TIMELY INFORMATION INSIDE

Convertible Opportunities and Income Fund (CHI)

Annual REPORT October 31, 2022

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Experience and Foresight

Our Managed Distribution Policy

Closed-end fund investors often seek a steady stream of income. Recognizing this important need, Calamos closed-end funds adhere to a managed distribution policy in which we aim to provide consistent monthly distributions through the disbursement of the following:

•Net investment income

•Net realized short-term capital gains

•Net realized long-term capital gains

•And, if necessary, return of capital

We set distributions at levels that we believe are sustainable for the long term. Our team focuses on delivering an attractive monthly distribution, while maintaining a long-term emphasis on risk management. The level of the Fund’s distribution can be greatly influenced by market conditions, including the interest rate environment, the individual performance of securities held by the Fund, our view of retaining leverage, Fund tax considerations, and regulatory requirements.

You should not draw any conclusions about the Fund’s investment performance from the amount of its distribution or from the terms of the Fund’s plan. The Fund’s Board of Trustees may amend or terminate the managed distribution policy at any time without prior notice to the Fund’s shareholders.

For more information about any Calamos closed-end funds, we encourage you to contact your investment professional or Calamos Investments at 800.582.6959 (Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time). You can also visit us at www.calamos.com.

Note: The Fund adopted a managed distribution policy on January 1, 2018.

TABLE OF CONTENTS

Maximizing Investment with an Automatic Dividend Reinvestment Plan

Calamos is committed to helping shareholders maximize the opportunities of our closed-end funds. The Automatic Dividend Reinvestment Plan offers a simple, cost-efficient and convenient way to reinvest your dividends and capital gains distributions in additional shares of the Fund, allowing you to increase your investment in the Fund. If shares are trading at a premium to NAV, you will purchase shares at lower-than-market price. For more information, please see page 67.

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT   1

John P. calamos, sr.

Founder, Chairman,
and Global Chief
Investment Officer

Dear Fellow Shareholder:

Welcome to your annual report for the 12 months ending October 31, 2022. In this report, you will find commentary from our portfolio management teams, a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and positioning of Calamos Convertible Opportunities and Income Fund (CHI). Global markets have faced many challenges over the reporting period, and we understand investors have questions. Our team has sought to address the key topics in the markets and clarify how they have influenced the Fund, and it is our hope that you find this report informative. In these challenging times, we believe that CHI’s multi-asset approach continues to offer a compelling enhanced fixed income strategy for investors seeking current income.

Investing through periods of rapid change is never easy, but it’s important to maintain a long-term perspective. When markets are volatile and economic conditions are uncertain, many investors find it difficult to stay invested. During my more than 50 years as an investor, I have learned that there are opportunities in all economic environments for active investors who follow disciplined processes. Especially during challenging markets, it’s helpful to remember that market volatility and economic uncertainty are always part of the investment landscape—but short-term volatility sets the stage for long-term opportunities. For example, our team seeks to use short-term sell-offs to actively rebalance the Fund to gain exposure to investments with compelling long-term potential.

Market Review

During the 12-month reporting period, heightened investor anxiety buffeted global markets. Market participants worried about the Federal Reserve’s interest rate increases, inflation, recessionary pressures, fiscal policy and geopolitical uncertainty. Although unemployment remained low in the US, well-publicized layoffs began to make their way into the headlines, and corporate earnings expectations started to decline as companies confronted inflation and an array of unknowns related to regulations and taxes. Investors who were long accustomed to abnormally low interest rates faced a new reality: As the Fed dug into its tightening cycle and global central banks followed suit, the yield of

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the US 10-year Treasury crossed 4% for the first time since 2010. Although conditions began to stabilize as the reporting period closed—particularly for smaller-cap stocks—major equity, fixed income and convertible market benchmarks closed the reporting period with losses.

Outlook

There are times when macro or geopolitical concerns—such as Fed policy, inflation or the war in Ukraine—drive most of the market’s activity. This is the sort of environment we find ourselves in today. We expect heightened volatility as markets seek clarity about whether a recession is indeed on the horizon or has perhaps already begun. In the US, the fiscal policy backdrop remains uncertain, which is likely to contribute to volatility as market participants pay increasing attention to the 2024 election.

We remain highly attuned to potential risks—monetary policy errors and geopolitics are top of mind. Fiscal policy in the United States will be highly consequential for the markets and the economy. Business confidence is flagging, with real implications not only for corporate profits but also for individuals. Regulations that unduly disincentivize entrepreneurial activity create headwinds that may be felt by businesses first but eventually ripple into households. Policies that encourage unchecked and excessive demand without a corresponding increase in supply ultimately come home to roost, as evidenced by the inflation we see today.

Here’s another important point: despite the big-picture challenges and uncertainties, over the long term, fundamentals win out. CHI does not invest in the broad economy or in markets as a whole. Rather, our team is focused on managing risk and on identifying individual securities that offer compelling risk-and-reward characteristics. Our investment professionals are looking through the short-term noise to identify pockets of opportunity—including among innovative companies with quality fundamentals, those in thematic niches, and those that can demonstrate long-term resilience regardless of the macro backdrop. In a rising interest rate environment, price-to-earnings multiples can come down even if earnings are good, so our team remains particularly mindful of valuations.

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Innovative Multi-Asset Approach Supports the Search for Steady, Attractive Income

Our experience with closed-end funds dates back to 2002, and we have always recognized that many investors choose closed-end funds to support their search for income. Like all our closed-end funds, CHI is managed with the goal of providing steady (although not assured) monthly distributions. We believe our innovative approach will be an especially important differentiator given the unusual economic and market environment we find ourselves in.

We employ a managed distribution policy within this Fund with the goal of providing shareholders with a consistent and attractive distribution stream. As of October 31, 2022, the monthly per share distribution rate was $0.0950, and the annualized distribution rate was 10.58%^† on market price. Although interest rates rose sharply during the annual period with the yield on the 10-year Treasury rising from 1.55% to 4.10%, rates remain modest in absolute terms historically, and negative in real terms (below the rate of inflation). This was true more so for the dividend yield on the S&P 500 Index, which stood at 1.69%. Therefore, the Fund’s annualized distribution rate soundly outdistances both fixed income and equity alternatives.

Moreover, the Fund had no return of capital associated with distributions in 2021, and there were no estimated return of capital components for fiscal year 2022 as of October 31, 2022.

Conclusion

As always, thank you for your trust. We are honored to serve you and help you achieve your asset allocation goals. I invite you to visit our website, www.calamos.com, for ongoing updates about the markets and thought leadership from our team. We also provide information about asset allocation strategies for investors seeking income, capital appreciation, or both.

Sincerely,

John P. Calamos, Sr.
Founder, Chairman, and Global Chief Investment Officer

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In our closed-end funds, we draw upon decades of investment experience, including a long history of opportunistically blending asset classes in an attempt to capture upside potential while seeking to manage downside risk. We launched our first closed-end fund in 2002.

Closed-end funds are long-term investments. Most focus on providing monthly distributions, but there are important differences among individual closed-end funds. Calamos closed-end funds can be grouped into multiple categories that seek to produce income while offering exposure to various asset classes and sectors.

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GROWTH OF $10,000: for the 10-year period ended 10/31/22

AVERAGE ANNUAL TOTAL RETURN^† AS OF 10/31/22

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gain distributions. Source: State Street Corporation and Morningstar Direct.

† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

NOTES:

The graphs do not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends.

The 50%VXAO-50%BBGUSHY2%Cap Index is blended from 50% - ICE BofA Convertibles Index (VXA0) and 50% - Bloomberg US Corp HY 2% Issuer Cap Bond Index.

The ICE BofA All US Convertibles Index is comprised of approximately 700 issues of only convertible bonds and preferreds of all qualities.

The Bloomberg US Corporate High Yield 2% Issuer Capped Index measures the performance of high-yield corporate bonds with a maximum allocation of 2% to any one issuer.

Index returns assume reinvestment of dividends and do not reflect deduction of fees and expenses. It is not possible to invest directly in an index.

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT   7

Summary of Fund Expenses

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The example should not be considered a representation of future expenses. Actual expenses may be greater or less than those assumed. Moreover, our actual rate of return may be greater or less than the hypothetical 5% return shown in the example.

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10   CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT

TOTAL RETURN*

SECTOR WEIGHTINGS

Sector weightings are based on managed assets and may vary over time. Sector Weightings exclude any government/sovereign bonds or options on broad market indexes the Fund may hold.

CONVERTIBLE OPPORTUNITIES AND
INCOME FUND (CHI)

INVESTMENT TEAM DISCUSSION

Please discuss the Fund’s strategy and role within an asset allocation.

Calamos Convertible Opportunities and Income Fund (CHI) is an enhanced fixed income offering that seeks total return through a combination of capital appreciation and current income. It provides an alternative to funds investing exclusively in investment grade fixed income instruments and seeks to be less sensitive to interest rate moves. Like all Calamos closed-end funds, the Fund invests in multiple asset classes and aims to provide a steady stream of distributions that are paid monthly.

The Fund invests in a diversified portfolio of convertible securities and high yield bonds. The allocation to each asset class is dynamic and reflects our view of the economic landscape, as well as the potential of individual securities. By utilizing these asset classes in combination, we believe the Fund is well positioned to generate capital gains and income. The broader range of security types also provides increased opportunities to manage the risk/reward characteristics of the portfolio over full market cycles.

We seek companies with respectable balance sheets, reliable debt servicing and good prospects for sustainable growth. We are also investing in cyclical companies poised to perform well in a post-pandemic environment, with earnings expansion potential resulting from pent-up consumer demand. Although we invest primarily in securities of US issuers, we favor companies that are actively participating in markets with geographically diversified revenue streams and global-scale business strategies.

Given the heightened market volatility, we prefer convertibles with balanced risk/reward attributes, while maintaining an underweight to the most equity-sensitive convertibles, which generally lack favorable downside risk mitigation characteristics.

How did the Fund perform over the annual period?

The Fund returned -27.32% on a net asset value (NAV) basis and -25.10% on a market price basis for the 12 months ended October 31, 2022 (“annual period”) versus -15.92% for the comparator index comprising 50% ICE BofA All US Convertibles Index and 50% Bloomberg US Corporate High Yield 2% Issuer Capped Index for the same period. At the end of the annual period, the Fund’s shares traded at a 5.17% premium to the NAV.

How do NAV and market price returns differ?

Closed-end funds trade on exchanges, where factors other than the value of underlying securities may drive the price of shares. The share price in the market is called the market value. Factors unrelated to the performance of the Fund’s holdings, such as general market sentiment or future expectations, may influence market price. A fund’s NAV return measures the actual return of the individual securities in the portfolio, less fund expenses; it also measures how a portfolio manager was able to capitalize on market opportunities. Because we believe closed-end funds are best used long term within asset allocations, we think NAV return is the better measure of a fund’s performance. However, when managing the Fund, we strongly consider actions and policies that have the potential to optimize overall price performance and returns based on market value.

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT   11

Please discuss the Fund’s distributions during the annual period.

We employ a managed distribution policy within this Fund with the goal of providing shareholders a consistent distribution stream. The Fund’s monthly distribution rate at the end of the period was $0.0950 per share. The annualized distribution rate on the Fund’s market price on October 31, 2022, was 10.58%.

The Fund had no return of capital associated with distributions in 2021, nor has there been any estimated return of capital components for fiscal year 2022, as of October 31, 2022.

We believe both the Fund’s distribution rate and level remained attractive and competitive, given that low interest rates limit yield opportunities in much of the marketplace. For example, as of October 31, 2022, the dividend yield of S&P 500 Index stocks averaged 1.69%. Yields were also still relatively low within the US government bond market, with the 10-year US Treasury yielding 4.10%.

What factors influenced performance over the annual period?

Our convertible bond holdings performed in line with the ICE BofA Convertible Bond Index because our holdings in the information technology and real estate sectors were helpful to performance. However, our holdings in utilities and health care were a drag on performance.

The convertible and equity markets were challenged during the annual period by recession concerns, inflation, elevated oil prices, rising interest rates, and supply chain disruptions inflicted by the Covid-19 pandemic. Against this volatile backdrop, the US convertible market, represented by the ICE BofA All US Convertibles Index, declined -20.26% and lagged behind the S&P 500 Index return of -14.61%. Convertible bond issuance also significantly declined during the period as the volatility dampened capital market activity. Overall declines in the convertible bond market contributed to the Fund’s negative returns over the period.

The convertible market is well represented by small and mid-sized growth issuers. The annual period was especially challenging for these issuers, as evidenced by the -27.38% decline of the Russell 2500 Growth Index. Given the underlying stocks of the

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 10/31/22

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost. Returns at NAV reflect the deduction of the Fund’s management fee, debt leverage costs and all other applicable fees and expenses. You can obtain performance data current to the most recent month end by visiting www.calamos.com.

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convertible market declined -34.50%, convertibles provided downside mitigation by participating in only 58% of the decline of their underlying stocks. The equity market decline also meant convertibles moved closer to their bond floor.

Our high yield bond holdings slightly outperformed relative to the Bloomberg US High Yield 2% Issuer Capped Index. Selection in the energy and financials sectors contributed to results, whereas our selection in the materials and health care sectors did not.

After beginning the annual period near historic all-time highs, high yield spreads reached local wide levels near 600 basis points over like-maturity Treasuries in June. Since then, the market has settled into a trading range of 400–550 basis points over the last few months. Despite spreads that do not indicate particularly high stress or default expectations, issuance volumes have dropped precipitously in recent months because borrowers are less eager to lock in funding at higher rates. The Bloomberg US High Yield 2% Issuer Capped Index closed the annual period with option-adjusted spreads at 466 basis points over like-maturity Treasuries and a yield of 9.13%.

Performance across credit quality during the annual period was mixed, with B-rated issuers returning 10.8%, whereas BB-rated paper returned -11.7%, and CCC-rated issuers delivered returns of 15.5%. At the beginning of the annual period, the trailing 12-month default rate was 0.4%, near all-time lows. At the end of the annual period, default rates had increased to 1.6%, still well below the long-term average of 3%.

Other factors that contributed and detracted from Fund performance included the following:

•Despite our relatively low financing costs over the period, our use of leverage was not helpful because our reinvestment rate was less than our associated costs due to overall convertible market declines. Although leverage can enhance returns during favorable markets, the opposite may occur during unfavorable conditions. Our leverage was approximately 38%, as of October 31, 2022.

•On an unleveraged basis, the portfolio underperformed that of the comparator index. Our relative overweight in convertibles and underweight in corporate bonds relative to the comparator index hindered performance.

•Our use of options and exposure to Treasury bonds was beneficial relative to the comparator index.

•From a sector standpoint, our underweight and selection in real estate, notably in real estate services, contributed to performance. In addition, the Fund was helped by its selection in the materials sector, where steel-related companies boosted returns.

•Conversely, our selection in the health care sector, namely in life sciences tools and services, was detrimental to performance. In addition, our selection and overweight in the consumer discretionary sector, specifically in the home furnishing retail industry, detracted from performance relative to the comparator index.

How is the Fund positioned?

As of October 31, 2022, approximately 64% of our portfolio as a percent of net assets was invested in convertible securities. We believe this positioning will enable our shareholders to take advantage of selective opportunities in the general equity

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT   13

markets. Long term, we believe patient investors will be rewarded by an allocation to convertibles and select high yield bonds at current levels that may offer attractive valuations, especially given the potential for higher interest rates and increased volatility moving into 2023.

During this environment of uncertainty and volatility, we remain focused on managing the risk/reward trade-offs within the portfolio. Convertibles are hybrid securities that can act like equities or bonds, depending on market movements. Although the asset class is diversified across market caps and sectors, small- and mid-cap companies are well represented, as we mentioned earlier. And equity valuations have declined markedly among small and mid caps, including many companies that issued convertibles to fund their growth initiatives. To take advantage of the reset in the equity markets, we have maintained our emphasis on balanced convertibles with favorable asymmetric risk/reward profiles. Because this segment offers a healthy blend of equity and fixed income characteristics, balanced convertibles can provide upside equity participation while potentially dampening downside volatility.

Additionally, because credit spreads have widened across fixed income markets, we have selectively invested in convertibles with more pronounced fixed income attributes (“busted convertibles”) that we believe can benefit from spread improvement and provide a positive yield to maturity. However, consistent with our focus on risk management, we avoid the most distressed portion of the busted convertibles market.

Growth sectors such as technology, health care and consumer discretionary remain the largest allocations in the portfolio. We favor companies that are executing well despite macro uncertainties and that can potentially benefit from increased demand for products and services that enhance productivity to offset rising corporate costs. We are also emphasizing companies positioned to benefit from longer-term secular themes such as energy efficiency and cybersecurity. Financials are the largest relative underweight in the Fund. Convertible structures in the sector tend to have unfavorable risk/reward characteristics, and many issuers are susceptible to the negative impact of higher interest rates.

The portfolio’s largest relative underweight exposures are toward defensive areas, such as the real estate and consumer staples sectors, where we believe convertible structures are less attractive.

Although new issuance in the convertible universe has slowed, we still see ample investment opportunities that offer attractive risk/reward profiles. We continue to maintain significant positions in convertible securities, which we believe will provide income, benefit from a rising equity market, be less susceptible to rising interest rates than longer-duration bonds, and manage overall portfolio risk.

We continue to hold our largest rated-bond allocations in the BB tier. We believe this exposure will offer investors a better risk/reward dynamic while providing regular income. The average credit quality of the portfolio in BB-rated bonds is higher than that of the ICE BofA All US Convertibles Index. This is typical for the Fund because our credit process tends to guide us away from the most speculative corporate securities while still providing regular income. That said, we do selectively invest in lower-credit securities when we believe the risk/reward dynamics are favorable for our investors.

Our portfolio is positioned with the risk of rising interest rates in mind, and we maintain a relatively low average duration level in our bond investments. As of October 31, 2022, the average duration of these securities was 2.6 years.

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Although the Fund tends to be US-centric, because of the compelling risk/reward of investments, we are investing in global businesses that seek the best opportunities worldwide and diversify their revenue streams. Overall, we believe our portfolio companies are performing well fundamentally, earning attractive cash flow margins, improving their credit profiles, and utilizing reasonable debt levels to fund their operations.

From a credit-quality perspective, the Fund is positioned with a relative underweight in the BB category and a corresponding overweight in out-of-benchmark BBB-rated issuers. We continue to find value in out-of-benchmark positions in both leveraged loans and investment grade credit.

What are your closing thoughts for Fund shareholders?

Persistent inflationary pressures and monetary policy tightening are expected to contribute to high levels of uncertainty across the financial markets. This heightened volatility is likely to persist until there is greater clarity on the path of these risks. Still, we believe short-term volatility can create longer-term opportunities. We believe the Fund is well positioned to participate in a market rebound while offering downside resilience should markets look to retest recent lows.

To say the equity and credit markets have experienced turbulence because of rising inflation and interest rates, as well as intense geopolitical risks, is stating the obvious. Convertibles have not been immune to this increase in volatility, which has also contributed to the subdued pace of new convertible issuance. Although we anticipated a deceleration in the annual volume of new convertibles after back-to-back years of near-record amounts, issuance during the reporting period was affected by heightened global uncertainty fomented by multiple factors. Issuance accelerated toward the latter part of the reporting period, and we expect the pace of new issuance to achieve a brisk clip once macro uncertainty subsides. Typically, after periods of volatility-induced slowdowns in new capital market issuance, the convertible market tends to be one of the first to reopen, and the initial deals tend to be attractively priced. We also anticipate—and would welcome—higher cash coupons given the overall rise in interest rates across markets. Despite the issuance slowdown, the strong issuance from 2020 and 2021 expanded the market and pushed back the maturity wall in the existing convertible market, which provides attractive opportunities.

Although it is a short window, we have been encouraged by the positive convexity convertibles have shown late in the annual period. Having participated in the July to mid-August rally, convertibles also held up better relative to other risk assets during the late August through September decline.

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The Fund’s Investment Objective, Principal INVESTMENT Strategies and Principal Risks

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Counterparty and Settlement Risk. Trading options, futures contracts, swaps and other derivative financial instruments entails credit risk with respect to the counterparties with whom and through which the Fund trades. Such instruments when traded over the counter do not include the same protections as may apply to trading derivatives on organized exchanges. Substantial losses may arise from the insolvency, bankruptcy or default of a counterparty and risk of settlement default of parties with whom the Fund trades securities. This risk may be heightened during volatile market conditions. Settlement mechanisms in emerging markets are generally less developed and reliable than those in more developed countries, thus increasing the risks. In the past, broker-dealers and other financial institutions have experienced extreme financial difficulty, sometimes resulting in bankruptcy of the institution. Although Calamos monitors the creditworthiness of the Fund’s counterparties, there can be no assurance that the Fund’s counterparties will not experience similar difficulties, possibly resulting in losses to the Fund. If a counterparty becomes bankrupt, or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Fund may experience significant delays in obtaining any recovery under the derivative contract in a bankruptcy or other reorganization proceeding. The Fund may obtain only a limited recovery or may obtain no recovery in such circumstances. Material exposure to a single or small group of counterparties increases the Fund’s counterparty risk.

Master Limited Partnerships Risk. Investments in MLPs involve risks that differ from investments in common stock. Holders of MLP common units are subject to certain risks inherent in the structure of MLPs, including (i) tax risks, (ii) risk related to limited control of management or the general partner or managing member, (iii) limited rights to vote on matters affecting the MLP, except with respect to extraordinary transactions, (iv) conflicts of interest between the general partner or managing member and its affiliates, on the one hand, and the limited partners or members, on the other hand, including those arising from incentive distribution payments or corporate opportunities, and (v) cash flow risks. MLP common units and other equity securities can be affected by macroeconomic and other factors affecting the stock market in general, expectations of interest rates, investor sentiment towards MLPs or the energy sector, changes in a particular issuer’s financial condition, or unfavorable or unanticipated poor performance of a particular issuer (in the case of MLPs, generally measured in terms of distributable cash flow). Prices of common units of individual MLPs and other equity securities also can be affected by fundamentals unique to the partnership or company, including cash flow growth, cash generating power and distribution coverage.

Although certain MLPs may trade on national securities exchanges, certain MLPs may trade less frequently than those of larger companies due to their market capitalizations. Due to limited trading volumes of certain MLPs, the prices of such MLPs may display abrupt or erratic movements at times. Additionally, it may be more difficult for the Fund to buy and sell significant amounts of such securities without an unfavorable impact on prevailing market prices. The Fund’s investment in securities that are less actively traded or over time experience decreased trading volume may restrict its ability to dispose of the securities at a fair price. Such a situation may prevent the Fund from limiting losses or realizing gains. This also may adversely affect the Fund’s ability to make dividend distributions to shareholders.

MLPs are generally treated as partnerships for US federal income tax purposes. Partnerships do not pay US federal income tax at the partnership level. Rather, each partner is allocated a share of the partnership’s income, gains, losses, deductions and expenses. A change in current tax law, or a change in the business of a given MLP, could result in an MLP being treated as a corporation for US federal income tax purposes. As a result, the amount of cash available for distribution by the MLP would be reduced and the after-tax return to the Fund with respect to its investment in such MLPs would be materially reduced. Thus, if any of the MLPs owned by the Fund were treated as corporations for US federal income tax purposes, it could result in a reduction in the value of the Fund.

Cash Holdings Risk. To the extent the Fund holds cash positions, the Fund risks achieving lower returns and potential lost opportunities to participate in market appreciation which could negatively impact the Fund’s performance and ability to achieve its investment objective.

American Depositary Receipts Risk. The stocks of most foreign companies that trade in the US markets are traded as ADRs. US depositary banks issue these stocks. Each ADR represents one or more shares of foreign stock or a fraction of a share. The price of an ADR corresponds to the price of the foreign stock in its home market, adjusted to the ratio of the ADRs to foreign company shares. Therefore while purchasing a security on a US exchange, the risks inherently associated with foreign investing still apply to ADRs.

Currency Risk. To the extent that the Fund invests in securities or other instruments denominated in or indexed to foreign currencies, changes in currency exchange rates bring an added dimension of risk. Currency fluctuations could negatively impact investment gains or add to investment losses. Although the Fund may attempt to hedge against currency risk, the hedging instruments may not always

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT   27

perform as the Fund expects and could produce losses. Suitable hedging instruments may not be available for currencies of emerging market countries. The Fund’s investment adviser may determine not to hedge currency risks, even if suitable instruments appear to be available.

Emerging Markets Risk. Emerging market countries may have relatively unstable governments and economies based on only a few industries, which may cause greater instability. The value of emerging market securities will likely be particularly sensitive to changes in the economies of such countries. These countries are also more likely to experience higher levels of inflation, deflation or currency devaluations, which could adversely affect the value of the Fund’s investments and hurt those countries’ economies and securities markets.

US Government Security Risk. Some securities issued by US Government agencies or government sponsored enterprises are not backed by the full faith and credit of the US and may only be supported by the right of the agency or enterprise to borrow from the US Treasury. There can be no assurance that the US Government will always provide financial support to those agencies or enterprises.

Interest Rate Transactions Risk. The Fund may enter into an interest rate swap, cap or floor transaction to attempt to protect itself from increasing dividend or interest expenses on its leverage resulting from increasing short-term interest rates and to hedge its portfolio securities. A decline in interest rates may result in a decline in the value of the swap or cap, which may result in a decline in the NAV of the Fund.

Depending on the state of interest rates in general, the Fund’s use of interest rate swap or cap transactions could enhance or harm the overall performance of the common shares. To the extent there is a decline in interest rates, the value of the interest rate swap or cap could decline, and could result in a decline in the NAV of the common shares. In addition, if the counterparty to an interest rate swap or cap defaults, the Fund would not be able to use the anticipated net receipts under the swap or cap to offset the dividend or interest payments on the Fund’s leverage or offset certain losses in its portfolio.

Depending on whether the Fund would be entitled to receive net payments from the counterparty on the swap or cap, which in turn would depend on the general state of short-term interest rates at that point in time, such a default could negatively impact the performance of the common shares. In addition, at the time an interest rate swap or cap transaction reaches its scheduled termination date, there is a risk that the Fund would not be able to obtain a replacement transaction or that the terms of the replacement would not be as favorable as on the expiring transaction. If either of these events occurs, it could have a negative impact on the performance of the common shares.

If the Fund fails to maintain a required 200% asset coverage of the liquidation value of any outstanding preferred shares or if the Fund loses its rating on its preferred shares or fails to maintain other covenants with respect to the preferred shares, the Fund may be required to redeem some or all of the preferred shares. Similarly, the Fund could be required to prepay the principal amount of any debt securities or other borrowings. Such redemption or prepayment would likely result in the Fund seeking to terminate early all or a portion of any swap or cap transaction. Early termination of a swap could result in a termination payment by or to the Fund. Early termination of a cap could result in a termination payment to the Fund. The Fund intends to segregate with its custodian cash or liquid securities having a value at least equal to the Fund’s net payment obligations under any swap transaction, marked-to-market daily.

Currently, certain categories of interest rate swaps are subject to mandatory clearing, and more are expected to be cleared in the future. The counterparty risk for cleared derivatives is generally lower than for uncleared OTC derivative transactions because generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that a clearing house, or its members, will satisfy the clearing house’s obligations to the Fund.

Inflation Risk. Inflation is the reduction in the purchasing power of money resulting from an increase in the price of goods and services. Inflation risk is the risk that the inflation adjusted or “real” value of an investment in preferred stock or debt securities or the income from that investment will be worth less in the future. As inflation occurs, the real value of the preferred stock or debt securities and the dividend payable to holders of preferred stock or interest payable to holders of debt securities declines.

Diminished Voting Power and Excess Cash Risk. The voting power of current shareholders will be diluted to the extent that such shareholders do not purchase shares in any future common share offerings or do not purchase sufficient shares to maintain their percentage interest. In addition, if the Fund is unable to invest the proceeds of such offering as intended, its per share distribution may decrease (or may consist of return of capital) and the Fund may not participate in market advances to the same extent as if such proceeds were fully invested as planned.

28   CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT

CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND ANNUAL REPORT   29