|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
| |
CORPORATE BONDS (15.2%) |
|
|
|
|
|
|
|
|
Airlines (0.3%) |
|
|
|
|
| |
46,800 |
|
|
Air Canada Pass Through Trust Series 2015-2, Class B*
5.000%,
06/15/25 |
|
$ |
46,455 |
|
| |
249,249 |
|
|
Alaska Airlines Pass Through Trust Series 2020-1, Class A*µ
4.800%,
02/15/29 |
|
|
241,348 |
|
| |
132,911 |
|
|
Alaska Airlines Pass Through Trust Series 2020-1, Class B*
8.000%,
02/15/27 |
|
|
134,123 |
|
| |
287,560 |
|
|
American Airlines Pass Through Trust Series 2021-1, Class B
3.950%,
01/11/32 |
|
|
253,734 |
|
|
|
|
|
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd.* |
|
|
|
|
| |
179,667 |
|
|
5.500%, 04/20/26 |
|
|
177,168 |
|
| |
65,000 |
|
|
5.750%, 04/20/29 |
|
|
63,057 |
|
| |
275,623 |
|
|
British Airways Pass Through Trust Series 2021-1, Class B*
3.900%,
03/15/33 |
|
|
247,369 |
|
| |
273,487 |
|
|
JetBlue Pass Through Trust Series 2020-1, Class B
7.750%, 05/15/30 |
|
|
275,729 |
|
| |
354,000 |
|
|
Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.*
8.000%, 09/20/25 |
|
|
358,279 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,797,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services (1.6%) |
|
|
|
|
| |
200,000 |
|
|
Altice France Holding, SA*
10.500%, 05/15/27 |
|
|
84,946 |
|
| |
300,000 |
|
|
Altice France, SA*
5.500%, 10/15/29 |
|
|
213,336 |
|
| |
320,000 |
|
|
APi Group DE, Inc.*
4.750%, 10/15/29 |
|
|
285,190 |
|
| |
260,000 |
|
|
Arrow Bidco, LLC*
9.500%, 03/15/24 |
|
|
260,710 |
|
| |
280,000 |
|
|
Ashtead Capital, Inc.*
2.450%, 08/12/31 |
|
|
221,861 |
|
|
|
|
|
Audacy Capital Corp.* |
|
|
|
|
| |
336,000 |
|
|
6.750%, 03/31/29 |
|
|
7,342 |
|
| |
131,000 |
|
|
6.500%, 05/01/27 |
|
|
3,151 |
|
| |
204,000 |
|
|
Cincinnati Bell Telephone Company, LLC
6.300%, 12/01/28 |
|
|
167,592 |
|
| |
405,000 |
|
|
Consolidated Communications, Inc.*^
6.500%, 10/01/28 |
|
|
316,576 |
|
|
|
|
|
CSC Holdings, LLC* |
|
|
|
|
| |
400,000 |
|
|
5.375%, 02/01/28 |
|
|
334,348 |
|
| |
400,000 |
|
|
4.625%, 12/01/30 |
|
|
202,208 |
|
| |
400,000 |
|
|
4.500%, 11/15/31 |
|
|
287,384 |
|
| |
370,000 |
|
|
5.500%, 04/15/27 |
|
|
317,734 |
|
| |
200,000 |
|
|
5.750%, 01/15/30 |
|
|
103,822 |
|
|
|
|
|
Diamond Sports Group, LLC / Diamond Sports Finance Company*@ |
|
|
|
|
| |
210,000 |
|
|
6.625%, 08/15/27 |
|
|
6,206 |
|
| |
146,000 |
|
|
5.375%, 08/15/26 |
|
|
4,654 |
|
| |
368,000 |
|
|
Directv Financing, LLC / Directv Financing Co-Obligor, Inc.*
5.875%,
08/15/27 |
|
|
332,521 |
|
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
187,000 |
|
|
Embarq Corp.
7.995%, 06/01/36 |
|
$ |
106,311 |
|
| |
275,000 |
|
|
Frontier California, Inc.
6.750%, 05/15/27 |
|
|
254,089 |
|
|
|
|
|
Frontier Communications Holdings, LLC* |
|
|
|
|
| |
169,000 |
|
|
5.000%, 05/01/28 |
|
|
143,375 |
|
| |
65,000 |
|
|
8.750%, 05/15/30 |
|
|
62,704 |
|
| |
289,000 |
|
|
Frontier Florida, LLC@
6.860%, 02/01/28 |
|
|
271,232 |
|
| |
400,000 |
|
|
Frontier North, Inc.@
6.730%, 02/15/28 |
|
|
361,620 |
|
|
|
|
|
Go Daddy Operating Company, LLC / GD Finance Company, Inc.* |
|
|
|
|
| |
235,000 |
|
|
3.500%, 03/01/29 |
|
|
202,554 |
|
| |
69,000 |
|
|
5.250%, 12/01/27 |
|
|
66,380 |
|
|
|
|
|
iHeartCommunications, Inc. |
|
|
|
|
| |
100,000 |
|
|
8.375%, 05/01/27 |
|
|
68,500 |
|
| |
100,000 |
|
|
5.250%, 08/15/27* |
|
|
78,903 |
|
|
|
|
|
Intelsat Jackson Holdings, SA@& |
|
|
|
|
| |
200,000 |
|
|
0.000%, 07/15/25* |
|
|
— |
|
| |
135,000 |
|
|
0.000%, 08/01/23 |
|
|
— |
|
| |
330,000 |
|
|
LCPR Senior Secured Financing DAC*
6.750%, 10/15/27 |
|
|
310,065 |
|
| |
198,330 |
|
|
Ligado Networks, LLC*
15.500%, 11/01/23
PIK rate |
|
|
68,914 |
|
|
|
|
|
Lumen Technologies, Inc. |
|
|
|
|
| |
200,000 |
|
|
7.600%, 09/15/39 |
|
|
73,518 |
|
| |
135,000 |
|
|
4.000%, 02/15/27* |
|
|
88,830 |
|
| |
130,000 |
|
|
Match Group Holdings II, LLC*^
3.625%, 10/01/31 |
|
|
107,272 |
|
| |
185,000 |
|
|
Paramount Global‡
6.375%, 03/30/62
5 year CMT + 4.00% |
|
|
152,828 |
|
| |
94,000 |
|
|
Qwest Corp.
7.250%, 09/15/25 |
|
|
91,806 |
|
|
|
|
|
Scripps Escrow II, Inc.* |
|
|
|
|
| |
136,000 |
|
|
3.875%, 01/15/29 |
|
|
113,160 |
|
| |
68,000 |
|
|
5.375%, 01/15/31 |
|
|
51,820 |
|
| |
225,000 |
|
|
Scripps Escrow, Inc.*
5.875%, 07/15/27 |
|
|
188,282 |
|
|
|
|
|
Sirius XM Radio, Inc.* |
|
|
|
|
| |
345,000 |
|
|
5.500%, 07/01/29 |
|
|
315,675 |
|
| |
268,000 |
|
|
4.000%, 07/15/28 |
|
|
233,471 |
|
| |
130,000 |
|
|
3.125%, 09/01/26 |
|
|
117,269 |
|
| |
65,000 |
|
|
3.875%, 09/01/31 |
|
|
50,955 |
|
| |
242,000 |
|
|
Spanish Broadcasting System, Inc.*^
9.750%, 03/01/26 |
|
|
167,810 |
|
| |
680,000 |
|
|
Sprint, LLCµ
7.125%, 06/15/24 |
|
|
686,548 |
|
| |
235,000 |
|
|
Stagwell Global, LLC*
5.625%, 08/15/29 |
|
|
200,251 |
|
| |
297,000 |
|
|
TEGNA, Inc.
4.625%, 03/15/28 |
|
|
267,763 |
|
| |
210,000 |
|
|
Telecom Italia Capital, SA
6.000%, 09/30/34 |
|
|
170,039 |
|
| |
260,000 |
|
|
Telesat Canada / Telesat, LLC*
4.875%, 06/01/27 |
|
|
156,146 |
|
| |
105,000 |
|
|
Time Warner Cable, LLC
7.300%, 07/01/38 |
|
|
107,186 |
|
| |
435,000 |
|
|
United States Cellular Corp.
6.700%, 12/15/33 |
|
|
376,545 |
|
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 1 |
|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
100,000 |
|
|
Univision Communications, Inc.*
8.000%, 08/15/28 |
|
$ |
100,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,962,254 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (3.2%) |
|
|
|
|
| |
320,000 |
|
|
Abercrombie & Fitch Management Company*
8.750%, 07/15/25 |
|
|
325,165 |
|
| |
330,000 |
|
|
Adient Global Holdings Company*^
8.250%, 04/15/31 |
|
|
339,349 |
|
| |
213,000 |
|
|
American Axle & Manufacturing, Inc.
6.875%, 07/01/28 |
|
|
202,917 |
|
|
|
|
|
Ashton Woods USA, LLC / Ashton Woods Finance Company* |
|
|
|
|
| |
228,000 |
|
|
4.625%, 08/01/29 |
|
|
197,681 |
|
| |
204,000 |
|
|
6.625%, 01/15/28 |
|
|
196,838 |
|
| |
325,000 |
|
|
At Home Group, Inc.*
4.875%, 07/15/28 |
|
|
189,001 |
|
|
|
|
|
Bath & Body Works, Inc. |
|
|
|
|
| |
355,000 |
|
|
6.694%, 01/15/27 |
|
|
356,722 |
|
| |
330,000 |
|
|
6.875%, 11/01/35 |
|
|
306,481 |
|
|
|
|
|
Caesars Entertainment Corp.*^ |
|
|
|
|
| |
168,000 |
|
|
4.625%, 10/15/29 |
|
|
148,042 |
|
| |
132,000 |
|
|
8.125%, 07/01/27 |
|
|
135,674 |
|
|
|
|
|
Carnival Corp.* |
|
|
|
|
| |
134,000 |
|
|
10.500%, 02/01/26 |
|
|
141,294 |
|
| |
134,000 |
|
|
4.000%, 08/01/28 |
|
|
119,265 |
|
| |
133,000 |
|
|
7.625%, 03/01/26^ |
|
|
131,383 |
|
| |
315,000 |
|
|
Carriage Services, Inc.*
4.250%, 05/15/29 |
|
|
273,401 |
|
| |
195,000 |
|
|
Carvana Company*
4.875%, 09/01/29 |
|
|
121,119 |
|
|
|
|
|
CCO Holdings, LLC / CCO Holdings Capital Corp.* |
|
|
|
|
| |
725,000 |
|
|
5.125%, 05/01/27 |
|
|
680,869 |
|
| |
300,000 |
|
|
6.375%, 09/01/29 |
|
|
287,073 |
|
| |
300,000 |
|
|
4.750%, 03/01/30 |
|
|
260,121 |
|
| |
266,000 |
|
|
4.250%, 02/01/31 |
|
|
218,689 |
|
| |
150,000 |
|
|
4.500%, 08/15/30 |
|
|
127,038 |
|
| |
130,000 |
|
|
5.000%, 02/01/28 |
|
|
120,323 |
|
| |
130,000 |
|
|
4.750%, 02/01/32 |
|
|
107,791 |
|
| |
130,000 |
|
|
CDI Escrow Issuer, Inc.*
5.750%, 04/01/30 |
|
|
120,908 |
|
| |
207,000 |
|
|
Cedar Fair, LP^
5.250%, 07/15/29 |
|
|
186,074 |
|
| |
132,000 |
|
|
Churchill Downs, Inc.*
6.750%, 05/01/31 |
|
|
129,187 |
|
|
|
|
|
Dana, Inc. |
|
|
|
|
| |
220,000 |
|
|
4.250%, 09/01/30 |
|
|
188,984 |
|
| |
195,000 |
|
|
4.500%, 02/15/32^ |
|
|
163,825 |
|
|
|
|
|
DISH DBS Corp. |
|
|
|
|
| |
325,000 |
|
|
5.250%, 12/01/26* |
|
|
266,880 |
|
| |
215,000 |
|
|
7.750%, 07/01/26 |
|
|
139,397 |
|
| |
168,000 |
|
|
7.375%, 07/01/28 |
|
|
94,737 |
|
| |
130,000 |
|
|
5.125%, 06/01/29 |
|
|
65,794 |
|
| |
265,000 |
|
|
DISH Network Corp.*
11.750%, 11/15/27 |
|
|
266,887 |
|
| |
400,000 |
|
|
Empire Resorts, Inc.*
7.750%, 11/01/26 |
|
|
324,764 |
|
| |
296,000 |
|
|
Everi Holdings, Inc.*
5.000%, 07/15/29 |
|
|
262,795 |
|
| |
275,000 |
|
|
Ford Motor Company^
6.100%, 08/19/32 |
|
|
266,274 |
|
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
Ford Motor Credit Company, LLC |
|
|
|
|
| |
515,000 |
|
|
7.350%, 11/04/27 |
|
$ |
529,822 |
|
| |
425,000 |
|
|
4.000%, 11/13/30 |
|
|
366,754 |
|
| |
350,000 |
|
|
5.113%, 05/03/29 |
|
|
326,914 |
|
| |
340,000 |
|
|
7.200%, 06/10/30 |
|
|
349,738 |
|
| |
200,000 |
|
|
7.350%, 03/06/30 |
|
|
207,262 |
|
|
|
|
|
Gap, Inc.* |
|
|
|
|
| |
98,000 |
|
|
3.875%, 10/01/31 |
|
|
70,166 |
|
| |
13,000 |
|
|
3.625%, 10/01/29 |
|
|
9,697 |
|
|
|
|
|
goeasy, Ltd.* |
|
|
|
|
| |
460,000 |
|
|
5.375%, 12/01/24 |
|
|
449,011 |
|
| |
241,000 |
|
|
4.375%, 05/01/26 |
|
|
220,905 |
|
| |
114,000 |
|
|
Group 1 Automotive, Inc.*
4.000%, 08/15/28 |
|
|
100,907 |
|
| |
283,000 |
|
|
Guitar Center, Inc.*^
8.500%, 01/15/26 |
|
|
260,711 |
|
|
|
|
|
International Game Technology, PLC* |
|
|
|
|
| |
345,000 |
|
|
6.250%, 01/15/27 |
|
|
345,593 |
|
| |
200,000 |
|
|
4.125%, 04/15/26 |
|
|
190,546 |
|
| |
165,000 |
|
|
Kohl’s Corp.
5.550%, 07/17/45 |
|
|
107,539 |
|
| |
265,000 |
|
|
LCM Investments Holdings II, LLC*
8.250%, 08/01/31 |
|
|
269,407 |
|
| |
265,000 |
|
|
Liberty Interactive, LLC
8.250%, 02/01/30 |
|
|
99,375 |
|
|
|
|
|
Life Time, Inc.* |
|
|
|
|
| |
256,000 |
|
|
8.000%, 04/15/26 |
|
|
256,468 |
|
| |
135,000 |
|
|
5.750%, 01/15/26 |
|
|
132,546 |
|
| |
100,000 |
|
|
Lindblad Expeditions Holdings, Inc.*
9.000%, 05/15/28 |
|
|
103,337 |
|
| |
168,000 |
|
|
Lindblad Expeditions, LLC*
6.750%, 02/15/27 |
|
|
162,849 |
|
| |
175,000 |
|
|
M/I Homes, Inc.
3.950%, 02/15/30 |
|
|
152,924 |
|
|
|
|
|
Macy’s Retail Holdings, LLC |
|
|
|
|
| |
440,000 |
|
|
6.700%, 07/15/34* |
|
|
366,432 |
|
| |
135,000 |
|
|
4.300%, 02/15/43 |
|
|
84,974 |
|
| |
310,000 |
|
|
Mclaren Finance, PLC*
7.500%, 08/01/26 |
|
|
276,938 |
|
| |
332,000 |
|
|
Midwest Gaming Borrower, LLC / Midwest Gaming Finance Corp.*
4.875%, 05/01/29 |
|
|
295,616 |
|
| |
193,000 |
|
|
Mohegan Tribal Gaming Authority*
8.000%, 02/01/26 |
|
|
176,977 |
|
|
|
|
|
Newell Brands, Inc.^ |
|
|
|
|
| |
65,000 |
|
|
6.375%, 09/15/27 |
|
|
63,948 |
|
| |
33,000 |
|
|
6.625%, 09/15/29 |
|
|
33,079 |
|
|
|
|
|
Nordstrom, Inc. |
|
|
|
|
| |
130,000 |
|
|
5.000%, 01/15/44 |
|
|
88,716 |
|
| |
123,000 |
|
|
4.250%, 08/01/31 |
|
|
97,184 |
|
| |
305,000 |
|
|
Penn Entertainment, Inc.*^
4.125%, 07/01/29 |
|
|
252,293 |
|
| |
250,000 |
|
|
PetSmart, Inc. / PetSmart Finance Corp.*
4.750%, 02/15/28 |
|
|
229,700 |
|
| |
365,000 |
|
|
Premier Entertainment Sub, LLC / Premier Entertainment Finance Corp.*
5.625%, 09/01/29 |
|
|
279,356 |
|
| |
759,000 |
|
|
Rite Aid Corp.*
8.000%, 11/15/26 |
|
|
380,312 |
|
| |
132,000 |
|
|
Royal Caribbean Cruises, Ltd.*
7.250%, 01/15/30 |
|
|
133,932 |
|
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 2 |
|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
370,000 |
|
|
Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed*
4.625%, 03/01/29 |
|
$ |
308,687 |
|
| |
530,000 |
|
|
Six Flags Entertainment Corp.*
7.250%, 05/15/31 |
|
|
507,586 |
|
| |
303,000 |
|
|
Sonic Automotive, Inc.*^
4.625%, 11/15/29 |
|
|
259,932 |
|
| |
193,000 |
|
|
Speedway Motorsports, LLC / Speedway Funding II, Inc.*
4.875%, 11/01/27 |
|
|
180,812 |
|
| |
545,000 |
|
|
Station Casinos, LLC*
4.500%, 02/15/28 |
|
|
495,023 |
|
| |
162,000 |
|
|
Taylor Morrison Communities, Inc.*
5.750%, 01/15/28 |
|
|
158,259 |
|
| |
65,000 |
|
|
Viking Cruises, Ltd.*
9.125%, 07/15/31 |
|
|
66,829 |
|
| |
300,000 |
|
|
Vista Outdoor, Inc.*
4.500%, 03/15/29 |
|
|
255,441 |
|
| |
135,000 |
|
|
Windsor Holdings III, LLC*
8.500%, 06/15/30 |
|
|
135,859 |
|
| |
265,000 |
|
|
ZF North America Capital, Inc.*
7.125%, 04/14/30 |
|
|
272,929 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,576,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.6%) |
|
|
|
|
| |
303,000 |
|
|
1375209 B.C., Ltd.*
9.000%, 01/30/28 |
|
|
304,233 |
|
| |
305,000 |
|
|
Central Garden & Pet Company*
4.125%, 04/30/31 |
|
|
255,681 |
|
| |
304,000 |
|
|
Edgewell Personal Care Company*
4.125%, 04/01/29 |
|
|
266,207 |
|
|
|
|
|
Energizer Holdings, Inc.* |
|
|
|
|
| |
370,000 |
|
|
4.375%, 03/31/29^ |
|
|
322,000 |
|
| |
66,000 |
|
|
6.500%, 12/31/27 |
|
|
64,512 |
|
|
|
|
|
JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.* |
|
|
|
|
| |
390,000 |
|
|
5.500%, 01/15/30 |
|
|
377,563 |
|
| |
175,000 |
|
|
5.125%, 02/01/28µ |
|
|
170,240 |
|
| |
100,000 |
|
|
5.750%, 04/01/33 |
|
|
96,061 |
|
| |
177,000 |
|
|
New Albertsons, LP
7.750%, 06/15/26 |
|
|
183,390 |
|
| |
261,000 |
|
|
Performance Food Group, Inc.*
4.250%, 08/01/29 |
|
|
231,862 |
|
|
|
|
|
Pilgrim’s Pride Corp. |
|
|
|
|
| |
210,000 |
|
|
5.875%, 09/30/27* |
|
|
207,600 |
|
| |
210,000 |
|
|
4.250%, 04/15/31 |
|
|
181,499 |
|
| |
115,000 |
|
|
Post Holdings, Inc.*
5.750%, 03/01/27 |
|
|
112,814 |
|
| |
252,000 |
|
|
Prestige Brands, Inc.*
3.750%, 04/01/31 |
|
|
212,458 |
|
| |
165,000 |
|
|
United Natural Foods, Inc.*
6.750%, 10/15/28 |
|
|
137,710 |
|
| |
413,000 |
|
|
Vector Group, Ltd.*
5.750%, 02/01/29 |
|
|
360,256 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,484,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (1.8%) |
|
|
|
|
| |
267,000 |
|
|
Antero Resources Corp.*
5.375%, 03/01/30 |
|
|
249,090 |
|
| |
268,000 |
|
|
Apache Corp.
5.100%, 09/01/40 |
|
|
227,867 |
|
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
Buckeye Partners, LP |
|
|
|
|
| |
210,000 |
|
|
3.950%, 12/01/26 |
|
$ |
193,630 |
|
| |
135,000 |
|
|
5.850%, 11/15/43 |
|
|
104,543 |
|
| |
365,000 |
|
|
Callon Petroleum Company*^
7.500%, 06/15/30 |
|
|
354,893 |
|
| |
129,000 |
|
|
Cheniere Energy, Inc.
4.625%, 10/15/28 |
|
|
121,544 |
|
| |
198,000 |
|
|
Chesapeake Energy Corp.*
6.750%, 04/15/29 |
|
|
197,297 |
|
| |
72,000 |
|
|
Civitas Resources, Inc.*
8.750%, 07/01/31 |
|
|
74,561 |
|
|
|
|
|
Continental Resources, Inc.* |
|
|
|
|
| |
200,000 |
|
|
2.875%, 04/01/32 |
|
|
155,654 |
|
| |
135,000 |
|
|
5.750%, 01/15/31 |
|
|
130,828 |
|
| |
202,000 |
|
|
DT Midstream, Inc.*
4.125%, 06/15/29 |
|
|
179,333 |
|
|
|
|
|
Earthstone Energy Holdings, LLC* |
|
|
|
|
| |
256,000 |
|
|
8.000%, 04/15/27 |
|
|
254,945 |
|
| |
100,000 |
|
|
9.875%, 07/15/31 |
|
|
103,466 |
|
| |
150,000 |
|
|
Enbridge, Inc.‡
7.375%, 01/15/83
5 year CMT + 3.71% |
|
|
148,791 |
|
|
|
|
|
Energy Transfer, LP‡ |
|
|
|
|
| |
390,000 |
|
|
8.651%, 11/01/66
3 mo. SOFR + 3.28% |
|
|
312,905 |
|
| |
197,000 |
|
|
6.500%, 11/15/26
5 year CMT + 5.69% |
|
|
179,810 |
|
|
|
|
|
EnLink Midstream Partners, LP |
|
|
|
|
| |
340,000 |
|
|
9.618%, 08/31/23‡
3 mo. USD LIBOR + 4.11% |
|
|
294,229 |
|
| |
285,000 |
|
|
4.850%, 07/15/26 |
|
|
277,211 |
|
| |
168,000 |
|
|
Enlink Midstream, LLC*
6.500%, 09/01/30 |
|
|
169,463 |
|
| |
300,000 |
|
|
EQM Midstream Partners, LP*
7.500%, 06/01/27 |
|
|
305,241 |
|
|
|
|
|
Genesis Energy, LP / Genesis Energy Finance Corp. |
|
|
|
|
| |
274,000 |
|
|
6.250%, 05/15/26^ |
|
|
263,130 |
|
| |
66,000 |
|
|
8.875%, 04/15/30 |
|
|
65,921 |
|
|
|
|
|
Gulfport Energy Corp. |
|
|
|
|
| |
260,000 |
|
|
0.000%, 05/15/25@& |
|
|
— |
|
| |
255,000 |
|
|
8.000%, 05/17/26* |
|
|
258,476 |
|
| |
79,461 |
|
|
8.000%, 05/17/26 |
|
|
80,544 |
|
| |
365,000 |
|
|
Hilcorp Energy I, LP / Hilcorp Finance Company*
6.000%, 04/15/30 |
|
|
337,603 |
|
| |
196,000 |
|
|
Howard Midstream Energy Partners, LLC*
6.750%, 01/15/27 |
|
|
190,126 |
|
| |
262,000 |
|
|
Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*
6.000%, 08/01/26 |
|
|
256,938 |
|
|
|
|
|
Moss Creek Resources Holdings, Inc.* |
|
|
|
|
| |
145,000 |
|
|
10.500%, 05/15/27 |
|
|
141,774 |
|
| |
130,000 |
|
|
7.500%, 01/15/26 |
|
|
121,827 |
|
| |
200,000 |
|
|
Nabors Industries, Inc.*
7.375%, 05/15/27 |
|
|
195,844 |
|
| |
200,000 |
|
|
Nabors Industries, Ltd.*
7.500%, 01/15/28 |
|
|
184,336 |
|
|
|
|
|
New Fortress Energy, Inc.* |
|
|
|
|
| |
272,000 |
|
|
6.750%, 09/15/25 |
|
|
259,194 |
|
| |
135,000 |
|
|
6.500%, 09/30/26 |
|
|
124,015 |
|
| |
280,000 |
|
|
Parkland Corp.*
5.875%, 07/15/27 |
|
|
272,524 |
|
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 3 |
|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
261,000 |
|
|
Patterson-UTI Energy, Inc.
5.150%, 11/15/29 |
|
$ |
242,187 |
|
| |
270,000 |
|
|
Plains All American Pipeline, LP‡
9.431%, 08/31/23
3 mo. USD LIBOR + 4.11% |
|
|
245,298 |
|
| |
230,000 |
|
|
Rockcliff Energy II, LLC*
5.500%, 10/15/29 |
|
|
211,575 |
|
|
|
|
|
Southwestern Energy Company |
|
|
|
|
| |
135,000 |
|
|
5.375%, 02/01/29 |
|
|
127,709 |
|
| |
130,000 |
|
|
4.750%, 02/01/32 |
|
|
115,930 |
|
| |
65,000 |
|
|
Sunoco, LP / Sunoco Finance Corp.
4.500%, 04/30/30 |
|
|
57,873 |
|
| |
330,000 |
|
|
Transocean, Inc.*
8.750%, 02/15/30 |
|
|
342,705 |
|
|
|
|
|
Venture Global Calcasieu Pass, LLC* |
|
|
|
|
| |
165,000 |
|
|
6.250%, 01/15/30 |
|
|
161,497 |
|
| |
65,000 |
|
|
4.125%, 08/15/31 |
|
|
55,228 |
|
| |
65,000 |
|
|
3.875%, 08/15/29 |
|
|
56,410 |
|
|
|
|
|
Venture Global LNG, Inc.* |
|
|
|
|
| |
330,000 |
|
|
8.375%, 06/01/31 |
|
|
335,155 |
|
| |
200,000 |
|
|
8.125%, 06/01/28 |
|
|
203,382 |
|
|
|
|
|
Vital Energy, Inc. |
|
|
|
|
| |
165,000 |
|
|
7.750%, 07/31/29* |
|
|
141,745 |
|
| |
131,000 |
|
|
9.500%, 01/15/25^ |
|
|
130,906 |
|
| |
275,000 |
|
|
VOC Escrow, Ltd.*
5.000%, 02/15/28 |
|
|
255,838 |
|
| |
260,000 |
|
|
Weatherford International, Ltd.*
8.625%, 04/30/30 |
|
|
266,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,737,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (2.5%) |
|
|
|
|
| |
356,000 |
|
|
Acrisure, LLC / Acrisure Finance, Inc.*
7.000%, 11/15/25 |
|
|
344,740 |
|
| |
400,000 |
|
|
Aethon United BR, LP / Aethon United Finance Corp.*
8.250%, 02/15/26 |
|
|
399,240 |
|
| |
416,000 |
|
|
AG Issuer, LLC*
6.250%, 03/01/28 |
|
|
402,480 |
|
| |
460,000 |
|
|
Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer*
6.750%,
10/15/27 |
|
|
438,109 |
|
|
|
|
|
Ally Financial, Inc. |
|
|
|
|
| |
302,000 |
|
|
4.700%, 05/15/26‡ ‡‡
5 year CMT + 3.87% |
|
|
230,423 |
|
| |
125,000 |
|
|
4.700%, 05/15/28‡
7 year CMT + 3.48% |
|
|
88,244 |
|
| |
110,000 |
|
|
8.000%, 11/01/31 |
|
|
116,827 |
|
| |
533,000 |
|
|
AmWINS Group, Inc.*
4.875%, 06/30/29 |
|
|
489,123 |
|
| |
292,000 |
|
|
Aviation Capital Group, LLC*µ
3.500%, 11/01/27 |
|
|
263,381 |
|
| |
110,000 |
|
|
Avolon Holdings Funding, Ltd.*µ
5.500%, 01/15/26 |
|
|
106,945 |
|
| |
533,000 |
|
|
BroadStreet Partners, Inc.*
5.875%, 04/15/29 |
|
|
476,379 |
|
|
|
|
|
Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLC* |
|
|
|
|
| |
250,000 |
|
|
4.500%, 04/01/27 |
|
|
216,457 |
|
| |
169,000 |
|
|
5.750%, 05/15/26 |
|
|
158,721 |
|
| |
200,000 |
|
|
Burford Capital Global Financial, LLC*
6.875%, 04/15/30 |
|
|
183,108 |
|
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
237,000 |
|
|
Castlelake Aviation Finance DAC*^
5.000%, 04/15/27 |
|
$ |
218,924 |
|
|
|
|
|
Credit Acceptance Corp. |
|
|
|
|
| |
350,000 |
|
|
6.625%, 03/15/26^ |
|
|
343,437 |
|
| |
238,000 |
|
|
5.125%, 12/31/24* |
|
|
233,407 |
|
| |
344,000 |
|
|
Enact Holdings, Inc.*µ
6.500%, 08/15/25 |
|
|
340,718 |
|
| |
389,000 |
|
|
Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP*^
3.750%, 12/15/27 |
|
|
310,897 |
|
| |
439,000 |
|
|
Greystar Real Estate Partners, LLC*
5.750%, 12/01/25 |
|
|
433,350 |
|
|
|
|
|
HUB International, Ltd.* |
|
|
|
|
| |
398,000 |
|
|
5.625%, 12/01/29 |
|
|
356,274 |
|
| |
283,000 |
|
|
7.000%, 05/01/26 |
|
|
282,714 |
|
| |
202,000 |
|
|
Icahn Enterprises, LP / Icahn Enterprises Finance Corp.
4.375%, 02/01/29 |
|
|
164,034 |
|
| |
360,000 |
|
|
ILFC E-Capital Trust II*‡
7.314%, 12/21/65
3 mo. USD LIBOR + 1.80% |
|
|
261,000 |
|
|
|
|
|
Iron Mountain, Inc.* |
|
|
|
|
| |
550,000 |
|
|
5.250%, 03/15/28 |
|
|
517,594 |
|
| |
66,000 |
|
|
7.000%, 02/15/29 |
|
|
66,312 |
|
| |
540,000 |
|
|
Jefferies Finance, LLC / JFIN Co-Issuer Corp.*
5.000%, 08/15/28 |
|
|
461,576 |
|
|
|
|
|
Ladder Capital Finance Holdings, LLLP / Ladder Capital Finance Corp.* |
|
|
|
|
| |
522,000 |
|
|
5.250%, 10/01/25 |
|
|
500,546 |
|
| |
130,000 |
|
|
4.750%, 06/15/29 |
|
|
109,672 |
|
| |
378,000 |
|
|
LD Holdings Group, LLC*
6.125%, 04/01/28 |
|
|
248,543 |
|
|
|
|
|
Level 3 Financing, Inc.* |
|
|
|
|
| |
353,000 |
|
|
3.400%, 03/01/27 |
|
|
311,911 |
|
| |
280,000 |
|
|
4.250%, 07/01/28 |
|
|
198,610 |
|
| |
135,000 |
|
|
4.625%, 09/15/27 |
|
|
102,786 |
|
| |
200,000 |
|
|
LPL Holdings, Inc.*
4.000%, 03/15/29 |
|
|
179,450 |
|
| |
585,000 |
|
|
MetLife, Inc.
6.400%, 12/15/66 |
|
|
589,124 |
|
| |
365,000 |
|
|
Nationstar Mortgage Holdings, Inc.*
5.500%, 08/15/28 |
|
|
331,325 |
|
|
|
|
|
Navient Corp. |
|
|
|
|
| |
288,000 |
|
|
5.000%, 03/15/27 |
|
|
260,994 |
|
| |
145,000 |
|
|
4.875%, 03/15/28 |
|
|
126,831 |
|
| |
300,000 |
|
|
Necessity Retail REIT, Inc. / American Finance Operating Partner, LP*
4.500%, 09/30/28 |
|
|
235,479 |
|
|
|
|
|
OneMain Finance Corp. |
|
|
|
|
| |
185,000 |
|
|
9.000%, 01/15/29 |
|
|
188,147 |
|
| |
180,000 |
|
|
3.875%, 09/15/28 |
|
|
148,459 |
|
| |
127,000 |
|
|
7.125%, 03/15/26^ |
|
|
125,882 |
|
| |
132,000 |
|
|
Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance
Co-Issuer*^
5.875%, 10/01/28 |
|
|
122,437 |
|
| |
416,000 |
|
|
PHH Mortgage Corp.*
7.875%, 03/15/26 |
|
|
377,183 |
|
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 4 |
|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
70,000 |
|
|
PNC Financial Services Group, Inc.µ‡
6.000%, 05/15/27
5 year CMT + 3.00% |
|
$ |
64,959 |
|
| |
300,000 |
|
|
RHP Hotel Properties, LP / RHP Finance Corp.*
4.500%, 02/15/29 |
|
|
267,606 |
|
|
|
|
|
Rocket Mortgage, LLC / Rocket Mortgage Co-Issuer, Inc.* |
|
|
|
|
| |
125,000 |
|
|
3.625%, 03/01/29 |
|
|
106,570 |
|
| |
120,000 |
|
|
3.875%, 03/01/31 |
|
|
98,989 |
|
| |
65,000 |
|
|
2.875%, 10/15/26 |
|
|
58,036 |
|
| |
269,000 |
|
|
StoneX Group, Inc.*
8.625%, 06/15/25 |
|
|
272,734 |
|
|
|
|
|
United Wholesale Mortgage, LLC* |
|
|
|
|
| |
310,000 |
|
|
5.500%, 04/15/29 |
|
|
272,865 |
|
| |
130,000 |
|
|
5.750%, 06/15/27 |
|
|
121,733 |
|
|
|
|
|
Uniti Group, LP / Uniti Group Finance, Inc. / CSL Capital, LLC* |
|
|
|
|
| |
135,000 |
|
|
6.500%, 02/15/29 |
|
|
94,133 |
|
| |
132,000 |
|
|
10.500%, 02/15/28 |
|
|
131,307 |
|
| |
300,000 |
|
|
VZ Secured Financing, BV*
5.000%, 01/15/32 |
|
|
244,158 |
|
| |
280,000 |
|
|
XHR, LP*
6.375%, 08/15/25 |
|
|
276,363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,071,246 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (1.1%) |
|
|
|
|
|
|
|
|
Bausch Health Companies, Inc.* |
|
|
|
|
| |
539,000 |
|
|
11.000%, 09/30/28 |
|
|
399,776 |
|
| |
105,000 |
|
|
14.000%, 10/15/30 |
|
|
67,023 |
|
| |
98,000 |
|
|
6.125%, 02/01/27 |
|
|
64,729 |
|
|
|
|
|
CHS/Community Health Systems, Inc.* |
|
|
|
|
| |
533,000 |
|
|
6.125%, 04/01/30 |
|
|
336,845 |
|
| |
305,000 |
|
|
8.000%, 03/15/26 |
|
|
299,974 |
|
| |
146,000 |
|
|
6.875%, 04/15/29 |
|
|
97,271 |
|
| |
33,000 |
|
|
5.250%, 05/15/30 |
|
|
26,425 |
|
|
|
|
|
DaVita, Inc.* |
|
|
|
|
| |
531,000 |
|
|
4.625%, 06/01/30 |
|
|
453,814 |
|
| |
313,000 |
|
|
3.750%, 02/15/31 |
|
|
250,494 |
|
|
|
|
|
Embecta Corp.* |
|
|
|
|
| |
195,000 |
|
|
5.000%, 02/15/30 |
|
|
161,072 |
|
| |
67,000 |
|
|
6.750%, 02/15/30 |
|
|
59,154 |
|
|
|
|
|
Encompass Health Corp. |
|
|
|
|
| |
130,000 |
|
|
4.750%, 02/01/30 |
|
|
118,491 |
|
| |
130,000 |
|
|
4.500%, 02/01/28 |
|
|
120,940 |
|
| |
282,000 |
|
|
HCA, Inc.
7.500%, 11/06/33 |
|
|
311,390 |
|
| |
200,000 |
|
|
Jazz Securities DAC*
4.375%, 01/15/29 |
|
|
178,160 |
|
| |
116,075 |
|
|
Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*
10.000%, 06/15/29 |
|
|
19,301 |
|
|
|
|
|
Medline Borrower, LP* |
|
|
|
|
| |
336,000 |
|
|
5.250%, 10/01/29^ |
|
|
298,623 |
|
| |
335,000 |
|
|
3.875%, 04/01/29 |
|
|
293,812 |
|
|
|
|
|
Organon & Company / Organon Foreign Debt Co-Issuer, BV* |
|
|
|
|
| |
490,000 |
|
|
5.125%, 04/30/31 |
|
|
415,907 |
|
| |
200,000 |
|
|
4.125%, 04/30/28 |
|
|
179,390 |
|
| |
302,000 |
|
|
Team Health Holdings, Inc.*
6.375%, 02/01/25 |
|
|
156,566 |
|
|
|
|
|
Tenet Healthcare Corp. |
|
|
|
|
| |
625,000 |
|
|
6.250%, 02/01/27 |
|
|
613,869 |
|
| |
375,000 |
|
|
6.875%, 11/15/31 |
|
|
375,892 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
Teva Pharmaceutical Finance Netherlands III, BV |
|
|
|
|
| |
335,000 |
|
|
5.125%, 05/09/29 |
|
$ |
308,069 |
|
| |
200,000 |
|
|
4.750%, 05/09/27 |
|
|
186,414 |
|
| |
130,000 |
|
|
3.150%, 10/01/26 |
|
|
117,701 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,911,102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (2.3%) |
|
|
|
|
| |
300,000 |
|
|
ACCO Brands Corp.*^
4.250%, 03/15/29 |
|
|
257,910 |
|
| |
300,000 |
|
|
AerCap Holdings, NV^‡
5.875%, 10/10/79
5 year CMT + 4.54% |
|
|
290,850 |
|
| |
265,000 |
|
|
Air Lease Corp.‡
4.125%, 12/15/26
5 year CMT + 3.15% |
|
|
192,485 |
|
|
|
|
|
Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC* |
|
|
|
|
| |
440,000 |
|
|
4.625%, 01/15/27 |
|
|
417,736 |
|
| |
271,000 |
|
|
3.500%, 03/15/29 |
|
|
236,027 |
|
| |
195,000 |
|
|
5.875%, 02/15/28 |
|
|
190,921 |
|
| |
300,000 |
|
|
Allegiant Travel Company*
7.250%, 08/15/27 |
|
|
297,075 |
|
| |
65,000 |
|
|
American Airlines Group, Inc.*^
3.750%, 03/01/25 |
|
|
62,099 |
|
| |
146,000 |
|
|
Arcosa, Inc.*
4.375%, 04/15/29 |
|
|
132,365 |
|
| |
700,000 |
|
|
ARD Finance, SA*
6.500%, 06/30/27
7.250% PIK Rate |
|
|
570,136 |
|
| |
206,000 |
|
|
Beacon Roofing Supply, Inc.*^
4.125%, 05/15/29 |
|
|
182,291 |
|
| |
261,000 |
|
|
BWX Technologies, Inc.*
4.125%, 04/15/29 |
|
|
237,066 |
|
|
|
|
|
Cascades, Inc. / Cascades USA, Inc.* |
|
|
|
|
| |
138,000 |
|
|
5.375%, 01/15/28 |
|
|
130,536 |
|
| |
135,000 |
|
|
5.125%, 01/15/26 |
|
|
130,247 |
|
| |
66,000 |
|
|
Delta Air Lines, Inc.
7.375%, 01/15/26 |
|
|
68,579 |
|
| |
68,000 |
|
|
Delta Air Lines, Inc. / SkyMiles IP, Ltd.*
4.750%, 10/20/28 |
|
|
65,892 |
|
| |
350,000 |
|
|
Deluxe Corp.*
8.000%, 06/01/29 |
|
|
294,154 |
|
| |
195,000 |
|
|
Eco Material Technologies, Inc.*
7.875%, 01/31/27 |
|
|
188,319 |
|
| |
66,000 |
|
|
Emerald Debt Merger Sub, LLC*
6.625%, 12/15/30 |
|
|
65,717 |
|
| |
145,000 |
|
|
EnerSys*
4.375%, 12/15/27 |
|
|
134,728 |
|
| |
161,000 |
|
|
Graham Packaging Company, Inc.*
7.125%, 08/15/28 |
|
|
141,759 |
|
|
|
|
|
Graphic Packaging International, LLC* |
|
|
|
|
| |
175,000 |
|
|
4.750%, 07/15/27 |
|
|
168,756 |
|
| |
125,000 |
|
|
3.500%, 03/01/29 |
|
|
109,414 |
|
| |
290,000 |
|
|
Great Lakes Dredge & Dock Corp.*^
5.250%, 06/01/29 |
|
|
246,990 |
|
| |
623,000 |
|
|
H&E Equipment Services, Inc.*
3.875%, 12/15/28 |
|
|
547,598 |
|
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 5 |
|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
402,000 |
|
|
Hawaiian Brand Intellectual Property, Ltd. / HawaiianMiles Loyalty, Ltd.*
5.750%, 01/20/26 |
|
$ |
379,914 |
|
| |
350,000 |
|
|
Herc Holdings, Inc.*
5.500%, 07/15/27 |
|
|
336,595 |
|
| |
310,000 |
|
|
IEA Energy Services, LLC*
6.625%, 08/15/29 |
|
|
303,416 |
|
| |
290,000 |
|
|
JELD-WEN, Inc.*^
4.625%, 12/15/25 |
|
|
285,563 |
|
| |
445,000 |
|
|
Ken Garff Automotive, LLC*
4.875%, 09/15/28 |
|
|
392,316 |
|
| |
265,000 |
|
|
Knife River Holding Company*
7.750%, 05/01/31 |
|
|
271,429 |
|
| |
134,000 |
|
|
MasTec, Inc.*
4.500%, 08/15/28 |
|
|
124,671 |
|
| |
170,000 |
|
|
Moog, Inc.*
4.250%, 12/15/27 |
|
|
157,701 |
|
| |
323,000 |
|
|
Newfold Digital Holdings Group, Inc.*
6.000%, 02/15/29 |
|
|
238,645 |
|
| |
272,000 |
|
|
Novelis Corp.*
4.750%, 01/30/30 |
|
|
244,808 |
|
| |
100,000 |
|
|
OI European Group, BV*
4.750%, 02/15/30 |
|
|
90,758 |
|
| |
310,000 |
|
|
Pactiv Evergreen Group Issuer, Inc. / Pactiv Evergreen Group Issuer, LLC*
4.000%, 10/15/27 |
|
|
279,583 |
|
| |
399,000 |
|
|
Patrick Industries, Inc.*
4.750%, 05/01/29 |
|
|
347,250 |
|
| |
135,000 |
|
|
QVC, Inc.
5.450%, 08/15/34 |
|
|
68,433 |
|
|
|
|
|
Sealed Air Corp.* |
|
|
|
|
| |
206,000 |
|
|
6.125%, 02/01/28 |
|
|
205,802 |
|
| |
65,000 |
|
|
5.000%, 04/15/29 |
|
|
60,757 |
|
| |
247,000 |
|
|
Sensata Technologies, Inc.*
3.750%, 02/15/31 |
|
|
209,011 |
|
|
|
|
|
Sinclair Television Group, Inc.* |
|
|
|
|
| |
201,000 |
|
|
4.125%, 12/01/30 |
|
|
131,084 |
|
| |
135,000 |
|
|
5.500%, 03/01/30 |
|
|
71,230 |
|
| |
270,000 |
|
|
Standard Industries, Inc.*
5.000%, 02/15/27 |
|
|
258,946 |
|
| |
216,000 |
|
|
Stericycle, Inc.*
3.875%, 01/15/29 |
|
|
191,046 |
|
| |
200,000 |
|
|
STL Holding Company, LLC*
7.500%, 02/15/26 |
|
|
186,418 |
|
| |
200,000 |
|
|
TransDigm UK Holdings, PLC
6.875%, 05/15/26 |
|
|
199,264 |
|
|
|
|
|
TransDigm, Inc. |
|
|
|
|
| |
366,000 |
|
|
6.250%, 03/15/26* |
|
|
364,701 |
|
| |
205,000 |
|
|
7.500%, 03/15/27 |
|
|
204,965 |
|
| |
200,000 |
|
|
6.750%, 08/15/28* |
|
|
201,234 |
|
| |
198,000 |
|
|
Tronox, Inc.*
4.625%, 03/15/29 |
|
|
164,310 |
|
| |
109,383 |
|
|
United Airlines Pass Through Trust Series 2019-2, Class B
3.500%,
11/01/29 |
|
|
98,592 |
|
| |
265,000 |
|
|
Vertiv Group Corp.*
4.125%, 11/15/28 |
|
|
238,171 |
|
| |
274,000 |
|
|
Wabash National Corp.*
4.500%, 10/15/28 |
|
|
231,303 |
|
| |
240,000 |
|
|
Waste Pro USA, Inc.*
5.500%, 02/15/26 |
|
|
227,410 |
|
| |
68,000 |
|
|
WESCO Distribution, Inc.*
7.250%, 06/15/28 |
|
|
69,511 |
|
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
Williams Scotsman International, Inc.* |
|
|
|
|
| |
282,000 |
|
|
6.125%, 06/15/25 |
|
$ |
281,146 |
|
| |
67,000 |
|
|
4.625%, 08/15/28 |
|
|
61,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,537,536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.7%) |
|
|
|
|
| |
131,000 |
|
|
Booz Allen Hamilton, Inc.*
4.000%, 07/01/29 |
|
|
118,538 |
|
| |
153,000 |
|
|
Coherent Corp.*^
5.000%, 12/15/29 |
|
|
137,900 |
|
| |
315,000 |
|
|
CommScope Technologies, LLC*^
6.000%, 06/15/25 |
|
|
286,200 |
|
| |
245,000 |
|
|
CommScope, Inc.*
4.750%, 09/01/29 |
|
|
188,802 |
|
| |
162,000 |
|
|
Dell International, LLC / EMC Corp.µ
6.020%, 06/15/26 |
|
|
164,287 |
|
| |
130,000 |
|
|
Dun & Bradstreet Corp.*^
5.000%, 12/15/29 |
|
|
115,326 |
|
| |
138,000 |
|
|
Fair Isaac Corp.*
4.000%, 06/15/28 |
|
|
126,843 |
|
| |
300,000 |
|
|
KBR, Inc.*
4.750%, 09/30/28 |
|
|
274,905 |
|
|
|
|
|
MPH Acquisition Holdings, LLC* |
|
|
|
|
| |
300,000 |
|
|
5.750%, 11/01/28^ |
|
|
230,001 |
|
| |
130,000 |
|
|
5.500%, 09/01/28 |
|
|
113,482 |
|
| |
130,000 |
|
|
NCR Corp.*
5.125%, 04/15/29 |
|
|
116,474 |
|
| |
198,000 |
|
|
ON Semiconductor Corp.*
3.875%, 09/01/28 |
|
|
179,572 |
|
|
|
|
|
Open Text Corp.* |
|
|
|
|
| |
204,000 |
|
|
3.875%, 02/15/28 |
|
|
181,907 |
|
| |
135,000 |
|
|
6.900%, 12/01/27 |
|
|
138,137 |
|
| |
98,000 |
|
|
3.875%, 12/01/29 |
|
|
82,967 |
|
| |
98,000 |
|
|
Open Text Holdings, Inc.*
4.125%, 12/01/31 |
|
|
81,462 |
|
| |
130,000 |
|
|
Playtika Holding Corp.*
4.250%, 03/15/29 |
|
|
114,855 |
|
| |
370,000 |
|
|
TTM Technologies, Inc.*
4.000%, 03/01/29 |
|
|
315,732 |
|
|
|
|
|
Twilio, Inc. |
|
|
|
|
| |
185,000 |
|
|
3.625%, 03/15/29 |
|
|
159,192 |
|
| |
66,000 |
|
|
3.875%, 03/15/31^ |
|
|
55,924 |
|
| |
325,000 |
|
|
Viavi Solutions, Inc.*
3.750%, 10/01/29 |
|
|
280,257 |
|
| |
300,000 |
|
|
ZoomInfo Technologies, LLC / ZoomInfo Finance Corp.*^
3.875%, 02/01/29 |
|
|
258,294 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,721,057 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.7%) |
|
|
|
|
| |
140,000 |
|
|
ArcelorMittal, SA^
7.000%, 10/15/39 |
|
|
145,254 |
|
| |
147,000 |
|
|
ATI, Inc.
5.875%, 12/01/27 |
|
|
143,629 |
|
| |
67,000 |
|
|
Carpenter Technology Corp.
7.625%, 03/15/30 |
|
|
68,468 |
|
| |
195,000 |
|
|
Chemours Company*
4.625%, 11/15/29 |
|
|
165,274 |
|
| |
420,000 |
|
|
Clearwater Paper Corp.*
4.750%, 08/15/28 |
|
|
372,326 |
|
| |
199,000 |
|
|
Cleveland-Cliffs, Inc.*
6.750%, 04/15/30 |
|
|
194,091 |
|
|
|
|
|
Commercial Metals Company |
|
|
|
|
| |
130,000 |
|
|
4.125%, 01/15/30 |
|
|
117,013 |
|
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 6 |
|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
65,000 |
|
|
4.375%, 03/15/32 |
|
$ |
56,816 |
|
| |
250,000 |
|
|
Constellium, SE*
3.750%, 04/15/29 |
|
|
217,672 |
|
| |
205,000 |
|
|
HB Fuller Company
4.250%, 10/15/28 |
|
|
184,137 |
|
| |
200,000 |
|
|
INEOS Finance, PLC*
6.750%, 05/15/28 |
|
|
190,870 |
|
| |
215,000 |
|
|
JW Aluminum Continuous Cast Company*
10.250%, 06/01/26 |
|
|
213,112 |
|
|
|
|
|
Kaiser Aluminum Corp.* |
|
|
|
|
| |
300,000 |
|
|
4.625%, 03/01/28 |
|
|
269,778 |
|
| |
33,000 |
|
|
4.500%, 06/01/31 |
|
|
27,083 |
|
| |
63,000 |
|
|
LSF11 A5 HoldCo, LLC*
6.625%, 10/15/29 |
|
|
52,966 |
|
| |
344,000 |
|
|
Mercer International, Inc.
5.125%, 02/01/29 |
|
|
282,407 |
|
| |
250,000 |
|
|
OCI, NV*
6.700%, 03/16/33 |
|
|
247,575 |
|
|
|
|
|
Owens-Brockway Glass Container, Inc.*^ |
|
|
|
|
| |
200,000 |
|
|
7.250%, 05/15/31 |
|
|
203,526 |
|
| |
200,000 |
|
|
6.625%, 05/13/27 |
|
|
199,498 |
|
| |
305,000 |
|
|
Silgan Holdings, Inc.
4.125%, 02/01/28 |
|
|
279,545 |
|
| |
131,000 |
|
|
Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc.*
5.125%, 04/01/29 |
|
|
77,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,708,152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other (0.1%) |
|
|
|
|
|
|
|
|
|
|
|
Gen Digital, Inc.* |
|
|
|
|
| |
140,000 |
|
|
7.125%, 09/30/30^ |
|
|
141,227 |
|
| |
140,000 |
|
|
6.750%, 09/30/27 |
|
|
140,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
281,844 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate (0.1%) |
|
|
|
|
|
|
|
| |
210,000 |
|
|
EPR Properties
3.750%, 08/15/29 |
|
|
172,918 |
|
|
|
|
|
Forestar Group, Inc.* |
|
|
|
|
| |
195,000 |
|
|
5.000%, 03/01/28 |
|
|
181,660 |
|
| |
137,000 |
|
|
3.850%, 05/15/26 |
|
|
127,677 |
|
| |
301,000 |
|
|
MIWD Holdco II, LLC / MIWD Finance Corp.*^
5.500%, 02/01/30 |
|
|
256,184 |
|
| |
125,000 |
|
|
Service Properties Trust
5.250%, 02/15/26 |
|
|
114,242 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
852,681 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Special Purpose Acquisition Companies (0.1%) |
|
|
|
|
|
|
|
|
Fertitta Entertainment, LLC / Fertitta Entertainment Finance Company, Inc.* |
|
|
|
|
| |
260,000 |
|
|
6.750%, 01/15/30^ |
|
|
223,631 |
|
| |
131,000 |
|
|
4.625%, 01/15/29 |
|
|
114,942 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
338,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.1%) |
|
|
|
|
|
|
|
| |
97,000 |
|
|
PPL Capital Funding, Inc.‡
8.203%, 03/30/67
3 mo. USD LIBOR + 2.67% |
|
|
87,919 |
|
| |
350,000 |
|
|
TerraForm Power Operating, LLC*
5.000%, 01/31/28 |
|
|
325,766 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
Vistra Corp.*‡ |
|
|
|
|
| |
125,000 |
|
|
7.000%, 12/15/26
5 year CMT + 5.74% |
|
$ |
112,697 |
|
| |
65,000 |
|
|
8.000%, 10/15/26
5 year CMT + 6.93% |
|
|
61,963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
588,345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
(Cost $83,469,926) |
|
|
83,567,825 |
|
|
|
|
|
|
|
|
|
|
|
| |
CONVERTIBLE BONDS (120.5%) |
|
|
|
|
|
|
|
|
Communication Services (9.2%) |
|
|
|
|
|
|
|
| |
199,000 |
|
|
Cable One, Inc.µ
0.000%, 03/15/26 |
|
|
163,869 |
|
|
|
|
|
Liberty Media Corp.* |
|
|
|
|
| |
8,000,000 |
|
|
0.500%, 12/01/50 |
|
|
8,737,200 |
|
| |
7,750,000 |
|
|
2.250%, 08/15/27µ |
|
|
8,182,450 |
|
| |
7,500,000 |
|
|
3.750%, 03/15/28 |
|
|
8,172,375 |
|
| |
4,500,000 |
|
|
Match Group Financeco 3, Inc.*µ
2.000%, 01/15/30 |
|
|
4,209,615 |
|
| |
5,250,000 |
|
|
Perficient, Inc.µ
0.125%, 11/15/26 |
|
|
4,187,715 |
|
|
|
|
|
Snap, Inc.µ |
|
|
|
|
| |
11,000,000 |
|
|
0.000%, 05/01/27 |
|
|
8,261,550 |
|
| |
5,000,000 |
|
|
0.750%, 08/01/26 |
|
|
4,633,850 |
|
| |
3,000,000 |
|
|
Zillow Group, Inc.
1.375%, 09/01/26 |
|
|
3,969,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,517,744 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (24.3%) |
|
|
|
|
|
|
|
| |
9,750,000 |
|
|
Airbnb, Inc.µ
0.000%, 03/15/26 |
|
|
8,775,097 |
|
| |
4,000,000 |
|
|
Booking Holdings, Inc.
0.750%, 05/01/25 |
|
|
6,465,000 |
|
| |
3,750,000 |
|
|
Carnival Corp.*
5.750%, 12/01/27 |
|
|
6,239,888 |
|
| |
6,000,000 |
|
|
Chegg, Inc.µ
0.000%, 09/01/26 |
|
|
4,512,540 |
|
|
|
|
|
DISH Network Corp. |
|
|
|
|
| |
11,135,000 |
|
|
0.000%, 12/15/25 |
|
|
6,800,145 |
|
| |
550,000 |
|
|
2.375%, 03/15/24µ |
|
|
507,051 |
|
| |
11,750,000 |
|
|
DraftKings Holdings, Inc.µ
0.000%, 03/15/28 |
|
|
9,079,342 |
|
| |
11,250,000 |
|
|
Etsy, Inc.µ
0.125%, 09/01/27 |
|
|
9,907,087 |
|
| |
14,500,000 |
|
|
Ford Motor Company
0.000%, 03/15/26 |
|
|
14,844,955 |
|
| |
7,500,000 |
|
|
Liberty Broadband Corp.*µ
3.125%, 03/31/53 |
|
|
7,665,000 |
|
| |
2,125,000 |
|
|
Lucid Group, Inc.*
1.250%, 12/15/26 |
|
|
1,425,046 |
|
| |
9,000,000 |
|
|
Marriott Vacations Worldwide Corp.*µ
3.250%, 12/15/27 |
|
|
8,695,080 |
|
| |
7,125,000 |
|
|
Rivian Automotive, Inc.*
4.625%, 03/15/29 |
|
|
11,471,321 |
|
| |
5,000,000 |
|
|
Shake Shack, Inc.µ
0.000%, 03/01/28 |
|
|
4,018,200 |
|
| |
13,250,000 |
|
|
Vail Resorts, Inc.µ^
0.000%, 01/01/26 |
|
|
11,755,400 |
|
| |
11,750,000 |
|
|
Wayfair, Inc.*µ
3.250%, 09/15/27 |
|
|
16,868,417 |
|
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 7 |
|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
3,750,000 |
|
|
Wynn Macau, Ltd.*
4.500%, 03/07/29 |
|
$ |
4,153,688 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
133,183,257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.7%) |
|
|
|
|
| |
4,000,000 |
|
|
Post Holdings, Inc.*µ
2.500%, 08/15/27 |
|
|
3,988,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (3.3%) |
|
|
|
|
| |
1,325,000 |
|
|
EQT Corp.
1.750%, 05/01/26 |
|
|
3,824,692 |
|
| |
4,265,000 |
|
|
Nabors Industries, Inc.*µ
1.750%, 06/15/29 |
|
|
3,724,539 |
|
| |
3,750,000 |
|
|
Northern Oil And Gas, Inc.*
3.625%, 04/15/29 |
|
|
4,580,438 |
|
| |
2,500,000 |
|
|
Pioneer Natural Resources Company
0.250%, 05/15/25 |
|
|
5,994,725 |
|
| |
9,600,000 |
|
|
SunEdison, Inc.*@
0.000%, 01/15/49 |
|
|
96,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,220,394 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (1.5%) |
|
|
|
|
| |
7,500,000 |
|
|
Morgan Stanley Finance, LLC
1.000%, 11/23/27 |
|
|
8,409,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (27.4%) |
|
|
|
|
| |
4,000,000 |
|
|
Alnylam Pharmaceuticals, Inc.*µ
1.000%, 09/15/27 |
|
|
3,905,760 |
|
| |
4,750,000 |
|
|
Alphatec Holdings, Inc.
0.750%, 08/01/26 |
|
|
5,471,287 |
|
| |
4,752,000 |
|
|
BioMarin Pharmaceutical, Inc.µ
0.599%, 08/01/24 |
|
|
4,644,985 |
|
| |
8,250,000 |
|
|
CONMED Corp.µ
2.250%, 06/15/27 |
|
|
8,669,017 |
|
| |
10,500,000 |
|
|
CryoPort, Inc.*µ
0.750%, 12/01/26 |
|
|
8,347,710 |
|
|
|
|
|
Dexcom, Inc. |
|
|
|
|
| |
13,817,000 |
|
|
0.250%, 11/15/25 |
|
|
14,548,334 |
|
| |
7,000,000 |
|
|
0.375%, 05/15/28* |
|
|
7,080,710 |
|
| |
2,079,000 |
|
|
Envista Holdings Corp.
2.375%, 06/01/25 |
|
|
3,531,577 |
|
| |
6,000,000 |
|
|
Exact Sciences Corp.
0.375%, 03/15/27 |
|
|
6,618,060 |
|
| |
6,250,000 |
|
|
Halozyme Therapeutics, Inc.*µ
1.000%, 08/15/28 |
|
|
6,266,375 |
|
| |
3,750,000 |
|
|
Insmed, Inc.
0.750%, 06/01/28 |
|
|
3,250,050 |
|
| |
3,750,000 |
|
|
Insulet Corp.
0.375%, 09/01/26 |
|
|
4,983,525 |
|
| |
7,750,000 |
|
|
Integer Holdings Corp.*
2.125%, 02/15/28 |
|
|
9,494,602 |
|
| |
3,750,000 |
|
|
Integra LifeSciences Holdings Corp.µ
0.500%, 08/15/25 |
|
|
3,512,850 |
|
| |
3,750,000 |
|
|
Ionis Pharmaceuticals, Inc.µ
0.000%, 04/01/26 |
|
|
3,541,163 |
|
| |
8,000,000 |
|
|
Jazz Investments I, Ltd.^
2.000%, 06/15/26 |
|
|
8,314,160 |
|
| |
3,189,000 |
|
|
Lantheus Holdings, Inc.*
2.625%, 12/15/27 |
|
|
4,236,012 |
|
| |
9,000,000 |
|
|
NeoGenomics, Inc.µ
0.250%, 01/15/28 |
|
|
6,669,900 |
|
| |
3,750,000 |
|
|
NextGen Healthcare, Inc.*µ
3.750%, 11/15/27 |
|
|
3,700,238 |
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
3,500,000 |
|
|
NuVasive, Inc.µ
0.375%, 03/15/25 |
|
$ |
3,196,200 |
|
| |
7,500,000 |
|
|
Omnicell, Inc.µ
0.250%, 09/15/25 |
|
|
7,206,600 |
|
| |
7,000,000 |
|
|
Pacira BioSciences, Inc.µ
0.750%, 08/01/25 |
|
|
6,465,060 |
|
| |
2,200,000 |
|
|
Repligen Corp.µ
0.375%, 07/15/24 |
|
|
3,389,144 |
|
| |
3,250,000 |
|
|
Sarepta Therapeutics, Inc.*µ
1.250%, 09/15/27 |
|
|
3,462,615 |
|
| |
5,750,000 |
|
|
Tandem Diabetes Care, Inc.*µ
1.500%, 05/01/25 |
|
|
5,363,313 |
|
| |
3,442,000 |
|
|
TransMedics Group, Inc.*µ
1.500%, 06/01/28 |
|
|
4,198,448 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150,067,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (7.8%) |
|
|
|
|
| |
3,750,000 |
|
|
Axon Enterprise, Inc.*
0.500%, 12/15/27 |
|
|
3,874,350 |
|
| |
6,250,000 |
|
|
John Bean Technologies Corp.µ^
0.250%, 05/15/26 |
|
|
5,992,937 |
|
| |
3,750,000 |
|
|
Middleby Corp.
1.000%, 09/01/25 |
|
|
4,729,050 |
|
| |
4,250,000 |
|
|
Parsons Corp.
0.250%, 08/15/25 |
|
|
4,976,538 |
|
| |
6,250,000 |
|
|
Southwest Airlines Company^
1.250%, 05/01/25 |
|
|
6,898,000 |
|
| |
17,000,000 |
|
|
Uber Technologies, Inc.µ
0.000%, 12/15/25 |
|
|
16,283,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,754,665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (38.1%) |
|
|
|
|
| |
3,750,000 |
|
|
Akamai Technologies, Inc.
0.375%, 09/01/27 |
|
|
3,696,413 |
|
| |
7,750,000 |
|
|
Bentley Systems, Inc.
0.125%, 01/15/26 |
|
|
7,924,607 |
|
| |
6,500,000 |
|
|
BILL Holdings, Inc.µ
0.000%, 12/01/25 |
|
|
6,991,530 |
|
| |
5,250,000 |
|
|
Camtek Ltd.*
0.000%, 12/01/26 |
|
|
5,361,615 |
|
| |
7,000,000 |
|
|
Confluent, Inc.µ
0.000%, 01/15/27 |
|
|
5,848,640 |
|
| |
8,250,000 |
|
|
CyberArk Software, Ltd.
0.000%, 11/15/24 |
|
|
9,692,347 |
|
| |
5,500,000 |
|
|
Datadog, Inc.
0.125%, 06/15/25 |
|
|
7,577,075 |
|
| |
5,250,000 |
|
|
DigitalOcean Holdings, Inc.µ
0.000%, 12/01/26 |
|
|
4,189,973 |
|
| |
7,927,000 |
|
|
Enphase Energy, Inc.µ
0.000%, 03/01/26 |
|
|
7,302,432 |
|
| |
5,000,000 |
|
|
Five9, Inc.µ
0.500%, 06/01/25 |
|
|
4,968,250 |
|
| |
11,750,000 |
|
|
Microchip Technology, Inc.^
0.125%, 11/15/24 |
|
|
13,603,445 |
|
| |
1,750,000 |
|
|
MongoDB, Inc.
0.250%, 01/15/26 |
|
|
3,569,860 |
|
|
|
|
|
NCL Corp. Ltd. |
|
|
|
|
| |
5,250,000 |
|
|
1.125%, 02/15/27µ |
|
|
4,927,020 |
|
| |
4,000,000 |
|
|
2.500%, 02/15/27µ |
|
|
3,846,960 |
|
| |
2,750,000 |
|
|
5.375%, 08/01/25 |
|
|
3,833,913 |
|
|
|
|
|
Okta, Inc.µ |
|
|
|
|
| |
6,500,000 |
|
|
0.125%, 09/01/25 |
|
|
5,921,760 |
|
| |
3,500,000 |
|
|
0.375%, 06/15/26 |
|
|
3,025,890 |
|
| |
15,000,000 |
|
|
ON Semiconductor Corp.*
0.500%, 03/01/29 |
|
|
18,377,550 |
|
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 8 |
|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
4,750,000 |
|
|
Palo Alto Networks, Inc.
0.375%, 06/01/25 |
|
$ |
11,979,310 |
|
| |
9,750,000 |
|
|
Repay Holdings Corp.*µ
0.000%, 02/01/26 |
|
|
8,058,375 |
|
| |
12,000,000 |
|
|
Shift4 Payments, Inc.
0.000%, 12/15/25 |
|
|
13,053,360 |
|
| |
3,200,000 |
|
|
SK Hynix, Inc.
1.750%, 04/11/30 |
|
|
4,207,360 |
|
| |
9,750,000 |
|
|
Splunk, Inc.µ
1.125%, 06/15/27 |
|
|
8,419,125 |
|
| |
8,500,000 |
|
|
Tyler Technologies, Inc.µ
0.250%, 03/15/26 |
|
|
8,543,860 |
|
| |
12,500,000 |
|
|
Unity Software, Inc.µ
0.000%, 11/15/26 |
|
|
10,031,250 |
|
| |
5,500,000 |
|
|
Wix.com, Ltd.
0.000%, 08/15/25 |
|
|
4,898,245 |
|
|
|
|
|
Wolfspeed, Inc.µ |
|
|
|
|
| |
7,750,000 |
|
|
1.875%, 12/01/29* |
|
|
6,720,257 |
|
| |
4,469,000 |
|
|
0.250%, 02/15/28 |
|
|
3,735,816 |
|
| |
7,000,000 |
|
|
Zscaler, Inc.
0.125%, 07/01/25 |
|
|
8,614,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
208,920,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (3.0%) |
|
|
|
|
| |
1,250,000 |
|
|
ATI, Inc.
3.500%, 06/15/25 |
|
|
3,893,438 |
|
| |
3,000,000 |
|
|
Ivanhoe Mines, Ltd.*
2.500%, 04/15/26 |
|
|
4,575,660 |
|
| |
4,159,000 |
|
|
Lithium Americas Corp.µ
1.750%, 01/15/27 |
|
|
3,210,332 |
|
| |
5,225,000 |
|
|
MP Materials Corp.*µ
0.250%, 04/01/26 |
|
|
4,748,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,428,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other (0.0%) |
|
|
|
|
| |
135,000 |
|
|
Multiplan Corp.*
6.000%, 10/15/27 |
|
|
92,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate (0.9%) |
|
|
|
|
| |
5,250,000 |
|
|
Pebblebrook Hotel Trustµ
1.750%, 12/15/26 |
|
|
4,585,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (4.3%) |
|
|
|
|
| |
3,750,000 |
|
|
CMS Energy Corp.*
3.375%, 05/01/28 |
|
|
3,739,388 |
|
| |
13,250,000 |
|
|
PPL Capital Funding, Inc.*
2.875%, 03/15/28 |
|
|
12,800,162 |
|
| |
7,000,000 |
|
|
Southern Company*
3.875%, 12/15/25 |
|
|
7,030,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,570,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE BONDS
(Cost $672,094,516) |
|
|
660,738,024 |
|
|
|
|
|
|
|
|
|
|
|
| |
BANK LOANS (2.5%) ¡ |
|
|
|
|
|
|
|
|
Airlines (0.1%) |
|
|
|
|
| |
213,750 |
|
|
American Airlines, Inc.‡
10.338%, 04/20/28
3 mo. SOFR + 4.75% |
|
|
221,676 |
|
| |
216,000 |
|
|
Mileage Plus Holdings, LLC‡
10.764%, 06/21/27
3 mo. LIBOR + 5.25% |
|
|
225,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
447,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
|
Communication Services (0.2%) |
|
|
|
|
| |
336,000 |
|
|
Clear Channel Outdoor Holdings, Inc.‡
9.131%, 08/21/26
3 mo. SOFR + 3.50% |
|
$ |
326,340 |
|
| |
875 |
|
|
Clear Channel Outdoor Holdings, Inc.‡
8.933%, 08/21/26
1 mo. SOFR + 3.50% |
|
|
850 |
|
| |
198,803 |
|
|
CMG Media Corp.‡
8.842%, 12/17/26
3 mo. SOFR + 3.50% |
|
|
181,053 |
|
| |
364,688 |
|
|
DIRECTV Financing, LLC‡
10.433%, 08/02/27
1 mo. SOFR + 5.00% |
|
|
362,980 |
|
| |
420,000 |
|
|
Entercom Media Corp.‡
8.131%, 11/18/24
3 mo. SOFR + 2.50% |
|
|
231,300 |
|
| |
73,805 |
|
|
Nexstar Broadcasting, Inc.‡
7.933%, 09/18/26
1 mo. SOFR + 2.50% |
|
|
73,891 |
|
| |
140,000 |
|
|
Telesat Canada‡
8.183%, 12/07/26
1 mo. SOFR + 2.75% |
|
|
86,112 |
|
| |
133,650 |
|
|
Univision Communications, Inc.‡
9.492%, 06/24/29
3 mo. SOFR + 4.25% |
|
|
133,776 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,396,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (0.5%) |
|
|
|
|
| |
264,338 |
|
|
Caesars Entertainment Corp.‡
8.555%, 02/06/30
1 mo. SOFR + 3.25% |
|
|
264,833 |
|
| |
264,338 |
|
|
Hanesbrands, Inc.‡
9.055%, 03/08/30
1 mo. SOFR + 3.75% |
|
|
264,586 |
|
| |
153,526 |
|
|
Life Time Fitness, Inc.‡
10.050%, 01/15/26
3 mo. SOFR + 4.75% |
|
|
154,358 |
|
| |
135,927 |
|
|
PENN Entertainment, Inc.PENN Entertainment, Inc.‡
8.169%, 05/03/29
1 mo. SOFR + 2.75% |
|
|
135,927 |
|
| |
449,923 |
|
|
Petco Health and Wellness Company, Inc.‡
8.754%, 03/03/28
3 mo. SOFR + 3.25% |
|
|
449,036 |
|
| |
553,761 |
|
|
PetSmart, Inc.‡
9.169%, 02/11/28
1 mo. SOFR + 3.75% |
|
|
554,254 |
|
| |
238,000 |
|
|
SkyMiles IP, Ltd.‡
9.076%, 10/20/27
3 mo. SOFR + 3.75% |
|
|
247,777 |
|
| |
173,727 |
|
|
TKC Holdings, Inc.‡
10.933%, 05/15/28
1 mo. LIBOR + 5.50% |
|
|
163,720 |
|
| |
65,000 |
|
|
Windsor Holdings III, LLC!
0.000%, 06/21/30 |
|
|
64,892 |
|
| |
444,150 |
|
|
WW International, Inc.‡
8.933%, 04/13/28
1 mo. SOFR + 3.50% |
|
|
335,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,634,901 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 9 |
|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
|
Consumer Staples (0.0%) |
|
|
|
|
|
|
|
| |
125,000 |
|
|
United Natural Foods, Inc.!
0.000%, 10/22/25 |
|
$ |
125,346 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.0%) |
|
|
|
|
| |
269,325 |
|
|
Par Petroleum, LLC‡
9.614%, 02/28/30
3 mo. SOFR + 4.25% |
|
|
268,203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.4%) |
|
|
|
|
| |
264,336 |
|
|
Alliant Holdings Intermediate, LLC‡
8.722%, 11/05/27
1 mo. SOFR + 3.50% |
|
|
264,143 |
|
| |
205,000 |
|
|
Amynta Agency Borrower, Inc.‡
10.419%, 02/28/28
1 mo. SOFR + 5.00% |
|
|
202,455 |
|
| |
272,927 |
|
|
AssuredPartners, Inc.‡
8.819%, 02/12/27
1 mo. SOFR + 3.50% |
|
|
271,904 |
|
| |
205,000 |
|
|
Avolon TLB Borrower 1 (US), LLC‡
7.755%, 06/22/28
1 mo. SOFR + 2.50% |
|
|
205,298 |
|
| |
134,325 |
|
|
Castlelake Aviation, Ltd.‡
8.004%, 10/22/27
3 mo. SOFR + 2.75% |
|
|
134,421 |
|
| |
268,650 |
|
|
Hub International, Ltd.‡
9.072%, 11/10/29
3 mo. SOFR + 4.00% |
|
|
269,516 |
|
| |
375,371 |
|
|
Jazz Financing Lux Sarl‡
8.933%, 05/05/28
1 mo. LIBOR + 3.50% |
|
|
375,397 |
|
| |
361,350 |
|
|
VFH Parent, LLC‡
8.405%, 01/13/29
1 mo. SOFR + 3.00% |
|
|
360,176 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,083,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.3%) |
|
|
|
|
| |
464,335 |
|
|
Amneal Pharmaceuticals, LLC‡
8.933%, 05/04/25
1 mo. SOFR + 3.50% |
|
|
442,860 |
|
| |
61,750 |
|
|
Bausch Health Companies, Inc.‡
10.605%, 02/01/27
1 mo. SOFR + 5.25% |
|
|
50,579 |
|
| |
154,497 |
|
|
ICON Luxembourg S.A.R.L.‡
7.754%, 07/03/28
3 mo. SOFR + 2.25% |
|
|
154,821 |
|
| |
271,171 |
|
|
Mallinckrodt International Finance, SA‡
10.619%, 09/30/27
1 mo. SOFR + 5.25% |
|
|
206,048 |
|
| |
282,353 |
|
|
Padagis, LLC‡
10.280%, 07/06/28
3 mo. SOFR + 4.75% |
|
|
273,412 |
|
| |
38,493 |
|
|
PRA Health Sciences, Inc.‡
7.754%, 07/03/28
3 mo. SOFR + 2.25% |
|
|
38,574 |
|
| |
682,531 |
|
|
Team Health Holdings, Inc.‡
10.569%, 03/02/27
1 mo. SOFR + 5.25% |
|
|
471,919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,638,213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
|
Industrials (0.3%) |
|
|
|
|
| |
137,200 |
|
|
ACProducts, Inc.‡
9.754%, 05/17/28
3 mo. LIBOR + 4.25% |
|
$ |
118,438 |
|
| |
168,300 |
|
|
Air Canada‡
8.839%, 08/11/28
3 mo. LIBOR + 3.50% |
|
|
168,600 |
|
| |
342,413 |
|
|
ChampionX Corp.‡
8.495%, 06/07/29
1 mo. SOFR + 3.25% |
|
|
343,911 |
|
| |
177,780 |
|
|
Emrld Borrower, LP‡
8.264%, 05/31/30
3 mo. SOFR + 3.00% |
|
|
178,115 |
|
| |
257,400 |
|
|
Scientific Games International, Inc.‡
8.302%, 04/14/29
1 mo. SOFR + 3.00% |
|
|
257,379 |
|
| |
149,250 |
|
|
Summit Materials, LLC‡
8.492%, 12/14/27
6 mo. SOFR + 3.00% |
|
|
150,276 |
|
| |
264,523 |
|
|
United Airlines, Inc.‡
9.292%, 04/21/28
3 mo. LIBOR + 3.75% |
|
|
265,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,482,069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.1%) |
|
|
|
|
| |
260,325 |
|
|
Banff Merger Sub, Inc.‡
9.183%, 10/02/25
1 mo. SOFR + 3.75% |
|
|
260,001 |
|
| |
218,979 |
|
|
Camelot U.S. Acquisition LLC‡
8.433%, 10/30/26
1 mo. SOFR + 3.00% |
|
|
219,048 |
|
| |
85,562 |
|
|
Camelot U.S. Acquisition LLC‡
8.433%, 10/30/26
1 mo. SOFR + 3.00% |
|
|
85,602 |
|
| |
247,496 |
|
|
II-VI, Inc.‡
8.183%, 07/02/29
1 mo. SOFR + 2.75% |
|
|
247,744 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
812,395 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.1%) |
|
|
|
|
| |
64,675 |
|
|
CDK Global, Inc.‡
9.492%, 07/06/29
3 mo. SOFR + 4.25% |
|
|
64,779 |
|
| |
268,244 |
|
|
Dun & Bradstreet Corp.‡
8.291%, 02/06/26
1 mo. SOFR + 3.00% |
|
|
268,286 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
333,065 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.3%) |
|
|
|
|
| |
148,071 |
|
|
American Axle and Manufacturing, Inc.‡
8.777%, 12/13/29
1 mo. SOFR + 3.50% |
|
|
148,134 |
|
| |
63,704 |
|
|
American Axle and Manufacturing, Inc.‡
8.436%, 12/13/29
6 mo. SOFR + 3.50% |
|
|
63,730 |
|
| |
275,000 |
|
|
Ineos US Finance, LLC‡
8.805%, 02/18/30
1 mo. SOFR + 3.50% |
|
|
272,509 |
|
| |
327,806 |
|
|
Innophos, Inc.‡
8.683%, 02/05/27
1 mo. SOFR + 3.25% |
|
|
328,319 |
|
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 10 |
|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
| |
135,000 |
|
|
LSF11 A5 Holdco, LLC‡
9.669%, 10/15/28
1 mo. SOFR + 4.25% |
|
$ |
134,747 |
|
| |
133,313 |
|
|
LSF11 A5 HoldCo, LLC‡
8.933%, 10/15/28
1 mo. SOFR + 3.50% |
|
|
132,257 |
|
| |
134,656 |
|
|
Trinseo Materials Operating SCA!
0.000%, 05/03/28 |
|
|
107,379 |
|
| |
254,052 |
|
|
WR Grace & Company‡
9.313%, 09/22/28
3 mo. LIBOR + 3.75% |
|
|
254,020 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,441,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Special Purpose Acquisition Companies (0.2%) |
|
|
|
|
| |
242,500 |
|
|
AP Core Holdings II, LLC‡
10.933%, 09/01/27
1 mo. SOFR + 5.50% |
|
|
235,175 |
|
| |
138,600 |
|
|
Clydesdale Acquisition Holdings, Inc.‡
9.594%, 04/13/29
1 mo. SOFR + 4.18% |
|
|
137,524 |
|
| |
64,188 |
|
|
Fertitta Entertainment, LLC‡
9.319%, 01/27/29
1 mo. SOFR + 4.00% |
|
|
63,607 |
|
| |
282,863 |
|
|
Oscar AcquisitionCo, LLC‡
9.842%, 04/29/29
3 mo. SOFR + 4.50% |
|
|
279,624 |
|
| |
258,050 |
|
|
Patagonia Holdco, LLC‡
10.789%, 08/01/29
3 mo. SOFR + 5.75% |
|
|
222,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
938,929 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL BANK LOANS
(Cost $14,137,480) |
|
|
13,601,089 |
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
SHARES |
|
|
|
|
VALUE |
|
| |
CONVERTIBLE PREFERRED STOCKS (8.4%) |
|
|
|
|
|
|
|
|
Energy (0.0%) |
|
|
|
|
|
|
|
| |
7 |
|
|
Gulfport Energy Corp.
10.000%, 08/31/23
15.000% PIK rate |
|
|
51,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (2.3%) |
|
|
|
|
|
|
|
| |
7,055 |
|
|
Bank of America Corp.‡‡~
7.250%, 12/31/49 |
|
|
8,592,990 |
|
| |
55,295 |
|
|
KKR & Company, Inc.~
6.000%, 09/15/23 |
|
|
3,862,909 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,455,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.8%) |
|
|
|
|
|
|
|
| |
65,985 |
|
|
Chart Industries, Inc.
6.750%, 12/15/25 |
|
|
4,763,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (5.3%) |
|
|
|
|
|
|
|
| |
123,415 |
|
|
AES Corp.^~
6.875%, 02/15/24 |
|
|
10,563,090 |
|
| |
227,140 |
|
|
NextEra Energy, Inc. 6.219%, 09/01/23 |
|
|
11,243,430 |
|
|
|
|
|
|
|
|
|
|
| NUMBER OF
SHARES |
|
|
|
|
VALUE |
| |
156,300 |
|
|
6.926%, 09/01/25 |
|
$ |
7,147,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,954,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost
$48,907,570) |
|
|
46,225,100 |
|
|
|
|
|
|
|
|
|
|
|
| |
COMMON STOCKS (0.2%) |
|
|
|
|
|
|
|
|
Communication Services (0.0%) |
|
|
|
|
|
|
|
| |
5,620 |
|
|
Altice USA, Inc. - Class Aµ# |
|
|
19,052 |
|
| |
1,888 |
|
|
Cumulus Media, Inc. - Class Aµ# |
|
|
11,970 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.2%) |
|
|
|
|
|
|
|
| |
2,577 |
|
|
Chaparral Energy, Inc.—Class A&# |
|
|
109,523 |
|
| |
795 |
|
|
Chesapeake Energy Corp.^ |
|
|
67,050 |
|
| |
18,535 |
|
|
Energy Transfer, LP |
|
|
246,330 |
|
| |
11,035 |
|
|
Enterprise Products Partners, LP |
|
|
292,538 |
|
| |
1,881 |
|
|
EP Energy Corp.&# |
|
|
13,167 |
|
| |
3,560 |
|
|
Magellan Midstream Partners, LP |
|
|
235,921 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
964,529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.0%) |
|
|
|
|
|
|
|
| |
4,076 |
|
|
Mallinckrodt, PLC^# |
|
|
6,603 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Special Purpose Acquisition Company (0.0%) |
|
|
|
|
| |
3,168 |
|
|
Intelsat Emergence, SA&# |
|
|
72,864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $1,697,159) |
|
|
1,075,018 |
|
|
|
|
|
|
|
|
|
|
|
| |
PREFERRED STOCKS (0.2%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (0.1%) |
|
|
|
|
|
|
|
| |
1,722 |
|
|
Guitar Center, Inc.& |
|
|
219,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.1%) |
|
|
|
|
|
|
|
| |
10,285 |
|
|
NuStar Energy, LP‡
11.151%, 08/30/23
3 mo. USD LIBOR + 5.64% |
|
|
249,720 |
|
| |
4,635 |
|
|
NuStar Energy, LP‡
12.274%, 08/30/23
3 mo. USD LIBOR + 6.77% |
|
|
118,470 |
|
| |
12,000 |
|
|
NuStar Logistics, LP‡
12.304%, 01/15/43
3 mo. SOFR + 6.98% |
|
|
315,240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
683,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCKS
(Cost $851,982) |
|
|
902,985 |
|
|
|
|
|
|
|
|
|
|
|
| |
WARRANTS (0.0%) # |
|
|
|
|
|
|
|
|
Energy (0.0%) |
|
|
|
|
|
|
|
| |
13,522 |
|
|
Mcdermott International, Ltd.&
06/30/27, Strike $0.00 |
|
|
1 |
|
| |
12,170 |
|
|
Mcdermott International, Ltd.
06/30/27, Strike $0.00 |
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WARRANTS
(Cost $5,194) |
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 11 |
|
|
|
| Calamos Dynamic Convertible and Income Fund |
|
| SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
VALUE |
|
| |
ASSET BACKED SECURITY (0.0%) |
|
|
|
|
|
|
|
|
Other (0.0%) |
|
|
|
|
| |
215,000 |
|
|
SVC ABS, LLC Series 2023-1A, Class C*
6.700%, 02/20/53
(Cost $196,896) |
|
$ |
193,677 |
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT |
|
|
|
|
VALUE |
|
| |
PURCHASED OPTIONS (0.3%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (0.2%) |
|
|
|
|
|
505
6,750,840 |
|
|
Amazon.com, Inc.
Call, 01/19/24, Strike $127.50 |
|
|
878,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.1%) |
|
|
|
|
|
270
6,748,920 |
|
|
Palo Alto Networks, Inc.
Call, 01/19/24, Strike $250.00 |
|
|
729,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS
(Cost $1,397,940) |
|
|
1,607,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (147.3%)
(Cost
$822,758,663) |
|
|
807,911,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
MANDATORY REDEEMABLE PREFERRED
SHARES, AT LIQUIDATION VALUE (-16.8%) |
|
|
(92,000,000 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES, LESS OTHER
ASSETS (-30.5%) |
|
|
(167,464,962 |
) |
|
|
|
|
|
|
|
|
|
|
|
| |
NET ASSETS (100.0%) |
|
$ |
548,446,458 |
|
|
|
|
|
|
|
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
| * |
Securities issued and sold pursuant to a Rule 144A transaction are exempted from the registration requirement of the
Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act
or otherwise exempted from such registration requirements. |
| µ |
Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value
of $325,065,216. |
| ^ |
Security, or portion of security, is on loan. |
| @ |
In default status and considered non-income producing. |
| ‡ |
Variable rate security. The rate shown is the rate in effect at July 31, 2023. |
| ¡ |
Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of
bank loans may be substantially less than the stated maturities shown. |
| ! |
This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not
known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. |
| ~ |
Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for
written options. The aggregate value of such securities is $6,246,567. |
| # |
Non-income producing security. |
Note: The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
|
|
|
| See accompanying Notes to Schedule of Investments |
|
| 12 |
Notes to Schedule of Investments (Unaudited)
Note 1 – Organization and Significant Accounting Policies
Organization. Calamos Dynamic Convertible and Income Fund (the “Fund”, or “Trust”) was organized as a Delaware statutory trust on
March 11, 2014 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on
March 27, 2015.
The Fund’s investment strategy is to provide total return through a combination of capital appreciation and current income. Under normal
circumstances, the Fund will invest primarily in a portfolio of convertible securities (including synthetic convertibles, which are single instruments, or multiple instruments held in concert, that are composed of two or more securities with
investment characteristics that, when taken together, resemble those of traditional convertible securities) and debt and equity income-producing securities, as well as other investments that generate current income and dividends, including but not
limited to common and preferred stocks, investment grade and below investment grade (high-yield or “junk”) bonds, loans, equity-linked notes, and floating rate securities (referred to throughout as “income-producing securities”).
Under normal circumstances, at least 80% of the Fund’s managed assets will be invested in convertible securities and income-producing securities, with at least 50% of the Fund’s managed assets invested in convertible securities (including
synthetic convertible securities, which are single instruments, or multiple instruments held in concert, that are composed of two or more securities with investment characteristics that, when taken together, resemble those of traditional convertible
securities). The Fund may invest up to 50% of its managed assets in securities of foreign issuers, with up to 15% of its managed assets in securities issued by foreign issuers in emerging markets. The Fund may invest up to 20% of its managed assets
in high-yield non-convertible bonds (excluding such securities held to create synthetic convertible securities). In addition, the Fund may invest all or substantially all of its managed assets in below
investment grade convertible securities (including non-convertible securities held to create synthetic convertible securities); provided that, the Fund may invest up to 15% of its managed assets in convertible
and non-convertible securities rated below B3 by Moody’s or below B- by Standard & Poor’s. As such, the Fund’s portfolio may at times consist
entirely or primarily of below investment grade securities, including high-yield bonds. The Fund may invest up to 15% of its managed assets in illiquid securities. The Fund may invest up to 10% of its managed assets in the equity securities of REITs
and up to 10% of its managed assets in the equity securities of MLPs; however, convertible securities are excluded from each of these limitations. The Fund may invest in securities with a broad range of maturities. “Managed assets” means
the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).
Significant Accounting Policies. The Schedule of Investments has been prepared in conformity with accounting principles generally accepted in the United States of
America (U.S. GAAP) and the Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:
Fund Valuation. The Trust’s Board of Trustees, including a majority of the Trustees who are not “interested persons” of the Trust, have designated
Calamos Advisors LLC (“Calamos Advisors”, or the “Advisor”) to perform fair valuation determinations related to all Fund investments under the oversight of the Board. As “valuation designee” the Calamos Advisors has
adopted procedures to guide the determination of the NAV on any day on which the Fund’s NAVs are determined. The valuation of the Fund’s investments is in accordance with these procedures.
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales
price on its principal exchange at the time the Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The
NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV. When a last sale or
closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the
over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the
Board of Trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by
the Board of Trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved
by the Board of Trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the Board of Trustees.
Fixed income
securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such
securities. Valuations of such fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable
quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically
completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in
over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the Board of Trustees. The
valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or
that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent
bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays
or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.
If the pricing committee determines that the valuation of a security
in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee.
The Fund also may use fair value pricing, pursuant to guidelines adopted by Calamos Advisors, 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
Calamos Advisors, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a
computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by the Fund to calculate its NAV may differ from market quotations or official closing
prices. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s net asset value (“NAV”).
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a
rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For
hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears
the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
Note 2 – Investments
The cost basis of investments for federal income tax
purposes at July 31, 2023 was as follows*:
|
|
|
|
|
| Cost basis of investments |
|
|
$822,758,663 |
|
|
|
|
|
|
| Gross unrealized appreciation |
|
|
49,342,291 |
|
| Gross unrealized depreciation |
|
|
(64,189,534) |
|
|
|
|
|
|
| Net unrealized appreciation (depreciation) |
|
|
$(14,847,243) |
|
|
|
|
|
|
* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s
federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report.
Note 3
– Mandatory Redeemable Preferred Shares
The Fund has MRPS issued with an aggregate liquidation preference of $92.0 million, divided into four series
with different mandatory redemption dates and dividend rates.
The table below summarizes the key terms of each series of the MRPS at July 31, 2023.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series |
|
Term
Redemption Date |
|
|
Dividend Rate |
|
|
Shares (000’s) |
|
|
Liquidation Preference Per Share |
|
|
Aggregate Liquidation Preference |
| Series B |
|
|
9/06/24 |
|
|
|
4.00% |
|
|
|
850 |
|
|
|
$25 |
|
|
$21,250,000 |
| Series C |
|
|
9/06/27 |
|
|
|
4.24% |
|
|
|
860 |
|
|
|
$25 |
|
|
$21,500,000 |
| Series D |
|
|
8/24/26 |
|
|
|
2.45% |
|
|
|
1,120 |
|
|
|
$25 |
|
|
$28,000,000 |
| Series E |
|
|
5/24/27 |
|
|
|
2.68% |
|
|
|
850 |
|
|
|
$25 |
|
|
$21,250,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$92,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
On September 6, 2022, $21,500,000 of Series A MRPS were redeemed at $25.01 per share.
The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which
approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.
During the period ended July 31, 2023, all MRPS were rated `AA-’ by Kroll Bond Rating Agency LLC (“KBRA”). If
the ratings of the MRPS are downgraded, the Fund’s dividend expense may increase, as described below.
Holders of MRPS are entitled to receive monthly cumulative
cash dividends payable on the first business day of each month. The MRPS currently are rated “AA-” by Kroll. If on the first day of a monthly dividend period the MRPS of any class are rated lower
than “A” by Kroll, the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS’ dividend rate is also subject to increase during periods when the Fund has not made timely
payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in “Interest expense and amortization of offering costs
on Mandatory Redeemable Preferred Shares” with the Statement of Operations.
With regard to the Series B and C MRPS, so long as any MRPS are outstanding, the
Fund will not declare, pay or set apart for payment any dividend or other distribution (other than non-cash distributions) with respect to Fund shares ranking junior to or on parity with the MRPS, unless
(1) the Fund has satisfied the MRPS Overcollateralization Test (as defined below) on at least one “valuation date” in the preceding 65 calendar days, (2) immediately after such transaction the Fund would satisfy the MRPS Asset
Coverage Test (as defined below), (3) full cumulative dividends on the MRPS due on or prior to the date of the transaction have been declared and paid to the holders of MRPS and (4) the Fund has redeemed the full number of MRPS required to be
redeemed by any provision for mandatory redemption or deposited sufficient monies with the Fund’s paying agent for that purpose, subject to certain grace periods and exceptions.
MRPS Asset Coverage Test: Asset coverage with respect to all outstanding senior securities and preferred shares, including the MRPS, determined in
accordance with Section 18(h) of the 1940 Act, on the basis of values calculated as of a time within 48 hours (not including Sundays or holidays) next preceding the time of determination, must be greater than or equal to 225%.
MRPS Overcollateralization Test: So long as Fitch or any other NSRSO, such as Kroll, is then rating any class of the outstanding MRPS pursuant to
the request of the Fund, satisfaction of only those overcollateralization ratios applicable to closed-end fund issuers with the same rating(s) as the Fund’s MRPS’ then-current rating(s) issued by
Fitch or such other NSRSO, such as Kroll, by application of the applicable rating agency guidelines.
With regard to Series D and E MRPS, for so long as any MRPS are Outstanding, the Fund will not declare, pay or set apart for
payment any dividend or other distribution (other than a dividend or distribution paid in shares of, or options, warrants or rights to subscribe for or purchase, Common Shares or other shares of beneficial interest, if any, ranking junior to the
MRPS as to dividends or upon liquidation (collectively “non-cash distributions”) with respect to Common Shares or any other shares of the Series or Fund ranking junior to or on a parity with the MRPS
as to dividends or upon liquidation, or call for redemption, redeem, purchase or otherwise acquire for consideration any Common Shares or any other such junior shares (except by conversion into or exchange for shares of the Fund ranking junior to
the MRPS as to dividends and upon liquidation) or any such parity shares (except by conversion into or exchange for shares of the Fund ranking junior to or on a parity with the MRPS as to dividends and upon liquidation), unless (1) immediately
after such transaction the Fund would satisfy the MRPS Asset Coverage Test, (2) full cumulative dividends on the MRPS due on or prior to the date of the transaction have been declared and paid to the Holders of MRPS, and (3) the Fund has
redeemed the full number of MRPS required to be redeemed by any provision for mandatory redemption contained in Section 3(a) or deposited sufficient monies with the Paying Agent for that purpose (without regard to the provisions of the Special
Proviso); provided that the Fund may make any distributions reasonably necessary for the Fund to continue to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code and to avoid excise tax under
Section 4982 of the Internal Revenue Code (“Tax Required Payments”). For the avoidance of doubt, any such Tax Required Payments would only be paid to holders of Common Shares after full cumulative dividends due on or prior to the date
of the applicable distribution and any mandatory redemptions occurring on or prior to the date of the applicable distribution have been paid to the holders of MRPS.
Except as otherwise required pursuant to the Fund’s governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the
holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund,
voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of
trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.
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