Calamos Convertible Opportunities and Income Fund (CHI) N-CSRS27 Jun 24Certified semi-annual shareholder report (management investment company)Financial data

Company Profile

N-2

N-2 - USD ($)

6 Months Ended

12 Months Ended

Apr. 30, 2024

Oct. 31, 2023

Oct. 31, 2022

Oct. 31, 2021

Oct. 31, 2020

Oct. 31, 2019

Oct. 31, 2018

Oct. 31, 2017

Oct. 31, 2016

Oct. 31, 2015

Oct. 31, 2014

Oct. 31, 2013

Cover [Abstract]

Entity Central Index Key

0001171471

Amendment Flag

false

Document Type

N-CSRS

Entity Registrant Name

Calamos Convertible Opportunities and Income Fund

Document Period End Date

Apr. 30, 2024

Financial Highlights [Abstract]

Senior Securities Amount

$ 733,004,000

$ 672,782,000

$ 759,716,000

$ 1,111,526,000

$ 889,577,000

$ 754,310,000

$ 741,306,000

$ 797,968,000

$ 750,773,000

$ 817,491,000

$ 931,703,000

Senior Securities Coverage per Unit

[1]

$ 3,754

$ 3,563

$ 3,630

$ 4,116

$ 4,431

$ 4,080

$ 3,921

$ 4,265

$ 3,454

$ 3,316

$ 3,588

General Description of Registrant [Abstract]

Annual Dividend Payment, Current

0.095

Share Price

10.95

9.99

10.78

15.81

10.89

10.67

9.91

11.59

9.89

10.41

13.69

NAV Per Share

$ 9.74

$ 8.99

$ 10.26

$ 15.49

$ 12.54

$ 10.64

$ 10.46

$ 11.35

$ 10.73

$ 11.68

$ 13.45

$ 13.2

Capital Stock, Long-Term Debt, and Other Securities [Abstract]

Long Term Debt [Table Text Block]

Note 7 – Notes Payable
The Funds have each entered into an Amended and Restated Liquidity Agreement (the "SSB Agreement") with State Street Bank and Trust Company ("SSB") that allows each Fund to borrow up to a certain limit as shown in the table below, as well as engage in securities lending and securities repurchase transactions.
FUND BORROWING
Convertible Opportunities and Income Fund
$
430.0
Convertible and High Income Fund
480.0
Strategic Total Return Fund
1,130.0
Dynamic Convertible and Income Fund
370.0
Global Dynamic Income Fund
265.0
Global Total Return Fund
55.0
Long/Short Equity & Dynamic Income Trust
150.0 Advances under the SSB Agreement are secured by assets of the Funds that are held with the Funds' custodian in a separate account (the "pledged collateral"). Interest on the SSB Agreement was charged on the drawn amount at the rate of OBFR plus 0.52%. A commitment fee of 0.10% is payable on any undrawn balance. For the period ended April 30, 2024, the Funds borrowed according to the table below:
FUND AVERAGE AVERAGE TOTAL OUTSTANDING INTEREST RATE
Convertible Opportunities and Income Fund
$
314.4
5.94
%
$
314.4
5.84
%
Convertible and High Income Fund
340.4
5.94
%
340.4
5.84
%
Strategic Total Return Fund
819.3
5.94
%
860.5
5.84
%
Dynamic Convertible and Income Fund
210.0
5.94
%
210.0
5.84
%
Global Dynamic Income Fund
135.7
5.94
%
147.1
5.84
%
Global Total Return Fund
31.4
5.94
%
34.4
5.84
%
Long/Short Equity & Dynamic Income Trust
120.0
5.94
%
120.0
5.84
% Under the terms of the SSB Agreement, all securities lent through SSB must be secured continuously by collateral received in cash. Cash collateral received by SSB on behalf of the Fund is deposited by SSB in a custodial account of the Fund and then applied to repay borrowings under the SSB Agreement, such that the cash advanced to the Fund remains unchanged. Upon termination of a securities loan, SSB will advance to the Fund the cash collateral required to be returned by the Fund, or secure the appropriate amount through one or more securities lending transactions as the Fund's agent, and deposit the amount to a custodial account of the Fund and then subsequently return such amount to the securities borrower against return of the securities on loan. Again, the net cash to the Fund is unaltered. Only the composition of the advance is changed, and regardless of the composition of advances as between cash collateral for securities lending transactions or borrowings from SSB, they are not reflected separately in the Statement of Assets and Liabilities but as a component of the Notes Payable. The Fund has the right to recall securities which have been lent at any time. The securities lending arrangement with SSB involves characteristics common in arm's length relationships in which one party may benefit at the expense of the other party. As of April 30, 2024, the Funds had securities on loan under the SSB Agreement which are reflected in the Investment in securities, at value on the Statement of Assets and Liabilities and are shown in the table below. The borrowings are categorized as Level 2 within the fair value hierarchy.
The composition of the securities on loan was as follows:
FUND SECURITIES FIXED INCOME EQUITY
Convertible Opportunities and Income Fund
$
52.8
$
45.4
$
7.4
Convertible and High Income Fund
52.2
44.3
7.9
Strategic Total Return Fund
773.6
13.3
760.3
Dynamic Convertible and Income Fund
24.8
19.1
5.7
Global Dynamic Income Fund
20.7
6.3
14.4
Global Total Return Fund
17.7
2.8
14.9
Long/Short Equity & Dynamic Income Trust
0.8
0.7
0.1

Long Term Debt, Structuring [Text Block]

The Funds have each entered into an Amended and Restated Liquidity Agreement (the "SSB Agreement") with State Street Bank and Trust Company ("SSB") that allows each Fund to borrow up to a certain limit as shown in the table below, as well as engage in securities lending and securities repurchase transactions.
FUND BORROWING
Convertible Opportunities and Income Fund
$
430.0
Convertible and High Income Fund
480.0
Strategic Total Return Fund
1,130.0
Dynamic Convertible and Income Fund
370.0
Global Dynamic Income Fund
265.0
Global Total Return Fund
55.0
Long/Short Equity & Dynamic Income Trust
150.0 Advances under the SSB Agreement are secured by assets of the Funds that are held with the Funds' custodian in a separate account (the "pledged collateral"). Interest on the SSB Agreement was charged on the drawn amount at the rate of OBFR plus 0.52%. A commitment fee of 0.10% is payable on any undrawn balance. For the period ended April 30, 2024, the Funds borrowed according to the table below:
FUND AVERAGE AVERAGE TOTAL OUTSTANDING INTEREST RATE
Convertible Opportunities and Income Fund
$
314.4
5.94
%
$
314.4
5.84
%
Convertible and High Income Fund
340.4
5.94
%
340.4
5.84
%
Strategic Total Return Fund
819.3
5.94
%
860.5
5.84
%
Dynamic Convertible and Income Fund
210.0
5.94
%
210.0
5.84
%
Global Dynamic Income Fund
135.7
5.94
%
147.1
5.84
%
Global Total Return Fund
31.4
5.94
%
34.4
5.84
%
Long/Short Equity & Dynamic Income Trust
120.0
5.94
%
120.0
5.84
%

Long Term Debt, Dividends and Covenants [Text Block]

Under the terms of the SSB Agreement, all securities lent through SSB must be secured continuously by collateral received in cash. Cash collateral received by SSB on behalf of the Fund is deposited by SSB in a custodial account of the Fund and then applied to repay borrowings under the SSB Agreement, such that the cash advanced to the Fund remains unchanged. Upon termination of a securities loan, SSB will advance to the Fund the cash collateral required to be returned by the Fund, or secure the appropriate amount through one or more securities lending transactions as the Fund's agent, and deposit the amount to a custodial account of the Fund and then subsequently return such amount to the securities borrower against return of the securities on loan. Again, the net cash to the Fund is unaltered. Only the composition of the advance is changed, and regardless of the composition of advances as between cash collateral for securities lending transactions or borrowings from SSB, they are not reflected separately in the Statement of Assets and Liabilities but as a component of the Notes Payable. The Fund has the right to recall securities which have been lent at any time. The securities lending arrangement with SSB involves characteristics common in arm's length relationships in which one party may benefit at the expense of the other party. As of April 30, 2024, the Funds had securities on loan under the SSB Agreement which are reflected in the Investment in securities, at value on the Statement of Assets and Liabilities and are shown in the table below. The borrowings are categorized as Level 2 within the fair value hierarchy.
The composition of the securities on loan was as follows:
FUND SECURITIES FIXED INCOME EQUITY
Convertible Opportunities and Income Fund
$
52.8
$
45.4
$
7.4
Convertible and High Income Fund
52.2
44.3
7.9
Strategic Total Return Fund
773.6
13.3
760.3
Dynamic Convertible and Income Fund
24.8
19.1
5.7
Global Dynamic Income Fund
20.7
6.3
14.4
Global Total Return Fund
17.7
2.8
14.9
Long/Short Equity & Dynamic Income Trust
0.8
0.7
0.1

Outstanding Security, Held [Shares]

75,238,025

74,818,167

74,081,296

Mandatory Redeemable Preferred Shares [Member]

Financial Highlights [Abstract]

Senior Securities Amount

$ 133,000,000

Preferred Stock Liquidating Preference

$ 25

Capital Stock, Long-Term Debt, and Other Securities [Abstract]

Capital Stock [Table Text Block]

Note 8 – Mandatory Redeemable Preferred Shares
All Funds except Long/Short Equity & Dynamic Income Trust have MRPS issued and outstanding, each divided into four series with different mandatory redemption dates and dividend rates. The tables below summarize the key terms of each series of the MRPS at April 30, 2024. The MRPS are divided into four series with different mandatory redemption dates and dividend rates. The tables below summarizes the key terms of each Fund's series of the MRPS at April 30, 2024.
CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SERIES ISSUE TERM DIVIDEND SHARES LIQUIDATION AGGREGATE
Series B
9/6/17
9/6/24
4.00
%
1,330
$
25
$
33,250,000
Series C
9/6/17
9/6/27
4.24
%
1,340
$
25
$
33,500,000
Series D
8/24/21
8/24/26
2.45
%
1,320
$
25
$
33,000,000
Series E
3/8/22
5/24/27
2.68
%
1,330
$
25
$
33,250,000
Total
$
133,000,000
CONVERTIBLE AND HIGH INCOME FUND
SERIES ISSUE TERM DIVIDEND SHARES LIQUIDATION AGGREGATE
Series B
9/6/17
9/6/24
4.00
%
1,460
$
25
$
36,500,000
Series C
9/6/17
9/6/27
4.24
%
1,480
$
25
$
37,000,000
Series D
8/24/21
8/24/26
2.45
%
1,400
$
25
$
35,000,000
Series E
3/8/22
5/24/27
2.68
%
1,460
$
25
$
36,500,000
Total
$
145,000,000 STRATEGIC TOTAL RETURN FUND
SERIES ISSUE TERM DIVIDEND SHARES LIQUIDATION AGGREGATE
Series B
9/6/17
9/6/24
4.00
%
3,220
$
25
$
80,500,000
Series C
9/6/17
9/6/27
4.24
%
3,240
$
25
$
81,000,000
Series D
8/24/21
8/24/26
2.45
%
2,480
$
25
$
62,000,000
Series F
5/24/22
5/24/27
3.66
%
4,000
$
25
$
100,000,000
Total
$
323,500,000
DYNAMIC CONVERTIBLE AND INCOME FUND
SERIES ISSUE TERM DIVIDEND SHARES LIQUIDATION AGGREGATE
Series B
9/6/17
9/6/24
4.00
%
850
$
25
$
21,250,000
Series C
9/6/17
9/6/27
4.24
%
860
$
25
$
21,500,000
Series D
8/24/21
8/24/26
2.45
%
1,120
$
25
$
28,000,000
Series E
3/8/22
5/24/27
2.68
%
850
$
25
$
21,250,000
Total
$
92,000,000 GLOBAL DYNAMIC INCOME FUND
SERIES ISSUE TERM DIVIDEND SHARES LIQUIDATION AGGREGATE
Series B
9/6/17
9/6/24
4.00
%
860
$
25
$
21,500,000
Series C
9/6/17
9/6/27
4.24
%
880
$
25
$
22,000,000
Series D
8/24/21
8/24/26
2.45
%
200
$
25
$
5,000,000
Series E
3/8/22
5/24/27
2.68
%
860
$
25
$
21,500,000
Total
$
70,000,000 GLOBAL TOTAL RETURN FUND
SERIES ISSUE TERM DIVIDEND SHARES LIQUIDATION AGGREGATE
Series B
9/6/17
9/6/24
4.00
%
160
$
25
$
4,000,000
Series C
9/6/17
9/6/27
4.24
%
160
$
25
$
4,000,000
Series D
8/24/21
8/24/26
2.45
%
200
$
25
$
5,000,000
Series E
3/8/22
5/24/27
2.68
%
160
$
25
$
4,000,000
Total
$
17,000,000
Offering costs incurred by the Funds 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 MRPS over the respective life of each series of MRPS and shown in the Statement of operations. 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 each Fund's Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy. During the period ended April 30, 2024, all MRPS were rated `AA-' by Kroll Bond Rating Agency LLC ("KBRA"). If the ratings of the MRPS are downgraded, each Fund's dividend expense may increase, as described below. Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated "AA-" by KBRA. If on the first day of a monthly dividend period the MRPS of any class are rated lower than "A" by KBRA, 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 a 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 each Fund's Statement of Operations. With regard to the Series B and C MRPS, so long as any MRPS are outstanding, a Fund will not declare, pay or set apart for payment any dividend or other distribution (other than non-cash distributions) with respect to Fund shares ranking junior to or on parity with the MRPS, unless (1) the Fund has satisfied the MRPS Overcollateralization Test (as defined below) on at least one "valuation date" in the preceding 65 calendar days, (2) immediately after such transaction the Fund would satisfy the MRPS Asset Coverage Test (as defined below), (3) full cumulative dividends on the MRPS due on or prior to the date of the transaction have been declared and paid to the holders of MRPS and (4) the Fund has redeemed the full number of
MRPS required to be redeemed by any provision for mandatory redemption or deposited sufficient monies with the Fund's paying agent for that purpose, subject to certain grace periods and exceptions. MRPS Asset Coverage Test: MRPS Overcollateralization Test: In accordance with that certain Statement of Preferences governing the Series D, E and F MRPS, for so long as any MRPS are outstanding, a Fund will not declare, pay or set apart for payment any dividend or other distribution (other than a dividend or distribution paid in shares of, or options, warrants or rights to subscribe for or purchase, Common Shares or other shares of beneficial interest, if any, ranking junior to the MRPS as to dividends or upon liquidation (collectively "non-cash distributions") with respect to Common Shares or any other shares of the Series or Fund ranking junior to or on a parity with the MRPS as to dividends or upon liquidation, or call for redemption, redeem, purchase or otherwise acquire for consideration any Common Shares or any other such junior shares (except by conversion into or exchange for shares of the Fund ranking junior to the MRPS as to dividends and upon liquidation) or any such parity shares (except by conversion into or exchange for shares of the Fund ranking junior to or on a parity with the MRPS as to dividends and upon liquidation), unless (1) immediately after such transaction the Fund would satisfy the MRPS Asset Coverage Test, (2) full cumulative dividends on the MRPS due on or prior to the date of the transaction have been declared and paid to the Holders of MRPS, and (3) the Fund has redeemed the full number of MRPS required to be redeemed by any provision for mandatory redemption contained in Section 3(a) or deposited sufficient monies with the Paying Agent for that purpose (without regard to the provisions of the Special Proviso); provided that the Fund may make any distributions reasonably necessary for the Fund to continue to qualify as a "regulated investment company" under Subchapter M of the Internal Revenue Code and to avoid excise tax under Section 4982 of the Internal Revenue Code ("Tax Required Payments"). For the avoidance of doubt, any such Tax Required Payments would only be paid to holders of Common Shares after full cumulative dividends due on or prior to the date of the applicable distribution and any mandatory redemptions occurring on or prior to the date of the applicable distribution have been paid to the holders of MRPS. Except as otherwise required pursuant to the Funds' 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 Funds 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 a Fund, voting separately as a class. Except during any time when a 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 on any matter submitted to them for their vote or to the vote of shareholders of a Fund generally.

Security Dividends [Text Block]

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 KBRA. If on the first day of a monthly dividend period the MRPS of any class are rated lower than "A" by KBRA, 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 a 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 each Fund's Statement of Operations.

Security Voting Rights [Text Block]

Except as otherwise required pursuant to the Funds' 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 Funds 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 a Fund, voting separately as a class. Except during any time when a 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 on any matter submitted to them for their vote or to the vote of shareholders of a Fund generally.

Preferred Stock Restrictions, Other [Text Block]

With regard to the Series B and C MRPS, so long as any MRPS are outstanding, a Fund will not declare, pay or set apart for payment any dividend or other distribution (other than non-cash distributions) with respect to Fund shares ranking junior to or on parity with the MRPS, unless (1) the Fund has satisfied the MRPS Overcollateralization Test (as defined below) on at least one "valuation date" in the preceding 65 calendar days, (2) immediately after such transaction the Fund would satisfy the MRPS Asset Coverage Test (as defined below), (3) full cumulative dividends on the MRPS due on or prior to the date of the transaction have been declared and paid to the holders of MRPS and (4) the Fund has redeemed the full number of MRPS required to be redeemed by any provision for mandatory redemption or deposited sufficient monies with the Fund's paying agent for that purpose, subject to certain grace periods and exceptions.

Outstanding Securities [Table Text Block]

CONVERTIBLE OPPORTUNITIES AND INCOME FUND
SERIES ISSUE TERM DIVIDEND SHARES LIQUIDATION AGGREGATE
Series B
9/6/17
9/6/24
4.00
%
1,330
$
25
$
33,250,000
Series C
9/6/17
9/6/27
4.24
%
1,340
$
25
$
33,500,000
Series D
8/24/21
8/24/26
2.45
%
1,320
$
25
$
33,000,000
Series E
3/8/22
5/24/27
2.68
%
1,330
$
25
$
33,250,000
Total
$
133,000,000

Mandatory Redeemable Preferred Shares Series B [Member]

Financial Highlights [Abstract]

Senior Securities Amount

$ 33,250,000

Preferred Stock Liquidating Preference

$ 25

Capital Stock, Long-Term Debt, and Other Securities [Abstract]

Outstanding Security, Title [Text Block]

Series B

Outstanding Security, Held [Shares]

1,330,000

Mandatory Redeemable Preferred Shares Series C [Member]

Financial Highlights [Abstract]

Senior Securities Amount

$ 33,500,000

Preferred Stock Liquidating Preference

$ 25

Capital Stock, Long-Term Debt, and Other Securities [Abstract]

Outstanding Security, Title [Text Block]

Series C

Outstanding Security, Held [Shares]

1,340,000

Mandatory Redeemable Preferred Shares Series D [Member]

Financial Highlights [Abstract]

Senior Securities Amount

$ 33,000,000

Preferred Stock Liquidating Preference

$ 25

Capital Stock, Long-Term Debt, and Other Securities [Abstract]

Outstanding Security, Title [Text Block]

Series D

Outstanding Security, Held [Shares]

1,320,000

Mandatory Redeemable Preferred Shares Series E [Member]

Financial Highlights [Abstract]

Senior Securities Amount

$ 33,250,000

Preferred Stock Liquidating Preference

$ 25

Capital Stock, Long-Term Debt, and Other Securities [Abstract]

Outstanding Security, Title [Text Block]

Series E

Outstanding Security, Held [Shares]

1,330,000

Common Shares [Member]

General Description of Registrant [Abstract]

NAV Per Share

$ 9.74

Capital Stock, Long-Term Debt, and Other Securities [Abstract]

Capital Stock [Table Text Block]

Note 9 – Common Shares Each Fund has unlimited common shares of beneficial interest authorized at April 30, 2024. Transactions in common shares for each fund at April 30, 2024 were as follows:
CONVERTIBLE OPPORTUNITIES AND INCOME FUND SIX MONTHS ENDED YEAR ENDED
Beginning shares
74,818,167
74,081,296
Shares sold
—
—
Shares issued through reinvestment of distributions
419,858
736,871
Ending shares
75,238,025
74,818,167
CONVERTIBLE AND HIGH INCOME FUND SIX MONTHS ENDED YEAR ENDED
Beginning shares
76,379,270
75,661,499
Shares sold
—
—
Shares issued through reinvestment of distributions
383,304
717,771
Ending shares
76,762,574
76,379,270
STRATEGIC TOTAL RETURN FUND SIX MONTHS ENDED YEAR ENDED
Beginning shares
160,335,126
158,887,622
Shares sold
—
702,814
Shares issued through reinvestment of distributions
34,509
744,690
Ending shares
160,369,635
160,335,126
DYNAMIC CONVERTIBLE AND INCOME FUND SIX MONTHS ENDED YEAR ENDED
Beginning shares
26,644,318
26,080,838
Shares sold
—
206,742
Shares issued through reinvestment of distributions
128,264
356,738
Ending shares
26,772,582
26,644,318
GLOBAL DYNAMIC INCOME FUND SIX MONTHS ENDED YEAR ENDED
Beginning shares
63,864,387
63,864,387
Shares sold
—
—
Shares issued through reinvestment of distributions
—
—
Ending shares
63,864,387
63,864,387
GLOBAL TOTAL RETURN FUND SIX MONTHS ENDED YEAR ENDED
Beginning shares
9,825,838
9,823,566
Shares sold
—
—
Shares issued through reinvestment of distributions
—
2,272
Ending shares
9,825,838
9,825,838
LONG/SHORT EQUITY & DYNAMIC INCOME TRUST SIX MONTHS ENDED YEAR ENDED
Beginning shares
19,632,194
19,632,194
Shares sold
—
—
Shares issued through reinvestment of distributions
—
—
Ending shares
19,632,194
19,632,194
Notice is hereby given in accordance with Section 23(c) of the 1940 Act that each Fund may from time to time purchase its shares of common stock in the open market. The Funds also may offer and sell common shares from time to time at an offering price equal to or in excess of the net asset value per share of each Fund's common shares at the time such common shares are initially sold.

Security Preemptive and Other Rights [Text Block]

Notice is hereby given in accordance with Section 23(c) of the 1940 Act that each Fund may from time to time purchase its shares of common stock in the open market. The Funds also may offer and sell common shares from time to time at an offering price equal to or in excess of the net asset value per share of each Fund's common shares at the time such common shares are initially sold.

Outstanding Securities [Table Text Block]

CONVERTIBLE OPPORTUNITIES AND INCOME FUND SIX MONTHS ENDED YEAR ENDED
Beginning shares
74,818,167
74,081,296
Shares sold
—
—
Shares issued through reinvestment of distributions
419,858
736,871
Ending shares
75,238,025
74,818,167

Outstanding Security, Held [Shares]

75,238,025

[1]Calculated by subtracting the Fund's total liabilities (not including Notes payable and Mandatory Redeemable Preferred Shares) from the Fund's total assets and dividing this by the amount of Notes payable outstanding, and by multiplying the result by 1,000.