NPORT-EX 2 ccdpartf_7312022.htm CALAMOS PART F 7/31/2022 HTML

Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

PRINCIPAL

AMOUNT

            VALUE
 

CORPORATE BONDS (16.0%)

 
    Airlines (0.4%)  
 
407,081
 
   

Air Canada Pass Through Trust

Series 2015-1, Class B*

3.875%, 09/15/24

 

$

399,945

 

 
59,400
 
   

Air Canada Pass Through Trust

Series 2015-2, Class B*

5.000%, 06/15/25

 

 

58,208

 

  273,549      

Alaska Airlines Pass Through Trust Series 2020-1, Class A*
4.800%, 02/15/29

    270,001  
  174,686      

Alaska Airlines Pass Through Trust Series 2020-1, Class B*µ
8.000%, 02/15/27

    183,457  
 
316,000
 
   

American Airlines Pass Through Trust Series 2021-1, Class B

3.950%, 01/11/32

 

 

265,017

 

 

196,000

 

   

American Airlines, Inc. / AAdvantage Loyalty IP, Ltd.*

5.500%, 04/20/26

 

 

193,474

 

  65,000      

5.750%, 04/20/29

    62,318  
 
303,482
 
   

British Airways Pass Through Trust Series 2021-1, Class B*

3.900%, 03/15/33

 

 

262,181

 

 
215,090
 
   

JetBlue Pass Through Trust

Series 2020-1, Class B

7.750%, 05/15/30

 

 

216,901

 

 
169,000
 
   

Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.*

8.000%, 09/20/25

 

 

176,299

 

 
201,829
 
   

United Airlines Pass Through Trust Series 2014-2, Class B

4.625%, 03/03/24

 

 

200,715

 

 
129,490
 
   

United Airlines Pass Through Trust Series 2019-2, Class B

3.500%, 11/01/29

 

 

112,170

 

     

 

 

 

        2,400,686  
     

 

 

 

    Communication Services (1.8%)  
 
300,000
 
   

Altice France, SA*

5.500%, 10/15/29

 

 

259,443

 

 
320,000
 
   

APi Escrow Corp.*

4.750%, 10/15/29

 

 

270,054

 

 
415,000
 
   

Arrow Bidco, LLC*

9.500%, 03/15/24

 

 

418,594

 

   

Audacy Capital Corp.*

 
  131,000      

6.750%, 03/31/29

    63,525  
  131,000      

6.500%, 05/01/27

    65,006  
 
196,000
 
   

Beasley Mezzanine Holdings, LLC*^

8.625%, 02/01/26

 

 

149,503

 

 
101,000
 
   

Cincinnati Bell Telephone Company, LLC

6.300%, 12/01/28

 

 

92,475

 

 
405,000
 
   

Consolidated Communications, Inc.*^

6.500%, 10/01/28

 

 

348,956

 

   

CSC Holdings, LLC*

 
  570,000      

5.500%, 04/15/27

    552,609  
  400,000      

5.750%, 01/15/30

    323,172  
  400,000      

5.375%, 02/01/28

    380,404  
  400,000      

4.625%, 12/01/30

    304,560  
  200,000      

4.500%, 11/15/31

    170,386  

PRINCIPAL

AMOUNT

            VALUE
   

Diamond Sports Group, LLC / Diamond Sports Finance Company*

 
  210,000      

6.625%, 08/15/27

  $ 20,767  
  146,000      

5.375%, 08/15/26

    32,016  
 
503,000
 
   

DIRECTV Holdings, LLC / DIRECTV Financing Company, Inc.*

5.875%, 08/15/27

 

 

470,436

 

 
254,000
 
   

Embarq Corp.

7.995%, 06/01/36

 

 

209,626

 

 
275,000
 
   

Frontier California, Inc.

6.750%, 05/15/27

 

 

265,427

 

   

Frontier Communications Holdings, LLC*

 
  169,000      

5.000%, 05/01/28

    158,855  
  65,000      

8.750%, 05/15/30

    69,115  
 
289,000
 
   

Frontier Florida, LLC@

6.860%, 02/01/28

 

 

274,128

 

 
400,000
 
   

Frontier North, Inc.@

6.730%, 02/15/28

 

 

381,748

 

   

Go Daddy Operating Company, LLC / GD Finance Company, Inc.*

 
  235,000      

3.500%, 03/01/29

    209,754  
  69,000      

5.250%, 12/01/27

    67,557  
 
80,000
 
   

Hughes Satellite Systems Corp.

5.250%, 08/01/26

 

 

81,219

 

   

Intelsat Jackson Holdings, SA@&

 
  200,000      

9.750%, 07/15/25*

    —    
  135,000      

5.500%, 08/01/23

    —    
 
330,000
 
   

LCPR Senior Secured Financing DAC*

6.750%, 10/15/27

 

 

323,351

 

 
169,724
 
   

Ligado Networks, LLC*

15.500%, 11/01/23

 

 

90,385

 

   

Lumen Technologies, Inc.

 
  422,000      

7.600%, 09/15/39

    342,094  
  320,000      

4.000%, 02/15/27*

    297,443  
  133,000      

4.500%, 01/15/29*

    105,552  
 
130,000
 
   

Match Group Holdings II, LLC*^

3.625%, 10/01/31

 

 

110,393

 

 
235,000
 
   

Midas OpCo Holdings, LLC*

5.625%, 08/15/29

 

 

197,976

 

   

Netflix, Inc.

 
  200,000      

4.875%, 06/15/30*^

    196,658  
  130,000      

4.875%, 04/15/28

    129,133  
 
135,000
 
   

Paramount Global‡

6.375%, 03/30/62

5 year CMT + 4.00%

 

 

127,964

 

   

Scripps Escrow II, Inc.*

 
  136,000      

3.875%, 01/15/29

    121,522  
  68,000      

5.375%, 01/15/31

    58,044  
 
490,000
 
   

Scripps Escrow, Inc.*

5.875%, 07/15/27

 

 

468,768

 

   

Sirius XM Radio, Inc.*

 
  345,000      

5.500%, 07/01/29^

    339,114  
  201,000      

4.000%, 07/15/28

    186,818  
  130,000      

3.125%, 09/01/26

    122,595  
  65,000      

3.875%, 09/01/31

    55,884  
 
130,000
 
   

Spanish Broadcasting System, Inc.*^

9.750%, 03/01/26

 

 

105,049

 

 
680,000
 
   

Sprint Corp.

7.125%, 06/15/24

 

 

712,626

 

 

 

See accompanying Notes to Schedule of Investments

 

1


Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT

            VALUE
 
210,000
 
   

Telecom Italia Capital, SA

6.000%, 09/30/34

 

$

166,152

 

 
130,000
 
   

Telesat Canada / Telesat, LLC*

4.875%, 06/01/27

 

 

76,627

 

 
240,000
 
   

United States Cellular Corp.

6.700%, 12/15/33

 

 

238,838

 

 
33,000
 
   

Univision Communications, Inc.*

4.500%, 05/01/29

 

 

29,878

 

     

 

 

 

        10,242,199  
     

 

 

 

    Consumer Discretionary (2.7%)  
   

American Axle & Manufacturing, Inc.

 
  278,000      

6.875%, 07/01/28

    268,003  
  27,000      

5.000%, 10/01/29^

    23,636  
   

Ashton Woods USA, LLC / Ashton Woods Finance Company*

 
  204,000      

6.625%, 01/15/28

    178,979  
  163,000      

4.625%, 08/01/29

    127,042  
  65,000      

4.625%, 04/01/30

    49,516  
   

At Home Group, Inc.*

 
  195,000      

4.875%, 07/15/28^

    153,633  
  131,000      

7.125%, 07/15/29

    89,015  
  79,000      

Avis Budget Car Rental, LLC / Avis Budget Finance, Inc.*^

5.375%, 03/01/29

    72,119  
   

Bath & Body Works, Inc.^

 
  355,000      

6.694%, 01/15/27

    350,534  
  330,000      

6.875%, 11/01/35

    303,656  
   

Caesars Entertainment, Inc.*

 
  168,000      

4.625%, 10/15/29^

    142,526  
  132,000      

8.125%, 07/01/27^

    132,310  
  132,000      

6.250%, 07/01/25

    132,165  
   

Carnival Corp.*

 
  134,000      

10.500%, 02/01/26

    140,877  
  68,000      

7.625%, 03/01/26

    58,701  
 
315,000
 
   

Carriage Services, Inc.*

4.250%, 05/15/29

 

 

274,623

 

  195,000      

Carvana Company*

 
   

4.875%, 09/01/29

    116,916  
   

CCO Holdings, LLC / CCO Holdings Capital Corp.*

 
  725,000      

5.125%, 05/01/27

    712,059  
  300,000      

4.750%, 03/01/30

    273,246  
  266,000      

4.250%, 02/01/31

    230,965  
  150,000      

4.500%, 08/15/30

    133,690  
  130,000      

5.000%, 02/01/28

    125,590  
  130,000      

4.750%, 02/01/32

    114,893  
  100,000      

4.250%, 01/15/34

    82,852  
 
130,000
 
   

CDI Escrow Issuer, Inc.*

5.750%, 04/01/30

 

 

127,383

 

 
207,000
 
   

Cedar Fair, LP^

5.250%, 07/15/29

 

 

198,252

 

 
65,000
 
   

Century Communities, Inc.*

3.875%, 08/15/29

 

 

55,943

 

   

Dana, Inc.

 
  220,000      

4.250%, 09/01/30

    185,614  
  130,000      

4.500%, 02/15/32

    108,661  
   

DISH DBS Corp.

 
  325,000      

5.250%, 12/01/26*

    278,993  
  215,000      

7.750%, 07/01/26^

    178,003  
  168,000      

7.375%, 07/01/28

    119,834  
 
400,000
 
   

Empire Resorts, Inc.*

7.750%, 11/01/26

 

 

360,108

 

 
296,000
 
   

Everi Holdings, Inc.*

5.000%, 07/15/29

 

 

271,719

 

PRINCIPAL
AMOUNT

            VALUE
   

Ford Motor Credit Company, LLC

 
  425,000      

4.000%, 11/13/30

  $ 377,515  
  350,000      

5.113%, 05/03/29

    338,863  
  350,000      

4.063%, 11/01/24

    344,729  
  315,000      

4.134%, 08/04/25

    308,983  
  200,000      

4.389%, 01/08/26

    195,804  
   

Gap, Inc.*^

 
  98,000      

3.875%, 10/01/31

    71,107  
  13,000      

3.625%, 10/01/29

    9,549  
   

goeasy, Ltd.*

 
  460,000      

5.375%, 12/01/24

    437,736  
  241,000      

4.375%, 05/01/26^

    207,740  
  195,000      

Goodyear Tire & Rubber Company^
5.000%, 07/15/29

    177,920  
 
114,000
 
   

Group 1 Automotive, Inc.*

4.000%, 08/15/28

 

 

102,098

 

 
503,000
 
   

Guitar Center, Inc.*

8.500%, 01/15/26

 

 

461,533

 

   

International Game Technology, PLC*

 
  345,000      

6.250%, 01/15/27

    350,034  
  200,000      

4.125%, 04/15/26

    191,066  
 
295,000
 
   

JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.*^

5.125%, 02/01/28

 

 

294,546

 

 
265,000
 
   

Liberty Interactive, LLC^

8.250%, 02/01/30

 

 

174,921

 

   

Life Time, Inc.*

 
  196,000      

8.000%, 04/15/26^

    184,975  
  135,000      

5.750%, 01/15/26

    126,994  
 
168,000
 
   

Lindblad Expeditions, LLC*

6.750%, 02/15/27

 

 

154,557

 

 
175,000
 
   

M/I Homes, Inc.^

3.950%, 02/15/30

 

 

146,200

 

   

Macy’s Retail Holdings, LLC*

 
  277,000      

6.700%, 07/15/34

    268,311  
  163,000      

5.875%, 03/15/30^

    140,958  
 
310,000
 
   

Mclaren Finance, PLC*

7.500%, 08/01/26

 

 

269,275

 

 
332,000
 
   

Midwest Gaming Borrower, LLC / Midwest Gaming Finance Corp.*

4.875%, 05/01/29

 

 

303,491

 

 
360,000
 
   

Mohegan Gaming & Entertainment*

8.000%, 02/01/26

 

 

319,882

 

   

Nordstrom, Inc.

 
  130,000      

5.000%, 01/15/44^

    96,045  
  123,000      

4.250%, 08/01/31

    99,823  
 
305,000
 
   

Penn National Gaming, Inc.*^

4.125%, 07/01/29

 

 

254,019

 

 
365,000
 
   

Premier Entertainment Sub, LLC / Premier Entertainment Finance Corp.*

5.625%, 09/01/29

 

 

295,373

 

 
659,000
 
   

Rite Aid Corp.*^

8.000%, 11/15/26

 

 

559,531

 

 
370,000
 
   

Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed*

4.625%, 03/01/29

 

 

336,874

 

 
303,000
 
   

Sonic Automotive, Inc.*

4.625%, 11/15/29

 

 

262,092

 

 
193,000
 
   

Speedway Motorsports, LLC / Speedway Funding II, Inc.*

4.875%, 11/01/27

 

 

175,672

 

 

 

See accompanying Notes to Schedule of Investments

 

2


Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

PRINCIPAL

AMOUNT

            VALUE
 
207,000
 
   

Taylor Morrison Communities, Inc.*

5.750%, 01/15/28

 

$

200,800

 

 
65,000
 
   

Viking Cruises, Ltd.*

13.000%, 05/15/25

 

 

68,855

 

 
300,000
 
   

Vista Outdoor, Inc.*

4.500%, 03/15/29

 

 

231,375

 

 
275,000
 
   

VOC Escrow, Ltd.*

5.000%, 02/15/28

 

 

244,992

 

 
67,000
 
   

Williams Scotsman International, Inc.*

4.625%, 08/15/28

 

 

62,900

 

     

 

 

 

        15,019,194  
     

 

 

 

    Consumer Staples (0.7%)  
 
305,000
 
   

Central Garden & Pet Company*

4.125%, 04/30/31

 

 

263,303

 

 
369,000
 
   

Edgewell Personal Care Company*

4.125%, 04/01/29

 

 

331,598

 

   

Energizer Holdings, Inc.*

 
  370,000      

4.375%, 03/31/29

    305,683  
  66,000      

6.500%, 12/31/27

    61,653  
   

JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.*

 
  390,000      

5.500%, 01/15/30

    380,476  
  112,000      

6.500%, 04/15/29

    114,416  
 
134,000
 
   

Kraft Heinz Foods Company

4.375%, 06/01/46

 

 

118,299

 

 
177,000
 
   

New Albertsons, LP

7.750%, 06/15/26

 

 

181,432

 

 
261,000
 
   

Performance Food Group, Inc.*

4.250%, 08/01/29

 

 

232,290

 

 
250,000
 
   

Petsmart, Inc. / PetSmart Finance Corp.*

4.750%, 02/15/28

 

 

237,138

 

 
400,000
 
   

Pilgrim’s Pride Corp.*

5.875%, 09/30/27

 

 

400,376

 

   

Post Holdings, Inc.*

 
  115,000      

5.750%, 03/01/27

    115,189  
  68,000      

5.500%, 12/15/29

    64,304  
  33,000      

4.625%, 04/15/30

    29,599  
 
252,000
 
   

Prestige Brands, Inc.*

3.750%, 04/01/31

 

 

216,881

 

 
300,000
 
   

United Natural Foods, Inc.*^

6.750%, 10/15/28

 

 

302,208

 

 
413,000
 
   

Vector Group, Ltd.*

5.750%, 02/01/29

 

 

375,277

 

     

 

 

 

        3,730,122  
     

 

 

 

    Energy (1.6%)  
   

Antero Resources Corp.*

 
  132,000      

5.375%, 03/01/30^

    129,852  
  84,000      

7.625%, 02/01/29

    88,716  
 
268,000
 
   

Apache Corp.

5.100%, 09/01/40

 

 

239,404

 

   

Buckeye Partners, LP

 
  210,000      

3.950%, 12/01/26

    195,733  
  135,000      

5.850%, 11/15/43

    101,156  
 
300,000
 
   

Callon Petroleum Company*^

7.500%, 06/15/30

 

 

288,558

 

   

Cheniere Energy Partners Company

 
  131,000      

3.250%, 01/31/32

    114,394  
  63,000      

4.000%, 03/01/31

    58,415  

PRINCIPAL

AMOUNT

            VALUE
 
129,000
 
   

Cheniere Energy, Inc.

4.625%, 10/15/28

 

$

125,932

 

 
198,000
 
   

Chesapeake Energy Corp.*

6.750%, 04/15/29

 

 

205,231

 

 
415,000
 
   

DCP Midstream Operating, LP*‡

5.850%, 05/21/43

3 mo. USD LIBOR + 3.85%

 

 

361,220

 

 
3,259
 
   

Diamond Foreign Asset Company / Diamond Finance, LLC

9.000%, 04/22/27

 

 

3,171

 

 
137,000
 
   

DT Midstream, Inc.*

4.125%, 06/15/29

 

 

126,520

 

 
261,000
 
   

Earthstone Energy Holdings, LLC*^

8.000%, 04/15/27

 

 

249,759

 

 

390,000

 

   

Energy Transfer, LP‡

5.800%, 11/01/66

3 mo. USD LIBOR + 3.02%

 

 

275,531

 

 
197,000
 
   

6.500%, 11/15/26

5 year CMT + 5.69%

 

 

178,902

 

 

340,000

 

   

EnLink Midstream Partners, LP

6.000%, 12/15/22‡

 

 

285,000

 

   

3 mo. USD LIBOR + 4.11%

4.850%, 07/15/26

   

236,310

282,700

 

 

 
196,000
 
   

EQM Midstream Partners, LP*

7.500%, 06/01/27

 

 

200,555

 

 
274,000
 
   

Genesis Energy, LP / Genesis Energy Finance Corp.^

6.250%, 05/15/26

 

 

255,209

 

 
190,000
 
   

Gulfport Energy Operating Corp.*

8.000%, 05/17/26

 

 

190,986

 

   

Gulfport Energy Operating Corp.

 
  260,000      

6.375%, 05/15/25&

    —    
  79,461      

8.000%, 05/17/26^

    79,873  
 
300,000
 
   

Hilcorp Energy I, LP / Hilcorp Finance Company*

6.000%, 04/15/30

 

 

276,351

 

 
196,000
 
   

Howard Midstream Energy Partners, LLC*

6.750%, 01/15/27

 

 

169,013

 

   

Laredo Petroleum, Inc.

 
  230,000      

10.125%, 01/15/28^

    234,253  
  131,000      

9.500%, 01/15/25

    134,499  
  67,000      

7.750%, 07/31/29*^

    64,049  
  295,000      

Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*

 
   

6.000%, 08/01/26

    281,173  
   

Moss Creek Resources Holdings, Inc.*

 
  145,000      

10.500%, 05/15/27

    139,609  
  130,000      

7.500%, 01/15/26

    118,665  
 
130,000
 
   

Murphy Oil Corp.

6.375%, 07/15/28

 

 

129,984

 

   

New Fortress Energy, Inc.*

 
  272,000      

6.750%, 09/15/25

    265,856  
  135,000      

6.500%, 09/30/26

    127,945  
   

Occidental Petroleum Corp.

 
  166,000      

6.625%, 09/01/30

    184,313  
  130,000      

5.875%, 09/01/25

    134,022  
  100,000      

6.125%, 01/01/31

    107,202  
  50,000      

6.375%, 09/01/28

    53,942  
 
244,000
 
   

Par Petroleum, LLC / Par Petroleum Finance Corp.*

7.750%, 12/15/25

 

 

232,227

 

 
280,000
 
   

Parkland Corp.*

5.875%, 07/15/27

 

 

274,660

 

 

 

See accompanying Notes to Schedule of Investments

 

3


Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

PRINCIPAL

AMOUNT

            VALUE
 
261,000
 
   

Patterson-UTI Energy, Inc.

5.150%, 11/15/29

 

$

233,569

 

 
270,000
 
   

Plains All American Pipeline, LP‡

6.125%, 11/15/22

3 mo. USD LIBOR + 4.11%

 

 

205,613

 

 
365,000
 
   

Rockcliff Energy II, LLC*

5.500%, 10/15/29

 

 

352,481

 

   

Southwestern Energy Company

 
  135,000      

5.375%, 02/01/29

    132,089  
  135,000      

5.375%, 03/15/30

    133,079  
  65,000      

4.750%, 02/01/32

    60,730  
 
65,000
 
   

Sunoco, LP / Sunoco Finance Corp.

4.500%, 04/30/30

 

 

57,110

 

   

Venture Global Calcasieu Pass, LLC*

 
  65,000      

4.125%, 08/15/31

    60,159  
  65,000      

3.875%, 08/15/29

    60,241  
 
195,000
 
   

W&T Offshore, Inc.*

9.750%, 11/01/23

 

 

188,427

 

   

Weatherford International, Ltd.*

 
  285,000      

6.500%, 09/15/28

    271,916  
  195,000      

8.625%, 04/30/30

    177,033  
     

 

 

 

        8,848,337  
     

 

 

 

    Financials (3.0%)  
   

Acrisure, LLC / Acrisure Finance, Inc.*

 
  393,000      

6.000%, 08/01/29

    327,931  
  356,000      

7.000%, 11/15/25

    342,216  
 
400,000
 
   

Aethon United BR, LP / Aethon United Finance Corp.*

8.250%, 02/15/26

 

 

413,052

 

 
416,000
 
   

AG Issuer, LLC*

6.250%, 03/01/28

 

 

376,875

 

   

Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer*

 
  580,000      

6.750%, 10/15/27

    551,168  
  65,000      

5.875%, 11/01/29

    56,654  
  65,000      

4.250%, 10/15/27

    60,934  

 

302,000

 

   

Ally Financial, Inc.

4.700%, 05/15/26‡

5 year CMT + 3.87%

 

 

254,637

 

  215,000      

8.000%, 11/01/31

    243,578  
 
125,000
 
   

4.700%, 05/15/28‡

7 year CMT + 3.48%

 

 

99,178

 

 
300,000
 
   

American Finance Trust, Inc. / American Finance Operating Partner, LP*

4.500%, 09/30/28

 

 

242,145

 

 
533,000
 
   

AmWINS Group, Inc.*

4.875%, 06/30/29

 

 

485,643

 

 
635,000
 
   

AssuredPartners, Inc.*

7.000%, 08/15/25

 

 

629,444

 

 
292,000
 
   

Aviation Capital Group, LLC*

3.500%, 11/01/27

 

 

256,615

 

 
63,000
 
   

Bank of New York Mellon Corp.µ‡

3.750%, 12/20/26

5 year CMT + 2.63%

 

 

54,803

 

 
533,000
 
   

BroadStreet Partners, Inc.*

5.875%, 04/15/29

 

 

461,253

 

   

Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLC*

 
  535,000      

4.500%, 04/01/27

    470,736  
  324,000      

5.750%, 05/15/26

    316,140  

PRINCIPAL

AMOUNT

            VALUE
 
200,000
 
   

Burford Capital Global Financial, LLC*

6.875%, 04/15/30

 

$

178,496

 

 
70,000
 
   

Capital One Financial Corp.^‡

3.950%, 09/01/26

5 year CMT + 3.16%

 

 

60,776

 

 
302,000
 
   

Castlelake Aviation Finance DAC*^

5.000%, 04/15/27

 

 

253,677

 

   

Credit Acceptance Corp.

 
  350,000      

6.625%, 03/15/26^

    353,370  
  238,000      

5.125%, 12/31/24*

    230,072  
 
344,000
 
   

Enact Holdings, Inc.*

6.500%, 08/15/25

 

 

346,645

 

 
389,000
 
   

Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP*

3.750%, 12/15/27

 

 

341,235

 

 
439,000
 
   

Greystar Real Estate Partners, LLC*

5.750%, 12/01/25

 

 

439,018

 

   

HUB International, Ltd.*

 
  883,000      

7.000%, 05/01/26

    873,419  
  398,000      

5.625%, 12/01/29^

    358,893  
   

Icahn Enterprises, LP / Icahn Enterprises Finance Corp.

 
  335,000      

5.250%, 05/15/27

    322,816  
  202,000      

4.375%, 02/01/29

    182,030  
 
525,000
 
   

ILFC E-Capital Trust II*‡

5.100%, 12/21/65

3 mo. USD LIBOR + 1.80%

 

 

403,084

 

 
625,000
 
   

Iron Mountain, Inc.*

5.250%, 03/15/28

 

 

600,731

 

 
540,000
 
   

Jefferies Finance, LLC / JFIN Co- Issuer Corp.*

5.000%, 08/15/28

 

 

454,518

 

   

Ladder Capital Finance Holdings, LLLP / Ladder Capital Finance Corp.*

 
  522,000      

5.250%, 10/01/25

    493,807  
  130,000      

4.750%, 06/15/29

    111,344  
 
378,000
 
   

LD Holdings Group, LLC*^

6.125%, 04/01/28

 

 

230,104

 

   

Level 3 Financing, Inc.

 
  280,000      

4.250%, 07/01/28*

    245,563  
  133,000      

3.875%, 11/15/29*

    118,530  
  125,000      

5.375%, 05/01/25

    125,150  
 
200,000
 
   

LPL Holdings, Inc.*

4.000%, 03/15/29

 

 

186,178

 

 
585,000
 
   

MetLife, Inc.

6.400%, 12/15/66

 

 

612,711

 

   

Navient Corp.

 
  588,000      

5.000%, 03/15/27^

    531,770  
  300,000      

4.875%, 03/15/28

    257,691  
   

OneMain Finance Corp.

 
  180,000      

3.875%, 09/15/28

    149,314  
  137,000      

7.125%, 03/15/26

    133,667  
 
132,000
 
   

Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance Co-Issuer*

5.875%, 10/01/28

 

 

129,599

 

 
416,000
 
   

PHH Mortgage Corp.*^

7.875%, 03/15/26

 

 

392,941

 

 
70,000
 
   

PNC Financial Services Group, Inc.µ‡

6.000%, 05/15/27

5 year CMT + 3.00%

 

 

70,426

 

 

 

See accompanying Notes to Schedule of Investments

 

4


Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT

            VALUE
 
300,000
 
   

RHP Hotel Properties, LP / RHP

Finance Corp.*^

4.500%, 02/15/29

 

$

275,649

 

 
195,000
 
   

RLJ Lodging Trust, LP*

3.750%, 07/01/26

 

 

183,243

 

   

Rocket Mortgage, LLC / Rocket Mortgage
Co-Issuer, Inc.*

 
  125,000      

3.625%, 03/01/29

    106,950  
  120,000      

3.875%, 03/01/31

    99,176  
  65,000      

2.875%, 10/15/26

    57,437  
 
269,000
 
   

StoneX Group, Inc.*

8.625%, 06/15/25

 

 

275,071

 

 
63,000
 
   

SVB Financial Group‡

4.000%, 05/15/26

5 year CMT + 3.20%

 

 

51,614

 

   

United Wholesale Mortgage, LLC*

 
  310,000      

5.500%, 04/15/29^

    266,138  
  130,000      

5.750%, 06/15/27

    113,795  
 
135,000
 
   

Uniti Group, LP / Uniti Group

Finance, Inc. / CSL Capital, LLC*

6.500%, 02/15/29

 

 

102,092

 

 
130,000
 
   

US Bancorpµ‡

3.700%, 01/15/27

5 year CMT + 2.54%

 

 

109,139

 

 
300,000
 
   

VZ Secured Financing, BV*

5.000%, 01/15/32

 

 

268,209

 

   

XHR, LP*

 
  280,000      

6.375%, 08/15/25

    282,198  
  130,000      

4.875%, 06/01/29

    117,168  
     

 

 

 

        17,138,456  
     

 

 

 

    Health Care (1.3%)  
   

Bausch Health Americas, Inc.*

 
  770,000      

8.500%, 01/31/27

    487,318  
  125,000      

9.250%, 04/01/26^

    87,590  
   

Bausch Health Companies, Inc.*

 
  520,000      

7.250%, 05/30/29

    285,288  
  300,000      

5.000%, 01/30/28

    160,365  
  98,000      

6.125%, 02/01/27^

    83,711  
 
130,000
 
   

Charles River Laboratories

International, Inc.*

3.750%, 03/15/29

 

 

121,168

 

  33,000      

CHS/Community Health Systems, Inc.*

5.250%, 05/15/30

 

 

27,751

 

   

CHS/Community Health Systems, Inc.*

 
  533,000      

6.125%, 04/01/30^

    287,004  
  305,000      

8.000%, 03/15/26

    291,467  
  146,000      

6.875%, 04/15/29

    81,373  
   

DaVita, Inc.*

 
  531,000      

4.625%, 06/01/30

    437,560  
  313,000      

3.750%, 02/15/31

    239,802  
   

Embecta Corp.*

 
  195,000      

5.000%, 02/15/30

    168,909  
  67,000      

6.750%, 02/15/30

    61,931  
   

Encompass Health Corp.

 
  130,000      

4.750%, 02/01/30

    120,236  
  130,000      

4.500%, 02/01/28

    120,433  
 
282,000
 
   

HCA, Inc.

7.500%, 11/06/33

 

 

322,492

 

 
200,000
 
   

Jazz Securities DAC*

4.375%, 01/15/29

 

 

192,800

 

 
116,000
 
   

Mallinckrodt International Finance,

SA / Mallinckrodt CB, LLC*

10.000%, 06/15/29

 

 

70,948

 

PRINCIPAL
AMOUNT

            VALUE
   

Medline Borrower, LP*

 
  336,000      

5.250%, 10/01/29^

  $ 303,851  
  335,000      

3.875%, 04/01/29

    302,770  
   

Organon & Company / Organon

Foreign Debt Co-Issuer, BV*

 
  490,000      

5.125%, 04/30/31

    459,689  
  200,000      

4.125%, 04/30/28

    190,076  
 
302,000
 
   

Team Health Holdings, Inc.*^

6.375%, 02/01/25

 

 

205,985

 

   

Tenet Healthcare Corp.

 
  625,000      

6.250%, 02/01/27*

    632,100  
  375,000      

6.875%, 11/15/31

    367,177  
  345,000      

4.875%, 01/01/26*

    340,260  
   

Teva Pharmaceutical Finance

Netherlands III, BV

 
  520,000      

6.000%, 04/15/24^

    528,081  
  200,000      

7.125%, 01/31/25

    205,758  
  200,000      

4.750%, 05/09/27

    189,886  
  130,000      

3.150%, 10/01/26

    116,706  
     

 

 

 

        7,490,485  
     

 

 

 

    Industrials (2.6%)  
 
320,000
 
   

Abercrombie & Fitch Management

Company*

8.750%, 07/15/25

 

 

314,998

 

 
300,000
 
   

ACCO Brands Corp.*

4.250%, 03/15/29

 

 

262,977

 

 
300,000
 
   

AerCap Holdings, NV^‡

5.875%, 10/10/79

5 year CMT + 4.54%

 

 

267,696

 

 
265,000
 
   

Air Lease Corp.‡

4.125%, 12/15/26

5 year CMT + 3.15%

 

 

198,578

 

   

Albertsons Companies, Inc. /

Safeway, Inc. / New Albertsons,

LP / Albertsons, LLC*

 
  440,000      

4.625%, 01/15/27

    418,040  
  325,000      

5.875%, 02/15/28

    316,810  
  136,000      

3.500%, 03/15/29

    118,313  
   

Allison Transmission, Inc.*

 
  230,000      

4.750%, 10/01/27

    218,962  
  70,000      

3.750%, 01/30/31

    60,507  
 
65,000
 
   

American Airlines Group, Inc.*^

3.750%, 03/01/25

 

 

57,067

 

 
146,000
 
   

Arcosa, Inc.*

4.375%, 04/15/29

 

 

130,866

 

 
700,000
 
   

ARD Finance, SA*

6.500%, 06/30/27

7.250% PIK RATE

 

 

531,188

 

 
137,000
 
   

Avolon Holdings Funding, Ltd.*µ

5.250%, 05/15/24

 

 

135,475

 

 
206,000
 
   

Beacon Roofing Supply, Inc.*

4.125%, 05/15/29

 

 

182,714

 

 
261,000
 
   

BWX Technologies, Inc.*^

4.125%, 04/15/29

 

 

245,429

 

 
138,000
 
   

Cascades, Inc. / Cascades USA, Inc.*

5.375%, 01/15/28

    125,166  
 
66,000
 
   

Delta Air Lines, Inc.

7.375%, 01/15/26

 

 

69,422

 

   

Delta Air Lines, Inc. / SkyMiles IP, Ltd.*

 
  68,000      

4.750%, 10/20/28

    66,714  
  34,000      

4.500%, 10/20/25µ

    33,694  
 
350,000
 
   

Deluxe Corp.*

8.000%, 06/01/29

 

 

306,099

 

 

 

See accompanying Notes to Schedule of Investments

 

5


Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT

            VALUE
  130,000      

Dun & Bradstreet Corp.*
5.000%, 12/15/29

  $ 120,978  
 
195,000
 
   

Eco Material Technologies, Inc.*

7.875%, 01/31/27

 

 

174,968

 

 
323,000
 
   

Endurance International Group

Holdings, Inc.*

6.000%, 02/15/29

 

 

239,253

 

 
145,000
 
   

EnerSys*^

4.375%, 12/15/27

 

 

133,557

 

 
300,000
 
   

Fly Leasing, Ltd.*

7.000%, 10/15/24

 

 

164,907

 

 
132,000
 
   

GFL Environmental, Inc.*

3.750%, 08/01/25

 

 

128,223

 

 
148,000
 
   

Graham Packaging Company, Inc.*^

7.125%, 08/15/28

    125,837  
 
140,000
 
   

Granite US Holdings Corp.*^

11.000%, 10/01/27

 

 

130,374

 

   

Graphic Packaging International, LLC*

 
  175,000      

4.750%, 07/15/27

    171,925  
  125,000      

3.500%, 03/01/29

    113,449  
 
290,000
 
   

Great Lakes Dredge & Dock Corp.*

5.250%, 06/01/29

    261,594  
 
623,000
 
   

H&E Equipment Services, Inc.*

3.875%, 12/15/28

 

 

545,717

 

 
402,000
 
   

Hawaiian Brand Intellectual

Property, Ltd. / HawaiianMiles

Loyalty, Ltd.*

5.750%, 01/20/26

 

 

391,813

 

 
350,000
 
   

Herc Holdings, Inc.*

5.500%, 07/15/27

 

 

350,560

 

 
326,000
 
   

Howmet Aerospace, Inc.

5.125%, 10/01/24

 

 

330,222

 

 
310,000
 
   

IEA Energy Services, LLC*

6.625%, 08/15/29

 

 

306,578

 

 
350,000
 
   

JELD-WEN, Inc.*

4.625%, 12/15/25

 

 

323,557

 

 
445,000
 
   

Ken Garff Automotive, LLC*

4.875%, 09/15/28

 

 

378,121

 

 
134,000
 
   

MasTec, Inc.*

4.500%, 08/15/28

 

 

123,923

 

 
201,000
 
   

Meritor, Inc.*

4.500%, 12/15/28

 

 

200,441

 

 
170,000
 
   

Moog, Inc.*

4.250%, 12/15/27

 

 

158,948

 

  365,000      

Nationstar Mortgage Holdings, Inc.*

5.500%, 08/15/28

    320,853  
 
272,000
 
   

Novelis Corp.*

4.750%, 01/30/30

 

 

251,861

 

 
100,000
 
   

OI European Group, BV*

4.750%, 02/15/30

 

 

84,100

 

 
310,000
 
   

Pactiv Evergreen Group Issuer,

Inc. / Pactiv Evergreen Group

Issuer, LLC*

4.000%, 10/15/27

 

 

274,235

 

 
399,000
 
   

Patrick Industries, Inc.*

4.750%, 05/01/29

 

 

311,052

 

 
335,000
 
   

Peninsula Pacific Entertainment,

LLC / Peninsula Pacific

Entertainment Finance Inc.*

8.500%, 11/15/27

 

 

362,115

 

 
282,000
 
   

Picasso Finance Sub, Inc.*

6.125%, 06/15/25

 

 

285,928

 

PRINCIPAL
AMOUNT

            VALUE
   

QVC, Inc.

 
  174,000      

4.375%, 09/01/28

  $ 135,864  
  135,000      

5.450%, 08/15/34

    96,362  
 
247,000
 
   

Sensata Technologies, Inc.*

3.750%, 02/15/31

 

 

214,850

 

   

Sinclair Television Group, Inc.*

 
  201,000      

4.125%, 12/01/30

    172,569  
  135,000      

5.500%, 03/01/30^

    108,721  
 
270,000
 
   

Standard Industries, Inc.*

5.000%, 02/15/27

 

 

260,993

 

 
545,000
 
   

Station Casinos, LLC*

4.500%, 02/15/28

 

 

494,773

 

 
216,000
 
   

Stericycle, Inc.*

3.875%, 01/15/29

 

 

197,597

 

 
200,000
 
   

STL Holding Company, LLC*

7.500%, 02/15/26

 

 

178,004

 

 
200,000
 
   

TransDigm UK Holdings, PLC

6.875%, 05/15/26

 

 

198,036

 

   

TransDigm, Inc.

 
  366,000      

6.250%, 03/15/26*

    368,039  
  205,000      

7.500%, 03/15/27

    208,649  
 
130,000
 
   

Tronox, Inc.*

4.625%, 03/15/29

 

 

113,424

 

   

United Rentals North America, Inc.

 
  130,000      

3.750%, 01/15/32

    114,928  
  66,000      

3.875%, 02/15/31^

    60,310  
 
265,000
 
   

Vertiv Group Corp.*^

4.125%, 11/15/28

 

 

235,370

 

 
274,000
 
   

Wabash National Corp.*

4.500%, 10/15/28

 

 

227,171

 

 
240,000
 
   

Waste Pro USA, Inc.*

5.500%, 02/15/26

 

 

222,346

 

   

WESCO Distribution, Inc.*

 
  137,000      

7.125%, 06/15/25

    141,824  
  68,000      

7.250%, 06/15/28

    70,995  
     

 

 

 

        14,646,629  
     

 

 

 

    Information Technology (0.8%)  
 
131,000
 
   

Booz Allen Hamilton, Inc.*

4.000%, 07/01/29

 

 

125,144

 

 
315,000
 
   

CommScope Technologies, LLC*

6.000%, 06/15/25

 

 

291,803

 

 
245,000
 
   

CommScope, Inc.*

4.750%, 09/01/29

 

 

213,099

 

   

Dell International, LLC / EMC Corp.

 
  310,000      

6.020%, 06/15/26µ

    329,499  
  150,000      

6.100%, 07/15/27^

    161,063  
 
138,000
 
   

Fair Isaac Corp.*

4.000%, 06/15/28

 

 

129,506

 

 
153,000
 
   

II-VI, Inc.*

5.000%, 12/15/29

 

 

147,181

 

 
300,000
 
   

KBR, Inc.*

4.750%, 09/30/28

 

 

271,110

 

   

MPH Acquisition Holdings, LLC*

 
  300,000      

5.750%, 11/01/28^

    255,843  
  130,000      

5.500%, 09/01/28

    121,191  
 
130,000
 
   

NCR Corp.*

5.125%, 04/15/29

 

 

125,077

 

 
170,000
 
   

Nielsen Finance, LLC / Nielsen

Finance Company*

4.500%, 07/15/29

 

 

161,357

 

 
198,000
 
   

ON Semiconductor Corp.*

3.875%, 09/01/28

 

 

183,514

 

 

 

See accompanying Notes to Schedule of Investments

 

6


Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT

            VALUE
   

Open Text Corp.*

 
  204,000      

3.875%, 02/15/28

  $ 189,288  
  98,000      

3.875%, 12/01/29

    88,413  
 
98,000
 
   

Open Text Holdings, Inc.*

4.125%, 12/01/31

 

 

87,943

 

 
130,000
 
   

Playtika Holding Corp.*

4.250%, 03/15/29

 

 

116,529

 

 
187,000
 
   

PTC, Inc.*

4.000%, 02/15/28

 

 

177,972

 

 
370,000
 
   

TTM Technologies, Inc.*^

4.000%, 03/01/29

 

 

325,644

 

   

Twilio, Inc.^

 
  185,000      

3.625%, 03/15/29

    162,772  
  66,000      

3.875%, 03/15/31

    58,560  
 
325,000
 
   

Viavi Solutions, Inc.*

3.750%, 10/01/29

 

 

291,457

 

 
300,000
 
   

ZoomInfo Technologies, LLC /

ZoomInfo Finance Corp.*

3.875%, 02/01/29

 

 

268,689

 

     

 

 

 

        4,282,654  
     

 

 

 

    Materials (0.7%)  
 
140,000
 
   

ArcelorMittal, SA

7.000%, 10/15/39

 

 

144,669

 

 
147,000
 
   

ATI, Inc.

5.875%, 12/01/27

 

 

137,514

 

 
67,000
 
   

Carpenter Technology Corp.

7.625%, 03/15/30

 

 

61,016

 

 
195,000
 
   

Chemours Company*

4.625%, 11/15/29

 

 

171,308

 

 
420,000
 
   

Clearwater Paper Corp.*^

4.750%, 08/15/28

 

 

377,752

 

   

Commercial Metals Company

 
  130,000      

4.125%, 01/15/30

    114,371  
  65,000      

4.375%, 03/15/32

    56,937  
 
250,000
 
   

Constellium, SE*^

3.750%, 04/15/29

 

 

213,388

 

 
130,000
 
   

Freeport-McMoRan, Inc.—Class H

5.450%, 03/15/43

 

 

122,136

 

 
205,000
 
   

HB Fuller Company

4.250%, 10/15/28

 

 

183,871

 

 
215,000
 
   

JW Aluminum Continuous Cast

Company*

10.250%, 06/01/26

 

 

223,151

 

   

Kaiser Aluminum Corp.*

 
  300,000      

4.625%, 03/01/28^

    263,823  
  33,000      

4.500%, 06/01/31

    26,577  
 
183,000
 
   

LSF11 A5 HoldCo, LLC*^

6.625%, 10/15/29

 

 

157,285

 

 
276,000
 
   

Mercer International, Inc.

5.125%, 02/01/29

 

 

258,855

 

 
234,000
 
   

OCI, NV*µ

4.625%, 10/15/25

 

 

228,269

 

 
400,000
 
   

Owens-Brockway Glass

Container, Inc.*^

6.625%, 05/13/27

 

 

385,704

 

 
65,000
 
   

Sealed Air Corp.*

5.000%, 04/15/29

 

 

64,667

 

 
305,000
 
   

Silgan Holdings, Inc.

4.125%, 02/01/28

 

 

291,952

 

 
131,000
 
   

Trinseo Materials Operating SCA /

Trinseo Materials Finance, Inc.*

5.125%, 04/01/29

 

 

91,528

 

 
210,000
 
   

Univar Solutions USA, Inc.*

5.125%, 12/01/27

 

 

203,417

 

PRINCIPAL
AMOUNT

            VALUE
 
134,000
 
   

Valvoline, Inc.*

3.625%, 06/15/31

 

$

111,225

 

     

 

 

 

        3,889,415  
     

 

 

 

    Real Estate (0.2%)  
 
210,000
 
   

EPR Properties

3.750%, 08/15/29

 

 

181,585

 

   

Forestar Group, Inc.*

 
  195,000      

5.000%, 03/01/28

    171,668  
  137,000      

3.850%, 05/15/26

    121,405  
 
301,000
 
   

MIWD Holdco II, LLC / MIWD

Finance Corp.*

5.500%, 02/01/30

 

 

256,873

 

   

Service Properties Trust

 
  345,000      

4.350%, 10/01/24

    309,638  
  125,000      

5.250%, 02/15/26

    104,518  
        1,145,687  
    Special Purpose Acquisition Companies (0.1%)

 

   

Fertitta Entertainment, LLC /

 
   

Fertitta Entertainment Finance

 
   

Company, Inc.*

 
  260,000      

6.750%, 01/15/30

    212,854  
  131,000      

4.625%, 01/15/29

    122,243  
        335,097  
    Utilities (0.1%)  
 
97,000
 
   

PPL Capital Funding, Inc.^‡

4.915%, 03/30/67

3 mo. USD LIBOR + 2.67%

 

 

77,867

 

 
350,000
 
   

TerraForm Power Operating, LLC*

5.000%, 01/31/28

 

 

336,721

 

 

135,000

 

   

Vistra Corp.*‡

8.000%, 10/15/26

5 year CMT + 6.93%

 

 

130,955

 

 
125,000
 
   

7.000%, 12/15/26

5 year CMT + 5.74%

 

 

114,351

 

     

 

 

 

        659,894  
     

 

 

 

   

TOTAL CORPORATE BONDS

(Cost $99,263,985)

 

 

89,828,855

 

     

 

 

 

 

CONVERTIBLE BONDS (110.2%)

 
    Communication Services (10.4%)  
   

Liberty Media Corp.

 
  8,000,000      

0.500%, 12/01/50*

    9,643,680  
  5,825,000      

1.375%, 10/15/23

    7,433,807  
 
3,750,000
 
   

Liberty Media Corp. / Liberty

Formula One^

1.000%, 01/30/23

 

 

6,924,113

 

 
4,500,000
 
   

Match Group Financeco 3, Inc.*

2.000%, 01/15/30

 

 

5,102,550

 

 
13,000,000
 
   

Sea, Ltd.

0.250%, 09/15/26

 

 

9,648,470

 

   

Snap, Inc.

 
  9,000,000      

0.125%, 03/01/28*

    6,127,020  
  5,000,000      

0.750%, 08/01/26

    4,401,450  
 
8,750,000
 
   

Twitter, Inc.

0.250%, 06/15/24

 

 

8,911,437

 

     

 

 

 

        58,192,527  
     

 

 

 

    Consumer Discretionary (24.8%)  
 
9,750,000
 
   

Airbnb, Inc.

0.000%, 03/15/26

 

 

8,508,435

 

 

 

See accompanying Notes to Schedule of Investments

 

7


Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT

            VALUE
 
8,000,000
 
   

Booking Holdings, Inc.^

0.750%, 05/01/25

 

$

10,776,560

 

 
6,000,000
 
   

Chegg, Inc.

0.000%, 09/01/26

 

 

4,518,780

 

   

DISH Network Corp.µ

 
  5,000,000      

3.375%, 08/15/26

    3,533,300  
  4,500,000      

0.000%, 12/15/25

    3,232,800  
  415,000      

2.375%, 03/15/24

    370,910  
 
9,750,000
 
   

Draftkings, Inc.

0.000%, 03/15/28

 

 

5,895,630

 

 
11,250,000
 
   

Etsy, Inc.µ

0.125%, 09/01/27

 

 

10,226,250

 

 
14,500,000
 
   

Ford Motor Companyµ

0.000%, 03/15/26

 

 

15,486,145

 

 
1,500,000
 
   

Liberty Broadband Corp.*^

2.750%, 09/30/50

 

 

1,435,530

 

 
10,000,000
 
   

Marriott Vacations Worldwide Corp.

0.000%, 01/15/26

 

 

10,006,000

 

 
5,250,000
 
   

NCL Corp., Ltd. - Class C*

1.125%, 02/15/27

 

 

3,601,185

 

 
100,000
 
   

Peloton Interactive, Inc.

0.000%, 02/15/26

 

 

66,126

 

 
13,500,000
 
   

Royal Caribbean Cruises, Ltd.

4.250%, 06/15/23

 

 

13,239,315

 

 
5,000,000
 
   

Shake Shack, Inc.

0.000%, 03/01/28

 

 

3,533,050

 

 
1,785,000
 
   

Tesla, Inc.~

2.000%, 05/15/24

 

 

25,647,594

 

 
13,250,000
 
   

Vail Resorts, Inc.^

0.000%, 01/01/26

 

 

12,044,515

 

 
11,000,000
 
   

Wayfair, Inc.

0.625%, 10/01/25

 

 

7,497,930

 

     

 

 

 

        139,620,055  
     

 

 

 

    Energy (3.7%)  
 
2,000,000
 
   

EQT Corp.µ

1.750%, 05/01/26

 

 

5,992,640

 

 
6,250,000
 
   

Pioneer Natural Resources

Company

0.250%, 05/15/25

 

 

14,311,312

 

 
9,600,000
 
   

SunEdison, Inc.*

0.250%, 01/15/49

 

 

205,248

 

     

 

 

 

        20,509,200  
     

 

 

 

    Financials (0.6%)  
 
4,750,000
 
   

SoFi Technologies, Inc.*^

0.000%, 10/15/26

 

 

3,342,433

 

     

 

 

 

    Health Care (18.5%)  
 
4,750,000
 
   

Alphatec Holdings, Inc.*

0.750%, 08/01/26

 

 

3,859,280

 

 
8,250,000
 
   

CONMED Corp.*

2.250%, 06/15/27

 

 

7,940,212

 

 
10,500,000
 
   

CryoPort, Inc.*

0.750%, 12/01/26

 

 

8,334,375

 

 
12,250,000
 
   

Dexcom, Inc.µ^

0.250%, 11/15/25

 

 

11,678,170

 

 
2,079,000
 
   

Envista Holdings Corp.µ

2.375%, 06/01/25

 

 

4,159,060

 

 
6,000,000
 
   

Exact Sciences Corp.µ

0.375%, 03/15/27

 

 

4,669,860

 

 
5,000,000
 
   

Halozyme Therapeutics, Inc.^

0.250%, 03/01/27

 

 

4,682,350

 

 
3,750,000
 
   

Insulet Corp.µ

0.375%, 09/01/26

 

 

4,719,000

 

PRINCIPAL
AMOUNT

            VALUE
 
8,000,000
 
   

Integra LifeSciences Holdings Corp.

0.500%, 08/15/25

 

$

7,736,720

 

 
8,000,000
 
   

Jazz Investments I, Ltd.µ

2.000%, 06/15/26

 

 

9,552,800

 

 
9,000,000
 
   

NeoGenomics, Inc.

0.250%, 01/15/28

 

 

5,816,880

 

 
3,500,000
 
   

NuVasive, Inc.

0.375%, 03/15/25

 

 

3,200,575

 

 
7,500,000
 
   

Omnicell, Inc.

0.250%, 09/15/25

 

 

9,329,100

 

 
7,000,000
 
   

Pacira BioSciences, Inc.^

0.750%, 08/01/25

 

 

7,225,260

 

 
2,850,000
 
   

Repligen Corp.

0.375%, 07/15/24

 

 

5,488,217

 

 
5,750,000
 
   

Tandem Diabetes Care, Inc.*^

1.500%, 05/01/25

 

 

5,662,198

 

     

 

 

 

        104,054,057  
     

 

 

 

    Industrials (8.6%)  
 
3,500,000
 
   

Air Transport Services Group, Inc.

1.125%, 10/15/24

 

 

3,974,285

 

 
3,300,000
 
   

Atlas Air Worldwide Holdings, Inc.

1.875%, 06/01/24

 

 

4,427,478

 

 
6,250,000
 
   

John Bean Technologies Corp.^

0.250%, 05/15/26

 

 

5,846,625

 

 
3,750,000
 
   

Middleby Corp.^

1.000%, 09/01/25

 

 

4,677,150

 

 
4,250,000
 
   

Parsons Corp.^

0.250%, 08/15/25

 

 

4,695,697

 

 
8,500,000
 
   

Southwest Airlines Company^

1.250%, 05/01/25

 

 

10,747,145

 

 
17,000,000
 
   

Uber Technologies, Inc.^

0.000%, 12/15/25

 

 

14,181,230

 

     

 

 

 

        48,549,610  
     

 

 

 

    Information Technology (39.7%)  
 
3,750,000
 
   

Akamai Technologies, Inc.

0.375%, 09/01/27

 

 

3,889,163

 

 
7,750,000
 
   

Bentley Systems, Inc.

0.125%, 01/15/26

 

 

7,195,178

 

 
9,250,000
 
   

Bill.com Holdings, Inc.*^

0.000%, 04/01/27

 

 

7,566,222

 

 
8,750,000
 
   

Block, Inc.

0.125%, 03/01/25

 

 

8,957,812

 

 
5,250,000
 
   

Camtek Ltd.*

0.000%, 12/01/26

 

 

4,448,850

 

 
5,000,000
 
   

Confluent, Inc.*

0.000%, 01/15/27

 

 

3,746,200

 

 
8,500,000
 
   

Coupa Software, Inc.

0.125%, 06/15/25

 

 

7,455,860

 

 
4,000,000
 
   

CyberArk Software, Ltd.

0.000%, 11/15/24

 

 

4,322,040

 

 
3,750,000
 
   

Datadog, Inc.µ

0.125%, 06/15/25

 

 

4,952,438

 

 
5,250,000
 
   

DigitalOcean Holdings, Inc.*^

0.000%, 12/01/26

 

 

3,938,970

 

   

Enphase Energy, Inc.µ

 
  7,927,000      

0.000%, 03/01/26

    9,523,260  
  5,000,000      

0.000%, 03/01/28

    6,226,700  
 
5,000,000
 
   

Five9, Inc.µ

0.500%, 06/01/25

 

 

5,313,200

 

 
11,750,000
 
   

Microchip Technology, Inc.^

0.125%, 11/15/24

 

 

12,389,082

 

 
3,750,000
 
   

MongoDB, Inc.

0.250%, 01/15/26

 

 

6,028,313

 

 

 

See accompanying Notes to Schedule of Investments

 

8


Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT

            VALUE
   

Okta, Inc.

 
  6,500,000      

0.125%, 09/01/25

  $ 6,092,970  
  3,500,000      

0.375%, 06/15/26

    3,011,785  
  13,500,000      

ON Semiconductor Corp.^

0.000%, 05/01/27

    18,857,880  
  7,500,000      

Palo Alto Networks, Inc.

0.750%, 07/01/23

    14,203,875  
  5,250,000      

Perficient, Inc.*^

0.125%, 11/15/26

    4,562,145  
  9,750,000      

Repay Holdings Corp.*

0.000%, 02/01/26

    7,586,085  
  3,425,000      

RingCentral, Inc.

0.000%, 03/01/25

    2,853,333  
   

Shift4 Payments, Inc.

 
  12,000,000      

0.000%, 12/15/25^

    10,250,400  
  195,000      

0.500%, 08/01/27*

    141,806  
  6,750,000      

Silicon Laboratories, Inc.^

0.625%, 06/15/25

    9,041,962  
  9,750,000      

Splunk, Inc.

1.125%, 06/15/27

    8,368,522  
  8,500,000      

Tyler Technologies, Inc.^

0.250%, 03/15/26

    8,936,985  
  10,500,000      

Unity Software, Inc.*

0.000%, 11/15/26

    7,834,890  
  5,500,000      

Wix.com, Ltd.

0.000%, 08/15/25

    4,515,390  
  4,469,000      

Wolfspeed, Inc.*^

0.250%, 02/15/28

    4,265,348  
  4,500,000      

Workday, Inc.~

0.250%, 10/01/22

    4,899,375  
  8,750,000      

Zendesk, Inc.

0.625%, 06/15/25

    8,530,200  
  2,750,000      

Zscaler, Inc.

0.125%, 07/01/25

    3,417,453  
     

 

 

 

        223,323,692  
     

 

 

 

    Materials (3.0%)  
  2,750,000      

ATI, Inc.

3.500%, 06/15/25

    4,792,535  
  3,000,000      

Ivanhoe Mines, Ltd.*µ

2.500%, 04/15/26

    3,222,210  
  4,159,000      

Lithium Americas Corp.*

1.750%, 01/15/27

    3,630,599  
  5,225,000      

MP Materials Corp.*

0.250%, 04/01/26

    5,295,642  
     

 

 

 

        16,940,986  
     

 

 

 

    Real Estate (0.9%)  
  5,250,000      

Pebblebrook Hotel Trust

1.750%, 12/15/26

    5,202,225  
     

 

 

 

   

TOTAL CONVERTIBLE BONDS

(Cost $614,498,829)

    619,734,785  
     

 

 

 

 

BANK LOANS (1.9%) ¡

 
    Airlines (0.1%)  
  225,000      

AAdvantage Loyalty IP, Ltd.‡

7.460%, 04/20/28

3 mo. LIBOR + 4.75%

    222,188  
  205,000      

Mileage Plus Holdings, LLC!

0.000%, 06/21/27

    207,050  
  65,000      

Mileage Plus Holdings, LLC‡

7.313%, 06/21/27

3 mo. LIBOR + 5.25%

    65,650  

PRINCIPAL
AMOUNT

            VALUE
  335,750      

United Airlines, Inc.‡

6.533%, 04/21/28

1 mo. LIBOR + 3.75%

  $ 324,544  
     

 

 

 

        819,432  
     

 

 

 

    Communication Services (0.2%)  
  339,500      

Clear Channel Outdoor Holdings, Inc.‡

6.306%, 08/21/26

3 mo. LIBOR + 3.50%

    310,644  
  875      

Clear Channel Outdoor Holdings, Inc.‡

5.872%, 08/21/26

1 mo. LIBOR + 3.50%

    800  
  403,646      

DIRECTV Financing, LLC‡

7.372%, 08/02/27

1 mo. LIBOR + 5.00%

    382,560  
  195,000      

Entercom Media Corp.‡

4.846%, 11/18/24

1 mo. LIBOR + 2.50%

    173,368  
  81,273      

Nexstar Broadcasting, Inc.‡

4.872%, 09/18/26

1 mo. LIBOR + 2.50%

    80,522  
  135,000      

Univision Communications, Inc.‡

6.254%, 06/08/29

3 mo. SOFR + 4.25%

    130,725  
     

 

 

 

        1,078,619  
     

 

 

 

    Consumer Discretionary (0.4%)  
  88,526      

Life Time Fitness, Inc.‡

6.325%, 12/16/24

3 mo. LIBOR + 4.75%

    87,530  
  125,000      

Peloton Interactive, Inc.!

0.000%, 05/25/27

    119,271  
  137,300      

Penn National Gaming, Inc.‡

5.177%, 05/03/29

1 mo. SOFR + 2.75%

    134,640  
  469,063      

Petco Health and Wellness Company, Inc.‡

 
   

5.500%, 03/03/28

 
   

3 mo. LIBOR + 3.25%

    455,246  
  559,412      

PetSmart, Inc.‡

6.120%, 02/11/28

1 mo. LIBOR + 3.75%

    540,647  
  280,000      

SkyMiles IP, Ltd.‡

6.460%, 10/20/27

3 mo. LIBOR + 3.75%

    283,570  
  307,485      

TKC Holdings, Inc.‡

7.000%, 05/15/28

3 mo. LIBOR + 5.50%

    282,886  
  444,150      

WW International, Inc.‡

5.880%, 04/13/28

1 mo. LIBOR + 3.50%

    335,751  
     

 

 

 

        2,239,541  
     

 

 

 

    Consumer Staples (0.0%)  
  79,039      

United Natural Foods, Inc.‡

5.691%, 10/22/25

1 mo. LIBOR + 3.25%

    78,245  
    Financials (0.1%)  
  420,750      

Jazz Financing Lux Sarl‡

5.872%, 05/05/28

1 mo. LIBOR + 3.50E%

    411,986  
 

 

See accompanying Notes to Schedule of Investments

 

9


Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

PRINCIPAL
AMOUNT

            VALUE
    Health Care (0.3%)  
  236,685      

Amneal Pharmaceuticals, LLC‡

5.875%, 05/04/25

1 mo. LIBOR + 3.50%

  $ 221,177  
  232,566      

Amneal Pharmaceuticals, LLC‡

5.813%, 05/04/25

3 mo. LIBOR + 3.50%

    217,328  
  65,000      

Bausch Health Companies, Inc.‡

7.174%, 02/01/27

1 mo. SOFR + 5.25%

    54,888  
  187,012      

Icon Luxembourg Sarl‡

4.563%, 07/03/28

3 mo. LIBOR + 2.25%

    184,073  
  46,594      

Icon Luxembourg Sarl‡

4.563%, 07/03/28

3 mo. LIBOR + 2.25%

    45,862  
  278,131      

Mallinckrodt International Finance S.A.‡

7.253%, 09/30/27

3 mo. LIBOR + 5.25%

    232,389  
  282,353      

Padagis, LLC‡

7.043%, 07/06/28

3 mo. LIBOR + 4.75%

    268,235  
  690,272      

Team Health Holdings, Inc.‡

7.577%, 03/02/27

1 mo. SOFR + 5.25%

    570,047  
     

 

 

 

        1,793,999  
     

 

 

 

    Industrials (0.3%)  
  103,950      

ACProducts, Inc.‡

7.127%, 05/17/28

6 mo. LIBOR + 4.25%

    75,177  
  34,650      

ACProducts, Inc.‡

6.500%, 05/17/28

3 mo. LIBOR + 4.25%

    25,059  
  170,000      

Air Canada‡

4.250%, 08/11/28

3 mo. LIBOR + 3.50%

    164,232  
  264,033      

BW Gas & Convenience Holdings, LLC‡

5.872%, 03/31/28

1 mo. LIBOR + 3.50%

    254,132  
  278,620      

Dun & Bradstreet Corp.‡

4.874%, 02/06/26

3 mo. LIBOR + 3.25%

    271,887  
  238,573      

Granite Holdings US Acquisition Company‡

6.250%, 09/30/26

3 mo. LIBOR + 4.00%

    231,117  
  260,000      

Scientific Games International, Inc.‡

5.044%, 04/14/29

1 mo. SOFR + 3.00%

    254,692  
  200,000      

Sinclair Television Group, Inc.‡

6.177%, 04/21/29

1 mo. SOFR + 3.75%

    186,750  
     

 

 

 

        1,463,046  
     

 

 

 

    Information Technology (0.2%)  
  283,450      

Banff Merger Sub, Inc.‡

6.122%, 10/02/25

1 mo. LIBOR + 3.75%

    273,665  

PRINCIPAL
AMOUNT

            VALUE
  326,625      

Camelot U.S. Acquisition 1 Company‡

5.372%, 10/30/26

1 mo. LIBOR + 3.00%

  $ 319,531  
  182,225      

Camelot U.S. Acquisition 1 Company‡

5.372%, 10/30/26

1 mo. LIBOR + 3.00%

    178,125  
  65,000      

CDK Global, Inc.‡

6.610%, 07/06/29

3 mo. SOFR + 4.50%

    63,311  
  270,000      

II-VI, Inc.!

0.000%, 07/02/29

    263,474  
  365,000      

VFH Parent, LLC‡

5.201%, 01/13/29

1 mo. SOFR + 3.00%

    352,984  
     

 

 

 

        1,451,090  
     

 

 

 

    Materials (0.1%)  
  195,500      

Innophos, Inc.‡

5.872%, 02/05/27

1 mo. LIBOR + 3.50%

    190,124  
  134,663      

LSF11 A5 HoldCo, LLC‡

5.030%, 10/15/28

1 mo. SOFR + 3.50%

    130,511  
     

 

 

 

        320,635  
     

 

 

 

    Other (0.1%)  
  345,000      

ChampionX Corp.‡

5.080%, 06/07/29

1 mo. SOFR + 3.25%

    343,706  
     

 

 

 

    Special Purpose Acquisition Companies (0.1%)

 

  242,500      

AP Core Holdings II, LLC‡

7.872%, 09/01/27

1 mo. LIBOR + 5.50%

    229,619  
  140,000      

Clydesdale Acquisition Holdings, Inc.‡

6.602%, 04/13/29

1 mo. SOFR + 4.18%

    134,877  
  64,838      

Fertitta Entertainment, LLC‡

6.327%, 01/27/29

1 mo. SOFR + 4.00%

    62,009  
  285,000      

Oscar AcquisitionCo, LLC‡

6.109%, 04/29/29

3 mo. SOFR + 4.50%

    260,731  
     

 

 

 

        687,236  
     

 

 

 

   

TOTAL BANK LOANS

(Cost $11,296,299)

    10,687,535  
     

 

 

 

 

U.S. GOVERNMENT AND AGENCY SECURITIES (5.4%)

 
    Other (5.4%)  
   

U.S. Treasury Note

 
  12,000,000      

2.500%, 05/31/24^

    11,909,765  
  11,750,000      

2.500%, 04/30/24^

    11,661,416  
  6,750,000      

2.250%, 03/31/24

    6,673,140  
     

 

 

 

   

TOTAL U.S. GOVERNMENT

AND AGENCY SECURITIES

(Cost $30,468,047)

    30,244,321  
     

 

 

 

 

 

See accompanying Notes to Schedule of Investments

 

10


Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

NUMBER OF
SHARES

            VALUE
 

CONVERTIBLE PREFERRED STOCKS (17.4%)

 
    Communication Services (1.9%)  
  9,000      

T-Mobile Exchangeable Trust*

5.250%, 06/01/23

  $ 10,836,009  
     

 

 

 

    Consumer Discretionary (1.5%)  
  68,935      

Aptiv, PLC

5.500%, 06/15/23

    8,359,747  
     

 

 

 

    Energy (0.0%)  
  7      

Gulfport Energy Operating Corp.‡

10.000%, 08/29/22

15.000% PIK RATE

    46,200  
     

 

 

 

    Financials (1.8%)  
  4,000      

Bank of America Corp.^‡‡

7.250%

    4,976,200  
  73,830      

KKR & Company, Inc.^

6.000%, 09/15/23

    5,168,100  
     

 

 

 

        10,144,300  
     

 

 

 

    Health Care (2.8%)  
  62,325      

Boston Scientific Corp.^

5.500%, 06/01/23

    6,782,207  
  5,910      

Danaher Corp.^

5.000%, 04/15/23

    8,994,133  
     

 

 

 

        15,776,340  
     

 

 

 

    Information Technology (2.9%)  
  9,835      

Broadcom, Inc.~

8.000%, 09/30/22

    16,501,163  
     

 

 

 

    Utilities (6.5%)  
  123,415      

AES Corp.^

6.875%, 02/15/24

    11,201,146  
  106,000      

American Electric Power Company, Inc.^

6.125%, 08/15/23

    5,859,680  
   

NextEra Energy, Inc.

 
  153,825      

6.219%, 09/01/23^

    8,134,266  
  123,080      

4.872%, 09/01/22

    7,555,881  
  68,765      

5.279%, 03/01/23

    3,606,724  
     

 

 

 

        36,357,697  
     

 

 

 

   

TOTAL CONVERTIBLE PREFERRED STOCKS

(Cost $88,390,272)

    98,021,456  
     

 

 

 

 

COMMON STOCKS (0.3%)

 
    Communication Services (0.0%)  
  5,620      

Altice USA, Inc. - Class A#

    59,066  
  1,888      

Cumulus Media, Inc. - Class A^#

    14,991  
     

 

 

 

        74,057  
     

 

 

 

    Energy (0.3%)  
  11,334      

Calfrac Well Services, Ltd.#&

    41,822  
  2,577      

Chaparral Energy, Inc. - Class A#&

    136,581  
  795      

Chesapeake Energy Corp.^

    74,865  
  18,535      

Energy Transfer, LP

    209,631  
  11,035      

Enterprise Products Partners, LP

    294,966  
  1,881      

EP Energy Corp.&#

    15,988  
  3,560      

Magellan Midstream Partners, LP

    183,340  

NUMBER OF
SHARES

            VALUE
  1,000      

Schlumberger, NV

  $ 37,030  
  4,189      

Superior Energy Services, Inc.&#

    251,340  
  2,400      

Williams Companies, Inc.

    81,816  
     

 

 

 

        1,327,379  
     

 

 

 

    Health Care (0.0%)  
  4,076      

Mallinckrodt, PLC#

    71,330  
     

 

 

 

    Special Purpose Acquisition Company (0.0%)

 

  3,162      

Intelsat Emergence, SA#&

    86,955  
     

 

 

 

   

TOTAL COMMON STOCKS

(Cost $2,156,248)

    1,559,721  
     

 

 

 

 

PREFERRED STOCKS (0.2%)

 
    Consumer Discretionary (0.1%)  
  1,722      

Guitar Center, Inc.&

    205,779  
     

 

 

 

    Energy (0.1%)  
  10,368      

NuStar Energy, LP‡

7.673%, 08/29/22

3 mo. USD LIBOR + 5.64%

    217,210  
  6,019      

NuStar Energy, LP^‡

8.769%, 08/29/22

3 mo. USD LIBOR + 6.77%

    144,155  
  12,000      

NuStar Logistics, LP‡

9.246%, 01/15/43

3 mo. USD LIBOR + 6.73%

    299,760  
     

 

 

 

        661,125  
     

 

 

 

    Financials (0.0%)  
  5,319      

B Riley Financial, Inc.

5.250%, 08/31/28

    116,965  
     

 

 

 

   

TOTAL PREFERRED STOCKS

(Cost $1,022,624)

    983,869  
     

 

 

 

 

WARRANTS (0.0%) #

 
    Energy (0.0%)  
  1,399      

Denbury, Inc.

09/18/25, Strike $32.59

    64,382  
  515      

Denbury, Inc.

09/18/23, Strike $35.41

    19,570  
  13,522      

Mcdermott International, Ltd.&

06/30/27, Strike $15.98

    2  
  12,170      

Mcdermott International, Ltd.

06/30/27, Strike $12.33

    1  
     

 

 

 

   

TOTAL WARRANTS

(Cost $82,153)

    83,955  
     

 

 

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT

            VALUE
 

PURCHASED OPTION (0.4%) #

 
    Consumer Discretionary (0.4%)  
  285      

Tesla, Inc.

 
  25,406,325      

Put, 11/18/22, Strike $800.00

(Cost $2,383,657)

  $ 1,955,813  
     

 

 

 

 

 

See accompanying Notes to Schedule of Investments

 

11


Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JULY 31, 2022 (UNAUDITED)

 

              VALUE
 

TOTAL INVESTMENTS (151.8%)
(Cost $849,562,114)

  $ 853,100,310  
     

 

 

 

 
MANDATORY REDEEMABLE PREFERRED
SHARES, AT LIQUIDATION VALUE (-20.1%)
    (113,250,000
     

 

 

 

 

LIABILITIES, LESS OTHER ASSETS (-31.7%)

    (177,700,728
     

 

 

 

 

NET ASSETS (100.0%)

  $ 562,149,582  
     

 

 

 

 

WRITTEN OPTION (-0.2%) #

 
    Consumer Discretionary (-0.2%)  
  140       Tesla, Inc.  
  12,480,300      

Call, 11/18/22, Strike $1,000.00

(Premium $733,055)

  $ (993,650
     

 

 

 

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 $96,011,952.

^

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 July 31, 2022.

&

Illiquid security.

~

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 $16,777,185.

¡

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 Dynamic Convertible and Income Fund (the “Fund”) was organized as a Delaware statutory trust on March 11, 2014 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 March 27, 2015.

The Fund’s investment strategy is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest primarily in a portfolio of convertible securities (including synthetic convertibles, which are single instruments, or multiple instruments held in concert, that are composed of two or more securities with investment characteristics that, when taken together, resemble those of traditional convertible securities) and debt and equity income-producing securities, as well as other investments that generate current income and dividends, including but not limited to common and preferred stocks, investment grade and below investment grade (high-yield or “junk”) bonds, loans, equity-linked notes, and floating rate securities (referred to throughout as “income-producing securities”). Under normal circumstances, at least 80% of the Fund’s managed assets will be invested in convertible securities and income-producing securities, with at least 50% of the Fund’s managed assets invested in convertible securities (including synthetic convertible securities, which are single instruments, or multiple instruments held in concert, that are composed of two or more securities with investment characteristics that, when taken together, resemble those of traditional convertible securities). The Fund may invest up to 50% of its managed assets in securities of foreign issuers, with up to 15% of its managed assets in securities issued by foreign issuers in emerging markets. The Fund may invest up to 20% of its managed assets in high-yield non-convertible bonds (excluding such securities held to create synthetic convertible securities). In addition, the Fund may invest all or substantially all of its managed assets in below investment grade convertible securities (including non-convertible securities held to create synthetic convertible securities); provided that, the Fund may invest up to 15% of its managed assets in convertible and non-convertible securities rated below B3 by Moody’s or below B- by Standard & Poor’s. As such, the Fund’s portfolio may at times consist entirely or primarily of below investment grade securities, including high-yield bonds. The Fund may invest up to 15% of its managed assets in illiquid securities. The Fund may invest up to 10% of its managed assets in the equity securities of REITs and up to 10% of its managed assets in the equity securities of MLPs; however, convertible securities are excluded from each of these limitations. The Fund may invest in securities with a broad range of maturities. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).

Significant Accounting Policies. The Schedule of Investments has been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is considered an investment company under U.S. GAAP and follows 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 July 31, 2022 was as follows*:

 

Cost basis of investments

   $ 848,829,059  
  

 

 

 

Gross unrealized appreciation

     91,984,898  

Gross unrealized depreciation

     (88,707,297
  

 

 

 

Net unrealized appreciation (depreciation)

   $ 3,277,601  
  

 

 

 

 

*

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, 1,970,000 MRPS were issued with an aggregate liquidation preference of $49.25 million. On September 6, 2017, 2,560,000 MRPS were issued with an aggregate liquidation preference of $64.0 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 July 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     850      $ 25      $ 21,250,000  

Series B

     9/06/24        4.00     850      $ 25      $ 21,250,000  

Series C

     9/06/27        4.24     860      $ 25      $ 21,500,000  

Series D

     8/24/26        2.45     1,120      $ 25      $ 28,000,000  

Series E

     5/24/27        2.68     850      $ 25      $ 21,250,000  
             

 

 

 
              $ 113,250,000  
             

 

 

 

* Series A MRPS were called for redemption and to be redeemed at $25.01 per share on September 6, 2022. Dividends on the Series A Shares to be redeemed will cease accumulating on the redemption date.

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, the Series D MRPS and Series E MRPS have each 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” with the Statement of Operations.

With regard to the Series A MRPS, Series B MRPS or Series C MRPS, so long as any MRPS are outstanding, the Fund will not declare, pay or set apart for payment any dividend or other distribution (other than non-cash distributions) with respect to Fund shares ranking junior to or on parity with the MRPS, unless (1) the Fund has satisfied the MRPS Overcollateralization Test (as defined below) on at least one “valuation date” in the preceding 65 calendar days, (2) immediately after such transaction the Fund would satisfy the MRPS Asset Coverage Test (as defined below), (3) full cumulative dividends on the MRPS due on or prior to the date of the transaction have been declared and paid to the holders of MRPS and (4) the Fund has redeemed the full number of MRPS required to be redeemed by any provision for mandatory redemption or deposited sufficient monies with the Fund’s paying agent for that purpose, subject to certain grace periods and exceptions.    

MRPS Asset Coverage Test: Asset coverage with respect to all outstanding senior securities and preferred shares, including the MRPS, determined in accordance with Section 18(h) of the 1940 Act, on the basis of values calculated as of a time within 48 hours (not including Sundays or holidays) next preceding the time of determination, must be greater than or equal to 225%.

MRPS Overcollateralization Test: So long as Fitch or any other NSRSO, such as Kroll, is then rating any class of the outstanding MRPS pursuant to the request of the Fund, satisfaction of only those overcollateralization ratios applicable to closed-end fund issuers with the same rating(s) as the Fund’s MRPS’ then-current rating(s) issued by Fitch or such other NSRSO, such as Kroll, by application of the applicable rating agency guidelines.


With regard to Series D MRPS and Series E MRPS, for so long as any MRPS are Outstanding, the Fund will not declare, pay or set apart for payment any dividend or other distribution (other than a dividend or distribution paid in shares of, or options, warrants or rights to subscribe for or purchase, Common Shares or other shares of beneficial interest, if any, ranking junior to the MRPS as to dividends or upon liquidation (collectively “non-cash distributions”) with respect to Common Shares or any other shares of the Series or Fund ranking junior to or on a parity with the MRPS as to dividends or upon liquidation, or call for redemption, redeem, purchase or otherwise acquire for consideration any Common Shares or any other such junior shares (except by conversion into or exchange for shares of the Fund ranking junior to the MRPS as to dividends and upon liquidation) or any such parity shares (except by conversion into or exchange for shares of the Fund ranking junior to or on a parity with the MRPS as to dividends and upon liquidation), unless (1) immediately after such transaction the Fund would satisfy the MRPS Asset Coverage Test, (2) full cumulative dividends on the MRPS due on or prior to the date of the transaction have been declared and paid to the Holders of MRPS, and (3) the Fund has redeemed the full number of MRPS required to be redeemed by any provision for mandatory redemption contained in Section 3(a) or deposited sufficient monies with the Paying Agent for that purpose (without regard to the provisions of the Special Proviso); provided that the Fund may make any distributions reasonably necessary for the Fund to continue to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code and to avoid excise tax under Section 4982 of the Internal Revenue Code (“Tax Required Payments”). For the avoidance of doubt, any such Tax Required Payments would only be paid to holders of Common Shares after full cumulative dividends due on or prior to the date of the applicable distribution and any mandatory redemptions occurring on or prior to the date of the applicable distribution have been paid to the holders of MRPS.

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.