N-Q 1 ccd-nq_013118.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

 

 

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: 811-22949

 

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, 2018

 

DATE OF REPORTING PERIOD: January 31, 2018

 

 

 

 

 

 

Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)

 

PRINCIPAL
AMOUNT		         VALUE  
CORPORATE BONDS (21.3%)        
        Consumer Discretionary (4.6%)        
  251,000     AV Homes, Inc.
6.625%, 05/15/22		   $ 262,605  
  326,000     Beverages & More, Inc.*
11.500%, 06/15/22		     308,375  
        CCO Holdings, LLC / CCO
Holdings Capital Corp.*		        
  623,000     5.125%, 05/01/27     608,347  
  130,000     5.000%, 02/01/28     125,856  
  535,000     Century Communities, Inc.
5.875%, 07/15/25		     543,737  
  340,000     CRC Escrow Issuer, LLC*^
5.250%, 10/15/25		     339,408  
  2,326,000     Dana Financing Luxembourg Sarl*
6.500%, 06/01/26		     2,524,431  
        DISH DBS Corp.        
  754,000     5.875%, 11/15/24^     716,666  
  470,000     6.750%, 06/01/21     492,814  
  586,000     Eldorado Resorts, Inc.
6.000%, 04/01/25		     613,624  
  930,000     ESH Hospitality, Inc.*
5.250%, 05/01/25		     935,715  
  302,000     GameStop Corp.*µ
6.750%, 03/15/21		     312,890  
  442,000     goeasy, Ltd.*µ
7.875%, 11/01/22		     471,771  
  3,722,000     Goodyear Tire & Rubber Company
8.750%, 08/15/20		     4,215,798  
  181,000     Guitar Center, Inc.*
6.500%, 04/15/19		     177,256  
  316,000     Horizon Pharma, Inc. / Horizon
Pharma USA, Inc.*^
8.750%, 11/01/24		     346,815  
  1,037,000     L Brands, Inc.^
6.875%, 11/01/35		     1,065,663  
  298,000     Lions Gate Entertainment Corp.*
5.875%, 11/01/24		     317,456  
  326,000     M/I Homes, Inc.
5.625%, 08/01/25		     332,611  
  656,000     Mattel, Inc.*^
6.750%, 12/31/25		     665,538  
  3,722,000     MGM Resorts International^
6.750%, 10/01/20		     4,011,069  
  1,358,000     Neiman Marcus Group Ltd., LLC*^
8.000%, 10/15/21		     866,574  
  312,000     Penske Automotive Group, Inc.^
5.500%, 05/15/26		     319,449  
        PetSmart, Inc.*^        
  256,000     5.875%, 06/01/25     197,969  
  60,000     8.875%, 06/01/25     38,175  
        Rite Aid Corp.        
  670,000     7.700%, 02/15/27     600,390  
  526,000     6.125%, 04/01/23*^     491,397  
  568,000     Salem Media Group, Inc.*
6.750%, 06/01/24		     560,235  
  442,000     Sally Holdings, LLC / Sally
Capital, Inc.^
5.625%, 12/01/25		     440,882  
  586,000     SFR Group, SA*^
7.375%, 05/01/26		     577,119  
  326,000     Sotheby's*
4.875%, 12/15/25		     320,129  
PRINCIPAL
AMOUNT		         VALUE  
  65,000     VOC Escrow, Ltd.*
5.000%, 02/15/28		   $ 64,971  
              23,865,735  
                 
        Consumer Staples (0.7%)        
  335,000     Albertsons Companies, LLC /
Safeway, Inc. / New Albertson's,
Inc. / Albertson's, LLC^
5.750%, 03/15/25		     300,241  
  372,000     Fresh Market, Inc.*^
9.750%, 05/01/23		     260,865  
        JBS USA LUX SA / JBS USA
Finance, Inc.*		        
  1,512,000     7.250%, 06/01/21     1,545,022  
  326,000     8.250%, 02/01/20     327,961  
        New Albertson's, Inc.        
  298,000     7.450%, 08/01/29^     262,706  
  158,000     8.000%, 05/01/31     141,558  
  84,000     7.750%, 06/15/26     76,362  
        Pilgrim's Pride Corp.*        
  70,000     5.750%, 03/15/25     71,069  
  51,000     5.875%, 09/30/27     51,261  
        Post Holdings, Inc.*        
  302,000     5.750%, 03/01/27     303,963  
  65,000     5.625%, 01/15/28^     64,922  
              3,405,930  
                 
        Energy (2.1%)        
  316,000     Buckeye Partners, LPµ‡
6.375%, 01/22/78
3 mo. USD LIBOR + 4.02%		     322,724  
  512,000     Calfrac Holdings, LP*
7.500%, 12/01/20		     513,920  
  330,000     California Resources Corp.*
8.000%, 12/15/22		     278,231  
        Carrizo Oil & Gas, Inc.        
  265,000     8.250%, 07/15/25     292,272  
  159,000     6.250%, 04/15/23^     164,615  
  330,000     Chesapeake Energy Corp.*
8.000%, 01/15/25		     333,868  
  60,000     CONSOL Energy, Inc.*
11.000%, 11/15/25		     64,641  
  70,000     CrownRock, LP / CrownRock
Finance, Inc.*
5.625%, 10/15/25		     70,924  
  619,000     DCP Midstream Operating, LP*‡
5.850%, 05/21/43
3 mo. USD LIBOR + 3.85%		     595,119  
  126,000     DCP Midstream, LP^‡
7.375%, 02/01/30
3 mo. USD LIBOR + 5.15%		     129,789  
  130,000     Diamond Offshore Drilling, Inc.
7.875%, 08/15/25		     137,992  
  591,000     Energy Transfer Equity, LPµ
5.500%, 06/01/27		     624,267  
  698,000     Energy Transfer Partners, LPµ‡
4.791%, 11/01/66
3 mo. USD LIBOR + 3.02%		     626,019  
        Genesis Energy, LP / Genesis
Energy Finance Corp.		        
  326,000     6.500%, 10/01/25^     332,409  
  326,000     6.250%, 05/15/26     325,932  
  474,000     Gulfport Energy Corp.
6.375%, 05/15/25		     482,082  

 

See accompanying Notes to Schedule of Investments

 

1

 

Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)

 

PRINCIPAL
AMOUNT		         VALUE  
  609,000     Halcon Resources Corp.
6.750%, 02/15/25		   $ 644,018  
  135,000     Lonestar Resources America, Inc.*
11.250%, 01/01/23		     140,630  
  191,000     Moss Creek Resources Holdings, Inc.*
7.500%, 01/15/26		     198,868  
  33,000     Nabors Industries, Inc.*^
5.750%, 02/01/25		     32,498  
  312,000     Par Petroleum, LLC / Petroleum
Finance Corp.*
7.750%, 12/15/25		     313,423  
  321,000     PDC Energy, Inc.*
5.750%, 05/15/26		     328,399  
  316,000     Plains All American Pipeline, LP^‡
6.125%, 02/01/30
3 mo. USD LIBOR + 4.11%		     318,402  
  326,000     QEP Resources, Inc.^µ
5.625%, 03/01/26		     334,173  
  605,000     SESI, LLC*^
7.750%, 09/15/24		     651,706  
  140,000     SM Energy Company^
6.750%, 09/15/26		     146,248  
  270,000     Southwestern Energy Company^
7.500%, 04/01/26		     283,001  
  209,000     Sunoco, LP / Sunoco Finance Corp.*^
5.500%, 02/15/26		     213,353  
  312,000     Transocean, Inc.*
7.500%, 01/15/26		     325,126  
  326,000     Vine Oil & Gas, LP / Vine Oil &
Gas Finance Corp.*
8.750%, 04/15/23		     328,284  
  595,000     Weatherford International, Ltd.^
8.250%, 06/15/23		     630,575  
  312,000     Whiting Petroleum Corp.*^
6.625%, 01/15/26		     319,293  
  391,000     WildHorse Resource
Development Corp.
6.875%, 02/01/25		     405,750  
              10,908,551  
                 
        Financials (2.6%)        
  633,000     Acrisure, LLC / Acrisure Finance, Inc.*
7.000%, 11/15/25		     631,728  
  861,000     Ally Financial, Inc.
8.000%, 11/01/31		     1,099,630  
  577,000     Ardonagh Midco 3, PLC*
8.625%, 07/15/23		     601,996  
  535,000     AssuredPartners, Inc.*^
7.000%, 08/15/25		     550,691  
  623,000     Charles Schwab Corp.^‡
5.000%, 02/01/30
3 mo. USD LIBOR + 2.58%		     616,577  
  65,000     Citadel, LP*µ
5.375%, 01/17/23		     67,426  
  395,000     CyrusOne, LP / CyrusOne
Finance Corp.µ
5.375%, 03/15/27		     411,383  
  568,000     Dell International, LLC / EMC Corp.*µ
6.020%, 06/15/26		     621,946  
PRINCIPAL
AMOUNT		         VALUE  
  326,000     Discover Financial Servicesµ‡
5.500%, 02/01/30
3 mo. USD LIBOR + 3.08%		   $ 331,570  
  130,000     Greystar Real Estate Partners, LLC*
5.750%, 12/01/25		     134,259  
  251,000     HUB International, Ltd.*
7.875%, 10/01/21		     261,197  
  488,000     ILFC E-Capital Trust II*‡
4.620%, 12/21/65
3 mo. USD LIBOR + 1.80%		     479,460  
  377,000     Iron Mountain, Inc.*µ
5.250%, 03/15/28		     366,350  
  1,070,000     Jefferies Finance, LLC*^
7.250%, 08/15/24		     1,112,206  
  302,000     Ladder Capital Finance Holdings
LLLP / Ladder Capital Finance Corp.*µ
5.250%, 10/01/25		     302,766  
  251,000     Level 3 Financing, Inc.
5.375%, 05/01/25		     251,848  
  330,000     LPL Holdings, Inc.*
5.750%, 09/15/25		     336,994  
  451,000     MetLife, Inc.µ
6.400%, 12/15/66		     515,642  
  595,000     Nationstar Mortgage, LLC /
Nationstar Capital Corp.
6.500%, 07/01/21		     603,285  
  581,000     Navient Corp.^
6.750%, 06/25/25		     609,620  
  270,000     NexBank Capital, Inc.*‡&
6.375%, 09/30/27
3 mo. USD LIBOR + 4.59%		     273,685  
  372,000     Oil Insurance, Ltd.*‡
4.677%, 03/05/18
3 mo. USD LIBOR + 2.98%		     361,934  
  898,000     Quicken Loans, Inc.*µ
5.750%, 05/01/25		     918,084  
  135,000     Radian Group, Inc.µ
4.500%, 10/01/24		     136,046  
        Springleaf Finance Corp.        
  474,000     8.250%, 10/01/23     524,934  
  56,000     5.625%, 03/15/23     56,170  
  167,000     Towne Bank‡
4.500%, 07/30/27
3 mo. USD LIBOR + 2.55%		     170,108  
  637,000     Tronox Finance, PLC*
5.750%, 10/01/25		     654,040  
  233,000     VEREIT Operating Partnership, LPµ
3.950%, 08/15/27		     225,872  
              13,227,447  
                 
        Health Care (3.5%)        
  590,000     Acadia Healthcare Company, Inc.
6.500%, 03/01/24		     618,762  
        Community Health Systems, Inc.^        
  1,116,000     7.125%, 07/15/20     976,751  
  302,000     6.875%, 02/01/22     215,175  
  135,000     8.000%, 11/15/19     126,679  
  954,000     DaVita, Inc.
5.125%, 07/15/24		     962,085  
  5,489,000     Endo International, PLC*
7.250%, 01/15/22		     4,805,949  
  609,000     Greatbatch, Ltd.*
9.125%, 11/01/23		     663,240  

 

See accompanying Notes to Schedule of Investments

 

2

 

Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)

 

PRINCIPAL
AMOUNT		         VALUE  
        HCA, Inc.        
  2,265,000     5.375%, 02/01/25   $ 2,318,352  
  279,000     7.500%, 11/06/33     311,240  
  340,000     Magellan Health, Inc.µ
4.400%, 09/22/24		     340,219  
  535,000     Mallinckrodt International Finance,
SA / Mallinckrodt CB, LLC*^
5.625%, 10/15/23		     458,201  
  60,000     Team Health Holdings, Inc.*^
6.375%, 02/01/25		     56,044  
        Tenet Healthcare Corp.^        
  907,000     6.750%, 06/15/23     895,921  
  628,000     5.125%, 05/01/25*     627,152  
  619,000     Teva Pharmaceutical Finance
Company, BV^
2.950%, 12/18/22		     565,280  
  460,000     Teva Pharmaceutical Finance IV, BV^
3.650%, 11/10/21		     445,770  
  130,000     Teva Pharmaceutical Finance IV, LLC^
2.250%, 03/18/20		     126,384  
  335,000     Teva Pharmaceutical Finance
Netherlands III, BV^
2.200%, 07/21/21		     312,391  
        Valeant Pharmaceuticals
International, Inc.*		        
  2,442,000     7.250%, 07/15/22     2,427,287  
  633,000     9.000%, 12/15/25^     651,971  
  391,000     West Street Merger Sub, Inc.*^
6.375%, 09/01/25		     396,228  
              18,301,081  
                 
        Industrials (2.5%)        
  395,000     Allison Transmission, Inc.*µ
4.750%, 10/01/27		     394,137  
  130,000     American Woodmark Corp.*
4.875%, 03/15/26		     130,487  
  349,000     ARD Securities Finance SARL*        
        8.750%, 01/31/23        
        8.750% PIK rate     361,089  
  326,000     Beacon Escrow Corp.*
4.875%, 11/01/25		     325,218  
  316,000     Bombardier, Inc.*
7.500%, 12/01/24		     332,693  
  214,000     Catalent Pharma Solutions, Inc.*
4.875%, 01/15/26		     214,205  
  228,000     Covanta Holding Corp.^
5.875%, 03/01/24		     233,661  
  344,000     Delphi Technologies, PLC*
5.000%, 10/01/25		     343,821  
  344,000     Fly Leasing, Ltd.^
5.250%, 10/15/24		     345,834  
  65,000     FXI Holdings, Inc.*
7.875%, 11/01/24		     64,943  
  982,000     Golden Nugget, Inc.*
6.750%, 10/15/24		     1,016,449  
  284,000     Great Lakes Dredge & Dock Corp.
8.000%, 05/15/22		     299,116  
  470,000     H&E Equipment Services, Inc.*
5.625%, 09/01/25		     488,055  
  65,000     Hertz Corp.*^
7.625%, 06/01/22		     68,074  
        Icahn Enterprises, LPµ        
  326,000     6.375%, 12/15/25*     332,101  
  324,000     6.750%, 02/01/24     337,521  
PRINCIPAL
AMOUNT		         VALUE  
  186,000     James Hardie International
Finance, Ltd.*^
4.750%, 01/15/25		   $ 188,546  
  326,000     Jeld-Wen, Inc.*
4.625%, 12/15/25		     326,676  
  177,000     JPW Industries Holding Corp.*
9.000%, 10/01/24		     186,234  
  502,000     Meritor, Inc.
6.250%, 02/15/24		     527,717  
  70,000     Multi-Color Corp.*
4.875%, 11/01/25		     70,324  
  447,000     Navistar International Corp.*
6.625%, 11/01/25		     469,287  
        Park Aerospace Holdings, Ltd.*^        
  261,000     5.500%, 02/15/24     258,736  
  200,000     4.500%, 03/15/23µ     192,904  
  381,000     Park-Ohio Industries, Inc.
6.625%, 04/15/27		     409,072  
  288,000     Scientific Games International, Inc.*^
5.000%, 10/15/25		     288,865  
  195,000     Tennant Company*
5.625%, 05/01/25		     203,767  
  33,000     Trident Merger Sub, Inc.*
6.625%, 11/01/25		     33,288  
  65,000     TriMas Corp.*
4.875%, 10/15/25		     65,705  
        United Continental Holdings, Inc.        
  3,722,000     6.375%, 06/01/18     3,767,390  
  205,000     4.250%, 10/01/22µ     206,376  
  502,000     United Rentals North America, Inc.µ
4.875%, 01/15/28		     502,432  
  163,000     Waste Pro USA, Inc.*
5.500%, 02/15/26		     166,018  
              13,150,741  
                 
        Information Technology (1.3%)        
  2,026,000     Alliance Data Systems Corp.*
6.375%, 04/01/20		     2,039,331  
  358,000     Cardtronics, Inc.*
5.500%, 05/01/25		     334,082  
  307,000     CBS Radio, Inc.*
7.250%, 11/01/24		     322,846  
  326,000     CDK Global, Inc.*µ
4.875%, 06/01/27		     327,495  
  498,000     Clear Channel Worldwide
Holdings, Inc.^
7.625%, 03/15/20		     492,524  
  488,000     CommScope Technologies, LLC*
6.000%, 06/15/25		     514,833  
  1,396,000     First Data Corp. - Class A*^
7.000%, 12/01/23		     1,474,294  
  321,000     Harland Clarke Holdings Corp.*
8.375%, 08/15/22		     334,830  
  279,000     Nuance Communications, Inc.µ
5.625%, 12/15/26		     289,172  
  344,000     TTM Technologies, Inc.*
5.625%, 10/01/25		     354,193  
  284,000     VFH Parent, LLC*^
6.750%, 06/15/22		     298,802  
              6,782,402  
                 
        Materials (1.3%)        
  527,000     AK Steel Corp.^
6.375%, 10/15/25		     522,863  

 

See accompanying Notes to Schedule of Investments

 

3

 

Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)

 

PRINCIPAL
AMOUNT		      VALUE 
 465,000   Alcoa Nederland Holding, BV*µ
7.000%, 09/30/26		  $515,780 
 944,000   ArcelorMittal, SAµ
7.500%, 10/15/39		   1,219,530 
 1,000,000   Ardagh Packaging Finance, PLC /
Ardagh Holdings USA, Inc.*
6.000%, 02/15/25		   1,035,565 
 256,000   First Quantum Minerals, Ltd.*
7.250%, 04/01/23		   271,736 
 1,242,000   Freeport-McMoRan, Inc.^
4.550%, 11/14/24		   1,261,996 
 186,000   Kinross Gold Corp.*µ
4.500%, 07/15/27		   187,618 
 856,000   PBF Holding Company, LLC /
PBF Finance Corp.
7.250%, 06/15/25		   904,360 
 619,000   United States Steel Corp.^
6.875%, 08/15/25		   650,226 
 33,000   Warrior Met Coal, Inc.*
8.000%, 11/01/24		   34,792 
         6,604,466 
           
     Real Estate (0.2%)     
 14,000   Crescent Communities,
LLC/Crescent Ventures, Inc.*
8.875%, 10/15/21		   14,905 
 586,000   MPT Operating Partnership, LP /
MPT Finance Corp.µ
5.000%, 10/15/27		   582,021 
 321,000   Starwood Property Trust, Inc.*µ
4.750%, 03/15/25		   318,156 
         915,082 
           
     Telecommunication Services (2.1%)     
 242,000   Altice Financing, SA*^
7.500%, 05/15/26		   251,853 
     Altice Luxembourg, SA*     
 186,000   7.750%, 05/15/22   178,560 
 186,000   7.625%, 02/15/25^   170,929 
 372,000   Altice US Finance I Corp.*^µ
5.500%, 05/15/26		   380,751 
 9,000   Block Communications, Inc.*
6.875%, 02/15/25		   9,404 
 335,000   CB Escrow Corp.*^
8.000%, 10/15/25		   338,151 
 1,214,000   CSC Holdings, LLC*^µ
5.500%, 04/15/27		   1,231,560 
 1,263,000   Embarq Corp.µ
7.995%, 06/01/36		   1,229,714 
     Frontier Communications Corp.     
 442,000   9.000%, 08/15/31^   289,011 
 302,000   8.500%, 04/15/20   295,419 
 293,000   Hughes Satellite Systems Corp.
6.625%, 08/01/26		   310,561 
     Intelsat Jackson Holdings, SA     
 540,000   9.750%, 07/15/25*^   498,312 
 386,000   7.500%, 04/01/21^   329,976 
 237,000   8.000%, 02/15/24*   249,157 
 316,000   Qwest Corp.^
6.875%, 09/15/33		   308,495 
 144,000   SBA Communications Corp.*^
4.000%, 10/01/22		   142,259 
     Sprint Corp.     
 1,605,000   7.875%, 09/15/23^   1,699,575 
 758,000   7.125%, 06/15/24   769,438 
PRINCIPAL
AMOUNT		      VALUE 
     T-Mobile USA, Inc.     
 721,000   6.625%, 04/01/23µ  $749,588 
 191,000   4.750%, 02/01/28^   191,846 
 586,000   United States Cellular Corp.µ
6.700%, 12/15/33		   620,551 
     Windstream Services, LLC     
 397,000   8.625%, 10/31/25*   371,435 
 216,000   7.750%, 10/01/21^   163,459 
 40,000   7.750%, 10/15/20^   34,327 
         10,814,331 
           
     Utilities (0.4%)     
 530,000   Dynegy, Inc.*^
8.125%, 01/30/26		   584,627 
     NGPL PipeCo, LLC*µ     
 140,000   4.875%, 08/15/27   143,715 
 140,000   4.375%, 08/15/22   142,056 
     NRG Energy, Inc.     
 359,000   5.750%, 01/15/28*^   359,869 
 326,000   6.625%, 01/15/27   345,547 
 265,000   PPL Capital Funding, Inc.^‡
4.358%, 03/30/67
3 mo. USD LIBOR + 2.67%		   263,496 
 186,000   Talen Energy Supply, LLC*^
10.500%, 01/15/26		   187,809 
 326,000   TerraForm Power Operating, LLC*
5.000%, 01/31/28		   321,601 
         2,348,720 
           
     TOTAL CORPORATE BONDS
(Cost $111,168,300)		   110,324,48 
           
CONVERTIBLE BONDS (95.7%)     
     Consumer Discretionary (16.1%)     
 2,000,000   Ctrip.com International, Ltd.
1.000%, 07/01/20		   2,143,880 
     DISH Network Corp.     
 6,000,000   2.375%, 03/15/24*   5,625,540 
 5,500,000   3.375%, 08/15/26^   5,827,250 
 4,746,000   Liberty Expedia Holdings, Inc.*^
1.000%, 06/30/47		   4,814,508 
     Liberty Interactive, LLC     
 5,498,000   1.750%, 09/30/46*   6,793,769 
 833,790   4.000%, 11/15/29^   590,811 
 825,000   3.750%, 02/15/30   578,238 
     Liberty Media Corp.     
 5,825,000   1.375%, 10/15/23   7,246,737 
 3,400,000   2.250%, 09/30/46^   3,584,790 
 3,500,000   Liberty Media Corp. / Liberty
Formula One*
1.000%, 01/30/23		   4,118,502 
 3,000,000   Marriott Vacations Worldwide Corp.*
1.500%, 09/15/22		   3,543,615 
 7,000,000   Priceline Group, Inc.
0.350%, 06/15/20		   10,428,250 
 3,000,000   RH*
0.000%, 07/15/20		   3,054,225 
 19,950,000   Tesla, Inc.
1.250%, 03/01/21		   22,950,979 
 1,750,000   Wayfair, Inc.*
0.375%, 09/01/22		   1,945,169 
         83,246,263 


See accompanying Notes to Schedule of Investments

 

4

 

 

Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)

 

PRINCIPAL
AMOUNT		         VALUE  
        Energy (4.2%)        
  6,750,000     Nabors Industries, Inc.*^
0.750%, 01/15/24		   $ 5,433,244  
  3,371,000     Oil States International, Inc.*^
1.500%, 02/15/23		     3,455,983  
  4,850,000     PDC Energy, Inc.
1.125%, 09/15/21		     4,870,855  
  4,700,000     SM Energy Company^
1.500%, 07/01/21		     4,793,976  
  9,600,000     SunEdison, Inc.@
0.250%, 01/15/20		     192,000  
  2,750,000     Weatherford International, Ltd.^
5.875%, 07/01/21		     2,877,848  
              21,623,906  
                 
        Financials (7.6%)        
  7,500,000     Ares Capital Corp.^µ
4.375%, 01/15/19		     7,592,287  
  1,500,000     Blackstone Mortgage Trust, Inc.
4.375%, 05/05/22		     1,482,030  
  2,000,000     Colony NorthStar, Inc.
3.875%, 01/15/21		     1,950,360  
  3,540,000   CAD Element Fleet Management Corp.*
4.250%, 06/30/20		     2,825,870  
  2,982,000     IAC FinanceCo, Inc.*^
0.875%, 10/01/22		     3,382,199  
  12,500,000     JPMorgan Chase Financial Company
0.000%, 05/01/23		     12,531,250  
  2,900,000     MGIC Investment Corp.*
9.000%, 04/01/63		     3,922,859  
  2,000,000     Prospect Capital Corp.^
4.750%, 04/15/20		     2,020,730  
  3,450,000     TCP Capital Corp.
4.625%, 03/01/22		     3,531,593  
              39,239,178  
                 
        Health Care (13.7%)        
        BioMarin Pharmaceutical, Inc.^µ        
  3,400,000     1.500%, 10/15/20     3,981,995  
  2,900,000     0.750%, 10/15/18     3,088,341  
  2,400,000     Flexion Therapeutics, Inc.*
3.375%, 05/01/24		     2,702,640  
  2,750,000     Illumina, Inc.
0.000%, 06/15/19		     3,022,333  
        Innoviva, Inc.        
  3,250,000     2.125%, 01/15/23     3,223,984  
  1,108,000     2.500%, 08/15/25*     1,202,800  
  1,500,000     Insmed, Inc.
1.750%, 01/15/25		     1,428,338  
  6,000,000     Insulet Corp.*
1.375%, 11/15/24		     6,373,020  
  2,500,000     Ionis Pharmaceuticals, Inc.
1.000%, 11/15/21		     2,680,275  
  2,555,000     Ironwood Pharmaceuticals, Inc.
2.250%, 06/15/22		     2,945,941  
  4,500,000     Jazz Investments I, Ltd.^
1.875%, 08/15/21		     4,666,657  
  1,500,000     Medicines Company
2.750%, 07/15/23		     1,468,358  
  5,250,000     Medidata Solutions, Inc.
1.000%, 08/01/18		     6,354,101  
  2,750,000     Molina Healthcare, Inc.
1.625%, 08/15/44		     4,444,687  
PRINCIPAL
AMOUNT		         VALUE  
  1,750,000     Neurocrine Biosciences, Inc.*^
2.250%, 05/15/24		   $ 2,366,525  
  2,750,000     Nevro Corp.
1.750%, 06/01/21		     3,075,504  
  4,550,000     NuVasive, Inc.
2.250%, 03/15/21		     4,875,439  
  6,750,000     Pacira Pharmaceuticals, Inc.*^
2.375%, 04/01/22		     6,547,297  
  3,000,000     Sarepta Therapeutics, Inc.*^
1.500%, 11/15/24		     3,454,905  
  2,750,000     Teladoc, Inc.*
3.000%, 12/15/22		     3,187,167  
              71,090,307  
                 
        Industrials (8.4%)        
  2,500,000     Air Lease Corp.µ
3.875%, 12/01/18		     4,199,962  
  3,500,000     Air Transport Services Group, Inc.*µ
1.125%, 10/15/24		     3,689,368  
  3,300,000     Atlas Air Worldwide Holdings, Inc.^
2.250%, 06/01/22		     3,710,075  
  4,500,000     Dycom Industries, Inc.^
0.750%, 09/15/21		     6,016,297  
  3,000,000     Echo Global Logistics, Inc.^
2.500%, 05/01/20		     3,161,565  
        Greenbrier Companies, Inc.        
  3,500,000     2.875%, 02/01/24*^     4,039,438  
  1,750,000     3.500%, 04/01/18     2,484,414  
  2,250,000     Kaman Corp.*
3.250%, 05/01/24		     2,601,821  
  2,750,000     Meritor, Inc.*^
3.250%, 10/15/37		     3,039,823  
  1,711,000     Patrick Industries, Inc.*
1.000%, 02/01/23		     1,726,929  
  3,500,000     Trinity Industries, Inc.
3.875%, 06/01/36		     5,105,222  
  3,400,000     Tutor Perini Corp.
2.875%, 06/15/21		     3,712,885  
              43,487,799  
                 
        Information Technology (41.8%)        
  2,000,000     Advanced Micro Devices, Inc.µ
2.125%, 09/01/26		     3,749,210  
  5,250,000     Altaba, Inc.µ
0.000%, 12/01/18		     7,921,305  
  5,100,000     Blackhawk Network Holdings, Inc.^µ
1.500%, 01/15/22		     5,697,261  
  4,435,000     Citrix Systems, Inc.^
0.500%, 04/15/19		     5,904,315  
  2,942,000     Coupa Software, Inc.*
0.375%, 01/15/23		     3,207,589  
        Cypress Semiconductor Corp.        
  1,550,000     4.500%, 01/15/22     2,203,736  
  914,000     2.000%, 02/01/23*     991,014  
  1,481,000     Envestnet, Inc.
1.750%, 12/15/19		     1,586,788  
  2,333,000     Everbridge, Inc.
1.500%, 11/01/22		     2,723,498  
  3,976,000     Finisar Corp.^
0.500%, 12/15/36		     3,633,845  
  4,850,000     II-VI, Inc.*
0.250%, 09/01/22		     5,473,007  


See accompanying Notes to Schedule of Investments

 

5

 

 

Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)
                 
PRINCIPAL
AMOUNT		         VALUE  
  7,175,000     Inphi Corp.^
0.750%, 09/01/21		   $ 6,691,907  
  5,900,000     Intel Corp.^~
3.250%, 08/01/39		     13,634,605  
  2,500,000     Knowles Corp.
3.250%, 11/01/21		     2,799,938  
  7,000,000     Lumentum Holdings, Inc.*^
0.250%, 03/15/24		     7,486,640  
  12,000,000     Microchip Technology, Inc.*~
1.625%, 02/15/27		     14,655,960  
  9,000,000     Micron Technology, Inc.~
3.000%, 11/15/43		     13,694,940  
  3,500,000     Nice Systems, Inc.^
1.250%, 01/15/24		     4,274,357  
  2,169,000     Novellus Systems, Inc.~
2.625%, 05/15/41		     12,397,288  
  3,151,000     Nutanix, Inc.*
0.000%, 01/15/23		     3,070,791  
        ON Semiconductor Corp.        
  6,010,000     1.000%, 12/01/20     8,589,101  
  3,500,000     1.625%, 10/15/23*^     4,789,925  
  3,500,000     OSI Systems, Inc.*
1.250%, 09/01/22		     3,245,603  
  875,000     Palo Alto Networks, Inc.
0.000%, 07/01/19		     1,277,588  
  4,750,000     Proofpoint, Inc.^
0.750%, 06/15/20		     6,463,990  
  3,150,000     Quotient Technology, Inc.*
1.750%, 12/01/22		     3,090,938  
  4,750,000     RealPage, Inc.*^
1.500%, 11/15/22		     6,277,576  
  2,625,000     Red Hat, Inc.
0.250%, 10/01/19		     4,709,762  
  3,275,000     Rovi Corp.
0.500%, 03/01/20		     3,114,836  
  7,700,000     Salesforce.com, Inc.
0.250%, 04/01/18		     13,174,045  
  5,500,000     Servicenow, Inc.*^
0.000%, 06/01/22		     6,736,785  
  3,500,000     Silicon Laboratories, Inc.*
1.375%, 03/01/22		     4,202,117  
  2,482,000     Synaptics, Inc.*^
0.500%, 06/15/22		     2,352,253  
  2,175,000     Teradyne, Inc.
1.250%, 12/15/23		     3,323,465  
  3,500,000     Veeco Instruments, Inc.
2.700%, 01/15/23		     3,140,988  
  3,500,000     Viavi Solutions, Inc.*
1.000%, 03/01/24		     3,418,485  
  3,000,000     Weibo Corp.*^
1.250%, 11/15/22		     3,641,370  
  12,250,000     Workday, Inc.*^
0.250%, 10/01/22		     12,813,684  
              216,160,505  
                 
        Materials (1.4%)        
  3,000,000     Royal Gold, Inc.^
2.875%, 06/15/19		     3,238,695  
  3,200,000     RTI International Metals, Inc.^
1.625%, 10/15/19		     3,776,592  
              7,015,287  
                 
        Real Estate (1.9%)        
  1,500,000     Empire State Realty OP, LP*
2.625%, 08/15/19		     1,619,392  
                 
PRINCIPAL
AMOUNT		         VALUE  
  4,200,000     IH Merger Sub, LLC*
3.500%, 01/15/22		   $ 4,730,040  
  3,400,000     Starwood Property Trust, Inc.^
4.375%, 04/01/23		     3,423,052  
              9,772,484  
                 
        Utilities (0.6%)        
  3,400,000     NRG Yield, Inc.*
3.250%, 06/01/20		     3,378,087  
                 
        TOTAL CONVERTIBLE BONDS
(Cost $478,668,473)		     495,013,816  
                 
U.S. GOVERNMENT AND AGENCY SECURITIES (1.1%)        
  5,582,000     United States Treasury Note^
1.875%, 05/31/22
(Cost $5,531,243)		     5,448,092  
                 
BANK LOANS (0.5%)        
        Consumer Discretionary (0.1%)        
  700,000     Weight Watchers International, Inc.
6.426%, 11/29/24		     710,717  
                 
        Financials (0.1%)        
  335,000     GLP Financing, LLC
3.520%, 04/28/21		     334,583  
                 
        Health Care (0.1%)        
  415,000     Team Health Holdings, Inc. !
0.000%, 02/06/24		     408,256  
                 
        Industrials (0.1%)        
  335,000     TransDigm, Inc. !     338,281  
                 
        Telecommunication Services (0.1%)        
  50,000     CSC Holdings, LLC !
0.000%, 01/25/26		     50,438  
  340,000     Intelsat Jackson Holdings, SA
6.625%, 01/14/24		     342,763  
  339,148     New Media Holdings II, LLC !     342,963  
              736,164  
        TOTAL BANK LOANS
(Cost $2,510,712)		     2,528,001  
         
SYNTHETIC CONVERTIBLE SECURITIES (2.0%) ¤        
         
Corporate Bonds (1.6%)        
                 
        Consumer Discretionary (0.3%)        
  19,000     AV Homes, Inc.
6.625%, 05/15/22		     19,879  
  24,000     Beverages & More, Inc.*
11.500%, 06/15/22		     22,702  
        CCO Holdings, LLC / CCO Holdings Capital Corp.*        
  47,000     5.125%, 05/01/27     45,895  
  10,000     5.000%, 02/01/28     9,681  
  40,000     Century Communities, Inc.
5.875%, 07/15/25		     40,653  


See accompanying Notes to Schedule of Investments

 

6

 

 

Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)
                 
PRINCIPAL
AMOUNT		         VALUE  
  25,000     CRC Escrow Issuer, LLC*^
5.250%, 10/15/25		   $ 24,957  
  174,000     Dana Financing Luxembourg Sarl*
6.500%, 06/01/26		     188,844  
        DISH DBS Corp.        
  56,000     5.875%, 11/15/24^     53,227  
  35,000     6.750%, 06/01/21     36,699  
  44,000     Eldorado Resorts, Inc.
6.000%, 04/01/25		     46,074  
  70,000     ESH Hospitality, Inc.*
5.250%, 05/01/25		     70,430  
  23,000     GameStop Corp.*µ
6.750%, 03/15/21		     23,829  
  33,000     goeasy, Ltd.*µ
7.875%, 11/01/22		     35,223  
  278,000     Goodyear Tire & Rubber Company
8.750%, 08/15/20		     314,882  
  14,000     Guitar Center, Inc.*
6.500%, 04/15/19		     13,710  
  24,000     Horizon Pharma, Inc. / Horizon Pharma USA, Inc.*^
8.750%, 11/01/24		     26,340  
  78,000     L Brands, Inc.^
6.875%, 11/01/35		     80,156  
  22,000     Lions Gate Entertainment Corp.*
5.875%, 11/01/24		     23,436  
  24,000     M/I Homes, Inc.
5.625%, 08/01/25		     24,487  
  49,000     Mattel, Inc.*^
6.750%, 12/31/25		     49,713  
  278,000     MGM Resorts International^
6.750%, 10/01/20		     299,591  
  102,000     Neiman Marcus Group Ltd., LLC*^
8.000%, 10/15/21		     65,089  
  23,000     Penske Automotive Group, Inc.^
5.500%, 05/15/26		     23,549  
        PetSmart, Inc.*^        
  19,000     5.875%, 06/01/25     14,693  
  5,000     8.875%, 06/01/25     3,181  
        Rite Aid Corp.        
  50,000     7.700%, 02/15/27     44,805  
  39,000     6.125%, 04/01/23*^     36,434  
  42,000     Salem Media Group, Inc.*
6.750%, 06/01/24		     41,426  
  33,000     Sally Holdings, LLC / Sally Capital, Inc.^
5.625%, 12/01/25		     32,917  
  44,000     SFR Group, SA*^
7.375%, 05/01/26		     43,333  
  24,000     Sotheby’s*
4.875%, 12/15/25		     23,568  
  5,000     VOC Escrow, Ltd.*
5.000%, 02/15/28		     4,998  
              1,784,401  
                 
        Consumer Staples (0.0%)        
  25,000     Albertsons Companies, LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertson’s, LLC^
5.750%, 03/15/25		     22,406  
  28,000     Fresh Market, Inc.*^
9.750%, 05/01/23		     19,635  
        JBS USA LUX SA / JBS USA Finance, Inc.*        
  113,000     7.250%, 06/01/21     115,468  
                 
PRINCIPAL
AMOUNT		         VALUE  
  24,000     8.250%, 02/01/20   $ 24,144  
        New Albertson’s, Inc.        
  22,000     7.450%, 08/01/29^     19,394  
  12,000     8.000%, 05/01/31     10,751  
  6,000     7.750%, 06/15/26     5,455  
        Pilgrim’s Pride Corp.*        
  5,000     5.750%, 03/15/25     5,076  
  4,000     5.875%, 09/30/27     4,021  
        Post Holdings, Inc.*        
  23,000     5.750%, 03/01/27     23,150  
  5,000     5.625%, 01/15/28^     4,994  
              254,494  
                 
        Energy (0.2%)        
  24,000     Buckeye Partners, LPµ‡
6.375%, 01/22/78
3 mo. USD LIBOR + 4.02%		     24,511  
  38,000     Calfrac Holdings, LP*
7.500%, 12/01/20		     38,142  
  25,000     California Resources Corp.*
8.000%, 12/15/22		     21,078  
        Carrizo Oil & Gas, Inc.        
  20,000     8.250%, 07/15/25     22,058  
  12,000     6.250%, 04/15/23^     12,424  
  25,000     Chesapeake Energy Corp.*
8.000%, 01/15/25		     25,293  
  5,000     CONSOL Energy, Inc.*
11.000%, 11/15/25		     5,387  
  5,000     CrownRock, LP / CrownRock Finance, Inc.*
5.625%, 10/15/25		     5,066  
  46,000     DCP Midstream Operating, LP*‡
5.850%, 05/21/43
3 mo. USD LIBOR + 3.85%		     44,225  
  9,000     DCP Midstream, LP^‡
7.375%, 02/01/30
3 mo. USD LIBOR + 5.15%		     9,271  
  10,000     Diamond Offshore Drilling, Inc.
7.875%, 08/15/25		     10,615  
  44,000     Energy Transfer Equity, LPµ
5.500%, 06/01/27		     46,477  
  52,000     Energy Transfer Partners, LPµ‡
4.791%, 11/01/66
3 mo. USD LIBOR + 3.02%		     46,637  
        Genesis Energy, LP / Genesis Energy Finance Corp.        
  24,000     6.500%, 10/01/25^     24,472  
  24,000     6.250%, 05/15/26     23,995  
  36,000     Gulfport Energy Corp.
6.375%, 05/15/25		     36,614  
  46,000     Halcon Resources Corp.
6.750%, 02/15/25		     48,645  
  10,000     Lonestar Resources America, Inc.*
11.250%, 01/01/23		     10,417  
  14,000     Moss Creek Resources Holdings, Inc.*
7.500%, 01/15/26		     14,577  
  2,000     Nabors Industries, Inc.*^
5.750%, 02/01/25		     1,970  
  23,000     Par Petroleum, LLC / Petroleum Finance Corp.*
7.750%, 12/15/25		     23,105  
  24,000     PDC Energy, Inc.*
5.750%, 05/15/26		     24,553  


See accompanying Notes to Schedule of Investments

 

7

 

  

Calamos Dynamic Convertible and Income Fund  

SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)

 

PRINCIPAL
AMOUNT		      VALUE 
 24,000   Plains All American Pipeline, LP^‡
6.125%, 02/01/30
3 mo. USD LIBOR + 4.11%		  $24,182 
 24,000   QEP Resources, Inc.^µ
5.625%, 03/01/26		   24,602 
 45,000   SESI, LLC*^
7.750%, 09/15/24		   48,474 
 10,000   SM Energy Company^
6.750%, 09/15/26		   10,446 
 20,000   Southwestern Energy Company^
7.500%, 04/01/26		   20,963 
 16,000   Sunoco, LP / Sunoco Finance
Corp.*^
5.500%, 02/15/26		   16,333 
 23,000   Transocean, Inc.*
7.500%, 01/15/26		   23,968 
 24,000   Vine Oil & Gas, LP / Vine Oil &
Gas Finance Corp.*
8.750%, 04/15/23		   24,168 
 45,000   Weatherford International, Ltd.^
8.250%, 06/15/23		   47,690 
 23,000   Whiting Petroleum Corp.*^
6.625%, 01/15/26		   23,538 
 29,000   WildHorse Resource
Development Corp.		     
     6.875%, 02/01/25   30,094 
         813,990 
           
     Financials (0.2%)     
 47,000   Acrisure, LLC / Acrisure Finance, Inc.*
7.000%, 11/15/25		   46,906 
 64,000   Ally Financial, Inc.
8.000%, 11/01/31		   81,738 
 43,000   Ardonagh Midco 3, PLC*
8.625%, 07/15/23		   44,863 
 40,000   AssuredPartners, Inc.*^
7.000%, 08/15/25		   41,173 
 47,000   Charles Schwab Corp.^‡
5.000%, 02/01/30
3 mo. USD LIBOR + 2.58%		   46,515 
 5,000   Citadel, LP*µ
5.375%, 01/17/23		   5,187 
 30,000   CyrusOne, LP / CyrusOne
Finance Corp.µ
5.375%, 03/15/27		   31,244 
 42,000   Dell International, LLC / EMC
Corp.*µ
6.020%, 06/15/26		   45,989 
 24,000   Discover Financial Servicesµ‡
5.500%, 02/01/30
3 mo. USD LIBOR + 3.08%		   24,410 
 10,000   Greystar Real Estate Partners, LLC*
5.750%, 12/01/25		   10,328 
 19,000   HUB International, Ltd.*
7.875%, 10/01/21		   19,772 
 37,000   ILFC E-Capital Trust II*‡
4.620%, 12/21/65
3 mo. USD LIBOR + 1.80%		   36,353 
 28,000   Iron Mountain, Inc.*µ
5.250%, 03/15/28		   27,209 
 80,000   Jefferies Finance, LLC*^
7.250%, 08/15/24		   83,156 
PRINCIPAL
AMOUNT		      VALUE 
 23,000   Ladder Capital Finance Holdings
LLLP / Ladder Capital Finance Corp.*µ
5.250%, 10/01/25 		  $23,058 
 19,000   Level 3 Financing, Inc.
5.375%, 05/01/25		   19,064 
 25,000   LPL Holdings, Inc.*
5.750%, 09/15/25		   25,530 
 34,000   MetLife, Inc.µ
6.400%, 12/15/66		   38,873 
 45,000   Nationstar Mortgage, LLC /
Nationstar Capital Corp.
6.500%, 07/01/21		   45,627 
 44,000   Navient Corp.^
6.750%, 06/25/25		   46,167 
 20,000   NexBank Capital, Inc.*‡&
6.375%, 09/30/27
3 mo. USD LIBOR + 4.59%		   20,273 
 28,000   Oil Insurance, Ltd.*‡
4.677%, 03/05/18
3 mo. USD LIBOR + 2.98%		   27,242 
 67,000   Quicken Loans, Inc.*µ
5.750%, 05/01/25		   68,498 
 10,000   Radian Group, Inc.µ
4.500%, 10/01/24		   10,077 
     Springleaf Finance Corp.

     
 35,000   8.250%, 10/01/23   38,761 
 4,000   5.625%, 03/15/23   4,012 
 13,000   Towne Bank‡
4.500%, 07/30/27
3 mo. USD LIBOR + 2.55%		   13,242 
 48,000   Tronox Finance, PLC*
5.750%, 10/01/25		   49,284 
 17,000   VEREIT Operating Partnership, LPµ
3.950%, 08/15/27		   16,480 
         991,031 
           
     Health Care (0.3%)     
 44,000   Acadia Healthcare Company, Inc.
6.500%, 03/01/24		   46,145 
     Community Health Systems, Inc.^     
 84,000   7.125%, 07/15/20   73,519 
 23,000   6.875%, 02/01/22   16,387 
 10,000   8.000%, 11/15/19   9,384 
 71,000   DaVita, Inc.
5.125%, 07/15/24		   71,602 
 411,000   Endo International, PLC*
7.250%, 01/15/22		   359,855 
 46,000   Greatbatch, Ltd.*
9.125%, 11/01/23
   50,097 
     HCA, Inc.     
 170,000   5.375%, 02/01/25   174,004 
 21,000   7.500%, 11/06/33   23,427 
 25,000   Magellan Health, Inc.µ
4.400%, 09/22/24		   25,016 
 40,000   Mallinckrodt International Finance,
SA / Mallinckrodt CB, LLC*^
5.625%, 10/15/23		   34,258 
 5,000   Team Health Holdings, Inc.*^
6.375%, 02/01/25		   4,670 
     Tenet Healthcare Corp.^     
 68,000   6.750%, 06/15/23   67,169 
 47,000   5.125%, 05/01/25*   46,937 


See accompanying Notes to Schedule of Investments

 

8 

 

Dynamic Convertible and Income Fund 

SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)

 

PRINCIPAL
AMOUNT		      VALUE 
 46,000   Teva Pharmaceutical Finance
Company, BV^
2.950%, 12/18/22		  $42,008 
 34,000   Teva Pharmaceutical Finance IV, BV^
3.650%, 11/10/21		   32,948 
 10,000   Teva Pharmaceutical Finance IV, LLC^
2.250%, 03/18/20		   9,722 
 25,000   Teva Pharmaceutical Finance
Netherlands III, BV^
2.200%, 07/21/21		   23,313 
     Valeant Pharmaceuticals
International, Inc.*		     
 183,000   7.250%, 07/15/22   181,897 
 47,000   9.000%, 12/15/25^   48,409 
 29,000   West Street Merger Sub, Inc.*^
6.375%, 09/01/25		   29,388 
         1,370,155 
           
     Industrials (0.2%)     
 30,000   Allison Transmission, Inc.*µ
4.750%, 10/01/27		   29,934 
 10,000   American Woodmark Corp.
4.875%, 03/15/26		   10,038 
 26,000   ARD Securities Finance SARL*
8.750%, 01/31/23
8.750% PIK rate		   26,901 
 24,000   Beacon Escrow Corp.*
4.875%, 11/01/25		   23,942 
 24,000   Bombardier, Inc.*
7.500%, 12/01/24		   25,268 
 16,000   Catalent Pharma Solutions, Inc.*
4.875%, 01/15/26		   16,015 
 17,000   Covanta Holding Corp.^
5.875%, 03/01/24		   17,422 
 26,000   Delphi Technologies, PLC*
5.000%, 10/01/25		   25,986 
 26,000   Fly Leasing, Ltd.^
5.250%, 10/15/24		   26,139 
 5,000   FXI Holdings, Inc.*
7.875%, 11/01/24		   4,996 
 73,000   Golden Nugget, Inc.*
6.750%, 10/15/24		   75,561 
 21,000   Great Lakes Dredge & Dock Corp.
8.000%, 05/15/22		   22,118 
 35,000   H&E Equipment Services, Inc.*
5.625%, 09/01/25		   36,345 
 5,000   Hertz Corp.*^
7.625%, 06/01/22		   5,236 
     Icahn Enterprises, LPµ     
 24,000   6.750%, 02/01/24   25,002 
 24,000   6.375%, 12/15/25*   24,449 
 14,000   James Hardie International
Finance, Ltd.*^
4.750%, 01/15/25		   14,192 
 24,000   Jeld-Wen, Inc.*
4.625%, 12/15/25		   24,050 
 13,000   JPW Industries Holding Corp.*
9.000%, 10/01/24		   13,678 
 38,000   Meritor, Inc.
6.250%, 02/15/24		   39,947 
 5,000   Multi-Color Corp.*
4.875%, 11/01/25		   5,023 
 33,000   Navistar International Corp.*
6.625%, 11/01/25		   34,645 
PRINCIPAL AMOUNT      VALUE 
     Park Aerospace Holdings, Ltd.*^     
 19,000   5.500%, 02/15/24  $18,835 
 15,000   4.500%, 03/15/23µ   14,468 
 29,000   Park-Ohio Industries, Inc.
6.625%, 04/15/27		   31,137 
 22,000   Scientific Games International, Inc.*^
5.000%, 10/15/25		   22,066 
 15,000   Tennant Company*
5.625%, 05/01/25		   15,674 
 2,000   Trident Merger Sub, Inc.*
6.625%, 11/01/25		   2,017 
 5,000   TriMas Corp.*
4.875%, 10/15/25		   5,054 
     United Continental Holdings, Inc.     
 278,000   6.375%, 06/01/18   281,390 
 15,000   4.250%, 10/01/22µ   15,101 
 38,000   United Rentals North America, Inc.µ
4.875%, 01/15/28		   38,033 
 12,000   Waste Pro USA, Inc.*
5.500%, 02/15/26		   12,222 
         982,884 
           
     Information Technology (0.1%)     
 152,000   Alliance Data Systems Corp.*
6.375%, 04/01/20		   153,000 
 27,000   Cardtronics, Inc.*
5.500%, 05/01/25		   25,196 
 23,000   CBS Radio, Inc.*
7.250%, 11/01/24		   24,187 
 24,000   CDK Global, Inc.*µ
4.875%, 06/01/27		   24,110 
 37,000   Clear Channel Worldwide
Holdings, Inc.^
7.625%, 03/15/20		   36,593 
 37,000   CommScope Technologies, LLC*
6.000%, 06/15/25		   39,034 
 104,000   First Data Corp. - Class A*^
7.000%, 12/01/23		   109,833 
 24,000   Harland Clarke Holdings Corp.*
8.375%, 08/15/22		   25,034 
 21,000   Nuance Communications, Inc.µ
5.625%, 12/15/26		   21,766 
 26,000   TTM Technologies, Inc.*
5.625%, 10/01/25		   26,770 
 21,000   VFH Parent, LLC*^
6.750%, 06/15/22		   22,095 
         507,618 
           
     Materials (0.1%)     
 39,000   AK Steel Corp.^
6.375%, 10/15/25		   38,694 
 35,000   Alcoa Nederland Holding, BV*µ
7.000%, 09/30/26		   38,822 
 71,000   ArcelorMittal, SAµ
7.500%, 10/15/39		   91,723 
 75,000   Ardagh Packaging Finance, PLC /
Ardagh Holdings USA, Inc.*
6.000%, 02/15/25		   77,667 
 19,000   First Quantum Minerals, Ltd.*
7.250%, 04/01/23		   20,168 
 93,000   Freeport-McMoRan, Inc.^
4.550%, 11/14/24		   94,497 
 14,000   Kinross Gold Corp.*µ
4.500%, 07/15/27		   14,122 


See accompanying Notes to Schedule of Investments

9 

  

Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)

 

PRINCIPAL AMOUNT      VALUE 
 64,000   PBF Holding Company, LLC /
PBF Finance Corp.
7.250%, 06/15/25		  $67,616 
 46,000   United States Steel Corp.^
6.875%, 08/15/25		   48,320 
 2,000   Warrior Met Coal, Inc.*
8.000%, 11/01/24		   2,109 
         493,738 
           
     Real Estate (0.0%)     
 1,000   Crescent Communities,
LLC/Crescent Ventures, Inc.*
8.875%, 10/15/21		   1,065 
 44,000   MPT Operating Partnership, LP /
MPT Finance Corp.µ
5.000%, 10/15/27		   43,701 
 24,000   Starwood Property Trust, Inc.*µ
4.750%, 03/15/25		   23,787 
         68,553 
           
     Telecommunication Services (0.2%)     
 18,000   Altice Financing, SA*^
7.500%, 05/15/26		   18,733 
     Altice Luxembourg, SA*     
 14,000   7.750%, 05/15/22   13,440 
 14,000   7.625%, 02/15/25^   12,866 
 28,000   Altice US Finance I Corp.*^µ
5.500%, 05/15/26		   28,659 
 1,000   Block Communications, Inc.*
6.875%, 02/15/25		   1,045 
 25,000   CB Escrow Corp.*^
8.000%, 10/15/25		   25,235 
 91,000   CSC Holdings, LLC*^µ
5.500%, 04/15/27		   92,316 
 94,000   Embarq Corp.µ
7.995%, 06/01/36		   91,523 
     Frontier Communications Corp.     
 33,000   9.000%, 08/15/31^   21,578 
 23,000   8.500%, 04/15/20   22,499 
 22,000   Hughes Satellite Systems Corp.
6.625%, 08/01/26		   23,319 
     Intelsat Jackson Holdings, SA     
 40,000   9.750%, 07/15/25*^   36,912 
 29,000   7.500%, 04/01/21^   24,791 
 18,000   8.000%, 02/15/24*   18,923 
 24,000   Qwest Corp.^
6.875%, 09/15/33		   23,430 
 11,000   SBA Communications Corp.*^
4.000%, 10/01/22		   10,867 
     Sprint Corp.     
 120,000   7.875%, 09/15/23^   127,071 
 57,000   7.125%, 06/15/24   57,860 
     T-Mobile USA, Inc.     
 54,000   6.625%, 04/01/23µ   56,141 
 14,000   4.750%, 02/01/28^   14,062 
 44,000   United States Cellular Corp.µ
6.700%, 12/15/33		   46,594 
     Windstream Services, LLC     
 30,000   8.625%, 10/31/25*   28,068 
 16,000   7.750%, 10/01/21^   12,108 
 3,000   7.750%, 10/15/20^   2,574 
         810,614 
           
     Utilities (0.0%)     
 40,000   Dynegy, Inc.*^
8.125%, 01/30/26		   44,123 
PRINCIPAL AMOUNT      VALUE 
     NGPL PipeCo, LLC*µ     
 10,000   4.875%, 08/15/27  $10,265 
 10,000   4.375%, 08/15/22   10,147 
     NRG Energy, Inc.     
 27,000   5.750%, 01/15/28*^   27,065 
 24,000   6.625%, 01/15/27   25,439 
 20,000   PPL Capital Funding, Inc.^‡
4.358%, 03/30/67
3 mo. USD LIBOR + 2.67%		   19,887 
 14,000   Talen Energy Supply, LLC*^
10.500%, 01/15/26		   14,136 
 24,000   TerraForm Power Operating, LLC*
5.000%, 01/31/28		   23,676 
         174,738 
     TOTAL CORPORATE BONDS   8,252,216 
           
U.S. Government and Agency Securities (0.1%)     
 418,000   United States Treasury Note^
1.875%, 05/31/22		   407,972 

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT		      VALUE 
      
Purchased Options (0.3%) #     
     Financials (0.2%)     
 2,000   Bank of America Corp.     
 200,000   Call, 01/18/19, Strike $30.00   890,000 
           
     Industrials (0.1%)     
 425   Stanley Black & Decker, Inc.     
 42,500   Call, 01/18/19, Strike $170.00   633,250 
           
     Materials (0.0%)     
 50   Alcoa Corp.     
 5,000   Call, 04/20/18, Strike $60.00   5,625 
           
     TOTAL PURCHASED OPTIONS   1,528,875 
           
     TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $9,953,987)		   10,189,063 

 

NUMBER OF
SHARES		      VALUE 
         
CONVERTIBLE PREFERRED STOCKS (23.2%)     
     Energy (2.9%)     
 61,000   CenterPoint Energy, Inc. (Time
Warner, Inc., Charter
Communications Time, Inc.)~**§
3.399%, 09/15/29		   4,422,683 
 86,450   Hess Corp.
8.000%, 02/01/19		   5,175,762 
 55,800   NuStar Energy, LP‡
8.500%, 12/31/49
3 mo. USD LIBOR + 6.77%		   1,407,276 
 66,000   WPX Energy, Inc.
6.250%, 07/31/18		   4,148,760 
         15,154,481 


 

See accompanying Notes to Schedule of Investments

 

10

 

 

Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)

 

NUMBER OF SHARES      VALUE 
    Financials (8.3%)    
 164,000   AMG Capital Trust II~
5.150%, 10/15/37		  $10,348,925 
 10,675   Bank of America Corp.
7.250%, 12/31/49		   13,471,850 
 17,347   Virtus Investment Partners, Inc.
7.250%, 02/01/20		   1,890,823 
 13,555   Wells Fargo & Company
7.500%, 12/31/49		   17,350,400 
         43,061,998 
           
     Health Care (6.5%)     
 22,100   Allergan, PLC
5.500%, 03/01/18		   14,314,170 
 210,225   Anthem, Inc.
5.250%, 05/01/18		   12,626,113 
 103,500   Becton Dickinson and Company
6.125%, 05/01/20		   6,491,520 
         33,431,803 
           
     Industrials (0.8%)     
 67,000   Rexnord Corp.
5.750%, 11/15/19		   4,109,110 
           
     Real Estate (2.1%)     
 5,900   Crown Castle International Corp.^
6.875%, 08/01/20		   6,601,156 
 76,025   Welltower, Inc.
6.500%		   4,399,567 
         11,000,723 
           
     Utilities (2.6%)     
 68,875   DTE Energy Company
6.500%, 10/01/19		   3,642,351 
     NextEra Energy, Inc.     
 153,385   6.123%, 09/01/19   8,675,455 
 16,185   6.371%, 09/01/18   1,148,488 
         13,466,294 
           
     TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $119,770,460)		   120,224,409 
           
COMMON STOCKS (0.9%)     
     Consumer Discretionary (0.0%)     
 5,995   GameStop Corp. - Class A^   100,776 
           
     Energy (0.7%)     
 22,650   Enterprise Products Partners, LP   625,593 
 8,930   Magellan Midstream Partners, LP~   637,513 
 885   Schlumberger, Ltd.   65,118 
 328,423   Southwestern Energy Company^#   1,392,516 
 17,015   Spectra Energy Partners, LP   727,221 
 4,965   Targa Resources Corp.^   238,320 
         3,686,281 
           
     Health Care (0.2%)     
 4,160   Illumina, Inc.~#   967,782 
           
     TOTAL COMMON STOCKS
(Cost $10,434,667)		   4,754,839 
NUMBER OF SHARES      VALUE 
     
EXCHANGE-TRADED FUND (0.8%)    
    Other (0.8%)    
 108,050   SPDR Barclays Capital High Yield Bond ETF^
(Cost $4,027,380)		  $3,965,435 

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT		      VALUE 
           
PURCHASED OPTIONS (0.1%) #     
     Consumer Discretionary (0.1%)     
 45   Priceline Group, Inc.     
 4,500   Put, 06/15/18, Strike $1,900.00  $522,000 
           
     Materials (0.0%)     
 50   Alcoa Corp.     
 5,000   Put, 04/20/18, Strike $50.00  $12,625 
           
     TOTAL PURCHASED OPTIONS
(Cost $592,312)		   534,625 

 

NUMBER OF SHARES       VALUE 
           
SHORT TERM INVESTMENTS (1.4%)     
  3,688,647    Fidelity Prime Money Market Fund - Institutional Class, 1.51%***   3,689,753 
  3,680,559    Morgan Stanley Institutional
Liquidity Funds - Government
Portfolio, 1.21%***		   3,680,559 
             
       TOTAL SHORT TERM INVESTMENTS
(Cost $7,370,312)		   7,370,312 
             
TOTAL INVESTMENTS (147.0%)
(Cost $750,027,846)		   760,353,078 
      
MANDATORY REDEEMABLE PREFERRED
SHARES, AT LIQUIDATION VALUE (-12.4%)		   (64,000,000)
      
LIABILITIES, LESS OTHER ASSETS (-34.6%)   (179,076,592)
      
NET ASSETS (100.0%)  $517,276,486 

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT		      VALUE 
           
WRITTEN OPTIONS (-0.1%) #     
     Consumer Discretionary (0.0%)     
 45   Priceline Group, Inc.     
 4,500   Put, 06/15/18, Strike $1,650.00   (157,275)
           
     Health Care (-0.1%)     
 125   Illumina, Inc.     
 12,500   Call, 03/16/18, Strike $220.00   (205,625)


 

See accompanying Notes to Schedule of Investments

 

11

 

 

Calamos Dynamic Convertible and Income Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED)

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT		      VALUE 
     Information Technology (0.0%)     
 1,000   Micron Technology, Inc.     
 100,000   Call, 02/16/18, Strike $50.00  $(18,500)
           
     Materials (0.0%)     
 50   Alcoa Corp.     
 5,000   Put, 04/20/18, Strike $55.00   (26,000)
           
     TOTAL WRITTEN OPTIONS
(Premium $535,556)		   (407,400)

 

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.

^Security, or portion of security, is on loan.

µSecurity, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $45,496,721.

‡Variable rate security. The rate shown is the rate in effect at January 31, 2018.

&Illiquid security.

@In default status and considered non-income producing.

~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 $5,691,862.

!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.

¤The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security.

**Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at January 31, 2018.

§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.

***The rate disclosed is the 7 day net yield as of January 31, 2018.

 

FOREIGN CURRENCY ABBREVIATION

CADCanadian 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

 

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, 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.

 

Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.

 

Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.

 

Note 2 – Investments 

The cost basis of investments for federal income tax purposes at January 31, 2018 was as follows*:

 

Cost basis of investments  $749,492,290 
Gross unrealized appreciation   51,031,306 
Gross unrealized depreciation   (40,577,918)
Net unrealized appreciation (depreciation)  $10,453,388 

 

 

 

 

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

 

Note 3 – Mandatory Redeemable Preferred Shares 

On September 6, 2017, the Fund issued 2,560,000 mandatory redeemable preferred shares (“MRPS”) 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 Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations.

 

The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at January 31, 2018.

 

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 
                 Total   $64,000,000 

 

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

 

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 Fitch Ratings, Inc. (“Fitch”). If on the first day of a monthly dividend period the MRPS of any class are rated lower than “A” by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund), 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 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.

 

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

 

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

 

Note 4 – Fair Value Measurement 

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  $—   $110,324,486   $—   $110,324,486 
Convertible Bonds   —    495,013,816    —    495,013,816 
U.S. Government and Agency Securities   —    5,448,092    —    5,448,092 
Bank Loans   —    2,528,001    —    2,528,001 
Synthetic Convertible Securities (Corporate Bonds)   —    8,252,216    —    8,252,216 
Synthetic Convertible Securities (Purchased Options)   1,528,875    —    —    1,528,875 
Synthetic Convertible Securities (U.S. Government and Agency Security)   —    407,972    —    407,972 
Convertible Preferred Stocks   101,810,450    18,413,959    —    120,224,409 
Common Stocks U.S.   4,754,839    —    —    4,754,839 
Exchange-Traded Funds   3,965,435    —    —    3,965,435 
Purchased Options   534,625    —    —    534,625 
Short Term Investments   7,370,312    —    —    7,370,312 
TOTAL  $119,964,536   $640,388,542   $—   $760,353,078 
Liabilities:                    
Written Options  $407,400   $—   $—   $407,400 
TOTAL  $407,400   $—   $—   $407,400 

 

 

 

 

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: March 8, 2018  

 

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: March 8, 2018  
     
By: /s/ Curtis Holloway  
Name: Curtis Holloway  
Title: Principal Financial Officer  
Date: March 8, 2018