TIMELY INFORMATION INSIDE

Dynamic Convertible and Income Fund (CCD)

SEMIANNUAL REPORT APRIL 30, 2020

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You may elect to receive all future reports in paper free of charge. You can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 800.582.6959. If you own these shares through a financial intermediary, you may contact your financial intermediary or follow instructions included with this disclosure to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held with the fund complex or your financial intermediary.

 

TABLE OF CONTENTS

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. The Fund’s current monthly distribution rate is $0.1670 per share. 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 funds, 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. However, at this time there are no reasonably foreseeable circumstances that might cause the termination of the Fund’s managed distribution policy.

For more information about any Calamos closed-end funds, we encourage you to contact your financial advisor 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.

John P. calamos, sr.

Founder, Chairman
and Global Chief
Investment Officer

CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT   1

Dear Fellow Shareholder,

Welcome to your semiannual report for the six-month period ended April 30, 2020. In this report, you will find commentary from the Calamos portfolio management teams, as well as a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and positioning of the Calamos Fund.

Finding Stable Income in a Low-Yield, High-Volatility World

For many, this appears a tall order. Traditional bond funds and passive strategies such as ETFs are likely to face headwinds in a volatile, low-rate environment. However, I believe Calamos closed-end funds are well positioned to address the search for stable income in a low yield, high volatility world. The funds are differentiated by their dynamic allocation and multi-asset class approaches, which offer considerable potential benefits for investors seeking income and capital appreciation. What’s more, our funds are actively managed and can adjust to the changing risks and opportunities in the market.

During the period, the Fund provided a compelling monthly distribution of $0.1670 per share. We believe the Fund’s current annualized distribution rate, which was 11.38%* on a market price basis as of April 30, 2020, was very competitive, given the low interest rates in many segments of the bond market.

We understand that many closed-end fund investors seek steady, predictable distributions. Therefore, the Fund has a managed distribution policy, whereby we aim to keep distributions consistent from month to month, and at a level we believe can be sustained over the long term. In setting the Fund’s distribution rate, the investment management team and the Fund’s Board of Trustees consider the interest rate, market and economic environment. We also factor in our assessments of individual securities and asset classes.

*Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annualized percentage of the Fund’s current market price per share. The Fund’s 4/30/20 distribution was $0.1670 per share. Based on our current estimates, we anticipate that approximately $0.1670 is paid from ordinary income or capital gains and that approximately $0.0000 represents a return of capital. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s managed distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term and long-term capital gains, and return of capital. When the net investment income and net realized short-term and long-term capital gains are not sufficient, a portion of the distribution will be a return of capital. The distribution rate may vary.

2   CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT

Market Review

The semiannual period brought unprecedented uncertainty to the global economy and markets. Global efforts to contain the COVID-19 pandemic resulted in severe and rapid declines in economic activity and global financial markets. The turmoil in the markets reached its height in March, with the S&P 500 falling more than 30% over just a few weeks. As investors sought safe havens and central banks lowered short-term rates, yields plummeted and the U.S. 10-year Treasury yield reached a record low. Meanwhile, oil prices slumped on the back of weak demand and geopolitics. By the end of the reporting period, market conditions had stabilized to a large extent, however. Significant market rebounds occurred during the final weeks of the period as investor sentiment improved in the wake of fiscal and monetary policy efforts.

For the semiannual period overall, equities came under the most pressure, particularly emerging market equities. Convertible securities demonstrated relative resilience, with the U.S. market posting a modest advance and the global market falling slightly. In the bond market, U.S. investment grade and short-term U.S. markets gained, benefiting from a flight to perceived safety.1

Outlook

We are confident that both the economy and markets will recover, although we cannot predict the exact timeline. Although we are in the midst of sweeping uncertainties and discouraging headlines, it is important to remember that the economy and markets have navigated many crises that seemed insurmountable at the time.

Countries around the world have responded to the pandemic with unprecedented global monetary and fiscal policy responses. In the U.S., the Federal Reserve and federal government have acted swiftly, increasing the likelihood for a relatively faster economic recovery. U.S. consumer balance sheets are in better shape than they were in 2008, while credit markets and the banking system are operating in an orderly fashion.

From an investment perspective, the economy and markets are unlikely to recover at the same pace. Markets are typically forward looking and have often turned the corner not when problems were solved but when things looked “less bad.” We’ve already seen the stock market gain ground back from March lows, and we believe better market conditions can continue, even before the pandemic is resolved and the economy is fully up and running again.

Even though market conditions have improved since late March, we expect volatility to remain very high, due to the pandemic, economic shocks and U.S. elections. This environment will favor active management and security selection. As conditions change, we may see significant shifts in market leadership. We believe that our investment teams will be able to navigate these crosscurrents, drawing on our long-term perspective, risk-management experience and deep research capabilities.

CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT   3

Throughout my 50-year investing career, I have maintained that there is opportunity in every market environment. I believe this holds true. During this recent correction, many securities were sold off more severely than we believe their fundamentals warranted. Our teams sought to take advantage of these dislocations to build positions in companies, sectors and investment themes that provide attractive compensation for their potential risks. Additionally, our teams are finding many opportunities in newly issued securities. For example, as companies seek capital, high yield bonds and convertible securities are coming to market with very attractive terms.

Asset Allocation Considerations—Stay Invested and Utilize Calamos Closed-End Funds

As the global health crisis of COVID-19 has upended the global economy, many investors are understandably worried about their asset allocations. In these fast moving markets, making panicked moves or trying to time the markets is very dangerous. Markets can rise as unpredictably as they fall, but it’s impossible to predict these changes with certainty. Investors who make sudden shifts when markets are falling may find that they’ve capture the downside, only to miss the upside.

For decades, Calamos Investments has been dedicated to helping investors pursue their financial goals, including through uncertain environments. Now more than ever during this crisis, we believe the case is strong for staying invested and utilizing Calamos closed-end funds.

Calamos closed-end funds have the flexibility to invest in a wide array of securities with income and appreciation potential. These include stocks, convertible securities, high yield bonds and preferred securities. These asset classes have been less dependent on interest rates to source income. Additionally, certain Calamos closed-end funds employ alternative strategies (such as long/short equity and options writing) to source income and total returns.

Calamos closed-end funds are designed to meet the needs of long-term investors. We understand the importance that clients place on risk management, and we continually seek out ways to enhance the risk/reward characteristics of the funds. For example, the Fund’s active management of convertible securities, which combine the characteristics of stocks and traditional fixed income securities, provided the opportunity for upside participation with equity risk mitigation on the downside in March.

Calamos closed-end funds help investors stay invested for the long-term—and avoid the dangerous temptation to time the markets. Far too often, investors who make lots of short-term moves get whipsawed—they sell at the lows and miss the rebounds. This short-term mindset can have a very detrimental impact on returns.

Of course we strongly encourage you to seek out your investment professional, who can help address financial goals and risk considerations, as well as decide which Calamos closed-end funds are most appropriate for your income needs. Or visit us at www.calamos.com to learn more.

4   CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT

Conclusion

I founded Calamos Investments more than 40 years ago, during the difficult financial markets of the 1970s. Throughout the years, the economic and investment landscape have changed dramatically against a backdrop of technological advancements and globalization. However, our vision has remained constant. We are dedicated to providing innovative investment approaches that help investors achieve their financial goals, including through uncertain times.

As always, we thank you for your continued trust.

Sincerely,

John P. Calamos, Sr.

Founder, Chairman and Global Chief Investment Officer

Before investing, carefully consider a fund’s investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information or call 800.582.6959. Please read the prospectus carefully. Performance data represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. Opinions are as of the publication date, subject to change and may not come to pass. Information is for informational purposes only and should not be considered investment advice.

Diversification and asset allocation do not guarantee a profit or protection against a loss.

1The MSCI All Country World Index is a measure of global stock market performance, which returned -7.43% for the six-month period ending April 30, 2020. The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. For the six-month period, the index returned -3.16%. The MSCI Emerging Market Index is a measure of emerging market equity performance. For the six-month period, the index returned -10.39%.

The ICE BofA All U.S. Convertibles Ex-Mandatory Index represents the U.S. convertible securities market excluding mandatory convertibles. The index returned 2.50% for the six-month period. The Refinitiv Global Convertible Bond Index is designed to broadly represent the global convertible bond market. The index returned -0.52% for six-month period.

The Bloomberg Barclays U.S. Aggregate Bond Index is considered generally representative of the investment-grade bond market. For the six-month period ending April 30, 2020, the index returned 4.86%. The Bloomberg Barclays U.S. High Yield 2% Issuer Capped Index measures the performance of high yield corporate bonds with a maximum allocation of 2% to any one issuer. The index returned -6.60% for the six-month period. The Bloomberg Barclays U.S. Government/Credit 1-3 Years Index includes all medium and larger issues of U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds that have maturities of between 1 and 3 years and are publicly issued. The index returned 2.58% for the six-month period.

Source: Lipper, Inc and Mellon Analytical Solutions, LLC. Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Investments in overseas markets pose special risks, including currency fluctuation and political risks. These risks are generally intensified for investments in emerging markets. Countries, regions, and sectors mentioned are presented to illustrate countries, regions, and sectors in which a fund may invest. Fund holdings are subject to change daily. The Funds are actively managed. The information contained herein is based on internal research derived from various sources and does not purport to be statements of all material facts relating to the securities mentioned. The information contained herein, while not guaranteed as to accuracy or completeness, has been obtained from sources we believe to be reliable. There are certain risks involved with investing in convertible securities in addition to market risk, such as call risk, dividend risk, liquidity risk and default risk, which should be carefully considered prior to investing.

This information is being provided for informational purposes only and should not be considered investment advice or an offer to buy or sell any security in the portfolio. Investments in alternative strategies may not be suitable for all investors.

CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT   5

Enhanced Fixed Income and Total Return Strategies

Calamos closed-end funds draw upon decades of our pioneering experience, including a long history of opportunistically blending asset classes in an attempt to capture upside potential while seeking to manage downside risk. Our closed-end funds can be broadly grouped into two categories: enhanced fixed income and total return. The funds share a focus on producing income while offering exposure to various asset classes and sectors.

6   CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT

TOTAL RETURN* AS OF 4/30/20

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.

DYNAMIC CONVERTIBLE AND
INCOME FUND (CCD)

INVESTMENT TEAM DISCUSSION

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

Calamos Dynamic Convertible and Income Fund (CCD) is a total-return-oriented offering that seeks to provide a steady stream of income paid out on a monthly basis from a diversified portfolio of convertible and high yield securities. The allocation to each asset class is dynamic, reflecting our view of the economic landscape and the potential of individual securities. By combining these asset classes, we believe that we are well positioned over the long term to generate capital gains as well as income. The dynamic allocation of security types also enables us to manage the risk/reward characteristics of the portfolio over full market cycles.

The Fund provides an alternative to investing exclusively in investment-grade fixed income instruments. It seeks to be less sensitive to interest rates while providing equity exposure with convertibles. Like all seven Calamos closed-end funds, it seeks to provide a steady distribution paid out on a monthly basis by investing in multiple asset classes.

We seek companies with respectable balance sheets, reliable debt servicing and good prospects for sustainable growth. While we invest primarily in securities of U.S. issuers, we favor those companies with geographically diversified revenue streams and global-scale business strategies.

How did the Fund perform over the reporting period?

The Fund increased 0.92% on a net asset value (NAV) basis and decreased -9.96% on a market price basis for the six-month period ended April 30, 2020, versus a gain of 1.44% for the ICE BofA All U.S. Convertibles Index over the same period.

At the end of the reporting period, the Fund’s shares traded at a -7.61% discount to net asset value.

How do NAV and market price return differ?

Closed-end funds trade on exchanges, where the price of shares may be driven by factors other than the value of the underlying securities. Market price may be influenced by factors unrelated to the performance of the fund’s holdings, such as general market sentiment or future expectations. During periods of high market volatility, closed-end fund prices may disproportionately underperform relative to their underlying NAVs, as shareholders often times source them for liquidity purposes. A fund’s NAV return measures the actual return of the individual securities in the portfolio, less fund expenses. It also measures how a manager was able to capitalize on market opportunities. Because we believe closed-end funds are best-utilized long term within asset allocations, we think that NAV return is the better measure of a fund’s performance. However, when managing the Fund, we strongly consider actions and policies that we believe will optimize its overall price performance and market value return.

CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT   7

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 4/30/20

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.

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

Within the Fund, we employ a managed distribution policy with the goal of providing shareholders with a consistent distribution stream. In each month of the period, the Fund distributed $0.1670 per share, resulting in a current annualized distribution rate of 11.38% of market price as of April 30, 2020.

We believe that both the Fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of the marketplace. For example, as of April 30, 2020, the dividend yield of S&P 500 Index stocks averaged approximately 2.16%. Yields also were low within the U.S. government bond market, with the 10-year U.S. Treasury and 30-year U.S. Treasury yielding 0.64% and 1.28%, respectively.

What factors influenced performance over the reporting period?

The outbreak of COVID-19 has had a devastating impact on financial markets and global economies. Oil prices plummeted late in the first quarter, and stunned investors looked on as three-years of equity market gains evaporated in a matter of days. Fear of widespread liquidity issues took spreads on the broad high yield market out to 1100 basis points. As people everywhere braced for an uncertain and challenging global economy, world governing bodies and central banks stepped in to provide support. The Federal Reserve lowered its fed funds target by 150 basis points to 0%–0.25% and ramped up quantitative easing activities, while the U.S. Congress provided fiscal stimulus, passing the CARE package. In spite of COVID-19, convertible issuance was brisk, and we expect this pace to continue through the remainder of 2020.

The Fund has the ability to invest in a range of strategies including convertible securities, high yield, U.S. equities, and covered call writing. This enables the Fund to participate in a myriad of opportunities on behalf of our shareholders. Given this flexibility, we can attempt to mitigate COVID-19 market risk by adjusting our exposures across these multiple strategies. This flexibility will be helpful as we seek to reduce risk in vulnerable areas of the financial markets, and as we take advantage of opportunities around the globe in the midst of economic recovery.

8   CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT

In spite of the precipitous financial market declines in February and March, the convertible bond market, as measured by the ICE BofA All U.S. Convertibles Index, was able to eke out a return of 1.44% during the period. Issuance was strong, which presented us with a broad selection of investment opportunities.

In terms of economic sectors, our selection and overweight in the consumer discretionary sector (hotels, resorts & cruise lines) was helpful relative to the ICE BofA All U.S. Convertibles Index. Our selection in communication services (alternative carriers) was also additive.

Our overweight in energy (oil & gas equipment & services) was detrimental to performance. In addition, our slight underweight and selection in health care (biotechnology) was a hindrance.

How is the Fund positioned?

Our highest allocation of rated securities is currently in the BBB (investment-grade) credit tier, as we believe this exposure will offer investors a better risk/reward dynamic while continuing to provide regular income. Less than 2% of our holdings are in CCC rated and below credits. From an economic sector perspective, our heaviest weights reside in the information technology, health care and consumer discretionary sectors. We believe that these sectors should perform well as the market begins to re-engage growth, the U.S. consumer has more opportunities to access goods as the economy begins to reopen, and more opportunities arise in health care in the wake of the global pandemic. We continue to maintain significant positions in convertible securities, which we believe can provide income, benefit from an improving equity market, and manage overall portfolio risk. As of period end, 81% of the portfolio was invested in convertible securities.

The average credit quality of the portfolio is approximately BB+, which is higher than that of the ICE BofA All U.S. Convertibles Index. This is typical for the Fund, as our credit process tends to guide us away from the most speculative corporate securities. However, we do selectively invest in lower-credit securities when we believe the risk/return dynamics are favorable for our investors.

We have been using the recent market volatility to actively rebalance the portfolio with a combination of both cyclical and secular opportunities, primarily in technology, health care and select consumer sectors. We deployed proceeds to purchase convertibles that we expect will provide stronger risk/reward characteristics.

In addition, where the risk/reward is compelling, we are investing in global businesses with the ability to tap into the best opportunities around the world and diversify their revenue streams. Overall, we believe our companies are performing well fundamentally, earning attractive cash flow margins, and improving their credit profiles by using debt reasonably to fund their operations both during and post COVID-19.

Given interest rate levels, we believe this environment is conducive to the prudent use of leverage as a means of enhancing total return and supporting the Fund’s distribution rate during the financial markets recovery phase. As of April 30, 2020, our amount of leveraged assets was approximately 33%.

Our dynamic allocation mandate allows us to deploy assets over different asset classes to benefit our shareholders. Accordingly, we believe that active management in the convertible and high yield asset classes is essential to achieving desirable risk-managed results over time.

CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT   9

Our belief has always been that the flipside of volatility is opportunity, and the recent market drawdown has provided significant opportunities moving forward. Amid the market retreat, we sought to take advantage of convertibles trading at discounts, focusing on issues poised to capture significant equity upside while also providing downside risk mitigation. As equity prices declined, we were also able to revisit several names that we previously sold or trimmed because they had become overly equity sensitive

We are emphasizing investments in companies with solid cash-flow generation, solid balance sheets, and strong and proven management teams. We believe that the U.S. consumer will once again prove to be the driving force for recovery in both the U.S. and global economies. Accordingly, our investment focus will keep that catalyst top of mind. We believe our active, risk-managed investment approach positions us to harness the volatility and take advantage of opportunities in global equities and convertible securities.

What are your closing thoughts for Fund shareholders?

Given our outlook for eventual recovery from the market lows of March, the Fund’s ability to invest in a myriad of securities that offer exposure to multiple sectors and global regions will be paramount as we seek to both mitigate risk and optimize opportunities for our shareholders

We believe Fed actions and government fiscal policies will be extremely accommodative to economic recovery going forward. We are hopeful that we will begin to see a normalization of social activities later this year, which will serve as a positive catalyst to economic revitalization. That said, ongoing risk assessment of our actively managed portfolio is imperative to optimizing returns during times of continued market volatility.

The convertible market has a relatively heavy concentration in the growth areas of the market that we favor—particularly in the technology and health care sectors. At the same time, the convertible market does not have significant exposure to the most challenged areas of the market (for example, brick-and-mortar retail, energy, airlines, hotels and rental cars). Given the little-understood long-term impact of COVID-19 and the upcoming U.S. presidential election, we expect uncertainty will dog the market, but believe that our focus on continually seeking to improve the overall risk/reward of the portfolio will serve investors well during the potentially challenging and volatile days ahead.