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 
37,050   Northrop Grumman Corp.   10,209,127 
135,000 EUR  Siemens, AG   14,822,704 
154,400   Union Pacific Corp.^   24,560,408 
       150,479,096 
       
      Information Technology (16.1%)
81,415   Accenture, PLC - Class A   12,501,273 
28,285   Adobe, Inc.#   7,009,589 
385,160   Apple, Inc.^   64,106,030 
322,615   Applied Materials, Inc.   12,607,794 
40,250   Broadcom, Inc.   10,797,063 
407,250   Cisco Systems, Inc.   19,258,852 
32,155   Fidelity National Information Services, Inc.   3,361,162 
56,750   Lam Research Corp.   9,623,665 
93,450   MasterCard, Inc. - Class A   19,730,098 
697,200   Microsoft Corp.~   72,808,596 
1,520,000   Nokia Corp.^   9,652,000 
58,650   NVIDIA Corp.   8,430,938 
118,300   Oracle Corp.   5,942,209 
64,800   PayPal Holdings, Inc.#   5,751,648 
69,960   Salesforce.com, Inc.#   10,631,821 
190,870   Visa, Inc. - Class A~   25,769,359 
25,375   Xilinx, Inc.   2,840,478 
        300,822,575 
       
      Materials (1.6%)
460,149   DowDuPont, Inc.   24,760,618 
82,000   Nucor Corp.   5,021,680 
        29,782,298 
       
      Real Estate (1.6%)
111,634   American Tower Corp.^   19,294,821 
5,075   Boston Properties, Inc.^   126,976 
43,850   Crown Castle International Corp.   5,133,081 
11,000   Kimco Realty Corp.^   241,780 
5,100   Public Storage^   119,952 
56,400   Welltower, Inc.   4,370,436 
        29,287,046 
       
      Utilities (0.9%)
330,054   Exelon Corp.   15,763,379 
        
   TOTAL COMMON STOCKS
(Cost $1,514,748,246)
   1,691,088,386 
        
RIGHTS (0.0%) #
      Financials (0.0%)
22,573   Motors Liquidation Company (Cost $—)   186,792 
          
WARRANTS (0.2%) #
      Consumer Discretionary (0.1%)
88,470   General Motors Company
07/10/19, Strike $0.00
   1,884,411 
       
      Energy (0.1%)
47,885   Tidewater, Inc.
11/14/42, Strike $0.00
   1,133,438 


 

See accompanying Notes to Schedule of Investments

 

16 

 

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

NUMBER OF
SHARES
    VALUE 
 16,676   Tidewater, Inc.
11/14/42, Strike $0.00
  $94,721 
        1,528,159 
           
    TOTAL WARRANTS
(Cost $9,338,130)
   3,412,570 
         
EXCHANGE-TRADED FUNDS (3.7%)
        Other (3.7%)
 120,200   iShares iBoxx High Yield Corporate Bond ETF^   10,230,222 
 195,550   iShares MSCI EAFE ETF^   12,257,074 
 122,500   iShares MSCI Emerging Markets ETF^   5,279,750 
 80,260   iShares NASDAQ Biotechnology ETF^   8,803,720 
 29,520   iShares Russell 2000 ETF   4,400,251 
 126,645   iShares Russell 2000 Value ETF^   15,104,949 
 13,275   iShares US Preferred Stock ETF^   480,024 
 341,000   SPDR Barclays Capital High Yield Bond ETF^   12,054,350 
 11,575   SPDR Wells Fargo Preferred Stock ETF^   485,803 
           
    TOTAL EXCHANGE-TRADED FUNDS
(Cost $71,345,062)
   69,096,143 

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT
       VALUE 
 
PURCHASED OPTIONS (0.0%) #
        Information Technology (0.0%)
 1,390   Apple, Inc.     
 23,135,160   Put, 02/01/19, Strike $155.00   3,475 
         
        Other (0.0%)
 1,100   Invesco QQQ Trust Series     
  18,497,600    Put, 02/08/19, Strike $161.00   28,050 
         

 

 

   TOTAL PURCHASED OPTIONS
(Cost $834,966)
   31,525 
          
NUMBER OF
SHARES
       VALUE 
 
SHORT TERM INVESTMENTS (3.9%)
 36,830,157   Fidelity Prime Money Market Fund - Institutional Class, 2.510%***   36,844,889 
 36,433,121   Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 2.310%***   36,433,121 
         
    TOTAL SHORT TERM INVESTMENTS
(Cost $73,274,387)
   73,278,010 
TOTAL INVESTMENTS (149.0%)
(Cost $2,620,715,096)
  $2,778,560,625 
      
MANDATORY REDEEMABLE PREFERRED SHARES, AT LIQUIDATION VALUE (-13.0%)   (242,000,000)
      
LIABILITIES, LESS OTHER ASSETS (-36.0%)   (671,615,878)
      
NET ASSETS (100.0%)  $1,864,944,747 
      
NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT
       VALUE 
           
WRITTEN OPTIONS (0.0%) #     
 Consumer Discretionary (0.0%)     
132  Netflix, Inc.      
4,481,400  Call, 03/15/19, Strike $390.00   (40,590)
         
 Financials (0.0%)     
   Berkshire Hathaway, Inc.     
104          

2,137,616

 Call, 03/15/19, Strike $220.00   (9,152)
104        

2,137,616

 Call, 06/21/19, Strike $230.00   (22,672)
       (31,824)
           
 TOTAL WRITTEN OPTIONS
(Premium $142,149)
  $(72,414)

 

NOTES TO SCHEDULE OF INVESTMENTS
μ Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $89,466,418 (see Note 6 - Notes Payable).
* Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.
^ Security, or portion of security, is on loan.
Variable rate security. The rate shown is the rate in effect at January 31, 2019.
& Illiquid security.
§ Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
~ Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options. The aggregate value of such securities is $2,328,847.
¤ The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security.
** Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at January 31, 2019.
# Non-income producing security.
*** The rate disclosed is the 7 day net yield as of January 31, 2019.

 

See accompanying Notes to Schedule of Investments

 

17 

 

 

Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JANUARY 31, 2019 (UNAUDITED)

 

FOREIGN CURRENCY ABBREVIATION
EUR European Monetary Unit

 

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


 

See accompanying Notes to Schedule of Investments

 

18 

 

 

Note 1 – Organization and Significant Accounting Policies

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

Note 2 – Investments

The cost basis of investments for federal income tax purposes at January 31, 2019 was as follows*:

 

Cost basis of investments  $2,620,572,947 
Gross unrealized appreciation   363,786,939 
Gross unrealized depreciation   (205,871,675)
Net unrealized appreciation (depreciation)  $157,915,264 

 

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

 

 

 

 

Note 3 – Mandatory Redeemable Preferred Shares

On September 6, 2017, the Fund issued 9,680,000 mandatory redeemable preferred shares (“MRPS”) with an aggregate liquidation preference of $242.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations.

 

The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at January 31, 2019.

 

Series  Term
Redemption Date
  Dividend Rate   Shares (000’s)   Liquidation Preference
Per Share
   Aggregate Liquidation
Preference
 
Series A  9/06/22   3.70%   3,220   $25   $80,500,000 
Series B  9/06/24   4.00%   3,220   $25   $80,500,000 
Series C  9/06/27   4.24%   3,240   $25   $81,000,000 
               Total   $242,000,000 

 

The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.

 

Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated “AA” by Fitch Ratings, Inc. (“Fitch”). If on the first day of a monthly dividend period the MRPS of any class are rated lower than “A” by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund), the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS’ dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in "Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares" within the Statement of Operations.

 

The MRPS rank junior to the Fund’s borrowings under the SSB Agreement and senior to the Fund’s outstanding common stock. The Fund may, at its option, subject to various terms and conditions, redeem the MRPS, in whole or in part, at the liquidation preference amount plus all accumulated but unpaid dividends, plus a make whole premium equal to the discounted value of the remaining scheduled payments. Each class of MRPS is subject to mandatory redemption on the term redemption date specified in the table above. Periodically, the Fund is subject to an overcollateralization test based on applicable rating agency criteria (the “OC Test”) and an asset coverage test with respect to its outstanding senior securities (the “AC Test”). The Fund may be required to redeem MRPS before their term redemption date if it does not comply with one or both tests. So long as any MRPS are outstanding, the Fund may not declare, pay or set aside for payment cash dividends or other distributions on shares of its common stock unless (1) the Fund has satisfied the OC Test on at least one testing date in the preceding 65 days, (2) immediately after such transaction, the Fund would comply with the AC Test, (3) full cumulative dividends on the MRPS due on or prior to the date of such transaction have been declared and paid and (4) the Fund has redeemed all MRPS required to have been redeemed on such date or has deposited funds sufficient for such redemption, subject to certain grace periods and exceptions.

 

Except as otherwise required pursuant to the Fund’s governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.

 

Note 4 – Fair Value Measurement

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

 

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

 

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

 

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

 

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Fund's investments.

 

 

 

 

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

 

   LEVEL 1   LEVEL 2   LEVEL 3   TOTAL 
Assets:                
Corporate Bonds  $   $439,575,786   $   $439,575,786 
Convertible Bonds       316,570,844        316,570,844 
U.S. Government and Agency Securities       6,111,933        6,111,933 
Bank Loans       42,281,054        42,281,054 
Synthetic Convertible Securities (Corporate Bonds)       5,951,533        5,951,533 
Synthetic Convertible Securities (U.S. Government and Agency Security)       82,594        82,594 
Synthetic Convertible Securities (Purchased Options)   1,065,750            1,065,750 
Convertible Preferred Stocks   109,939,752    19,887,953        129,827,705 
Common Stocks U.S.   1,661,427,783    11,656,950        1,673,084,733 
Common Stocks Foreign       18,003,653        18,003,653 
Rights       186,792        186,792 
Warrants   1,884,411    1,528,159        3,412,570 
Exchange-Traded Funds   69,096,143            69,096,143 
Purchased options   31,525            31,525 
Short Term Investments   73,278,010            73,278,010 
TOTAL  $1,916,723,374   $861,837,251   $   $2,778,560,625 
Liabilities:                    
Written options  $72,414   $   $   $72,414 
TOTAL  $72,414   $   $   $72,414 

 

 

 

ITEM 2. CONTROLS AND PROCEDURES.

 

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

 

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

 

ITEM 3. EXHIBITS.

 

(a) Certification of Principal Executive Officer.

 

(b) Certification of Principal Financial Officer.

 

 

 

 

SIGNATURES

 

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

 

Calamos Strategic Total Return Fund

 

By: /s/ John P. Calamos, Sr.  
Name: John P. Calamos, Sr.  
Title: Principal Executive Officer  
Date: March 7, 2019  

 

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

 

Calamos Strategic Total Return Fund

 

By: /s/ John P. Calamos, Sr.  
Name: John P. Calamos, Sr.  
Title: Principal Executive Officer  
Date: March 7, 2019  

 

By: /s/ Curtis Holloway  
Name: Curtis Holloway  
Title: Principal Financial Officer  
Date: March 7, 2019