  479,000      

3.875%, 11/15/29*

    471,758  
  720,000      

LPL Holdings, Inc.*

4.000%, 03/15/29

    701,928  
  2,085,000      

MetLife, Inc.^

6.400%, 12/15/66

    2,485,654  
   

Navient Corp.

 
  2,113,000      

5.000%, 03/15/27

    2,054,005  
  1,100,000      

4.875%, 03/15/28^

    1,053,580  
   

OneMain Finance Corp.

 
  660,000      

3.875%, 09/15/28

    616,915  
  504,000      

7.125%, 03/15/26

    554,975  
  476,000      

Park Intermediate Holdings, LLC /

PK Domestic Property, LLC / PK

Finance Co-Issuer*

5.875%, 10/01/28

    487,119  
  1,074,000      

PHH Mortgage Corp.*

7.875%, 03/15/26

    1,105,006  
  1,100,000      

RHP Hotel Properties, LP / RHP

Finance Corp.*

4.500%, 02/15/29

    1,065,570  
   

RLJ Lodging Trust, LP*

 
  717,000      

3.750%, 07/01/26

    697,964  
  482,000      

4.000%, 09/15/29

    454,608  
   

Rocket Mortgage, LLC / Rocket

Mortgage Co-Issuer, Inc.*

 
  450,000      

3.875%, 03/01/31

    422,626  
  445,000      

3.625%, 03/01/29

    417,205  
  220,000      

2.875%, 10/15/26

    209,810  
  943,000      

StoneX Group, Inc.*

8.625%, 06/15/25

    1,001,296  
 

 

See accompanying Notes to Schedule of Investments

 

4


Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
   

United Wholesale Mortgage, LLC*

 
  1,123,000      

5.500%, 04/15/29

  $ 1,029,084  
  480,000      

5.750%, 06/15/27

    454,915  
  465,000      

Uniti Group, LP / Uniti Group

Finance, Inc. / CSL Capital, LLC*

6.500%, 02/15/29

    440,443  
  800,000      

VZ Secured Financing, BV*

5.000%, 01/15/32

    771,704  
   

XHR, LP*

 
  1,017,000      

6.375%, 08/15/25

    1,052,198  
  478,000      

4.875%, 06/01/29

    469,573  
     

 

 

 
        64,075,554  
     

 

 

 
    Health Care (3.4%)  
  477,000      

Acadia Healthcare Company, Inc.*

5.000%, 04/15/29

    472,330  
   

Bausch Health Americas, Inc.*

 
  2,730,000      

8.500%, 01/31/27

    2,762,787  
  475,000      

9.250%, 04/01/26

    490,751  
   

Bausch Health Companies, Inc.*

 
  1,340,000      

5.250%, 02/15/31^

    1,070,459  
  1,050,000      

5.000%, 01/30/28

    886,536  
  413,000      

5.000%, 02/15/29

    332,841  
  359,000      

6.125%, 02/01/27

    360,450  
  237,000      

7.250%, 05/30/29

    212,911  
  477,000      

Centene Corp.

3.000%, 10/15/30

    463,286  
  479,000      

Charles River Laboratories

International, Inc.*

3.750%, 03/15/29

    462,590  
  120,000      

CHS/Community Health Systems,

Inc.* 5.250%, 05/15/30

    119,548  
   

CHS/Community Health Systems,

Inc.*

 
  1,917,000      

6.125%, 04/01/30^

    1,831,521  
  1,100,000      

8.000%, 03/15/26

    1,148,235  
  538,000      

6.875%, 04/15/29

    534,137  
   

DaVita, Inc.*

 
  1,447,000      

4.625%, 06/01/30^

    1,410,203  
  1,139,000      

3.750%, 02/15/31

    1,047,481  
  717,000      

Embecta Corp.*

5.000%, 02/15/30

    718,405  
   

Encompass Health Corp.

 
  470,000      

4.750%, 02/01/30

    467,674  
  470,000      

4.500%, 02/01/28

    468,139  
  1,109,000      

HCA, Inc.

7.500%, 11/06/33

    1,532,117  
  300,000      

Jazz Securities DAC*

4.375%, 01/15/29

    297,168  
  1,650,000      

Mallinckrodt International Finance,

SA / Mallinckrodt CB, LLC*

5.625%, 10/15/23

    883,163  
   

Mozart Debt Merger Sub, Inc.*

 
  1,215,000      

3.875%, 04/01/29

    1,171,831  
  1,208,000      

5.250%, 10/01/29

    1,175,601  
   

Organon & Company / Organon

Foreign Debt Co-Issuer, BV*

 
  1,760,000      

5.125%, 04/30/31

    1,760,493  
  450,000      

4.125%, 04/30/28

    445,329  
  1,025,000      

Team Health Holdings, Inc.*^

6.375%, 02/01/25

    924,171  
   

Tenet Healthcare Corp.

 
  2,250,000      

6.250%, 02/01/27*

    2,307,825  
  1,315,000      

6.875%, 11/15/31

    1,433,403  
  1,250,000      

4.875%, 01/01/26*

    1,256,700  
PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  579,000      

4.625%, 07/15/24

  $ 581,617  
  359,000      

4.375%, 01/15/30*

    346,686  
   

Teva Pharmaceutical Finance

Netherlands III, BV

 
  2,050,000      

6.000%, 04/15/24

    2,092,845  
  800,000      

4.750%, 05/09/27

    776,688  
  450,000      

7.125%, 01/31/25

    469,782  
  440,000      

3.150%, 10/01/26

    404,694  
     

 

 

 
        33,120,397  
     

 

 

 
    Industrials (5.9%)  
  960,000      

Abercrombie & Fitch Management

Company*

8.750%, 07/15/25

    1,022,419  
  1,100,000      

ACCO Brands Corp.*^

4.250%, 03/15/29

    1,052,227  
   

Albertsons Companies, Inc. /

Safeway, Inc. / New Albertsons,

LP / Albertsons, LLC*

 
  1,183,000      

4.875%, 02/15/30

    1,206,518  
  1,175,000      

4.625%, 01/15/27^

    1,203,658  
  477,000      

3.500%, 03/15/29^

    451,605  
   

Allison Transmission, Inc.*

 
  825,000      

4.750%, 10/01/27

    837,614  
  240,000      

3.750%, 01/30/31

    223,493  
  240,000      

American Airlines Group, Inc.*^

3.750%, 03/01/25

    222,958  
  538,000      

Arcosa, Inc.*

4.375%, 04/15/29

    527,240  
  2,450,000      

ARD Finance, SA*

6.500%, 06/30/27

7.250% PIK rate

    2,485,255  
  480,000      

At Home Group, Inc.*^

7.125%, 07/15/29

    450,346  
  500,000      

Avolon Holdings Funding, Ltd.*µ

5.250%, 05/15/24

    530,380  
  992,000      

Beacon Roofing Supply, Inc.*

4.125%, 05/15/29

    948,600  
  956,000      

BWX Technologies, Inc.*

4.125%, 04/15/29

    947,673  
  500,000      

Cascades, Inc. / Cascades USA,

Inc.*

5.375%, 01/15/28

    510,690  
  239,000      

Catalent Pharma Solutions, Inc.*^

3.500%, 04/01/30

    224,204  
   

Delta Air Lines, Inc.

 
  239,000      

7.375%, 01/15/26^

    272,314  
  236,000      

3.800%, 04/19/23

    238,896  
   

Delta Air Lines, Inc. / SkyMiles IP,

Ltd.*

 
  239,000      

4.750%, 10/20/28

    255,419  
  119,000      

4.500%, 10/20/25µ

    123,478  
  478,000      

Dun & Bradstreet Corp.*

5.000%, 12/15/29

    477,159  
  717,000      

Eco Material Technologies, Inc.*

7.875%, 01/31/27

    728,271  
  958,000      

Endure Digital, Inc.*^

6.000%, 02/15/29

    853,741  
  475,000      

EnerSys*

4.375%, 12/15/27

    483,455  
  1,100,000      

Fly Leasing, Ltd.*

7.000%, 10/15/24

    1,060,587  
  477,000      

GFL Environmental, Inc.*

3.750%, 08/01/25

    477,467  
   

Golden Nugget, Inc.*

 
  725,000      

6.750%, 10/15/24

    725,312  
 

 

See accompanying Notes to Schedule of Investments

 

5


Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  505,000      

8.750%, 10/01/25

  $ 516,453  
  533,000      

Graham Packaging Company,

Inc.*

7.125%, 08/15/28

    542,333  
  500,000      

Granite US Holdings Corp.* 11.000%, 10/01/27

    541,195  
   

Graphic Packaging International,

LLC*

 
  625,000      

4.750%, 07/15/27

    658,662  
  446,000      

3.500%, 03/01/29

    426,969  
  1,054,000      

Great Lakes Dredge & Dock

Corp.*

5.250%, 06/01/29

    1,077,968  
  2,244,000      

H&E Equipment Services, Inc.*

3.875%, 12/15/28

    2,121,949  
  1,218,000      

Hawaiian Brand Intellectual

Property, Ltd. / HawaiianMiles

Loyalty, Ltd.*

5.750%, 01/20/26

    1,246,197  
  1,250,000      

Herc Holdings, Inc.*^

5.500%, 07/15/27

    1,286,675  
  1,450,000      

Howmet Aerospace, Inc.

5.125%, 10/01/24

    1,517,874  
  1,120,000      

IEA Energy Services, LLC*

6.625%, 08/15/29

    1,095,797  
  1,250,000      

JELD-WEN, Inc.*

4.625%, 12/15/25

    1,245,800  
  449,000      

KeHE Distributors, LLC / KeHE

Finance Corp.*

8.625%, 10/15/26

    478,585  
  1,091,000      

Ken Garff Automotive, LLC*

4.875%, 09/15/28

    1,057,332  
  474,000      

MasTec, Inc.*

4.500%, 08/15/28

    482,342  
  1,083,000      

Meritor, Inc.*

4.500%, 12/15/28

    1,056,185  
  588,000      

Moog, Inc.*

4.250%, 12/15/27

    590,523  
  1,300,000      

Nationstar Mortgage Holdings,

Inc.*

5.500%, 08/15/28

    1,275,027  
  940,000      

Novelis Corp.*

4.750%, 01/30/30

    941,090  
  360,000      

OI European Group, BV*

4.750%, 02/15/30

    352,714  
  1,100,000      

Pactiv Evergreen Group Issuer,

Inc. / Pactiv Evergreen Group

Issuer, LLC / Reynolds Gro*

4.000%, 10/15/27

    1,043,174  
  1,120,000      

Park-Ohio Industries, Inc.^

6.625%, 04/15/27

    1,014,619  
  1,078,000      

Patrick Industries, Inc.*

4.750%, 05/01/29

    1,032,562  
  1,170,000      

Peninsula Pacific Entertainment,

LLC / Peninsula Pacific

Entertainment Finance In*

8.500%, 11/15/27

    1,255,878  
  478,000      

PGT Innovations, Inc.*

4.375%, 10/01/29

    461,284  
  213,000      

Picasso Finance Sub, Inc.*

6.125%, 06/15/25

    221,107  
  579,000      

QVC, Inc.

4.375%, 09/01/28

    534,052  
  790,000      

Scientific Games International,

Inc.*

5.000%, 10/15/25

    808,328  
PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  450,000      

Sensata Technologies, BV*

4.000%, 04/15/29

  $ 445,153  
  479,000      

Sensata Technologies, Inc.*

3.750%, 02/15/31

    450,878  
   

Sinclair Television Group, Inc.*

 
  717,000      

4.125%, 12/01/30

    661,031  
  475,000      

5.500%, 03/01/30^

    441,323  
   

Standard Industries, Inc.*

 
  955,000      

5.000%, 02/15/27

    962,048  
  236,000      

4.375%, 07/15/30^

    226,093  
  1,965,000      

Station Casinos, LLC*

4.500%, 02/15/28

    1,914,185  
  773,000      

Stericycle, Inc.*

3.875%, 01/15/29

    738,702  
  717,000      

STL Holding Company, LLC*

7.500%, 02/15/26

    755,661  
  1,000,000      

TransDigm UK Holdings, PLC

6.875%, 05/15/26

    1,037,620  
   

TransDigm, Inc.

 
  1,260,000      

6.250%, 03/15/26*

    1,303,483  
  700,000      

7.500%, 03/15/27

    727,034  
  478,000      

Tronox, Inc.*

4.625%, 03/15/29

    462,675  
   

United Rentals North America,

Inc.

 
  480,000      

3.750%, 01/15/32

    463,949  
  239,000      

3.875%, 02/15/31^

    232,996  
  961,000      

Vertiv Group Corp.*

4.125%, 11/15/28

    938,743  
  1,004,000      

Wabash National Corp.*

4.500%, 10/15/28

    974,442  
  615,000      

Waste Pro USA, Inc.*

5.500%, 02/15/26

    598,764  
   

WESCO Distribution, Inc.*

 
  470,000      

7.125%, 06/15/25^

    492,424  
  235,000      

7.250%, 06/15/28

    252,249  
     

 

 

 
        57,503,106  
     

 

 

 
    Information Technology (1.8%)  
  478,000      

Booz Allen Hamilton, Inc.*^

4.000%, 07/01/29

    472,881  
  500,000      

CDK Global, Inc.*

5.250%, 05/15/29

    520,415  
  1,114,000      

CommScope Technologies, LLC*

6.000%, 06/15/25

    1,086,150  
  895,000      

CommScope, Inc.*

4.750%, 09/01/29

    858,072  
   

Dell International, LLC / EMC

Corp.

 
  1,155,000      

6.020%, 06/15/26µ

    1,311,087  
  524,000      

6.100%, 07/15/27

    614,600  
  480,000      

Fair Isaac Corp.*

4.000%, 06/15/28

    479,045  
  478,000      

II-VI, Inc.*

5.000%, 12/15/29

    477,474  
  1,050,000      

KBR, Inc.*

4.750%, 09/30/28

    1,049,695  
   

MPH Acquisition Holdings, LLC*

 
  1,050,000      

5.750%, 11/01/28^

    946,323  
  480,000      

5.500%, 09/01/28

    461,578  
  478,000      

NCR Corp.*

5.125%, 04/15/29

    477,493  
  1,552,000      

Nielsen Finance, LLC / Nielsen

Finance Company*

4.500%, 07/15/29

    1,448,807  
 

 

See accompanying Notes to Schedule of Investments

 

6


Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  723,000      

ON Semiconductor Corp.*

3.875%, 09/01/28

  $ 718,467  
   

Open Text Corp.*

 
  705,000      

3.875%, 02/15/28

    693,551  
  359,000      

3.875%, 12/01/29

    344,934  
  359,000      

Open Text Holdings, Inc.*

4.125%, 12/01/31

    347,516  
  479,000      

Playtika Holding Corp.*

4.250%, 03/15/29

    458,202  
  646,000      

PTC, Inc.*

4.000%, 02/15/28

    643,151  
  1,100,000      

TTM Technologies, Inc.*

4.000%, 03/01/29

    1,050,731  
   

Twilio, Inc.

 
  680,000      

3.625%, 03/15/29

    653,976  
  236,000      

3.875%, 03/15/31^

    226,046  
  1,200,000      

Viavi Solutions, Inc.*

3.750%, 10/01/29

    1,154,844  
  1,100,000      

ZoomInfo Technologies, LLC /

ZoomInfo Finance Corp.*

3.875%, 02/01/29

    1,036,222  
     

 

 

 
        17,531,260  
     

 

 

 
    Materials (1.6%)  
  600,000      

Alcoa Nederland Holding, BV*

4.125%, 03/31/29

    603,876  
  534,000      

Allegheny Technologies, Inc.^

5.875%, 12/01/27

    545,043  
  500,000      

ArcelorMittal, SA

7.000%, 10/15/39

    651,095  
  715,000      

Chemours Company*

4.625%, 11/15/29

    682,189  
  1,530,000      

Clearwater Paper Corp.*^

4.750%, 08/15/28

    1,538,568  
   

Commercial Metals Company

 
  478,000      

4.125%, 01/15/30

    474,520  
  239,000      

4.375%, 03/15/32

    238,027  
  1,115,000      

Constellium, SE*^

3.750%, 04/15/29

    1,055,805  
  650,000      

First Quantum Minerals, Ltd.*^

7.250%, 04/01/23

    654,082  
  475,000      

Freeport-McMoRan, Inc.

5.450%, 03/15/43

    559,241  
  716,000      

HB Fuller Company

4.250%, 10/15/28

    712,542  
  957,000      

Intertape Polymer Group, Inc.*

4.375%, 06/15/29

    952,129  
  725,000      

JW Aluminum Continuous Cast

Company*

10.250%, 06/01/26

    763,012  
   

Kaiser Aluminum Corp.*^

 
  505,000      

4.625%, 03/01/28

    488,047  
  120,000      

4.500%, 06/01/31

    113,278  
  478,000      

LSF11 A5 HoldCo, LLC*

6.625%, 10/15/29

    469,468  
  1,017,000      

Mercer International, Inc.^

5.125%, 02/01/29

    1,008,325  
  841,000      

OCI, NV*

4.625%, 10/15/25

    864,355  
  475,000      

Owens-Brockway Glass

Container, Inc.*

6.625%, 05/13/27

    498,831  
  400,000      

SCIL IV, LLC / SCIL USA

Holdings, LLC*

5.375%, 11/01/26

    404,028  
PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  1,105,000      

Silgan Holdings, Inc.

4.125%, 02/01/28

  $ 1,110,591  
  478,000      

Trinseo Materials Operating SCA /

Trinseo Materials Finance, Inc.*

5.125%, 04/01/29

    483,253  
  750,000      

Univar Solutions USA, Inc.*

5.125%, 12/01/27

    765,847  
  480,000      

Valvoline, Inc.*

3.625%, 06/15/31

    440,942  
     

 

 

 
        16,077,094  
     

 

 

 
    Real Estate (0.5%)  
  764,000      

EPR Properties

3.750%, 08/15/29

    748,177  
   

Forestar Group, Inc.*

 
  750,000      

5.000%, 03/01/28

    761,595  
  502,000      

3.850%, 05/15/26

    495,670  
  719,000      

iStar, Inc.

5.500%, 02/15/26

    733,517  
  834,000      

MIWD Holdco II LLC*

5.500%, 02/01/30

    827,220  
   

Service Properties Trust

 
  1,250,000      

4.350%, 10/01/24

    1,195,787  
  465,000      

5.250%, 02/15/26

    446,846  
     

 

 

 
        5,208,812  
     

 

 

 
    Special Purpose Acquisition Companies (0.2%)

 

   

Fertitta Entertainment Company*

 
  955,000      

6.750%, 01/15/30^

    928,146  
  477,000      

4.625%, 01/15/29

    464,984  
     

 

 

 
        1,393,130  
     

 

 

 
    Utilities (0.3%)  
  230,000      

NRG Energy, Inc.

6.625%, 01/15/27

    237,811  
  350,000      

PPL Capital Funding, Inc.^‡

2.885%, 03/30/67

3 mo. USD LIBOR + 2.67%

    324,761  
  250,000      

Talen Energy Supply, LLC*^

7.250%, 05/15/27

    224,638  
  1,250,000      

TerraForm Power Operating, LLC*

5.000%, 01/31/28

    1,270,700  
   

Vistra Corp.*‡

 
  480,000      

8.000%, 02/01/66

5 year CMT + 6.93

    499,171  
  450,000      

7.000%, 02/01/66

5 year CMT + 5.74

    449,361  
     

 

 

 
        3,006,442  
     

 

 

 
   

TOTAL CORPORATE BONDS

(Cost $358,309,976)

    357,317,677  
     

 

 

 
     

 

 

 
  CONVERTIBLE BONDS (88.9%)  
    Airlines (1.4%)  
  10,000,000      

Southwest Airlines Company~

1.250%, 05/01/25

    13,618,200  
     

 

 

 
    Communication Services (9.4%)  
   

Liberty Media Corp.

 
  9,000,000      

0.500%, 12/01/50*

    12,105,630  
  8,550,000      

1.375%, 10/15/23µ

    11,812,081  
  4,500,000      

Liberty Media Corp. / Liberty

Formula One

1.000%, 01/30/23

    7,421,760  
 

 

See accompanying Notes to Schedule of Investments

 

7


Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  5,250,000      

Match Group Financeco 3, Inc.*
2.000%, 01/15/30

  $ 8,238,930  
  16,250,000      

Sea, Ltd.^
0.250%, 09/15/26

    13,698,750  
   

Snap, Inc.

 
  11,750,000      

0.000%, 05/01/27*^

    10,083,733  
  5,750,000      

0.750%, 08/01/26

    9,362,150  
  10,250,000      

Twitter, Inc.
0.250%, 06/15/24

    10,690,647  
  7,400,000      

Zynga, Inc.
0.250%, 06/01/24

    8,988,262  
     

 

 

 
        92,401,943  
     

 

 

 
    Consumer Discretionary (23.9%)  
  5,750,000      

Airbnb, Inc.*µ
0.000%, 03/15/26

    5,466,583  
  9,000,000      

Booking Holdings, Inc.^
0.750%, 05/01/25

    13,438,170  
  6,250,000      

Burlington Stores, Inc.^
2.250%, 04/15/25

    8,129,375  
  8,500,000      

Chegg, Inc.
0.000%, 09/01/26

    6,883,725  
  2,500,000      

Dick’s Sporting Goods, Inc.µ
3.250%, 04/15/25

    8,934,675  
   

DISH Network Corp.

 
  5,750,000      

3.375%, 08/15/26µ

    5,338,818  
  5,250,000      

0.000%, 12/15/25µ

    5,096,280  
  2,182,000      

2.375%, 03/15/24^~

    2,095,876  
  11,500,000      

DraftKings, Inc.*µ
0.000%, 03/15/28

    8,748,740  
  12,750,000      

Etsy, Inc.µ^
0.125%, 09/01/27

    14,179,785  
  16,750,000      

Ford Motor Company*µ
0.000%, 03/15/26

    22,736,952  
  5,500,000      

LCI Industriesµ
1.125%, 05/15/26

    5,410,405  
  4,229,000      

MakeMyTrip, Ltd.*
0.000%, 02/15/28

    4,250,949  
  11,250,000      

Marriott Vacations Worldwide Corp.*
0.000%, 01/15/26

    12,541,950  
  12,250,000      

NCL Corp. Ltd- Class C*^
1.125%, 02/15/27

    11,552,853  
  4,500,000      

RH

0.000%, 09/15/24

    8,682,525  
  15,250,000      

Royal Caribbean Cruises, Ltd.~
4.250%, 06/15/23

    19,512,222  
  5,750,000      

Shake Shack, Inc.*
0.000%, 03/01/28

    4,718,910  
  1,885,000      

Tesla, Inc.
2.000%, 05/15/24

    28,602,462  
  3,500,000      

Under Armour, Inc.
1.500%, 06/01/24

    5,977,860  
  15,000,000      

Vail Resorts, Inc.^

0.000%, 01/01/26

    15,038,250  
  12,500,000      

Wayfair, Inc.

0.625%, 10/01/25

    10,952,875  
  6,000,000      

Winnebago Industries, Inc.

1.500%, 04/01/25

    7,215,000  
     

 

 

 
        235,505,240  
     

 

 

 
    Energy (2.0%)  
  3,250,000      

EQT Corp.µ
1.750%, 05/01/26

    5,291,943  
PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  7,000,000      

Pioneer Natural Resources

Company

0.250%, 05/15/25

  $ 14,497,910  
   

SunEdison, Inc.

 
  9,411,000      

0.250%, 01/15/49*

    149,541  
  898,000      

2.000%, 10/01/49

    14,269  
     

 

 

 
        19,953,663  
     

 

 

 
    Financials (1.1%)  
  5,500,000      

Realogy Group, LLC / Realogy

Co-Issuer Corp.*

0.250%, 06/15/26

    5,298,205  
  5,750,000      

SoFi Technologies, Inc.*

0.000%, 10/15/26

    5,372,225  
     

 

 

 
        10,670,430  
     

 

 

 
    Health Care (13.7%)  
  5,500,000      

Alphatec Holdings, Inc.*µ

0.750%, 08/01/26

    5,110,490  
  2,750,000      

CONMED Corp.

2.625%, 02/01/24

    4,466,990  
  12,250,000      

CryoPort, Inc.*^

0.750%, 12/01/26

    9,937,445  
  14,000,000      

Dexcom, Inc.^

0.250%, 11/15/25

    14,929,180  
  2,426,000      

Envista Holdings Corp.µ

2.375%, 06/01/25

    5,184,629  
  6,750,000      

Exact Sciences Corp.µ

0.375%, 03/15/27

    6,707,812  
  5,750,000      

Halozyme Therapeutics, Inc.*µ

0.250%, 03/01/27

    4,940,515  
  4,500,000      

Insulet Corp.µ

0.375%, 09/01/26

    5,725,350  
  9,000,000      

Integra LifeSciences Holdings

Corp.µ

0.500%, 08/15/25

    9,639,270  
  9,950,000      

Jazz Investments I, Ltd.µ^

2.000%, 06/15/26

    11,683,290  
  10,250,000      

NeoGenomics, Inc.

0.250%, 01/15/28

    7,583,155  
  4,000,000      

NuVasive, Inc.

0.375%, 03/15/25

    3,819,400  
  8,500,000      

Omnicell, Inc.

0.250%, 09/15/25

    13,688,400  
  8,000,000      

Pacira BioSciences, Inc.

0.750%, 08/01/25

    9,084,320  
  6,470,000      

Repligen Corp.

0.375%, 07/15/24

    11,655,964  
  1,675,000      

Sarepta Therapeutics, Inc.

1.500%, 11/15/24

    2,119,863  
  6,750,000      

Tandem Diabetes Care, Inc.*

1.500%, 05/01/25

    8,582,895  
     

 

 

 
        134,858,968  
     

 

 

 
    Industrials (5.2%)  
  3,750,000      

Air Transport Services Group,

Inc.^

1.125%, 10/15/24

    4,027,050  
  3,650,000      

Atlas Air Worldwide Holdings,

Inc.µ

1.875%, 06/01/24

    5,223,661  
  11,250,000      

JetBlue Airways Corp.*µ

0.500%, 04/01/26

    10,704,712  
  5,500,000      

John Bean Technologies Corp.*µ^

0.250%, 05/15/26

    5,644,320  
 

 

See accompanying Notes to Schedule of Investments

 

8


Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  4,250,000      

Middleby Corp.

1.000%, 09/01/25

  $ 6,408,660  
  20,000,000      

Uber Technologies, Inc.^

0.000%, 12/15/25

    18,697,800  
     

 

 

 
        50,706,203  
     

 

 

 
    Information Technology (29.7%)  
  9,250,000      

Bentley Systems, Inc.*µ^

0.125%, 01/15/26

    8,780,193  
   

Bill.com Holdings, Inc.µ

 
  10,750,000      

0.000%, 04/01/27*^

    9,708,540  
  2,750,000      

0.000%, 12/01/25

    3,864,080  
  6,250,000      

Camtek Ltd.*

0.000%, 12/01/26

    6,020,750  
  5,750,000      

Confluent, Inc.*

0.000%, 01/15/27

    5,648,915  
  9,750,000      

Coupa Software, Inc.^

0.125%, 06/15/25

    10,907,910  
  4,500,000      

CyberArk Software, Ltd.^

0.000%, 11/15/24

    5,025,105  
  4,250,000      

Datadog, Inc.~

0.125%, 06/15/25

    7,269,243  
  6,000,000      

DigitalOcean Holdings, Inc.*^

0.000%, 12/01/26

    4,853,160  
   

Enphase Energy, Inc.*µ

 
  5,750,000      

0.000%, 03/01/26

    5,287,988  
  5,750,000      

0.000%, 03/01/28^

    5,264,355  
  5,750,000      

Five9, Inc.µ

0.500%, 06/01/25

    6,728,190  
  13,750,000      

Microchip Technology, Inc.^

0.125%, 11/15/24

    16,249,200  
  4,500,000      

MongoDB, Inc.~

0.250%, 01/15/26

    9,065,790  
   

Okta, Inc.

 
  7,500,000      

0.125%, 09/01/25

    9,394,275  
  4,000,000      

0.375%, 06/15/26

    4,466,200  
  17,000,000      

ON Semiconductor Corp.*^

0.000%, 05/01/27

    22,632,100  
  8,500,000      

Palo Alto Networks, Inc.

0.750%, 07/01/23

    16,662,295  
  6,000,000      

Perficient, Inc.*

0.125%, 11/15/26

    5,334,060  
  2,000,000      

Q2 Holdings, Inc.

0.750%, 06/01/26

    2,051,100  
  11,250,000      

Repay Holdings Corp.*

0.000%, 02/01/26

    9,713,362  
   

RingCentral, Inc.^

 
  4,380,000      

0.000%, 03/15/26

    3,776,655  
  3,870,000      

0.000%, 03/01/25

    3,544,765  
   

Shift4 Payments, Inc.*^

 
  13,750,000      

0.000%, 12/15/25

    13,823,150  
  720,000      

0.500%, 08/01/27

    611,006  
  1,824,000      

Shopify, Inc.^

0.125%, 11/01/25

    1,952,136  
  7,750,000      

Silicon Laboratories, Inc.^

0.625%, 06/15/25

    11,413,967  
  11,500,000      

Splunk, Inc.^

1.125%, 06/15/27

    10,489,380  
  10,250,000      

Square, Inc.µ

0.125%, 03/01/25

    12,819,675  
  10,000,000      

Tyler Technologies, Inc.*^

0.250%, 03/15/26

    11,382,000  
  12,250,000      

Unity Software, Inc.*

0.000%, 11/15/26

    10,289,877  
  8,000,000      

Wix.com, Ltd.^

0.000%, 08/15/25

    6,966,000  
PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  5,250,000      

Workday, Inc.

0.250%, 10/01/22

  $ 9,071,895  
  10,000,000      

Zendesk, Inc.

0.625%, 06/15/25

    11,539,400  
  5,250,000      

Zscaler, Inc.µ

0.125%, 07/01/25

    9,482,183  
     

 

 

 
        292,088,900  
     

 

 

 
    Materials (2.5%)  
  4,000,000      

Allegheny Technologies, Inc.µ

3.500%, 06/15/25

    5,650,000  
  5,500,000      

Ivanhoe Mines, Ltd.*µ

2.500%, 04/15/26

    7,507,280  
  4,991,000      

Lithium Americas Corp.*

1.750%, 01/15/27

    4,423,224  
  6,306,000      

MP Materials Corp.*

0.250%, 04/01/26

    7,382,939  
     

 

 

 
        24,963,443  
     

 

 

 
   

TOTAL CONVERTIBLE BONDS

(Cost $772,020,751)

    874,766,990  
     

 

 

 
     

 

 

 
  BANK LOANS (4.3%) ¡  
    Airlines (0.2%)  
  800,000      

AAdvantage Loyalty IP, Ltd.‡

5.500%, 04/20/28

3 mo. LIBOR + 4.75%

    831,556  
  1,191,000      

United Airlines, Inc.‡

4.500%, 04/21/28

3 mo. LIBOR + 3.75%

    1,194,305  
     

 

 

 
        2,025,861  
     

 

 

 
    Communication Services (0.9%)  
  1,270,750      

Clear Channel Outdoor Holdings,

Inc.‡

3.605%, 08/21/26

3 mo. LIBOR + 3.50%

    1,255,107  
  2,239,250      

DIRECTV Financing, LLC‡

5.750%, 08/02/27

3 mo. LIBOR + 5.00%

    2,245,206  
  1,245,340      

Frontier Communications Corp.‡

4.500%, 05/01/28

3 mo. LIBOR + 3.75%

    1,245,340  
  860,484      

iHeartCommunications, Inc.‡

3.105%, 05/01/26

1 mo. LIBOR + 3.00%

    857,258  
  2,297,500      

Intelsat Jackson Holdings, SA

8.625%, 01/02/24

    2,298,224  
  490,000      

Intelsat Jackson Holdings, SA!

0.000%, 01/02/24

    490,154  
  6,069      

Intelsat Jackson Holdings, SA‡

8.750%, 01/02/24

3 mo. PRIME + 5.50%

    6,071  
  455,000      

Nexstar Broadcasting, Inc.‡

2.602%, 09/18/26

1 mo. LIBOR + 2.50%

    454,147  
     

 

 

 
        8,851,507  
     

 

 

 
    Consumer Discretionary (0.8%)  
  305,816      

Life Time Fitness, Inc.‡

5.750%, 12/16/24

3 mo. LIBOR + 4.75%

    309,257  
 

 

See accompanying Notes to Schedule of Investments

 

9


Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

PRINCIPAL

AMOUNT

      

 

    

 

  VALUE  
  1,682,288      

Petco Health and Wellness

Company, Inc.‡

4.000%, 03/03/28

3 mo. LIBOR + 3.25%

  $ 1,682,952  
  2,429,047      

PetSmart, Inc.‡

4.500%, 02/11/28

6 mo. LIBOR + 3.75%

    2,428,670  
  1,102,931      

Rent-A-Center, Inc.‡

3.750%, 02/17/28

1 mo. LIBOR + 3.25%

    1,102,931  
  718,712      

TKC Holdings, Inc.‡

6.500%, 05/15/28

3 mo. LIBOR + 5.50%

    720,509  
  396,476      

TKC Holdings, Inc.!

0.000%, 05/15/28

    397,467  
  1,606,500      

WW International, Inc.‡

4.000%, 04/13/28

1 mo. LIBOR + 3.50%

    1,557,903  
     

 

 

 
        8,199,689  
     

 

 

 
    Consumer Staples (0.0%)  
  166,773      

United Natural Foods, Inc.‡

3.355%, 10/22/25

1 mo. LIBOR + 3.25%

    167,008  
     

 

 

 
    Financials (0.2%)  
  1,990,000      

Jazz Financing Lux S.a.r.l.‡

3.605%, 05/05/28

1 mo. LIBOR + 3.50%

    1,993,244  
  269,862      

Level 3 Financing, Inc.‡

1.855%, 03/01/27

1 mo. LIBOR + 1.75%

    265,752  
     

 

 

 
        2,258,996  
     

 

 

 
    Health Care (0.8%)  
  2,398,959      

Amneal Pharmaceuticals LLC‡

3.625%, 05/04/25

1 mo. LIBOR + 3.50%

    2,381,459  
  751,373      

Icon Luxembourg Sarl‡

2.750%, 07/03/28

3 mo. LIBOR + 2.25%

    750,715  
  187,205      

Icon Luxembourg Sarl‡

2.750%, 07/03/28

3 mo. LIBOR + 2.25%

    187,041  
  1,030,640      

Mallinckrodt International Finance

S.A.‡

6.000%, 09/24/24

3 mo. LIBOR + 5.25%

    967,086  
  988,235      

Padagis, LLC‡

5.250%, 07/06/28

3 mo. LIBOR + 4.75%

    987,929  
  2,172,451      

Team Health Holdings, Inc.‡

3.750%, 02/06/24

1 mo. LIBOR + 2.75%

    2,103,476  
     

 

 

 
        7,377,706  
     

 

 

 
    Industrials (0.7%)  
  477,600      

ACProducts, Inc.‡

4.750%, 05/17/28

6 mo. LIBOR + 4.25%

    475,766  
  615,000      

Air Canada‡

4.250%, 08/11/28

3 mo. LIBOR + 3.50%

    617,946  
PRINCIPAL
AMOUNT
      

 

    

 

  VALUE  
  972,911      

BW Gas & Convenience Holdings,

LLC‡

4.000%, 03/31/28

1 mo. LIBOR + 3.50%

  $ 974,127  
  1,007,139      

Dun & Bradstreet Corp.‡

3.358%, 02/06/26

1 mo. LIBOR + 3.25%

    1,004,445  
  866,461      

Granite Holdings US Acquisition

Company‡

4.224%, 09/30/26

3 mo. LIBOR + 4.00%

    866,461  
  569,422      

RegionalCare Hospital Partners

Holdings, Inc.‡

3.855%, 11/16/25

1 mo. LIBOR + 3.75%

    568,787  
  1,572,328      

Scientific Games International,

Inc.‡

2.840%, 08/14/24

1 mo. LIBOR + 2.75%

    1,569,482  
  267,458      

TransDigm, Inc.‡

2.355%, 12/09/25

1 mo. LIBOR + 2.25%

    265,066  
     

 

 

 
        6,342,080  
     

 

 

 
    Information Technology (0.6%)  
  1,357,500      

AP Core Holdings II, LLC‡

6.250%, 09/01/27

1 mo. LIBOR + 5.50%

    1,371,503  
  993,530      

Banff Merger Sub Inc‡

3.974%, 10/02/25

3 mo. LIBOR + 3.75%

    991,379  
  1,176,000      

Camelot U.S. Acquisition 1 Co.‡

3.105%, 10/30/26

1 mo. LIBOR + 3.00%

    1,173,795  
  633,600      

Camelot U.S. Acquisition 1 Co.‡

4.000%, 10/30/26

1 mo. LIBOR + 3.00%

    633,400  
  1,345,000      

VFH Parent LLC‡

3.500%, 01/13/29

SOFRTE + 3.00%

    1,345,000  
     

 

 

 
        5,515,077  
     

 

 

 
    Materials (0.1%)  
  717,225      

Innophos, Inc.‡

3.855%, 02/05/27

1 mo. LIBOR + 3.75%

    717,074  
  490,000      

LSF11 A5 HoldCo, LLC‡

4.250%, 10/15/28

SOFR + 3.75%

    490,919  
     

 

 

 
        1,207,993  
     

 

 

 
    Special Purpose Acquisition Company (0.0%)

 

  245,000      

Fertitta Entertainment, LLC!

0.000%, 01/27/29

    246,072  
     

 

 

 
   

TOTAL BANK LOANS

(Cost $42,297,648)

    42,191,989  
     

 

 

 
     

 

 

 
 

 

See accompanying Notes to Schedule of Investments

 

10


Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

NUMBER OF
SHARES
      

 

    

 

  VALUE  
  CONVERTIBLE PREFERRED STOCKS (15.2%)  
    Communication Services (0.8%)  
  7,750      

2020 Cash Mandatory

Exchangeable Trust*

5.250%, 06/01/23

  $ 7,730,199  
     

 

 

 
    Consumer Discretionary (1.2%)  
  78,610      

Aptiv, PLCµ

5.500%, 06/15/23

    12,245,866  
     

 

 

 
    Energy (0.0%)  
  26      

Gulfport Energy Operating Corp.

10.000%,

15.00% PIK rate

    118,300  
     

 

 

 
    Financials (1.4%)  
  4,600      

Bank of America Corp.µ‡‡

7.250%

    6,476,800  
  83,355      

KKR & Company, Inc.µ^

6.000%, 09/15/23

    7,398,590  
     

 

 

 
        13,875,390  
     

 

 

 
    Health Care (3.9%)  
  113,945      

Avantor, Inc.µ

6.250%, 05/15/22

    13,012,519  
  70,970      

Boston Scientific Corp.µ

5.500%, 06/01/23

    8,270,844  
  9,125      

Danaher Corp.

4.750%, 04/15/22

    17,394,531  
     

 

 

 
        38,677,894  
     

 

 

 
    Industrials (0.8%)  
  73,760      

Stanley Black & Decker, Inc.^

5.250%, 11/15/22

    7,698,331  
     

 

 

 
    Information Technology (2.9%)  
  15,360      

Broadcom, Inc.~

8.000%, 09/30/22

    28,133,683  
     

 

 

 
    Utilities (4.2%)  
  141,020      

AES Corp.^

6.875%, 02/15/24

    12,839,871  
  68,300      

Dominion Energy, Inc.µ

7.250%,

    6,967,966  
   

NextEra Energy, Inc.

 
  177,495      

6.219%, 09/01/23^

    9,121,468  
  138,185      

4.872%, 09/01/22

    8,036,840  
  77,785      

5.279%, 03/01/23

    3,966,257  
     

 

 

 
        40,932,402  
     

 

 

 
   

TOTAL CONVERTIBLE

PREFERRED STOCKS

(Cost $121,433,748)

    149,412,065  
     

 

 

 
     

 

 

 
  PREFERRED STOCKS (0.4%)  
    Consumer Discretionary (0.1%)  
  6,122      

Guitar Center, Inc.

    762,189  
     

 

 

 
    Energy (0.3%)  
  49,620      

NuStar Energy, LP‡

7.625%, 3

mo. USD LIBOR + 5.64%

    1,090,647  
NUMBER OF
SHARES
      

 

    

 

  VALUE  
  26,544      

NuStar Energy, LP^‡

6.969%,

3 mo. USD LIBOR + 6.77%

  $ 653,248  
  43,000      

NuStar Logistics, LP‡

6.975%, 01/15/43

3 mo. USD LIBOR + 6.73%

    1,084,030  
     

 

 

 
        2,827,925  
     

 

 

 
    Financials (0.0%)  
  19,232      

B Riley Financial, Inc.^

5.250%, 08/31/28

    476,569  
     

 

 

 
   

TOTAL PREFERRED STOCKS

(Cost $4,259,201)

    4,066,683  
     

 

 

 
     

 

 

 
  COMMON STOCKS (0.6%)  
    Communication Services (0.0%)  
  20,285      

Altice USA, Inc. - Class A#

    292,510  
  8,183      

Cumulus Media, Inc. - Class A#

    83,876  
  1      

Frontier Communications Parent,

Inc.#

    26  
     

 

 

 
        376,412  
     

 

 

 
    Energy (0.6%)  
  40,024      

Calfrac Well Services, Ltd.#

    171,503  
  8,836      

Chaparral Energy, Inc. - Class

A&#

    415,292  
  2,869      

Chesapeake Energy Corp.^

    195,580  
  1,875      

Chevron Corp.

    246,244  
  1,931      

Denbury, Inc.^#

    145,095  
  23,595      

Diamond Offshore Drilling, Inc.&#

    130,952  
  67,000      

Energy Transfer, LP

    641,190  
  39,795      

Enterprise Products Partners, LP~

    940,754  
  6,644      

EP Energy Corp.&#

    593,808  
  465      

Gulfport Energy Corp.&#

    30,428  
  12,830      

Magellan Midstream Partners, LP

    627,002  
  10,122      

Ranger Oil Corp. - Class A^#

    313,883  
  3,615      

Schlumberger, NV

    141,238  
  15,995      

Superior Energy Services, Inc.*&#

    695,782  
  13,774      

Weatherford International, PLC#

    413,220  
  8,500      

Williams Companies, Inc.^

    254,490  
     

 

 

 
        5,956,461  
     

 

 

 
   

TOTAL COMMON STOCKS

(Cost $7,739,579)

    6,332,873  
     

 

 

 
     

 

 

 
  WARRANTS (0.1%) #  
    Energy (0.1%)  
  3,152      

Chesapeake Energy Corp.

02/09/26, Strike $31.49

    123,874  
  2,837      

Chesapeake Energy Corp.

02/09/26, Strike $27.08

    120,317  
  1,751      

Chesapeake Energy Corp.

02/09/26, Strike $35.46

    61,688  
  4,875      

Denbury, Inc.

09/18/25, Strike $32.59

    209,722  
  1,776      

Denbury, Inc.

09/18/23, Strike $35.41

    72,807  
  47,739      

Mcdermott International, Ltd.&

06/30/27, Strike $15.98

    5  
  42,965      

Mcdermott International, Ltd.&

06/30/27, Strike $12.33

  $ 4  
     

 

 

 
 

 

See accompanying Notes to Schedule of Investments

 

11


Calamos Convertible Opportunities and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED)

 

  

 

      

 

    

 

  VALUE  
   

TOTAL WARRANTS

(Cost $1,041,212)

  $ 588,417  
     

 

 

 
     

 

 

 
NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT
      

 

    

 

  VALUE  
  PURCHASED OPTION (0.4%) #  
    Consumer Discretionary (0.4%)  
  300      

Tesla, Inc.

 
  28,101,600      

Put, 06/17/22, Strike $900.00

(Cost $3,455,299)

    3,539,250  
     

 

 

 
     

 

 

 
 

     TOTAL INVESTMENTS (146.2%)

     (Cost $1,310,557,414)

    1,438,215,944  
     

 

 

 
     

 

 

 
 

MANDATORY REDEEMABLE PREFERRED

SHARES, AT LIQUIDATION VALUE (-13.5%)

    (133,000,000
     

 

 

 
 

LIABILITIES, LESS OTHER ASSETS (-32.7%)

    (321,571,961
     

 

 

 
 

NET ASSETS (100.0%)

  $ 983,643,983  
     

 

 

 
     

 

 

 

NUMBER OF

CONTRACTS/

NOTIONAL

AMOUNT

      

 

    

 

  VALUE  
  WRITTEN OPTION (-0.2%) #  
    Consumer Discretionary (-0.2%)  
  180      

Tesla, Inc.

 
  16,860,960      

Call, 12/16/22, Strike $1,300.00

(Premium $2,187,621)

    (1,913,850
     

 

 

 
     

 

 

 

NOTES TO SCHEDULE OF INVESTMENTS

*

Securities issued and sold pursuant to a Rule 144A transaction are exempted 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 $266,095,889.

^

Security, or portion of security, is on loan.

&

Illiquid security.

@

In default status and considered non-income producing.

Variable rate security. The rate shown is the rate in effect at January 31, 2022.

~

Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options. The aggregate value of such securities is $29,624,675.

¡

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.

‡‡

Perpetual maturity.

#

Non-income producing security.

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:

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, 2022 was as follows:*

 

Cost basis of investments

                                                       $ 1,308,369,793  
   

 

 

 

Gross unrealized appreciation

                  187,782,246  

Gross unrealized depreciation

                  (59,849,945)  
   

 

 

 

Net unrealized appreciation (depreciation)

                $ 127,932,301  
   

 

 

 

* 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

The Fund issued MRPS on August 24, 2021 and September 6, 2017. On August 24, 2021, 2,650,000 MRPS were issued with an aggregate liquidation preference of $66.25 million. Of the 2,650,000 MRPS that were issued, 1,330,000 MRPS with an aggregate liquidation preference of $33.25 million have a delayed funding date of May 4, 2022. On September 6, 2017, 4,000,000 MRPS were issued 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 MRPS over the respective life of each series of MRPS and shown in the Statement of Operations.

The MRPS are divided into five 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, 2022.

 

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
Series D   8/24/26   2.45%   1,320   $25   $33,000,000
Series E*   5/24/27   2.68%   1,330   $25   $33,250,000
               

Total

  $166,250,000

*Series E MRPS were issued on August 24, 2021, with a delayed funding date of May 24, 2022. Series E MRPS are not included on the Statement of Assets and Liabilities.

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, Series A. B, and C of 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. Series A, B, and C of the MRPS have been assigned a rating of ‘AA-’ by Kroll. As of August 24, 2021, Series D and E of 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 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.