N-Q 1 ccd-nq_073117.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS N-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21484

 

 

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:

    Calamos Dynamic Convertible and Income Fund

 

ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:   

2020 Calamos Court, Naperville

Illinois 60563-2787

NAME AND ADDRESS OF AGENT FOR SERVICE:   

John P. Calamos, Sr., Founder, Chairman

and Global Chief Investment Officer

Calamos Advisors LLC,

2020 Calamos Court,

Naperville, Illinois

60563-2787

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200

DATE OF FISCAL YEAR END: October 31, 2017

DATE OF REPORTING PERIOD: July 31, 2017

 

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

PRINCIPAL
AMOUNT		       VALUE  
               
CORPORATE BONDS (21.6%)          
      Consumer Discretionary (6.5%)        
  200,000   Altice US Finance I Corp.*µ
5.500%, 05/15/26		   $ 212,272  
  350,000   Beverages & More, Inc.*
11.500%, 06/15/22		     333,058  
  670,000   CCO Holdings, LLC / CCO Holdings Capital Corp.*
5.125%, 05/01/27		     693,303  
  540,000   Century Communities, Inc.*
5.875%, 07/15/25		     542,136  
  2,499,000   Dana Financing Luxembourg Sarl*
6.500%, 06/01/26		     2,681,914  
      DISH DBS Corp.        
  1,020,000   6.750%, 06/01/21     1,128,141  
  530,000   5.875%, 11/15/24^     576,417  
  1,000,000   ESH Hospitality, Inc.*^
5.250%, 05/01/25		     1,044,370  
  2,189,000   GameStop Corp.*^
6.750%, 03/15/21		     2,270,573  
  4,499,000   Golden Nugget, Inc.*
8.500%, 12/01/21		     4,775,576  
  6,036,000   Goodyear Tire & Rubber Companyµ
8.750%, 08/15/20		     7,090,942  
  4,998,000   MGM Resorts International
6.750%, 10/01/20		     5,561,949  
  1,460,000   Neiman Marcus Group Ltd., LLC*^
8.000%, 10/15/21		     813,950  
  3,283,000   Netflix, Inc.
5.500%, 02/15/22		     3,570,263  
      PetSmart, Inc.*^        
  175,000   5.875%, 06/01/25     168,583  
  165,000   8.875%, 06/01/25     156,234  
      Rite Aid Corp.        
  565,000   6.125%, 04/01/23*^     561,412  
  415,000   7.700%, 02/15/27     413,060  
  610,000   Salem Media Group, Inc.*^
6.750%, 06/01/24		     634,217  
            33,228,370  
               
      Consumer Staples (0.3%)        
  400,000   Fresh Market, Inc.*
9.750%, 05/01/23		     329,048  
  1,150,000   JBS USA LUX SA / JBS USA Finance, Inc.*
7.250%, 06/01/21		     1,172,764  
            1,501,812  
               
      Energy (1.3%)        
  285,000   Carrizo Oil & Gas, Inc.
8.250%, 07/15/25		     300,547  
  665,000   DCP Midstream, LLC*‡
5.850%, 05/21/43
3 mo. USD LIBOR + 3.85%		     620,787  
  550,000   Laredo Petroleum, Inc.
6.250%, 03/15/23		     566,888  
  4,998,000   SESI, LLCµ
6.375%, 05/01/19		     5,003,223  
            6,491,445  
PRINCIPAL
AMOUNT		       VALUE  
      Financials (1.1%)        
      Ally Financial, Inc.µ        
  1,117,000   6.250%, 12/01/17   $ 1,132,861  
  925,000   8.000%, 11/01/31     1,151,602  
  200,000   Ardonagh Midco 3, PLC*
8.625%, 07/15/23		     205,904  
  575,000   AssuredPartners, Inc.*
7.000%, 08/15/25		     581,497  
  515,000   Dell International, LLC / EMC Corp.*µ
6.020%, 06/15/26		     574,640  
  270,000   HUB International, Ltd.*
7.875%, 10/01/21		     282,740  
  800,000   Jefferies Finance, LLC*
7.250%, 08/15/24		     802,328  
  405,000   Navient Corp.
6.750%, 06/25/25		     426,103  
  200,000   Oil Insurance, Ltd.*‡
4.278%, 12/29/49
3 mo. USD LIBOR + 2.98%		     182,113  
  180,000   Towne Bank‡
4.500%, 07/30/27
3 mo. USD LIBOR + 2.55%		     182,928  
            5,522,716  
               
      Health Care (3.6%)        
      Community Health Systems, Inc.        
  1,200,000   7.125%, 07/15/20^     1,162,986  
  325,000   6.875%, 02/01/22     277,604  
  5,898,000   Endo International, PLC*µ^
7.250%, 01/15/22		     5,858,985  
  355,000   Greatbatch, Ltd.*
9.125%, 11/01/23		     390,044  
  7,498,000   Tenet Healthcare Corp.
6.750%, 02/01/20		     7,879,236  
  825,000   Valeant Pharmaceuticals International, Inc.*^
7.250%, 07/15/22		     780,594  
  1,799,000   VPII Escrow Corp.*^
7.500%, 07/15/21		     1,751,920  
            18,101,369  
               
      Industrials (2.1%)        
  245,000   Covanta Holding Corp.
5.875%, 03/01/24		     239,834  
  140,000   DAE Funding, LLC*
5.000%, 08/01/24		     143,037  
  305,000   Great Lakes Dredge & Dock Co.*
8.000%, 05/15/22		     312,363  
  70,000   Hertz Corp.*^
7.625%, 06/01/22		     69,270  
  155,000   Kar Auction Services, Inc.*
5.125%, 06/01/25		     161,775  
  2,083,000   Michael Baker International, LLC*
8.250%, 10/15/18		     2,079,376  
  3,999,000   United Continental Holdings, Inc.µ
6.375%, 06/01/18		     4,154,201  
      United Rentals North America, Inc.        
  2,365,000   7.625%, 04/15/22^     2,474,440  
  350,000   4.875%, 01/15/28     350,875  


See accompanying Notes to Schedule of Investments

 

1 

 

 

Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

PRINCIPAL
AMOUNT		       VALUE  
  520,000   United States Steel Corp.*
8.375%, 07/01/21		   $ 576,142  
            10,561,313  
               
      Information Technology (1.0%)        
  2,177,000   Alliance Data Systems Corp.*
6.375%, 04/01/20		     2,217,645  
  330,000   CBS Radio, Inc.*^
7.250%, 11/01/24		     348,926  
  170,000   CDK Global, Inc.*µ
4.875%, 06/01/27		     174,946  
      Clear Channel Worldwide Holdings, Inc.        
  390,000   7.625%, 03/15/20^     391,324  
  145,000   7.625%, 03/15/20     146,094  
  1,500,000   First Data Corp.*
7.000%, 12/01/23		     1,619,482  
  305,000   VFH Parent, LLC*
6.750%, 06/15/22		     320,250  
            5,218,667  
               
      Materials (2.8%)        
  630,000   ArcelorMittal, SA
7.500%, 10/15/39		     743,825  
  2,999,000   Constellium, NV*^
8.000%, 01/15/23		     3,172,942  
  1,335,000   Freeport-McMoRan, Inc.^
4.550%, 11/14/24		     1,305,283  
  3,499,000   Huntsman International, LLC
5.125%, 11/15/22		     3,727,065  
  200,000   Kinross Gold Corp.*µ
4.500%, 07/15/27		     199,495  
  4,998,000   Trinseo Materials Operating, SCA*
6.750%, 05/01/22		     5,297,430  
            14,446,040  
               
      Real Estate (0.0%)        
  16,000   Crescent Communities, LLC/Crescent Ventures, Inc.*
8.875%, 10/15/21		     16,837  
  140,000   M/I Homes, Inc.*
5.625%, 08/01/25		     141,400  
            158,237  
               
      Telecommunication Services (2.5%)        
  1,187,000   Embarq Corp.µ
7.995%, 06/01/36		     1,208,841  
  1,699,000   Frontier Communications Corp.
9.000%, 08/15/31		     1,384,014  
      Intelsat Jackson Holdings, SA        
  300,000   7.500%, 04/01/21     285,000  
  280,000   9.750%, 07/15/25*^     289,545  
  255,000   8.000%, 02/15/24*     277,179  
  7,898,000   Sprint Corp.^
7.625%, 02/15/25		     8,918,698  
  225,000   Windstream Corp.
7.750%, 10/15/20		     216,796  
  245,000   Windstream Services, LLC
7.750%, 10/01/21		     220,592  
            12,800,665  
               
      Utilities (0.4%)        
      NGPL PipeCo, LLC*        
  150,000   4.875%, 08/15/27     154,782  
PRINCIPAL
AMOUNT		       VALUE  
  150,000   4.375%, 08/15/22   $ 154,310  
  1,392,000   NRG Energy, Inc.^
7.875%, 05/15/21		     1,438,938  
            1,748,030  
               
      Total Corporate Bonds
(Cost $107,689,658)		     109,778,664  
               
CONVERTIBLE BONDS (89.2%)          
      Consumer Discretionary (16.4%)        
  4,500,000   CalAtlantic Group, Inc.
1.250%, 08/01/32		     4,498,650  
      Ctrip.com International, Ltd.        
  2,000,000   1.000%, 07/01/20     2,444,070  
  1,920,000   1.250%, 09/15/22*     2,175,178  
  6,000,000   DISH Network Corp.*^
2.375%, 03/15/24		     6,424,290  
  4,746,000   Liberty Expedia Holdings, Inc.*^
1.000%, 06/30/47		     5,160,397  
      Liberty Interactive, LLC        
  3,450,000   1.750%, 09/30/46*     4,284,400  
  526,000   4.000%, 11/15/29     359,308  
      Liberty Media Corp.        
  5,825,000   1.375%, 10/15/23^     7,381,819  
  3,400,000   2.250%, 09/30/46*     3,657,788  
  3,500,000   Liberty Media Corp./Liberty Formula One*
1.000%, 01/30/23		     3,964,222  
  3,400,000   Macquarie Infrastructure Corp.^
2.000%, 10/01/23		     3,368,550  
  9,125,000   Priceline Group, Inc.µ^
0.900%, 09/15/21		     10,939,826  
  19,950,000   Tesla, Inc.µ
1.250%, 03/01/21		     21,906,895  
  3,750,000   Toll Brothers Finance Corp.µ
0.500%, 09/15/32		     3,748,275  
  2,750,000   Weatherford International, Ltd.^
5.875%, 07/01/21		     2,917,942  
            83,231,610  
               
      Energy (2.8%)        
  6,750,000   Nabors Industries, Inc.*^
0.750%, 01/15/24		     5,316,334  
  4,850,000   PDC Energy, Inc.
1.125%, 09/15/21		     4,581,237  
  4,700,000   SM Energy Company^
1.500%, 07/01/21		     4,416,637  
            14,314,208  
               
      Financials (5.6%)        
  7,500,000   Ares Capital Corp.µ^
4.375%, 01/15/19		     7,721,925  
  1,500,000   Blackstone Mortgage Trust, Inc.
4.375%, 05/05/22		     1,533,833  
  2,000,000   Colony Capital, Inc.
3.875%, 01/15/21		     2,055,640  
  4,150,000  CAD Element Fleet Management Corp.*
4.250%, 06/30/20		     3,294,036  
  2,200,000   Jefferies Group, Inc.µ
3.875%, 11/01/29		     2,214,718  
  2,900,000   MGIC Investment Corp.*µ^
9.000%, 04/01/63		     3,851,925  
      Prospect Capital Corp.µ^        
  2,300,000   5.750%, 03/15/18     2,362,422  


See accompanying Notes to Schedule of Investments

 

2

 

 

Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

PRINCIPAL
AMOUNT		       VALUE  
  2,000,000   4.750%, 04/15/20   $ 2,028,670  
  3,450,000   TCP Capital Corp.*µ^
4.625%, 03/01/22		     3,548,239  
            28,611,408  
               
      Health Care (13.3%)        
  1,600,000   Acorda Therapeutics, Inc.
1.750%, 06/15/21		     1,419,616  
      BioMarin Pharmaceutical, Inc.        
  3,400,000   1.500%, 10/15/20^     4,013,836  
  2,900,000   0.750%, 10/15/18     3,200,687  
  3,500,000   Dexcom, Inc.*
0.750%, 05/15/22		     3,466,278  
  4,165,000   Emergent Biosolutions, Inc.
2.875%, 01/15/21		     5,637,390  
  3,350,000   Evolent Health, Inc.*
2.000%, 12/01/21		     4,280,479  
  2,250,000   Flexion Therapeutics, Inc.*
3.375%, 05/01/24		     2,491,898  
  4,500,000   Hologic, Inc.µ^**
2.000%, 03/01/42		     6,448,050  
  3,450,000   Insulet Corp.*
1.250%, 09/15/21		     3,764,950  
  4,500,000   Ionis Pharmaceuticals, Inc.
1.000%, 11/15/21		     4,855,635  
  2,555,000   Ironwood Pharmaceuticals, Inc.
2.250%, 06/15/22		     3,296,870  
  4,500,000   Jazz Investments I, Ltd.µ^
1.875%, 08/15/21		     4,934,767  
  1,500,000   Medicines Company^
2.750%, 07/15/23		     1,597,920  
  5,250,000   Medidata Solutions, Inc.
1.000%, 08/01/18		     7,258,492  
  2,750,000   Molina Healthcare, Inc.µ^
1.625%, 08/15/44		     3,450,026  
  1,750,000   Neurocrine Biosciences, Inc.*^
2.250%, 05/15/24		     1,789,699  
  4,550,000   NuVasive, Inc.
2.250%, 03/15/21		     5,684,429  
            67,591,022  
               
      Industrials (8.2%)        
  3,350,000   Aerojet Rocketdyne Holdings, Inc.*
2.250%, 12/15/23		     3,807,978  
  2,500,000   Air Lease Corp.
3.875%, 12/01/18		     3,616,500  
  3,300,000   Atlas Air Worldwide Holdings, Inc.^
2.250%, 06/01/22		     3,675,474  
  5,800,000   Dycom Industries, Inc.^
0.750%, 09/15/21		     6,819,872  
      Greenbrier Companies, Inc.        
  3,500,000   2.875%, 02/01/24*^     3,799,775  
  1,750,000   3.500%, 04/01/18     2,315,145  
  2,250,000   Kaman Corp.*
3.250%, 05/01/24		     2,356,448  
  6,750,000   Pacira Pharmaceuticals, Inc.*^
2.375%, 04/01/22		     6,817,939  
  3,500,000   Trinity Industries, Inc.µ
3.875%, 06/01/36		     4,312,962  
  3,400,000   Tutor Perini Corp.
2.875%, 06/15/21		     3,911,224  
            41,433,317  
PRINCIPAL
AMOUNT		       VALUE  
      Information Technology (38.9%)        
  4,435,000   Citrix Systems, Inc.µ^
0.500%, 04/15/19		   $ 5,274,989  
  3,400,000   Cypress Semiconductor Corp.^
4.500%, 01/15/22		     4,304,859  
  6,700,000   Finisar Corp.*^
0.500%, 12/15/36		     6,710,519  
  7,175,000   Inphi Corp.*^
0.750%, 09/01/21		     7,267,701  
      Intel Corp.µ        
  5,900,000   3.250%, 08/01/39     10,190,627  
  5,200,000   3.493%, 12/15/35^~     7,052,006  
  2,500,000   Knowles Corp.^
3.250%, 11/01/21		     2,787,900  
  7,000,000   Lumentum Holdings, Inc.*^
0.250%, 03/15/24		     8,716,470  
  12,000,000   Microchip Technology, Inc.*^~
1.625%, 02/15/27		     13,301,040  
  3,850,000   Micron Technology, Inc.~
3.125%, 05/01/32		     11,159,379  
  3,500,000   Nice Systems, Inc.*^
1.250%, 01/15/24		     3,793,160  
  2,675,000   Novellus Systems, Inc.µ~
2.625%, 05/15/41		     12,647,360  
  2,525,000   NXP Semiconductors, NVµ
1.000%, 12/01/19		     3,024,710  
      ON Semiconductor Corp.^        
  6,500,000   1.000%, 12/01/20µ     6,995,722  
  3,500,000   1.625%, 10/15/23*     3,627,925  
  3,500,000   OSI Systems, Inc.*
1.250%, 09/01/22		     3,531,833  
  3,375,000   Palo Alto Networks, Inc.^
0.000%, 07/01/19		     4,387,770  
  3,250,000   Pandora Media, Inc.
1.750%, 12/01/20		     3,089,353  
  4,750,000   Proofpoint, Inc.^
0.750%, 06/15/20		     5,928,190  
  7,000,000   Realpage, Inc.*
1.500%, 11/15/22		     7,960,750  
  2,625,000   Red Hat, Inc.µ^
0.250%, 10/01/19		     3,724,271  
  3,275,000   Rovi Corp.^
0.500%, 03/01/20		     3,288,821  
  7,700,000   Salesforce.com, Inc.µ^
0.250%, 04/01/18		     10,668,388  
  3,500,000   Servicenow, Inc.*^
0.000%, 06/01/22		     3,652,845  
  3,500,000   Silicon Laboratories, Inc.*
1.375%, 03/01/22		     3,793,808  
  3,000,000   Square, Inc.*
0.375%, 03/01/22		     3,969,270  
  9,600,000   SunEdison, Inc.*@
0.250%, 01/15/20		     224,304  
  2,482,000   Synaptics, Inc.*^
0.500%, 06/15/22		     2,557,912  
  4,500,000   Synchronoss Technologies, Inc.^
0.750%, 08/15/19		     4,260,442  
  3,325,000   Teradyne, Inc.*^
1.250%, 12/15/23		     4,219,292  
  3,500,000   Veeco Instruments, Inc.
2.700%, 01/15/23		     3,758,458  
  3,500,000   Viavi Solutions, Inc.*
1.000%, 03/01/24		     3,770,830  
  9,200,000   Workday, Inc.^
0.750%, 07/15/18		     11,818,688  


See accompanying Notes to Schedule of Investments

 

3 

 

 

Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

PRINCIPAL
AMOUNT		      VALUE 
 5,250,000   Yahoo!, Inc.
0.000%, 12/01/18		  $6,205,211 
         197,664,803 
     Materials (1.4%)     
 3,000,000   Royal Gold, Inc.
2.875%, 06/15/19		   3,333,150 
 3,200,000   RTI International Metals, Inc.
1.625%, 10/15/19		   3,556,000 
         6,889,150 
           
     Real Estate (1.9%)     
 1,500,000   Empire State Realty OP, LP*
2.625%, 08/15/19		   1,711,860 
 3,400,000   Starwood Property Trust, Inc.
4.375%, 04/01/23		   3,450,932 
 4,200,000   Starwood Waypoint Homes*
3.500%, 01/15/22		   4,548,474 
         9,711,266 
           
     Utilities (0.7%)     
 3,400,000   NRG Yield, Inc.*
3.250%, 06/01/20		   3,395,291 
           
     TOTAL CONVERTIBLE BONDS
(Cost $459,073,915)		   452,842,075 
      
SYNTHETIC CONVERTIBLE SECURITIES (0.0%) ¤     
Corporate Bonds (0.0%)       
     Consumer Discretionary (0.0%)     
 1,000   Dana Financing Luxembourg Sarl*
6.500%, 06/01/26		   1,073 
 1,000   GameStop Corp.*^
6.750%, 03/15/21		   1,037 
 1,000   Golden Nugget, Inc.*
8.500%, 12/01/21		   1,061 
 2,000   Goodyear Tire & Rubber Companyµ
8.750%, 08/15/20		   2,350 
 2,000   MGM Resorts International
6.750%, 10/01/20		   2,226 
 1,000   Netflix, Inc.
5.500%, 02/15/22		   1,088 
         8,835 
           
     Energy (0.0%)     
 2,000   SESI, LLCµ
6.375%, 05/01/19		   2,002 
           
     Health Care (0.0%)     
 2,000   Endo International, PLC*µ^
7.250%, 01/15/22		   1,987 
 2,000   Tenet Healthcare Corp.
6.750%, 02/01/20		   2,101 
 1,000   VPII Escrow Corp.*^
7.500%, 07/15/21		   974 
         5,062 
           
     Industrials (0.0%)     
 1,000   Michael Baker International, LLC*
8.250%, 10/15/18		   998 
 1,000   United Continental Holdings, Inc.µ
6.375%, 06/01/18		   1,039 
PRINCIPAL
AMOUNT		      VALUE 
 1,000   United Rentals North America, Inc.^
7.625%, 04/15/22		  $1,046 
         3,083 
           
     Information Technology (0.0%)     
 1,000   Alliance Data Systems Corp.*
6.375%, 04/01/20		   1,019 
           
     Materials (0.0%)     
 1,000   Constellium, NV*^
8.000%, 01/15/23		   1,058 
 1,000   Huntsman International, LLC
5.125%, 11/15/22		   1,065 
 2,000   Trinseo Materials Operating, SCA*
6.750%, 05/01/22		   2,120 
         4,243 
           
     Telecommunication Services (0.0%)     
 1,000   Frontier Communications Corp.
9.000%, 08/15/31		   815 
 2,000   Sprint Corp.^
7.625%, 02/15/25		   2,258 
           
         3,073 
           
     Total Corporate Bonds   27,317 

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT		           VALUE  
Purchased Options (0.0%) #  
        Materials (0.0%)        
        United States Steel Corp.        
  26
2,600		     Call, 10/20/17, Strike $27.00     2,288  
  25
2,500		     Call, 10/20/17, Strike $25.00     3,625  
        Total Purchased Options     5,913  
                 
        TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $34,590)		     33,230  

 

NUMBER OF
SHARES		           VALUE  
CONVERTIBLE PREFERRED STOCKS (25.5%)    
        Energy (3.2%)  
  61,000     CenterPoint Energy, Inc. (Time Warner, Inc., Charter Communications, Time, Inc.)µ**~§
3.399%, 09/15/29		     4,661,925  
  86,450     Hess Corp.^
8.000%, 02/01/19		     4,862,813  
  46,100     NuStar Energy, LP‡
8.500%, 12/31/49
3 mo. USD LIBOR + 6.77%		     1,223,494  
  151,075     Southwestern Energy Company
6.250%, 01/15/18		     2,089,367  


 

See accompanying Notes to Schedule of Investments

 

4

 

 

 

Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 



NUMBER OF
SHARES		      VALUE 
 66,000   WPX Energy, Inc.
6.250%, 07/31/18		  $3,315,180 
         16,152,779 
           
     Financials (8.6%)     
 164,000   Affiliated Managers Group, Inc.µ~
5.150%, 10/15/37		   10,035,160 
 10,675   Bank of America Corp.
7.250%, 12/31/49		   13,856,150 
 17,347   Virtus Investment Partners, Inc.^
7.250%, 02/01/20		   1,813,108 
 13,555   Wells Fargo & Companyµ~
7.500%, 12/31/49		   17,994,263 
         43,698,681 
           
     Health Care (7.4%)     
 22,100   Allergan, PLC
5.500%, 03/01/18		   19,757,621 
 210,225   Anthem, Inc.µ
5.250%, 05/01/18		   10,822,383 
 103,500   Becton Dickinson and Company
6.125%, 05/01/20		   5,784,615 
 2,600   Teva Pharmaceutical Industries, Ltd.
7.000%, 12/15/18		   1,518,400 
         37,883,019 
           
     Industrials (0.7%)     
 67,000   Rexnord Corp.
5.750%, 11/15/19		   3,579,475 
           
     Real Estate (2.1%)     
 5,177   Crown Castle International Corp.^
6.875%, 08/01/20		   5,525,034 
 76,025   Welltower, Inc.µ^
6.500%, 03/03/39		   4,972,035 
         10,497,069 
           
     Telecommunication Services (0.9%)     
 44,325   T-Mobile USA, Inc.µ
5.500%, 12/15/17		   4,443,581 
           
     Utilities (2.6%)     
 68,875   DTE Energy Companyµ^
6.500%, 10/01/19		   3,775,858 
     NextEra Energy, Inc.^     
 105,100   6.123%, 09/01/19   5,839,356 
 55,000   6.371%, 09/01/18µ   3,642,650 
         13,257,864 
     TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $130,186,683)		   129,512,468 
      
COMMON STOCK (0.6%)       
     Health Care (0.6%)     
 17,157   Illumina, Inc.µ^#  
(Cost $3,981,899)		   2,982,744 
NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT		           VALUE  
   
PURCHASED OPTIONS (0.0%) #  
        Materials (0.0%)        
        United States Steel Corp.        
  26
2,600		     Put, 10/20/17, Strike $21.00   $ 2,639  
  25
2,500		     Put, 10/20/17, Strike $19.00     1,250  
                 
        Total Purchased Options
(Cost $3,770)		     3,889  

 

NUMBER OF
SHARES		           VALUE  
 
SHORT TERM INVESTMENTS (1.0%)  
  2,593,614     Fidelity Prime Money Market Fund - Institutional Class     2,594,651  
  2,571,370     Morgan Stanley Institutional Liquidity Funds - Government Portfolio     2,571,370  
                 
        Total Short Term Investments
(Cost $5,166,021)		     5,166,021  
                 
TOTAL INVESTMENTS (137.9%)
(Cost $706,136,536)		     700,319,091  
                 
LIABILITIES, LESS OTHER ASSETS (-37.9%)     (192,356,120 )
         
NET ASSETS (100.0%)   $  507,962,971  

  

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT		           VALUE  
   
WRITTEN OPTIONS (-0.2%) #  
        Health Care (0.0%)  
  400
40,000		     Flexion Therapeutics, Inc.
Call, 10/20/17, Strike $30.00		     (104,000 )
  125
12,500		     Illumina, Inc.
Call, 09/15/17, Strike $185.00		     (57,500 )
              (161,500 )
                 
        Information Technology (-0.1%)        
  125
12,500		     Alibaba Group Holding, Ltd.
Call, 09/15/17, Strike $150.00		     (136,875 )
  400
40,000		     Lumentum Holdings, Inc.
Call, 09/15/17, Strike $60.00		     (286,000 )
  1,000
100,000		     Micron Technology, Inc.
Call, 10/20/17, Strike $35.00		     (49,500 )
  150
15,000		     Palo Alto Networks, Inc.
Call, 09/15/17, Strike $125.00		     (172,500 )
              (644,875 )
                 
        Information Technology (-0.1%)        
  300
30,000		     Lumentum Holdings, Inc.
Call, 09/15/17, Strike $65.00		     (145,500 )


 

 See accompanying Notes to Schedule of Investments

 

5 

 

 

Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT		           VALUE  
  600
60,000		     Square, Inc.
Call, 09/15/17, Strike $25.00		   $ (166,500 )
              (312,000 )
                 
        Materials (0.0%)        
  300
30,000		     Dycom Industries, Inc.
Call, 09/15/17, Strike $100.00		     (67,500 )
        United States Steel Corp.        
  26
2,600		     Put, 10/20/17, Strike $25.00     (7,774 )
  25
2,500		     Put, 10/20/17, Strike $23.00     (4,600 )
              (79,874 )
                 
        Total Written Options
(Premium $1,158,303)		   $ (1,198,249 )

 

NOTES TO SCHEDULE OF INVESTMENTS
*   Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.
µ   Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $134,690,651.  $43,312,830 of the collateral has been re-registered by one of the counterparties, BNP (see Note 3 - Borrowings).
^   Security, or portion of security, is on loan.
‡   Variable rate security. The rate shown is the rate in effect at July 31, 2017.
**   Step Coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at July 31, 2017.
~   Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options. The aggregate value of such securities is $17,321,282.
@   In default status and considered non-income producing.
¤   The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security.
§   Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
#   Non-income producing security.
 
FOREIGN CURRENCY ABBREVIATION
CAD   Canadian Dollar
 
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. 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 

 

6

 

 

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, 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). “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 have 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 a 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 based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

 

Fixed income securities, 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, 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. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.

 

Investment Transactions. Investment transactions are recorded on a trade date basis as of July 31, 2017.

 

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, 2017 was as follows*:

 

Cost basis of investments  $704,978,233 
Gross unrealized appreciation   36,582,445 
Gross unrealized depreciation   (42,439,836)
Net unrealized appreciation (depreciation)  $(5,857,391)

 

* 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 – Borrowings

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $67.5 million and a lending agreement, “Lending Agreement” as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”, together with the BNP Agreement, “Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to a limit of $202.5 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP Agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .20% on the undrawn balance. Interest on the SSB Agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is .20%). For the period ended July 31, 2017, the average borrowings under the Agreements were $195.0 million. For the period ended July 31, 2017, the average interest rate was 1.92%. As of July 31, 2017, the amount of total outstanding borrowings was $195.0 million ($48.7 million under the BNP Agreement and $146.3 million under the SSB Agreement), which approximates fair value. The interest rate applicable to the borrowings on July 31, 2017 was 1.27%.

 

The Lending Agreement with BNP is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the BNP Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the BNP Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities. The dividend and interest payments are recorded as Dividend or Interest payments in the Statement of Operations. Earnings made by the lent securities are disclosed on a net basis as Securities Lending Income in the Statement of Operations.

 

Under the terms of the Lending Agreement with BNP, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable for the ultimate delivery of such Lent Securities, or equivalent securities, to be made to the Fund’s custodian, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.

 

Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC Release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. The Fund has the right to call a loan and obtain the securities loaned at any time. As of July 31, 2017, the Fund used approximately $137.9 million of its cash collateral to offset the SSB Agreement, representing 19.6% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.99%, which can fluctuate depending on interest rates. As of July 31,

 

 

 

 

2017, approximately $134.8 million of securities were on loan ($129.0 million of fixed income securities and $5.8 million of equity securities) under the SSB Agreement which are reflected in the Investment in securities, at value on the Statement of Assets and Liabilities.

 

Note 4 – Fair Value Measurements

Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:

 

●Level 1 – Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

 

●Level 2 – Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

 

●Level 3 – Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

 

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Fund’s investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.

 

The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:

 
   LEVEL 1   LEVEL 2   LEVEL 3   TOTAL 
Assets:
Corporate Bonds  $—   $109,778,664   $—   $109,778,664 
Convertible Bonds   —    452,842,075    —    452,842,075 
Synthetic Convertible Securities (Corporate Bonds)   —    27,317    —    27,317 
Synthetic Convertible Securities (Purchased Options)   5,913    —    —    5,913 
Convertible Preferred Stocks   111,039,525    18,472,943    —    129,512,468 
Common Stocks U.S.   2,982,744    —    —    2,982,744 
Purchased Options   3,889    —    —    3,889 
Short Term Investments   5,166,021    —    —    5,166,021 
Total  $119,198,092   $581,120,999   $—   $700,319,091 
Liabilities:                    
Written Options  $1,198,249   $—   $—   $1,198,249 
Total  $1,198,249   $—   $—   $1,198,249 

   

 

 

 

ITEM 2. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.

b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

(a) Certification of Principal Executive Officer.

(b) Certification of Principal Financial Officer.

 

 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Calamos Dynamic Convertible And Income Fund
By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:   September 1, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

Calamos Dynamic Convertible And Income Fund
By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:   September 1, 2017
By:   /s/     Curtis Holloway
Name:   Curtis Holloway
Title:   Principal Financial Officer
Date:   September 1, 2017