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
SHARES

     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%)