SEC Form N-CSRS filed by Calamos Dynamic Convertible & Income Fund

TIMELY INFORMATION INSIDE

Dynamic Convertible and Income Fund (CCD)

SEMIANNUAL REPORT APRIL 30, 2023

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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 is $0.1950 per share as of April 30, 2023. 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.

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 months ending April 30, 2023. In this report, you will find commentary from our portfolio management team, a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and positioning of Calamos Dynamic Convertible and Income Fund (CCD).

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, CCD is managed to provide steady (although not assured) monthly distributions. As of April 30, 2023, the monthly per share distribution was $0.1950, and the annualized distribution rate was 10.70%^† on market price. In comparison, the dividend yield of S&P 500 Index stocks was 1.66%. Yields were also still relatively low within the US government bond market with the 10-year US Treasury yielding 3.45% at period end. Therefore, the Fund’s annualized distribution rate has soundly outdistanced both fixed income and equity alternatives. Moreover, the Fund had no return of capital associated with distributions in 2022, and there are no estimated return of capital components for fiscal year 2023 as of April 30, 2023.

Market Review and Outlook

For the period, stock markets around the world advanced. Market participants were encouraged by the prospect that the Federal Reserve would slow or pause its tightening cycle and by economic data that was often better than initially feared. Looking abroad, investors cheered the economic reopening in China.

2   CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT

In a reversal of fortunes from 2022, growth stocks outperformed their value counterparts by a wide margin. Technology and communication services companies, including many of the bellwether companies that struggled in 2022, dominated market leadership. Many areas of the fixed income market also posted healthy gains, with both investment grade and high yield benchmarks advancing.

Despite these advances, the period was also volatile. The failures of Silicon Valley Bank in the US and Credit Suisse overseas created a burst of fear and raised the specter of widespread bank runs. However, coordinated action by regulators and other large banks quickly dampened anxiety. Inflation has been another key focal point of investor concern. We expect inflation to continue to moderate through the summer months in an on-again, off-again fashion, punctuated by bouts of volatility in oil prices.

Despite economic and market uncertainties, we continue to see many opportunities across asset classes. We believe individual security selection and active management are essential, given the economic backdrop. In the “Investment Team Discussion,” our portfolio managers discuss where they see opportunities and how they are managing risk.

Perspectives on Asset Allocation

I’m often asked what I believe are the “secrets” of investing. It’s an easy question to answer—there are no secrets. However, there are some basic principles that I believe can best position investors for success.

One of the most fundamental principles is to stay focused on the long term. Trying to predict the short-term ups and downs in the market is a dangerous strategy. Far too often, I’ve seen people give in to emotions, which can result in selling into down markets but missing the up markets.

Another essential principle is diversification. Various investments tend to perform differently depending on interest rates, inflation, or the economic environment. The performance of investments can also be influenced by fiscal policy, political uncertainty, and the geopolitical landscape. Having a blend of assets can help smooth the performance of your portfolio because stronger returns in one area of your portfolio can offset weaker results elsewhere.

For investors who seek equity exposure with lower downside volatility, CCD continues to be a strong choice in our opinion for several reasons:

•Our ability to dynamically adjust the allocations of convertible and high yield securities enables us to deftly manage the risk/reward characteristics of the portfolio over full market cycles.

CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT   3

•We look beyond the short-term noise to identify pockets of opportunity 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 mindful of valuations.

Conclusion

As always, we thank you for your continued trust. To learn more about Calamos Investments’ views of the economy, markets and asset allocation, I invite you to visit our website, www.calamos.com.

Sincerely,

John P. Calamos, Sr.

Founder, Chairman and Global Chief Investment Officer

4   CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT

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.

CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT   5

AVERAGE ANNUAL TOTAL RETURN^† AS OF 4/30/23

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 80%VXAO-20%BBGUSHY2%Cap Index is blended from 80% - ICE BofA All US Convertibles Index (VXA0) and 20% - Bloomberg US HY 2% Issuer Capped 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.

6   CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT

TOTAL RETURN* AS OF 4/30/2023

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) seeks to provide total return through a combination of capital appreciation and current income. We invest in a diversified portfolio of convertible and high-yield securities. 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 combining these asset classes, we believe the Fund is well positioned over the long term to generate capital gains and income. The dynamic allocation of security types also provides us with opportunities to manage the risk/reward characteristics of the portfolio over full market cycles.

Through this approach, we seek to offer investors an attractive monthly distribution. The product provides an alternative to funds investing exclusively in investment grade fixed income instruments. It seeks to be less sensitive to interest rates while providing equity exposure using convertibles. We seek companies with respectable balance sheets, reliable debt servicing and good prospects for sustainable growth. Although we invest primarily in securities of US issuers, we favor companies that are actively participating in globalization with geographically diverse revenue streams and global-scale business strategies.

How did the Fund perform over the reporting period?

The Fund returned 0.95% on a net asset value (NAV) basis and 5.62% on a market price basis for the six months ended April 30, 2023 (“semi-annual period”), versus a return of 1.77% for a comparator index comprising 80% ICE BofA All US Convertibles Index and 20% Bloomberg US Corporate High Yield 2% Issuer Capped Index over the same period. At the end of the semiannual period, the Fund’s shares traded at a 13.44% premium to NAV.

How do NAV and market price returns differ?

Closed-end funds trade on exchanges where factors other than the value of underlying securities can drive share prices. The price of a share in the market is called market value. Factors unrelated to the performance of the Fund’s holdings, such as general market sentiment or future expectations, may influence the 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 manager capitalized on market opportunities. Because we believe closed-end funds are best used 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 can optimize its overall price performance and market value.

Please discuss the Fund’s distributions during the period.

We employ a managed distribution policy within this Fund to provide shareholders with a consistent distribution stream. The Fund’s monthly distribution at the end of the period was $0.1950 per share. The annualized distribution rate on the Fund’s market price on April 30, 2023, was 10.70%.

CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT   7

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 4/30/2023

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.

The Fund had no return of capital associated with distributions in 2022, nor have there been any estimated return of capital components for the fiscal year 2023 as of April 30, 2023.

We believe that both the Fund’s distribution rate and level remained attractive and competitive, given that low-but-rising interest rates limited yield opportunities in much of the marketplace. As of April 30, 2023, the dividend yield of S&P 500 Index stocks was 1.66%. Yields also were still relatively low within the US government bond market with the 10-year US Treasury yielding 3.45% at the period’s end.

What factors influenced performance over the period?

Our convertible bond holdings outperformed relative to the ICE BofA All US Convertibles Index because our holdings in the information technology and industrial sectors helped performance on both an absolute and relative basis. However, our holdings in communication services and energy were a drag on performance on both an absolute and relative basis.

During the semiannual period, investors focused on the Federal Reserve’s response to persistent inflation and the potential for a recession. Geopolitical concerns and regional bank stress also dominated the headlines. Despite those headwinds, the equity and bond markets began to recover from their 2022 lows.

The convertible market is well represented by small and mid-sized growth issuers, which lagged the broader equity market as evidenced by the Russell 2500 Growth Index’s 1.88% return finishing well behind the S&P 500 Index’s 8.63% return. Given 2022’s equity and bond market double-digit declines, convertibles moved closer to their bond floor. With more than half of the convertible market priced below par on average during the reporting period, convertibles held up much better than their underlying stocks by delivering a positive six-month return, whereas the average underlying stocks of the convertible market declined -2.40%.

The failure of Silicon Valley Bank and the take-under of Credit Suisse in March left the markets fixated on systemic risks to the banking sector and the implications for the broader economy. Despite First Republic’s failure in late April, which happened in relatively slow motion, the market appears satisfied that no systemic issue exists, largely due to regulators’ active steps to shore up liquidity facilities and alleviate

8   CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT

immediate stress. Central bank responses left little doubt that they view these recent events through a different lens than the collapse of Lehman Brothers in 2008 and the subsequent failures of financial institutions that ensued shortly thereafter.

Inflation remains stubbornly high. Although some are correct to highlight that headline measures are down 30%–35% across geographies, domestic core measures are only 10%–15% off peak levels and remain double the targeted inflation rate. We expect that the encouraging downward trend in inflation data from the painfully high 2022 base levels will roll off in September, at which point further reductions in the year-over-year data will become more challenged and less pronounced. The persistent labor shortage is another issue the Fed will continue to wrestle with. Job openings are well off the all-time highs recorded last year, but with 1.6 job openings for each active job seeker, the labor equation is still unbalanced. Despite recent events, we expect overnight rates to remain higher for longer.

Risk markets, driven by robust income and lower Treasury rates across intermediate maturities, held up well despite challenging developments as the high-yield market returned 6.2%, based on the Bloomberg US Corporate High Yield 2% Issuer Capped Index. Early earnings reports for the first calendar quarter of 2023 have generally been better than initially feared, supporting risk markets. At the same time, banks as well as several office and retail REIT bonds experienced losses for the quarter, and all sectors except communications delivered positive returns during the reporting period. Corporate credit spreads have seen greater volatility but ended the semiannual period within 10 basis points of where they began. The Bloomberg US Corporate High Yield 2% Issuer Capped Index closed the semiannual period with option-adjusted spreads at 452 basis points over like-maturity Treasuries, and with a yield of 8.48%.

Performance across credit quality during the reporting period was remarkably consistent. CCC-rated issuers led the way returning 6.4%. They were followed by BB-rated credits that returned 6.3%, and B-rated paper that returned 6.2%. At the beginning of the semiannual period, the trailing 12-month default rate was 1.6%, having increased from the all-time lows experienced during the pandemic. At the end of the reporting period, default rates had risen to 2.2%, still well below the long-term average of 3%. Regarding our general credit-quality positioning, an overweight position to out-of-benchmark BBB-rated bonds boosted performance, whereas security selection among our B-rated holdings was a detractor.

Other factors that affected Fund performance included the following:

•With financing costs increasing during the period, our use of leverage was not helpful to returns because our reinvestment rate was less than our associated costs because of a relatively flat convertible market. Although leverage can enhance returns during favorable markets, the opposite may occur during unfavorable conditions.

•On an unleveraged basis, the portfolio slightly outperformed the comparator index. Specifically, our selection in convertibles and use of put options proved helpful to performance.

•Our underweight in convertible preferred stocks as well as an underweight and selection in corporate bonds was detrimental to returns.

•From a sector standpoint, our selections in information technology, namely in semiconductors, boosted results. In the health care sector, an overweight and selection in the health care equipment industry was beneficial.

CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT   9

•Conversely, our underweight and selection in the financials sector, primarily an underweight in diversified banks, hindered relative performance. In addition, our selection in the energy sector, specifically an underweight and selection in oil & gas drilling, impeded the Fund’s return.

How is the Fund positioned?

New issuance in the convertible universe has improved, and we see ample investment opportunities that offer attractive risk/reward profiles. As of April 30, 2023, approximately 83% 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 markets. Moreover, convertibles provide income, are less susceptible to rising interest rates than longer-duration bonds, and can help mitigate overall portfolio risk.

We focus on actively managing the risk/reward tradeoffs within the portfolio. Some convertibles are more bond-like, some are more equity-like, and others offer balance. To take advantage of recent equity valuation resets, we have maintained a preference for the balanced portion of the convertible market. Balanced convertibles provide a favorable asymmetric risk/reward profile by offering an attractive level of upside equity participation with less exposure to downside moves. We also see opportunities within the bond-like segment of the convertible market in issues that can benefit from spread compression while offering attractive yields and sound structural risk mitigation during equity market weakness. Within this segment of the convertible market, most issuers retain substantial cash balances along with minimal near-term refinancing risk. We avoid the group’s most distressed names.

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 April 30, 2023, the average duration of these securities was 2.7 years. However, in our opinion the market’s pricing of multiple cuts in 2023 is too aggressive, and the market is looking through short-term developments in interest rates to eventual cuts that are more likely to occur in 2024. As such, we are shifting portfolio durations longer as the market has settled into lower-rate ranges that are out of sync with our higher-for-longer policy rate view.

While we do not consider a 2023 recession to be inevitable, our view of macroeconomic activity should not be confused with complacency. We agree with the market that the next move for fundamentals is in a weaker direction, and the time to prepare for that environment is underway. We are actively reducing exposure to credits we view as more susceptible to a downturn in cyclical activity, those with weak contingent liquidity, or those vulnerable to a rapid deterioration of asset value. We are maintaining allocations to select high-yield issuers that compensate us well for the risks taken as we follow our disciplined research process to identify value.

Growth sectors such as technology, health care and consumer discretionary remain the largest allocations in the portfolio. We favor companies that can execute well despite macro uncertainties and potentially benefit from increased demand for products and services that enhance productivity. We also are emphasizing companies that we believe are positioned to benefit from longer-term secular themes such as energy efficiency and cybersecurity. The portfolio’s significant relative underweight exposures are toward defensive areas, such as the real estate and consumer staples sectors, where we believe convertible structures are less attractive.

10   CALAMOS Dynamic Convertible and Income Fund SEMIANNUAL REPORT

From a credit-quality perspective, the Fund is positioned with a relative underweight in the BB category, although we continue to hold our largest rated-bond allocations in the BBB and BB tiers. We believe this exposure will offer investors a better risk/reward dynamic while providing regular income. We have an 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. The average credit quality of the portfolio in BB+ rated bonds is higher than that of the ICE BofA All US Convertibles Index. As of April 30, 2023, approximately 12% of our rated holdings are investment grade. 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.

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.

What are your closing thoughts for Fund shareholders?

Market volatility was observed throughout the reporting period as the United States and Europe experienced notable banking stresses while continuing to raise interest rates to combat persistently high inflation. Those factors have contributed to slowing economic growth, which we believe is likely to linger given tighter lending standards and higher capital costs. Heightened uncertainty and the probability of a recession are expected. However, provided the hot US job market can be cooled but not derailed and further banking dislocations can be contained, we do not believe a recession is imminent. With inflation peaking, supply chains normalizing, consumer resilience persisting, and a Federal Reserve close to ending rate hikes, a bullish case remains for equities and convertible securities.

Convertible new issuance was subdued in 2022 but has improved in 2023 with higher coupons and lower conversion premiums that are more favorable to investors. So far in 2023, global convertible issuance has totaled $25.4 billion, and we are optimistic about issuance prospects. We believe the pace will accelerate once macro uncertainty subsides and as companies increasingly recognize the benefits of issuing lower-coupon convertibles rather than traditional bonds in an environment of higher interest rates. We expect this increase in issuance will provide a broader opportunity set in terms of both economic sectors and credit quality.

Should the equity market continue to rebound from 2022’s lows, convertibles remain poised to participate in an attractive portion of their equity market’s upside. Should the market prove challenging, convertibles are situated near their bond floor and would be expected to provide defensive attributes. In this respect, we believe the current environment to be attractive for active managers within the convertible market because we can position the portfolio to capture the upside while mitigating the downside.

Although the credit market remains fundamentally strong with modest leverage and solid interest coverage, measures of revenue and earnings from high-yield companies are beginning to roll over. Through the Covid era, management teams wisely locked in fixed-rate funding at historically cheap levels, and refinancing needs are modest until 2025. Although default rates remain below long-term averages, they are increasing from the unsustainable pandemic-era lows, and we expect them to migrate to above 3% by year-end.