N-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21484

 

 

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:

   Calamos Strategic Total Return Fund

 

ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:   

2020 Calamos Court, Naperville

Illinois 60563-2787

NAME AND ADDRESS OF AGENT FOR SERVICE:   

John P. Calamos, Sr., Founder, Chairman

and Global Chief Investment Officer

Calamos Advisors LLC,

2020 Calamos Court,

Naperville, Illinois

60563-2787

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200

DATE OF FISCAL YEAR END: October 31, 2017

DATE OF REPORTING PERIOD: July 31, 2017

 

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

  

Calamos Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)
               
PRINCIPAL
AMOUNT
      VALUE  
           
CORPORATE BONDS (17.5%)        
      Consumer Discretionary (4.3%)        
  574,000   Altice US Finance I Corp.*µ
5.500%, 05/15/26
  $ 609,221  
  828,000   AV Homes, Inc.*
6.625%, 05/15/22
    858,595  
  1,220,000   Beverages & More, Inc.*
11.500%, 06/15/22
    1,160,946  
  5,699,000   CalAtlantic Group, Inc.
5.375%, 10/01/22
    6,203,846  
  2,297,000   CCO Holdings, LLC / CCO
Holdings Capital Corp.*
5.125%, 05/01/27
    2,376,890  
  957,000   Cedar Fair, LP*
5.375%, 04/15/27
    1,011,358  
      Century Communities, Inc.        
  1,674,000   6.875%, 05/15/22     1,762,010  
  330,000   5.875%, 07/15/25*     331,305  
  3,254,000   Dana Financing Luxembourg Sarl*
6.500%, 06/01/26
    3,492,176  
      DISH DBS Corp.^        
  3,570,000   6.750%, 06/01/21     3,948,491  
  1,847,000   5.875%, 11/15/24     2,008,760  
      GameStop Corp.*        
  1,258,000   5.500%, 10/01/19µ     1,294,501  
  1,053,000   6.750%, 03/15/21^     1,092,240  
  2,078,000   Golden Nugget, Inc.*
8.500%, 12/01/21
    2,205,745  
      L Brands, Inc.µ        
  3,828,000   6.875%, 11/01/35     3,689,867  
  2,632,000   5.625%, 02/15/22^     2,767,048  
  2,330,000   Liberty Interactive, LLC
8.250%, 02/01/30
    2,551,117  
  301,000   Mclaren Finance, PLC*
5.750%, 08/01/22
    309,554  
      Meritage Homes Corp.µ        
  3,139,000   7.000%, 04/01/22     3,581,819  
  2,392,000   7.150%, 04/15/20     2,654,438  
      PetSmart, Inc.*        
  612,000   5.875%, 06/01/25     589,558  
  560,000   8.875%, 06/01/25^     530,250  
  1,579,000   Reliance Intermediate Holdings, LP*
6.500%, 04/01/23
    1,690,809  
      Rite Aid Corp.        
  2,010,000   6.125%, 04/01/23*^     1,997,236  
  1,445,000   7.700%, 02/15/27     1,438,245  
  8,240,000   Royal Caribbean Cruises, Ltd.µ
7.500%, 10/15/27
    10,874,039  
  1,995,000   Salem Media Group, Inc.*
6.750%, 06/01/24
    2,074,201  
  1,252,000   Sally Holdings, LLC / Sally Capital, Inc.^
5.625%, 12/01/25
    1,285,209  
      SFR Group, SA*        
  2,488,000   6.000%, 05/15/22     2,605,608  
  1,340,000   7.375%, 05/01/26^     1,452,413  
  7,464,000   Sirius XM Radio, Inc.*
6.000%, 07/15/24
    8,057,575  
  2,140,000   Time, Inc.*^
5.750%, 04/15/22
    2,221,919  
               
PRINCIPAL
AMOUNT
      VALUE  
  3,727,000   ZF North America Capital, Inc.*
4.750%, 04/29/25
  $ 3,903,772  
            82,630,761  
               
      Consumer Staples (0.4%)        
  2,057,000   Fresh Market, Inc.*^
9.750%, 05/01/23
    1,692,130  
  4,498,000   JBS USA LUX SA / JBS USA
Finance, Inc.*
5.750%, 06/15/25
    4,459,587  
  2,057,000   The Nature’s Bounty Company*
7.625%, 05/15/21
    2,219,472  
            8,371,189  
               
      Energy (1.7%)        
  3,938,000   Atwood Oceanics, Inc.^
6.500%, 02/01/20
    3,887,909  
  1,273,000   Bill Barrett Corp.^
7.000%, 10/15/22
    1,159,900  
  1,196,000   Carrizo Oil & Gas, Inc.^
6.250%, 04/15/23
    1,190,594  
  2,345,000   DCP Midstream, LLC*‡
5.850%, 05/21/43
3 mo. USD LIBOR + 3.85%
    2,189,093  
      Energy Transfer Equity, LPµ        
  2,297,000   4.328%, 11/01/66‡
3 mo. USD LIBOR + 3.02%
    2,029,974  
  1,770,000   5.500%, 06/01/27     1,862,562  
  550,000   5.875%, 01/15/24     594,633  
  2,775,000   Gulfmark Offshore, Inc.@
6.375%, 03/15/22
    777,000  
      Gulfport Energy Corp.*        
  1,034,000   6.000%, 10/15/24     1,023,489  
  957,000   6.375%, 05/15/25^     958,282  
  1,914,000   Laredo Petroleum, Inc.
6.250%, 03/15/23
    1,972,769  
  3,321,000   MPLX, LPµ
4.875%, 06/01/25
    3,567,501  
      Oasis Petroleum, Inc.^        
  1,952,000   6.500%, 11/01/21     1,948,194  
  1,148,000   6.875%, 01/15/23     1,133,811  
  325,000   Rice Energy, Inc.
7.250%, 05/01/23
    349,903  
  6,220,000   SEACOR Holdings, Inc.
7.375%, 10/01/19
    6,314,855  
  957,000   Southwestern Energy Company^
6.700%, 01/23/25
    945,444  
  1,620,889   W&T Offshore, Inc.*
8.500%, 06/15/21
10.000% PIK rate
    1,146,779  
            33,052,692  
               
      Financials (1.8%)        
  3,942,000   Ally Financial, Inc.µ
8.000%, 11/01/31
    4,907,692  
  4,881,000   AON Corp.µ
8.205%, 01/01/27
    6,424,079  
  742,000   Ardonagh Midco 3, PLC*
8.625%, 07/15/23
    763,904  
  2,010,000   AssuredPartners, Inc.*
7.000%, 08/15/25
    2,032,713  
      CyrusOne, LP / CyrusOne
Finance Corp.*µ
       
  957,000   5.375%, 03/15/27     1,010,807  


See accompanying Notes to Schedule of Investments

 

1 

 

 

Calamos Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)
               
PRINCIPAL
AMOUNT
      VALUE  
  278,000   5.000%, 03/15/24   $ 289,559  
  1,804,000   Dell International, LLC / EMC
Corp.*µ
6.020%, 06/15/26
    2,012,912  
  1,866,000   Equinix, Inc.
5.375%, 05/15/27
    2,017,398  
  957,000   HUB International, Ltd.*
7.875%, 10/01/21
    1,002,156  
      Jefferies Finance, LLC*        
  5,766,000   7.375%, 04/01/20^     5,937,539  
  2,488,000   7.250%, 08/15/24     2,495,240  
  1,148,000   Lions Gate Entertainment Corp.*^
5.875%, 11/01/24
    1,209,728  
      Navient Corp.        
  928,000   6.750%, 06/25/25     976,353  
  550,000   6.500%, 06/15/22^     586,658  
  478,000   Oil Insurance, Ltd.*‡
4.278%, 12/31/49
3 mo. USD LIBOR + 2.98%
    435,250  
  2,297,000   Quicken Loans, Inc.*^
5.750%, 05/01/25
    2,413,033  
  612,000   Towne Bank‡
4.500%, 07/30/27
3 mo. USD LIBOR + 2.55%
    621,954  
            35,136,975  
               
      Health Care (2.2%)        
  5,340,000   Acadia Healthcare Company, Inc.
6.500%, 03/01/24
    5,767,814  
  941,000   Alere, Inc.
6.500%, 06/15/20
    957,745  
  6,015,000   Community Health Systems, Inc.^
7.125%, 07/15/20
    5,829,467  
  1,215,000   Endo International, PLC*^
7.250%, 01/15/22
    1,206,963  
  2,488,000   Endo, Ltd.*^
6.000%, 07/15/23
    2,157,220  
  1,244,000   Greatbatch, Ltd.*
9.125%, 11/01/23
    1,366,802  
  8,522,000   HCA Holdings, Inc.
5.875%, 05/01/23
    9,316,208  
  981,000   Hologic, Inc.*µ
5.250%, 07/15/22
    1,037,658  
  3,445,000   Mallinckrodt International Finance,
SA / Mallinckrodt CB, LLC*^
5.625%, 10/15/23
    3,294,247  
  2,790,000   Teleflex, Inc.
5.250%, 06/15/24
    2,929,932  
  3,445,000   Tenet Healthcare Corp.^
6.750%, 06/15/23
    3,417,905  
      Valeant Pharmaceuticals
International, Inc.*
       
  5,957,000   7.250%, 07/15/22^     5,636,365  
  172,000   7.000%, 03/15/24     183,424  
            43,101,750  
               
      Industrials (2.0%)        
  1,244,000   ACCO Brands Corp.*
5.250%, 12/15/24
    1,297,716  
  364,000   Allison Transmission, Inc.*µ
5.000%, 10/01/24
    376,491  
      Covanta Holding Corp.        
  813,000   5.875%, 03/01/24     795,858  
  258,000   5.875%, 07/01/25     252,208  
               
PRINCIPAL
AMOUNT
      VALUE  
  491,000   DAE Funding, LLC*
5.000%, 08/01/24
  $ 501,652    
  2,014,000   Garda World Security Corp.*
7.250%, 11/15/21
    2,058,560  
  933,000   Great Lakes Dredge & Dock Co.*
8.000%, 05/15/22
    955,523  
  4,407,000   H&E Equipment Services, Inc.^
7.000%, 09/01/22
    4,580,988  
  244,000   Hertz Corp.*^
7.625%, 06/01/22
    241,456  
  254,000   Icahn Enterprises, LPµ
4.875%, 03/15/19
    257,528  
      IHO Verwaltungs GmbH*        
  574,000   4.500%, 09/15/23        
      5.250% PIK Rate     591,958  
  574,000   4.125%, 09/15/21        
      4.875% PIK Rate     585,253  
  464,000   Kar Auction Services, Inc.*
5.125%, 06/01/25
    484,281  
      Meritor, Inc.        
  3,594,000   6.750%, 06/15/21     3,720,491  
  1,787,000   6.250%, 02/15/24     1,886,581  
      Michael Baker International, LLC*        
  1,859,000   8.250%, 10/15/18     1,855,765  
  1,388,047   8.875%, 04/15/19
9.625% PIK rate
    1,369,267  
  2,364,000   Navistar International Corp.^
8.250%, 11/01/21
    2,394,436  
  1,967,000   Park-Ohio Industries, Inc.*^
6.625%, 04/15/27
    2,088,236  
  1,435,000   TransDigm, Inc.^
6.500%, 07/15/24
    1,521,817  
  2,201,000   United Continental Holdings, Inc.
6.375%, 06/01/18
    2,286,421  
      United Rentals North America, Inc.        
  2,201,000   6.125%, 06/15/23^     2,297,206  
  1,869,000   7.625%, 04/15/22^     1,955,488  
  1,225,000   4.875%, 01/15/28     1,228,063  
  1,818,000   United States Steel Corp.*
8.375%, 07/01/21
    2,014,280  
  646,000   WESCO Distribution, Inc.^
5.375%, 06/15/24
    679,598  
            38,277,121  
               
      Information Technology (2.1%)        
  1,863,000   Alliance Data Systems Corp.*
5.875%, 11/01/21
    1,934,567  
      Amkor Technology, Inc.^        
  2,947,000   6.375%, 10/01/22     3,081,678  
  2,896,000   6.625%, 06/01/21     2,963,882  
      Cardtronics, Inc.µ        
  1,751,000   5.125%, 08/01/22     1,797,384  
  1,407,000   5.500%, 05/01/25*     1,448,668  
  1,258,000   CBS Radio, Inc.*^
7.250%, 11/01/24
    1,330,146  
  464,000   CDK Global, Inc.*µ
4.875%, 06/01/27
    477,500  
  774,000   CDW, LLC / CDW Finance Corp.µ
5.000%, 09/01/23
    810,506  
      Clear Channel Worldwide
Holdings, Inc.
       
  2,048,000   7.625%, 03/15/20^     2,054,953  
  761,000   7.625%, 03/15/20     766,742  


See accompanying Notes to Schedule of Investments

 

2

 

 

Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
        CommScope Technologies,
LLC*µ
       
  2,249,000     6.000%, 06/15/25   $ 2,426,750  
  1,866,000     5.000%, 03/15/27     1,874,770  
 7,464,000   First Data Corp.*
7.000%, 12/01/23
   8,058,545 
     Nuance Communications, Inc.     
 1,244,000   6.000%, 07/01/24   1,333,120 
 1,148,000   5.625%, 12/15/26*µ   1,225,725 
 656,000   5.375%, 08/15/20*µ   667,605 
 971,000   VFH Parent, LLC*
6.750%, 06/15/22
   1,019,550 
 6,699,000   ViaSat, Inc.
6.875%, 06/15/20
   6,846,881 
         40,118,972 
           
     Materials (1.0%)     
     ArcelorMittal, SA     
 2,871,000   6.125%, 06/01/25^   3,294,630 
 2,158,000   7.500%, 10/15/39   2,547,897 
 1,316,000   Arconic, Inc.µ
5.125%, 10/01/24
   1,401,685 
     First Quantum Minerals, Ltd.*     
 753,000   7.000%, 02/15/21   782,209 
 383,000   7.250%, 04/01/23^   395,593 
 258,000   7.500%, 04/01/25^   265,268 
     Freeport-McMoRan, Inc.^     
 1,656,000   4.550%, 11/14/24   1,619,137 
 522,000   3.550%, 03/01/22   509,837 
 1,531,000   INEOS Group Holdings, SA*^
5.625%, 08/01/24
   1,585,565 
 699,000   Kinross Gold Corp.*µ
4.500%, 07/15/27
   697,235 
 699,000   New Gold, Inc.*
6.375%, 05/15/25
   725,412 
 1,282,000   Sealed Air Corp.*
5.250%, 04/01/23
   1,381,284 
 3,445,000   Trinseo Materials Operating, SCA*
6.750%, 05/01/22
   3,651,390 
         18,857,142 
           
     Real Estate (0.3%)     
 1,176,000   Crescent Communities, LLC/Crescent Ventures, Inc.*
8.875%, 10/15/21
   1,237,558 
     DuPont Fabros Technology, LPµ     
 1,053,000   5.875%, 09/15/21   1,090,950 
 751,000   5.625%, 06/15/23   803,702 
 249,000   Iron Mountain, Inc.*µ
6.000%, 10/01/20
   257,986 
 957,000   iStar, Inc.
6.000%, 04/01/22
   989,892 
 488,000   M/I Homes, Inc.*
5.625%, 08/01/25
   492,880 
         4,872,968 
           
     Telecommunication Services (1.4%)     
 933,000   CenturyLink, Inc.^
7.500%, 04/01/24
   1,015,640 
 957,000   CSC Holdings, LLC*µ
5.500%, 04/15/27
   1,017,181 
 2,829,000   Embarq Corp.µ
7.995%, 06/01/36
   2,881,054 
PRINCIPAL
AMOUNT
      VALUE 
     Frontier Communications Corp.     
 3,235,000   7.625%, 04/15/24^  $2,638,984 
 2,756,000   10.500%, 09/15/22   2,595,518 
 1,483,000   11.000%, 09/15/25   1,355,966 
 179,000   6.875%, 01/15/25^   141,848 
     Intelsat Jackson Holdings, SA     
 1,038,000   7.500%, 04/01/21   986,100 
 981,000   9.750%, 07/15/25*^   1,014,442 
 895,000   8.000%, 02/15/24*   972,843 
     Sprint Corp.     
 5,149,000   7.875%, 09/15/23^   5,846,612 
 2,833,000   7.125%, 06/15/24   3,130,366 
 2,129,000   T-Mobile USA, Inc.
6.625%, 04/01/23
   2,254,952 
 790,000   Windstream Corp.
7.750%, 10/15/20
   761,197 
 861,000   Windstream Services, LLC
7.750%, 10/01/21
   775,223 
         27,387,926 
           
     Utilities (0.3%)     
 2,775,000   AES Corp.µ
7.375%, 07/01/21
   3,179,734 
 1,924,000   NRG Energy, Inc.^
6.625%, 01/15/27
   1,979,209 
         5,158,943 
           
     TOTAL CORPORATE BONDS
(Cost $327,552,573)
   336,966,439 
      
Convertible Bonds (16.6%)       
     Consumer Discretionary (5.7%)     
 3,466,000   Ctrip.com International, Ltd.*
1.250%, 09/15/22
   3,926,649 
 7,300,000   DISH Network Corp.*
3.375%, 08/15/26
   9,075,579 
 7,429,000   Liberty Expedia Holdings, Inc.*^
1.000%, 06/30/47
   8,077,663 
     Liberty Interactive, LLC     
 14,120,000   1.750%, 09/30/46*   17,534,993 
 1,918,000   4.000%, 11/15/29   1,310,176 
     Liberty Media Corp.     
 15,900,000   2.250%, 09/30/46*   17,105,538 
 14,750,000   1.375%, 10/15/23   18,692,159 
 4,850,000   Macquarie Infrastructure Corp.^
2.000%, 10/01/23
   4,805,137 
 16,580,000   Priceline Group, Inc.^
0.900%, 09/15/21
   19,877,513 
 7,800,000   Tesla, Inc.
2.375%, 03/15/22
   9,243,819 
         109,649,226 
           
     Energy (0.3%)     
 8,850,000   Nabors Industries, Inc.*^
0.750%, 01/15/24
   6,970,304 
           
     Financials (0.4%)     
 7,500,000   Ares Capital Corp.*^
3.750%, 02/01/22
   7,600,425 
           
     Health Care (0.6%)     
 5,100,000   Dexcom, Inc.*
0.750%, 05/15/22
   5,050,862 


See accompanying Notes to Schedule of Investments

 

3 

 

 

Calamos Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
 4,700,000   NuVasive, Inc.
2.250%, 03/15/21
  $5,871,827 
         10,922,689 
          
        Industrials (0.8%) 
 2,569,000   Air Lease Corp.
3.875%, 12/01/18
   3,716,315 
 4,400,000   Kaman Corp.*
3.250%, 05/01/24
   4,608,164 
 7,520,000   Pacira Pharmaceuticals, Inc.*
2.375%, 04/01/22
   7,595,689 
         15,920,168 
           
     Information Technology (7.9%)     
 4,200,000   Citrix Systems, Inc.
0.500%, 04/15/19
   4,995,480 
 4,900,000   Finisar Corp.*^
0.500%, 12/15/36
   4,907,693 
 6,100,000   Inphi Corp.*
0.750%, 09/01/21
   6,178,812 
 8,100,000   Intel Corp.
3.250%, 08/01/39
   13,990,522 
 7,500,000   Lumentum Holdings, Inc.*
0.250%, 03/15/24
   9,339,075 
 12,970,000   Microchip Technology, Inc.*
1.625%, 02/15/27
   14,376,207 
 6,300,000   NXP Semiconductors, NV
1.000%, 12/01/19
   7,546,802 
     ON Semiconductor Corp.^     
 5,822,000   1.000%, 12/01/20   6,266,015 
 5,000,000   1.625%, 10/15/23*   5,182,750 
 4,800,000   Pandora Media, Inc.
1.750%, 12/01/20
   4,562,736 
 14,420,000   Salesforce.com, Inc.
0.250%, 04/01/18
   19,978,982 
 6,700,000   Servicenow, Inc.*^
0.000%, 06/01/22
   6,992,589 
 7,600,000   Silicon Laboratories, Inc.*
1.375%, 03/01/22
   8,237,982 
 10,000,000   Square, Inc.*
0.375%, 03/01/22
   13,230,900 
 3,700,000   Veeco Instruments, Inc.^
2.700%, 01/15/23
   3,973,227 
 5,000,000   Viavi Solutions, Inc.*
1.000%, 03/01/24
   5,386,900 
 4,313,000   WebMD Health Corp.
2.625%, 06/15/23
   4,322,402 
 6,000,000   Workday, Inc.^
0.750%, 07/15/18
   7,707,840 
 4,760,000   Yahoo!, Inc.
0.000%, 12/01/18
   5,626,058 
         152,802,972 
           
     Materials (0.3%)     
 5,300,000   Royal Gold, Inc.
2.875%, 06/15/19
   5,888,565 
           
     Real Estate (0.6%)     
 5,300,000   Empire State Realty OP, LP*
2.625%, 08/15/19
   6,048,572 
PRINCIPAL
AMOUNT
      VALUE 
 4,520,000   Starwood Waypoint Homes*
3.500%, 01/15/22
  $4,895,025 
         10,943,597 
           
     TOTAL CONVERTIBLE BONDS
(Cost $299,787,832)
   320,697,946 
      
U.S. Government and Agency Securities (0.3%)       
     United States Treasury Note     
 6,172,000   2.000%, 11/15/26^   6,032,900 
 574,000   0.875%, 08/15/17   573,950 
           
     TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES
(Cost $6,509,512)
   6,606,850 
      
SYNTHETIC CONVERTIBLE SECURITIES (0.9%) ¤     
Corporate Bonds (0.8%)       
     Consumer Discretionary (0.2%)     
 26,000   Altice US Finance I Corp.*µ
5.500%, 05/15/26
   27,595 
 37,000   AV Homes, Inc.*
6.625%, 05/15/22
   38,367 
 55,000   Beverages & More, Inc.*
11.500%, 06/15/22
   52,338 
 256,000   CalAtlantic Group, Inc.
5.375%, 10/01/22
   278,678 
 103,000   CCO Holdings, LLC / CCO
Holdings Capital Corp.*
5.125%, 05/01/27
   106,582 
 43,000   Cedar Fair, LP*
5.375%, 04/15/27
   45,442 
     Century Communities, Inc.     
 75,000   6.875%, 05/15/22   78,943 
 15,000   5.875%, 07/15/25*   15,059 
 146,000   Dana Financing Luxembourg Sarl*
6.500%, 06/01/26
   156,687 
     DISH DBS Corp.^     
 160,000   6.750%, 06/01/21   176,963 
 83,000   5.875%, 11/15/24   90,269 
     GameStop Corp.*     
 57,000   5.500%, 10/01/19µ   58,654 
 47,000   6.750%, 03/15/21^   48,752 
 93,000   Golden Nugget, Inc.*
8.500%, 12/01/21
   98,717 
     L Brands, Inc.µ     
 172,000   6.875%, 11/01/35   165,793 
 118,000   5.625%, 02/15/22^   124,055 
 105,000   Liberty Interactive, LLC
8.250%, 02/01/30
   114,965 
 14,000   Mclaren Finance, PLC*
5.750%, 08/01/22
   14,398 
     Meritage Homes Corp.µ     
 141,000   7.000%, 04/01/22   160,891 
 108,000   7.150%, 04/15/20   119,849 
     PetSmart, Inc.*     
 28,000   5.875%, 06/01/25   26,973 
 25,000   8.875%, 06/01/25^   23,672 
 71,000   Reliance Intermediate Holdings,
LP*
6.500%, 04/01/23
   76,028 
     Rite Aid Corp.     
 90,000   6.125%, 04/01/23*^   89,429 


See accompanying Notes to Schedule of Investments

 

4

 

 

Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

PRINCIPAL
AMOUNT
     VALUE 
 65,000  7.700%, 02/15/27  $64,696 
 370,000  Royal Caribbean Cruises, Ltd.µ
7.500%, 10/15/27
   488,276 
 90,000  Salem Media Group, Inc.*
6.750%, 06/01/24
   93,573 
 56,000  Sally Holdings, LLC / Sally
Capital, Inc.^
5.625%, 12/01/25
   57,485 
    SFR Group, SA*     
 112,000  6.000%, 05/15/22   117,294 
 60,000  7.375%, 05/01/26^   65,033 
 336,000  Sirius XM Radio, Inc.*
6.000%, 07/15/24
   362,721 
 96,000  Time, Inc.*^
5.750%, 04/15/22
   99,675 
 168,000  ZF North America Capital, Inc.*
4.750%, 04/29/25
   175,968 
        3,713,820 
          
   Consumer Staples (0.0%)      
 93,000  Fresh Market, Inc.*^
9.750%, 05/01/23
   76,504 
 202,000  JBS USA LUX SA / JBS USA Finance, Inc.*
5.750%, 06/15/25
   200,275 
 93,000  The Nature’s Bounty Company*
7.625%, 05/15/21
   100,345 
        377,124 
          
    Energy (0.1%)      
 177,000  Atwood Oceanics, Inc.^
6.500%, 02/01/20
   174,749 
 57,000  Bill Barrett Corp.^
7.000%, 10/15/22
   51,936 
 54,000  Carrizo Oil & Gas, Inc.^
6.250%, 04/15/23
   53,756 
 105,000  DCP Midstream, LLC*‡
5.850%, 05/21/43
3 mo. USD LIBOR + 3.85%
   98,019 
    Energy Transfer Equity, LPµ     
 80,000  5.500%, 06/01/27   84,184 
 25,000  5.875%, 01/15/24   27,029 
 103,000  Energy Transfer Partners, LPµ‡
4.328%, 11/01/66
3 mo. USD LIBOR + 3.02%
   91,026 
 125,000  Gulfmark Offshore, Inc.@
6.375%, 03/15/22
   35,000 
    Gulfport Energy Corp.*     
 46,000  6.000%, 10/15/24   45,532 
 43,000  6.375%, 05/15/25^   43,058 
 86,000  Laredo Petroleum, Inc.
6.250%, 03/15/23
   88,641 
 149,000  MPLX, LPµ
4.875%, 06/01/25
   160,060 
    Oasis Petroleum, Inc.^     
 88,000  6.500%, 11/01/21   87,828 
 52,000  6.875%, 01/15/23   51,357 
 15,000  Rice Energy, Inc.
7.250%, 05/01/23
   16,149 
 280,000  SEACOR Holdings, Inc.
7.375%, 10/01/19
   284,270 
 43,000  Southwestern Energy Company^
6.700%, 01/23/25
   42,481 

PRINCIPAL
AMOUNT
     VALUE 
 73,000  W&T Offshore, Inc.*
8.500%, 06/15/21
10.000% PIK Rate
  $51,647 
        1,486,722 
          
    Financials (0.1%)     
 177,000  Ally Financial, Inc.µ
8.000%, 11/01/31
   220,361 
 219,000  AON Corp.µ
8.205%, 01/01/27
   288,235 
 33,000  Ardonagh Midco 3, PLC*
8.625%, 07/15/23
   33,974 
 90,000  AssuredPartners, Inc.*
7.000%, 08/15/25
   91,017 
    CyrusOne, LP / CyrusOne Finance Corp.*µ     
 43,000  5.375%, 03/15/27   45,418 
 12,000  5.000%, 03/15/24   12,499 
 81,000  Dell International, LLC / EMC Corp.*µ
6.020%, 06/15/26
   90,380 
 84,000  Equinix, Inc.
5.375%, 05/15/27
   90,815 
 43,000  HUB International, Ltd.*
7.875%, 10/01/21
   45,029 
    Jefferies Finance, LLC*     
 259,000  7.375%, 04/01/20^   266,705 
 112,000  7.250%, 08/15/24   112,326 
 52,000  Lions Gate Entertainment Corp.*^
5.875%, 11/01/24
   54,796 
    Navient Corp.     
 42,000  6.750%, 06/25/25   44,188 
 25,000  6.500%, 06/15/22^   26,666 
 22,000  Oil Insurance, Ltd.*‡
4.278%, 12/31/49
3 mo. USD LIBOR + 2.98%
   20,033 
 103,000  Quicken Loans, Inc.*^
5.750%, 05/01/25
   108,203 
 28,000  Towne Bank‡
4.500%, 07/30/27
3 mo. USD LIBOR + 2.55%
   28,455 
        1,579,100 
          
    Health Care (0.1%)      
 240,000  Acadia Healthcare Company, Inc.
6.500%, 03/01/24
   259,228 
 42,000  Alere, Inc.
6.500%, 06/15/20
   42,747 
 270,000  Community Health Systems, Inc.^
7.125%, 07/15/20
   261,672 
 55,000  Endo International, PLC*^
7.250%, 01/15/22
   54,636 
 112,000  Endo, Ltd.*^
6.000%, 07/15/23
   97,110 
 56,000  Greatbatch, Ltd.*
9.125%, 11/01/23
   61,528 
 383,000  HCA Holdings, Inc.
5.875%, 05/01/23
   418,694 
 44,000  Hologic, Inc.*µ
5.250%, 07/15/22
   46,541 
 155,000  Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*^
5.625%, 10/15/23
   148,217 
 125,000  Teleflex, Inc.
5.250%, 06/15/24
   131,269 

 

See accompanying Notes to Schedule of Investments

 

5 

 

 

Calamos Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

PRINCIPAL
AMOUNT
     VALUE 
 155,000  Tenet Healthcare Corp.^
6.750%, 06/15/23
  $153,781 
    Valeant Pharmaceuticals International, Inc.*     
 268,000  7.250%, 07/15/22^   253,575 
 8,000  7.000%, 03/15/24   8,531 
        1,937,529 
          
    Industrials (0.1%)     
 56,000  ACCO Brands Corp.*
5.250%, 12/15/24
   58,418 
 16,000  Allison Transmission, Inc.*µ
5.000%, 10/01/24
   16,549 
    Covanta Holding Corp.     
 37,000  5.875%, 03/01/24   36,220 
 12,000  5.875%, 07/01/25   11,731 
 22,000  DAE Funding, LLC*
5.000%, 08/01/24
   22,477 
 91,000  Garda World Security Corp.*
7.250%, 11/15/21
   93,013 
 42,000  Great Lakes Dredge & Dock Co.*
8.000%, 05/15/22
   43,014 
 198,000  H&E Equipment Services, Inc.^
7.000%, 09/01/22
   205,817 
 11,000  Hertz Corp.*^
7.625%, 06/01/22
   10,885 
 11,000  Icahn Enterprises, LPµ
4.875%, 03/15/19
   11,153 
    IHO Verwaltungs GmbH*     
 26,000  4.500%, 09/15/23
5.250% PIK Rate
   26,813 
 26,000  4.125%, 09/15/21
4.875% PIK Rate
   26,510 
 21,000  Kar Auction Services, Inc.*
5.125%, 06/01/25
   21,918 
    Meritor, Inc.     
 162,000  6.750%, 06/15/21   167,702 
 80,000  6.250%, 02/15/24   84,458 
    Michael Baker International, LLC*     
 84,000  8.250%, 10/15/18   83,854 
 62,000  8.875%, 04/15/19
9.625% PIK Rate
   61,161 
 106,000  Navistar International Corp.^
8.250%, 11/01/21
   107,365 
 88,000  Park Ohio Industries, Inc.*^
6.625%, 04/15/27
   93,424 
 65,000  TransDigm, Inc.^
6.500%, 07/15/24
   68,933 
 99,000  United Continental Holdings, Inc.
6.375%, 06/01/18
   102,842 
    United Rentals North America, Inc.     
 99,000  6.125%, 06/15/23^   103,327 
 84,000  7.625%, 04/15/22^   87,887 
 55,000  4.875%, 01/15/28   55,138 
 82,000  United States Steel Corp.*
8.375%, 07/01/21
   90,853 
 29,000  WESCO Distribution, Inc.^
5.375%, 06/15/24
   30,508 
        1,721,970 
          
    Information Technology (0.1%)      
 84,000  Alliance Data Systems Corp.*
5.875%, 11/01/21
   87,227 

PRINCIPAL
AMOUNT
     VALUE 
    Amkor Technology, Inc.^     
 133,000  6.375%, 10/01/22  $139,078 
 130,000  6.625%, 06/01/21   133,047 
    Cardtronics, Inc.µ     
 79,000  5.125%, 08/01/22   81,093 
 63,000  5.500%, 05/01/25*   64,866 
 57,000  CBS Radio, Inc.*^
7.250%, 11/01/24
   60,269 
 21,000  CDK Global, Inc.*µ
4.875%, 06/01/27
   21,611 
 35,000  CDW, LLC / CDW Finance Corp.µ
5.000%, 09/01/23
   36,651 
    Clear Channel Worldwide Holdings, Inc.     
 92,000  7.625%, 03/15/20^   92,312 
 34,000  7.625%, 03/15/20   34,256 
    CommScope Technologies, LLC*µ     
 101,000  6.000%, 06/15/25   108,982 
 84,000  5.000%, 03/15/27   84,395 
 336,000  First Data Corp.*
7.000%, 12/01/23
   362,764 
    Nuance Communications, Inc.     
 56,000  6.000%, 07/01/24   60,012 
 52,000  5.625%, 12/15/26*µ   55,521 
 30,000  5.375%, 08/15/20*µ   30,531 
 44,000  VFH Parent, LLC*
6.750%, 06/15/22
   46,200 
 301,000  ViaSat, Inc.
6.875%, 06/15/20
   307,644 
        1,806,459 
          
    Materials (0.0%)     
    ArcelorMittal, SA     
 129,000  6.125%, 06/01/25^   148,035 
 97,000  7.500%, 10/15/39   114,525 
 59,000  Arconic, Inc.µ
5.125%, 10/01/24
   62,841 
    First Quantum Minerals, Ltd.*     
 34,000  7.000%, 02/15/21   35,319 
 17,000  7.250%, 04/01/23^   17,559 
 12,000  7.500%, 04/01/25^   12,338 
    Freeport-McMoRan, Inc.^     
 74,000  4.550%, 11/14/24   72,353 
 23,000  3.550%, 03/01/22   22,464 
 69,000  INEOS Group Holdings, SA*^
5.625%, 08/01/24
   71,459 
 31,000  Kinross Gold Corp.*µ
4.500%, 07/15/27
   30,922 
 31,000  New Gold, Inc.*
6.375%, 05/15/25
   32,171 
 58,000  Sealed Air Corp.*
5.250%, 04/01/23
   62,492 
 155,000  Trinseo Materials Operating, SCA*
6.750%, 05/01/22
   164,286 
        846,764 
          
    Real Estate (0.0%)      
 53,000  Crescent Communities, LLC/Crescent Ventures, Inc.*
8.875%, 10/15/21
   55,774 
    DuPont Fabros Technology, LPµ     
 47,000  5.875%, 09/15/21   48,694 
 34,000  5.625%, 06/15/23   36,386 

 

See accompanying Notes to Schedule of Investments

 

6

 

 

Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

        
        
PRINCIPAL
AMOUNT
     VALUE 
 11,000  Iron Mountain, Inc.*µ
6.000%, 10/01/20
  $11,397 
 43,000  iStar, Inc.
6.000%, 04/01/22
   44,478 
 22,000  M/I Homes, Inc.*
5.625%, 08/01/25
   22,220 
        218,949 
          
    Telecommunication Services (0.1%)      
 42,000  CenturyLink, Inc.^
7.500%, 04/01/24
   45,720 
 43,000  CSC Holdings, LLC*µ
5.500%, 04/15/27
   45,704 
 127,000  Embarq Corp.µ
7.995%, 06/01/36
   129,337 
    Frontier Communications Corp.     
 145,000  7.625%, 04/15/24^   118,285 
 124,000  10.500%, 09/15/22   116,779 
 67,000  11.000%, 09/15/25   61,261 
 8,000  6.875%, 01/15/25^   6,340 
    Intelsat Jackson Holdings, SA     
 47,000  7.500%, 04/01/21   44,650 
 44,000  9.750%, 07/15/25*^   45,500 
 40,000  8.000%, 02/15/24*   43,479 
    Sprint Corp.     
 231,000  7.875%, 09/15/23^   262,297 
 127,000  7.125%, 06/15/24   140,331 
 96,000  T-Mobile USA, Inc.
6.625%, 04/01/23
   101,679 
 35,000  Windstream Corp.
7.750%, 10/15/20
   33,724 
 39,000  Windstream Services, LLC
7.750%, 10/01/21
   35,115 
        1,230,201 
          
    Utilities (0.0%)     
 125,000  AES Corp.µ
7.375%, 07/01/21
   143,231 
 86,000  NRG Energy, Inc.^
6.625%, 01/15/27
   88,468 
        231,699 
          
    TOTAL CORPORATE BONDS   15,150,337 
          
U.S. Government and Agency Securities (0.0%)     
    United States Treasury Note     
 278,000  2.000%, 11/15/26^   271,734 
 26,000  0.875%, 08/15/17   25,998 
          
    TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES   297,732 

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT
     VALUE 
Purchased Options (0.1%) #     
    Materials (0.0%)     
    United States Steel Corp.     
 95        
 9,500  Call, 10/20/17, Strike $27.00   8,360 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT
     VALUE 
 95        
 9,500  Call, 10/20/17, Strike $25.00  $13,775 
        22,135 
          
    Other (0.1%)     
    iShares MSCI EAFE ETF     
 13,990        
 1,399,000  Call, 09/15/17, Strike $66.00   2,126,480 
 6,875        
 687,500  Call, 09/15/17, Strike $67.00   577,500 
        2,703,980 
          
    TOTAL PURCHASED OPTIONS   2,726,115 
          
    TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
     
    (Cost $17,427,105)   18,174,184 

 

NUMBER OF
SHARES
     VALUE 
      
CONVERTIBLE PREFERRED STOCKS (8.2%)     
    Consumer Staples (0.6%)     
 111,900  Bunge, Ltd.
4.875%, 12/31/49
   12,189,849 
          
    Energy (1.0%)     
 84,885  CenterPoint Energy, Inc. (Time
Warner, Inc., Charter
Communications, Time, Inc.)**§
3.399%, 09/15/29
   6,487,336 
 114,350  Hess Corp.
8.000%, 02/01/19
   6,432,188 
    NuStar Energy, LP‡     
 165,000  7.625%, 12/31/49
3 mo. USD LIBOR + 5.64%
   4,243,800 
 53,034  8.500%, 12/31/49
3 mo. USD LIBOR + 6.77%
   1,407,522 
        18,570,846 
          
    Health Care (2.2%)     
 17,847  Allergan, PLC
5.500%, 03/01/18
   15,955,396 
 374,395  Anthem, Inc.
5.250%, 05/01/18
   19,273,855 
 133,000  Becton Dickinson and Company
6.125%, 05/01/20
   7,433,370 
        42,662,621 
          
    Industrials (0.7%)     
 122,000  Rexnord Corp.
5.750%, 11/15/19
   6,517,850 
 64,000  Stanley Black & Decker, Inc.^
5.375%, 05/15/20
   6,869,120 
        13,386,970 
          
    Real Estate (1.1%)     
 105,279  American Tower Corp.
5.500%, 02/15/18
   12,601,896 
 7,690  Crown Castle International Corp.^
6.875%, 08/01/20
   8,206,976 
        20,808,872 


See accompanying Notes to Schedule of Investments

 

7 

 

 

Calamos Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

NUMBER OF
SHARES
     VALUE 
    Telecommunication Services (0.6%)     
 108,000  T-Mobile USA, Inc.
5.500%, 12/15/17
  $10,827,000 
          
    Utilities (2.0%)     
 40,398  Dominion Resources, Inc.^
6.750%, 08/15/19
   2,059,490 
 144,600  DTE Energy Company
6.500%, 10/01/19
   7,927,247 
 126,000  Great Plains Energy, Inc.^
7.000%, 09/15/19
   7,030,800 
    NextEra Energy, Inc.     
 231,000  6.371%, 09/01/18   15,299,130 
 124,600  6.123%, 09/01/19^   6,922,776 
        39,239,443 
    TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $144,441,533)
   157,685,601 
          
COMMON STOCKS (85.4%)     
    Consumer Discretionary (12.1%)     
 36,300  Amazon.com, Inc.µ#   35,856,414 
 185,615  Carnival Corp.µ^   12,395,370 
 600,000  Comcast Corp. - Class Aµ   24,270,000 
 650,000  Ford Motor Company^   7,293,000 
 154,993  General Motors Company, Inc.^   5,576,648 
 154,215  Home Depot, Inc.   23,070,564 
 94,000  Lowe’s Companies, Inc.   7,275,600 
 123,000  McDonald’s Corp.µ^   19,082,220 
 71,990  Netflix, Inc.^#   13,077,704 
 222,342  Newell Rubbermaid, Inc.µ^   11,721,870 
 162,800  Nike, Inc. - Class Bµ^   9,613,340 
 324,000  Starbucks Corp.µ^   17,489,520 
 153,000  TJX Companies, Inc.µ   10,757,430 
 49,999  TopBuild Corp.µ^#   2,638,947 
 201,000  Walt Disney Companyµ^   22,095,930 
 60,000  Whirlpool Corp.µ^   10,672,800 
        232,887,357 
          
    Consumer Staples (7.5%)     
 505,000  Coca-Cola Company^   23,149,200 
 53,100  Costco Wholesale Corp.µ   8,416,881 
 340,000  Mondelez International, Inc. - Class A^   14,966,800 
 189,300  PepsiCo, Inc.µ   22,074,273 
 147,500  Philip Morris International, Inc.µ   17,214,725 
 342,000  Procter & Gamble Company   31,060,440 
 170,835  Wal-Mart Stores, Inc.µ^   13,665,092 
 177,650  Walgreens Boots Alliance, Inc.µ^   14,331,025 
        144,878,436 
          
    Energy (6.0%)     
 475,000  BP, PLC   16,691,500 
 325,000  Chevron Corp.µ^   35,486,750 
 60,000  Diamond Offshore Drilling, Inc.^#   745,200 
 117,000  EOG Resources, Inc.^   11,131,380 
 360,000  Exxon Mobil Corp.^   28,814,400 
 137,300  Halliburton Company   5,827,012 
 39,450  Marathon Petroleum Corp.   2,208,806 
 26,500  Pioneer Natural Resources Companyµ^   4,322,150 

NUMBER OF
SHARES
     VALUE 
 156,200  Schlumberger, Ltd.µ  $10,715,320 
        115,942,518 
          
    Financials (15.9%)     
 165,000  American Express Companyµ^~   14,062,950 
 292,940  American International Group, Inc.µ   19,172,923 
 1,032,250  Bank of America Corp.^   24,897,870 
 214,375  Bank of New York Mellon Corp.µ^   11,368,306 
 161,625  BB&T Corp.µ   7,648,095 
 44,895  Chubb Corp.   6,575,322 
 945,000  Citigroup, Inc.^   64,685,250 
 125,000  Discover Financial Services   7,617,500 
 111,650  E*TRADE Financial Corp.#   4,577,650 
 175,050  First Republic Bank^    17,562,767 
 25,600  Goldman Sachs Group, Inc.   5,768,448 
 567,000  JPMorgan Chase & Companyµ^   52,050,600 
 203,205  MetLife, Inc.   11,176,275 
 180,000  Morgan Stanley   8,442,000 
 85,200  PNC Financial Services Group, Inc.µ^   10,973,760 
 81,900  Prudential Financial, Inc.   9,273,537 
 277,726  Synchrony Financialµ   8,420,652 
 432,150  Wells Fargo & Company^   23,310,171 
        307,584,076 
          
    Health Care (10.9%)     
 139,700  Abbott Laboratoriesµ^   6,870,446 
 46,225  Aetna, Inc.µ   7,132,980 
 17,250  Alexion Pharmaceuticals, Inc.#   2,369,115 
 181,015  Baxter International, Inc.µ   10,947,787 
 68,900  Bristol-Myers Squibb Company   3,920,410 
 81,000  Celgene Corp.^#   10,968,210 
 300,000  Eli Lilly and Company   24,798,000 
 275,000  Johnson & Johnson   36,498,000 
 98,200  Medtronic, PLC   8,245,854 
 331,975  Merck & Company, Inc.   21,206,563 
 740,400  Pfizer, Inc.µ   24,551,664 
 93,375  Stryker Corp.^   13,735,462 
 42,800  Thermo Fisher Scientific, Inc.^   7,512,684 
 139,700  UnitedHealth Group, Inc.µ   26,795,857 
 29,000  Waters Corp.#   5,029,760 
        210,582,792 
          
    Industrials (10.3%)     
 21,850  Boeing Company^   5,297,751 
 103,225  Caterpillar, Inc.µ^   11,762,489 
 220,200  CSX Corp.µ^   10,864,668 
 162,000  Delta Air Lines, Inc.   7,996,320 
 185,000  Eaton Corp., PLC^   14,476,250 
 1,087,514  General Electric Company^   27,851,234 
 118,650  Honeywell International, Inc.µ^   16,150,638 
 46,281  Lockheed Martin Corp.^   13,520,068 
 450,000  Masco Corp.   17,158,500 
 33,000  Northrop Grumman Corp.µ   8,683,290 
 135,000EUR Siemens, AG   18,319,729 
 188,000  Union Pacific Corp.µ   19,356,480 
 109,300  United Parcel Service, Inc. - Class
Bµ^
   12,054,697 
 120,464  United Technologies Corp.µ^   14,283,416 
        197,775,530 
          
    Information Technology (16.8%)     
 81,415  Accenture, PLC - Class A   10,487,880 


See accompanying Notes to Schedule of Investments

 

8

 

 

Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

NUMBER OF
SHARES
     VALUE 
 38,600  Alphabet, Inc. - Class A#  $36,496,300 
 12,534  Alphabet, Inc. - Class C#   11,662,887 
 504,140  Apple, Inc.^   74,980,742 
 547,000  Applied Materials, Inc.^   24,237,570 
 49,575  Broadcom, Ltd.^   12,228,170 
 225,000  Cisco Systems, Inc.   7,076,250 
 195,000  Facebook, Inc. - Class A#   33,003,750 
 56,750  Lam Research Corp.^   9,049,355 
 89,000  MasterCard, Inc. - Class A   11,374,200 
 641,000  Microsoft Corp.µ^   46,600,700 
 300,000  Nintendo Company, Ltd.µ^   12,720,030 
 1,820,000  Nokia Corp.µ^   11,629,800 
 118,300  Oracle Corp.^   5,906,719 
 160,000  Visa, Inc. - Class A^   15,929,600 
        323,383,953 
          
    Materials (2.0%)     
 400,000  Dow Chemical Company   25,696,000 
 99,750  E.I. du Pont de Nemours and
Company
   8,200,448 
 82,000  Nucor Corp.   4,728,940 
        38,625,388 
          
    Real Estate (1.0%)     
 54,627  American Tower Corp.^   7,447,299 
 70,275  Crown Castle International Corp.^   7,068,259 
 56,400  Welltower, Inc.^   4,139,196 
        18,654,754 
          
    Telecommunication Services (2.3%)     
 615,000  AT&T, Inc.µ^   23,985,000 
 450,000EUR Orange, SA   7,572,096 
 261,000  Verizon Communications, Inc.µ^   12,632,400 
        44,189,496 
          
    Utilities (0.6%)     
 295,194  Exelon Corp.   11,317,738 
          
    TOTAL COMMON STOCKS
(Cost $1,466,565,770)
   1,645,822,038 
          
RIGHT (0.0%) #     
    Consumer Discretionary (0.0%)     
 22,573  Motors Liquidation Company
(Cost $—)
   198,078 
      
WARRANT (0.1%) #     
    Consumer Discretionary (0.1%)     
 88,470  General Motors Company, Inc.
07/10/19, Strike $18.33
(Cost $5,539,299)
   1,585,382 
      
EXCHANGE-TRADED FUNDS (2.6%)     
    Other (2.6%)     
 237,925  iShares iBoxx High Yield
Corporate Bond ETF^
   21,153,912 
 21,750  iShares NASDAQ Biotechnology
ETF^
   6,940,207 

NUMBER OF
SHARES
     VALUE 
 566,000  SPDR Barclays Capital High Yield     
    Bond ETF^  $21,168,400 
          
    TOTAL EXCHANGE-TRADED FUNDS     
    (Cost $47,916,152)   49,262,519 
      
NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT
     VALUE 
      
PURCHASED OPTIONS (0.1%) #     
    Materials (0.0%)     
    United States Steel Corp.     
 95        
 9,500  Put, 10/20/17, Strike $21.00   9,643 
 95        
 9,500  Put, 10/20/17, Strike $19.00   4,750 
        14,393 
          
    Other (0.1%)     
    S&P 500 Index     
 660        
 66,000  Put, 09/15/17, Strike $2,400.00   864,600 
 380        
 38,000  Put, 09/15/17, Strike $2,350.00   319,200 
 377        
 37,700  Put, 09/15/17, Strike $2,375.00   382,655 
        1,566,455 
          
    TOTAL PURCHASED OPTIONS     
    (Cost $4,425,239)   1,580,848 

 

NUMBER OF
SHARES
     VALUE 
      
SHORT TERM INVESTMENTS (3.8%)     
 36,873,770  Fidelity Prime Money Market Fund
- Institutional Class
   36,888,519 
 36,681,147  Morgan Stanley Institutional
Liquidity Funds - Government
Portfolio
   36,681,147 
          
    TOTAL SHORT TERM INVESTMENTS     
    (Cost $73,569,666)   73,569,666 
          
TOTAL INVESTMENTS (135.5%)    
(Cost $2,393,734,681)  2,612,149,551 
      
LIABILITIES, LESS OTHER ASSETS (-35.5%)   (683,709,406)
          
NET ASSETS (100.0%)  $1,928,440,145 

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT
     VALUE 
      
WRITTEN OPTIONS (0.0%) #     
    Consumer Staples (0.0%)     
 855  Altria Group, Inc.     
 85,500  Put, 09/15/17, Strike $62.50   (93,195)
          
    Materials (0.0%)     
    United States Steel Corp.     


See accompanying Notes to Schedule of Investments

 

9 

 

 

Calamos Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JULY 31, 2017 (UNAUDITED)

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT
     VALUE 
 95        
 9,500  Put, 10/20/17, Strike $25.00  $(28,405)
 95        
 9,500  Put, 10/20/17, Strike $23.00   (17,480)
        (45,885)
          
    Other (0.0%)     
 528  S&P 500 Index     
 52,800  Put, 09/15/17, Strike $2,300.00   (300,960)
          
    TOTAL WRITTEN OPTIONS     
    (Premium $486,144)  $(440,040)

 

NOTES TO SCHEDULE OF INVESTMENTS

*Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.

µSecurity, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $442,833,860. $160,991,167 of the collateral has been re-registered by one of the counterparties, BNP (see Note 3 - Borrowings).

^Security, or portion of security, is on loan.

Variable rate security. The rate shown is the rate in effect at July 31, 2017.

@In default status and considered non-income producing.

¤The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security.
**Step Coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at July 31, 2017.

§Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.

#Non-income producing security.

~Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options. The aggregate value of such securities is $1,420,443.

 

FOREIGN CURRENCY ABBREVIATION

EUREuropean Monetary Unit

 

Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.



See accompanying Notes to Schedule of Investments

 

10

 

 

Note 1 – Organization and Significant Accounting Policies

Organization. Calamos Strategic Total Return Fund (the “Fund”) was organized as a Delaware statutory trust on December 31, 2003 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on March 26, 2004.

 

The Fund’s investment strategy is to provide total return through a combination of capital appreciation and current income. The Fund, under normal circumstances, will invest at least 50% of its managed assets in equity securities (including securities that are convertible into equity securities). The Fund may invest up to 35% of its managed assets in securities of foreign issuers, including debt and equity securities of corporate issuers and debt securities of government issuers in developed and emerging markets. The Fund may invest up to 15% of its managed assets in securities of foreign issuers in emerging markets. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).

 

Significant Accounting Policies. The schedule of investments have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:

 

Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

 

Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time a Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

 

Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

 

Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.

 

If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

 

The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.

 

When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.

 

Investment Transactions. Investment transactions are recorded on a trade date basis as of July 31, 2017.

 

 

 

 

Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.

 

Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.

 

Note 2 – Investments

The cost basis of investments for federal income tax purposes at July 31, 2017 was as follows*:

 

Cost basis of investments  $2,393,248,537 
Gross unrealized appreciation   369,284,313 
Gross unrealized depreciation   (150,823,339)
Net unrealized appreciation (depreciation)  $218,460,974 

 

* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report.

 

Note 3 – Borrowings

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $207.5 million and a lending agreement (“Lending Agreement”), as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”, together with the BNP Agreement, “Agreements”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to a limit of $622.5 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP Agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .20% on the undrawn balance. Interest on the SSB Agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is .20%). For the period ended July 31, 2017, the average borrowings under the Agreements were $682.0 million. For the period ended July 31, 2017, the average interest rate was 1.88%. As of July 31, 2017, the amount of total outstanding borrowings was $682.0 million ($170.5 million under the BNP Agreement and $511.5 million under the SSB Agreement), which approximates fair value. The interest rate applicable to the borrowings on July 31, 2017 was 1.29%.

 

The Lending Agreement with BNP is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the BNP Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the BNP Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities. The payment is disclosed on a net basis as Securities Lending Income in the Statement of Operations.

 

Under the terms of the Lending Agreement with BNP, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities, or equivalent securities in a timely fashion, BNP shall remain liable for the ultimate delivery of such Lent Securities, or equivalent securities, to be made to the Fund’s custodian, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.

 

Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC Release IC-10666. Under the terms of the 

 

 

 

 

 

Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. The Fund has the right to call a loan and obtain the securities loaned at any time. As of July 31, 2017, the Fund used approximately $469.2 million of its cash collateral to offset the SSB Agreement, representing 18.0% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.99%, which can fluctuate depending on interest rates. As of July 31, 2017, approximately $458.6 million of securities were on loan ($142.4 million of fixed income securities and $316.2 million of equity securities) under the SSB Agreement which are reflected in the Investment in securities, at value on the Statement of Assets and Liabilities.

 

Note 4 – Fair Value Measurement

Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:

 

Level 1 – Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

 

Level 2 – Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

 

Level 3 – Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

 

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Fund’s investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.

 

The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:

 
   LEVEL 1   LEVEL 2   LEVEL 3   TOTAL 
Assets:
Corporate Bonds  $   $336,966,439   $   $336,966,439 
Convertible Bonds       320,697,946        320,697,946 
U.S. Government and Agency Securities       6,606,850        6,606,850 
Synthetic Convertible Securities (Corporate Bonds)       15,150,337        15,150,337 
Synthetic Convertible Securities (U.S. Government and Agency Securities)       297,732        297,732 
Synthetic Convertible Securities (Purchased Options)   2,726,115            2,726,115 
Convertible Preferred Stocks   131,081,169    26,604,432        157,685,601 
Common Stocks U.S.   1,607,210,183    12,720,030        1,619,930,213 
Common Stocks Foreign       25,891,825        25,891,825 
Rights       198,078        198,078 
Warrants   1,585,382            1,585,382 
Exchange-Traded Funds   49,262,519            49,262,519 
Purchased Options   1,580,848            1,580,848 
Short Term Investments   73,569,666            73,569,666 
Total  $1,867,015,882   $745,133,669   $   $2,612,149,551 
Liabilities:                    
Written Options  $440,040   $   $   $440,040 
Total  $440,040   $   $   $440,040 

  

 

 

 

ITEM 2. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.

b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

(a) Certification of Principal Executive Officer.

(b) Certification of Principal Financial Officer.

 

 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Calamos Strategic Total Return Fund
By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:   September 1, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

Calamos Strategic Total Return Fund
By:   /s/     John P. Calamos, Sr.
Name:   John P. Calamos, Sr.
Title:   Principal Executive Officer
Date:   September 1, 2017
By:   /s/     Curtis Holloway
Name:   Curtis Holloway
Title: