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, 2019

 

DATE OF REPORTING PERIOD: January 31, 2019

 

 

 

 

 

 

Calamos Strategic Total Return Fund

 SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
CORPORATE BONDS (23.6%)  
    Airlines (0.0%)     
565,798   UAL Pass Through Trust Series 2007-1µ
6.636%, 01/02/24
  $586,101 
          
    Communication Services (3.0%)     
937,000   Altice Financing, SA*^
7.500%, 05/15/26
   890,576 
2,516,000   Altice France, SA*
7.375%, 05/01/26
   2,431,613 
    Altice Luxembourg, SA*^     
592,000   7.750%, 05/15/22   575,439 
592,000   7.625%, 02/15/25   504,058 
    Cincinnati Bell, Inc.*^     
1,391,000   8.000%, 10/15/25   1,211,728 
765,000   7.000%, 07/15/24   660,861 
873,000   Consolidated Communications, Inc.^
6.500%, 10/01/22
   799,882 
    CSC Holdings, LLC*     
4,183,000   5.500%, 04/15/27µ   4,098,483 
1,579,000   5.500%, 05/15/26µ^   1,567,394 
1,233,000   7.500%, 04/01/28^   1,269,682 
6,700,000   Embarq Corp.µ
7.995%, 06/01/36
   6,323,561 
    Frontier Communications Corp.     
3,868,000   11.000%, 09/15/25^   2,504,897 
2,851,000   7.625%, 04/15/24   1,541,892 
1,159,000   8.500%, 04/01/26*^   1,052,656 
    Gray Television, Inc.*^     
1,426,000   5.875%, 07/15/26   1,400,952 
572,000   7.000%, 05/15/27   594,560 
    Hughes Satellite Systems Corp.^     
1,135,000   6.625%, 08/01/26   1,099,531 
340,000   5.250%, 08/01/26   328,576 
    Inmarsat Finance, PLC*^     
1,628,000   4.875%, 05/15/22   1,580,047 
1,095,000   6.500%, 10/01/24µ   1,063,990 
    Intelsat Jackson Holdings, SA     
2,111,000   9.750%, 07/15/25*   2,201,646 
1,184,000   5.500%, 08/01/23^   1,077,961 
922,000   8.000%, 02/15/24*^   961,282 
592,000   MDC Partners, Inc.*^     
    6.500%, 05/01/24   542,500 
1,401,000   Qwest Corp.µ     
    6.875%, 09/15/33   1,321,430 
587,000   SBA Communications Corp.^
4.000%, 10/01/22
   583,601 
    Sprint Corp.^     
4,696,000   7.125%, 06/15/24   4,830,423 
4,006,000   7.875%, 09/15/23   4,261,903 
1,381,000   7.625%, 03/01/26   1,435,957 
1,431,000   T-Mobile USA, Inc.^
4.750%, 02/01/28
   1,379,055 
868,000   Telecom Italia Capital, SA^
6.000%, 09/30/34
   756,371 
2,304,000   United States Cellular Corp.µ
6.700%, 12/15/33
   2,392,047 
592,000   Wind Tre, S.p.A.*
5.000%, 01/20/26
   493,041 
    Windstream Services, LLC / Windstream Finance Corp.     
1,455,000   8.625%, 10/31/25*   1,378,205 
PRINCIPAL
AMOUNT
      VALUE 
458,000   7.750%, 10/01/21  $287,574 
156,000   10.500%, 06/30/24*   129,496 
        55,532,870 
          
    Consumer Discretionary (3.4%)     
1,258,000   Beverages & More, Inc.*
11.500%, 06/15/22
   951,557 
1,480,000   Boyd Gaming Corp.^
6.000%, 08/15/26
   1,487,541 
1,431,000   Caesars Resort Collection, LLC / CRC Finco, Inc.*^
5.250%, 10/15/25
   1,337,491 
    CCO Holdings, LLC / CCO Holdings Capital Corp.     
2,368,000   5.125%, 05/01/27*^   2,293,964 
1,209,000   5.750%, 09/01/23   1,233,506 
498,000   5.000%, 02/01/28*^   473,929 
    Century Communities, Inc.     
1,726,000   6.875%, 05/15/22   1,738,393 
1,529,000   5.875%, 07/15/25   1,412,850 
3,355,000   Dana Financing Luxembourg Sarl*^
6.500%, 06/01/26
   3,365,451 
    DISH DBS Corp.^     
1,465,000   7.750%, 07/01/26   1,264,866 
844,000   5.875%, 11/15/24   701,862 
2,733,000   Eldorado Resorts, Inc.^     
    6.000%, 04/01/25   2,750,805 
1,416,000   ESH Hospitality, Inc.*^
5.250%, 05/01/25
   1,402,959 
123,000   General Motors Financial Company, Inc.^‡
6.500%, 09/30/28
3 mo. USD LIBOR + 3.44%
   108,904 
1,480,000   GLP Capital, LP / GLP Financing II, Inc.µ
5.250%, 06/01/25
   1,527,071 
1,154,000   goeasy, Ltd.µ*
7.875%, 11/01/22
   1,210,321 
1,751,000   Guitar Center Escrow Issuer, Inc.*
9.500%, 10/15/21
   1,648,400 
1,480,000   International Game Technology,
PLC*^
6.250%, 01/15/27
   1,502,429 
4,095,000   L Brands, Inc.µ^
6.875%, 11/01/35
   3,540,701 
1,480,000   Lennar Corp.µ
5.250%, 06/01/26
   1,444,643 
1,278,000   M/I Homes, Inc.^
5.625%, 08/01/25
   1,178,265 
    Mattel, Inc.     
2,753,000   6.750%, 12/31/25*^   2,603,760 
54,000   2.350%, 08/15/21   50,237 
1,347,000   Mclaren Finance, PLC*^
5.750%, 08/01/22
   1,240,897 
    Meritage Homes Corp.     
3,236,000   7.000%, 04/01/22   3,407,929 
2,467,000   7.150%, 04/15/20   2,541,762 
577,000   Neiman Marcus Group Ltd., LLC*
8.000%, 10/15/21
   260,654 
    Penske Automotive Group, Inc.     
1,381,000   5.500%, 05/15/26^   1,352,261 
207,000   5.375%, 12/01/24   203,647 
    PetSmart, Inc.*^     
952,000   5.875%, 06/01/25   749,986 


 

See accompanying Notes to Schedule of Investments

 

1

 

Calamos Strategic Total Return Fund

 SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
261,000   8.875%, 06/01/25  $165,572 
    Rite Aid Corp.     
2,980,000   7.700%, 02/15/27   2,045,025 
888,000   6.125%, 04/01/23*^   750,360 
7,506,000   Royal Caribbean Cruises, Ltd.µ^
7.500%, 10/15/27
   8,907,145 
2,021,000   Salem Media Group, Inc.*
6.750%, 06/01/24
   1,844,294 
1,453,000   Sally Holdings, LLC / Sally
Capital, Inc.^
5.625%, 12/01/25
   1,415,869 
1,480,000   Sotheby's*^
4.875%, 12/15/25
   1,416,656 
853,000   Taylor Morrison Communities Corp.
6.625%, 05/15/22
   869,002 
536,327   US Airways Pass Through Trust Series 2012-2, Class B
6.750%, 12/03/22
   559,622 
1,184,000   VOC Escrow, Ltd.*^
5.000%, 02/15/28
   1,153,696 
        64,114,282 
          
    Consumer Staples (1.3%)     
873,000   Albertsons Companies, LLC / Safeway, Inc. / New Albertson's, Inc. / Albertson's, LLC^
5.750%, 03/15/25
   818,429 
888,000   Energizer Holdings, Inc.*^
6.375%, 07/15/26
   864,681 
1,682,000   Fresh Market, Inc.*^
9.750%, 05/01/23
   1,263,552 
    JBS USA LUX, SA / JBS USA Finance, Inc.*     
8,860,000   7.250%, 06/01/21   8,995,115 
2,072,000   6.750%, 02/15/28^   2,116,631 
123,000   Land O' Lakes, Inc.*
7.000%, 09/18/28
   118,387 
    New Albertson's, Inc.     
1,830,000   7.450%, 08/01/29   1,607,893 
992,000   7.750%, 06/15/26   903,796 
661,000   8.000%, 05/01/31^   594,606 
    Pilgrim's Pride Corp.*^     
2,235,000   5.875%, 09/30/27   2,168,129 
592,000   5.750%, 03/15/25   580,977 
    Post Holdings, Inc.*^     
1,411,000   5.750%, 03/01/27   1,386,004 
296,000   5.625%, 01/15/28   284,546 
    Simmons Foods, Inc.*     
1,169,000   7.750%, 01/15/24   1,210,155 
705,000   5.750%, 11/01/24^   577,673 
        23,490,574 
          
    Energy (3.6%)     
247,000   Andeavor Logistics, LP^‡
6.875%, 02/15/23
3 mo. USD LIBOR + 4.65%
   235,400 
903,000   Apergy Corp.
6.375%, 05/01/26
   890,841 
444,000   Berry Petroleum Company, LLC*^
7.000%, 02/15/26
   432,345 
884,000   Bruin E&P Partners, LLC*^
8.875%, 08/01/23
   843,805 
1,717,000   Buckeye Partners, LPµ‡
6.375%, 01/22/78
3 mo. USD LIBOR + 4.02%
   1,465,408 
PRINCIPAL
AMOUNT
      VALUE 
2,960,000   Calfrac Holdings, LP*
8.500%, 06/15/26
  $2,246,492 
2,077,000   California Resources Corp.*^
8.000%, 12/15/22
   1,670,147 
2,063,000   Carrizo Oil & Gas, Inc.^
6.250%, 04/15/23
   2,041,700 
1,480,000   Chaparral Energy, Inc.*
8.750%, 07/15/23
   1,166,699 
1,184,000   Cheniere Energy Partners, LPµ*^
5.625%, 10/01/26
   1,188,783 
    Chesapeake Energy Corp.^     
1,431,000   8.000%, 01/15/25   1,441,081 
1,223,000   7.000%, 10/01/24   1,196,088 
863,000   Comstock Resources, Inc.*
9.750%, 08/15/26
   799,380 
2,684,000   DCP Midstream Operating, LP*^‡
5.850%, 05/21/43
3 mo. USD LIBOR + 3.85%
   2,262,639 
557,000   DCP Midstream, LP‡
7.375%, 12/15/22
3 mo. USD LIBOR + 5.15%
   525,396 
    Denbury Resources, Inc.     
1,317,000   5.500%, 05/01/22   965,532 
1,204,000   7.500%, 02/15/24*^   1,054,824 
937,000   9.250%, 03/31/22*^   925,339 
508,000   Diamond Offshore Drilling, Inc.^
7.875%, 08/15/25
   480,817 
247,000   Enbridge, Inc.^‡
6.000%, 01/15/77
3 mo. USD LIBOR + 3.89%
   234,619 
3,389,000   Energy Transfer, LPµ^‡
5.754%, 11/01/66
3 mo. USD LIBOR + 3.02%
   2,720,350 
    Energy Transfer, LP^     
2,121,000   5.500%, 06/01/27µ   2,202,351 
567,000   5.875%, 01/15/24   603,906 
271,000   EnLink Midstream Partners, LP‡
6.000%, 12/15/22
3 mo. USD LIBOR + 4.11%
   216,179 
    Enterprise Products Operating, LLCµ‡     
2,254,000   4.875%, 08/16/77
3 mo. USD LIBOR + 2.99%
   2,012,304 
602,000   5.375%, 02/15/78
3 mo. USD LIBOR + 2.57%
   521,988 
252,000   5.250%, 08/16/77
3 mo. USD LIBOR + 3.03%
   224,150 
    EP Energy, LLC / Everest Acquisition Finance, Inc.*     
1,169,000   7.750%, 05/15/26^   1,079,414 
1,085,000   9.375%, 05/01/24   581,164 
    Genesis Energy, LP / Genesis Energy Finance Corp.^     
1,495,000   6.500%, 10/01/25   1,418,247 
1,480,000   6.250%, 05/15/26   1,361,186 
    Gulfport Energy Corp.^     
1,066,000   6.000%, 10/15/24   1,003,730 
987,000   6.375%, 05/15/25   933,292 
1,144,000   Halcon Resources Corp.^
6.750%, 02/15/25
   870,904 
1,312,000   HighPoint Operating Corp.^
7.000%, 10/15/22
   1,255,571 
1,884,000   Lonestar Resources America, Inc.*
11.250%, 01/01/23
   1,788,368 


 

See accompanying Notes to Schedule of Investments

 

2

 

Calamos Strategic Total Return Fund

 SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
1,480,000   Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*
6.000%, 08/01/26
  $1,463,343 
1,209,000   McDermott Technologies Americas, Inc. / McDermott Technology U.S., Inc.*^
10.625%, 05/01/24
   1,083,887 
533,000   Moss Creek Resources Holdings, Inc.*^
7.500%, 01/15/26
   478,309 
1,012,000   MPLX, LP^
4.875%, 06/01/25
   1,054,423 
148,000   Nabors Industries, Inc.^
5.750%, 02/01/25
   128,964 
888,000   Nine Energy Service, Inc.*
8.750%, 11/01/23
   891,192 
148,375   Northern Oil and Gas, Inc.
9.500%, 05/15/23
9.500% PIK rate
   152,340 
1,036,000   Oasis Petroleum, Inc.*^
6.250%, 05/01/26
   981,905 
1,480,000   Par Petroleum LLC / Par Petroleum Finance Corp.*
7.750%, 12/15/25
   1,375,061 
1,500,000   PDC Energy, Inc.^
5.750%, 05/15/26
   1,415,745 
1,727,000   Plains All American Pipeline, LPµ‡
6.125%, 11/15/22
3 mo. USD LIBOR + 4.11%
   1,550,362 
602,000   QEP Resources, Inc.^
5.625%, 03/01/26
   578,730 
2,225,000   SESI, LLC^
7.750%, 09/15/24
   1,761,799 
557,000   SM Energy Company^
6.750%, 09/15/26
   549,982 
1,061,000   Southwestern Energy Company^
7.500%, 04/01/26
   1,095,615 
962,000   Sunoco, LP / Sunoco Finance Corp.^
5.500%, 02/15/26
   950,624 
839,000   Targa Resources Partners, LP / Targa Resources Partners Finance Corp.µ*
6.500%, 07/15/27
   865,399 
247,000   Transcanada Trust^‡
5.300%, 03/15/77
3 mo. USD LIBOR + 3.21%
   227,602 
286,000   TransMontaigne Partners, LP /
TLP Finance Corp.
6.125%, 02/15/26
   262,575 
296,000   Transocean Pontus, Ltd.*
6.125%, 08/01/25
   297,116 
1,396,000   Transocean, Inc.*^
7.500%, 01/15/26
   1,329,934 
1,431,000   Vine Oil & Gas, LP / Vine Oil & Gas Finance Corp.*^
8.750%, 04/15/23
   1,188,624 
2,343,000   W&T Offshore, Inc.*^
9.750%, 11/01/23
   2,293,024 
3,068,000   Weatherford International, Ltd.
8.250%, 06/15/23
   1,970,853 
1,529,000   Whiting Petroleum Corp.^
6.625%, 01/15/26
   1,501,050 
PRINCIPAL
AMOUNT
      VALUE 
1,485,000   WildHorse Resource Development Corp.^
6.875%, 02/01/25
  $1,506,755 
        67,815,652 
          
    Financials (3.8%)     
3,083,000   Acrisure, LLC / Acrisure Finance, Inc.*
7.000%, 11/15/25
   2,692,538 
740,000   Allstate Corp.µ‡
5.750%, 08/15/53
3 mo. USD LIBOR + 2.94%
   740,873 
4,064,000   Ally Financial, Inc.
8.000%, 11/01/31
   4,888,972 
247,000   American Express Companyµ‡
4.900%, 03/15/20
3 mo. USD LIBOR + 3.29%
   244,644 
1,480,000   Amwins Group, Inc.*
7.750%, 07/01/26
   1,487,097 
    Ardonagh Midco 3, PLC*     
2,689,000   8.625%, 07/15/23^   2,318,456 
592,000   8.625%, 07/15/23   503,976 
2,072,000   AssuredPartners, Inc.*
7.000%, 08/15/25
   1,988,789 
1,924,000   Bank of America Corp.µ^‡
5.875%, 03/15/28
3 mo. USD LIBOR + 2.93%
   1,872,802 
493,000   Bank of New York Mellon Corp.µ^‡
4.625%, 09/20/26
3 mo. USD LIBOR + 3.13%
   463,070 
1,717,000   Bank of Nova Scotiaµ‡
4.650%, 10/12/22
3 mo. USD LIBOR + 2.65%
   1,536,921 
3,414,000   Charles Schwab Corp.µ‡
5.000%, 12/01/27
3 mo. USD LIBOR + 2.58%
   3,077,260 
247,000   CIT Group, Inc.‡
5.800%, 06/15/22
3 mo. USD LIBOR + 3.97%
   236,421 
839,000   Citigroup, Inc.^‡
5.950%, 05/15/25
3 mo. USD LIBOR + 3.91%
   836,571 
1,603,000   Discover Financial Servicesµ‡
5.500%, 10/30/27
3 mo. USD LIBOR + 3.08%
   1,476,956 
123,000   E*TRADE Financial Corp.^‡
5.875%, 09/15/26
3 mo. USD LIBOR + 4.44%
   119,513 
247,000   Fifth Third Bancorpµ‡
5.100%, 06/30/23
3 mo. USD LIBOR + 3.03%
   232,400 
493,000   Goldman Sachs Group, Inc.µ‡
5.300%, 11/10/26
3 mo. USD LIBOR + 3.83%
   481,841 
661,000   Greystar Real Estate Partners, LLC*
5.750%, 12/01/25
   658,805 
395,000   Hartford Financial Services Group, Inc.µ*‡
4.741%, 02/12/47
3 mo. USD LIBOR + 2.13%
   338,215 
1,480,000   HUB International, Ltd.*
7.000%, 05/01/26
   1,437,028 


 

See accompanying Notes to Schedule of Investments

 

3

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
2,415,000   ILFC E-Capital Trust II*^‡
4.800%, 12/21/65
3 mo. USD LIBOR + 1.80%
  $1,865,515 
3,157,000   Iron Mountain, Inc.μ*^
5.250%, 03/15/28
   2,938,978 
    Jefferies Finance, LLC*     
5,944,000   7.375%, 04/01/20   5,969,678 
2,565,000   7.250%, 08/15/24   2,446,459 
    JPMorgan Chase & Company^‡     
493,000   6.100%, 10/01/24
3 mo. USD LIBOR + 3.33%
   508,672 
444,000   6.750%, 02/01/24μ
3 mo. USD LIBOR + 3.78%
   478,494 
247,000   KeyCorp^‡
5.000%, 09/15/26
3 mo. USD LIBOR + 3.61%
   233,597 
1,184,000   Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.μ*^
5.250%, 10/01/25
   1,090,002 
977,000   Level 3 Financing, Inc.^ 5.375%, 05/01/25   967,767 
1,431,000   Lions Gate Capital Holdings, LLC*
6.375%, 02/01/24
   1,445,868 
1,584,000   LPL Holdings, Inc.*
5.750%, 09/15/25
   1,558,125 
2,841,000   MetLife, Inc.μ^
6.400%, 12/15/66
   3,009,954 
2,787,000   Nationstar Mortgage, LLC / Nationstar Capital Corp.
6.500%, 07/01/21
   2,783,683 
222,000   Nationwide Financial Services, Inc.μ^
6.750%, 05/15/37
   227,862 
    Navient Corp.^     
1,875,000   6.750%, 06/25/25   1,812,984 
567,000   6.500%, 06/15/22   580,602 
1,115,000   NexBank Capital, Inc.*‡&
6.375%, 09/30/27
3 mo. USD LIBOR + 4.59%
   1,124,790 
2,664,000   Oil Insurance, Ltd.*‡
5.785%, 03/30/19
3 mo. USD LIBOR + 2.98%
   2,545,772 
740,000   PNC Financial Services Group, Inc.μ‡
5.000%, 11/01/26
3 mo. USD LIBOR + 3.30%
   710,456 
291,000   Principal Financial Group, Inc.μ‡
4.700%, 05/15/55
3 mo. USD LIBOR + 3.04%
   285,826 
247,000   Progressive Corp.^‡
5.375%, 03/15/23
3 mo. USD LIBOR + 2.54%
   241,770 
247,000   Prudential Financial, Inc.μ‡
5.700%, 09/15/48
3 mo. USD LIBOR + 2.67%
   237,672 
1,480,000   Simmons First National Corp.‡
5.000%, 04/01/28
3 mo. USD LIBOR + 2.15%
   1,471,194 
    Springleaf Finance Corp.     
2,003,000   6.875%, 03/15/25^   1,919,355 
1,480,000   7.125%, 03/15/26   1,415,849 
247,000   State Street Corp.μ^‡
5.625%, 12/15/23
3 mo. USD LIBOR + 2.54%
   244,104 
PRINCIPAL
AMOUNT
      VALUE 
247,000   SunTrust Banks, Inc.μ‡
5.125%, 12/15/27
3 mo. USD LIBOR + 2.79%
  $222,226 
631,000   Towne Bank‡
4.500%, 07/30/27
3 mo. USD LIBOR + 2.55%
   628,836 
2,886,000   Tronox Finance, PLC*^
5.750%, 10/01/25
   2,503,403 
740,000   US Bancorpμ‡
5.300%, 04/15/27
3 mo. USD LIBOR + 2.91%
   731,264 
247,000   Voya Financial, Inc.μ‡
6.125%, 09/15/23
3 mo. USD LIBOR + 3.36%
   245,076 
469,000   Wells Fargo & Company^‡
5.875%, 06/15/25
3 mo. USD LIBOR + 3.99%
   489,917 
247,000   XLIT, Ltd.‡
5.245%, 03/04/19
3 mo. USD LIBOR + 2.46%
   235,894 
        70,804,792 
          
    Health Care (3.0%)     
2,644,000   Acadia Healthcare Company, Inc.^
6.500%, 03/01/24
   2,614,163 
2,960,000   Bausch Health Cos., Inc.*
9.000%, 12/15/25
   3,155,863 
6,201,000   Community Health Systems, Inc.*^
8.125%, 06/30/24
   4,942,135 
4,356,000   DaVita, Inc.^
5.125%, 07/15/24
   4,296,911 
2,837,000   Endo DAC / Endo Finance, LLC / Endo Finco, Inc.*^
6.000%, 07/15/23
   2,324,638 
1,253,000   Endo Finance, LLC / Endo Finco, Inc.*
7.250%, 01/15/22
   1,181,729 
    HCA, Inc.     
8,120,000   5.875%, 05/01/23   8,603,505 
1,431,000   7.500%, 11/06/33   1,583,301 
355,000   5.375%, 02/01/25^   367,420 
1,337,000   Horizon Pharma, Inc. / Horizon Pharma USA, Inc.*^
8.750%, 11/01/24
   1,415,375 
1,431,000   Magellan Health, Inc.μ 4.400%,
09/22/24
   1,346,821 
1,929,000   Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*^
5.625%, 10/15/23
   1,632,764 
666,000   Team Health Holdings, Inc.*^
6.375%, 02/01/25
   541,758 
    Tenet Healthcare Corp.     
3,552,000   6.750%, 06/15/23^   3,490,035 
1,579,000   4.625%, 07/15/24μ^   1,552,512 
1,465,000   6.250%, 02/01/27*   1,487,722 
148,000   6.875%, 11/15/31   132,200 
1,658,000   Teva Pharmaceutical Finance Company, BV^
2.950%, 12/18/22
   1,552,443 
4,675,000   Teva Pharmaceutical Finance IV, BVμ^
3.650%, 11/10/21
   4,528,883 


 

See accompanying Notes to Schedule of Investments

 

4

 

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
    Teva Pharmaceutical Finance Netherlands III, BV^     
2,023,000   6.000%, 04/15/24μ  $2,061,983 
829,000   2.800%, 07/21/23   747,443 
    Valeant Pharmaceuticals International*     
2,960,000   8.500%, 01/31/27   3,096,086 
1,579,000   9.250%, 04/01/26   1,697,922 
1,431,000   West Street Merger Sub, Inc.*
6.375%, 09/01/25
   1,298,633 
        55,652,245 
          
    Industrials (2.5%)     
1,283,000   ACCO Brands Corp.*^
5.250%, 12/15/24
   1,270,856 
863,000   Albertsons Companies, LLC / Safeway, Inc. / New Albertsons, LP / Albertson's, LLC*
7.500%, 03/15/26
   866,180 
    Allison Transmission, Inc.μ*     
1,283,000   4.750%, 10/01/27   1,202,036 
375,000   5.000%, 10/01/24   369,932 
1,416,000   Arconic, Inc.^
5.125%, 10/01/24
   1,430,245 
1,508,020   ARD Securities Finance Sarl*
8.750%, 01/31/23
8.750% PIK rate
   1,322,745 
1,460,000   Beacon Roofing Supply, Inc.*^
4.875%, 11/01/25
   1,369,130 
2,269,000   Bombardier, Inc.*^
7.500%, 03/15/25
   2,188,156 
    Covanta Holding Corp.     
1,786,000   5.875%, 03/01/24   1,781,678 
266,000   5.875%, 07/01/25   260,355 
1,426,000   Delphi Technologies, PLC*^
5.000%, 10/01/25
   1,225,148 
2,032,000   Fly Leasing, Ltd.
5.250%, 10/15/24
   1,898,823 
291,000   FXI Holdings, Inc.*^
7.875%, 11/01/24
   275,519 
2,077,000   Garda World Security Corp.*
7.250%, 11/15/21
   2,038,046 
247,000   General Electric Company^‡
5.000%, 01/21/21
3 mo. USD LIBOR + 3.33%
   217,491 
    Golden Nugget, Inc.*     
1,707,000   6.750%, 10/15/24^   1,716,627 
1,085,000   8.750%, 10/01/25   1,114,490 
1,480,000   Great Lakes Dredge & Dock Corp.
8.000%, 05/15/22
   1,526,154 
1,806,000   H&E Equipment Services, Inc.^
5.625%, 09/01/25
   1,768,092 
    Hertz Corp.^     
888,000   7.375%, 01/15/21   886,819 
252,000   7.625%, 06/01/22*   252,015 
    Icahn Enterprises, LPμ^     
1,480,000   6.375%, 12/15/25   1,521,921 
1,252,000   6.750%, 02/01/24   1,297,216 
592,000   James Hardie International Finance, Ltd.μ*
4.750%, 01/15/25
   564,590 
1,431,000   Jeld-Wen, Inc.*^
4.625%, 12/15/25
   1,292,622 
750,000   JPW Industries Holding Corp.*
9.000%, 10/01/24
   749,434 
PRINCIPAL
AMOUNT
      VALUE 
1,842,000   Meritor, Inc.^
6.250%, 02/15/24
  $1,854,028 
1,201,000   Multi-Color Corp.*^
4.875%, 11/01/25
   1,141,989 
2,072,000   Navistar International Corp.*^
6.625%, 11/01/25
   2,082,857 
    Park Aerospace Holdings, Ltd.*     
834,000   4.500%, 03/15/23^   822,958 
587,000   5.500%, 02/15/24   597,387 
2,634,000   Park-Ohio Industries, Inc.^
6.625%, 04/15/27
   2,564,976 
1,386,000   Scientific Games International, Inc.*^
5.000%, 10/15/25
   1,314,760 
972,000   Tennant Company
5.625%, 05/01/25
   966,542 
296,000   Titan Acquisition, Ltd. / Titan Co-Borrower, LLC*^
7.750%, 04/15/26
   259,391 
592,000   TransDigm UK Holdings, PLC*^
6.875%, 05/15/26
   575,504 
858,000   TransDigm, Inc.*
6.250%, 03/15/26
   872,243 
    United Rentals North America, Inc.^     
1,233,000   5.875%, 09/15/26   1,258,221 
1,105,000   4.875%, 01/15/28   1,048,656 
607,000   6.500%, 12/15/26   631,486 
740,000   Waste Pro USA, Inc.*
5.500%, 02/15/26
   720,686 
        47,118,004 
          
    Information Technology (0.9%)     
2,784,000   Alliance Data Systems Corp.*^
5.875%, 11/01/21
   2,817,519 
572,000   Cardtronics, Inc.*
5.500%, 05/01/25
   546,048 
2,383,000   CBS Radio, Inc.*^
7.250%, 11/01/24
   2,254,830 
    Clear Channel Worldwide Holdings, Inc.     
2,111,000   7.625%, 03/15/20   2,110,725 
784,000   7.625%, 03/15/20^   785,482 
1,366,000   CommScope Technologies, LLC*^
6.000%, 06/15/25
   1,289,866 
2,817,000   Dell International, LLC / EMC Corp.μ*^
6.020%, 06/15/26
   2,945,216 
1,480,000   Harland Clarke Holdings Corp.*
8.375%, 08/15/22
   1,389,920 
1,283,000   Nuance Communications, Inc.μ
6.000%, 07/01/24
   1,298,268 
1,001,000   VFH Parent, LLC*^
6.750%, 06/15/22
   1,027,752 
        16,465,626 
          
    Materials (1.3%)     
2,056,000   AK Steel Corp.^
6.375%, 10/15/25
   1,678,961 
    Alcoa Nederland Holding, BV*^     
1,810,000   7.000%, 09/30/26   1,908,844 
592,000   6.125%, 05/15/28   600,546 
4,548,000   ArcelorMittal, SAμ
7.000%, 10/15/39
   4,989,474 


 

See accompanying Notes to Schedule of Investments

 

5

 

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
2,664,000   Ardagh Packaging Finance, PLC / Ardagh Holdings USA, Inc.*^
6.000%, 02/15/25
  $2,593,830 
612,000   Baffinland Iron Mines Corp. / Baffinland Iron Mines, LP*^
8.750%, 07/15/26
   612,728 
    First Quantum Minerals, Ltd.*     
776,000   7.000%, 02/15/21^   774,972 
395,000   7.250%, 04/01/23   378,542 
1,579,000   INEOS Group Holdings, SA*^
5.625%, 08/01/24
   1,518,090 
888,000   JW Aluminum Continuous Cast Company*
10.250%, 06/01/26
   888,546 
720,000   Kinross Gold Corp.μ
4.500%, 07/15/27
   650,074 
1,357,000   New Gold, Inc.*^
6.375%, 05/15/25
   1,145,050 
3,951,000   PBF Holding Company, LLC / PBF Finance Corp.
7.250%, 06/15/25
   3,957,085 
    United States Steel Corp.^     
2,871,000   6.875%, 08/15/25   2,749,112 
557,000   6.250%, 03/15/26   507,190 
        24,953,044 
          
    Real Estate (0.3%)     
839,000   CBL & Associates, LP^
5.250%, 12/01/23
   706,740 
2,388,000   MPT Operating Partnership, LP / MPT Finance Corp.μ
5.000%, 10/15/27
   2,328,169 
1,480,000   Starwood Property Trust, Inc.μ^
4.750%, 03/15/25
   1,437,931 
        4,472,840 
          
    Utilities (0.5%)     
261,000   NextEra Energy Capital Holdings, Inc.μ‡
4.800%, 12/01/77
3 mo. USD LIBOR + 2.41%
   223,520 
345,000   NGPL PipeCo, LLC*^
4.875%, 08/15/27
   342,811 
    NRG Energy, Inc.^     
799,000   6.625%, 01/15/27   847,371 
648,000   5.750%, 01/15/28   655,980 
3,118,000   PPL Capital Funding, Inc.μ^‡
5.468%, 03/30/67
3 mo. USD LIBOR + 2.67%
   2,837,037 
922,000   Talen Energy Supply, LLC*
10.500%, 01/15/26
   858,009 
1,480,000   TerraForm Power Operating, LLC*^
5.000%, 01/31/28
   1,376,977 
1,218,000   Vistra Energy Corp.*
8.125%, 01/30/26
   1,320,349 
123,000   WEC Energy Group, Inc.μ‡
4.729%, 05/15/67
3 mo. USD LIBOR + 2.11%
   107,702 
        8,569,756 
          
    TOTAL CORPORATE BONDS
(Cost $461,261,597)
   439,575,786 
PRINCIPAL
AMOUNT
      VALUE 
         
CONVERTIBLE BONDS (17.0%)     
    Communication Services (2.1%)     
7,385,000   GCI Liberty, Inc.*^
1.750%, 09/30/46
  $7,861,776 
    Liberty Media Corp.     
15,900,000   2.250%, 09/30/46   7,811,750 
7,750,000   1.375%, 10/15/23   8,730,491 
4,810,000   Liberty Media Corp. (Sirius XM Holdings, Inc.)*^§
2.125%, 03/31/48
   4,635,108 
3,150,000   Liberty Media Corp. / Liberty Formula One
1.000%, 01/30/23
   3,329,534 
1,883,000   Live Nation Entertainment, Inc.*^
2.500%, 03/15/23
   2,026,372 
4,780,000   Twitter, Inc.*^
0.250%, 06/15/24
   4,443,942 
        38,838,973 
          
    Consumer Discretionary (2.1%)     
9,000,000   Booking Holdings, Inc.^~
0.350%, 06/15/20
   12,789,675 
    Ctrip.com International, Ltd.     
2,470,000   1.000%, 07/01/20   2,386,378 
2,325,000   1.990%, 07/01/25^   2,371,477 
    DISH Network Corp.     
2,480,000   3.375%, 08/15/26   2,105,780 
1,190,000   2.375%, 03/15/24^   984,154 
    Liberty Interactive, LLC     
2,624,592   4.000%, 11/15/29   1,775,327 
2,035,000   3.750%, 02/15/30   1,348,350 
3,640,000   Marriott Vacations Worldwide Corp.^
1.500%, 09/15/22
   3,412,991 
2,100,000   NIO, Inc.*
4.500%, 02/01/24
   2,101,281 
4,730,000   RH*^
0.000%, 06/15/23
   4,503,126 
5,250,000   Tesla, Inc.^
2.375%, 03/15/22
   6,062,884 
        39,841,423 
          
    Energy (0.7%)     
8,850,000   Nabors Industries, Inc.^
0.750%, 01/15/24
   5,957,333 
2,090,000   Oil States International, Inc.*
1.500%, 02/15/23
   1,828,374 
5,600,000   TOTAL, SA^
0.500%, 12/02/22
   5,905,312 
        13,691,019 
          
    Financials (1.0%)     
7,500,000   Ares Capital Corp.μ^
3.750%, 02/01/22
   7,538,212 
6,900,000   JPMorgan Chase Bank, N.A.
0.000%, 12/30/20
   7,262,319 
4,445,000   JPMorgan Chase Financial Company, LLC (Voya Financial, Inc.)*§
0.250%, 05/01/23
   4,199,792 
        19,000,323 


 

See accompanying Notes to Schedule of Investments

 

6

 

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
     Health Care (2.4%)     
 1,960,000   BioMarin Pharmaceutical, Inc.^
1.500%, 10/15/20
  $2,367,523 
 4,235,000   CONMED Corp.*
2.625%, 02/01/24
   4,306,529 
 6,080,000   DexCom, Inc.*^
0.750%, 12/01/23
   6,730,712 
 1,928,000   Evolent Health, Inc.*
1.500%, 10/15/25
   1,688,475 
     Illumina, Inc.     
 6,646,000   0.000%, 08/15/23*^   6,720,834 
 3,753,000   0.000%, 06/15/19   4,290,411 
 4,810,000   Insulet Corp.*^
1.375%, 11/15/24
   5,276,642 
 4,700,000   NuVasive, Inc.
2.250%, 03/15/21
   5,028,436 
 2,820,000   Teladoc Health, Inc.*^
1.375%, 05/15/25
   3,954,966 
 3,072,000   Wright Medical Group, Inc.*^
1.625%, 06/15/23
   3,301,340 
         43,665,868 
           
     Industrials (0.3%)     
 2,924,000   Air Transport Services Group, Inc.μ^
1.125%, 10/15/24
   2,892,055 
 3,275,000   Meritor, Inc.
3.250%, 10/15/37
   3,106,469 
         5,998,524 
           
     Information Technology (7.1%)     
 1,620,000   Akamai Technologies, Inc.*^
0.125%, 05/01/25
   1,545,504 
 2,400,000   Citrix Systems, Inc.
0.500%, 04/15/19
   3,410,796 
 2,914,000   Cypress Semiconductor Corp.
2.000%, 02/01/23
   2,854,205 
 4,680,000   DocuSign, Inc.*^
0.500%, 09/15/23
   4,688,752 
 2,400,000   Guidewire Software, Inc.
1.250%, 03/15/25
   2,430,324 
 2,170,000   II-VI, Inc.
0.250%, 09/01/22
   2,290,609 
 7,350,000   Intel Corp.
3.250%, 08/01/39
   16,874,130 
 4,975,000   Lumentum Holdings, Inc.^
0.250%, 03/15/24
   5,370,537 
 6,950,000   Microchip Technology, Inc.^
1.625%, 02/15/27
   7,474,899 
 3,749,000   New Relic, Inc.*^
0.500%, 05/01/23
   4,286,100 
 6,300,000   NXP Semiconductors, NV
1.000%, 12/01/19
   6,498,986 
     ON Semiconductor Corp.     
 5,822,000   1.000%, 12/01/20   7,162,137 
 5,000,000   1.625%, 10/15/23^   6,051,175 
 6,795,000   Palo Alto Networks, Inc.*^
0.750%, 07/01/23
   7,087,049 
 1,974,000   Pure Storage, Inc.*
0.125%, 04/15/23
   1,920,988 
 1,790,000   RealPage, Inc.
1.500%, 11/15/22
   2,573,188 
 7,600,000   Silicon Laboratories, Inc.^
1.375%, 03/01/22
   8,046,766 
PRINCIPAL
AMOUNT
      VALUE 
 4,765,000   Splunk, Inc.*
0.500%, 09/15/23
  $5,088,043 
 1,900,000   Twilio, Inc.*^
0.250%, 06/01/23
   3,219,987 
 4,830,000   Wix.com, Ltd.*^
0.000%, 07/01/23
   5,031,942 
 13,840,000   Workday, Inc.
0.250%, 10/01/22
   18,645,525 
 7,585,000   Zendesk, Inc.*^
0.250%, 03/15/23
   9,467,559 
         132,019,201 
           
     Materials (0.3%)     
 5,300,000   Royal Gold, Inc.^
2.875%, 06/15/19
   5,314,813 
     Real Estate (0.7%)     
 7,927,000   Empire State Realty OP, LP*
2.625%, 08/15/19
   7,885,582 
 4,520,000   IH Merger Sub, LLC
3.500%, 01/15/22
   4,945,535 
         12,831,117 
           
     Utilities (0.3%)     
 4,830,000   NRG Energy, Inc.*
2.750%, 06/01/48
   5,369,583 
           
     TOTAL CONVERTIBLE BONDS
(Cost $303,620,555)
   316,570,844 
           
U.S. GOVERNMENT AND AGENCY SECURITY (0.3%)     
 6,364,000   United States Treasury Note
2.000%, 11/15/26
   6,111,933 
           
BANK LOANS (2.3%)     
     Communication Services (0.4%)     
 249,370   Charter Communications Operating, LLC‡
4.500%, 04/30/25
1 mo. LIBOR + 2.00%
   246,465 
 1,446,375   Cincinnati Bell, Inc.‡
5.749%, 10/02/24
1 mo. LIBOR + 3.25%
   1,431,463 
 1,084,907   Cumulus Media New Holdings Inc.‡
7.000%, 05/15/22
1 mo. LIBOR + 4.50%
   1,050,190 
 1,400,000   Intelsat Jackson Holdings, SA
6.625%, 01/02/24
   1,406,125 
 2,025,962   New Media Holdings II, LLC‡
8.749%, 07/14/22
1 mo. LIBOR + 6.25%
   2,015,832 
 1,700,000   Sprint Communications, Inc.‡
5.500%, 02/02/24
1 mo. LIBOR + 3.00%
   1,679,286 
         7,829,361 
           
     Consumer Discretionary (0.3%)     
 597,000   American Greetings Corp.‡
7.023%, 04/06/24
1mo. LIBOR + 4.50%
   588,791 
 950,064   PetSmart, Inc.‡
5.520%, 03/11/22
1 mo. LIBOR + 3.00%
   799,028 

 

See accompanying Notes to Schedule of Investments

 

7

 

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
 2,100,000   R.R. Donnelley & Sons Company‡
7.510%, 01/15/24
3 mo. LIBOR + 5.00%
  $2,085,563 
 2,660,000   Weight Watchers International, Inc.‡
7.560%, 11/29/24
1 mo. LIBOR + 4.75%
   2,655,012 
         6,128,394 
           
     Energy (0.1%)     
 1,191,000   McDermott Tech Americas, Inc.‡
7.499%, 05/10/25
1 mo. LIBOR + 5.00%
   1,145,510 
 500,000   Par Pacific Holdings, Inc.‡
9.550%, 12/17/25
1 mo. LIBOR + 6.75%
   501,250 
         1,646,760 
           
     Financials (0.2%)     
 287,725   AssuredPartners, Inc.‡
5.749%, 10/22/24
1 mo. LIBOR + 3.25%
   279,381 
 1,488,750   Genworth Financial, Inc.‡
7.008%, 03/07/23
1 mo. LIBOR + 4.50%
   1,491,541 
 827,273   GLP Financing, LLC‡
4.019%, 04/28/21
1 mo. LIBOR + 1.50%
   816,932 
 1,174,100   HUB International, Ltd.‡
5.514%, 04/25/25
1 mo. LIBOR + 2.75%
   1,134,474 
 275,000   Level 3 Financing, Inc.‡
4.756%, 02/22/24
1 mo. LIBOR + 2.25%
   270,660 
         3,992,988 
           
     Health Care (0.8%)     
 2,884,830   Amneal Pharmaceuticals, LLC‡
6.000%, 05/04/25
1 mo. LIBOR + 3.50%
   2,865,588 
 770,000   Bausch Health Cos., Inc.‡
5.263%, 11/27/25
1 mo. LIBOR + 2.75%
   760,556 
 2,106,428   Gentiva Health Services, Inc.‡
9.500%, 07/02/26
1 mo. LIBOR + 7.00%
   2,139,341 
 750,698   Gentiva Health Services, Inc.‡
6.250%, 07/02/25
1 mo. LIBOR + 3.75%
   746,944 
 1,305,897   Mallinckrodt International Finance, SA‡
5.553%, 09/24/24
1 mo. LIBOR + 2.75%
   1,220,778 
 1,452,875   Ortho Clinical Diagnostics, SA‡
5.760%, 06/30/25
1 mo. LIBOR + 3.25%
   1,408,839 
 2,326,322   Team Health Holdings, Inc.‡
5.249%, 02/06/24
1 mo. LIBOR + 2.75%
   2,099,506 
 2,917,588   Valeant Pharmaceuticals International, Inc.‡
5.513%, 06/02/25
1 mo. LIBOR + 3.00%
   2,890,731 
         14,132,283 
PRINCIPAL
AMOUNT
      VALUE 
    Industrials (0.2%)    
 1,000,000   RegionalCare Hospital Partners Holdings, Inc.‡
7.129%, 11/16/25
1 mo. LIBOR + 4.50%
  $978,000 
 1,329,950   Scientific Games International, Inc.‡
5.249%, 08/14/24
1 mo. LIBOR + 2.75%
   1,291,295 
 1,450,350   TransDigm, Inc.‡
4.999%, 08/22/24
1 mo. LIBOR + 2.50%
   1,418,399 
         3,687,694 
           
     Information Technology (0.2%)     
 1,425,200   BMC Software Finance, Inc.‡
7.053%, 10/02/25
1 mo. LIBOR + 4.25%
   1,394,409 
 1,500,000   First Data Corp.‡
4.519%, 04/26/24
1 mo. LIBOR + 2.00%
   1,496,077 
         2,890,486 
           
     Information Technology (0.0%)     
 448,864   Dell International LLC‡
4.500%, 09/07/23
1 mo. LIBOR + 2.00%
   443,369 
           
     Real Estate (0.1%)     
 1,542,250   iStar, Inc.‡
5.258%, 06/28/23
1 mo. LIBOR + 2.75%
   1,529,719 
           
     TOTAL BANK LOANS
(Cost $42,888,484)
   42,281,054 
           
SYNTHETIC CONVERTIBLE SECURITIES (0.4%) ¤     
Corporate Bonds (0.3%)     
     Airlines (0.0%)     
 8,000   UAL Pass Through Trust Series 2007-1μ
6.636%, 01/02/24
   8,287 
           
     Communication Services (0.0%)     
 13,000   Altice Financing, SA*^
7.500%, 05/15/26
   12,356 
 34,000   Altice France, SA*
7.375%, 05/01/26
   32,860 
     Altice Luxembourg, SA*^     
 8,000   7.750%, 05/15/22   7,776 
 8,000   7.625%, 02/15/25   6,812 
     Cincinnati Bell, Inc.*^     
 19,000   8.000%, 10/15/25   16,551 
 10,000   7.000%, 07/15/24   8,639 
 12,000   Consolidated Communications, Inc.^
6.500%, 10/01/22
   10,995 
     CSC Holdings, LLC*     
 57,000   5.500%, 04/15/27μ   55,848 
 21,000   5.500%, 05/15/26μ^   20,846 
 17,000   7.500%, 04/01/28^   17,506 
 91,000   Embarq Corp.μ
7.995%, 06/01/36
   85,887 

 

See accompanying Notes to Schedule of Investments

 

8

 

 

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
     Frontier Communications Corp.     
 52,000   11.000%, 09/15/25^  $33,675 
 39,000   7.625%, 04/15/24   21,092 
 16,000   8.500%, 04/01/26*^   14,532 
     Gray Television, Inc.*^     
 19,000   5.875%, 07/15/26   18,666 
 8,000   7.000%, 05/15/27   8,316 
     Hughes Satellite Systems Corp.^     
 15,000   6.625%, 08/01/26   14,531 
 5,000   5.250%, 08/01/26   4,832 
     Inmarsat Finance, PLC*^     
 22,000   4.875%, 05/15/22   21,352 
 15,000   6.500%, 10/01/24μ   14,575 
     Intelsat Jackson Holdings, SA     
 29,000   9.750%, 07/15/25*   30,245 
 16,000   5.500%, 08/01/23^   14,567 
 13,000   8.000%, 02/15/24*^   13,554 
 8,000   MDC Partners, Inc.*^
6.500%, 05/01/24
   7,331 
 19,000   Qwest Corp.μ
6.875%, 09/15/33
   17,921 
 8,000   SBA Communications Corp.^
4.000%, 10/01/22
   7,954 
     Sprint Corp.^     
 64,000   7.125%, 06/15/24   65,832 
 54,000   7.875%, 09/15/23   57,449 
 19,000   7.625%, 03/01/26   19,756 
 19,000   T-Mobile USA, Inc.^
4.750%, 02/01/28
   18,310 
 12,000   Telecom Italia Capital, SA^
6.000%, 09/30/34
   10,457 
 31,000   United States Cellular Corp.μ
6.700%, 12/15/33
   32,185 
 8,000   Wind Tre, S.p.A.*
5.000%, 01/20/26
   6,663 
     Windstream Services, LLC / Windstream Finance Corp.     
 20,000   8.625%, 10/31/25*   18,944 
 6,000   7.750%, 10/01/21   3,767 
 2,000   10.500%, 06/30/24*   1,660 
         754,242 
           
     Consumer Discretionary (0.1%)     
 17,000   Beverages & More, Inc.*
11.500%, 06/15/22
   12,859 
 20,000   Boyd Gaming Corp.^
6.000%, 08/15/26
   20,102 
 19,000   Caesars Resort Collection, LLC / CRC Finco, Inc.*^
5.250%, 10/15/25
   17,758 
     CCO Holdings, LLC / CCO Holdings Capital Corp.     
 32,000   5.125%, 05/01/27*^   31,000 
 16,000   5.750%, 09/01/23   16,324 
 7,000   5.000%, 02/01/28*^   6,662 
     Century Communities, Inc.     
 23,000   6.875%, 05/15/22   23,165 
 21,000   5.875%, 07/15/25   19,405 
 45,000   Dana Financing Luxembourg Sarl*^
6.500%, 06/01/26
   45,140 
     DISH DBS Corp.^     
 20,000   7.750%, 07/01/26   17,268 
 11,000   5.875%, 11/15/24   9,148 
 37,000   Eldorado Resorts, Inc.^
6.000%, 04/01/25
   37,241 
PRINCIPAL
AMOUNT
      VALUE 
 19,000   ESH Hospitality, Inc.*^
5.250%, 05/01/25
  $18,825 
 2,000   General Motors Financial Company, Inc.^‡
6.500%, 09/30/28
3 mo. USD LIBOR + 3.44%
   1,771 
 20,000   GLP Capital, LP / GLP Financing II, Inc.μ
5.250%, 06/01/25
   20,636 
 16,000   goeasy, Ltd.μ*
7.875%, 11/01/22
   16,781 
 24,000   Guitar Center Escrow Issuer, Inc.*
9.500%, 10/15/21
   22,594 
 20,000   International Game Technology, PLC*^
6.250%, 01/15/27
   20,303 
 55,000   L Brands, Inc.μ^
6.875%, 11/01/35
   47,555 
 20,000   Lennar Corp.μ
5.250%, 06/01/26
   19,522 
 17,000   M/I Homes, Inc.^
5.625%, 08/01/25
   15,673 
     Mattel, Inc.     
 37,000   6.750%, 12/31/25*^   34,994 
 1,000   2.350%, 08/15/21   930 
 18,000   Mclaren Finance, PLC*^
5.750%, 08/01/22
   16,582 
     Meritage Homes Corp.     
 44,000   7.000%, 04/01/22   46,338 
 33,000   7.150%, 04/15/20   34,000 
 8,000   Neiman Marcus Group Ltd., LLC*
8.000%, 10/15/21
   3,614 
     Penske Automotive Group, Inc.     
 19,000   5.500%, 05/15/26^   18,605 
 3,000   5.375%, 12/01/24   2,951 
     PetSmart, Inc.*^     
 13,000   5.875%, 06/01/25   10,241 
 4,000   8.875%, 06/01/25   2,538 
     Rite Aid Corp.     
 40,000   7.700%, 02/15/27   27,450 
 12,000   6.125%, 04/01/23*^   10,140 
 102,000   Royal Caribbean Cruises, Ltd.μ^
7.500%, 10/15/27
   121,040 
 27,000   Salem Media Group, Inc.*
6.750%, 06/01/24
   24,639 
 20,000   Sally Holdings, LLC / Sally Capital, Inc.^
5.625%, 12/01/25
   19,489 
 20,000   Sotheby's*^
4.875%, 12/15/25
   19,144 
 12,000   Taylor Morrison Communities Corp.
6.625%, 05/15/22
   12,225 
 7,000   US Airways Pass Through Trust Series 2012-2, Class B
6.750%, 12/03/22
   7,304 
 16,000   VOC Escrow, Ltd.*^
5.000%, 02/15/28
   15,591 
         867,547 
           
     Consumer Staples (0.0%)     
 12,000   Albertsons Companies, LLC / Safeway, Inc. / New Albertson's, Inc. / Albertson's, LLC^
5.750%, 03/15/25
   11,250 

 

See accompanying Notes to Schedule of Investments

 

9

 

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
12,000   Energizer Holdings, Inc.*^
6.375%, 07/15/26
  $11,685 
23,000   Fresh Market, Inc.*^
9.750%, 05/01/23
   17,278 
    JBS USA LUX, SA / JBS USA Finance, Inc.*     
120,000   7.250%, 06/01/21   121,830 
28,000   6.750%, 02/15/28^   28,603 
2,000   Land O’ Lakes, Inc.*
7.000%, 09/18/28
   1,925 
    New Albertson’s, Inc.     
25,000   7.450%, 08/01/29   21,966 
13,000   7.750%, 06/15/26   11,844 
9,000   8.000%, 05/01/31^   8,096 
    Pilgrim’s Pride Corp.*^     
30,000   5.875%, 09/30/27   29,102 
8,000   5.750%, 03/15/25   7,851 
    Post Holdings, Inc.*^     
19,000   5.750%, 03/01/27   18,664 
4,000   5.625%, 01/15/28   3,845 
    Simmons Foods, Inc.*     
16,000   7.750%, 01/15/24   16,563 
10,000   5.750%, 11/01/24^   8,194 
        318,696 
          
    Energy (0.1%)     
3,000   Andeavor Logistics, LP^‡
6.875%, 02/15/23
3 mo. USD LIBOR + 4.65%
   2,859 
12,000   Apergy Corp.
6.375%, 05/01/26
   11,838 
6,000   Berry Petroleum Company, LLC*^
7.000%, 02/15/26
   5,843 
12,000   Bruin E&P Partners, LLC*^
8.875%, 08/01/23
   11,454 
23,000   Buckeye Partners, LPμ‡
6.375%, 01/22/78
3 mo. USD LIBOR + 4.02%
   19,630 
40,000   Calfrac Holdings, LP*
8.500%, 06/15/26
   30,358 
28,000   California Resources Corp.*^
8.000%, 12/15/22
   22,515 
28,000   Carrizo Oil & Gas, Inc.^
6.250%, 04/15/23
   27,711 
20,000   Chaparral Energy, Inc.*
8.750%, 07/15/23
   15,766 
16,000   Cheniere Energy Partners, LPμ*^
5.625%, 10/01/26
   16,065 
    Chesapeake Energy Corp.^     
19,000   8.000%, 01/15/25   19,134 
17,000   7.000%, 10/01/24   16,626 
12,000   Comstock Resources, Inc.*
9.750%, 08/15/26
   11,115 
36,000   DCP Midstream Operating, LP*^‡
5.850%, 05/21/43
3 mo. USD LIBOR + 3.85%
   30,348 
8,000   DCP Midstream, LP‡
7.375%, 12/15/22
3 mo. USD LIBOR + 5.15%
   7,546 
    Denbury Resources, Inc.     
18,000   5.500%, 05/01/22   13,196 
16,000   7.500%, 02/15/24*^   14,018 
13,000   9.250%, 03/31/22*^   12,838 
7,000   Diamond Offshore Drilling, Inc.^
7.875%, 08/15/25
   6,625 
PRINCIPAL
AMOUNT
      VALUE 
3,000   Enbridge, Inc.^ ‡
6.000%, 01/15/77
3 mo. USD LIBOR + 3.89%
  $2,850 
46,000   Energy Transfer, LPμ^‡
5.754%, 11/01/66
3 mo. USD LIBOR + 3.02%
   36,924 
    Energy Transfer, LP^     
29,000   5.500%, 06/01/27μ   30,112 
8,000   5.875%, 01/15/24   8,521 
4,000   EnLink Midstream Partners, LP‡
6.000%, 12/15/22
3 mo. USD LIBOR + 4.11%
   3,191 
    Enterprise Products Operating, LLCμ‡     
31,000   4.875%, 08/16/77
3 mo. USD LIBOR + 2.99%
   27,676 
8,000   5.375%, 02/15/78
3 mo. USD LIBOR + 2.57%
   6,937 
3,000   5.250%, 08/16/77
3 mo. USD LIBOR + 3.03%
   2,669 
    EP Energy, LLC / Everest Acquisition Finance, Inc.*     
16,000   7.750%, 05/15/26^   14,774 
15,000   9.375%, 05/01/24   8,035 
    Genesis Energy, LP / Genesis Energy Finance Corp.^     
20,000   6.500%, 10/01/25   18,973 
20,000   6.250%, 05/15/26   18,394 
    Gulfport Energy Corp.^     
14,000   6.000%, 10/15/24   13,182 
13,000   6.375%, 05/15/25   12,293 
16,000   Halcon Resources Corp.^
6.750%, 02/15/25
   12,181 
18,000   HighPoint Operating Corp.^
7.000%, 10/15/22
   17,226 
26,000   Lonestar Resources America, Inc.*
11.250%, 01/01/23
   24,680 
20,000   Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*
6.000%, 08/01/26
   19,775 
16,000   McDermott Technologies Americas, Inc. / McDermott Technology U.S., Inc.*^
10.625%, 05/01/24
   14,344 
7,000   Moss Creek Resources Holdings, Inc.*^
7.500%, 01/15/26
   6,282 
14,000   MPLX, LP^
4.875%, 06/01/25
   14,587 
2,000   Nabors Industries, Inc.^
5.750%, 02/01/25
   1,743 
12,000   Nine Energy Service, Inc.*
8.750%, 11/01/23
   12,043 
2,000   Northern Oil and Gas, Inc.
9.500%, 05/15/23
9.500% PIK rate
   2,053 
14,000   Oasis Petroleum, Inc.*^
6.250%, 05/01/26
   13,269 
20,000   Par Petroleum LLC / Par Petroleum Finance Corp.*
7.750%, 12/15/25
   18,582 
20,000   PDC Energy, Inc.^
5.750%, 05/15/26
   18,877 


 

See accompanying Notes to Schedule of Investments

 

10

 

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
23,000   Plains All American Pipeline, LPμ‡
6.125%, 11/15/22
3 mo. USD LIBOR + 4.11%
  $20,648 
8,000   QEP Resources, Inc.^
5.625%, 03/01/26
   7,691 
30,000   SESI, LLC^
7.750%, 09/15/24
   23,755 
8,000   SM Energy Company^
6.750%, 09/15/26
   7,899 
14,000   Southwestern Energy Company^
7.500%, 04/01/26
   14,457 
13,000   Sunoco, LP / Sunoco Finance Corp.^
5.500%, 02/15/26
   12,846 
11,000   Targa Resources Partners, LP / Targa Resources Partners Finance Corp.μ*
6.500%, 07/15/27
   11,346 
3,000   Transcanada Trust^‡
5.300%, 03/15/77
3 mo. USD LIBOR + 3.21%
   2,764 
4,000   TransMontaigne Partners, LP / TLP Finance Corp.
6.125%, 02/15/26
   3,672 
4,000   Transocean Pontus, Ltd.*
6.125%, 08/01/25
   4,015 
19,000   Transocean, Inc.*^
7.500%, 01/15/26
   18,101 
19,000   Vine Oil & Gas, LP / Vine Oil & Gas Finance Corp.*^
8.750%, 04/15/23
   15,782 
32,000   W&T Offshore, Inc.*^
9.750%, 11/01/23
   31,317 
42,000   Weatherford International, Ltd.
8.250%, 06/15/23
   26,980 
21,000   Whiting Petroleum Corp.^
6.625%, 01/15/26
   20,616 
20,000   WildHorse Resource Development Corp.^
6.875%, 02/01/25
   20,293 
        917,840 
          
    Financials (0.1%)     
42,000   Acrisure, LLC / Acrisure Finance, Inc.*
7.000%, 11/15/25
   36,681 
10,000   Allstate Corp.μ‡
5.750%, 08/15/53
3 mo. USD LIBOR + 2.94%
   10,012 
55,000   Ally Financial, Inc.
8.000%, 11/01/31
   66,165 
3,000   American Express Companyμ‡
4.900%, 03/15/20
3 mo. USD LIBOR + 3.29%
   2,971 
20,000   Amwins Group, Inc.*
7.750%, 07/01/26
   20,096 
    Ardonagh Midco 3, PLC*     
36,000   8.625%, 07/15/23^   31,039 
8,000   8.625%, 07/15/23   6,810 
28,000   AssuredPartners, Inc.*
7.000%, 08/15/25
   26,876 
26,000   Bank of America Corp.μ^‡
5.875%, 03/15/28
3 mo. USD LIBOR + 2.93%
   25,308 
PRINCIPAL
AMOUNT
      VALUE 
7,000   Bank of New York Mellon Corp.μ^‡
4.625%, 09/20/26
3 mo. USD LIBOR + 3.13%
  $6,575 
23,000   Bank of Nova Scotiaμ‡
4.650%, 10/12/22
3 mo. USD LIBOR +2.65%
   20,588 
46,000   Charles Schwab Corp.μ‡
5.000%, 12/01/27
3 mo. USD LIBOR + 2.58%
   41,463 
3,000   CIT Group, Inc.‡
5.800%, 06/15/22
3 mo. USD LIBOR + 3.97%
   2,872 
11,000   Citigroup, Inc.^‡
5.950%, 05/15/25
3 mo. USD LIBOR + 3.91%
   10,968 
22,000   Discover Financial Servicesμ‡
5.500%, 10/30/27
3 mo. USD LIBOR + 3.08%
   20,270 
2,000   E*TRADE Financial Corp.^‡
5.875%, 09/15/26
3 mo. USD LIBOR + 4.44%
   1,943 
3,000   Fifth Third Bancorpμ‡
5.100%, 06/30/23
3 mo. USD LIBOR + 3.03%
   2,823 
7,000   Goldman Sachs Group, Inc.μ‡
5.300%, 11/10/26
3 mo. USD LIBOR + 3.83%
   6,842 
9,000   Greystar Real Estate Partners, LLC*
5.750%, 12/01/25
   8,970 
5,000   Hartford Financial Services Group, Inc.μ*‡
4.741%, 02/12/47
3 mo. USD LIBOR + 2.13%
   4,281 
20,000   HUB International, Ltd.*
7.000%, 05/01/26
   19,419 
33,000   ILFC E-Capital Trust II*^‡
4.800%, 12/21/65
3 mo. USD LIBOR + 1.80%
   25,492 
43,000   Iron Mountain, Inc.μ*^
5.250%, 03/15/28
   40,030 
    Jefferies Finance, LLC*     
81,000   7.375%, 04/01/20   81,350 
35,000   7.250%, 08/15/24   33,382 
    JPMorgan Chase & Company^‡     
7,000   6.100%, 10/01/24
3 mo. USD LIBOR + 3.33%
   7,223 
6,000   6.750%, 02/01/24μ
3 mo. USD LIBOR + 3.78%
   6,466 
3,000   KeyCorp^‡
5.000%, 09/15/26
3 mo. USD LIBOR + 3.61%
   2,837 
16,000   Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.μ*^
5.250%, 10/01/25
   14,730 
13,000   Level 3 Financing, Inc.^
5.375%, 05/01/25
   12,877 
19,000   Lions Gate Capital Holdings, LLC*
6.375%, 02/01/24
   19,197 
21,000   LPL Holdings, Inc.*
5.750%, 09/15/25
   20,657 
39,000   MetLife, Inc.μ^
6.400%, 12/15/66
   41,319 


 

See accompanying Notes to Schedule of Investments

 

11

 

 

 Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL

AMOUNT

 

     VALUE
38,000  

Nationstar Mortgage, LLC /

Nationstar Capital Corp.
6.500%, 07/01/21

  $37,955 
3,000   Nationwide Financial Services, Inc.μ^
6.750%, 05/15/37 Navient Corp.^
   3,079 
25,000   6.750%, 06/25/25   24,173 
8,000   6.500%, 06/15/22   8,192 
15,000  

NexBank Capital, Inc.*‡&
6.375%, 09/30/27

3 mo. USD LIBOR + 4.59%

   15,132 
36,000   Oil Insurance, Ltd.*‡
5.785%, 03/30/19
3 mo. USD LIBOR + 2.98%
   34,402 
10,000  

PNC Financial Services Group, Inc.μ‡
5.000%, 11/01/26

3 mo. USD LIBOR + 3.30%

   9,601 
4,000  

Principal Financial Group, Inc.μ‡
4.700%, 05/15/55

3 mo. USD LIBOR + 3.04%

   3,929 
3,000  

Progressive Corp.^‡
5.375%, 03/15/23

3 mo. USD LIBOR + 2.54%

   2,936 
3,000  

Prudential Financial, Inc.μ‡
5.700%, 09/15/48

3 mo. USD LIBOR + 2.67%

   2,887 
20,000  

Simmons First National Corp.‡
5.000%, 04/01/28

3 mo. USD LIBOR + 2.15%

   19,881 
    Springleaf Finance Corp.     
27,000   6.875%, 03/15/25^   25,872 
20,000   7.125%, 03/15/26   19,133 
3,000  

State Street Corp.μ^‡
5.625%, 12/15/23

3 mo. USD LIBOR + 2.54%

   2,965 
3,000  

SunTrust Banks, Inc.μ‡
5.125%, 12/15/27
3 mo. USD LIBOR + 2.79%

   2,699 
9,000  

Towne Bank‡

4.500%, 07/30/27
3 mo. USD LIBOR + 2.55%

   8,969 
39,000   Tronox Finance, PLC*^
5.750%, 10/01/25
   33,830 
10,000  

US Bancorpμ‡

5.300%, 04/15/27
3 mo. USD LIBOR + 2.91%

   9,882 
3,000  

Voya Financial, Inc.μ‡

6.125%, 09/15/23
3 mo. USD LIBOR + 3.36%

   2,977 
6,000  

Wells Fargo & Company^‡

5.875%, 06/15/25
3 mo. USD LIBOR + 3.99%

   6,268 
3,000  

XLIT, Ltd.‡

5.245%, 03/04/19
3 mo. USD LIBOR + 2.46%

   2,865 
        956,159 
               
      Health Care (0.0%)        
36,000   Acadia Healthcare Company, Inc.^
6.500%, 03/01/24
   35,594 
40,000   Bausch Health Cos., Inc.*
9.000%, 12/15/25
   42,647 

PRINCIPAL

AMOUNT

 

     VALUE
84,000   Community Health Systems, Inc.*^
8.125%, 06/30/24
  $66,947 
59,000   DaVita, Inc.^
5.125%, 07/15/24
   58,200 
38,000  

Endo DAC / Endo Finance, LLC /

Endo Finco, Inc.*^
6.000%, 07/15/23

   31,137 
17,000  

Endo Finance, LLC / Endo Finco, Inc.*
7.250%, 01/15/22

   16,033 
    HCA, Inc.     
110,000   5.875%, 05/01/23   116,550 
19,000   7.500%, 11/06/33   21,022 
5,000   5.375%, 02/01/25^   5,175 
18,000   Horizon Pharma, Inc. / Horizon Pharma USA, Inc.*^
8.750%, 11/01/24
   19,055 
19,000   Magellan Health, Inc.μ
4.400%, 09/22/24
   17,882 
26,000  

Mallinckrodt International Finance,

SA / Mallinckrodt CB, LLC*^
5.625%, 10/15/23

   22,007 
9,000  

Team Health Holdings, Inc.*^
6.375%, 02/01/25

   7,321 
    Tenet Healthcare Corp.     
48,000   6.750%, 06/15/23^   47,163 
21,000   4.625%, 07/15/24μ^   20,648 
20,000   6.250%, 02/01/27*   20,310 
2,000   6.875%, 11/15/31   1,786 
22,000   Teva Pharmaceutical Finance Company, BV^
2.950%, 12/18/22
   20,599 
63,000  

Teva Pharmaceutical Finance IV, BVμ^
3.650%, 11/10/21

   61,031 
    Teva Pharmaceutical Finance Netherlands III, BV^     
27,000   6.000%, 04/15/24μ   27,520 
11,000   2.800%, 07/21/23   9,918 
    Valeant Pharmaceuticals International*     
40,000   8.500%, 01/31/27   41,839 
21,000   9.250%, 04/01/26   22,582 
19,000   West Street Merger Sub, Inc.*
6.375%, 09/01/25
   17,243 
        750,209 
               
      Industrials (0.0%)        
17,000  

ACCO Brands Corp.*^

5.250%, 12/15/24

   16,839 
12,000  

Albertsons Companies, LLC /

Safeway, Inc. / New Albertsons, LP / Albertson’s, LLC*
7.500%, 03/15/26

   12,044 
    Allison Transmission, Inc.μ*     
17,000   4.750%, 10/01/27   15,927 
5,000   5.000%, 10/01/24   4,932 
19,000  

Arconic, Inc.^

5.125%, 10/01/24

   19,191 
20,000  

ARD Securities Finance Sarl*

8.750%, 01/31/23
8.750% PIK rate

   17,543 
20,000   Beacon Roofing Supply, Inc.*^
4.875%, 11/01/25
   18,755 


  

See accompanying Notes to Schedule of Investments

 

12

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL

AMOUNT

     VALUE
31,000  

Bombardier, Inc.*^

7.500%, 03/15/25

  $29,895 
    Covanta Holding Corp.     
24,000   5.875%, 03/01/24   23,942 
4,000   5.875%, 07/01/25   3,915 
19,000   Delphi Technologies, PLC*^
5.000%, 10/01/25
   16,324 
28,000   Fly Leasing, Ltd.
5.250%, 10/15/24
   26,165 
4,000   FXI Holdings, Inc.*^
7.875%, 11/01/24
   3,787 
28,000   Garda World Security Corp.*
7.250%, 11/15/21
   27,475 
3,000  

General Electric Company^‡

5.000%, 01/21/21
3 mo. USD LIBOR + 3.33%

   2,642 
    Golden Nugget, Inc.*     
23,000   6.750%, 10/15/24^   23,130 
15,000   8.750%, 10/01/25   15,408 
20,000   Great Lakes Dredge & Dock Corp.
8.000%, 05/15/22
   20,624 
24,000  

H&E Equipment Services, Inc.^

5.625%, 09/01/25

   23,496 
    Hertz Corp.^     
12,000   7.375%, 01/15/21   11,984 
3,000   7.625%, 06/01/22*    3,000 
    Icahn Enterprises, LPμ^     
20,000   6.375%, 12/15/25   20,567 
17,000   6.750%, 02/01/24   17,614 
8,000   James Hardie International Finance, Ltd.μ*
4.750%, 01/15/25
   7,630 
19,000   Jeld-Wen, Inc.*^
4.625%, 12/15/25
   17,163 
10,000   JPW Industries Holding Corp.*
9.000%, 10/01/24
   9,992 
25,000   Meritor, Inc.^
6.250%, 02/15/24
   25,163 
16,000   Multi-Color Corp.*^
4.875%, 11/01/25
   15,214 
28,000   Navistar International Corp.*^
6.625%, 11/01/25
   28,147 
    Park Aerospace Holdings, Ltd.*     
11,000   4.500%, 03/15/23^   10,854 
8,000   5.500%, 02/15/24   8,142 
36,000   Park-Ohio Industries, Inc.^
6.625%, 04/15/27
   35,057 
19,000   Scientific Games International, Inc.*^
5.000%, 10/15/25
   18,023 
13,000   Tennant Company
5.625%, 05/01/25
   12,927 
4,000   Titan Acquisition, Ltd. / Titan Co-Borrower, LLC*^
7.750%, 04/15/26
   3,505 
8,000   TransDigm UK Holdings, PLC*^
6.875%, 05/15/26
   7,777 
12,000   TransDigm, Inc.*
6.250%, 03/15/26
   12,199 
    United Rentals North America, Inc.^     
17,000   5.875%, 09/15/26   17,348 
15,000   4.875%, 01/15/28   14,235 
8,000   6.500%, 12/15/26   8,323 

PRINCIPAL

AMOUNT

     VALUE
10,000   Waste Pro USA, Inc.*
5.500%, 02/15/26
  $9,739 
        636,637 
               
      Information Technology (0.0%)        
38,000   Alliance Data Systems Corp.*^
5.875%, 11/01/21
   38,457 
8,000   Cardtronics, Inc.*
5.500%, 05/01/25
   7,637 
32,000   CBS Radio, Inc.*^
7.250%, 11/01/24
   30,279 
    Clear Channel Worldwide Holdings, Inc.     
29,000   7.625%, 03/15/20   28,996 
11,000   7.625%, 03/15/20^   11,021 
19,000   CommScope Technologies, LLC*^
6.000%, 06/15/25
   17,941 
38,000   Dell International, LLC / EMC Corp.μ*^
6.020%, 06/15/26
   39,730 
20,000   Harland Clarke Holdings Corp.*
8.375%, 08/15/22
   18,783 
17,000   Nuance Communications, Inc.μ
6.000%, 07/01/24
   17,202 
14,000   VFH Parent, LLC*^
6.750%, 06/15/22
   14,374 
        224,420 
               
      Materials (0.0%)        
28,000   AK Steel Corp.^
6.375%, 10/15/25
   22,865 
    Alcoa Nederland Holding, BV*^     
25,000   7.000%, 09/30/26   26,365 
8,000   6.125%, 05/15/28   8,115 
62,000  

ArcelorMittal, SAμ

7.000%, 10/15/39

   68,018 
36,000   Ardagh Packaging Finance, PLC /
Ardagh Holdings USA, Inc.*^
6.000%, 02/15/25
   35,052 
8,000   Baffinland Iron Mines Corp. /
Baffinland Iron Mines, LP*^
8.750%, 07/15/26
   8,010 
    First Quantum Minerals, Ltd.*     
11,000   7.000%, 02/15/21^   10,985 
5,000   7.250%, 04/01/23   4,792 
21,000  

INEOS Group Holdings, SA*^

5.625%, 08/01/24

   20,190 
12,000   JW Aluminum Continuous Cast Company*
10.250%, 06/01/26
   12,007 
10,000   Kinross Gold Corp.μ
4.500%, 07/15/27
   9,029 
18,000   New Gold, Inc.*^
6.375%, 05/15/25
   15,189 
54,000  

PBF Holding Company, LLC / PBF Finance Corp.
7.250%, 06/15/25

   54,083 
    United States Steel Corp.^     
39,000   6.875%, 08/15/25   37,344 
8,000   6.250%, 03/15/26   7,285 
        339,329 
               
      Real Estate (0.0%)        
11,000   CBL & Associates, LP^
5.250%, 12/01/23
   9,266 


 

See accompanying Notes to Schedule of Investments

 

13

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

PRINCIPAL
AMOUNT
      VALUE 
32,000   MPT Operating Partnership, LP /
MPT Finance Corp.μ
5.000%, 10/15/27
  $31,198 
20,000   Starwood Property Trust, Inc.μ^
4.750%, 03/15/25
   19,432 
        59,896 
          
    Utilities (0.0%)     
4,000   NextEra Energy Capital Holdings,
Inc.μ‡
4.800%, 12/01/77
3 mo. USD LIBOR + 2.41%
   3,426 
5,000   NGPL PipeCo, LLC*^
4.875%, 08/15/27
   4,968 
    NRG Energy, Inc.^     
11,000   6.625%, 01/15/27   11,666 
9,000   5.750%, 01/15/28   9,111 
42,000   PPL Capital Funding, Inc.μ^‡
5.468%, 03/30/67
3 mo. USD LIBOR + 2.67%
   38,215 
13,000   Talen Energy Supply, LLC*
10.500%, 01/15/26
   12,098 
20,000   TerraForm Power Operating, LLC*^
5.000%, 01/31/28
   18,608 
17,000   Vistra Energy Corp.*
8.125%, 01/30/26
   18,428 
2,000   WEC Energy Group, Inc.μ‡
4.729%, 05/15/67
3 mo. USD LIBOR + 2.11%
   1,751 
        118,271 
          
    TOTAL CORPORATE BONDS   5,951,533 
U.S. Government and Agency Security (0.0%)     
86,000   United States Treasury Note
2.000%, 11/15/26
   82,594 

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT
       VALUE 
      
Purchased Options (0.1%) #     
    Other (0.1%)     
2,940   iShares MSCI Emerging Markets ETF     
12,671,400        

 

   Call, 06/21/19, Strike $41.00   1,065,750 
          
    TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $7,046,119)
   7,099,877 

 

NUMBER OF
SHARES
       VALUE 
          
CONVERTIBLE PREFERRED STOCKS (6.9%)     
   Communication Services (0.2%)     
12,570   Alibaba Exchangeable
(Softbank)*§
5.750%, 06/01/19
   2,374,926 
5,000   AT&T, Inc.^
5.350%, 11/01/66
   123,650 
20,000   Qwest Corp.
6.500%, 09/01/56
   421,200 
NUMBER OF
SHARES
      VALUE 
4,950   Telephone & Data Systems, Inc.^
7.000%, 03/15/60
  $122,809 
4,800   United States Cellular Corp.^
7.250%, 12/01/64
   120,960 
        3,163,545 
          
    Consumer Staples (0.5%)     
98,201   Bunge, Ltd.^
4.875%, 12/31/49
   9,738,004 
          
    Energy (0.3%)     
9,785   Energy Transfer, LP^‡
7.625%, 08/15/23
3 mo. USD LIBOR + 4.74%
   242,178 
    NuStar Energy, LP‡     
176,000   7.625%, 06/15/22
3 mo. USD LIBOR + 5.64%
   3,534,080 
53,034   8.500%, 12/15/21^
3 mo. USD LIBOR + 6.77%
   1,201,750 
        4,978,008 
          
    Financials (0.5%)     
80,250   AMG Capital Trust II
5.150%, 10/15/37
   3,982,446 
10,500   Arch Capital Group, Ltd.^
5.250%, 09/29/21
   236,880 
10,100   Axis Capital Holdings, Ltd.^
5.500%, 11/07/21
   233,815 
500   Bank of America Corp.^
7.250%, 12/31/49
   646,580 
10,000   BB&T Corp.^
5.200%, 03/04/19
   240,800 
9,500   Capital One Financial Corp.^
6.000%, 12/01/21
   242,630 
10,100   First Republic Bank
5.500%, 06/30/23
   243,814 
10,100   JPMorgan Chase & Company^
5.750%, 12/01/23
   251,490 
10,250   Legg Mason, Inc.^
5.450%, 09/15/56
   249,588 
18,500   Morgan Stanley^‡
6.375%, 10/15/24
3 mo. USD LIBOR + 3.71%
   486,180 
10,000   Oaktree Capital Group, LLC
6.550%, 09/15/23
   246,800 
10,000   Prospect Capital Corp.^
6.250%, 06/15/24
   248,000 
5,000   Prudential Financial, Inc.^
5.625%, 08/15/58
   125,500 
9,500   Reinsurance Group of America, Inc.‡
5.750%, 06/15/56
3 mo. USD LIBOR + 4.04%
   241,965 
20,000   State Street Corp.^‡
5.350%, 03/15/26
3 mo. USD LIBOR + 3.71%
   506,400 
5,000   US Bancorp^
5.500%, 10/15/23
   124,050 
500   Wells Fargo & Company
7.500%, 12/31/49
   641,100 
10,000   WR Berkley Corp.^
5.700%, 03/30/58
   251,800 
        9,199,838 

 

See accompanying Notes to Schedule of Investments

 

14 

 

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

NUMBER OF
SHARES
      VALUE 
         
    Health Care (0.4%)     
133,000   Becton Dickinson and Companyμ
6.125%, 05/01/20
  $8,179,500 
          
    Industrials (1.5%)     
9,765   Fortive Corp.
5.000%, 07/01/21
   9,597,921 
122,000   Rexnord Corp.
5.750%, 11/15/19
   6,773,440 
130,700   Stanley Black & Decker, Inc.^
5.375%, 05/15/20
   12,519,753 
        28,891,114 
          
    Materials (0.2%)     
75,400   International Flavors &
Fragrances, Inc.
6.000%, 09/15/21
   4,079,894 
          
    Real Estate (0.9%)     
14,365   Crown Castle International Corp.
6.875%, 08/01/20
   15,893,436 
10,500   Federal Realty Investment Trust^
5.000%, 09/29/22
   238,140 
5,250   Spirit Realty Capital, Inc.^
6.000%, 10/03/22
   120,540 
        16,252,116 
          
    Utilities (2.4%)     
5,000   Algonquin Power & Utilities Corp.‡
6.875%, 10/17/78
3 mo. USD LIBOR + 3.68%
   133,700 
84,885   CenterPoint Energy, Inc. (Warner
Media, LLC, Charter
Communications Time, Inc.)μ§**
4.467%, 09/15/29
   3,792,577 
5,000   CMS Energy Corp.^
5.875%, 10/15/78
   132,700 
    Dominion Energy, Inc.     
40,398   6.750%, 08/15/19^   1,941,124 
10,200   5.250%, 07/30/76   251,634 
    DTE Energy Company     
184,900   6.500%, 10/01/19   10,071,503 
5,100   5.250%, 12/01/77   126,021 
10,000   Entergy Louisiana, LLC
5.250%, 07/01/52
   260,800 
357,140   NextEra Energy, Inc.
6.123%, 09/01/19
   21,181,973 
    Sempra Energy     
36,190   6.750%, 07/15/21   3,681,971 
35,100   6.000%, 01/15/21   3,521,583 
10,250   Southern Company
5.250%, 10/01/76
   250,100 
        45,345,686 
          
    TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $130,201,632)
   129,827,705 
          
COMMON STOCKS (90.7%)     
    Communication Services (10.4%)     
36,295   Alphabet, Inc. - Class A~#   40,864,178 
12,534   Alphabet, Inc. - Class C#   13,992,582 
615,000   AT&T, Inc.~   18,486,900 
411,425   Comcast Corp. - Class A   15,045,812 
NUMBER OF
SHARES
      VALUE 
14,008   Cumulus Media, Inc. - Class A#  $168,796 
197,440   Facebook, Inc. - Class A~#   32,911,274 
48,845   Netflix, Inc.#   16,582,877 
300,000   Nintendo Company, Ltd.^   11,656,950 
205,085 EUR  Orange, SA   3,180,949 
353,380   Verizon Communications, Inc.   19,457,103 
201,000   Walt Disney Company   22,415,520 
        194,762,941 
          
    Consumer Discretionary (10.0%)     
36,300   Amazon.com, Inc.^#   62,389,899 
53,285   Aptiv, PLC   4,216,442 
185,615   Carnival Corp.   10,687,712 
57,270   Dollar Tree, Inc.#   5,545,454 
19,350   Expedia Group, Inc.   2,307,488 
825,570   Ford Motor Company   7,265,016 
154,993   General Motors Company   6,047,827 
106,905   Home Depot, Inc.   19,620,275 
38,550   Lennar Corp. - Class A   1,828,041 
105,270   Lowe’s Companies, Inc.   10,122,763 
123,000   McDonald’s Corp.   21,989,940 
162,800   Nike, Inc. - Class B   13,330,064 
44,300   Royal Caribbean Cruises, Ltd.   5,318,215 
93,475   Starbucks Corp.   6,369,386 
143,900   TJX Companies, Inc.   7,156,147 
49,999   TopBuild Corp.#   2,640,447 
        186,835,116 
          
    Consumer Staples (7.0%)     
58,750   Altria Group, Inc.   2,899,312 
505,000   Coca-Cola Company~   24,305,650 
53,100   Costco Wholesale Corp.   11,396,853 
79,150   Kroger Company   2,242,320 
264,650   Mondelez International, Inc. -
Class A
   12,242,709 
137,570   PepsiCo, Inc.   15,500,012 
147,500   Philip Morris International, Inc.   11,316,200 
289,905   Procter & Gamble Company   27,967,135 
87,930   Walgreens Boots Alliance, Inc.   6,353,822 
170,835   Walmart, Inc.   16,371,118 
        130,595,131 
          
    Energy (7.5%)     
475,000   BP, PLC^   19,532,000 
325,000   Chevron Corp.^   37,261,250 
130,575   ConocoPhillips   8,838,622 
60,000   Diamond Offshore Drilling, Inc.^#   655,800 
70,400   Energy Transfer, LP   1,035,584 
76,005   Enterprise Products Partners, LP   2,103,058 
117,000   EOG Resources, Inc.   11,606,400 
417,450   Exxon Mobil Corp.^   30,590,736 
16,000   GasLog, Ltd.^   286,880 
124,767   Hess Corp.   6,737,433 
21,360   Magellan Midstream Partners, LP   1,312,572 
100,220   Marathon Petroleum Corp.   6,640,577 
26,500   Pioneer Natural Resources
Company
   3,771,480 
156,200   Schlumberger, Ltd.   6,905,602 
31,050   Targa Resources Corp.^   1,335,461 
10,000   Williams Companies, Inc.   269,300 
        138,882,755 
          
    Financials (13.8%)     
35,430   Affiliated Managers Group, Inc.   3,718,378 
97,850   American Express Company   10,049,195 

 

See accompanying Notes to Schedule of Investments

 

15 

 

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

NUMBER OF
SHARES
    VALUE 
228,450   American International Group, Inc.  $9,875,893 
1,125,660   Bank of America Corp.~   32,047,540 
41,560   Berkshire Hathaway, Inc. - Class B#   8,542,242 
70,800   Capital One Financial Corp.   5,705,772 
49,185   Cboe Global Markets, Inc.   4,587,485 
62,795   Chubb Corp.   8,354,875 
253,000   Citigroup, Inc.   16,308,380 
125,000   Discover Financial Services   8,436,250 
153,765   E*TRADE Financial Corp.   7,174,675 
121,050   First Republic Bank^   11,697,061 
25,565   Goldman Sachs Group, Inc.   5,062,126 
33,700   Intercontinental Exchange, Inc.   2,586,812 
382,705   JPMorgan Chase & Company   39,609,967 
226,225   KeyCorp   3,725,926 
132,475   Marsh & McLennan Companies, Inc.   11,682,970 
103,355   MetLife, Inc.   4,720,223 
180,770   Morgan Stanley   7,646,571 
81,900   Northern Trust Corp.   7,244,874 
85,200   PNC Financial Services Group, Inc.^   10,451,484 
81,900   Prudential Financial, Inc.   7,546,266 
157,631   Starwood Property Trust, Inc.^   3,480,485 
121,226   Synchrony Financial   3,641,629 
208,560   US Bancorp   10,669,930 
214,215   Wells Fargo & Company   10,477,256 
63,350   Zions Bancorporation, N.A. ^   3,014,827 
       258,059,092 
       
      Health Care (13.7%)
139,700   Abbott Laboratories~   10,195,306 
138,035   Agilent Technologies, Inc.   10,497,562 
29,080   Alexion Pharmaceuticals, Inc.#   3,575,677 
51,996   Anthem, Inc.   15,754,788 
181,015   Baxter International, Inc.   13,121,777 
16,100   Biogen, Inc.#   5,373,858 
65,550   Bristol-Myers Squibb Company   3,236,203 
85,365   Celgene Corp.#   7,551,388 
26,830   CVS Health Corp.   1,758,706 
27,350   Edwards Lifesciences Corp.#   4,660,987 
137,350   Eli Lilly and Company   16,462,771 
48,980   Gilead Sciences, Inc.   3,429,090 
26,400   Humana, Inc.   8,157,336 
10,420   Intuitive Surgical, Inc.#   5,456,329 
228,735   Johnson & Johnson~   30,440,054 
25,975   Laboratory Corp. of America Holdings#   3,619,616 
156,340   Medtronic, PLC   13,818,893 
251,550   Merck & Company, Inc.   18,722,866 
740,400   Pfizer, Inc.^   31,429,980 
20,295   Stryker Corp.   3,603,783 
8,700   Teleflex, Inc.   2,379,450 
42,800   Thermo Fisher Scientific, Inc.   10,514,676 
105,000   UnitedHealth Group, Inc.   28,371,000 
13,335   WellCare Health Plans, Inc.#   3,686,861 
       255,818,957 
       
      Industrials (8.1%)
21,850   Boeing Company   8,425,797 
96,285   Caterpillar, Inc.   12,821,311 
221,550   CSX Corp.   14,555,835 
162,000   Delta Air Lines, Inc.   8,007,660 
54,125   Emerson Electric Company   3,543,564 
836,550   General Electric Company   8,499,348 
118,650   Honeywell International, Inc.   17,041,699 
NUMBER OF
SHARES
    VALUE 
46,281   Lockheed Martin Corp.  $13,407,143 
450,000   Masco Corp.   14,584,500