Edgar Filing: CALAMOS CONVERTIBLE OPPORTUNITIES & INCOME FUND

nvcsr

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21080

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Convertible Opportunities 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., President,
		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, 2009

DATE OF REPORTING PERIOD: November 1, 2008 through October 31, 2009


ITEM 1.	REPORTS TO SHAREHOLDERS

Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270. 30e-1).

Calamos Investments: Expertise and Foresight

Since our founding in 1977, Calamos Investments has been committed to addressing the investment needs of individual and institutional investors. For over 30 years, clients have admired our adherence to a single investment approach: to seek a proper balance between risks and opportunities. We owe our success to the consistent application of this mantra: one team, one process. A single team of investment professionals analyzes the entire capital structure of a company prior to selecting individual securities for the portfolios. The versatility of our approach, our disciplined focus on risk management, and our goal of consistently achieving superior returns for our clients are three pillars that support our ongoing prosperity. Leveraging founder John P. Calamos, Sr.’s expertise in the complex convertible market, the company has evolved from a small boutique manager into a global, growth-focused investment firm that offers multiple investment vehicles across equity, fixed-income and alternative strategies.

We invite you to review our annual report.

TABLE OF CONTENTS


Letter to Shareholders		1

Investment Team Discussion		3

Schedule of Investments		5

Statement of Assets and Liabilities		14

Statement of Operations		15

Statements of Changes In Net Assets		16

Statement of Cash Flows		17

Notes to Financial Statements		18

Financial Highlights		28

Report of Independent Registered Public Accounting Firm		29

Trustee Approval of Management Agreement		30

Tax Information		32

Trustees & Officers		33

About Closed-End Funds		37

Level Rate Distribution Policy and Automatic Dividend Reinvestment Plan		38

The Calamos Investments Advantage		39

Calamos Closed-End Funds		40

Letter to Shareholders

About the Fund


	•	CHI utilizes a blend of high-yield and convertible securities to produce a stream of income paid out on a monthly basis.

	•	The Fund’s dynamic asset allocation approach and broad investment universe provides enhanced opportunities to pursue income and total returns.

	•	Invests primarily in U.S. markets.

Dear Shareholder:

Enclosed is your annual report for the fiscal year ended October 31, 2009. We appreciate the opportunity to correspond with you. I encourage you to carefully review this report, which includes an assessment of market conditions and Fund commentary from our investment team. The report also includes a listing of portfolio holdings, financial data and highlights, as well as detailed information about the performance and allocations of the Calamos Convertible Opportunities and Income Fund (CHI).

The year in review was divided into two distinct phases. In the first one, fallout from the global financial crisis kept the markets mired in pessimism. Anxiety ran high due to limited access to credit, the failing financial and auto industries, the grim housing market, and uncertainty about government stimulus plans and dire economic data. A depression scenario, rather than a severe recession was a widespread concern and panic led to the markets’ lows in March. In the second phase, these issues did not go away, but the perception that the world was not falling off a cliff combined with the fact that valuations had reached very attractive levels underpinned the strong market rebound in the remainder of the year. As markets roared back, the Fund participated with holdings (such as, convertibles, and high-yield bonds) generating solid gains.

Certainly, the problems of 2008 are not completely resolved. Future government involvement in the financial sector and health care system, the pace of economic recovery, and the long-term implications of government stimulus programs cast a shadow. However, the depression scenario has waned and the bad news has become “less bad.”

Although global governments have flooded the world’s financial system with cash, inflation has been kept at bay (so far). Positive third-quarter gross domestic product growth in the U.S. provided a counterbalance to continued weakness in employment data. Consumer activity remains muted, but has been rekindled. Government intervention has played a role, with programs like “cash for clunkers” helping to loosen purse strings. Low interest rates and government incentives for first-time homebuyers have also boosted the challenged mortgage and housing markets.


Convertible Opportunities and Income Fund Letter to Shareholders ANNUAL REPORT				1

Letter to Shareholders

Throughout the period we remained confident about our investment process, and the Fund proved to be well positioned to participate in general market trends. Convertibles performed in line with our expectations—participating in equity upswings while offering a degree of downside protection. Valuations improved steadily throughout the year. The corporate debt we owned benefited from a strong rebound sparked by renewed interest in the asset class, narrowing credit spreads and the realization that credit markets were once again opened for business. In Funds where we invest in common stocks, the portfolios also benefited as stock prices recovered amidst the prospect that another Depression was off the table.

We have also identified many attractive investments that take advantage of global opportunities, with some non-U.S. markets offering some of the most compelling opportunities that we have encountered over the past 40 years. In addition to U.S. and European businesses that may participate, the opportunities we are seeing extend beyond the developed markets to select companies in emerging markets such as China, India and Brazil.

If you have any questions about your portfolio, please contact us at 800.582.6959, Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time—or speak to your financial advisor. I also encourage you to visit our website at calamos.com on a regular basis, for updated commentary and more information about your Fund. We thank you for your continued confidence and are honored by the opportunity to help you achieve your long-term investment goals.

Sincerely,

John P. Calamos, Sr.

Chairman, CEO and Co-CIO

Calamos Advisors LLC

This report is for informational purposes only and should not be considered investment advice.


2		Convertible Opportunities and Income Fund ANNUAL REPORT Letter to Shareholders

Investment Team Discussion

The Calamos Investment Management Team, led by Co-Chief Investment Officers John P. Calamos, Sr. and Nick P. Calamos, CFA, discusses the Fund’s performance, strategy and positioning during the one-year period ended October 31, 2009.

TOTAL RETURN*

Common Shares – Inception 6/26/02


			Since
	1 Year		Inception**

On Market Price		41.70%		8.28%
On NAV		62.00%		9.51%

*Total return measures net investment income and net realized gain or loss from portfolio investments, and change in net unrealized appreciation or depreciation, assuming reinvestment of income and net realized gains distributions.

**Annualized since inception.

Performance Overview

The Calamos Convertible Opportunities and Income Fund (CHI) employs an enhanced fixed-income total return strategy that utilizes opportunities that Calamos has found within the Convertible and High Yield Debt Markets. Our goal with CHI has been to prudently maximize the distribution rate throughout the market cycle, while keeping an eye toward risk. To that end, the 12 month period ended October 31, 2009 was a dramatic and remarkable year, even in the context of investment managers who have been actively managing markets since the 1970s.

The Fund’s fiscal year end results were very positive with the net asset value up 62.00%. While the results were positive, the year was characterized by significant volatility. The period began with a market in the midst of one of the most challenging credit environments in history. The market rebounded strongly, however, as investors came to believe that the U.S. and global economies were not headed into a Depression, and subsequently purchased securities at extremely discounted prices. From March 9, 2009 to October 31, 2009, the markets climbed off their lows with the S&P 500 climbing 55%, the BofA Merrill Lynch High Yield Index up 53% and the BofA Merrill Lynch All Convertible Index up 46%.

SINCE INCEPTION MARKET PRICE AND NAV HISTORY

SECTOR ALLOCATION


Energy	16.7	%
Materials	15.0	%
Information Technology	13.7	%
Consumer Discretionary	12.8	%
Industrials	9.2	%
Financials	8.5	%
Consumer Staples	7.8	%
Health Care	7.8	%
Telecommunication Services	4.0	%
Utilities	0.5	%

Sector Allocations are based on managed assets and may vary over time. Sector Allocations exclude Sovereign Bonds, U.S. Treasuries and certain index options that have representation across all sectors.

As noted above, the Fund performed extremely well over the twelve month period. CHI’s NAV return of 62.00% strongly outpaced that of the convertible, high yield and equity markets. The BofA Merrill Lynch Convertible Index was up 37.27%, the BofA Merrill Lynch High Yield Index was up 49.79% and the S&P 500 was up 9.80% over the same time period. CHI’s portfolio benefited greatly as credit spreads narrowed from the extreme levels observed at the end of 2009. The portfolio also benefited from improved valuations in the convertible market. From a sector positioning


Convertible Opportunities and Income Fund Investment Team Discussion ANNUAL REPORT				3

Investment Team Discussion

perspective, performance was aided by issue selection within the Materials and Consumer Staples sectors as we sought to provide more cyclical exposure in the portfolio. Holdings within the Materials sector also served as a bit of a hedge during a period of a weakening U.S. Dollar. While the Fund found attractive yield opportunities within the Financials sector, our investments there were mostly of higher quality. The average quality of the portfolio has been BB, reflecting our desire to avoid issuers with a higher probability of default during still uncertain times.

Use of Leverage

In early 2008, the auction rate securities market became frozen as the auctions that set the rates found a lack of buyers—this meant that the Funds’ preferred shareholders were unable to sell their holdings. Calamos worked very hard to find solutions that were in the best interest of both preferred and common shareholders and was one of the first closed-end fund complexes to begin redeeming the auction rate securities with variable rate debt financing in June, 2008. In August, 2009, Calamos completed its refinancing and redeemed the remaining auction rate shares of CHI.

During the reporting period, the Fund reduced leverage for two reasons. First, the decline in all asset classes outside of US Treasuries hampered the Fund’s ability to utilize leverage. As the Fund’s net assets declined, the Fund reduced leverage to remain in compliance with both the prospectus and legal requirements. Second, given the high volatility in the marketplace, portfolio management also felt that a reduction in the amount of leverage used by the Fund was appropriate. We believe that some use of leverage is still favorable, as such, the amount of leverage at the end of the fiscal year was 22.85% for CHI. Despite the deleveraging of the portfolio and the volatile market environment experienced over the past year, the Fund was able to maintain the $0.095 per share level rate distribution for the duration of the Fund’s fiscal year.

Outlook

Looking forward, we will continue to seek firms with strong balance sheets, business models that may create sustainable growth in an overall slow-growth global economy, and attractive valuations. We believe that CHI is well positioned to participate in what we expect to be a volatile market. We also view the Fund’s current distribution rate of 9.64% of NAV as very attractive in this low interest rate environment.


4		Convertible Opportunities and Income Fund ANNUAL REPORT Investment Team Discussion

Schedule of Investments

OCTOBER 31, 2009


PRINCIPAL
AMOUNT				VALUE


CORPORATE BONDS (75.2%)
			*Consumer Discretionary (14.0%)*
	3,461,000		Asbury Automotive Group, Inc. 7.625%, 03/15/17	$	3,132,205
	1,978,000		Brinker International, Inc. 5.750%, 06/01/14		1,957,197
	2,967,000		Cooper Tire & Rubber Company 8.000%, 12/15/19		2,922,495
	5,216,000		DISH Network Corp.µ 7.125%, 02/01/16		5,242,080
	5,439,000		Expedia, Inc.µ 7.456%, 08/15/18		5,778,937
	1,978,000		GameStop Corp.µ 8.000%, 10/01/12		2,049,703
			General Motors Corp.
	8,900,000		7.200%, 01/15/11		1,335,000
	1,483,000		7.125%, 07/15/13		222,450
	8,406,000		Goodyear Tire & Rubber Companyµ 7.000%, 03/15/28		7,187,130
	5,686,000		Hanesbrands, Inc.µ‡ 4.593%, 12/15/14		5,145,830
	3,956,000		Hasbro, Inc.µ 6.600%, 07/15/28		3,746,585
	1,117,000		Interpublic Group of Companies, Inc. 10.000%, 07/15/17		1,206,360
	2,729,000		Jarden Corp. 7.500%, 05/01/17		2,701,710
	2,741,000		Kellwood Company 7.625%, 10/15/17		962,776
	2,967,000		Liberty Media Corp.µ 8.250%, 02/01/30		2,685,135
	4,450,000		MGM Mirage 8.375%, 02/01/11		4,082,875
	4,944,000		Phillips-Van Heusen Corp.µ 8.125%, 05/01/13		5,067,600
			Royal Caribbean Cruises, Ltd.µ
	4,944,000		7.500%, 10/15/27		4,004,640
	989,000		7.250%, 06/15/16		924,715
	989,000		7.000%, 06/15/13		959,330
			Service Corp. Internationalµ
	6,922,000		7.500%, 04/01/27		6,195,190
	1,978,000		7.625%, 10/01/18		1,973,055
	989,000		Sotheby’s Holdings, Inc.µ 7.750%, 06/15/15		887,628
	1,483,000		Speedway Motorsports, Inc.µ* 8.750%, 06/01/16		1,557,150
	12,559,000		Vail Resorts, Inc.µ 6.750%, 02/15/14		12,543,301
	4,944,000		Warnaco Group, Inc.µ 8.875%, 06/15/13		5,079,960
	989,000	GBP	Warner Music Group Corp. 8.125%, 04/15/14		1,505,514

					91,056,551

			*Consumer Staples (7.2%)*
	4,944,000		Chattem, Inc.µ 7.000%, 03/01/14		5,018,160
	3,461,000		Chiquita Brands International, Inc. 8.875%, 12/01/15		3,530,220
			Constellation Brands, Inc.
	1,978,000		7.250%, 09/01/16µ		1,992,835
	1,978,000		7.250%, 05/15/17		1,992,835
	1,127,000		Del Monte Foods Company* 7.500%, 10/15/19		1,149,540
	3,461,000		NBTY, Inc.µ 7.125%, 10/01/15		3,400,432
			Pilgrim’s Pride Corp.**
	6,477,000		8.375%, 05/01/17		7,238,047
	1,681,000		7.625%, 05/01/15		1,882,720
			Reynolds American, Inc.µ
	5,439,000		7.300%, 07/15/15		5,755,958
	2,967,000		7.625%, 06/01/16		3,200,070
	2,967,000		7.250%, 06/15/37		3,007,589
	9,889,000		Smithfield Foods, Inc.µ 7.750%, 05/15/13		8,900,100

					47,068,506

			*Energy (16.5%)*
	742,000		Arch Coal, Inc.* 8.750%, 08/01/16		764,260
	6,873,000		Arch Western Finance, LLCµ 6.750%, 07/01/13		6,666,810
	1,978,000		Berry Petroleum Company 10.250%, 06/01/14		2,126,350
	4,613,000		Bristow Group, Inc.µ 7.500%, 09/15/17		4,463,078
			Chesapeake Energy Corp.µ
	8,900,000		7.500%, 06/15/14		9,033,500
	2,739,000		6.875%, 11/15/20		2,533,575
	1,978,000		Complete Production Services, Inc.µ 8.000%, 12/15/16		1,884,045
	4,252,000		Comstock Resources, Inc. 8.375%, 10/15/17		4,230,740
	989,000		Concho Resources, Inc. 8.625%, 10/01/17		1,023,615
	2,967,000		Forest Oil Corp.µ 8.000%, 12/15/11		3,063,428
	4,143,000		Frontier Oil Corp.µ 8.500%, 09/15/16		4,246,575
	2,967,000		GulfMark Offshore, Inc.µ 7.750%, 07/15/14		2,907,660
	7,516,000		Helix Energy Solutions Group, Inc.µ* 9.500%, 01/15/16		7,760,270
			Hornbeck Offshore Services, Inc.
	3,876,000		8.000%, 09/01/17*		3,856,620
	1,068,000		6.125%, 12/01/14µ		993,240
	4,944,000		Mariner Energy, Inc. 11.750%, 06/30/16		5,463,120


Convertible Opportunities and Income Fund Schedule of Investments ANNUAL REPORT				5

See accompanying Notes to Schedule of Investments

Schedule of Investments

OCTOBER 31, 2009


PRINCIPAL
AMOUNT			VALUE


	5,538,000	Petrohawk Energy Corp.µ 7.125%, 04/01/12	$	5,538,000
		Petroplus Holdings, AG*
	4,944,000	9.375%, 09/15/19		4,981,080
	1,978,000	6.750%, 05/01/14		1,859,320
	494,000	7.000%, 05/01/17		449,540
	3,956,000	Pride International, Inc.µ 8.500%, 06/15/19		4,440,610
		Range Resources Corp.µ
	1,844,000	7.375%, 07/15/13		1,885,490
	1,800,000	8.000%, 05/15/19		1,876,500
	3,956,000	SEACOR Holdings, Inc. 7.375%, 10/01/19		3,976,326
	6,428,000	Superior Energy Services, Inc.µ 6.875%, 06/01/14		6,299,440
	2,695,000	Valero Energy Corp.µ 7.500%, 06/15/15		2,760,680
		Williams Companies, Inc.
	9,889,000	7.750%, 06/15/31		10,355,800
	1,978,000	7.500%, 01/15/31µ		2,050,252

				107,489,924

		*Financials (5.9%)*
		Ford Motor Credit Company, LLC
	4,944,000	9.875%, 08/10/11		5,059,121
	3,461,000	8.625%, 11/01/10		3,531,383
	3,560,000	Janus Capital Group, Inc. 6.950%, 06/15/17		3,389,024
		Leucadia National Corp.µ
	5,904,000	8.125%, 09/15/15		6,007,320
	2,967,000	7.000%, 08/15/13		3,011,505
	5,439,000	Nuveen Investments, Inc.* 10.500%, 11/15/15		4,840,710
	1,681,000	Omega Healthcare Investors, Inc.µ 7.000%, 04/01/14		1,651,582
	2,485,000	Senior Housing Properties Trustµ 7.875%, 04/15/15		2,348,325
	9,889,000	SLM Corp.~ 8.450%, 06/15/18		8,721,950

				38,560,920

		*Health Care (0.6%)*
		Bio-Rad Laboratories, Inc.µ
	1,978,000	8.000%, 09/15/16*		2,042,285
	1,681,000	7.500%, 08/15/13		1,714,620

				3,756,905

		*Industrials (6.5%)*
	2,967,000	BE Aerospace, Inc.µ 8.500%, 07/01/18		3,093,097
		Belden, Inc.
	3,708,000	7.000%, 03/15/17µ		3,596,760
	989,000	9.250%, 06/15/19*		1,063,175
	989,000	Cummins, Inc.µ 7.125%, 03/01/28		885,913
	2,878,000	Deluxe Corp.µ 7.375%, 06/01/15		2,834,830
	2,967,000	Gardner Denver, Inc.µ 8.000%, 05/01/13		2,863,155
	742,000	GEO Group, Inc.* 7.750%, 10/15/17		756,840
	989,000	GeoEye, Inc.* 9.625%, 10/01/15		1,026,087
	1,582,000	H&E Equipment Service, Inc.µ 8.375%, 07/15/16		1,530,585
	2,472,000	Interline Brands, Inc.µ 8.125%, 06/15/14		2,447,280
	1,978,000	Kansas City Southernµ 13.000%, 12/15/13		2,279,645
	4,450,000	Spirit AeroSystems Holdings, Inc.* 7.500%, 10/01/17		4,438,875
	2,413,000	SPX Corp.µ 7.625%, 12/15/14		2,497,455
	6,922,000	Terex Corp.µ 7.375%, 01/15/14		6,835,475
	2,967,000	Trinity Industries, Inc.µ 6.500%, 03/15/14		2,941,039
	3,436,000	Wesco Distribution, Inc. 7.500%, 10/15/17		3,397,345

				42,487,556

		*Information Technology (8.6%)*
		Amkor Technology, Inc.
	7,417,000	9.250%, 06/01/16~		7,787,850
	2,828,000	7.750%, 05/15/13µ		2,831,535
		Anixter International, Inc.µ
	3,461,000	10.000%, 03/15/14		3,763,838
	1,384,000	5.950%, 03/01/15		1,287,120
	3,490,000	Flextronics International, Ltd.µ 6.500%, 05/15/13		3,507,450
	4,499,000	Freescale Semiconductor, Inc. 8.875%, 12/15/14		3,677,933
		Jabil Circuit, Inc.
	5,439,000	8.250%, 03/15/18µ		5,806,132
	989,000	7.750%, 07/15/16		1,031,033
	3,590,000	Lender Processing Services, Inc.µ 8.125%, 07/01/16		3,796,425
	2,472,000	Lexmark International, Inc.µ 6.650%, 06/01/18		2,493,494
	3,461,000	Seagate Technology 6.800%, 10/01/16		3,409,085
	2,522,000	SunGard Data Systems, Inc. 9.125%, 08/15/13		2,578,745


6		Convertible Opportunities and Income Fund ANNUAL REPORT Schedule of Investments

See accompanying Notes to Schedule of Investments

Schedule of Investments

OCTOBER 31, 2009


PRINCIPAL
AMOUNT				VALUE


			Xerox Corp.
	9,394,000		8.000%, 02/01/27µ	$	9,227,303
	4,618,000		7.625%, 06/15/13~		4,741,060

					55,939,003

			*Materials (10.1%)*
	2,719,000		Allegheny Ludlum Corp. 6.950%, 12/15/25		2,414,390
	1,978,000		Anglo American, PLCµ* 9.375%, 04/08/14		2,312,324
	860,000		Ashland, Inc.µ* 9.125%, 06/01/17		930,950
	1,483,000		Ball Corp. 7.375%, 09/01/19		1,523,782
	1,772,000		Boise Cascade Holdings, LLC 7.125%, 10/15/14		1,479,620
	5,795,000		Greif, Inc.* 7.750%, 08/01/19		5,968,850
			Ineos Group Holdings, PLC*
	4,747,000	EUR	7.875%, 02/15/16		3,859,724
	989,000		8.500%, 02/15/16		558,785
	4,944,000		Mosaic Companyµ* 7.625%, 12/01/16		5,324,975
			Nalco Holding Company
	2,739,000		8.250%, 05/15/17µ*		2,889,645
	1,978,000	EUR	9.000%, 11/15/13		3,012,808
	3,956,000		Neenah Paper, Inc.µ 7.375%, 11/15/14		3,382,380
	7,911,000		Sealed Air Corp.µ* 6.875%, 07/15/33		6,825,405
	3,619,000		Silgan Holdings, Inc.*µ 7.250%, 08/15/16		3,691,380
	1,978,000		Southern Copper Corp.µ 7.500%, 07/27/35		2,047,903
	4,134,000		Steel Dynamics, Inc.µ* 8.250%, 04/15/16		4,175,340
	4,450,000		Terra Industries, Inc.* 7.750%, 11/01/19		4,494,500
	1,978,000		Texas Industries, Inc.µ 7.250%, 07/15/13		1,948,330
			Union Carbide Corp.µ
	3,956,000		7.500%, 06/01/25		3,388,816
	3,066,000		7.875%, 04/01/23		2,668,245
	3,164,000		Westlake Chemical Corp.µ 6.625%, 01/15/16		2,997,890

					65,896,042

			*Telecommunication Services (5.2%)*
	4,658,000		CenturyTel, Inc.µ 6.875%, 01/15/28		4,322,540
	6,032,000		Frontier Communications Corp.µ 9.000%, 08/15/31		5,986,760
	5,933,000		Leap Wireless International, Inc. 9.375%, 11/01/14		5,784,675
	5,933,000		Qwest Communications International, Inc. 7.750%, 02/15/31		4,894,725
	9,889,000		Sprint Nextel Corp.µ 7.375%, 08/01/15		8,813,572
	3,956,000		Syniverse Technologies, Inc.µ 7.750%, 08/15/13		3,797,760

					33,600,032

			*Utilities (0.6%)*
	5,439,000		Energy Future Holdings Corp. 10.250%, 11/01/15		3,888,885

			TOTAL CORPORATE BONDS (Cost $506,496,277)		489,744,324

CONVERTIBLE BONDS (23.5%)
			*Consumer Discretionary (2.4%)*
			Interpublic Group of Companies, Inc.
	4,000,000		4.750%, 03/15/23~		3,850,000
	1,000,000		4.250%, 03/15/23µ		968,750
	10,000,000		Liberty Media Corp. (Time Warner, Inc.)µ§ 3.125%, 03/30/23		9,900,000
	1,870,000		Liberty Media Corp. (Viacom, CBS Corp. - Class B)µ§ 3.250%, 03/15/31		1,072,912

					15,791,662

			*Energy (1.4%)*
	8,500,000		Chesapeake Energy Corp.µ 2.250%, 12/15/38		6,396,250
	400,000		Petrobank Energy & Resources, Ltd.* 5.125%, 07/10/15		544,000
	2,000,000		St. Mary Land & Exploration Companyµ 3.500%, 04/01/27		1,965,000

					8,905,250

			*Financials (0.4%)*
			Health Care REIT, Inc.µ
	1,500,000		4.750%, 07/15/27		1,657,500
	1,000,000		4.750%, 12/01/26		1,110,000

					2,767,500

			*Health Care (4.9%)*
	8,500,000		Cubist Pharmaceuticals, Inc.µ 2.250%, 06/15/13		7,639,375
	16,000,000		Life Technologies Corp. 3.250%, 06/15/25		18,580,000
	5,500,000		Millipore Corp.µ 3.750%, 06/01/26		5,665,000

					31,884,375


Convertible Opportunities and Income Fund Schedule of Investments ANNUAL REPORT				7

See accompanying Notes to Schedule of Investments

Schedule of Investments

OCTOBER 31, 2009


PRINCIPAL
AMOUNT				VALUE


			*Industrials (3.6%)*
	1,870,000		Energy Conversion Devices, Inc.µ 3.000%, 06/15/13	$	1,259,912
	10,500,000		L-3 Communications Holdings, Inc.µ 3.000%, 08/01/35		10,670,625
	1,445,000		Quanta Services, Inc.µ 3.750%, 04/30/26		1,609,369
	2,500,000		Suntech Power Holdings Company, Ltd. 3.000%, 03/15/13		1,890,625
	10,500,000		Trinity Industries, Inc.µ 3.875%, 06/01/36		7,756,875

					23,187,406

			*Information Technology (9.0%)*
	1,160,000		ADC Telecommunications, Inc. 3.500%, 07/15/15		867,100
	3,000,000		Blackboard, Inc.µ 3.250%, 07/01/27		2,925,000
	5,500,000		Euronet Worldwide, Inc.µ 3.500%, 10/15/25		5,197,500
	7,000,000		Informatica Corp.µ 3.000%, 03/15/26		8,470,000
	23,250,000		Intel Corp.µ 2.950%, 12/15/35		21,390,000
	16,500,000		Linear Technology Corp. 3.000%, 05/01/27		15,881,250
	4,000,000		ON Semiconductor Corp.µ 2.625%, 12/15/26		3,810,000

					58,540,850

			*Materials (1.8%)*
	1,500,000		Anglo American, PLC 4.000%, 05/07/14		2,293,500
	8,010,000		Newmont Mining Corp.µ 3.000%, 02/15/12		9,682,088

					11,975,588

			TOTAL CONVERTIBLE BONDS (Cost $160,223,565)		153,052,631

U.S. GOVERNMENT AND AGENCY SECURITY (0.2%)
	1,424,000		United States Treasury Note~ 2.125%, 01/31/10 (Cost $1,431,022)		1,431,455

SOVEREIGN BOND (1.2%)
	1,414,000	BRL	Federal Republic of Brazil 10.000%, 01/01/12 (Cost $8,220,288)		8,055,152

SYNTHETIC CONVERTIBLE SECURITIES (1.0%)
*Corporate Bonds (0.8%)*
			*Consumer Discretionary (0.1%)*
	39,000		Asbury Automotive Group, Inc. 7.625%, 03/15/17		35,295
	22,000		Brinker International, Inc. 5.750%, 06/01/14		21,769
	33,000		Cooper Tire & Rubber Company 8.000%, 12/15/19		32,505
	59,000		DISH Network Corp.µ 7.125%, 02/01/16		59,295
	61,000		Expedia, Inc.µ 7.456%, 08/15/18		64,812
	22,000		GameStop Corp.µ 8.000%, 10/01/12		22,797
			General Motors Corp.
	100,000		7.200%, 01/15/11		15,000
	17,000		7.125%, 07/15/13		2,550
	94,000		Goodyear Tire & Rubber Companyµ 7.000%, 03/15/28		80,370
	64,000		Hanesbrands, Inc.µ‡ 4.593%, 12/15/14		57,920
	44,000		Hasbro, Inc.µ 6.600%, 07/15/28		41,671
	13,000		Interpublic Group of Companies, Inc. 10.000%, 07/15/17		14,040
	31,000		Jarden Corp. 7.500%, 05/01/17		30,690
	31,000		Kellwood Company 7.625%, 10/15/17		10,889
	33,000		Liberty Media Corp.µ 8.250%, 02/01/30		29,865
	50,000		MGM Mirage 8.375%, 02/01/11		45,875
	56,000		Phillips-Van Heusen Corp.µ 8.125%, 05/01/13		57,400
			Royal Caribbean Cruises, Ltd.µ
	56,000		7.500%, 10/15/27		45,360
	11,000		7.250%, 06/15/16		10,285
	11,000		7.000%, 06/15/13		10,670
			Service Corp. Internationalµ
	78,000		7.500%, 04/01/27		69,810
	22,000		7.625%, 10/01/18		21,945
	11,000		Sotheby’s Holdings, Inc.µ 7.750%, 06/15/15		9,872
	17,000		Speedway Motorsports, Inc.µ* 8.750%, 06/01/16		17,850
	141,000		Vail Resorts, Inc.µ 6.750%, 02/15/14		140,824
	56,000		Warnaco Group, Inc.µ 8.875%, 06/15/13		57,540
	11,000	GBP	Warner Music Group Corp. 8.125%, 04/15/14		16,745

					1,023,644

			*Consumer Staples (0.1%)*
	56,000		Chattem, Inc.µ 7.000%, 03/01/14		56,840


8		Convertible Opportunities and Income Fund ANNUAL REPORT Schedule of Investments

See accompanying Notes to Schedule of Investments

Schedule of Investments

OCTOBER 31, 2009


PRINCIPAL
AMOUNT			VALUE


	39,000	Chiquita Brands International, Inc. 8.875%, 12/01/15	$	39,780
		Constellation Brands, Inc.
	22,000	7.250%, 09/01/16µ		22,165
	22,000	7.250%, 05/15/17		22,165
	13,000	Del Monte Foods Company* 7.500%, 10/15/19		13,260
	39,000	NBTY, Inc.µ 7.125%, 10/01/15		38,318
		Pilgrim’s Pride Corp.**
	73,000	8.375%, 05/01/17		81,578
	19,000	7.625%, 05/01/15		21,280
		Reynolds American, Inc.µ
	61,000	7.300%, 07/15/15		64,555
	33,000	7.625%, 06/01/16		35,592
	33,000	7.250%, 06/15/37		33,451
	111,000	Smithfield Foods, Inc.µ 7.750%, 05/15/13		99,900

				528,884

		*Energy (0.1%)*
	8,000	Arch Coal, Inc.* 8.750%, 08/01/16		8,240
	77,000	Arch Western Finance, LLCµ 6.750%, 07/01/13		74,690
	22,000	Berry Petroleum Company 10.250%, 06/01/14		23,650
	52,000	Bristow Group, Inc.µ 7.500%, 09/15/17		50,310
		Chesapeake Energy Corp.µ
	100,000	7.500%, 06/15/14		101,500
	31,000	6.875%, 11/15/20		28,675
	22,000	Complete Production Services, Inc.µ 8.000%, 12/15/16		20,955
	48,000	Comstock Resources, Inc. 8.375%, 10/15/17		47,760
	11,000	Concho Resources, Inc. 8.625%, 10/01/17		11,385
	33,000	Forest Oil Corp.µ 8.000%, 12/15/11		34,072
	47,000	Frontier Oil Corp.µ 8.500%, 09/15/16		48,175
	33,000	GulfMark Offshore, Inc.µ 7.750%, 07/15/14		32,340
	84,000	Helix Energy Solutions Group, Inc.µ* 9.500%, 01/15/16		86,730
		Hornbeck Offshore Services, Inc.
	44,000	8.000%, 09/01/17*		43,780
	12,000	6.125%, 12/01/14µ		11,160
	56,000	Mariner Energy, Inc. 11.750%, 06/30/16		61,880
	62,000	Petrohawk Energy Corp.µ 7.125%, 04/01/12		62,000
		Petroplus Holdings, AG*
	56,000	9.375%, 09/15/19		56,420
	22,000	6.750%, 05/01/14		20,680
	6,000	7.000%, 05/01/17		5,460
	44,000	Pride International, Inc.µ 8.500%, 06/15/19		49,390
		Range Resources Corp.µ
	21,000	7.375%, 07/15/13		21,472
	20,000	8.000%, 05/15/19		20,850
	44,000	SEACOR Holdings, Inc. 7.375%, 10/01/19		44,226
	72,000	Superior Energy Services, Inc.µ 6.875%, 06/01/14		70,560
	30,000	Valero Energy Corp.µ 7.500%, 06/15/15		30,731
		Williams Companies, Inc.
	111,000	7.750%, 06/15/31		116,240
	22,000	7.500%, 01/15/31µ		22,804

				1,206,135

		*Financials (0.1%)*
		Ford Motor Credit Company, LLC
	56,000	9.875%, 08/10/11		57,304
	39,000	8.625%, 11/01/10		39,793
	40,000	Janus Capital Group, Inc. 6.950%, 06/15/17		38,079
		Leucadia National Corp.µ
	66,000	8.125%, 09/15/15		67,155
	33,000	7.000%, 08/15/13		33,495
	61,000	Nuveen Investments, Inc*. 10.500%, 11/15/15		54,290
	19,000	Omega Healthcare Investors, Inc.µ 7.000%, 04/01/14		18,668
	28,000	Senior Housing Properties Trustµ 7.875%, 04/15/15		26,460
	111,000	SLM Corp.~ 8.450%, 06/15/18		97,900

				433,144

		*Health Care (0.0%)*
		Bio-Rad Laboratories, Inc.µ
	22,000	8.000%, 09/15/16*		22,715
	19,000	7.500%, 08/15/13		19,380

				42,095

		*Industrials (0.1%)*
	33,000	BE Aerospace, Inc.µ 8.500%, 07/01/18		34,403
		Belden, Inc.
	42,000	7.000%, 03/15/17µ		40,740
	11,000	9.250%, 06/15/19*		11,825
	11,000	Cummins, Inc.µ 7.125%, 03/01/28		9,853


Convertible Opportunities and Income Fund Schedule of Investments ANNUAL REPORT				9

See accompanying Notes to Schedule of Investments

Schedule of Investments

OCTOBER 31, 2009


PRINCIPAL
AMOUNT				VALUE


	32,000		Deluxe Corp.µ 7.375%, 06/01/15	$	31,520
	33,000		Gardner Denver, Inc.µ 8.000%, 05/01/13		31,845
	8,000		GEO Group, Inc.* 7.750%, 10/15/17		8,160
	11,000		GeoEye, Inc.* 9.625%, 10/01/15		11,413
	18,000		H&E Equipment Service, Inc.µ 8.375%, 07/15/16		17,415
	28,000		Interline Brands, Inc.µ 8.125%, 06/15/14		27,720
	22,000		Kansas City Southernµ 13.000%, 12/15/13		25,355
	50,000		Spirit AeroSystems Holdings, Inc.* 7.500%, 10/01/17		49,875
	27,000		SPX Corp.µ 7.625%, 12/15/14		27,945
	78,000		Terex Corp.µ 7.375%, 01/15/14		77,025
	33,000		Trinity Industries, Inc.µ 6.500%, 03/15/14		32,711
	39,000		Wesco Distribution, Inc. 7.500%, 10/15/17		38,561

					476,366

			*Information Technology (0.1%)*
			Amkor Technology, Inc.
	83,000		9.250%, 06/01/16~		87,150
	32,000		7.750%, 05/15/13µ		32,040
			Anixter International, Inc.µ
	39,000		10.000%, 03/15/14		42,412
	16,000		5.950%, 03/01/15		14,880
	39,000		Flextronics International, Ltd.µ 6.500%, 05/15/13		39,195
	51,000		Freescale Semiconductor, Inc. 8.875%, 12/15/14		41,693
			Jabil Circuit, Inc.
	61,000		8.250%, 03/15/18µ		65,117
	11,000		7.750%, 07/15/16		11,468
	40,000		Lender Processing Services, Inc.µ 8.125%, 07/01/16		42,300
	28,000		Lexmark International, Inc.µ 6.650%, 06/01/18		28,243
	39,000		Seagate Technology 6.800%, 10/01/16		38,415
	28,000		SunGard Data Systems, Inc. 9.125%, 08/15/13		28,630
			Xerox Corp.
	106,000		8.000%, 02/01/27µ		104,119
	52,000		7.625%, 06/15/13~		53,386

					629,048

			*Materials (0.1%)*
	31,000		Allegheny Ludlum Corp. 6.950%, 12/15/25		27,527
	22,000		Anglo American, PLCµ* 9.375%, 04/08/14		25,718
	10,000		Ashland, Inc.µ* 9.125%, 06/01/17		10,825
	17,000		Ball Corp. 7.375%, 09/01/19		17,468
	20,000		Boise Cascade Holdings, LLC 7.125%, 10/15/14		16,700
	65,000		Greif, Inc.* 7.750%, 08/01/19		66,950
			Ineos Group Holdings, PLC*
	53,000	EUR	7.875%, 02/15/16		43,094
	11,000		8.500%, 02/15/16		6,215
	56,000		Mosaic Companyµ* 7.625%, 12/01/16		60,315
			Nalco Holding Company
	31,000		8.250%, 05/15/17µ*		32,705
	22,000	EUR	9.000%, 11/15/13		33,509
	44,000		Neenah Paper, Inc.µ 7.375%, 11/15/14		37,620
	89,000		Sealed Air Corp.µ* 6.875%, 07/15/33		76,787
	41,000		Silgan Holdings, Inc.*µ 7.250%, 08/15/16		41,820
	22,000		Southern Copper Corp.µ 7.500%, 07/27/35		22,777
	46,000		Steel Dynamics, Inc.µ* 8.250%, 04/15/16		46,460
	50,000		Terra Industries, Inc.* 7.750%, 11/01/19		50,500
	22,000		Texas Industries, Inc.µ 7.250%, 07/15/13		21,670
			Union Carbide Corp.µ
	44,000		7.500%, 06/01/25		37,692
	34,000		7.875%, 04/01/23		29,589
	36,000		Westlake Chemical Corp.µ 6.625%, 01/15/16		34,110

					740,051

			*Telecommunication Services (0.1%)*
	52,000		CenturyTel, Inc.µ 6.875%, 01/15/28		48,255
	68,000		Frontier Communications Corp.µ 9.000%, 08/15/31		67,490
	67,000		Leap Wireless International, Inc. 9.375%, 11/01/14		65,325
	67,000		Qwest Communications International, Inc. 7.750%, 02/15/31		55,275


10		Convertible Opportunities and Income Fund ANNUAL REPORT Schedule of Investments

See accompanying Notes to Schedule of Investments

Schedule of Investments

OCTOBER 31, 2009


PRINCIPAL
AMOUNT				VALUE


	111,000		Sprint Nextel Corp.µ 7.375%, 08/01/15	$	98,929
	44,000		Syniverse Technologies, Inc.µ 7.750%, 08/15/13		42,240

					377,514

			*Utilities (0.0%)*
	61,000		Energy Future Holdings Corp. 10.250%, 11/01/15		43,615

			TOTAL CORPORATE BONDS		5,500,496

*U.S. Government and Agency Security (0.0%)*
	16,000		United States Treasury Note~ 2.125%, 01/31/10		16,084

*Sovereign Bond (0.0%)*
	16,000	BRL	Federal Republic of Brazil 10.000%, 01/01/12		91,147

NUMBER OF
CONTRACTS				VALUE

*Purchased Options (0.2%)#*
			*Consumer Discretionary (0.1%)*
			Nike, Inc. - Class B
	530		Call, 01/16/10, Strike $60.00		238,500
	450		Call, 01/16/10, Strike $70.00		36,000

					274,500

			*Consumer Staples (0.1%)*
	1,070		Sysco Corp. Call, 01/16/10, Strike $30.00		13,375
	825		Walgreen Company Call, 01/16/10, Strike $32.50		466,125

					479,500

			*Health Care (0.0%)*
	550		Gilead Sciences, Inc. Call, 01/16/10, Strike $55.00		6,875

			*Information Technology (0.0%)*
	65		Apple, Inc. Call, 01/16/10, Strike $170.00		157,463
			QUALCOMM, Inc.
	500		Call, 01/16/10, Strike $45.00		59,000
	415		Call, 01/16/10, Strike $50.00		12,865

					229,328

			TOTAL PURCHASED OPTIONS		990,203

			TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $9,653,074)		6,597,930

NUMBER OF
SHARES				VALUE


CONVERTIBLE PREFERRED STOCKS (18.3%)
			*Consumer Staples (2.7%)*
	295,000		Archer-Daniels-Midland Companyµ 6.250%	$	12,611,250
			Bunge, Ltd.
	22,000		4.875%		1,793,000
	5,500		5.125%		3,203,750

					17,608,000

			*Financials (4.0%)*
	185,000		Affiliated Managers Group, Inc. 5.150%		5,896,875
	140,000		American International Group, Inc. 8.500%		1,575,000
	15,500		Bank of America Corp.µ 7.250%		12,978,770
	55,000		Reinsurance Group of America, Inc.µ 5.750%		3,402,300
	2,500		Wells Fargo & Companyµ 7.500%		2,237,500

					26,090,445

			*Health Care (4.0%)*
	75,000		Merck & Company, Inc.µ 6.000%		18,093,750
	8,000		Mylan, Inc. 6.500%		8,240,000

					26,333,750

			*Industrials (0.9%)*
	6,750		Stanley Worksµ‡ 5.125%		5,511,375

			*Materials (6.7%)*
	200,000		Freeport-McMoRan Copper & Gold, Inc. 6.750%		21,400,000
	14,000,000	CHF	Givaudan, SA 5.375%		10,309,972
	170,000		Vale Capital, Ltd. (Companhia Vale do Rio Doce)§ 5.500%		8,338,500
			Vale, SA
	50,000		6.750%		3,828,200

					43,876,672

			TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $145,707,848)		119,420,242


Convertible Opportunities and Income Fund Schedule of Investments ANNUAL REPORT				11

See accompanying Notes to Schedule of Investments

Schedule of Investments

OCTOBER 31, 2009


NUMBER OF
UNITS				VALUE


STRUCTURED EQUITY-LINKED SECURITIES (4.7%) +*
			*Energy (3.6%)*
	97,000		Barclays Capital, Inc. (Noble
	Corp.	) 12.000%, 01/29/10	$3,877,090

	56,500		BNP Paribas, SA (Devon Energy Corp.) 12.000%, 06/17/10		3,702,445
	88,000		BNP Paribas, SA (ENSCO International, Inc.) 12.000%, 01/29/10		3,951,200
	55,000		Credit Suisse Group (Noble Energy, Inc.) 12.000%, 06/18/10		3,584,350
	122,000		Goldman Sachs Group, Inc. (Cameron International Corp.) 12.000%, 02/16/10		4,211,440
	152,000		Goldman Sachs Group, Inc. (Halliburton Company) 12.000%, 12/23/09		4,146,560

					23,473,085

			*Health Care (0.5%)*
	100,000		Deutsche Bank, AG (Medtronic, Inc.) 11.000%, 05/27/10		3,513,000

			*Materials (0.6%)*
	105,300		Credit Suisse Group (Barrick Gold Corp.) 12.000%, 04/19/10		3,819,231

			TOTAL STRUCTURED EQUITY-LINKED SECURITIES (Cost $29,150,693)		30,805,316

NUMBER OF
SHARES				VALUE


COMMON STOCKS (1.5%)
			*Financials (0.6%)*
	107,700		MetLife, Inc.		3,665,031

			*Industrials (0.9%)*
	175,608		Avery Dennison Corp.µ		6,260,425

			TOTAL COMMON STOCKS (Cost $11,921,490)		9,925,456

SHORT TERM INVESTMENT (3.0%)
	19,369,629		Fidelity Prime Money Market Fund - Institutional Class (Cost $19,369,629)		19,369,629

TOTAL INVESTMENTS IN SECURITIES (128.6%) (Cost $892,173,886)					838,402,135

LIABILITIES, LESS OTHER ASSETS (-28.6%)					(186,695,043	)

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%)				$	651,707,092

NUMBER OF
CONTRACTS				VALUE


WRITTEN OPTIONS (-0.3%)#
			*Other (-0.3%)*
			SPDR Trust Series 1
	1,200		Call, 12/19/09, Strike $98.00	$	(930,000	)
	1,000		Call, 11/21/09, Strike $109.00		(57,000	)
	930		Call, 11/21/09, Strike $108.00		(75,330	)
	930		Call, 11/21/09, Strike $107.00		(103,230	)
	750		Call, 12/19/09, Strike $109.00		(108,750	)
	600		Call, 12/19/09, Strike $101.00		(331,500	)
	600		Call, 12/19/09, Strike $97.00		(511,500	)
	500		Call, 11/21/09, Strike $106.00		(74,750	)

			TOTAL WRITTEN OPTIONS (Premium $2,239,123)		(2,192,060	)

NOTES TO SCHEDULE OF INVESTMENTS


µ		Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $484,295,037.
‡		Variable rate or step bond security. The rate shown is the rate in effect at October 31, 2009.
*		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. At October 31, 2009, the value of 144A securities that could not be exchanged to the registered form is $52,297,999 or 8.0% of net assets applicable to common shareholders.
**		Security is in default. Pilgrim’s Pride Corp. filed for bankruptcy protection on December 1, 2008.
~		Security, or portion of security, is segregated as collateral for written options and swaps aggregating a total value of $25,902,228.
§		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.
+		Structured equity linked securities are designed to simulate the characteristics of the security in the parenthetical.

FOREIGN CURRENCY ABBREVIATIONS


BRL		Brazilian Real
CHF		Swiss Franc
EUR		European Monetary Unit
GBP		British Pound Sterling

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.


12		Convertible Opportunities and Income Fund ANNUAL REPORT Schedule of Investments

See accompanying Notes to Financial Statements

Schedule of Investments

OCTOBER 31, 2009

INTEREST RATE SWAPS

Unrealized

Fixed Rate

Floating Rate

Termination

Notional

Appreciation/

Counterparty

(Fund Pays)

(Fund Receives)

Date

Amount

(Depreciation)

BNP Paribas, SA

2.4300% quarterly

3 month LIBOR

04/14/14

80,000,000

(55,950

)

BNP Paribas, SA

1.8650% quarterly

3 month LIBOR

04/14/12

55,000,000

(527,939

)

BNP Paribas, SA

1.8525% quarterly

3 month LIBOR

09/14/12

38,700,000

(202,512

)

(786,401

)


Convertible Opportunities and Income Fund Schedule of Investments ANNUAL REPORT				13

See accompanying Notes to Financial Statements

Statement of Assets and Liabilities


October 31, 2009


ASSETS
Investments in securities, at value (cost $892,173,886)	$	838,402,135
Cash with custodian (interest bearing)		308,032
Receivables:
Accrued interest and dividends		14,233,184
Prepaid expenses		14,501
Other assets		105,626


Total assets		853,063,478


LIABILITIES
Options written, at value (premium $2,239,123)		2,192,060
Unrealized depreciation on interest rate swaps		786,401
Payables:
Note payable		193,000,000
Investments purchased		4,319,478
Affiliates:
Investment advisory fees		542,900
Deferred compensation to trustees		105,626
Financial accounting fees		8,223
Trustees’ fees and officer compensation		515
Other accounts payable and accrued liabilities		401,183


Total liabilities		201,356,386


NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS	$	651,707,092


COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized 55,104,427 shares issued and outstanding	$	765,146,874
Undistributed net investment income (loss)		(13,059,275	)
Accumulated net realized gain (loss) on investments, foreign currency transactions, written options and interest rate swaps		(45,900,389	)
Unrealized appreciation (depreciation) of investments, foreign currency translations, written options and interest rate swaps		(54,480,118	)


NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS	$	651,707,092


Net asset value per common shares based upon 55,104,427 shares issued and outstanding	$	11.83


14		Convertible Opportunities and Income Fund ANNUAL REPORT Statement of Assets and Liabilities

See accompanying Notes to Financial Statements

Statement of Operations


Year Ended October 31, 2009


INVESTMENT INCOME
Interest	$	46,814,205
Dividends		11,589,098
Dividends from affiliates		51,837
Securities lending income		79,574


Total investment income		58,534,714



EXPENSES
Investment advisory fees		5,582,203
Deferred debt structuring fee		3,278,893
Interest expense and related fees		2,548,393
Liquidity fee		2,111,698
Program fee		593,662
Auction agent and rating agency fees		255,283
Printing and mailing fees		197,831
Financial accounting fees		80,729
Registration fees		57,388
Audit fees		57,297
Accounting fees		47,591
Trustees’ fees and officer compensation		45,026
Legal fees		36,495
Transfer agent fees		33,532
Custodian fees		16,632
Other		38,412


Total expenses		14,981,065
Less expense reductions		(588,957	)


Net expenses		14,392,108


NET INVESTMENT INCOME (LOSS)		44,142,606



REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments, excluding purchased options		(26,540,794	)
Purchased options		(12,603,422	)
Foreign currency transactions		(80,246	)
Written options		(6,638,570	)
Interest rate swaps		(965,269	)
Change in net unrealized appreciation/(depreciation) on:
Investments, excluding purchased options		241,905,348
Purchased options		10,471,847
Foreign currency translations		125,238
Written options		1,077,856
Interest rate swaps		(769,747	)


NET GAIN (LOSS)		205,982,241


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		250,124,847



DISTRIBUTIONS TO PREFERRED SHAREHOLDERS FROM
Net investment income		(494,540	)


NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS	$	249,630,307


Convertible Opportunities and Income Fund Statement of Operations ANNUAL REPORT				15

See accompanying Notes to Financial Statements

Statements of Changes in Net Assets


	Year Ended			Year Ended
	October 31,			October 31,
	2009			2008


OPERATIONS
Net investment income (loss)	$	44,142,606		$	56,269,665
Net realized gain (loss)		(46,828,301	)		27,052,024
Change in unrealized appreciation/(depreciation)		252,810,542			(384,549,692	)
Distributions to preferred shareholders from:
Net investment income		(494,540	)		(6,153,862	)
Net realized gains		—			(5,764,493	)


Net increase (decrease) in net assets applicable to common shareholders resulting from operations		249,630,307			(313,146,358	)



DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM
Net investment income		(49,657,681	)		(68,163,485	)
Net realized gains		(917,159	)		(15,227,041	)
Return of capital		(9,470,798	)


Net decrease in net assets from distributions to common shareholders		(60,045,638	)		(83,390,526	)



CAPITAL STOCK TRANSACTIONS
Proceeds from common shares sold		45,759,544			12,194,151
Offering costs on common shares		(62,909	)		(206,264	)
Reinvestment of distributions resulting in the issuance of common stock		7,390,948			8,586,698


Net increase (decrease) in net assets from capital stock transactions		53,087,583			20,574,585


TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS		242,672,252			(375,962,299	)



NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Beginning of year	$	409,034,840		$	784,997,139


End of year		651,707,092			409,034,840


Undistributed net investment income (loss)	$	(13,059,275	)	$	(6,216,313	)


16		Convertible Opportunities and Income Fund ANNUAL REPORT Statements of Changes in Net Assets

See accompanying Notes to Financial Statements

Statement of Cash Flows


Year Ended October 31, 2009


CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase/(decrease) in net assets from operations	$	250,124,847
Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash used in operating activities:
Change in unrealized appreciation or depreciation on interest rate swaps		769,747
Change in written options		(1,525,303	)
Purchase of investment securities		(233,832,197	)
Proceeds from disposition of investment securities		280,932,340
Amortization and accretion of fixed-income securities		(2,423,385	)
Purchase of short term investments, net		(16,971,642	)
Net realized gains/losses from investments, excluding purchased options		26,540,794
Net realized gains/losses from purchased options		12,603,422
Change in unrealized appreciation or depreciation on investments, excluding purchased options		(241,905,348	)
Change in unrealized appreciation or depreciation on purchased options		(10,471,847	)
Net change in assets and liabilities:
(Increase)/decrease in assets:
Accrued interest and dividends receivable		1,403,121
Cash collateral for securities on loan		(44,499,094	)
Prepaid expenses		2,961,263
Other assets		39,139
(Increase)/decrease in liabilities:
Payables to affiliates		146,197
Payable upon return of securities loaned		44,499,094
Other accounts payable and accrued liabilities		(507,144	)


Net cash provided by/(used in) operating activities	$	67,884,004



CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from common shares sold	$	45,759,544
Offering costs related to common shares sold		(85,104	)
Distributions to common shareholders		(52,654,690	)
Distributions to preferred shareholders		(596,020	)
Proceeds from note payable		104,000,000
Repayments of note payable		(60,000,000	)
Redemption of preferred shares		(104,000,000	)


Net cash provided by/(used in) financing activities	$	(67,576,270	)


Net increase/(decrease) in cash	$	307,734


Cash at beginning of year	$	298


Cash at end of year	$	308,032


Supplemental disclosure
Cash paid for interest and related fees	$	3,030,436

Non-cash financing activities not included herein consist of reinvestment of dividends and distributions of $7,390,948. Repayments of note payable include non-cash financing activities of $89,000,000.


Convertible Opportunities and Income Fund Statement of Cash Flows ANNUAL REPORT				17

See accompanying Notes to Financial Statements

Notes to Financial Statements

NOTE 1 – ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization. Calamos Convertible Opportunities and Income Fund (the “Fund”) was organized as a Delaware statutory trust on April 17, 2002 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on June 26, 2002. The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest at least 80% of its managed assets in a diversified portfolio of convertibles and non-convertible income 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).

Fund Valuation. The valuation of the Fund’s securities 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 last current reported sales price at the time a 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 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 are generally traded in the over-the-counter market and are valued by independent pricing services or by dealers who make markets in such securities. Valuations of fixed income securities consider yield or price of bonds 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 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


18		Convertible Opportunities and Income Fund ANNUAL REPORT Notes to Financial Statements

Notes to Financial Statements

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. Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. Dividend income is recognized on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information becomes available after the ex-dividend date.

Investment in Affiliates. As of October 31, 2008, the Fund had holdings of $2,397,987 in the affiliated fund, Calamos Government Money Market Fund, and as of October 31, 2009, had no holdings in the affiliated fund. During the period from November 1, 2008 through October 31, 2009, the Fund had net redemptions of $2,397,987 and earned $51,837 in dividends from the affiliated fund. The Calamos Government Money Market Fund was liquidated on May 15, 2009 and no subsequent investments were made in the affiliated fund thereafter.

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.

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

Reported net realized foreign currency gains or losses arise from disposition of foreign currency, the difference in the foreign exchange rates between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end.

Allocation of Expenses Among Funds. Expenses directly attributable to the Fund are charged to the Fund; certain other common expenses of Calamos Advisors Trust, Calamos Investment Trust, Calamos Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income Fund are allocated proportionately among each fund to which the expenses relate in relation to the net assets of each fund or on another reasonable basis.

Use of Estimates. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimates.

Income Taxes. No provision has been made for U.S. income taxes because the Fund’s policy is to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended, and distribute to shareholders substantially all of its taxable income and net realized gains.

Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. To the extent these “book/tax” differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment. These differences are primarily


Convertible Opportunities and Income Fund Notes to Financial Statements ANNUAL REPORT				19

Notes to Financial Statements

due to differing treatments for foreign currency transactions, contingent payment debt instruments and methods of amortizing and accreting on fixed income securities. The financial statements are not adjusted for temporary differences.

The Fund recognized no liability for unrecognized tax benefits. A reconciliation is not provided as the beginning and ending amounts of unrecognized benefits are zero, with no interim additions, reductions or settlements. Tax years 2005 — 2008 remain subject to examination by the U.S. and the State of Illinois tax jurisdictions.

Indemnifications. Under the Fund’s organizational documents, the Fund is obligated to indemnify its officers and trustees against certain liabilities incurred by them by reason of having been an officer or trustee of the Fund. In addition, in the normal course of business, the Fund may enter into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Currently, the Fund’s management expects the risk of material loss in connection to a potential claim to be remote.

New Accounting Pronouncements. Effective November 1, 2008, the Fund adopted the provisions of the Statement of Financial Accounting Standard No. 157, Fair Value Measurements (“SFAS 157”). SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. SFAS 157 requires disclosure surrounding the various inputs used to determine a valuation, and these inputs are segregated into three levels. Tables summarizing the Fund’s investments under these levels are shown in the Notes to Financial Statements, Note 12 – Valuations.

Effective November 1, 2008, the Fund adopted the Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161). SFAS 161 requires that objectives for using derivative instruments be disclosed in terms of underlying risk and accounting designation. The required disclosures are reflected in the Schedules of Investments, Statements of Operations, and in the Notes to Financial Statements, Note 6 – Derivative Instruments.

Subsequent Events. Subsequent events have been evaluated through December 17, 2009, the date that the financial statements were available to be issued. All subsequent events determined to be relevant and material to the financial statements have been appropriately recorded or disclosed.

NOTE 2 – INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER PARTIES

Pursuant to an investment advisory agreement with Calamos Advisors LLC (“Calamos Advisors”), the Fund pays an annual fee, payable monthly, equal to 0.80% based on the average weekly managed assets. “Managed assets” means a fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage). Calamos Advisors has contractually agreed to waive a portion of its management fee at the annual rate of 0.11% of the average weekly managed assets of the Fund (through June 30, 2009) and to waive a declining amount for an additional year (0.04% of the average weekly managed assets in 2010). For the year ended October 31, 2009, the total advisory fee waived pursuant to such agreement was $578,449 and is included in the Statement of Operations under the caption “Less expense reductions”.

Calamos Advisors has agreed to waive a portion of its advisory fee charged to the Fund equal to the advisory fee paid by Calamos Government Money Market Fund (“GMMF,” which was an affiliated fund and a series of Calamos Investments Trust) attributable to the Fund’s investment in GMMF, based on daily net assets. For the year ended October 31, 2009, the total advisory fee waived pursuant to such agreement was $10,508 and is included in the Statement of Operations under the caption “Less expense reductions”.

Pursuant to a financial accounting services agreement, during the year the Fund paid Calamos Advisors a fee for financial accounting services payable monthly at the annual rate of 0.0175% on the first $1 billion of combined assets, 0.0150% on the next $1 billion of combined assets and 0.0110% on combined assets above $2 billion (for purposes of this calculation “combined assets” means the sum of the total average daily net assets of Calamos Investment Trust, Calamos Advisors Trust, and the total average weekly managed assets of Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Convertible Opportunities and Income Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income Fund).


20		Convertible Opportunities and Income Fund ANNUAL REPORT Notes to Financial Statements

Notes to Financial Statements

Financial accounting services include, but are not limited to, the following: managing expenses and expense payment processing; monitoring the calculation of expense accrual amounts; calculating, tracking and reporting tax adjustments on all assets; and monitoring trustee deferred compensation plan accruals and valuations. The Fund pays its pro rata share of the financial accounting services fee payable to Calamos Advisors based on its relative portion of combined assets used in calculating the fee.

The Fund reimburses Calamos Advisors for a portion of compensation paid to the Fund’s Chief Compliance Officer. This compensation is reported as part of “Trustees’ fees and officer compensation” expense on the Statement of Operations.

A trustee and certain officers of the Fund are also officers and directors of Calamos Advisors. Such trustee and officers serve without direct compensation from the Fund.

The Fund has adopted a deferred compensation plan (the “Plan”). Under the Plan, a trustee who is not an “interested person” (as defined in the 1940 Act) and has elected to participate in the Plan (a “participating trustee”) may defer receipt of all or a portion of his compensation from the Fund. The deferred compensation payable to the participating trustee is credited to the trustee’s deferral account as of the business day such compensation would have been paid to the participating trustee. The value of amounts deferred for a participating trustee is determined by reference to the change in value of Class I shares of one or more funds of Calamos Investment Trust designated by the participant. The value of the account increases with contributions to the account or with increases in the value of the measuring shares, and the value of the account decreases with withdrawals from the account or with declines in the value of the measuring shares. Deferred compensation investments of $105,626 are included in “Other assets” on the Statement of Assets and Liabilities at October 31, 2009. The Fund’s obligation to make payments under the Plan is a general obligation of the Fund and is included in “Payable for deferred compensation to trustees” on the Statement of Assets and Liabilities at October 31, 2009.

NOTE 3 – INVESTMENTS

The cost of purchases and proceeds from the sale of long-term investments, for the year ended October 31, 2009 were as follows:


	U.S. Gov’t Securities		Other


Cost of purchases	$	2,460,680	$	198,127,769
Proceeds from sales		1,000,000		256,275,004

The following information is presented on a federal income tax basis as of October 31, 2009. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.

The cost basis of investments for federal income tax purposes at October 31, 2009 was as follows:


Cost basis of Investments	$	905,754,627


Gross unrealized appreciation		24,829,922
Gross unrealized depreciation		(92,182,414)


Net unrealized appreciation (depreciation)	$	(67,352,492)

For the year ended October 31, 2009, the Fund recorded the following permanent reclassifications to reflect tax character. The results of operations and net assets were not affected by these reclassifications.


Paid-in capital	$	(9,470,798)
Undistributed net investment income/(loss)		8,637,451
Accumulated net realized gain/(loss) on investments		833,347

NOTE 4 – INCOME TAXES

The Fund intends to make monthly distributions from its income available for distribution, which consists of the Fund’s dividends and interest income after payment of Fund expenses, and net realized gains on stock investments. At least annually, the Fund


Convertible Opportunities and Income Fund Notes to Financial Statements ANNUAL REPORT				21

Notes to Financial Statements

intends to distribute all or substantially all of its net realized capital gains, if any. Distributions are recorded on the ex-dividend date. The Fund distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in-capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income. Distributions in any year may include a return of capital component.

Distributions were characterized for federal income tax purposes as follows:


	Year Ended		Year Ended
	October 31, 2009		October 31, 2008


Distributions paid from:
Ordinary income	$	50,253,702	$	74,005,570
Long-term capital gains		917,159		24,745,025
Return of capital		9,470,798

As of October 31, 2009, the components of accumulated earnings/(loss) on a tax basis were as follows:


Undistributed ordinary income	$	—
Undistributed capital gains		—


Total undistributed earnings		—
Accumulated capital and other losses		(45,276,397	)
Net unrealized gains/(losses)		(68,060,859	)


Total accumulated earnings/(losses)		(113,337,256	)
Other		(102,526	)
Paid-in capital		765,146,874


Net assets applicable to common shareholders	$	651,707,092

As of October 31, 2009, the Fund had a capital loss carryforward of $45,276,397 which, if not used, will expire in 2017.

NOTE 5 – COMMON SHARES

There are unlimited common shares of beneficial interest authorized and 55,104,427 shares outstanding at October 31, 2009. Calamos Advisors owned 14,207 of the outstanding shares at October 31, 2009. Transactions in common shares were as follows:


	Year Ended		Year Ended
	October 31, 2009		October 31, 2008

Beginning shares		49,513,661		47,938,822
Shares sold		4,823,462		920,233
Shares issued through reinvestment of distributions		767,304		654,606


Ending shares		55,104,427		49,513,661

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940 that the Fund may from time to time purchase its shares of common stock in the open market.

NOTE 6 – DERIVATIVE INSTRUMENTS

Foreign Currency Risk. The Fund may engage in portfolio hedging with respect to changes in currency exchange rates by entering into foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to the Fund on a forward foreign currency contract. The contracts are valued


22		Convertible Opportunities and Income Fund ANNUAL REPORT Notes to Financial Statements

Notes to Financial Statements

daily at forward foreign exchange rates and an unrealized gain or loss is recorded. The Fund realizes a gain or loss when a position is closed or upon settlement of the contracts. There were no open forward currency contracts at October 31, 2009.

Equity Risk. The Fund may engage in option transactions and in doing so achieve the similar objectives to what it would achieve through the sale or purchase of individual securities. A call option, upon payment of a premium, gives the purchaser of the option the right to buy, and the seller of the option the obligation to sell, the underlying security, index or other instrument at the exercise price. A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the seller the obligation to buy, the underlying security, index, or other instrument at the exercise price.

To seek to offset some of the risk of a potential decline in value of certain long positions, the Fund may also purchase put options on individual securities, broad-based securities indexes or certain exchange traded funds (“ETFs”). The Fund may also seek to generate income from option premiums by writing (selling) options on a portion of the equity securities (including securities that are convertible into equity securities) in the Fund’s portfolio, on broad-based securities indexes, or certain ETFs.

When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase in determining whether the Fund has realized a gain or loss. The difference between the premium and the amount received or paid on a closing purchase or sale transaction is also treated as a realized gain or loss. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. Gain or loss on written options and purchased options is presented separately as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.

As of October 31, 2009, the Fund had outstanding purchased options and/or written options as listed on the Schedule of Investments. For the year ended October 31, 2009, the Fund had the following transactions in options written:


	Number of Contracts			Premiums Received


Options outstanding at October 31, 2008		4,880		$	2,686,570
Options written		41,769			11,927,369
Options closed		(39,530	)		(12,109,168	)
Options exercised		(59	)		(12,113	)
Options expired		(550	)		(253,535	)


Options outstanding at October 31, 2009		6,510		$	2,239,123

Interest Rate Risk. The Fund may engage in interest rate swaps primarily to manage duration and yield curve risk, or as alternatives to direct investments, or to hedge the interest rate risk on the fund’s borrowings (see Note 8 – Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. Three main types of interest rate swaps are coupon swaps (fixed rate to floating rate in the same currency); basis swaps (one floating rate index to another floating rate index in the same currency); and cross-currency interest rate swaps (fixed rate in one currency to floating rate in another). In the case of a coupon swap, a Fund may agree with a counterparty that the Fund will pay a fixed rate (multiplied by a notional amount) while the counterparty will pay a floating rate multiplied by the same notional amount. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Unrealized gains are reported as an asset, and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on interest rate swaps in the Statement of Operations. A realized gain or loss is recorded in net realized gain (loss) in the Statement of Operations upon payment or receipt of a periodic payment or termination of the swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of


Convertible Opportunities and Income Fund Notes to Financial Statements ANNUAL REPORT				23

Notes to Financial Statements

involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy.

Premiums paid to or by a Fund are accrued daily and included in realized gain (loss) when paid on swaps in the accompanying Statement of Operations. The contracts are marked-to-market daily based upon third party vendor valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms, counterparty’s creditworthiness, and the possible lack of liquidity with respect to the contracts.

As of October 31, 2009, the Fund had outstanding interest rate swap agreements as listed on the Schedule of Investments.

Below are the types of derivatives in the Fund by gross value as of October 31, 2009:

Assets

Liabilities

Statement of Assets &

Liabilities Location

Value

Liabilities Location

Value

Derivative Type:

Purchased options

Investments in securities

990,203

Written options

2,192,060

Interest Rate contracts

Unrealized appreciation on swaps

—

Unrealized depreciation on swaps

786,401

VOLUME OF DERIVATIVE ACTIVITY FOR THE TWELVE MONTHS ENDED OCTOBER 31, 2009*


Equity:
Purchased options		11,830
Written options		41,769
Foreign currency contracts		—
Interest rate swaps	$	173,700,000
Credit swaps		—


*		Activity during the period is measured by opened number of contracts for options and opened notional amount for swap contracts.

NOTE 7 – PREFERRED SHARES

On March 18, 2009, the Fund’s Board approved the final redemption of all preferred shares outstanding. The shares were redeemed at a price of $25,000 per share plus any accrued and unpaid dividends (an aggregate price of $104,014,687).

NOTE 8 – BORROWINGS

On May 15, 2008, the Fund entered into a Revolving Credit and Security Agreement with conduit lenders and a bank that allowed it to borrow up to an initial limit of $336.6 million. Borrowings under the Revolving Credit and Security Agreement were secured by assets of the Fund. Interest was charged at a rate above the conduits’ commercial paper issuance rate and was payable monthly. Under the Revolving Credit and Security Agreement, the Fund also paid a program fee on its outstanding borrowings to administer the facility and a liquidity fee on the total borrowing limit.

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 Agreement) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) (“BNP”) that allows the Fund to borrow up to an initial limit of $300,000,000, and a Lending Agreement, as defined below. The Agreement with BNP replaced the Revolving Credit and Security Agreement, and an initial draw-down of $89,000,000 under the Agreement was utilized to pay off outstanding indebtedness under the Revolving Credit and Security Agreement in its entirety. Borrowings under the Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). Interest is charged at the quarterly LIBOR (London Inter-bank Offered Rate) plus .95% on the amount


24		Convertible Opportunities and Income Fund ANNUAL REPORT Notes to Financial Statements

Notes to Financial Statements

borrowed and .85% on the undrawn balance. For the year ended October 31, 2009, the average borrowings and the average interest rate were $113,078,288 and 1.60%, respectively. As of October 31, 2009, the amount of such outstanding borrowings is $193,000,000. The interest rate applicable to the borrowings on October 31, 2009 was 1.23%.

The Lending Agreement 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 Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the 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.

Under the terms of the Lending Agreement, 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 to the Fund’s custodian for the ultimate delivery of such Lent Securities, or equivalent securities, 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.

NOTE 9 – SECURITIES LENDING

The Fund may loan one or more of their securities to broker-dealers and banks. Any such loan must be secured by collateral in cash or cash equivalents maintained on a current basis in an amount at least equal to the value of the securities loaned by the Fund. The Fund continues to receive the equivalent of the interest or dividends paid by the issuer on the securities loaned and also receive an additional return that may be in the form of a fixed fee or a percentage of the collateral. Upon receipt of cash or cash equivalent collateral, the Fund’s securities lending agent invests the collateral into short term investments following investment guidelines approved by Calamos Advisors. The Fund records the investment of collateral as an asset and the value of the collateral as a liability on the Statements of Assets and Liabilities. If the value of the invested collateral declines below the value of the collateral deposited by the borrower, the Fund will record unrealized depreciation equal to the decline in value of the invested collateral. The Fund may pay reasonable fees to persons unaffiliated with the Fund for services in arranging these loans. The Fund has the right to call a loan and obtain the securities loaned at any time. The Fund does not have the right to vote the securities during the existence of the loan but could call the loan in an attempt to permit voting of the securities in certain circumstances. Upon return of the securities loaned, the cash or cash equivalent collateral will be returned to the borrower. In the event of bankruptcy or other default of the borrower, the Fund could experience both delays in liquidating the loan collateral or recovering the loaned securities and losses, including (a) possible decline in the value of the collateral or in the value of the securities loaned during the period while the Fund seeks to enforce its rights thereto, (b) possible subnormal levels of income and lack of access to income during this period, and (c) the expenses of enforcing their rights. In an effort to reduce these risks, the Fund’s security lending agent monitors and reports to Calamos Advisors on the creditworthiness of the firms to which a Fund lends securities. At October 31, 2009, the Fund had no securities on loan.


Convertible Opportunities and Income Fund Notes to Financial Statements ANNUAL REPORT				25

Notes to Financial Statements

NOTE 10 – SYNTHETIC CONVERTIBLE SECURITIES

The Fund may establish a “synthetic” convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities (“fixed-income component”), which may be a convertible or non-convertible security and the right to acquire equity securities (“convertible component”). The fixed-income component is achieved by investing in fixed income securities such as bonds, preferred stocks, and money market instruments. The convertible component is achieved by investing in warrants or options to buy common stock at a certain exercise price, or options on a stock index. In establishing a synthetic instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or purchased options that produce the economic characteristics similar to a convertible security. Within each basket of fixed-income securities and warrants or options, different companies may issue the fixed-income and convertible components, which may be purchased separately and at different times.

The Fund may also purchase synthetic securities created by other parties, typically investment banks, including convertible structured notes. Convertible structured notes are fixed-income debentures linked to equity. Convertible structured notes have the attributes of a convertible security; however, the investment bank that issued the convertible note assumes the credit risk associated with the investment, rather than the issuer of the underlying common stock into which the note is convertible. Purchasing synthetic convertible securities may offer more flexibility than purchasing a convertible security.

NOTE 11 – STRUCTURED EQUITY LINKED SECURITIES

The Fund may also invest in structured equity-linked securities created by third parties, typically investment banks. Structured equity linked securities created by such parties may be designed to simulate the characteristics of traditional convertible securities or may be designed to alter or emphasize a particular feature. Traditional convertible securities typically offer stable cash flows with the ability to participate in capital appreciation of the underlying common stock. Because traditional convertible securities are exercisable at the option of the holder, the holder is protected against downside risk. Structured equity-linked securities may alter these characteristics by offering enhanced yields in exchange for reduced capital appreciation or less downside protection, or any combination of these features. Structured equity-linked instruments may include structured notes, equity-linked notes, mandatory convertibles and combinations of securities and instruments, such as a debt instrument combined with a forward contract. Income received from these securities are recorded as dividends on the Statement of Operations.

NOTE 12 – VALUATIONS

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 assets and liabilities use inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange).

	•	Level 2 assets and liabilities reflect inputs other than quoted prices, but use observable market data (including quoted prices of similar securities, interest rates, credit risk, etc.).

	•	Level 3 assets and liabilities are valued using unobservable inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value).


26		Convertible Opportunities and Income Fund ANNUAL REPORT Notes to Financial Statements

Notes to Financial Statements

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


		Value of		Other
		Investment		Financial
Valuation Inputs		Securities		Instruments


Level 1 -	Quoted Prices
	Common Stocks	$	9,925,456	$	—
	Convertible Preferred Stocks		92,705,270		—
	Synthetic Convertible Securities (Purchased Options)		990,203		—
	Written Options		—		(2,192,060	)
	Short Term Investments		19,369,629		—
Level 2 -	Other significant observable inputs
	Common Stocks		—		—
	Convertible Bonds		153,052,631		—
	Corporate Bonds		489,744,324		—
	U.S. Government and Agency Security		1,431,455		—
	Sovereign Bond		8,055,152		—
	Convertible Preferred Stocks		26,714,972		—
	Synthetic Convertible Securities (Corporate Bonds, U.S. Government and Agency Security, Sovereign Bond)		5,607,727		—
	Structured Equity-Linked Securities		30,805,316		—
	Interest Rate Swaps		—		(786,401	)


Total		$	838,402,135	$	(2,978,461	)


Convertible Opportunities and Income Fund Notes to Financial Statements ANNUAL REPORT				27

Financial Highlights

Selected data for a share outstanding throughout each period were as follows:


	Year Ended October 31,

	2009			2008			2007			2006			2005

Net asset value, beginning of period		$8.26			$16.38			$16.42			$16.59			$18.03


Income from investment operations:
Net investment income (loss)		0.84	^**		1.16	^**		1.44	^**		1.50			1.65


Net realized and unrealized gain (loss)		3.88			(7.31	)		0.97			0.81			0.03


Distributions to preferred shareholders from:
Net investment income (common share equivalent basis)		(0.01	)		(0.13	)		(0.41	)		(0.36	)		(0.19	)


Net realized gains (common share equivalent basis)		—			(0.12	)		(0.02	)		(0.03	)		(0.06	)


Total from investment operations		4.71			(6.40	)		1.98			1.92			1.43


Less distributions to common shareholders from:
Net investment income		(0.94	)		(1.41	)		(1.55	)		(1.61	)		(1.65	)


Net realized gains		(0.02	)		(0.31	)		(0.47	)		(0.48	)		(1.22	)


Return of capital		(0.18	)		—			—			—			—


Capital charge resulting from issuance of common and preferred shares and related offering costs		—	^(a)		—	^(a)		—			—			—


Net asset value, end of period		$11.83			$8.26			$16.38			$16.42			$16.59


Market value, end of period		$11.40			$9.10			$16.90			$19.73			$19.52


Total investment return based on:^(b)
Net asset value		62.00	%		(42.58	)%		11.51	%		10.47	%		6.69	%


Market value		41.70	%		(38.69	)%		(4.25	)%		12.81	%		10.40	%


Net assets, end of period (000)		$651,707			$409,035			$784,997			$771,994			$764,502


Preferred shares, at redemption value ($25,000 per share liquidation preference) (000’s omitted)		$—			$104,000			$384,000			$384,000			$384,000


Ratios to average net assets applicable to common shareholders:
Net expenses^(c)		2.87	%		1.92	%		1.08	%		1.04	%		1.06	%


Gross expenses prior to expense reductions and earnings credits^(c)		2.98	%		2.16	%		1.43	%		1.42	%		1.43	%


Net investment income (loss)^(c)		8.79	%		8.38	%		8.83	%		9.17	%		9.59	%


Preferred share distributions		0.10	%		0.92	%		2.51	%		2.18	%		1.11	%


Net investment income (loss), net of preferred share distributions from net investment income		8.69	%		7.46	%		6.32	%		6.99	%		8.48	%


Portfolio turnover rate		30	%		53	%		52	%		48	%		76	%


Asset coverage per preferred share, at end of period^(d)		$ —			$123,350			$76,142			$75,291			$74,795


Asset coverage per $1,000 of loan outstanding^(e)		$4,377			$3,745			$ —			$ —			$ —


**		Net investment income allocated based on average shares method.

(a)		Amount equated to less than $0.005 per common share.

(b)		Total investment return is calculated assuming a purchase of common stock on the opening of the first day and a sale on the closing of the last day of the period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total return is not annualized for periods less than one year. Brokerage commissions are not reflected. NAV per share is determined by dividing the value of the Fund’s portfolio securities, cash and other assets, less all liabilities, by the total number of common shares outstanding. The common share market price is the price the market is willing to pay for shares of the Fund at a given time. Common share market price is influenced by a range of factors, including supply and demand and market conditions.

(c)		Does not reflect the effect of dividend payments to Preferred Shareholders.

(d)		Calculated by subtracting the Fund’s total liabilities (not including Preferred Shares) from the Fund’s total assets and dividing this by the number of Preferred Shares outstanding.

(e)		Calculated by subtracting the Fund’s total liabilities (not including Note payable) and preferred shares from the Fund’s total assets and dividing this by the amount of note payable outstanding, and by multiplying the result by 1,000.


28		Convertible Opportunities and Income Fund ANNUAL REPORT Financial Highlights

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of Calamos Convertible Opportunities and Income Fund

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Calamos Convertible Opportunities and Income Fund (the “Fund”) as of October 31, 2009, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2009, by correspondence with the Fund’s custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Fund as of October 31, 2009, the results of its operations and cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Chicago, Illinois

December 17, 2008


Convertible Opportunities and Income Fund Report of Independent Registered Public Accounting Firm ANNUAL REPORT				29


		Portfolios in
		Fund ComplexÙ	Principal Occupation(s)
Name and Age	Position(s) with Trust	Overseen	and Other Directorships


Trustees who are interested persons of the Trust:
John P. Calamos, Sr., 69*	Trustee and President (since 2002)	19	Chairman, CEO, and Co-Chief Investment Officer Calamos Asset Management, Inc. (“CAM”), Calamos Holdings LLC (“CHLLC”) and Calamos Advisors LLC and its predecessor (“Calamos Advisors”), and President and Co-Chief Investment Officer, Calamos Financial Services LLC and its predecessor (“CFS”); Director, CAM


Trustees who are not interested persons of the Trust:
Joe F. Hanauer, 72**	Trustee (since 2002)	19	Private investor; Chairman and Director, Move, Inc., (internet provider of real estate information and products); Director, Combined Investments, L.P. (investment management)


Weston W. Marsh, 59	Trustee (since 2002)	19	Of Counsel and, until December 31, 2006, Partner, Freeborn & Peters (law firm)


John E. Neal, 59	Trustee (since 2002)	19	Private investor; formerly Managing Director, Banc One Capital Markets, Inc. (investment banking) (2000-2004); Director, Focused Health Services (private disease management company), Equity Residential (publicly-owned REIT); Partner, Private Perfumery LLC (private label perfume company); Linden LLC (health care private equity) and Greenspire Properties LLC (private homebuilder and real estate development company)


William R. Rybak, 58	Trustee (since 2002)	19	Private investor; formerly Executive Vice President and Chief Financial Officer, Van Kampen Investments, Inc. and subsidiaries (investment manager); Director, Howe Barnes Hoefer Arnett, Inc. (investment services firm) and PrivateBancorp, Inc. (bank holding company); Trustee, JNL Series Trust, JNL Investors Series Trust and JNL Variable Fund LLC***


Stephen B. Timbers, 65	Trustee (since 2004); Lead Independent Trustee (since 2005)	19	Private investor; formerly Vice Chairman, Northern Trust Corporation (bank holding company); formerly President and Chief Executive Officer, Northern Trust Investments, N.A. (investment manager); formerly President, Northern Trust Global Investments, a division of Northern Trust Corporation and Executive Vice President, The Northern Trust Corporation


David D. Tripple, 65	Trustee (since 2006)	19	Private investor; Trustee, Century Shares Trust and Century Small Cap Select Fund****


*	Mr. Calamos is an “interested person” of the Trust as defined in the 1940 Act because he is an affiliate of Calamos Advisors and CFS. Mr. Calamos is the uncle of Nick P. Calamos, Vice President of the Trust.

**	Mr. Hanauer will retire as of December 31, 2009, in accordance with the board’s retirement policy with respect to independent trustees. There is no current intention to fill such vacancy.

***	Overseeing 109 portfolios in fund complex

****	Overseeing 2 portfolios in fund complex


		Principal Occupation(s)
Name and Age	Position(s) with Trust	During Past 5 Years


Nimish S. Bhatt, 46	Vice President and Chief Financial Officer (since 2007)	Senior Vice President and Director of Operations, CAM, CHLLC, Calamos Advisors and CFS (since 2004); prior thereto, Senior Vice President, Alternative Investments and Tax Services, The BISYS Group, Inc.
Nick P. Calamos, 48	Vice President (since 2002)	Senior Executive Vice President and Co-Chief Investment Officer, CAM, CHLLC, Calamos Advisors and CFS
James J. Boyne, 43	Vice President (since 2008)	Senior Vice President, General Counsel and Secretary, Calamos Advisors (since 2008); prior thereto, Chief Operating Officer, General Counsel and Executive Managing Director of McDonnell Investment Management, LLC (2001-2008)
Stathy Darcy, 43	Secretary (since 2007)	Vice President and Deputy General Counsel — Mutual Funds, Calamos Advisors (since 2006); prior thereto, Partner, Chapman and Cutler LLP (law firm)
Mark Mickey, 58	Chief Compliance Officer (since 2005)	Chief Compliance Officer, Calamos Funds (since 2005) and Chief Compliance Officer, Calamos Advisors (2005-2006); Director of Risk Assessment and Internal Audit, Calamos Advisors (2003-2005);


Open-End Fund		Closed-End Fund
Issues new shares on an ongoing basis		Issues a fixed number of shares
Issues equity shares		Can issue senior securities such as preferred shares and bonds
Sold at NAV plus any sales charge		Price determined by the marketplace
Sold through the fund’s distributor		Traded in the secondary market
Fund redeems shares at NAV calculated at the close of business day		Fund does not redeem shares


Fund Asset Allocation as of 10/31/09		Fund Profile

Calamos Convertible Opportunities and Income Fund (CHI)

		Providing Enhanced Fixed Income Potential Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of convertible securities and below investment-grade (high-yield) fixed-income securities.

Calamos Convertible and High Income Fund (CHY)

		Providing Enhanced Fixed Income Potential Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of convertible securities and below investment-grade (high-yield) fixed-income securities.

Calamos Global Dynamic Income Fund (CHW)

		Providing Global Enhanced Fixed Income Potential Objective: The Fund seeks to generate a high level of current income with a secondary objective of capital appreciation. The Fund has maximum flexibility to dynamically allocate among equities, fixed-income securities and alternative investments around the world.

Calamos Strategic Total Return Fund (CSQ)

		Providing Total Return Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of equity, convertible and below investment-grade (high-yield) fixed-income securities.

Calamos Global Total Return Fund (CGO)

		Providing Global Total Return Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of global equity, global convertible and below investment-grade (high-yield) fixed-income securities.


Ù		The Fund Complex consists of CALAMOS Investment Trust, CALAMOS Advisors Trust, CALAMOS Convertible Opportunities and Income Fund, CALAMOS Convertible and High Income Fund, CALAMOS Strategic Total Return Fund, CALAMOS Global Total Return Fund and CALAMOS Global Dynamic Income Fund.


PERSONAL ASSISTANCE
800.582.6959		Dial this toll-free number to speak with a knowledgeable Client Services Representative who can help answer questions or address issues concerning your Calamos Fund


YOUR FINANCIAL ADVISOR
		We encourage you to talk to your financial advisor to determine how Calamos Investments can benefit your investment portfolio based on your financial goals, risk tolerance, time horizon and income needs


	Registered				Other Pooled
	Investment				Investment				Other
	Companies				Vehicles				Accounts
	Accounts		Assets		Accounts		Assets		Accounts		Assets
John P. Calamos Sr.		25		22,748,397,468		12		1,001,310,525		15,250		6,785,062,461
Nick P. Calamos		25		22,748,397,468		12		1,001,310,525		15,250		6,785,062,461
John P. Calamos, Jr.		25		22,748,397,468		12		1,001,310,525		15,250		6,785,062,461
John Hillenbrand		24		21,260,814,709		10		982,219,618		15,250		6,785,062,461
Steve Klouda		24		21,260,814,709		10		982,219,618		15,250		6,785,062,461
Jeff Scudieri		24		21,260,814,709		10		982,219,618		15,250		6,785,062,461
Jon Vacko		24		21,260,814,709		10		982,219,618		15,250		6,785,062,461


Portfolio Manager		Registrant
John P. Calamos Sr.		over $1,000,000
Nick P. Calamos		$10,001-$50,000
John P. Calamos, Jr.		None
John Hillenbrand		None
Steve Klouda		None
Jeff Scudieri		None
Jon Vacko		$1-$10,000


By:		/s/ John P. Calamos, Sr.
Name:		John P. Calamos, Sr.
Title:		Principal Executive Officer
Date:		December 30, 2009

By:		/s/ Nimish S. Bhatt
Name:		Nimish S. Bhatt
Title:		Principal Financial Officer
Date:		December 30, 2009