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, 2018
DATE OF REPORTING PERIOD: January 31, 2018
Calamos Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
CORPORATE BONDS (19.3%) | ||||||||
Consumer Discretionary (3.1%) | ||||||||
759,000 | AV Homes, Inc. 6.625%, 05/15/22 |
$ | 794,092 | |||||
1,118,000 | Beverages & More,
Inc.* 11.500%, 06/15/22 |
1,057,555 | ||||||
CCO Holdings, LLC
/ CCO Holdings Capital Corp.* |
||||||||
2,105,000 | 5.125%, 05/01/27^ | 2,055,490 | ||||||
443,000 | 5.000%, 02/01/28 | 428,879 | ||||||
877,000 | Cedar Fair, LP* 5.375%, 04/15/27 |
918,539 | ||||||
Century Communities, Inc. | ||||||||
1,534,000 | 6.875%, 05/15/22 | 1,596,442 | ||||||
1,359,000 | 5.875%, 07/15/25 | 1,381,193 | ||||||
1,272,000 | CRC Escrow Issuer,
LLC*^ 5.250%, 10/15/25 |
1,269,787 | ||||||
2,982,000 | Dana Financing Luxembourg
Sarl* 6.500%, 06/01/26 |
3,236,394 | ||||||
DISH DBS Corp. | ||||||||
3,096,000 | 5.875%, 11/15/24^ | 2,942,702 | ||||||
1,956,000 | 6.750%, 06/01/21 | 2,050,944 | ||||||
2,429,000 | Eldorado Resorts,
Inc. 6.000%, 04/01/25 |
2,543,503 | ||||||
1,171,000 | GameStop Corp.*^µ 6.750%, 03/15/21 |
1,213,226 | ||||||
1,868,000 | goeasy, Ltd.*µ 7.875%, 11/01/22 |
1,993,819 | ||||||
662,000 | Guitar Center, Inc.* 6.500%, 04/15/19 |
648,307 | ||||||
1,188,000 | Horizon Pharma, Inc.
/ Horizon Pharma USA, Inc.* 8.750%, 11/01/24 |
1,303,848 | ||||||
4,297,000 | L Brands, Inc.µ 6.875%, 11/01/35 |
4,415,769 | ||||||
1,052,000 | Lions Gate Entertainment
Corp.* 5.875%, 11/01/24 |
1,120,685 | ||||||
1,136,000 | M/I Homes, Inc. 5.625%, 08/01/25 |
1,159,038 | ||||||
2,447,000 | Mattel, Inc.*^ 6.750%, 12/31/25 |
2,482,579 | ||||||
276,000 | Mclaren Finance, PLC* 5.750%, 08/01/22 |
284,854 | ||||||
Meritage Homes Corp. | ||||||||
2,877,000 | 7.000%, 04/01/22 | 3,249,457 | ||||||
2,192,000 | 7.150%, 04/15/20 | 2,381,882 | ||||||
1,228,000 | Penske Automotive
Group, Inc. 5.500%, 05/15/26 |
1,257,319 | ||||||
PetSmart, Inc.* | ||||||||
842,000 | 5.875%, 06/01/25 | 651,131 | ||||||
232,000 | 8.875%, 06/01/25^ | 147,610 | ||||||
Rite Aid Corp.^ | ||||||||
2,649,000 | 7.700%, 02/15/27 | 2,373,782 | ||||||
1,842,000 | 6.125%, 04/01/23* | 1,720,824 | ||||||
6,672,000 | Royal Caribbean Cruises,
Ltd.µ 7.500%, 10/15/27 |
8,404,185 | ||||||
2,377,000 | Salem Media Group,
Inc.* 6.750%, 06/01/24 |
2,344,506 | ||||||
1,761,000 | Sally Holdings, LLC
/ Sally Capital, Inc.^µ 5.625%, 12/01/25 |
1,756,545 | ||||||
2,236,000 | SFR Group, SA*^ 7.375%, 05/01/26 |
2,202,113 |
PRINCIPAL AMOUNT | VALUE | |||||||
1,315,000 | Sotheby’s* 4.875%, 12/15/25 |
$ | 1,291,317 | |||||
263,000 | VOC Escrow , Ltd.* 5.000%, 02/15/28 |
262,884 | ||||||
1,860,000 | ZF North America Capital,
Inc.*µ 4.750%, 04/29/25 |
1,920,822 | ||||||
64,862,022 | ||||||||
Consumer Staples (0.6%) | ||||||||
1,258,000 | Albertsons Companies,
LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertson’s, LLC^ 5.750%, 03/15/25 |
1,127,470 | ||||||
1,886,000 | Fresh Market, Inc.*^ 9.750%, 05/01/23 |
1,322,558 | ||||||
JBS USA LUX SA / JBS USA Finance, Inc.* | ||||||||
4,122,000 | 5.750%, 06/15/25^ | 4,086,221 | ||||||
1,754,000 | 7.250%, 06/01/21 | 1,792,307 | ||||||
1,285,000 | 8.250%, 02/01/20 | 1,292,729 | ||||||
New Albertson’s, Inc. | ||||||||
925,000 | 7.450%, 08/01/29^ | 815,448 | ||||||
588,000 | 8.000%, 05/01/31 | 526,810 | ||||||
373,000 | 7.750%, 06/15/26 | 339,085 | ||||||
Pilgrim’s Pride Corp.* | ||||||||
259,000 | 5.750%, 03/15/25 | 262,955 | ||||||
189,000 | 5.875%, 09/30/27 | 189,969 | ||||||
Post Holdings, Inc.*^ | ||||||||
1,254,000 | 5.750%, 03/01/27 | 1,262,151 | ||||||
263,000 | 5.625%, 01/15/28 | 262,684 | ||||||
13,280,387 | ||||||||
Energy (2.7%) | ||||||||
1,166,000 | Bill Barrett Corp. 7.000%, 10/15/22 |
1,190,049 | ||||||
1,294,000 | Buckeye Partners,
LP‡ 6.375%, 01/22/78 3 mo. USD LIBOR + 4.02% |
1,321,536 | ||||||
2,105,000 | Calfrac Holdings,
LP* 7.500%, 12/01/20 |
2,112,894 | ||||||
1,403,000 | California Resources
Corp.* 8.000%, 12/15/22 |
1,182,904 | ||||||
1,834,000 | Carrizo Oil &
Gas, Inc.^ 6.250%, 04/15/23 |
1,898,768 | ||||||
1,272,000 | Chesapeake Energy
Corp.* 8.000%, 01/15/25 |
1,286,908 | ||||||
259,000 | CONSOL Energy, Inc.* 11.000%, 11/15/25 |
279,035 | ||||||
254,000 | Crown
Rock, LP / Crown Rock Finance, Inc.* 5.625%, 10/15/25 |
257,351 | ||||||
2,149,000 | DCP Midstream Operating,
LP*‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% |
2,066,092 | ||||||
496,000 | DCP Midstream, LP^‡ 7.375%, 12/15/22 3 mo. USD LIBOR + 5.15% |
510,917 | ||||||
452,000 | Diamond Offshore Drilling,
Inc. 7.875%, 08/15/25 |
479,787 | ||||||
Energy Transfer Equity, LPµ | ||||||||
1,886,000 | 5.500%, 06/01/27 | 1,992,163 | ||||||
504,000 | 5.875%, 01/15/24 | 547,314 | ||||||
3,012,000 | Energy Transfer Partners,
LPµ‡ 4.791%, 11/01/66 3 mo. USD LIBOR + 3.02% |
2,701,387 |
See accompanying Notes to Schedule of Investments
1
Calamos Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
Genesis
Energy, LP / Genesis Energy Finance Corp. |
||||||||
1,329,000 | 6.500%, 10/01/25^ | $ | 1,355,128 | |||||
1,315,000 | 6.250%, 05/15/26 | 1,314,724 | ||||||
Gulfport Energy Corp. | ||||||||
947,000 | 6.000%, 10/15/24^ | 956,593 | ||||||
877,000 | 6.375%, 05/15/25 | 891,953 | ||||||
2,530,000 | Halcon
Resources Corp. 6.750%, 02/15/25 |
2,675,475 | ||||||
482,000 | Lonestar
Resources America, Inc.* 11.250%, 01/01/23 |
502,102 | ||||||
785,000 | Moss
Creek Resources Holdings, Inc.* 7.500%, 01/15/26 |
817,338 | ||||||
3,043,000 | MPLX,
LPµ 4.875%, 06/01/25 |
3,237,387 | ||||||
132,000 | Nabors
Industries, Inc.*µ 5.750%, 02/01/25 |
129,992 | ||||||
895,000 | Oasis
Petroleum, Inc.^ 6.500%, 11/01/21 |
916,328 | ||||||
1,315,000 | Par
Petroleum, LLC / Petroleum Finance Corp.* 7.750%, 12/15/25 |
1,320,996 | ||||||
1,333,000 | PDC
Energy, Inc.* 5.750%, 05/15/26 |
1,363,726 | ||||||
1,315,000 | Plains
All American Pipeline, LP^µ‡ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% |
1,324,994 | ||||||
1,359,000 | QEP
Resources, Inc.^µ 5.625%, 03/01/26 |
1,393,070 | ||||||
5,700,000 | SEACOR
Holdings, Inc. 7.375%, 10/01/19 |
5,898,388 | ||||||
2,504,000 | SESI,
LLC*^ 7.750%, 09/15/24 |
2,697,309 | ||||||
496,000 | SM
Energy Company^ 6.750%, 09/15/26 |
518,136 | ||||||
943,000 | Southwestern Energy Company^ 7.500%, 04/01/26 |
988,405 | ||||||
855,000 | Sunoco,
LP / Sunoco Finance Corp.* 5.500%, 02/15/26 |
872,810 | ||||||
1,241,000 | Transocean,
Inc.* 7.500%, 01/15/26 |
1,293,209 | ||||||
1,272,000 | Vine
Oil & Gas, LP / Vine Oil & Gas Finance Corp.* 8.750%, 04/15/23 |
1,280,910 | ||||||
1,559,583 | W&T Offshore, Inc.* | |||||||
8.500%, 06/15/21 | ||||||||
10.000% PIK rate | 1,304,459 | |||||||
2,456,000 | Weatherford
International, Ltd.^ 8.250%, 06/15/23 |
2,602,844 | ||||||
1,359,000 | Whiting
Petroleum Corp.*^ 6.625%, 01/15/26 |
1,390,767 | ||||||
1,605,000 | WildHorse
Resource Development Corp. 6.875%, 02/01/25 |
1,665,549 | ||||||
56,539,697 | ||||||||
Financials (2.7%) | ||||||||
2,741,000 | Acrisure,
LLC / Acrisure Finance, Inc.*^ 7.000%, 11/15/25 |
2,735,491 | ||||||
3,612,000 | Ally
Financial, Inc. 8.000%, 11/01/31 |
4,613,084 |
PRINCIPAL AMOUNT | VALUE | |||||||
2,390,000 | Ardonagh
Midco 3, PLC* 8.625%, 07/15/23 |
$ | 2,493,535 | |||||
1,842,000 | AssuredPartners,
Inc.* 7.000%, 08/15/25 |
1,896,026 | ||||||
2,587,000 | Charles
Schwab Corp.µ‡ 5.000%, 12/01/27 3 mo. USD LIBOR + 2.58% |
2,560,328 | ||||||
263,000 | Citadel,
LP*µ 5.375%, 01/17/23 |
272,818 | ||||||
CyrusOne,
LP / CyrusOne Finance Corp.µ |
||||||||
903,000 | 5.375%, 03/15/27 | 940,452 | ||||||
254,000 | 5.000%, 03/15/24 | 262,061 | ||||||
2,350,000 | Dell
International, LLC / EMC Corp.*µ 6.020%, 06/15/26 |
2,573,191 | ||||||
1,315,000 | Discover
Financial Servicesµ‡ 5.500%, 10/30/27 3 mo. USD LIBOR + 3.08% |
1,337,467 | ||||||
1,710,000 | Equinix,
Inc. 5.375%, 05/15/27 |
1,796,269 | ||||||
535,000 | Greystar
Real Estate Partners, LLC* 5.750%, 12/01/25 |
552,529 | ||||||
877,000 | HUB
International, Ltd.* 7.875%, 10/01/21 |
912,628 | ||||||
1,798,000 | ILFC
E-Capital Trust II*‡ 4.620%, 12/21/65 3 mo. USD LIBOR + 1.80% |
1,766,535 | ||||||
1,579,000 | Iron
Mountain, Inc.*^µ 5.250%, 03/15/28 |
1,534,393 | ||||||
Jefferies Finance, LLC* | ||||||||
5,284,000 | 7.375%, 04/01/20 | 5,392,533 | ||||||
2,280,000 | 7.250%, 08/15/24 | 2,369,935 | ||||||
1,052,000 | Ladder
Capital Finance Holdings LLLP / Ladder Capital Finance Corp.*µ 5.250%, 10/01/25 |
1,054,667 | ||||||
868,000 | Level
3 Financing, Inc. 5.375%, 05/01/25 |
870,934 | ||||||
1,408,000 | LPL
Holdings, Inc.* 5.750%, 09/15/25 |
1,437,843 | ||||||
1,579,000 | MetLife,
Inc.µ 6.400%, 12/15/66 |
1,805,318 | ||||||
2,478,000 | Nationstar
Mortgage, LLC / Nationstar Capital Corp. 6.500%, 07/01/21 |
2,512,506 | ||||||
Navient Corp.^ | ||||||||
1,666,000 | 6.750%, 06/25/25 | 1,748,067 | ||||||
504,000 | 6.500%, 06/15/22 | 532,390 | ||||||
991,000 | NexBank
Capital, Inc.*‡& 6.375%, 09/30/27 3 mo. USD LIBOR + 4.59% |
1,004,527 | ||||||
1,425,000 | Oil
Insurance, Ltd.*‡ 4.677%, 03/05/18 3 mo. USD LIBOR + 2.98% |
1,386,440 | ||||||
3,727,000 | Quicken
Loans, Inc.*^µ 5.750%, 05/01/25 |
3,810,354 | ||||||
509,000 | Radian
Group, Inc.µ 4.500%, 10/01/24 |
512,942 | ||||||
Springleaf Finance Corp. | ||||||||
1,644,000 | 8.250%, 10/01/23^ | 1,820,656 | ||||||
438,000 | 5.625%, 03/15/23 | 439,327 | ||||||
561,000 | Towne Bank‡ 4.500%, 07/30/27 3 mo. USD LIBOR + 2.55% |
571,440 |
See accompanying Notes to Schedule of Investments
2
Strategic Total Return Fund |
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
2,565,000 | Tronox Finance,
PLC*^ 5.750%, 10/01/25 | $ | 2,633,614 | |||||
263,000 | VEREIT
Operating Partnership, LP^ 3.950%, 08/15/27 | 254,955 | ||||||
56,405,255 | ||||||||
Health Care (2.8%) | ||||||||
4,894,000 | Acadia Healthcare Company,
Inc. 6.500%, 03/01/24 | 5,132,583 | ||||||
Community Health Systems, Inc.^ | ||||||||
5,512,000 | 7.125%, 07/15/20 | 4,824,240 | ||||||
544,000 | 8.000%, 11/15/19 | 510,468 | ||||||
3,872,000 | DaVita, Inc. 5.125%, 07/15/24 | 3,904,815 | ||||||
1,114,000 | Endo International, PLC* 7.250%, 01/15/22 | 975,374 | ||||||
2,521,000 | Endo, Ltd.* 6.000%, 07/15/23 | 1,981,783 | ||||||
2,280,000 | Greatbatch, Ltd.* 9.125%, 11/01/23 | 2,483,068 | ||||||
HCA, Inc. | ||||||||
7,218,000 | 5.875%, 05/01/23^ | 7,747,188 | ||||||
1,272,000 | 7.500%, 11/06/33 | 1,418,986 | ||||||
995,000 | 5.375%, 02/01/25^ | 1,018,437 | ||||||
1,272,000 | Magellan Health, Inc.µ 4.400%, 09/22/24 | 1,272,821 | ||||||
1,855,000 | Mallinckrodt International
Finance, SA / Mallinckrodt CB, LLC*^ 5.625%, 10/15/23 | 1,588,715 | ||||||
272,000 | Team Health Holdings,
Inc.*^ 6.375%, 02/01/25 | 254,064 | ||||||
2,556,000 | Teleflex, Inc.µ 5.250%, 06/15/24 | 2,658,917 | ||||||
Tenet Healthcare Corp.^ | ||||||||
3,157,000 | 6.750%, 06/15/23 | 3,118,437 | ||||||
2,171,000 | 5.125%, 05/01/25* | 2,168,069 | ||||||
2,210,000 | Teva
Pharmaceutical Finance Company, BVµ 2.950%, 12/18/22 | 2,018,205 | ||||||
1,814,000 | Teva Pharmaceutical Finance
IV, BVµ 3.650%, 11/10/21 | 1,757,884 | ||||||
482,000 | Teva Pharmaceutical Finance
IV, LLCµ 2.250%, 03/18/20 | 468,593 | ||||||
1,381,000 | Teva Pharmaceutical Finance Netherlands III, BV^ 2.200%, 07/21/21 | 1,287,796 | ||||||
Valeant Pharmaceuticals International, Inc.* | ||||||||
9,252,000 | 7.250%, 07/15/22^ | 9,196,257 | ||||||
2,631,000 | 9.000%, 12/15/25 | 2,709,851 | ||||||
1,272,000 | West Street Merger Sub,
Inc.*^ 6.375%, 09/01/25 | 1,289,007 | ||||||
59,785,558 | ||||||||
Industrials (2.0%) | ||||||||
1,140,000 | ACCO Brands Corp.* 5.250%, 12/15/24 | 1,164,128 | ||||||
Allison Transmission, Inc.*µ | ||||||||
1,140,000 | 4.750%, 10/01/27 | 1,137,509 | ||||||
333,000 | 5.000%, 10/01/24 | 336,705 | ||||||
513,000 | American Woodmark Corp.* 4.875%, 03/15/26 | 514,924 |
PRINCIPAL AMOUNT | VALUE | |||||||
1,228,000 | ARD Securities Finance SARL*^ 8.750%, 01/31/23 8.750% PIK rate | $ | 1,270,538 | |||||
1,298,000 | Beacon Escrow Corp.* 4.875%, 11/01/25 | 1,294,885 | ||||||
1,342,000 | Bombardier, Inc.* 7.500%, 12/01/24 | 1,412,891 | ||||||
754,000 | Catalent Pharma Solutions, Inc.* 4.875%, 01/15/26 | 754,724 | ||||||
Covanta Holding Corp. | ||||||||
745,000 | 5.875%, 03/01/24 | 763,498 | ||||||
237,000 | 5.875%, 07/01/25 | 241,027 | ||||||
1,267,000 | Delphi Technologies, PLC* 5.000%, 10/01/25 | 1,266,341 | ||||||
1,280,000 | Fly Leasing, Ltd.^ 5.250%, 10/15/24 | 1,286,822 | ||||||
259,000 | FXI Holdings, Inc.* 7.875%, 11/01/24 | 258,773 | ||||||
1,846,000 | Garda World Security Corp.* 7.250%, 11/15/21 | 1,893,415 | ||||||
3,710,000 | Golden Nugget, Inc.* 6.750%, 10/15/24 | 3,840,147 | ||||||
855,000 | Great Lakes Dredge & Dock Corp. 8.000%, 05/15/22 | 900,507 | ||||||
1,605,000 | H&E Equipment Services, Inc.* 5.625%, 09/01/25 | 1,666,656 | ||||||
224,000 | Hertz Corp.* 7.625%, 06/01/22 | 234,593 | ||||||
Icahn Enterprises, LPµ | ||||||||
1,315,000 | 6.375%, 12/15/25* | 1,339,610 | ||||||
1,113,000 | 6.750%, 02/01/24 IHO Verwaltungs GmbH* | 1,159,446 | ||||||
526,000 | 4.500%, 09/15/23 5.250% PIK rate | 534,732 | ||||||
526,000 | 4.125%, 09/15/21 4.875% PIK rate | 534,837 | ||||||
526,000 | James Hardie International Finance, Ltd.*µ 4.750%, 01/15/25 | 533,201 | ||||||
1,272,000 | Jeld-Wen, Inc.* 4.625%, 12/15/25 | 1,274,639 | ||||||
667,000 | JPW Industries Holding Corp.* 9.000%, 10/01/24 | 701,797 | ||||||
1,637,000 | Meritor, Inc. 6.250%, 02/15/24 | 1,720,864 | ||||||
263,000 | Multi-Color Corp.* 4.875%, 11/01/25 | 264,216 | ||||||
1,842,000 | Navistar International Corp.* 6.625%, 11/01/25 | 1,933,842 | ||||||
Park Aerospace Holdings, Ltd.*^ | ||||||||
895,000 | 5.500%, 02/15/24 | 887,236 | ||||||
741,000 | 4.500%, 03/15/23 | 714,709 | ||||||
1,802,000 | Park-Ohio Industries, Inc.^ 6.625%, 04/15/27 | 1,934,771 | ||||||
1,159,000 | Scientific Games International, Inc.* 5.000%, 10/15/25 | 1,162,483 | ||||||
864,000 | Tennant Company* 5.625%, 05/01/25 | 902,845 | ||||||
132,000 | Trident Merger Sub, Inc.* 6.625%, 11/01/25 | 133,150 | ||||||
263,000 | TriMas Corp.* 4.875%, 10/15/25 | 265,854 | ||||||
United Continental Holdings, Inc. | ||||||||
2,017,000 | 6.375%, 06/01/18 | 2,041,597 | ||||||
750,000 | 4.250%, 10/01/22µ | 755,033 |
See accompanying Notes to Schedule of Investments
3
Calamos Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
PRINCIPAL AMOUNT |
VALUE | |||||||
2,078,000 | United
Rentals North America, Inc.^µ 4.875%, 01/15/28 |
$ | 2,079,787 | |||||
658,000 | Waste
Pro USA, Inc.* 5.500%, 02/15/26 |
670,183 | ||||||
592,000 | WESCO
Distribution, Inc. 5.375%, 06/15/24 |
609,494 | ||||||
42,392,409 | ||||||||
Information Technology (1.5%) | ||||||||
2,475,000 | Alliance
Data Systems Corp.*^ 5.875%, 11/01/21 |
2,544,597 | ||||||
Amkor Technology, Inc. | ||||||||
2,701,000 | 6.375%, 10/01/22^ | 2,785,919 | ||||||
2,654,000 | 6.625%, 06/01/21 | 2,691,939 | ||||||
Cardtronics, Inc. | ||||||||
1,605,000 | 5.125%, 08/01/22 | 1,561,256 | ||||||
1,289,000 | 5.500%, 05/01/25* | 1,202,882 | ||||||
1,153,000 | CBS
Radio, Inc.* 7.250%, 11/01/24 |
1,212,512 | ||||||
1,182,000 | CDK
Global, Inc.*µ 4.875%, 06/01/27 |
1,187,419 | ||||||
709,000 | CDW,
LLC / CDW Finance Corp. 5.000%, 09/01/23 |
728,320 | ||||||
2,574,000 | Clear
Channel Worldwide Holdings, Inc.^ 7.625%, 03/15/20 |
2,545,688 | ||||||
1,706,000 | CommScope Technologies,
LLC* 6.000%, 06/15/25 |
1,799,804 | ||||||
6,841,000 | First
Data Corp. - Class A*^ 7.000%, 12/01/23 |
7,224,678 | ||||||
1,315,000 | Harland
Clarke Holdings Corp.* 8.375%, 08/15/22 |
1,371,657 | ||||||
Nuance Communications, Inc.µ | ||||||||
1,140,000 | 6.000%, 07/01/24 | 1,208,845 | ||||||
1,052,000 | 5.625%, 12/15/26 | 1,090,356 | ||||||
1,272,000 | TTM
Technologies, Inc.* 5.625%, 10/01/25 |
1,309,689 | ||||||
890,000 | VFH
Parent, LLC* 6.750%, 06/15/22 |
936,387 | ||||||
31,401,948 | ||||||||
Materials (1.1%) | ||||||||
1,828,000 | AK
Steel Corp.^ 6.375%, 10/15/25 |
1,813,650 | ||||||
1,609,000 | Alcoa
Nederland Holding, BV*µ 7.000%, 09/30/26 |
1,784,711 | ||||||
3,508,000 | ArcelorMittal,
SA^µ 7.500%, 10/15/39 |
4,531,897 | ||||||
1,206,000 | Arconic,
Inc.^µ 5.125%, 10/01/24 |
1,273,512 | ||||||
2,368,000 | Ardagh
Packaging Finance, PLC / Ardagh Holdings USA, Inc.* 6.000%, 02/15/25 |
2,452,218 | ||||||
First Quantum Minerals, Ltd.* | ||||||||
690,000 | 7.000%, 02/15/21 | 714,343 | ||||||
351,000 | 7.250%, 04/01/23 | 372,576 | ||||||
Freeport-McMoRan, Inc.^ | ||||||||
1,517,000 | 4.550%, 11/14/24 | 1,541,424 | ||||||
478,000 | 3.550%, 03/01/22 | 474,496 | ||||||
1,403,000 | INEOS
Group Holdings, SA*^ 5.625%, 08/01/24 |
1,442,565 | ||||||
640,000 | Kinross
Gold Corp.*µ 4.500%, 07/15/27 |
645,568 | ||||||
640,000 | New
Gold, Inc.* 6.375%, 05/15/25 |
679,078 |
PRINCIPAL AMOUNT |
VALUE | |||||||
3,512,000 | PBF
Holding Company, LLC / PBF Finance Corp.^ 7.250%, 06/15/25 |
$ | 3,710,410 | |||||
2,552,000 | United
States Steel Corp.^ 6.875%, 08/15/25 |
2,680,736 | ||||||
132,000 | Warrior
Met Coal, Inc.* 8.000%, 11/01/24 |
139,166 | ||||||
24,256,350 | ||||||||
Real Estate (0.2%) | ||||||||
1,024,000 | Crescent
Communities, LLC/Crescent Ventures, Inc.* 8.875%, 10/15/21 |
1,090,212 | ||||||
2,122,000 | MPT
Operating Partnership, LP / MPT Finance Corp.^µ 5.000%, 10/15/27 |
2,107,592 | ||||||
1,315,000 | Starwood Property Trust, Inc.*µ 4.750%, 03/15/25 |
1,303,349 | ||||||
4,501,153 | ||||||||
Telecommunication Services (2.1%) | ||||||||
833,000 | Altice
Financing, SA*^ 7.500%, 05/15/26 |
866,916 | ||||||
Altice Luxembourg, SA* | ||||||||
526,000 | 7.750%, 05/15/22 | 504,960 | ||||||
526,000 | 7.625%, 02/15/25^ | 483,381 | ||||||
1,403,000 | Altice
US Finance I Corp.*µ 5.500%, 05/15/26 |
1,436,006 | ||||||
26,000 | Block
Communications, Inc.* 6.875%, 02/15/25 |
27,168 | ||||||
1,237,000 | CB
Escrow Corp.* 8.000%, 10/15/25 |
1,248,634 | ||||||
855,000 | CenturyLink,
Inc.^ 7.500%, 04/01/24 |
861,519 | ||||||
4,420,000 | CSC
Holdings, LLC*^µ 5.500%, 04/15/27 |
4,483,935 | ||||||
4,574,000 | Embarq
Corp.µ 7.995%, 06/01/36 |
4,453,452 | ||||||
Frontier Communications Corp. | ||||||||
4,398,000 | 7.625%, 04/15/24^ | 2,909,343 | ||||||
1,359,000 | 11.000%, 09/15/25 | 1,064,967 | ||||||
1,337,000 | 8.500%, 04/15/20^ | 1,307,867 | ||||||
1,009,000 | Hughes
Satellite Systems Corp. 6.625%, 08/01/26 |
1,069,474 | ||||||
Intelsat Jackson Holdings, SA | ||||||||
1,995,000 | 9.750%, 07/15/25* | 1,840,986 | ||||||
1,337,000 | 7.500%, 04/01/21^ | 1,142,948 | ||||||
820,000 | 8.000%, 02/15/24* | 862,062 | ||||||
1,245,000 | Qwest Corp.µ 6.875%, 09/15/33 |
1,215,431 | ||||||
522,000 | SBA
Communications Corp.* 4.000%, 10/01/22 |
515,689 | ||||||
Sprint Corp. | ||||||||
5,139,000 | 7.125%, 06/15/24 | 5,216,548 | ||||||
4,718,000 | 7.875%, 09/15/23^ | 4,996,008 | ||||||
T-Mobile USA, Inc.µ | ||||||||
1,951,000 | 6.625%, 04/01/23 | 2,028,357 | ||||||
789,000 | 4.750%, 02/01/28^ | 792,495 | ||||||
2,442,000 | United
States Cellular Corp.µ 6.700%, 12/15/33 |
2,585,980 | ||||||
Windstream Services, LLC | ||||||||
1,387,000 | 8.625%, 10/31/25* | 1,297,684 | ||||||
740,000 | 7.750%, 10/01/21 | 559,999 | ||||||
139,000 | 7.750%, 10/15/20^ | 119,285 | ||||||
43,891,094 |
See accompanying Notes to Schedule of Investments
4
Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
PRINCIPAL AMOUNT |
VALUE | |||||||
Utilities (0.5%) | ||||||||
2,543,000 | AES
Corp.µ 7.375%, 07/01/21 |
$ | 2,838,166 | |||||
2,324,000 | Dynegy,
Inc.*^ 8.125%, 01/30/26 |
2,563,535 | ||||||
NRG Energy, Inc.^ | ||||||||
1,763,000 | 6.625%, 01/15/27 | 1,868,709 | ||||||
576,000 | 5.750%, 01/15/28* | 577,394 | ||||||
916,000 | PPL
Capital Funding, Inc.^µ‡ 4.358%, 03/30/67 3 mo. USD LIBOR + 2.67% |
910,802 | ||||||
820,000 | Talen
Energy Supply, LLC*^ 10.500%, 01/15/26 |
827,974 | ||||||
1,315,000 | TerraForm
Power Operating, LLC* 5.000%, 01/31/28 |
1,297,254 | ||||||
10,883,834 | ||||||||
TOTAL CORPORATE
BONDS (Cost $404,203,620) |
408,199,707 | |||||||
CONVERTIBLE BONDS (14.4%) | ||||||||
Consumer Discretionary (3.8%) | ||||||||
7,300,000 | DISH
Network Corp.^ 3.375%, 08/15/26 |
7,734,350 | ||||||
4,429,000 | Liberty
Expedia Holdings, Inc.*^ 1.000%, 06/30/47 |
4,492,933 | ||||||
Liberty Interactive, LLC | ||||||||
7,385,000 | 1.750%, 09/30/46* | 9,125,497 | ||||||
5,182,477 | 4.000%, 11/15/29 | 3,672,225 | ||||||
3,035,000 | 3.750%, 02/15/30 | 2,127,216 | ||||||
Liberty Media Corp. | ||||||||
15,900,000 | 2.250%, 09/30/46^ | 16,764,165 | ||||||
7,750,000 | 1.375%, 10/15/23 | 9,641,581 | ||||||
3,640,000 | Marriott
Vacations Worldwide Corp.* 1.500%, 09/15/22 |
4,299,586 | ||||||
9,000,000 | Priceline
Group, Inc. 0.350%, 06/15/20 |
13,407,750 | ||||||
7,800,000 | Tesla,
Inc. 2.375%, 03/15/22 |
9,754,524 | ||||||
81,019,827 | ||||||||
Energy (0.7%) | ||||||||
8,850,000 | Nabors
Industries, Inc.*^ 0.750%, 01/15/24 |
7,123,586 | ||||||
1,521,000 | Oil
States International, Inc.* 1.500%, 02/15/23 |
1,559,345 | ||||||
5,600,000 | TOTAL,
SA 0.500%, 12/02/22 |
5,887,756 | ||||||
14,570,687 | ||||||||
Financials (0.6%) | ||||||||
7,500,000 | Ares
Capital Corp.*^ 3.750%, 02/01/22 |
7,687,913 | ||||||
5,080,000 | IAC
FinanceCo, Inc.*^ 0.875%, 10/01/22 |
5,761,761 | ||||||
13,449,674 | ||||||||
Health Care (1.4%) | ||||||||
1,960,000 | BioMarin
Pharmaceutical, Inc.^µ 1.500%, 10/15/20 |
2,295,503 | ||||||
5,120,000 | Illumina,
Inc.^ 0.000%, 06/15/19 |
5,627,008 |
PRINCIPAL AMOUNT |
VALUE | |||||||
1,214,000 | Innoviva,
Inc.* 2.500%, 08/15/25 |
$ | 1,317,870 | |||||
4,810,000 | Insulet
Corp.* 1.375%, 11/15/24 |
5,109,038 | ||||||
1,730,000 | Molina
Healthcare, Inc. 1.625%, 08/15/44 |
2,796,113 | ||||||
4,700,000 | NuVasive,
Inc. 2.250%, 03/15/21 |
5,036,167 | ||||||
7,520,000 | Pacira
Pharmaceuticals, Inc.* 2.375%, 04/01/22 |
7,294,174 | ||||||
29,475,873 | ||||||||
Industrials (0.6%) | ||||||||
2,924,000 | Air
Transport Services Group, Inc.*^µ 1.125%, 10/15/24 |
3,082,203 | ||||||
4,400,000 | Kaman
Corp.* 3.250%, 05/01/24 |
5,088,006 | ||||||
3,275,000 | Meritor,
Inc.* 3.250%, 10/15/37 |
3,620,152 | ||||||
11,790,361 | ||||||||
Information Technology (6.5%) | ||||||||
4,200,000 | Citrix
Systems, Inc.^µ 0.500%, 04/15/19 |
5,591,460 | ||||||
873,000 | Coupa
Software, Inc.* 0.375%, 01/15/23 |
951,810 | ||||||
2,914,000 | Cypress
Semiconductor Corp.* 2.000%, 02/01/23 |
3,159,534 | ||||||
4,900,000 | Finisar
Corp.^ 0.500%, 12/15/36 |
4,478,331 | ||||||
2,170,000 | II-VI,
Inc.*^ 0.250%, 09/01/22 |
2,448,747 | ||||||
6,100,000 | Inphi
Corp.^ 0.750%, 09/01/21 |
5,689,287 | ||||||
7,350,000 | Intel
Corp. 3.250%, 08/01/39 |
16,985,482 | ||||||
3,500,000 | Lumentum
Holdings, Inc.*^ 0.250%, 03/15/24 |
3,743,320 | ||||||
6,950,000 | Microchip
Technology, Inc.* 1.625%, 02/15/27 |
8,488,243 | ||||||
2,398,000 | Nutanix,
Inc.* 0.000%, 01/15/23 |
2,336,959 | ||||||
6,300,000 | NXP
Semiconductors, NV 1.000%, 12/01/19 |
7,929,653 | ||||||
ON Semiconductor Corp. | ||||||||
5,822,000 | 1.000%, 12/01/20 | 8,320,424 | ||||||
5,000,000 | 1.625%, 10/15/23*^ | 6,842,750 | ||||||
1,790,000 | RealPage,
Inc.* 1.500%, 11/15/22 |
2,365,655 | ||||||
7,420,000 | Salesforce.com, Inc.^ 0.250%, 04/01/18 |
12,694,989 | ||||||
11,550,000 | Servicenow,
Inc.*^ 0.000%, 06/01/22 |
14,147,248 | ||||||
7,600,000 | Silicon
Laboratories, Inc.*^ 1.375%, 03/01/22 |
9,124,598 | ||||||
3,700,000 | Veeco
Instruments, Inc. 2.700%, 01/15/23 |
3,320,473 | ||||||
1,567,000 | Weibo
Corp.* 1.250%, 11/15/22 |
1,902,009 | ||||||
16,275,000 | Workday,
Inc.* 0.250%, 10/01/22 |
17,023,894 | ||||||
137,544,866 |
See accompanying Notes to Schedule of Investments
5
Calamos Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
Materials (0.3%) | ||||||||
5,300,000 | Royal Gold, Inc.^ 2.875%, 06/15/19 |
$ | 5,721,695 | |||||
Real Estate (0.5%) | ||||||||
5,300,000 | Empire State Realty
OP, LP* 2.625%, 08/15/19 |
5,721,853 | ||||||
4,520,000 | IH Merger Sub, LLC* 3.500%, 01/15/22 |
5,090,424 | ||||||
10,812,277 | ||||||||
TOTAL CONVERTIBLE
BONDS (Cost $283,308,643) |
304,385,260 | |||||||
U.S. GOVERNMENT AND AGENCY SECURITIES (0.2%) | ||||||||
5,657,000 | United States Treasury Note 2.000%, 11/15/26 (Cost $5,450,727) |
5,341,373 | ||||||
BANK LOANS (0.6%) | ||||||||
Consumer Discretionary (0.1%) | ||||||||
2,800,000 | Weight Watchers International, Inc. 6.625%, 11/29/24 |
2,842,868 | ||||||
Financials (0.1%) | ||||||||
1,300,000 | GLP Financing, LLC 3.060%, 04/28/21 |
1,298,381 | ||||||
Health Care (0.2%) | ||||||||
1,640,000 | Mallinckrodt International Finance SA! 0.000%, 09/24/24 |
1,638,721 | ||||||
1,700,000 | Team Health Holdings, Inc.! 0.000%, 02/06/24 |
1,672,375 | ||||||
3,311,096 | ||||||||
Industrials (0.1%) | ||||||||
1,465,000 | TransDigm, Inc.! 0.000%, 08/22/24 |
1,479,350 | ||||||
Telecommunication Services (0.1%) | ||||||||
300,000 | CSC Holdings, LLC! 0.000%, 01/25/26 |
302,626 | ||||||
1,400,000 | Intelsat Jackson Holdings, SA 6.625%, 01/14/24 |
1,411,375 | ||||||
1,396,491 | New Media Holdings II, LLC! 0.000%, 06/04/20 |
1,412,202 | ||||||
3,126,203 | ||||||||
TOTAL BANK LOANS (Cost $11,986,447) |
12,057,898 | |||||||
SYNTHETIC CONVERTIBLE SECURITIES (3.2%) ¤ | ||||||||
Corporate Bonds (2.7%) | ||||||||
Consumer Discretionary (0.4%) | ||||||||
106,000 | AV Homes, Inc. 6.625%, 05/15/22 |
110,901 | ||||||
157,000 | Beverages & More, Inc.* 11.500%, 06/15/22 |
148,512 |
PRINCIPAL AMOUNT | VALUE | |||||||
CCO Holdings, LLC / CCO Holdings Capital Corp.* |
||||||||
295,000 | 5.125%, 05/01/27^ | $ | 288,062 | |||||
62,000 | 5.000%, 02/01/28 | 60,024 | ||||||
123,000 | Cedar Fair, LP* 5.375%, 04/15/27 |
128,826 | ||||||
Century Communities, Inc. | ||||||||
215,000 | 6.875%, 05/15/22 | 223,752 | ||||||
191,000 | 5.875%, 07/15/25 | 194,119 | ||||||
178,000 | CRC Escrow Issuer, LLC*^ 5.250%, 10/15/25 |
177,690 | ||||||
418,000 | Dana Financing Luxembourg Sarl* 6.500%, 06/01/26 |
453,660 | ||||||
DISH DBS Corp. | ||||||||
434,000 | 5.875%, 11/15/24^ | 412,510 | ||||||
274,000 | 6.750%, 06/01/21 | 287,300 | ||||||
341,000 | Eldorado Resorts, Inc. 6.000%, 04/01/25 |
357,075 | ||||||
164,000 | GameStop Corp.*^µ 6.750%, 03/15/21 |
169,914 | ||||||
262,000 | goeasy, Ltd.*µ 7.875%, 11/01/22 |
279,647 | ||||||
93,000 | Guitar Center, Inc.* 6.500%, 04/15/19 |
91,076 | ||||||
167,000 | Horizon Pharma, Inc. / Horizon Pharma USA, Inc.* 8.750%, 11/01/24 |
183,285 | ||||||
603,000 | L Brands, Inc.µ 6.875%, 11/01/35 |
619,667 | ||||||
148,000 | Lions Gate Entertainment Corp.* 5.875%, 11/01/24 |
157,663 | ||||||
159,000 | M/I Homes, Inc. 5.625%, 08/01/25 |
162,225 | ||||||
343,000 | Mattel, Inc.*^ 6.750%, 12/31/25 |
347,987 | ||||||
39,000 | Mclaren Finance, PLC* 5.750%, 08/01/22 |
40,251 | ||||||
Meritage Homes Corp. | ||||||||
403,000 | 7.000%, 04/01/22 | 455,172 | ||||||
308,000 | 7.150%, 04/15/20 | 334,680 | ||||||
172,000 | Penske Automotive Group, Inc. 5.500%, 05/15/26 |
176,107 | ||||||
PetSmart, Inc.* | ||||||||
118,000 | 5.875%, 06/01/25 | 91,251 | ||||||
33,000 | 8.875%, 06/01/25^ | 20,996 | ||||||
Rite Aid Corp.^ | ||||||||
371,000 | 7.700%, 02/15/27 | 332,455 | ||||||
258,000 | 6.125%, 04/01/23* | 241,027 | ||||||
936,000 | Royal Caribbean Cruises, Ltd.µ 7.500%, 10/15/27 |
1,179,004 | ||||||
333,000 | Salem Media Group, Inc.* 6.750%, 06/01/24 |
328,448 | ||||||
247,000 | Sally Holdings, LLC / Sally Capital, Inc.^µ 5.625%, 12/01/25 |
246,375 | ||||||
314,000 | SFR Group, SA*^ 7.375%, 05/01/26 |
309,241 | ||||||
185,000 | Sotheby's* 4.875%, 12/15/25 |
181,668 | ||||||
37,000 | VOC Escrow , Ltd.* 5.000%, 02/15/28 |
36,984 | ||||||
261,000 | ZF North America Capital, Inc.*µ 4.750%, 04/29/25 |
269,535 | ||||||
9,097,089 |
See accompanying Notes to Schedule of Investments
6
Strategic Total Return Fund |
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
Consumer Staples (0.1%) | ||||||||
177,000 | Albertsons
Companies, LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertson’s, LLC^ 5.750%, 03/15/25 | $ | 158,634 | |||||
264,000 | Fresh
Market, Inc.*^ 9.750%, 05/01/23 | 185,130 | ||||||
JBS
USA LUX SA / JBS USA Finance, Inc.* | ||||||||
578,000 | 5.750%, 06/15/25^ | 572,983 | ||||||
246,000 | 7.250%, 06/01/21 | 251,373 | ||||||
180,000 | 8.250%, 02/01/20 | 181,083 | ||||||
New Albertson’s, Inc. | ||||||||
130,000 | 7.450%, 08/01/29^ | 114,603 | ||||||
82,000 | 8.000%, 05/01/31 | 73,467 | ||||||
52,000 | 7.750%, 06/15/26 | 47,272 | ||||||
Pilgrim’s Pride Corp.* | ||||||||
36,000 | 5.750%, 03/15/25 | 36,550 | ||||||
26,000 | 5.875%, 09/30/27 | 26,133 | ||||||
Post Holdings, Inc.*^ | ||||||||
176,000 | 5.750%, 03/01/27 | 177,144 | ||||||
37,000 | 5.625%, 01/15/28 | 36,955 | ||||||
1,861,327 | ||||||||
Energy (0.4%) | ||||||||
164,000 | Bill
Barrett Corp. 7.000%, 10/15/22 | 167,383 | ||||||
181,000 | Buckeye
Partners, LP‡ 6.375%, 01/22/78 3 mo. USD LIBOR + 4.02% | 184,852 | ||||||
295,000 | Calfrac
Holdings, LP* 7.500%, 12/01/20 | 296,106 | ||||||
197,000 | California
Resources Corp.* 8.000%, 12/15/22 | 166,096 | ||||||
257,000 | Carrizo
Oil & Gas, Inc.^ 6.250%, 04/15/23 | 266,076 | ||||||
178,000 | Chesapeake
Energy Corp.* 8.000%, 01/15/25 | 180,086 | ||||||
36,000 | CONSOL
Energy, Inc.* 11.000%, 11/15/25 | 38,785 | ||||||
36,000 | Crown
Rock, LP / Crown Rock Finance, Inc.* 5.625%, 10/15/25 | 36,475 | ||||||
301,000 | DCP
Midstream Operating, LP*‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% | 289,387 | ||||||
69,000 | DCP
Midstream, LP^‡ 7.375%, 12/15/22 3 mo. USD LIBOR + 5.15% | 71,075 | ||||||
63,000 | Diamond
Offshore Drilling, Inc. 7.875%, 08/15/25 | 66,873 | ||||||
Energy Transfer Equity, LPµ | ||||||||
264,000 | 5.500%, 06/01/27 | 278,861 | ||||||
71,000 | 5.875%, 01/15/24 | 77,102 | ||||||
423,000 | Energy
Transfer Partners, LPµ‡ 4.791%, 11/01/66 3 mo. USD LIBOR + 3.02% | 379,378 | ||||||
Genesis
Energy, LP / Genesis Energy Finance Corp. | ||||||||
186,000 | 6.500%, 10/01/25^ | 189,657 | ||||||
185,000 | 6.250%, 05/15/26 | 184,961 | ||||||
Gulfport Energy Corp. | ||||||||
133,000 | 6.000%, 10/15/24^ | 134,347 | ||||||
123,000 | 6.375%, 05/15/25 | 125,097 | ||||||
355,000 | Halcon
Resources Corp. 6.750%, 02/15/25 | 375,412 |
PRINCIPAL AMOUNT | VALUE | |||||||
68,000 | Lonestar
Resources America, Inc.* 11.250%, 01/01/23 | $ | 70,836 | |||||
110,000 | Moss
Creek Resources Holdings, Inc.* 7.500%, 01/15/26 | 114,531 | ||||||
427,000 | MPLX,
LPµ 4.875%, 06/01/25 | 454,277 | ||||||
18,000 | Nabors
Industries, Inc.*µ 5.750%, 02/01/25 | 17,726 | ||||||
125,000 | Oasis
Petroleum, Inc.^ 6.500%, 11/01/21 | 127,979 | ||||||
185,000 | Par
Petroleum, LLC / Petroleum Finance Corp.* 7.750%, 12/15/25 | 185,844 | ||||||
187,000 | PDC
Energy, Inc.* 5.750%, 05/15/26 | 191,310 | ||||||
185,000 | Plains
All American Pipeline, LP^µ‡ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% | 186,406 | ||||||
191,000 | QEP
Resources, Inc.^µ 5.625%, 03/01/26 | 195,788 | ||||||
800,000 | SEACOR
Holdings, Inc. 7.375%, 10/01/19 | 827,844 | ||||||
351,000 | SESI,
LLC*^ 7.750%, 09/15/24 | 378,097 | ||||||
69,000 | SM
Energy Company^ 6.750%, 09/15/26 | 72,079 | ||||||
132,000 | Southwestern
Energy Company^ 7.500%, 04/01/26 | 138,356 | ||||||
120,000 | Sunoco,
LP / Sunoco Finance Corp.* 5.500%, 02/15/26 | 122,500 | ||||||
174,000 | Transocean,
Inc.* 7.500%, 01/15/26 | 181,320 | ||||||
178,000 | Vine
Oil & Gas, LP / Vine Oil & Gas Finance Corp.* 8.750%, 04/15/23 | 179,247 | ||||||
219,000 | W&T Offshore, Inc.* | |||||||
8.500%, 06/15/21 | ||||||||
10.000% PIK rate | 183,175 | |||||||
344,000 | Weatherford
International, Ltd.^ 8.250%, 06/15/23 | 364,568 | ||||||
191,000 | Whiting
Petroleum Corp.*^ 6.625%, 01/15/26 | 195,465 | ||||||
225,000 | WildHorse
Resource Development Corp. 6.875%, 02/01/25 | 233,488 | ||||||
7,928,845 | ||||||||
Financials (0.4%) | ||||||||
384,000 | Acrisure,
LLC / Acrisure Finance, Inc.*^ 7.000%, 11/15/25 | 383,228 | ||||||
507,000 | Ally
Financial, Inc. 8.000%, 11/01/31 | 647,518 | ||||||
335,000 | Ardonagh
Midco 3, PLC* 8.625%, 07/15/23 | 349,512 | ||||||
258,000 | Assured
Partners, Inc.* 7.000%, 08/15/25 | 265,567 | ||||||
363,000 | Charles
Schwab Corp.µ‡ 5.000%, 12/01/27 3 mo. USD LIBOR + 2.58% | 359,258 | ||||||
37,000 | Citadel,
LP*µ 5.375%, 01/17/23 | 38,381 |
See accompanying Notes to Schedule of Investments
7
Calamos Strategic Total Return Fund |
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
CyrusOne,
LP / CyrusOne Finance Corp.µ | ||||||||
127,000 | 5.375%, 03/15/27 | $ | 132,267 | |||||
36,000 | 5.000%, 03/15/24 | 37,143 | ||||||
330,000 | Dell
International, LLC / EMC Corp.*µ 6.020%, 06/15/26 | 361,342 | ||||||
185,000 | Discover
Financial Servicesµ‡ 5.500%, 10/30/27 3 mo. USD LIBOR + 3.08% | 188,161 | ||||||
240,000 | Equinix,
Inc. 5.375%, 05/15/27 | 252,108 | ||||||
75,000 | Greystar
Real Estate Partners, LLC* 5.750%, 12/01/25 | 77,457 | ||||||
123,000 | HUB
International, Ltd.* 7.875%, 10/01/21 | 127,997 | ||||||
252,000 | ILFC
E-Capital Trust II*‡ 4.620%, 12/21/65 3 mo. USD LIBOR + 1.80% | 247,590 | ||||||
221,000 | Iron
Mountain, Inc.*^µ 5.250%, 03/15/28 | 214,757 | ||||||
Jefferies Finance, LLC* | ||||||||
741,000 | 7.375%, 04/01/20 | 756,220 | ||||||
320,000 | 7.250%, 08/15/24 | 332,622 | ||||||
148,000 | Ladder
Capital Finance Holdings LLLP / Ladder Capital Finance Corp.*µ 5.250%, 10/01/25 | 148,375 | ||||||
122,000 | Level
3 Financing, Inc. 5.375%, 05/01/25 | 122,412 | ||||||
197,000 | LPL
Holdings, Inc.* 5.750%, 09/15/25 | 201,175 | ||||||
221,000 | MetLife,
Inc.µ 6.400%, 12/15/66 | 252,676 | ||||||
347,000 | Nationstar
Mortgage, LLC / Nationstar Capital Corp. 6.500%, 07/01/21 | 351,832 | ||||||
Navient Corp.^ | ||||||||
234,000 | 6.750%, 06/25/25 | 245,527 | ||||||
71,000 | 6.500%, 06/15/22 | 75,000 | ||||||
139,000 | NexBank
Capital, Inc.*‡& 6.375%, 09/30/27 3 mo. USD LIBOR + 4.59% | 140,897 | ||||||
200,000 | Oil
Insurance, Ltd.*‡ 4.677%, 03/05/18 3 mo. USD LIBOR + 2.98% | 194,588 | ||||||
523,000 | Quicken
Loans, Inc.*^µ 5.750%, 05/01/25 | 534,697 | ||||||
71,000 | Radian
Group, Inc.µ 4.500%, 10/01/24 | 71,550 | ||||||
Springleaf Finance Corp. | ||||||||
231,000 | 8.250%, 10/01/23^ | 255,822 | ||||||
62,000 | 5.625%, 03/15/23 | 62,188 | ||||||
79,000 | Tow
ne Bank‡ 4.500%, 07/30/27 3 mo. USD LIBOR + 2.55% | 80,470 | ||||||
360,000 | Tronox
Finance, PLC*^ 5.750%, 10/01/25 | 369,630 | ||||||
37,000 | VEREIT
Operating Partnership, LP^ 3.950%, 08/15/27 | 35,868 | ||||||
7,913,835 |
PRINCIPAL AMOUNT | VALUE | |||||||
Health Care (0.4%) | ||||||||
686,000 | Acadia
Healthcare Company, Inc. 6.500%, 03/01/24 | $ | 719,442 | |||||
Community Health Systems, Inc.^ | ||||||||
773,000 | 7.125%, 07/15/20 | 676,549 | ||||||
76,000 | 8.000%, 11/15/19 | 71,315 | ||||||
543,000 | DaVita,
Inc. 5.125%, 07/15/24 | 547,602 | ||||||
156,000 | Endo
International, PLC* 7.250%, 01/15/22 | 136,587 | ||||||
354,000 | Endo,
Ltd.* 6.000%, 07/15/23 | 278,283 | ||||||
320,000 | Greatbatch,
Ltd.* 9.125%, 11/01/23 | 348,501 | ||||||
HCA, Inc. | ||||||||
1,012,000 | 5.875%, 05/01/23^ | 1,086,195 | ||||||
178,000 | 7.500%, 11/06/33 | 198,569 | ||||||
140,000 | 5.375%, 02/01/25^ | 143,298 | ||||||
178,000 | Magellan
Health, Inc.µ 4.400%, 09/22/24 | 178,115 | ||||||
260,000 | Mallinckrodt
International Finance, SA / Mallinckrodt CB, LLC*^ 5.625%, 10/15/23 | 222,677 | ||||||
38,000 | Team
Health Holdings, Inc.*^ 6.375%, 02/01/25 | 35,494 | ||||||
359,000 | Teleflex,
Inc.µ 5.250%, 06/15/24 | 373,455 | ||||||
Tenet Healthcare Corp.^ | ||||||||
443,000 | 6.750%, 06/15/23 | 437,589 | ||||||
304,000 | 5.125%, 05/01/25* | 303,590 | ||||||
310,000 | Teva
Pharmaceutical Finance Company, BVµ 2.950%, 12/18/22 | 283,097 | ||||||
254,000 | Teva
Pharmaceutical Finance IV, BVµ 3.650%, 11/10/21 | 246,142 | ||||||
68,000 | Teva
Pharmaceutical Finance IV, LLCµ 2.250%, 03/18/20 | 66,109 | ||||||
194,000 | Teva
Pharmaceutical Finance Netherlands III, BV^ 2.200%, 07/21/21 | 180,907 | ||||||
Valeant
Pharmaceuticals International, Inc.* | ||||||||
1,298,000 | 7.250%, 07/15/22^ | 1,290,179 | ||||||
369,000 | 9.000%, 12/15/25 | 380,059 | ||||||
178,000 | West
Street Merger Sub, Inc.*^ 6.375%, 09/01/25 | 180,380 | ||||||
8,384,134 | ||||||||
Industrials (0.3%) | ||||||||
160,000 | ACCO
Brands Corp.* 5.250%, 12/15/24 | 163,386 | ||||||
Allison Transmission, Inc.*µ | ||||||||
160,000 | 4.750%, 10/01/27 | 159,650 | ||||||
47,000 | 5.000%, 10/01/24 | 47,523 | ||||||
72,000 | American
Woodmark Corp.* 4.875%, 03/15/26 | 72,270 | ||||||
172,000 | ARD Securities Finance SARL*^ | |||||||
8.750%, 01/31/23 | ||||||||
8.750% PIK rate | 177,958 |
See accompanying Notes to Schedule of Investments
8
Strategic Total Return Fund |
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
182,000 | Beacon
Escrow Corp.* 4.875%, 11/01/25 | $ | 181,563 | |||||
188,000 | Bombardier,
Inc.* 7.500%, 12/01/24 | 197,931 | ||||||
106,000 | Catalent
Pharma Solutions, Inc.* 4.875%, 01/15/26 | 106,102 | ||||||
Covanta Holding Corp. | ||||||||
105,000 | 5.875%, 03/01/24 | 107,607 | ||||||
33,000 | 5.875%, 07/01/25 | 33,561 | ||||||
178,000 | Delphi
Technologies, PLC* 5.000%, 10/01/25 | 177,908 | ||||||
180,000 | Fly
Leasing, Ltd.^ 5.250%, 10/15/24 | 180,959 | ||||||
36,000 | FXI
Holdings, Inc.* 7.875%, 11/01/24 | 35,969 | ||||||
259,000 | Garda
World Security Corp.* 7.250%, 11/15/21 | 265,652 | ||||||
520,000 | Golden
Nugget, Inc.* 6.750%, 10/15/24 | 538,242 | ||||||
120,000 | Great
Lakes Dredge & Dock Corp. 8.000%, 05/15/22 | 126,387 | ||||||
225,000 | H&E
Equipment Services, Inc.* 5.625%, 09/01/25 | 233,643 | ||||||
31,000 | Hertz
Corp.* 7.625%, 06/01/22 | 32,466 | ||||||
Icahn Enterprises, LPµ | ||||||||
185,000 | 6.375%, 12/15/25* | 188,462 | ||||||
156,000 | 6.750%, 02/01/24 | 162,510 | ||||||
IHO Verwaltungs GmbH* | ||||||||
74,000 | 4.500%, 09/15/23 | |||||||
5.250% PIK rate | 75,228 | |||||||
74,000 | 4.125%, 09/15/21 | |||||||
4.875% PIK rate | 75,243 | |||||||
74,000 | James
Hardie International Finance, Ltd.*µ 4.750%, 01/15/25 | 75,013 | ||||||
178,000 | Jeld-Wen,
Inc.* 4.625%, 12/15/25 | 178,369 | ||||||
93,000 | JPW
Industries Holding Corp.* 9.000%, 10/01/24 | 97,852 | ||||||
230,000 | Meritor,
Inc. 6.250%, 02/15/24 | 241,783 | ||||||
37,000 | Multi-Color
Corp.* 4.875%, 11/01/25 | 37,171 | ||||||
258,000 | Navistar
International Corp.* 6.625%, 11/01/25 | 270,864 | ||||||
Park Aerospace Holdings, Ltd.*^ | ||||||||
125,000 | 5.500%, 02/15/24 | 123,916 | ||||||
104,000 | 4.500%, 03/15/23 | 100,310 | ||||||
253,000 | Park-Ohio
Industries, Inc.^ 6.625%, 04/15/27 | 271,641 | ||||||
163,000 | Scientific
Games International, Inc.* 5.000%, 10/15/25 | 163,490 | ||||||
121,000 | Tennant
Company* 5.625%, 05/01/25 | 126,440 | ||||||
18,000 | Trident
Merger Sub, Inc.* 6.625%, 11/01/25 | 18,157 | ||||||
37,000 | TriMas
Corp.* 4.875%, 10/15/25 | 37,402 | ||||||
United Continental Holdings, Inc. | ||||||||
283,000 | 6.375%, 06/01/18 | 286,451 | ||||||
105,000 | 4.250%, 10/01/22µ | 105,705 | ||||||
292,000 | United
Rentals North America, Inc.^µ 4.875%, 01/15/28 | 292,251 |
PRINCIPAL AMOUNT | VALUE | |||||||
92,000 | Waste
Pro USA, Inc.* 5.500%, 02/15/26 | $ | 93,703 | |||||
83,000 | WESCO
Distribution, Inc. 5.375%, 06/15/24 | 85,453 | ||||||
5,946,191 | ||||||||
Information Technology (0.2%) | ||||||||
347,000 | Alliance
Data Systems Corp.*^ 5.875%, 11/01/21 | 356,758 | ||||||
Amkor Technology, Inc. | ||||||||
379,000 | 6.375%, 10/01/22^ | 390,916 | ||||||
372,000 | 6.625%, 06/01/21 | 377,318 | ||||||
Cardtronics, Inc. | ||||||||
225,000 | 5.125%, 08/01/22 | 218,868 | ||||||
181,000 | 5.500%, 05/01/25* | 168,907 | ||||||
162,000 | CBS
Radio, Inc.* 7.250%, 11/01/24 | 170,362 | ||||||
166,000 | CDK
Global, Inc.*µ 4.875%, 06/01/27 | 166,761 | ||||||
100,000 | CDW,
LLC / CDW Finance Corp. 5.000%, 09/01/23 | 102,725 | ||||||
361,000 | Clear
Channel Worldwide Holdings, Inc.^ 7.625%, 03/15/20 | 357,031 | ||||||
239,000 | CommScope
Technologies, LLC* 6.000%, 06/15/25 | 252,141 | ||||||
959,000 | First
Data Corp. - Class A*^ 7.000%, 12/01/23 | 1,012,785 | ||||||
185,000 | Harland
Clarke Holdings Corp.* 8.375%, 08/15/22 | 192,971 | ||||||
Nuance Communications, Inc.µ | ||||||||
160,000 | 6.000%, 07/01/24 | 169,662 | ||||||
148,000 | 5.625%, 12/15/26 | 153,396 | ||||||
178,000 | TTM
Technologies, Inc.* 5.625%, 10/01/25 | 183,274 | ||||||
125,000 | VFH
Parent, LLC* 6.750%, 06/15/22 | 131,515 | ||||||
4,405,390 | ||||||||
Materials (0.1%) | ||||||||
256,000 | AK
Steel Corp.^ 6.375%, 10/15/25 | 253,991 | ||||||
226,000 | Alcoa
Nederland Holding, BV*µ 7.000%, 09/30/26 | 250,680 | ||||||
492,000 | ArcelorMittal,
SA^µ 7.500%, 10/15/39 | 635,603 | ||||||
169,000 | Arconic,
Inc.^µ 5.125%, 10/01/24 | 178,461 | ||||||
332,000 | Ardagh
Packaging Finance, PLC / Ardagh Holdings USA, Inc.* 6.000%, 02/15/25 | 343,808 | ||||||
First Quantum Minerals, Ltd.* | ||||||||
97,000 | 7.000%, 02/15/21 | 100,422 | ||||||
49,000 | 7.250%, 04/01/23 | 52,012 | ||||||
Freeport-McMoRan, Inc.^ | ||||||||
213,000 | 4.550%, 11/14/24 | 216,429 | ||||||
67,000 | 3.550%, 03/01/22 | 66,509 | ||||||
197,000 | INEOS
Group Holdings, SA*^ 5.625%, 08/01/24 | 202,555 | ||||||
90,000 | Kinross
Gold Corp.*µ 4.500%, 07/15/27 | 90,783 | ||||||
90,000 | New
Gold, Inc.* 6.375%, 05/15/25 | 95,495 | ||||||
493,000 | PBF
Holding Company, LLC / PBF Finance Corp.^ 7.250%, 06/15/25 | 520,852 |
See accompanying Notes to Schedule of Investments
9
Calamos Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
358,000 | United
States Steel Corp.^ 6.875%, 08/15/25 |
$ | 376,059 | |||||
18,000 | Warrior
Met Coal, Inc.* 8.000%, 11/01/24 |
18,977 | ||||||
3,402,636 | ||||||||
Real Estate (0.0%) | ||||||||
144,000 | Crescent
Communities, LLC/Crescent Ventures, Inc.* 8.875%, 10/15/21 |
153,311 | ||||||
298,000 | MPT
Operating Partnership, LP / MPT Finance Corp.^µ 5.000%, 10/15/27 |
295,977 | ||||||
185,000 | Starwood Property Trust, Inc.*µ 4.750%, 03/15/25 |
183,361 | ||||||
632,649 | ||||||||
Telecommunication Services (0.3%) | ||||||||
117,000 | Altice
Financing, SA*^ 7.500%, 05/15/26 |
121,764 | ||||||
Altice Luxembourg, SA* | ||||||||
74,000 | 7.750%, 05/15/22 | 71,040 | ||||||
74,000 | 7.625%, 02/15/25^ | 68,004 | ||||||
197,000 | Altice
US Finance I Corp.*µ 5.500%, 05/15/26 |
201,634 | ||||||
4,000 | Block
Communications, Inc.* 6.875%, 02/15/25 |
4,180 | ||||||
173,000 | CB
Escrow Corp.* 8.000%, 10/15/25 |
174,627 | ||||||
120,000 | CenturyLink,
Inc.^ 7.500%, 04/01/24 |
120,915 | ||||||
620,000 | CSC
Holdings, LLC*^µ 5.500%, 04/15/27 |
628,968 | ||||||
642,000 | Embarq
Corp.µ 7.995%, 06/01/36 |
625,080 | ||||||
Frontier Communications Corp. | ||||||||
617,000 | 7.625%, 04/15/24^ | 408,155 | ||||||
191,000 | 11.000%, 09/15/25 | 149,675 | ||||||
188,000 | 8.500%, 04/15/20^ | 183,904 | ||||||
141,000 | Hughes
Satellite Systems Corp. 6.625%, 08/01/26 |
149,451 | ||||||
Intelsat Jackson Holdings, SA | ||||||||
280,000 | 9.750%, 07/15/25* | 258,384 | ||||||
188,000 | 7.500%, 04/01/21^ | 160,714 | ||||||
115,000 | 8.000%, 02/15/24* | 120,899 | ||||||
175,000 | Qwest Corp.µ 6.875%, 09/15/33 |
170,844 | ||||||
73,000 | SBA
Communications Corp.* 4.000%, 10/01/22 |
72,117 | ||||||
Sprint Corp. | ||||||||
721,000 | 7.125%, 06/15/24 | 731,880 | ||||||
662,000 | 7.875%, 09/15/23^ | 701,008 | ||||||
T-Mobile USA, Inc.µ | ||||||||
274,000 | 6.625%, 04/01/23 | 284,864 | ||||||
111,000 | 4.750%, 02/01/28^ | 111,492 | ||||||
343,000 | United
States Cellular Corp.µ 6.700%, 12/15/33 |
363,223 | ||||||
Windstream Services, LLC | ||||||||
194,000 | 8.625%, 10/31/25* | 181,507 | ||||||
104,000 | 7.750%, 10/01/21 | 78,703 | ||||||
19,000 | 7.750%, 10/15/20^ | 16,305 | ||||||
6,159,337 | ||||||||
Utilities (0.1%) | ||||||||
357,000 | AES
Corp.µ 7.375%, 07/01/21 |
398,437 |
PRINCIPAL AMOUNT | VALUE | |||||||
326,000 | Dynegy,
Inc.*^ 8.125%, 01/30/26 |
$ | 359,601 | |||||
NRG Energy, Inc.^ | ||||||||
247,000 | 6.625%, 01/15/27 | 261,810 | ||||||
81,000 | 5.750%, 01/15/28* | 81,196 | ||||||
129,000 | PPL
Capital Funding, Inc.^µ‡ 4.358%, 03/30/67 3 mo. USD LIBOR + 2.67% |
128,268 | ||||||
115,000 | Talen
Energy Supply, LLC*^ 10.500%, 01/15/26 |
116,118 | ||||||
185,000 | Terra
Form Power Operating, LLC* 5.000%, 01/31/28 |
182,504 | ||||||
1,527,934 | ||||||||
TOTAL CORPORATE BONDS | 57,259,367 | |||||||
U.S. Government and Agency Securities (0.0%) | ||||||||
793,000 | United
States Treasury Note 2.000%, 11/15/26 |
748,755 |
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |||||||
Purchased Options (0.5%) # | ||||||||
Materials (0.0%) | ||||||||
183 | Alcoa Corp. | |||||||
18,300 | Call, 04/20/18, Strike $60.00 | 20,588 | ||||||
Other (0.5%) | ||||||||
iShares MSCI EAFE ETF | ||||||||
17,000 | ||||||||
1,700,000 | Call, 03/29/18, Strike $74.00 | 2,473,500 | ||||||
17,000 | ||||||||
1,700,000 | Call, 06/15/18, Strike $74.00 | 4,403,000 | ||||||
Ishares MSCI Emerging Markets | ||||||||
8,200 | ||||||||
820,000 | Call, 06/15/18, Strike $51.00 | 2,070,500 | ||||||
8,000 | ||||||||
800,000 | Call, 03/29/18, Strike $51.00 | 1,268,000 | ||||||
10,215,000 | ||||||||
TOTAL PURCHASED OPTIONS | 10,235,588 | |||||||
TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $67,493,897) |
68,243,710 |
NUMBER OF SHARES | VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS (6.6%) | ||||||||
Consumer Staples (0.6%) | ||||||||
111,900 | Bunge,
Ltd. 4.875%, 12/31/49 |
12,645,495 | ||||||
Energy (0.9%) | ||||||||
84,885 | CenterPoint
Energy, Inc. (Time Warner, Inc., Charter Communications Time, Inc.)µ**§ 3.399%, 09/15/29 |
6,154,417 | ||||||
114,350 | Hess
Corp. 8.000%, 02/01/19 |
6,846,135 |
See accompanying Notes to Schedule of Investments
10
Strategic Total Return Fund
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
NUMBER OF SHARES | VALUE | |||||||
NuStar Energy, LP‡ | ||||||||
165,000 | 7.625%, 06/15/22 3 mo. USD LIBOR + 5.64% | $ | 3,898,950 | |||||
53,034 | 8.500%, 12/15/21 3 mo. USD LIBOR + 6.77% | 1,337,517 | ||||||
18,237,019 | ||||||||
Financials (0.2%) | ||||||||
80,250 | AMG Capital Trust II 5.150%, 10/15/37 | 5,064,032 | ||||||
Health Care (1.5%) | ||||||||
17,847 | Allergan, PLC 5.500%, 03/01/18 | 11,559,502 | ||||||
215,575 | Anthem, Inc. 5.250%, 05/01/18 | 12,947,434 | ||||||
133,000 | Becton Dickinson and Company 6.125%, 05/01/20 | 8,341,760 | ||||||
32,848,696 | ||||||||
Industrials (0.7%) | ||||||||
122,000 | Rexnord Corp. 5.750%, 11/15/19 | 7,482,260 | ||||||
64,000 | Stanley Black & Decker, Inc.^ 5.375%, 05/15/20 | 7,625,600 | ||||||
15,107,860 | ||||||||
Real Estate (1.1%) | ||||||||
105,279 | American Tow er Corp. 5.500%, 02/15/18 | 13,554,671 | ||||||
8,765 | Crown Castle International Corp. 6.875%, 08/01/20 | 9,806,633 | ||||||
23,361,304 | ||||||||
Utilities (1.6%) | ||||||||
40,398 | Dominion Resources, Inc. 6.750%, 08/15/19 | 2,038,887 | ||||||
144,600 | DTE Energy Company 6.500%, 10/01/19 | 7,646,954 | ||||||
NextEra Energy, Inc. | ||||||||
231,000 | 6.371%, 09/01/18 | 16,391,760 | ||||||
124,600 | 6.123%, 09/01/19^ | 7,047,376 | ||||||
33,124,977 | ||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $129,672,869) | 140,389,383 | |||||||
COMMON STOCKS (86.8%) | ||||||||
Consumer Discretionary (13.1%) | ||||||||
36,300 | Amazon.com, Inc.^# | 52,667,307 | ||||||
185,615 | Carnival Corp. | 13,291,890 | ||||||
509,825 | Comcast Corp. - Class A | 21,682,857 | ||||||
57,270 | Dollar Tree, Inc.# | 6,586,050 | ||||||
825,570 | Ford Motor Company | 9,056,503 | ||||||
22,035 | GameStop Corp. - Class A^ | 370,408 | ||||||
154,993 | General Motors Company, Inc. | 6,573,253 | ||||||
138,000 | Home Depot, Inc. | 27,724,200 | ||||||
94,000 | Lowe’s Companies, Inc. | 9,844,620 | ||||||
123,000 | McDonald’s Corp.~ | 21,050,220 | ||||||
71,990 | Netflix, Inc.# | 19,458,897 | ||||||
162,800 | Nike, Inc. - Class B | 11,106,216 | ||||||
1,400 | Priceline Group, Inc.^# | 2,676,870 | ||||||
16,600 | PVH Corp. | 2,574,328 |
NUMBER
OF SHARES | VALUE | |||||||
35,580 | Royal Caribbean Cruises, Ltd. | $ | 4,751,709 | |||||
324,000 | Starbucks Corp.^ | 18,406,440 | ||||||
153,000 | TJX Companies, Inc.^ | 12,288,960 | ||||||
49,999 | TopBuild Corp.^# | 3,826,924 | ||||||
201,000 | Walt Disney Company | 21,842,670 | ||||||
60,000 | Whirlpool Corp. | 10,885,200 | ||||||
276,665,522 | ||||||||
Consumer Staples (7.1%) | ||||||||
85,500 | Altria Group, Inc. | 6,014,070 | ||||||
505,000 | Coca-Cola Company | 24,032,950 | ||||||
53,100 | Costco Wholesale Corp.^ | 10,347,597 | ||||||
79,150 | Kroger Company | 2,402,994 | ||||||
340,000 | Mondelez International, Inc. - Class A | 15,096,000 | ||||||
163,670 | PepsiCo, Inc. | 19,689,501 | ||||||
147,500 | Philip Morris International, Inc. | 15,816,425 | ||||||
342,000 | Procter & Gamble Company | 29,528,280 | ||||||
170,835 | Wal-Mart Stores, Inc. | 18,211,011 | ||||||
125,000 | Walgreens Boots Alliance, Inc. | 9,407,500 | ||||||
150,546,328 | ||||||||
Energy (7.8%) | ||||||||
475,000 | BP, PLC^ | 20,325,250 | ||||||
325,000 | Chevron Corp. | 40,738,750 | ||||||
111,120 | ConocoPhillips | 6,534,967 | ||||||
60,000 | Diamond Offshore Drilling, Inc.# | 1,060,800 | ||||||
86,865 | Enterprise Products Partners, LP | 2,399,211 | ||||||
117,000 | EOG Resources, Inc.^ | 13,455,000 | ||||||
507,000 | Exxon Mobil Corp. | 44,261,100 | ||||||
137,300 | Halliburton Company | 7,373,010 | ||||||
33,560 | Magellan Midstream Partners, LP~ | 2,395,848 | ||||||
100,220 | Marathon Petroleum Corp. | 6,942,240 | ||||||
26,500 | Pioneer Natural Resources Company^ | 4,847,115 | ||||||
156,200 | Schlumberger, Ltd.^ | 11,493,196 | ||||||
64,160 | Spectra Energy Partners, LP | 2,742,199 | ||||||
21,850 | Targa Resources Corp.^ | 1,048,800 | ||||||
165,617,486 | ||||||||
Financials (14.6%) | ||||||||
35,430 | Affiliated Managers Group, Inc. | 7,072,891 | ||||||
165,000 | American Express Company~ | 16,401,000 | ||||||
190,100 | American International Group, Inc. | 12,151,192 | ||||||
1,166,950 | Bank of America Corp. | 37,342,400 | ||||||
161,625 | BB&T Corp. | 8,920,084 | ||||||
70,800 | Capital One Financial Corp. | 7,360,368 | ||||||
62,795 | Chubb Corp. | 9,805,439 | ||||||
253,000 | Citigroup, Inc. | 19,855,440 | ||||||
125,000 | Discover Financial Services^ | 9,975,000 | ||||||
153,765 | E*TRADE Financial Corp.# | 8,103,416 | ||||||
175,050 | First Republic Bank^ | 15,675,727 | ||||||
44,700 | Goldman Sachs Group, Inc. | 11,974,683 | ||||||
453,400 | JPMorgan Chase & Company | 52,444,778 | ||||||
226,225 | KeyCorp | 4,841,215 | ||||||
132,475 | Marsh & McLennan Companies, Inc.^ | 11,064,312 | ||||||
203,205 | MetLife, Inc.^ | 9,768,064 | ||||||
180,000 | Morgan Stanley | 10,179,000 | ||||||
81,900 | Northern Trust Corp.^ | 8,631,441 | ||||||
85,200 | PNC Financial Services Group, Inc.^ | 13,463,304 | ||||||
81,900 | Prudential Financial, Inc. | 9,731,358 | ||||||
121,226 | Synchrony Financial | 4,810,248 |
See accompanying Notes to Schedule of Investments
11
Calamos Strategic Total Return Fund |
SCHEDULE OF INVESTMENTS JANUARY 31, 2018 (UNAUDITED) |
NUMBER OF | VALUE | |||||||
311,215 | Wells Fargo & Company | $ | 20,471,723 | |||||
310,043,083 | ||||||||
Health Care (11.4%) | ||||||||
139,700 | Abbott Laboratories^~ | 8,683,752 | ||||||
212,585 | AbbVie, Inc. | 23,856,289 | ||||||
32,025 | Aetna, Inc. | 5,982,911 | ||||||
103,095 | Agilent Technologies, Inc. | 7,570,266 | ||||||
29,080 | Alexion Pharmaceuticals, Inc.^# | 3,469,826 | ||||||
60,300 | Amgen, Inc. | 11,218,815 | ||||||
181,015 | Baxter International, Inc. | 13,038,510 | ||||||
134,750 | Bristol-Myers Squibb Company | 8,435,350 | ||||||
115,120 | Celgene Corp.# | 11,645,539 | ||||||
137,350 | Eli Lilly and Company | 11,187,157 | ||||||
13,600 | Humana, Inc. | 3,832,888 | ||||||
275,000 | Johnson & Johnson | 38,002,250 | ||||||
98,200 | Medtronic, PLC | 8,434,398 | ||||||
251,550 | Merck & Company, Inc. | 14,904,337 | ||||||
740,400 | Pfizer, Inc. | 27,424,416 | ||||||
58,900 | Stryker Corp.^ | 9,681,982 | ||||||
42,800 | Thermo Fisher Scientific, Inc. | 9,591,908 | ||||||
105,000 | UnitedHealth Group, Inc. | 24,861,900 | ||||||
241,822,494 | ||||||||
Industrials (9.0%) |