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. | $ | 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.*‡& 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‡ 3 mo. USD LIBOR + 3.30% | 9,601 | |||||
4,000 | Principal
Financial Group, Inc.μ‡ 3 mo. USD LIBOR + 3.04% | 3,929 | |||||
3,000 | Progressive
Corp.^‡ 3 mo. USD LIBOR + 2.54% | 2,936 | |||||
3,000 | Prudential
Financial, Inc.μ‡ 3 mo. USD LIBOR + 2.67% | 2,887 | |||||
20,000 | Simmons
First National Corp.‡ 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^‡ 3 mo. USD LIBOR + 2.54% | 2,965 | |||||
3,000 | SunTrust
Banks, Inc.μ‡ | 2,699 | |||||
9,000 | Towne Bank‡ 4.500%,
07/30/27 | 8,969 | |||||
39,000 | Tronox Finance, PLC*^
5.750%, 10/01/25 | 33,830 | |||||
10,000 | US Bancorpμ‡ 5.300%,
04/15/27 | 9,882 | |||||
3,000 | Voya Financial, Inc.μ‡ 6.125%,
09/15/23 | 2,977 | |||||
6,000 | Wells Fargo & Company^‡ 5.875%,
06/15/25 | 6,268 | |||||
3,000 | XLIT, Ltd.‡ 5.245%,
03/04/19 | 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.*^ | 31,137 | |||||
17,000 | Endo
Finance, LLC / Endo Finco, Inc.* | 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*^ | 22,007 | |||||
9,000 | Team
Health Holdings, Inc.*^ | 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^ | 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* | 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 | 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 | 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. | 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 | |||||