![](https://capedge.com/proxy/NPORT-P/0001145549-20-019420/cvx5_nq1x1.jpg)
Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED)
PRINCIPAL |
|
AMOUNT | VALUE |
CORPORATE BONDS (19.5%)
| Airlines (0.0%) |
|
|
128,357 | UAL Pass Through Trust Series |
|
|
| 2007-1µ |
|
|
| 6.636%, 01/02/24 | $ | 136,571 |
| Communication Services (3.0%) |
|
455,000 | Altice France, SA* |
|
| 7.375%, 05/01/26 | 485,749 |
350,000 | Arrow Bidco, LLC* |
|
| 9.500%, 03/15/24 | 350,653 |
| CenturyLink, Inc.* |
|
320,000 | 4.000%, 02/15/27µ | 322,965 |
145,000 | 5.125%, 12/15/26^ | 149,347 |
485,000 | Cincinnati Bell, Inc.* |
|
| 8.000%, 10/15/25 | 517,131 |
210,000 | Consolidated Communications, |
|
| Inc.^ |
|
| 6.500%, 10/01/22 | 200,516 |
| CSC Holdings, LLC* |
|
980,000 | 5.500%, 04/15/27µ | 1,043,073 |
600,000 | 5.750%, 01/15/30 | 645,447 |
400,000 | 5.500%, 05/15/26µ | 420,170 |
210,000 | Cumulus Media New Holdings, |
|
| Inc.*^ |
|
| 6.750%, 07/01/26 | 221,681 |
206,000 | Diamond Sports Group, LLC / |
|
| Diamond Sports Finance |
|
| Companyµ* |
|
| 5.375%, 08/15/26 | 205,538 |
1,602,000 | Embarq Corp.µ |
|
| 7.995%, 06/01/36 | 1,782,978 |
| Entercom Media Corp.*^ |
|
335,000 | 7.250%, 11/01/24 | 354,676 |
205,000 | 6.500%, 05/01/27 | 219,831 |
| Frontier Communications Corp. |
|
670,000 | 7.625%, 04/15/24 | 308,736 |
425,000 | 11.000%, 09/15/25 | 197,249 |
350,000 | 10.500%, 09/15/22 | 159,642 |
205,000 | 8.500%, 04/01/26* | 210,472 |
140,000 | 8.000%, 04/01/27* | 146,432 |
100,000 | 7.125%, 01/15/23 | 47,200 |
69,000 | Go Daddy Operating Company, |
|
| LLC / GD Finance Company, Inc.* |
|
| 5.250%, 12/01/27 | 72,486 |
345,000 | Gray Television, Inc.* |
|
| 7.000%, 05/15/27 | 376,457 |
| Hughes Satellite Systems Corp.^ |
|
245,000 | 6.625%, 08/01/26 | 271,652 |
80,000 | 5.250%, 08/01/26 | 87,081 |
115,000 | iHeartCommunications, Inc.^ |
|
| 8.375%, 05/01/27 | 125,293 |
1,250,000 | Inmarsat Finance, PLCµ* |
|
| 4.875%, 05/15/22 | 1,265,894 |
| Intelsat Jackson Holdings, SA |
|
490,000 | 9.750%, 07/15/25*^ | 418,404 |
255,000 | 8.000%, 02/15/24*^ | 261,605 |
135,000 | 5.500%, 08/01/23 | 110,678 |
350,000 | LCPR Senior Secured Financing |
|
| DAC*^ |
|
| 6.750%, 10/15/27 | 371,105 |
| Netflix, Inc. |
|
200,000 | 4.875%, 06/15/30µ* | 209,206 |
130,000 | 4.875%, 04/15/28^ | 139,220 |
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
155,000 | SBA Communications Corp. |
|
|
| 4.000%, 10/01/22 | $ | 157,872 |
482,000 | Scripps Escrow, Inc.*^ |
|
|
| 5.875%, 07/15/27 |
| 507,736 |
| Sprint Corp. |
|
|
780,000 | 7.125%, 06/15/24^ |
| 807,089 |
670,000 | 7.875%, 09/15/23^ |
| 712,377 |
350,000 | 7.625%, 03/01/26^ |
| 366,016 |
136,000 | 7.250%, 02/01/28* |
| 134,708 |
210,000 | Telecom Italia Capital, SA^ |
|
|
| 6.000%, 09/30/34 |
| 236,630 |
| Telesat Canada / Telesat, LLC* |
|
|
224,000 | 4.875%, 06/01/27^ |
| 231,179 |
130,000 | 6.500%, 10/15/27 |
| 136,234 |
535,000 | United States Cellular Corp.µ |
|
|
| 6.700%, 12/15/33 |
| 606,382 |
| Windstream Services, LLC / |
|
|
| Windstream Finance Corp.@ |
|
|
112,000 | 7.750%, 10/01/21 |
| 14,042 |
43,000 | 10.500%, 06/30/24* |
| 17,775 |
140,000 | Zayo Group, LLC / Zayo Capital, |
|
|
| Inc.* |
|
|
| 5.750%, 01/15/27 |
| 143,245 |
|
|
| 15,769,852 |
| Consumer Discretionary (3.2%) |
|
| Ashton Woods USA, LLC / Ashton |
|
| Woods Finance Company* |
|
204,000 | 6.625%, 01/15/28 | 208,221 |
163,000 | 9.875%, 04/01/27 | 188,104 |
350,000 | Beverages & More, Inc.* |
|
| 11.500%, 06/15/22 | 227,636 |
| Boyd Gaming Corp. |
|
355,000 | 6.000%, 08/15/26 | 377,464 |
140,000 | 4.750%, 12/01/27* | 142,756 |
365,000 | Caesars Resort Collection, LLC / |
|
| CRC Finco, Inc.*^ |
|
| 5.250%, 10/15/25 | 371,356 |
| CCO Holdings, LLC / CCO |
|
| Holdings Capital Corp. |
|
725,000 | 5.125%, 05/01/27* | 759,659 |
475,000 | 5.000%, 02/01/28* | 497,850 |
285,000 | 5.750%, 09/01/23 | 289,108 |
207,000 | Cedar Fair, LP*^ |
|
| 5.250%, 07/15/29 | 219,035 |
| Century Communities, Inc. |
|
345,000 | 6.750%, 06/01/27*^ | 374,748 |
315,000 | 5.875%, 07/15/25 | 331,438 |
575,000 | Dana Financing Luxembourg |
|
| Sarl*^ |
|
| 6.500%, 06/01/26 | 614,914 |
420,000 | DISH DBS Corp.^ |
|
| 7.750%, 07/01/26 | 441,504 |
630,000 | Eldorado Resorts, Inc.~ |
|
| 6.000%, 04/01/25 | 660,769 |
| ESH Hospitality, Inc.* |
|
360,000 | 5.250%, 05/01/25 | 369,448 |
138,000 | 4.625%, 10/01/27µ^ | 138,172 |
| Ford Motor Credit Company, LLC |
|
350,000 | 4.063%, 11/01/24µ^ | 361,585 |
320,000 | 3.664%, 09/08/24µ | 325,334 |
315,000 | 4.134%, 08/04/25^ | 323,280 |
350,000 | GLP Capital, LP / GLP Financing |
|
| II, Inc.µ |
|
| 5.250%, 06/01/25 | 392,100 |
See accompanying Notes to Schedule of Investments
1
3/2/2020 10:35 AM
![](https://capedge.com/proxy/NPORT-P/0001145549-20-019420/cvx5_nq2x1.jpg)
Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED)
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
550,000 | goeasy, Ltd.µ* |
|
|
| 5.375%, 12/01/24 | $ | 567,770 |
510,000 | Guitar Center, Inc.* |
|
|
| 9.500%, 10/15/21 |
| 507,881 |
69,000 | Installed Building Products, Inc.* |
|
|
| 5.750%, 02/01/28 |
| 73,913 |
345,000 | International Game Technology, |
|
|
| PLC*^ |
|
|
| 6.250%, 01/15/27 |
| 390,497 |
533,000 | L Brands, Inc.µ |
|
|
| 6.875%, 11/01/35 |
| 534,993 |
325,000 | Lennar Corp.µ |
|
|
| 5.250%, 06/01/26 |
| 360,570 |
| M/I Homes, Inc. |
|
|
350,000 | 5.625%, 08/01/25 |
| 368,692 |
205,000 | 4.950%, 02/01/28* |
| 211,407 |
| Mattel, Inc.*^ |
|
|
350,000 | 5.875%, 12/15/27 |
| 368,825 |
320,000 | 6.750%, 12/31/25 |
| 343,574 |
325,000 | Mclaren Finance, PLC* |
|
|
| 5.750%, 08/01/22 |
| 314,062 |
400,000 | Meritage Homes Corp.µ^ |
|
|
| 6.000%, 06/01/25 |
| 453,588 |
138,000 | Michaels Stores, Inc.*^ |
|
|
| 8.000%, 07/15/27 |
| 123,985 |
454,000 | Newell Brands, Inc.^ |
|
|
| 4.200%, 04/01/26 |
| 474,480 |
| Penske Automotive Group, Inc. |
|
|
335,000 | 5.500%, 05/15/26^ |
| 347,437 |
155,000 | 5.375%, 12/01/24 |
| 159,269 |
| Rite Aid Corp. |
|
|
630,000 | 6.125%, 04/01/23* |
| 574,333 |
440,000 | 7.700%, 02/15/27^ |
| 360,369 |
205,000 | Salem Media Group, Inc.* |
|
|
| 6.750%, 06/01/24 |
| 199,284 |
138,000 | Service Corp. International^ |
|
|
| 5.125%, 06/01/29 |
| 147,329 |
| Sirius XM Radio, Inc.µ* |
|
|
345,000 | 5.500%, 07/01/29 |
| 372,512 |
345,000 | 4.625%, 07/15/24 |
| 358,678 |
345,000 | Speedway Motorsports, LLC / |
|
|
| Speedway Funding II, Inc.* |
|
|
| 4.875%, 11/01/27 |
| 349,518 |
207,000 | Taylor Morrison Communities, |
|
|
| Inc.µ* |
|
|
| 5.750%, 01/15/28 |
| 226,622 |
345,000 | Twin River Worldwide Holdings, |
|
|
| Inc.*^ |
|
|
| 6.750%, 06/01/27 |
| 365,690 |
120,679 | US Airways Pass Through Trust |
|
|
| Series 2012-2, Class B |
|
|
| 6.750%, 12/03/22 |
| 126,743 |
275,000 | VOC Escrow, Ltd.µ* |
|
|
| 5.000%, 02/15/28 |
| 286,576 |
|
|
| 16,583,078 |
| Consumer Staples (0.9%) |
|
350,000 | Albertsons Companies, LLC / |
|
| Safeway, Inc. / New Albertsons, |
|
| LP / Albertson's, LLC |
|
| 5.750%, 03/15/25 | 363,723 |
210,000 | Dean Foods Company*@ |
|
| 6.500%, 03/15/23 | 40,478 |
215,000 | Energizer Holdings, Inc.*^ |
|
| 6.375%, 07/15/26 | 229,173 |
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
325,000 | Fresh Market, Inc.* |
|
|
| 9.750%, 05/01/23 | $ | 159,562 |
| JBS USA LUX, SA / JBS USA |
|
|
| Finance, Inc.* |
|
|
755,000 | 5.875%, 07/15/24 |
| 777,137 |
480,000 | 6.750%, 02/15/28^ |
| 533,347 |
| JBS USA LUX, SA / JBS USA |
|
|
| Food Company / JBS USA |
|
|
| Finance, Inc.* |
|
|
276,000 | 5.500%, 01/15/30^ |
| 299,688 |
112,000 | 6.500%, 04/15/29µ |
| 125,486 |
| New Albertson's, Inc. |
|
|
177,000 | 7.750%, 06/15/26 |
| 191,614 |
69,000 | 8.000%, 05/01/31 |
| 75,411 |
| Pilgrim's Pride Corp.* |
|
|
400,000 | 5.875%, 09/30/27 |
| 425,842 |
140,000 | 5.750%, 03/15/25 |
| 144,417 |
| Post Holdings, Inc.* |
|
|
325,000 | 5.750%, 03/01/27 |
| 343,473 |
105,000 | 5.500%, 12/15/29^ |
| 111,646 |
70,000 | 5.625%, 01/15/28^ |
| 74,409 |
285,000 | Simmons Foods, Inc.* |
|
|
| 7.750%, 01/15/24 |
| 305,672 |
| Vector Group, Ltd.* |
|
|
390,000 | 6.125%, 02/01/25µ |
| 388,888 |
142,000 | 10.500%, 11/01/26 |
| 148,958 |
|
|
| 4,738,924 |
| Energy (1.9%) |
|
210,000 | Apergy Corp. |
|
| 6.375%, 05/01/26 | 222,868 |
210,000 | Bruin E&P Partners, LLC* |
|
| 8.875%, 08/01/23 | 137,867 |
| Buckeye Partners, LP^ |
|
210,000 | 3.950%, 12/01/26 | 208,429 |
135,000 | 5.850%, 11/15/43 | 128,419 |
284,000 | Calfrac Holdings, LP* |
|
| 8.500%, 06/15/26 | 107,917 |
605,000 | California Resources Corp.* |
|
| 8.000%, 12/15/22 | 206,544 |
350,000 | Chaparral Energy, Inc.* |
|
| 8.750%, 07/15/23 | 130,044 |
280,000 | Cheniere Energy Partners, LPµ |
|
| 5.625%, 10/01/26 | 294,168 |
170,000 | Chesapeake Energy Corp.*^ |
|
| 11.500%, 01/01/25 | 138,232 |
415,000 | DCP Midstream Operating, LP*" |
|
| 5.850%, 05/21/43 |
|
| 3 mo. USD LIBOR + 3.85% | 384,952 |
| Denbury Resources, Inc. |
|
329,000 | 7.750%, 02/15/24* | 264,954 |
130,000 | 9.250%, 03/31/22* | 114,482 |
81,000 | 5.500%, 05/01/22 | 49,582 |
140,000 | Diamond Offshore Drilling, Inc.^ |
|
| 7.875%, 08/15/25 | 114,399 |
200,000 | eG Global Finance, PLC* |
|
| 6.750%, 02/07/25 | 202,921 |
| Energy Transfer Operating, LP |
|
635,000 | 5.500%, 06/01/27^ | 727,748 |
625,000 | 4.781%, 11/01/66µ" |
|
| 3 mo. USD LIBOR + 3.02% | 512,278 |
| EnLink Midstream Partners, LP |
|
345,000 | 4.850%, 07/15/26µ | 319,237 |
340,000 | 6.000%, 12/15/22" |
|
| 3 mo. USD LIBOR + 4.11% | 237,951 |
See accompanying Notes to Schedule of Investments
2
3/2/2020 10:35 AM
![](https://capedge.com/proxy/NPORT-P/0001145549-20-019420/cvx5_nq3x1.jpg)
Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED)
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
| EP Energy, LLC / Everest |
|
|
| Acquisition Finance, Inc.*@ |
|
|
245,000 | 9.375%, 05/01/24 | $ | 7,479 |
171,000 | 7.750%, 05/15/26 |
| 115,922 |
| Genesis Energy, LP / Genesis |
|
|
| Energy Finance Corp. |
|
|
350,000 | 6.500%, 10/01/25 |
| 343,880 |
350,000 | 6.250%, 05/15/26 |
| 334,602 |
510,000 | Gulfport Energy Corp. |
|
|
| 6.375%, 05/15/25 |
| 258,320 |
70,000 | Hess Midstream Partners, LP*^ |
|
|
| 5.125%, 06/15/28 |
| 72,566 |
68,000 | Holly Energy Partners, LP / Holly |
|
|
| Energy Finance Corp.* |
|
|
| 5.000%, 02/01/28 |
| 69,057 |
135,000 | Laredo Petroleum, Inc.^ |
|
|
| 10.125%, 01/15/28 |
| 120,488 |
460,000 | Lonestar Resources America, |
|
|
| Inc.* |
|
|
| 11.250%, 01/01/23 |
| 301,353 |
350,000 | Magnolia Oil & Gas Operating, |
|
|
| LLC / Magnolia Oil & Gas Finance |
|
|
| Corp.*^ |
|
|
| 6.000%, 08/01/26 |
| 363,067 |
560,000 | McDermott Technologies |
|
|
| Americas, Inc. / McDermott |
|
|
| Technology U.S., Inc.*@ |
|
|
| 10.625%, 05/01/24 |
| 74,556 |
| Moss Creek Resources Holdings, |
|
|
| Inc.* |
|
|
145,000 | 10.500%, 05/15/27^ |
| 116,548 |
130,000 | 7.500%, 01/15/26 |
| 96,810 |
140,000 | Murphy Oil Corp.^ |
|
|
| 5.875%, 12/01/27 |
| 143,802 |
125,000 | Nine Energy Service, Inc.* |
|
|
| 8.750%, 11/01/23 |
| 105,795 |
170,000 | Oasis Petroleum, Inc.*^ |
|
|
| 6.250%, 05/01/26 |
| 130,036 |
335,000 | Par Petroleum, LLC / Par |
|
|
| Petroleum Finance Corp.* |
|
|
| 7.750%, 12/15/25 |
| 347,360 |
205,000 | Parkland Fuel Corp.* |
|
|
| 5.875%, 07/15/27 |
| 217,751 |
270,000 | Plains All American Pipeline, |
|
|
| LPµ" |
|
|
| 6.125%, 11/15/22 |
|
|
| 3 mo. USD LIBOR + 4.11% |
| 252,577 |
275,000 | SESI, LLC |
|
|
| 7.750%, 09/15/24 |
| 171,905 |
150,000 | SM Energy Company^ |
|
|
| 6.750%, 09/15/26 |
| 136,886 |
200,000 | Targa Resources Partners, LP / |
|
|
| Targa Resources Partners |
|
|
| Finance Corp.^ |
|
|
| 6.500%, 07/15/27 |
| 218,757 |
| Transocean, Inc.* |
|
|
195,000 | 7.500%, 01/15/26 |
| 182,360 |
130,000 | 8.000%, 02/01/27 |
| 120,944 |
350,000 | Vine Oil & Gas, LP / Vine Oil & |
|
|
| Gas Finance Corp.* |
|
|
| 8.750%, 04/15/23 |
| 181,002 |
140,000 | Viper Energy Partners, LP* |
|
|
| 5.375%, 11/01/27 |
| 146,138 |
390,000 | W&T Offshore, Inc.* |
|
|
| 9.750%, 11/01/23 |
| 370,014 |
130,000 | Weatherford International, Ltd.* |
|
|
| 11.000%, 12/01/24 |
| 138,216 |
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
265,000 | Whiting Petroleum Corp.^ |
|
|
| 6.625%, 01/15/26 | $ | 149,655 |
|
|
| 9,790,838 |
| Financials (3.4%) |
|
886,000 | Acrisure, LLC / Acrisure Finance, |
|
| Inc.* |
|
| 7.000%, 11/15/25 | 871,483 |
17,000 | AG Issuer, LLC* |
|
| 6.250%, 03/01/28 | 1,581 |
580,000 | Alliant Holdings Intermediate, LLC |
|
| / Alliant Holdings Co-Issuer* |
|
| 6.750%, 10/15/27 | 611,071 |
445,000 | Ally Financial, Inc. |
|
| 8.000%, 11/01/31 | 629,866 |
555,000 | Amwins Group, Inc.* |
|
| 7.750%, 07/01/26 | 607,156 |
710,000 | Ardonagh Midco 3, PLC*^ |
|
| 8.625%, 07/15/23 | 728,950 |
635,000 | AssuredPartners, Inc.* |
|
| 7.000%, 08/15/25 | 646,833 |
190,000 | Bank of America Corp.^" |
|
| 4.300%, 01/28/25 |
|
| 3 mo. USD LIBOR + 2.66% | 190,121 |
475,000 | Brookfield Property REIT, Inc. / |
|
| BPR Cumulus, LLC / BPR |
|
| Nimbus, LLC / GGSI Sellco, |
|
| LLCµ* |
|
| 5.750%, 05/15/26 | 496,601 |
| Credit Acceptance Corp.µ* |
|
350,000 | 6.625%, 03/15/26 | 379,561 |
238,000 | 5.125%, 12/31/24 | 248,994 |
345,000 | Donnelley Financial Solutions, Inc. |
|
| 8.250%, 10/15/24 | 359,873 |
320,000 | Global Aircraft Leasing Company, |
|
| Ltd.* |
|
| 6.500%, 09/15/24 |
|
| 7.250% PIK rate | 328,082 |
439,000 | Greystar Real Estate Partners, |
|
| LLC* |
|
| 5.750%, 12/01/25 | 455,704 |
205,000 | HAT Holdings I, LLC / HAT |
|
| Holdings II, LLCµ* |
|
| 5.250%, 07/15/24 | 215,996 |
1,190,000 | HUB International, Ltd.* |
|
| 7.000%, 05/01/26 | 1,230,990 |
| Icahn Enterprises, LP / Icahn |
|
| Enterprises Finance Corp.* |
|
335,000 | 5.250%, 05/15/27µ | 336,266 |
67,000 | 4.750%, 09/15/24^ | 68,670 |
525,000 | ILFC E-Capital Trust II*" |
|
| 4.150%, 12/21/65 |
|
| 3 mo. USD LIBOR + 1.80% | 434,354 |
625,000 | Iron Mountain, Inc.µ* |
|
| 5.250%, 03/15/28 | 654,191 |
| Jefferies Finance, LLC / JFIN Co- |
|
| Issuer Corp.* |
|
1,150,000 | 7.250%, 08/15/24 | 1,186,541 |
350,000 | 6.250%, 06/03/26µ | 368,795 |
| Ladder Capital Finance Holdings |
|
| LLLP / Ladder Capital Finance |
|
| Corp.µ* |
|
325,000 | 5.250%, 10/01/25 | 335,746 |
63,000 | 4.250%, 02/01/27 | 62,941 |
270,000 | Level 3 Financing, Inc. |
|
| 5.375%, 05/01/25 | 279,017 |
See accompanying Notes to Schedule of Investments
3
3/2/2020 10:35 AM
![](https://capedge.com/proxy/NPORT-P/0001145549-20-019420/cvx5_nq4x1.jpg)
Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED)
PRINCIPAL |
|
|
|
| PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
| AMOUNT |
|
| VALUE |
640,000 | LPL Holdings, Inc.* |
|
| 302,000 | Team Health Holdings, Inc.*^ |
|
| |
| 5.750%, 09/15/25 | $ | 669,123 |
|
| 6.375%, 02/01/25 | $ | 178,189 |
585,000 | MetLife, Inc.µ |
|
|
|
| Tenet Healthcare Corp. |
|
|
| 6.400%, 12/15/66 |
| 733,572 | 625,000 | 6.250%, 02/01/27*^ |
| 662,563 | |
473,000 | Nationstar Mortgage, LLC / |
|
| 390,000 | 4.625%, 07/15/24µ |
| 400,682 | |
| Nationstar Capital Corp. |
|
| 375,000 | 6.875%, 11/15/31 |
| 387,696 | |
| 6.500%, 07/01/21 |
| 473,199 | 345,000 | 4.875%, 01/01/26µ* |
| 356,447 | |
| Navient Corp.^ |
|
| 440,000 | Teva Pharmaceutical Finance |
|
| |
476,000 | 5.000%, 03/15/27 |
| 475,281 |
|
| Company, BV^ |
|
|
285,000 | 6.750%, 06/25/25 |
| 311,891 |
|
| 2.950%, 12/18/22 |
| 425,099 |
290,000 | NexBank Capital, Inc.*"& |
|
|
|
| Teva Pharmaceutical Finance |
|
|
| 6.375%, 09/30/27 |
|
|
|
| Netherlands III, BV^ |
|
|
| 3 mo. USD LIBOR + 4.59% |
| 297,028 | 910,000 | 2.800%, 07/21/23 |
| 850,058 | |
345,000 | Radian Group, Inc.µ |
|
| 520,000 | 6.000%, 04/15/24 |
| 530,361 | |
| 4.875%, 03/15/27 |
| 365,024 | 90,000 | 2.200%, 07/21/21 |
| 88,802 | |
375,000 | Simmons First National Corp." |
|
| 665,000 | West Street Merger Sub, Inc.*^ |
|
| |
| 5.000%, 04/01/28 |
|
|
|
| 6.375%, 09/01/25 |
| 657,738 |
| 3 mo. USD LIBOR + 2.15% |
| 391,005 |
|
|
|
| 12,631,831 |
| Springleaf Finance Corp. |
|
|
|
|
|
| |
|
|
|
|
|
|
|
| |
465,000 | 6.875%, 03/15/25 |
| 527,370 |
|
| Industrials (2.7%) |
|
|
335,000 | 7.125%, 03/15/26 |
| 385,531 | 400,000 | ACCO Brands Corp.*^ |
|
| |
69,000 | 6.625%, 01/15/28µ |
| 77,955 |
|
| |||
|
|
| 5.250%, 12/15/24 |
| 416,570 | |||
345,000 | Starwood Property Trust, Inc.^ |
|
|
|
|
| ||
|
|
|
| Albertsons Companies, Inc. / |
|
| ||
| 4.750%, 03/15/25 |
| 361,146 |
|
|
|
| |
|
|
|
| Safeway, Inc. / New Albertsons, |
|
| ||
180,000 | Towne Bank" |
|
|
|
|
|
| |
|
|
|
| LP / Albertsons, LLC* |
|
| ||
| 4.500%, 07/30/27 |
|
|
|
|
|
| |
|
|
| 340,000 | 4.625%, 01/15/27^ |
| 344,872 | ||
| 3 mo. USD LIBOR + 2.55% |
| 179,238 |
| ||||
|
| 272,000 | 4.875%, 02/15/30 |
| 279,655 | |||
120,000 | Tronox Finance, PLC*^ |
|
|
| ||||
|
|
|
| Allison Transmission, Inc.* |
|
| ||
| 5.750%, 10/01/25 |
| 120,062 |
|
|
|
| |
|
| 425,000 | 4.750%, 10/01/27µ |
| 442,572 | |||
| VICI Properties, LP / VICI Note |
|
|
| ||||
|
|
| 70,000 | 5.875%, 06/01/29^ |
| 76,566 | ||
| Company, Inc.* |
|
|
| ||||
|
|
| 140,000 | American Airlines Group, Inc.*^ |
|
| ||
272,000 | 3.750%, 02/15/27 |
| 273,389 |
|
| |||
|
|
| 5.000%, 06/01/22 |
| 145,695 | |||
152,000 | 4.625%, 12/01/29 |
| 159,068 |
|
|
| ||
| 326,000 | Arconic, Inc.^ |
|
| ||||
136,000 | 4.125%, 08/15/30 |
| 138,200 |
|
| |||
|
|
| 5.125%, 10/01/24 |
| 352,178 | |||
|
|
|
|
|
|
| ||
|
|
| 17,667,465 | 700,000 | ARD Finance, SA* |
|
| |
| Health Care (2.4%) |
|
|
|
| 6.500%, 06/30/27 |
|
|
|
|
|
|
| 7.250% PIK rate |
| 724,301 | |
|
|
|
|
|
|
| ||
634,000 | Acadia Healthcare Company, |
|
|
|
| Avolon Holdings Funding, Ltd.µ* |
|
|
| Inc.~ |
|
| 137,000 | 5.250%, 05/15/24 |
| 151,071 | |
| 6.500%, 03/01/24 |
| 654,605 | 135,000 | 2.875%, 02/15/25 |
| 136,149 | |
770,000 | Bausch Health Americas, Inc.* |
|
| 350,000 | Beacon Roofing Supply, Inc.*^ |
|
| |
| 8.500%, 01/31/27 |
| 871,205 |
|
| 4.875%, 11/01/25 |
| 348,591 |
| Centene Corp.* |
|
|
|
| Cascades Inc/Cascades USA, |
|
|
276,000 | 4.250%, 12/15/27^ |
| 288,562 |
|
| Inc.* |
|
|
210,000 | 4.625%, 12/15/29µ |
| 226,646 | 207,000 | 5.125%, 01/15/26^ |
| 214,672 | |
| CHS/Community Health Systems, |
|
| 138,000 | 5.375%, 01/15/28µ |
| 142,882 | |
| Inc. |
|
| 470,000 | Covanta Holding Corp. |
|
| |
1,210,000 | 8.125%, 06/30/24* |
| 1,090,512 |
|
| 5.875%, 03/01/24 |
| 479,724 |
305,000 | 8.000%, 03/15/26*^ |
| 318,682 | 370,000 | Delphi Technologies, PLC* |
|
| |
220,000 | 6.250%, 03/31/23 |
| 224,134 |
|
| 5.000%, 10/01/25 |
| 410,104 |
770,000 | DaVita, Inc.^ |
|
| 145,000 | EnerSysµ* |
|
| |
| 5.125%, 07/15/24 |
| 787,926 |
|
| 4.375%, 12/15/27 |
| 145,191 |
| HCA, Inc. |
|
| 570,000 | Fly Leasing, Ltd. |
|
| |
1,335,000 | 5.375%, 02/01/25^ |
| 1,492,971 |
|
| 5.250%, 10/15/24 |
| 593,019 |
300,000 | 7.500%, 11/06/33 |
| 380,783 | 68,000 | GFL Environmental, Inc.* |
|
| |
215,000 | Hill-Rom Holdings, Inc.*^ |
|
|
|
| 5.125%, 12/15/26 |
| 70,325 |
| 4.375%, 09/15/27 |
| 220,214 |
|
| Golden Nugget, Inc.* |
|
|
665,000 | Magellan Health, Inc.µ |
|
| 370,000 | 6.750%, 10/15/24 |
| 380,588 | |
| 4.900%, 09/22/24 |
| 693,814 | 285,000 | 8.750%, 10/01/25^ |
| 300,647 | |
| Mallinckrodt International Finance, |
|
| 140,000 | Granite Holdings US Acquisition |
|
| |
| SA / Mallinckrodt CB, LLC* |
|
|
|
| Company* |
|
|
465,000 | 5.625%, 10/15/23 |
| 183,828 |
|
| 11.000%, 10/01/27 |
| 146,830 |
205,000 | 4.875%, 04/15/20 |
| 166,715 | 175,000 | Graphic Packaging International, |
|
| |
485,000 | Par Pharmaceutical, Inc.*^ |
|
|
|
| LLCµ* |
|
|
| 7.500%, 04/01/27 |
| 493,599 |
|
| 4.750%, 07/15/27 |
| 189,522 |
See accompanying Notes to Schedule of Investments
4
3/2/2020 10:35 AM
![](https://capedge.com/proxy/NPORT-P/0001145549-20-019420/cvx5_nq5x1.jpg)
Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED)
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
350,000 | Great Lakes Dredge & Dock Corp. |
|
|
| 8.000%, 05/15/22 | $ | 369,822 |
505,000 | H&E Equipment Services, Inc.^ |
|
|
| 5.625%, 09/01/25 |
| 528,813 |
350,000 | Herc Holdings, Inc.*^ |
|
|
| 5.500%, 07/15/27 |
| 365,951 |
| Hertz Corp.* |
|
|
280,000 | 6.000%, 01/15/28^ |
| 282,731 |
175,000 | 7.625%, 06/01/22 |
| 181,448 |
350,000 | Jeld-Wen, Inc.*^ |
|
|
| 4.625%, 12/15/25 |
| 359,154 |
200,000 | KeHE Distributors, LLC / KeHE |
|
|
| Finance Corp.* |
|
|
| 8.625%, 10/15/26 |
| 212,582 |
540,000 | Meritor, Inc. |
|
|
| 6.250%, 02/15/24 |
| 553,900 |
170,000 | Moog, Inc.µ* |
|
|
| 4.250%, 12/15/27 |
| 175,041 |
340,000 | Nationstar Mortgage Holdings, |
|
|
| Inc.* |
|
|
| 6.000%, 01/15/27 |
| 346,334 |
245,000 | Navistar International Corp.*^ |
|
|
| 6.625%, 11/01/25 |
| 257,174 |
272,000 | Novelis Corp.* |
|
|
| 4.750%, 01/30/30 |
| 273,360 |
495,000 | Park-Ohio Industries, Inc.^ |
|
|
| 6.625%, 04/15/27 |
| 504,279 |
140,000 | Patrick Industries, Inc.* |
|
|
| 7.500%, 10/15/27 |
| 152,736 |
210,000 | Scientific Games International, |
|
|
| Inc.*^ |
|
|
| 5.000%, 10/15/25 |
| 216,233 |
| Station Casinos, LLC* |
|
|
336,000 | 5.000%, 10/01/25^ |
| 344,810 |
238,000 | 4.500%, 02/15/28 |
| 237,550 |
210,000 | Tennant Company |
|
|
| 5.625%, 05/01/25 |
| 220,098 |
200,000 | TransDigm UK Holdings, PLC |
|
|
| 6.875%, 05/15/26 |
| 213,989 |
| TransDigm, Inc. |
|
|
355,000 | 6.250%, 03/15/26*^ |
| 383,844 |
205,000 | 7.500%, 03/15/27 |
| 224,618 |
| United Rentals North America, |
|
|
| Inc. |
|
|
275,000 | 4.875%, 01/15/28^ |
| 287,239 |
265,000 | 5.875%, 09/15/26 |
| 282,978 |
140,000 | 6.500%, 12/15/26µ |
| 152,510 |
175,000 | Waste Pro USA, Inc.* |
|
|
| 5.500%, 02/15/26 |
| 180,438 |
350,000 | XPO Logistics, Inc.*^ |
|
|
| 6.750%, 08/15/24 |
| 379,710 |
|
|
| 14,179,066 |
| Information Technology (0.5%) |
|
140,000 | CDK Global, Inc.µ* |
|
| 5.250%, 05/15/29 | 150,691 |
315,000 | CommScope Technologies, LLC*^ |
|
| 6.000%, 06/15/25 | 301,260 |
635,000 | Dell International, LLC / EMC |
|
| Corp.µ*^ |
|
| 6.020%, 06/15/26 | 742,048 |
138,000 | Fair Isaac Corp.µ* |
|
| 4.000%, 06/15/28 | 140,667 |
420,000 | Harland Clarke Holdings Corp.* |
|
| 8.375%, 08/15/22 | 365,799 |
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
375,000 | IQVIA, Inc.µ* |
|
|
| 5.000%, 05/15/27 | $ | 395,861 |
207,000 | MTS Systems Corp.* |
|
|
| 5.750%, 08/15/27 |
| 218,588 |
187,000 | PTC, Inc.* |
|
|
| 4.000%, 02/15/28 |
| 189,730 |
|
|
| 2,504,644 |
| Materials (0.8%) |
|
300,000 | Alcoa Nederland Holding, BVµ* |
|
| 7.000%, 09/30/26 | 325,866 |
147,000 | Allegheny Technologies, Inc.^ |
|
| 5.875%, 12/01/27 | 150,140 |
200,000 | ArcelorMittal, SAµ |
|
| 7.000%, 10/15/39 | 253,938 |
525,000 | Ardagh Packaging Finance, PLC / |
|
| Ardagh Holdings USA, Inc.* |
|
| 6.000%, 02/15/25 | 548,803 |
140,000 | Baffinland Iron Mines Corp. / |
|
| Baffinland Iron Mines, LP* |
|
| 8.750%, 07/15/26 | 145,758 |
72,000 | Compass Minerals International, |
|
| Inc.* |
|
| 6.750%, 12/01/27 | 77,250 |
275,000 | First Quantum Minerals, Ltd.*^ |
|
| 7.250%, 04/01/23 | 273,710 |
| Freeport-McMoRan, Inc. |
|
185,000 | 5.000%, 09/01/27^ | 192,257 |
130,000 | 5.450%, 03/15/43 | 132,624 |
255,000 | INEOS Group Holdings, SA*^ |
|
| 5.625%, 08/01/24 | 261,754 |
215,000 | JW Aluminum Continuous Cast |
|
| Company* |
|
| 10.250%, 06/01/26 | 225,373 |
210,000 | Kaiser Aluminum Corp.*^ |
|
| 4.625%, 03/01/28 | 214,356 |
70,000 | Mineral Resources, Ltd.* |
|
| 8.125%, 05/01/27 | 76,512 |
325,000 | New Gold, Inc.* |
|
| 6.375%, 05/15/25 | 306,758 |
69,000 | Norbord, Inc.*^ |
|
| 5.750%, 07/15/27 | 72,542 |
580,000 | PBF Holding Company, LLC / |
|
| PBF Finance Corp. |
|
| 7.250%, 06/15/25 | 617,636 |
275,000 | Silgan Holdings, Inc.µ* |
|
| 4.125%, 02/01/28 | 274,783 |
210,000 | Univar Solutions USA, Inc.* |
|
| 5.125%, 12/01/27 | 218,639 |
|
| 4,368,699 |
| Real Estate (0.3%) |
|
365,000 | CBL & Associates, LP^ |
|
| 5.250%, 12/01/23 | 220,761 |
350,000 | Forestar Group, Inc.* |
|
| 8.000%, 04/15/24 | 381,969 |
570,000 | MPT Operating Partnership, LP / |
|
| MPT Finance Corp.µ |
|
| 5.000%, 10/15/27 | 601,627 |
345,000 | Service Properties Trustµ |
|
| 4.350%, 10/01/24 | 363,621 |
|
| 1,567,978 |
| Utilities (0.4%) |
|
204,000 | Calpine Corp.µ* |
|
| 4.500%, 02/15/28 | 202,460 |
See accompanying Notes to Schedule of Investments
5
3/2/2020 10:35 AM
![](https://capedge.com/proxy/NPORT-P/0001145549-20-019420/cvx5_nq6x1.jpg)
Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED)
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
70,000 | NextEra Energy Operating |
|
|
| Partners, LPµ* |
|
|
| 4.250%, 07/15/24 | $ | 73,080 |
150,000 | NGPL PipeCo, LLC*^ |
|
|
| 4.875%, 08/15/27 |
| 162,986 |
| NRG Energy, Inc.^ |
|
|
386,000 | 5.750%, 01/15/28 |
| 416,255 |
95,000 | 6.625%, 01/15/27 |
| 102,227 |
476,000 | PPL Capital Funding, Inc.µ" |
|
|
| 4.626%, 03/30/67 |
|
|
| 3 mo. USD LIBOR + 2.67% |
| 465,816 |
| Talen Energy Supply, LLC* |
|
|
135,000 | 10.500%, 01/15/26 |
| 120,095 |
70,000 | 7.250%, 05/15/27^ |
| 71,892 |
350,000 | TerraForm Power Operating, |
|
|
| LLC*^ |
|
|
| 5.000%, 01/31/28 |
| 379,599 |
295,000 | Vistra Energy Corp.* |
|
|
| 8.125%, 01/30/26 |
| 315,464 |
|
|
| 2,309,874 |
| TOTAL CORPORATE BONDS |
|
| (Cost $103,396,348) | 102,248,820 |
CONVERTIBLE BONDS (95.7%) |
| |
| Communication Services (12.0%) |
|
7,000,000 | GCI Liberty, Inc.* |
|
| 1.750%, 09/30/46 | 10,129,560 |
6,650,000 | IAC Financeco 3, Inc.* |
|
| 2.000%, 01/15/30 | 7,699,303 |
137,000 | Intelsat, SA |
|
| 4.500%, 06/15/25 | 59,222 |
| Liberty Media Corp. |
|
5,825,000 | 1.375%, 10/15/23 | 7,860,517 |
5,776,000 | 2.750%, 12/01/49* | 6,031,126 |
3,400,000 | 2.250%, 09/30/46 | 1,968,736 |
1,700,000 | 2.250%, 12/01/48* | 1,985,558 |
3,500,000 | Liberty Media Corp. / Liberty |
|
| Formula One |
|
| 1.000%, 01/30/23 | 4,702,320 |
1,434,000 | Live Nation Entertainment, Inc.* |
|
| 2.000%, 02/15/25 | 1,436,294 |
3,250,000 | Sea, Ltd.* |
|
| 1.000%, 12/01/24 | 3,776,630 |
6,500,000 | Snap, Inc.* |
|
| 0.750%, 08/01/26 | 7,264,692 |
3,450,000 | Twitter, Inc.^ |
|
| 0.250%, 06/15/24 | 3,390,350 |
6,600,000 | Zynga, Inc.* |
|
| 0.250%, 06/01/24 | 6,782,028 |
|
| 63,086,336 |
| Consumer Discretionary (15.4%) |
|
13,500,000 | Booking Holdings, Inc.µ^ |
|
| 0.900%, 09/15/21 | 14,840,955 |
2,094,000 | Chegg, Inc.µ*^ |
|
| 0.125%, 03/15/25 | 2,248,726 |
| DISH Network Corp. |
|
6,420,000 | 2.375%, 03/15/24~ | 5,916,576 |
5,500,000 | 3.375%, 08/15/26 | 5,359,255 |
| Etsy, Inc. |
|
3,250,000 | 0.125%, 10/01/26*^ | 3,038,246 |
1,250,000 | 0.000%, 03/01/23 | 1,874,338 |
3,350,000 | Guess, Inc.* |
|
| 2.000%, 04/15/24 | 3,636,860 |
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
| Liberty Interactive, LLC |
|
|
355,000 | 3.750%, 02/15/30 | $ | 248,736 |
345,230 | 4.000%, 11/15/29 |
| 243,637 |
5,000,000 | NIO, Inc.* |
|
|
| 4.500%, 02/01/24 |
| 2,912,500 |
5,750,000 | RH* |
|
|
| 0.000%, 09/15/24 |
| 6,697,226 |
11,000,000 | Tesla, Inc.~ |
|
|
| 2.000%, 05/15/24 |
| 24,219,305 |
6,750,000 | Wayfair, Inc.* |
|
|
| 1.000%, 08/15/26 |
| 6,147,866 |
3,250,000 | Winnebago Industries, Inc.* |
|
|
| 1.500%, 04/01/25 |
| 3,594,110 |
|
|
| 80,978,336 |
| Energy (2.7%) |
|
120,000 | Denbury Resources, Inc.* |
|
| 6.375%, 12/31/24 | 74,549 |
2,634,000 | Helix Energy Solutions Group, Inc. |
|
| 4.125%, 09/15/23 | 3,172,824 |
6,750,000 | Nabors Industries, Inc.~ |
|
| 0.750%, 01/15/24 | 4,712,580 |
4,631,000 | Oil States International, Inc. |
|
| 1.500%, 02/15/23 | 3,809,646 |
9,600,000 | SunEdison, Inc.@ |
|
| 0.250%, 01/15/20 | 167,616 |
2,625,000 | Transocean, Inc.^ |
|
| 0.500%, 01/30/23 | 2,214,161 |
|
| 14,151,376 |
| Financials (3.8%) |
|
1,500,000 | Blackstone Mortgage Trust, Inc.µ |
|
| 4.375%, 05/05/22 | 1,620,735 |
3,794,000 | Hope Bancorp, Inc. |
|
| 2.000%, 05/15/38 | 3,560,574 |
6,000,000 | JPMorgan Chase Bank, N.A. |
|
| 0.000%, 12/30/20 | 6,796,530 |
2,900,000 | MGIC Investment Corp.*~ |
|
| 9.000%, 04/01/63 | 3,941,158 |
350,000 | Prospect Capital Corp.^ |
|
| 4.950%, 07/15/22 | 362,971 |
3,400,000 | Starwood Property Trust, Inc.^ |
|
| 4.375%, 04/01/23 | 3,571,360 |
|
| 19,853,328 |
| Health Care (15.3%) |
|
8,150,000 | BioMarin Pharmaceutical, Inc.µ^ |
|
| 1.500%, 10/15/20 | 8,709,090 |
2,500,000 | CONMED Corp.µ* |
|
| 2.625%, 02/01/24 | 3,215,363 |
3,000,000 | DexCom, Inc. |
|
| 0.750%, 12/01/23 | 4,770,120 |
6,000,000 | Exact Sciences Corp.^ |
|
| 0.375%, 03/15/27 | 6,777,900 |
2,400,000 | Flexion Therapeutics, Inc. |
|
| 3.375%, 05/01/24 | 2,440,032 |
4,500,000 | Illumina, Inc.^ |
|
| 0.500%, 06/15/21 | 5,637,353 |
1,500,000 | Insmed, Inc. |
|
| 1.750%, 01/15/25 | 1,408,028 |
12,250,000 | Insulet Corp.*~ |
|
| 0.375%, 09/01/26 | 13,764,406 |
6,000,000 | Invitae Corp.* |
|
| 2.000%, 09/01/24 | 5,977,950 |
2,924,000 | Ionis Pharmaceuticals, Inc.* |
|
| 0.125%, 12/15/24 | 2,933,181 |
See accompanying Notes to Schedule of Investments
6
3/2/2020 10:35 AM
![](https://capedge.com/proxy/NPORT-P/0001145549-20-019420/cvx5_nq7x1.jpg)
Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED)
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
2,395,000 | Neurocrine Biosciences, Inc. |
|
|
| 2.250%, 05/15/24 | $ | 3,473,013 |
4,550,000 | NuVasive, Inc. |
|
|
| 2.250%, 03/15/21 |
| 6,004,680 |
5,741,000 | Repligen Corp. |
|
|
| 0.375%, 07/15/24 |
| 6,436,522 |
1,500,000 | Sarepta Therapeutics, Inc. |
|
|
| 1.500%, 11/15/24 |
| 2,665,125 |
3,400,000 | Tabula Rasa HealthCare, Inc.*^ |
|
|
| 1.750%, 02/15/26 |
| 3,780,222 |
1,160,000 | Teladoc Health, Inc.^ |
|
|
| 1.375%, 05/15/25 |
| 2,366,238 |
|
|
| 80,359,223 |
| Industrials (2.4%) |
|
3,500,000 | Air Transport Services Group, Inc. |
|
| 1.125%, 10/15/24 | 3,332,052 |
3,300,000 | Atlas Air Worldwide Holdings, Inc. |
|
| 1.875%, 06/01/24 | 2,749,593 |
2,500,000 | Chart Industries, Inc.µ* |
|
| 1.000%, 11/15/24 | 3,178,438 |
2,625,000 | FTI Consulting, Inc.~ |
|
| 2.000%, 08/15/23 | 3,461,627 |
|
| 12,721,710 |
| Information Technology (41.8%) |
|
5,650,000 | 8x8, Inc.* |
|
| 0.500%, 02/01/24 | 5,705,794 |
1,345,000 | Advanced Micro Devices, Inc.µ |
|
| 2.125%, 09/01/26 | 7,952,218 |
6,265,000 | Akamai Technologies, Inc.µ^ |
|
| 0.125%, 05/01/25 | 7,226,897 |
| Alteryx, Inc.* |
|
3,611,000 | 0.500%, 08/01/24 | 3,870,848 |
3,250,000 | 1.000%, 08/01/26 | 3,505,889 |
7,250,000 | Coupa Software, Inc.µ*^ |
|
| 0.125%, 06/15/25 | 9,117,056 |
3,250,000 | CyberArk Software, Ltd.µ* |
|
| 0.000%, 11/15/24 | 3,633,273 |
3,450,000 | DocuSign, Inc. |
|
| 0.500%, 09/15/23 | 4,440,547 |
5,000,000 | Envestnet, Inc. |
|
| 1.750%, 06/01/23 | 6,449,425 |
3,250,000 | Everbridge, Inc.* |
|
| 0.125%, 12/15/24 | 3,455,351 |
5,000,000 | Guidewire Software, Inc. |
|
| 1.250%, 03/15/25 | 5,956,250 |
5,550,000 | II-VI, Inc. |
|
| 0.250%, 09/01/22 | 5,679,482 |
7,175,000 | Inphi Corp. |
|
| 0.750%, 09/01/21 | 10,366,906 |
6,250,000 | Lumentum Holdings, Inc.*^ |
|
| 0.500%, 12/15/26 | 6,604,812 |
12,000,000 | Microchip Technology, Inc.~ |
|
| 1.625%, 02/15/27 | 16,004,640 |
3,250,000 | MongoDB, Inc.* |
|
| 0.250%, 01/15/26 | 3,509,334 |
6,500,000 | Okta, Inc.* |
|
| 0.125%, 09/01/25 | 6,594,803 |
| ON Semiconductor Corp. |
|
6,010,000 | 1.000%, 12/01/20~ | 7,884,789 |
3,500,000 | 1.625%, 10/15/23^ | 4,671,083 |
14,250,000 | Palo Alto Networks, Inc.^ |
|
| 0.750%, 07/01/23 | 15,842,936 |
12,250,000 | Proofpoint, Inc.*~ |
|
| 0.250%, 08/15/24 | 13,031,366 |
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
3,250,000 | Q2 Holdings, Inc.*^ |
|
|
| 0.750%, 06/01/26 | $ | 3,919,646 |
1,992,000 | Rapid7, Inc. |
|
|
| 1.250%, 08/01/23 |
| 3,085,488 |
2,600,000 | Silicon Laboratories, Inc. |
|
|
| 1.375%, 03/01/22 |
| 3,129,113 |
13,725,000 | Splunk, Inc.~ |
|
|
| 0.500%, 09/15/23 |
| 16,802,076 |
8,150,000 | Square, Inc.^ |
|
|
| 0.500%, 05/15/23 |
| 9,836,602 |
1,750,000 | Twilio, Inc. |
|
|
| 0.250%, 06/01/23 |
| 3,205,799 |
3,500,000 | Viavi Solutions, Inc. |
|
|
| 1.750%, 06/01/23 |
| 4,214,525 |
5,250,000 | Wix.com, Ltd.^ |
|
|
| 0.000%, 07/01/23 |
| 6,516,668 |
8,500,000 | Workday, Inc. |
|
|
| 0.250%, 10/01/22 |
| 11,642,747 |
3,750,000 | Zendesk, Inc. |
|
|
| 0.250%, 03/15/23 |
| 5,591,644 |
|
|
| 219,448,007 |
| Real Estate (1.5%) |
|
2,750,000 | Extra Space Storage, LP* |
|
| 3.125%, 10/01/35 | 3,354,766 |
3,250,000 | IH Merger Sub, LLC |
|
| 3.500%, 01/15/22 | 4,551,040 |
|
| 7,905,806 |
| Utilities (0.8%) |
|
3,500,000 | NRG Energy, Inc. |
|
| 2.750%, 06/01/48 | 3,853,798 |
| TOTAL CONVERTIBLE BONDS |
|
| (Cost $491,754,865) | 502,357,920 |
BANK LOANS (2.6%)
| Communication Services (0.7%) |
|
246,851 | Charter Communications |
|
| Operating, LLC" |
|
| 3.400%, 04/30/25 |
|
| 1 mo. LIBOR + 1.75% | 248,510 |
349,125 | Clear Channel Outdoor Holdings, |
|
| Inc.! |
|
| 0.000%, 08/21/26 | 351,035 |
224,438 | CommScope, Inc." |
|
| 4.895%, 04/06/26 |
|
| 1 mo. LIBOR + 3.25% | 224,671 |
149,625 | CSC Holdings, LLC" |
|
| 4.176%, 04/15/27 |
|
| 1 mo. LIBOR + 2.50% | 150,467 |
224,438 | Cumulus Media New Holdings, |
|
| Inc." |
|
| 5.395%, 03/31/26 |
|
| 1 mo. LIBOR + 3.75% | 226,537 |
363,138 | Frontier Communications Corp." |
|
| 5.400%, 06/15/24 |
|
| 1 mo. LIBOR + 3.75% | 367,323 |
500,918 | iHeartCommunications, Inc." |
|
| 5.781%, 05/01/26 |
|
| 1 mo. LIBOR + 4.00% | 502,232 |
275,000 | iHeartCommunications, Inc.! |
|
| 0.000%, 05/01/26 | 275,000 |
645,600 | Intelsat Jackson Holdings, SA |
|
| 6.625%, 01/02/24 | 653,786 |
See accompanying Notes to Schedule of Investments
7
3/2/2020 10:35 AM
![](https://capedge.com/proxy/NPORT-P/0001145549-20-019420/cvx5_nq8x1.jpg)
Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED)
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
298,329 | Intelsat Jackson Holdings, SA" |
|
|
| 6.305%, 01/02/24 |
|
|
| 6 mo. LIBOR + 4.50% | $ | 302,058 |
325,000 | Terrier Media Buyer, Inc." |
|
|
| 6.148%, 12/17/26 |
|
|
| 3 mo. LIBOR + 4.25% |
| 328,169 |
|
|
| 3,629,788 |
| Consumer Discretionary (0.4%) |
|
263,652 | Michaels Stores, Inc." |
|
| 4.153%, 01/30/23 |
|
| 1 mo. LIBOR + 2.50% | 255,281 |
954,468 | PetSmart, Inc." |
|
| 5.670%, 03/11/22 |
|
| 1 mo. LIBOR + 4.00% | 953,638 |
508,722 | Staples, Inc." |
|
| 6.781%, 04/16/26 |
|
| 1 mo. LIBOR + 5.00% | 500,921 |
584,545 | Weight Watchers International, |
|
| Inc." |
|
| 6.720%, 11/29/24 |
|
| 3 mo. LIBOR + 4.75% | 585,460 |
|
| 2,295,300 |
| Energy (0.2%) |
|
200,000 | Buckeye Partners, LP" |
|
| 4.531%, 11/01/26 |
|
| 1 mo. LIBOR + 2.75% | 202,042 |
200,000 | Epic Crude Services, LP" |
|
| 7.040%, 03/02/26 |
|
| 6 mo. LIBOR + 5.00% | 194,500 |
359,545 | McDermott Technology Americas, |
|
| Inc." |
|
| 6.945%, 05/09/25 |
|
| 3 mo. LIBOR + 5.00% | 225,165 |
84,830 | McDermott Technology Americas, |
|
| Inc." |
|
| 7.484%, 10/21/21 |
|
| 3 mo. LIBOR + 10.00% | 92,252 |
312,500 | Par Pacific Holdings, Inc." |
|
| 8.600%, 01/12/26 |
|
| 3 mo. LIBOR + 6.75% | 314,844 |
|
| 1,028,803 |
| Financials (0.1%) |
|
625,000 | Connect Finco Sarl! |
|
| 0.000%, 12/11/26 | 629,931 |
182,321 | GLP Financing, LLC" |
|
| 3.281%, 04/28/21 |
|
| 1 mo. LIBOR + 1.50% | 182,094 |
|
| 812,025 |
| Health Care (0.6%) |
|
689,338 | Amneal Pharmaceuticals, LLC" |
|
| 5.188%, 05/04/25 |
|
| 1 mo. LIBOR + 3.50% | 633,619 |
593,333 | Bausch Health Cos., Inc." |
|
| 4.670%, 06/02/25 |
|
| 1 mo. LIBOR + 3.00% | 596,486 |
212,500 | Bausch Health Cos., Inc." |
|
| 4.420%, 11/27/25 |
|
| 1 mo. LIBOR + 2.75% | 213,504 |
457,644 | Gentiva Health Services, Inc." |
|
| 5.069%, 07/02/25 |
|
| 3 mo. LIBOR + 3.25% | 459,933 |
PRINCIPAL |
|
|
|
AMOUNT |
|
| VALUE |
303,186 | Mallinckrodt International Finance, |
|
|
| SA" |
|
|
| 4.695%, 09/24/24 |
|
|
| 3 mo. LIBOR + 2.75% | $ | 254,790 |
337,750 | Ortho Clinical Diagnostics, SA" |
|
|
| 5.013%, 06/30/25 |
|
|
| 1 mo. LIBOR + 3.25% |
| 334,794 |
638,180 | Team Health Holdings, Inc." |
|
|
| 4.395%, 02/06/24 |
|
|
| 1 mo. LIBOR + 2.75% |
| 513,435 |
|
|
| 3,006,561 |
| Industrials (0.4%) |
|
140,000 | Allsup's Convenience Stores, |
|
| Inc." |
|
| 7.910%, 11/18/24 |
|
| 1 mo. LIBOR + 6.25% | 140,700 |
497,500 | Berry Global, Inc." |
|
| 3.781%, 07/01/26 |
|
| 1 mo. LIBOR + 2.00% | 500,298 |
285,000 | Dun & Bradstreet Corp." |
|
| 6.661%, 02/06/26 |
|
| 1 mo. LIBOR + 5.00% | 287,031 |
209,475 | Granite Holdings US Acquisition |
|
| Co." |
|
| 7.211%, 09/30/26 |
|
| 3 mo. LIBOR + 5.25% | 209,737 |
357,266 | Navistar International Corp." |
|
| 5.170%, 11/06/24 |
|
| 1 mo. LIBOR + 3.50% | 358,784 |
219,331 | RegionalCare Hospital Partners |
|
| Holdings, Inc." |
|
| 5.395%, 11/17/25 |
|
| 1 mo. LIBOR + 3.75% | 220,739 |
450,000 | Scientific Games International, |
|
| Inc.! |
|
| 0.000%, 08/14/24 | 449,438 |
69,470 | TransDigm, Inc." |
|
| 4.145%, 06/09/23 |
|
| 1 mo. LIBOR + 2.50% | 69,513 |
|
| 2,236,240 |
| Information Technology (0.2%) |
|
326,700 | BMC Software Finance, Inc." |
|
| 5.895%, 10/02/25 |
|
| 1 mo. LIBOR + 4.25% | 322,415 |
335,000 | Camelot U.S. Acquisition 1 Co." |
|
| 4.895%, 10/31/26 |
|
| 1 mo. LIBOR + 3.25% | 337,303 |
341,139 | VFH Parent, LLC" |
|
| 5.263%, 03/01/26 |
|
| 1 mo. LIBOR + 3.50% | 342,847 |
|
| 1,002,565 |
| TOTAL BANK LOANS |
|
| (Cost $14,234,008) | 14,011,282 |
NUMBER OF |
|
|
SHARES |
| VALUE |
CONVERTIBLE PREFERRED STOCKS (22.9%) |
| |
| Consumer Staples (0.6%) |
|
31,645 | Energizer Holdings, Inc. |
|
| 7.500%, 01/15/22 | 3,146,779 |
See accompanying Notes to Schedule of Investments
8
3/2/2020 10:35 AM
![](https://capedge.com/proxy/NPORT-P/0001145549-20-019420/cvx5_nq9x1.jpg)
Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED)
NUMBER OF |
|
|
|
SHARES |
|
| VALUE |
| Energy (0.3%) |
|
|
| NuStar Energy, LP" |
|
|
26,860 | 8.500%, 12/15/21 |
|
|
| 3 mo. USD LIBOR + 6.77% | $ | 663,442 |
15,000 | 7.625%, 06/15/22 |
|
|
| 3 mo. USD LIBOR + 5.64% |
| 340,950 |
12,000 | NuStar Logistics, LP" |
|
|
| 8.565%, 01/15/43 |
|
|
| 3 mo. USD LIBOR + 6.73% |
| 317,640 |
|
|
| 1,322,032 |
| Financials (5.8%) |
|
104,000 | AMG Capital Trust II~ |
|
| 5.150%, 10/15/37 | 4,953,208 |
28,700 | Assurant, Inc.µ |
|
| 6.500%, 03/15/21 | 3,687,950 |
4,000 | Bank of America Corp."" |
|
| 7.250% | 6,290,800 |
10,190 | Wells Fargo & Company~"" |
|
| 7.500% | 15,749,256 |
|
| 30,681,214 |
| Health Care (2.5%) |
|
103,500 | Becton Dickinson and Companyµ |
|
| 6.125%, 05/01/20 | 6,784,425 |
5,275 | Danaher Corp.µ |
|
| 4.750%, 04/15/22 | 6,441,514 |
|
| 13,225,939 |
| Industrials (3.1%) |
|
9,615 | Fortive Corp.~ |
|
| 5.000%, 07/01/21 | 9,265,014 |
65,335 | Stanley Black & Decker, Inc. |
|
| 5.250%, 11/15/22 | 6,859,522 |
|
| 16,124,536 |
| Information Technology (2.7%) |
|
12,200 | Broadcom, Inc.µ |
|
| 8.000%, 09/30/22 | 14,012,920 |
| Real Estate (1.5%) |
|
5,900 | Crown Castle International Corp.µ |
|
| 6.875%, 08/01/20 | 7,851,956 |
| Utilities (6.4%) |
|
120,985 | American Electric Power |
|
| Company, Inc.µ |
|
| 6.125%, 03/15/22 | 7,017,130 |
61,000 | CenterPoint Energy, Inc. (Warner |
|
| Media, LLC, Charter |
|
| Communications Time, Inc.)µ**§ |
|
| 4.516%, 09/15/29 | 3,698,643 |
44,190 | Dominion Energy, Inc. |
|
| 7.250%, 06/01/22 | 4,848,969 |
60,680 | DTE Energy Company |
|
| 6.250%, 11/01/22 | 3,111,064 |
123,080 | NextEra Energy, Inc. |
|
| 4.872%, 09/01/22 | 6,723,860 |
| Sempra Energy |
|
34,400 | 6.750%, 07/15/21 | 4,301,376 |
NUMBER OF |
|
|
SHARES |
| VALUE |
31,500 | 6.000%, 01/15/21 | $ 3,988,215 |
|
| 33,689,257 |
| TOTAL CONVERTIBLE |
|
| PREFERRED STOCKS |
|
| (Cost $114,499,040) | 120,054,633 |
COMMON STOCKS (3.2%)
| Communication Services (0.0%) |
|
1,943 | Cumulus Media, Inc. - Class A# | 27,202 |
| Energy (0.4%) |
|
525 | Chevron Corp. | 56,249 |
16,600 | Energy Transfer, LP | 208,994 |
19,925 | Enterprise Products Partners, LP | 513,467 |
3,850 | GasLog, Ltd. | 24,948 |
5,025 | Magellan Midstream Partners, LP | 308,434 |
1,960 | Schlumberger, Ltd. | 65,680 |
328,423 | Southwestern Energy Company^# | 515,624 |
7,365 | Targa Resources Corp.^ | 268,822 |
4,325 | Weatherford International, PLC^# | 123,263 |
2,400 | Williams Companies, Inc. | 49,656 |
|
| 2,135,137 |
| Health Care (2.8%) |
|
78,079 | Allergan, PLC | 14,572,664 |
| TOTAL COMMON STOCKS |
|
| (Cost $31,506,290) | 16,735,003 |
EXCHANGE-TRADED FUND (0.2%)
| Other (0.2%) |
|
9,766 | SPDR Bloomberg Barclays High |
|
| Yield Bond ETF |
|
| (Cost $1,092,034) | 1,064,885 |
NUMBER OF |
|
|
CONTRACTS/ |
|
|
NOTIONAL |
|
|
AMOUNT |
| VALUE |
PURCHASED OPTIONS (0.7%) # |
| |
| Consumer Discretionary (0.3%) |
|
300 | Alibaba Group Holding, Ltd. |
|
6,197,700 | Call, 06/19/20, Strike $220.00 | 316,500 |
33 | Amazon.com, Inc. |
|
6,628,776 | Call, 01/15/21, Strike $1,900.00 | 924,660 |
| Tesla, Inc. |
|
135 |
|
|
8,782,695 | Put, 03/20/20, Strike $450.00 | 42,863 |
90 |
|
|
5,855,130 | Put, 03/20/20, Strike $500.00 | 58,500 |
|
| 1,342,523 |
| Financials (0.0%) |
|
2,450 | Wells Fargo & Company |
|
11,500,300 | Call, 01/15/21, Strike $55.00 | 224,175 |
Information Technology (0.4%)
125 | Lam Research Corp. |
|
3,727,625 | Call, 01/15/21, Strike $300.00 | 476,562 |
1,165 | Micron Technology, Inc. |
|
6,184,985 | Call, 06/19/20, Strike $57.50 | 442,700 |
See accompanying Notes to Schedule of Investments
9
3/2/2020 10:35 AM
![](https://capedge.com/proxy/NPORT-P/0001145549-20-019420/cvx5_nq10x1.jpg)
Calamos Dynamic Convertible and Income Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2020 (UNAUDITED)
NUMBER OF |
|
|
|
CONTRACTS/ |
|
|
|
NOTIONAL |
|
|
|
AMOUNT |
|
| VALUE |
320 | Servicenow, Inc. |
|
|
10,823,360 | Call, 08/21/20, Strike $340.00 | $ | 1,104,000 |
|
|
| 2,023,262 |
| TOTAL PURCHASED OPTIONS |
|
|
| (Cost $4,764,743) |
| 3,589,960 |
NUMBER OF |
|
|
|
SHARES |
|
| VALUE |
SHORT TERM INVESTMENTS (3.4%) |
|
| |
8,904,636 | Fidelity Prime Money Market Fund |
| |
| - Institutional Class, 1.660%*** |
| 8,909,088 |
8,881,793 | Morgan Stanley Institutional |
|
|
| Liquidity Funds - Government |
|
|
| Portfolio, 1.480%*** |
| 8,881,793 |
| TOTAL SHORT TERM |
|
|
| INVESTMENTS |
|
|
| (Cost $17,790,597) |
| 17,790,881 |
TOTAL INVESTMENTS (148.2%) |
|
| |
(Cost $779,037,925) |
| 777,853,384 | |
MANDATORY REDEEMABLE PREFERRED |
|
| |
SHARES, AT LIQUIDATION VALUE (-12.2%) |
| (64,000,000) | |
LIABILITIES, LESS OTHER ASSETS¡ (-36.0%) |
| (188,954,958) | |
NET ASSETS (100.0%) | $ | 524,898,426 | |
NUMBER OF |
|
|
|
CONTRACTS/ |
|
|
|
NOTIONAL |
|
|
|
AMOUNT |
|
| VALUE |
WRITTEN OPTION (-0.2%) # |
|
| |
| Consumer Discretionary (-0.2%) |
|
|
120 | Tesla, Inc. |
|
|
7,806,840 | Call, 03/20/20, Strike $600.00 |
|
|
| (Premium $330,981) |
| (937,200) |
"Variable rate security. The rate shown is the rate in effect at January 31, 2020.
&Illiquid security.
!This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon
rate, which will be adjusted on settlement date.
""Perpetual maturity.
**Step coupon security. Coupon changes periodically based
upon a predetermined schedule. The rate shown is the rate in effect at January 31, 2020.
§Securities exchangeable or convertible into securities of one
or more entities that are different than the issuer. Each entity is identified in the parenthetical.
#Non-income producing security.
***The rate disclosed is the 7 day net yield as of January 31, 2020.
¡As of January 31, 2020, the value of unfunded loan commitments was $57,658 for the Fund. See Notes to Schedule of Investments.
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. 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.
NOTES TO SCHEDULE OF INVESTMENTS
µSecurity, or portion of security, is held in a segregated account as collateral for note payable aggregating a total
value of $101,536,998.
*Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers ("QIBs"), such as the Fund. Any resale of these securities must
generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.
^Security, or portion of security, is on loan.
@In default status and considered non-income producing.
~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 $24,032,734.
See accompanying Notes to Schedule of Investments
10
3/2/2020 10:35 AM
Note 1 – Organization and Significant Accounting Policies
Organization. Calamos Dynamic Convertible and Income Fund (the "Fund") was organized as a Delaware statutory trust on March 11, 2014 and is registered under the Investment Company Act of 1940 (the "1940 Act") as a diversified, closed-end management investment company. The Fund commenced operations on March 27, 2015.
The Fund's investment strategy is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest primarily in a portfolio of convertible securities (including synthetic convertibles, which are single instruments, or multiple instruments held in concert, that are composed of two or more securities with investment characteristics that, when taken together, resemble those of traditional convertible securities) and debt and equity income-producing securities, as well as other investments that generate current income and dividends, including but not limited to common and preferred stocks, investment grade and below investment grade (high-yield or "junk") bonds, loans, equity-linked notes, and floating rate securities (referred to throughout as "income-producing securities"). Under normal circumstances, at least 80% of the Fund's managed assets will be invested in convertible securities and income-producing securities, with at least 50% of the Fund's managed assets invested in convertible securities (including synthetic convertible securities, which are single instruments, or multiple instruments held in concert, that are composed of two or more securities with investment characteristics that, when taken together, resemble those of traditional convertible securities). The Fund may invest up to 50%of its managed assets in securities of foreign issuers, with up to 15% of its managed assets in securities issued by foreign issuers in emerging markets. The Fund may invest up to 20% of its managed assets in high-yield non-convertible bonds (excluding such securities held to create synthetic convertible securities). In addition, the Fund may invest all or substantially all of its managed assets in below investment grade convertible securities (including non-convertible securities held to create synthetic convertible securities); provided that, the Fund may invest up to 15% of its managed assets in convertible and non-convertible securities rated below B3 by Moody's or below B- by Standard & Poor's. As such, the Fund's portfolio may at times consist entirely or primarily of below investment grade securities, including high-yield bonds. The Fund may invest up to 15% of its managed assets in illiquid securities. The Fund may invest up to 10% of its managed assets in the equity securities of REITs and up to 10% of its managed assets in the equity securities of MLPs; however, convertible securities are excluded from each of these limitations. The Fund may invest in securities with a broad range of maturities. "Managed assets" means the Fund's total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).
Significant Accounting Policies. The schedule of investments have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:
Fund Valuation. The valuation of the Fund's investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each Fund determines its net asset value ("NAV"). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the- counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange ("NYSE") is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund's NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.
The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund's pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund's net asset value ("NAV").
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
Note 2 – Investments
The cost basis of investments (excluding Investments of Collateral for Securities on Loan) for federal income tax purposes at January 31, 2020 was as follows*:
Cost basis of investments | $763,202,732 |
Gross unrealized appreciation | 52,407,778 |
Gross unrealized depreciation | (38,694,326) |
Net unrealized appreciation (depreciation) | $13,713,452 |
*Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent semi-annual or annual report.
Note 3 – Mandatory Redeemable Preferred Shares
On September 6, 2017, the Fund issued 2,560,000 mandatory redeemable preferred shares ("MRPS") with an aggregate liquidation preference of $64.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations.
The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at January 31, 2020.
| Term |
|
|
|
|
Series | Redemption Date | Dividend Rate | Shares (000's) | Liquidation Preference Per Share | Aggregate Liquidation Preference |
Series A | 9/06/22 | 3.70% | 850 | $25 | $21,250,000 |
Series B | 9/06/24 | 4.00% | 850 | $25 | $21,250,000 |
Series C | 9/06/27 | 4.24% | 860 | $25 | $21,500,000 |
|
|
|
| Total | $64,000,000 |
The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.
Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated "AA" by Fitch Ratings, Inc. ("Fitch"). If on the first day of a monthly dividend period the MRPS of any class are rated lower than "A" by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund), the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS' dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms 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.
The MRPS rank junior to the Fund's borrowings under the SSB Agreement and senior to the Fund's outstanding common stock. The Fund may, at its option, subject to various terms and conditions, redeem the MRPS, in whole or in part, at the liquidation preference amount plus all accumulated but unpaid dividends, plus a make whole premium equal to the discounted value of the remaining scheduled payments. Each class of MRPS is subject to mandatory redemption on the term redemption date specified in the table above. Periodically, the Fund is subject to an overcollateralization test based on applicable rating agency criteria (the "OC Test") and an asset coverage test with respect to its outstanding senior securities (the "AC Test"). The Fund may be required to redeem MRPS before their term redemption date if it does not comply with one or both tests. So long as any MRPS are outstanding, the Fund may not declare, pay or set aside for payment cash dividends or other distributions on shares of its common stock unless (1) the Fund has satisfied the OC Test on at least one testing date in the preceding 65 days, (2) immediately after such transaction, the Fund would comply with the AC Test, (3) full cumulative dividends on the MRPS due on or prior to the date of such transaction have been declared and paid and (4) the Fund has redeemed all MRPS required to have been redeemed on such date or has deposited funds sufficient for such redemption, subject to certain grace periods and exceptions.
Except as otherwise required pursuant to the Fund's governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.