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: 1111 East Warrenville Road, Naperville,
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Asset Management,
Inc., 1111 East Warrenville Road,
Naperville, Illinois
60563-1493
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2004
DATE OF REPORTING PERIOD: May 1, 2004 through July 31, 2004
ITEM 1. SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------------------
CORPORATE BONDS (53.6%)
CONSUMER DISCRETIONARY (14.9%)
$ 4,678,000 Asbury Automotive Group, Inc.
8.000%, 03/15/14 $ 4,420,641
7,485,000 Aztar Corp.(a)
7.875%, 06/15/14 7,606,310
Beazer Homes USA, Inc.(c)
10,624,000 8.375%, 04/15/12 11,420,340
2,007,000 8.625%, 05/15/11 2,157,343
Boise Cascade Corp.(c)
12,088,000 7.350%, 02/01/16 13,784,476
1,871,000 7.000%, 11/01/13 2,105,067
758,000 9.450%, 11/01/09 926,488
4,678,000 Boyd Gaming Corp.
7.750%, 12/15/12 4,841,655
4,678,000 Cadmus Communications Corp.(a)
8.375%, 06/15/14 4,865,044
Charter Communications Holdings
12,163,000 10.000%, 04/01/09 9,638,869
10,338,000 9.625%, 11/15/09 7,908,738
9,356,000 11.125%, 01/15/11 7,461,294
7,952,000 GBP EMI Group, PLC
9.750%, 05/20/08 15,273,217
8,420,000 Hovnanian Enterprises, Inc.(c)
7.750%, 05/15/13 8,672,877
4,678,000 IMAX Corp.(a)(c)
9.625%, 12/01/10 4,397,252
Intrawest Corp.
8,888,000 7.500%, 10/15/13 8,888,062
3,742,000 10.500%, 02/01/10 4,060,441
7,119,000 Jarden Corp.
9.750%, 05/01/12 7,795,163
4,678,000 Kellwood Company
7.625%, 10/15/17 5,035,438
Mandalay Resort Group
20,157,000 10.250%, 08/01/07 22,626,445
6,081,000 7.625%, 07/15/13 6,134,517
12,163,000 Meritage Corp.(c)
7.000%, 05/01/14 11,736,920
5,614,000 NCL Holding, ASA(a)
10.625%, 07/15/14 5,732,800
4,678,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 5,005,382
Pinnacle Entertainment, Inc.(c)
8,420,000 8.250%, 03/15/12 8,125,560
4,814,000 8.750%, 10/01/13 4,813,587
9,370,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 9,323,039
15,905,000 RH Donnelley Financial Corp.(c)
10.875%, 12/15/12 18,688,320
12,163,000 Royal Caribbean Cruises, Ltd.
7.250%, 03/15/18 12,040,985
7,952,000 Spanish Broadcasting System, Inc.
9.625%, 11/01/09 8,409,744
4,678,000 Speedway Motorsports, Inc.(a)
6.750%, 06/01/13 4,736,401
Standard Pacific Corp.
14,034,000 9.250%, 04/15/12 15,577,498
2,610,000 9.500%, 09/15/10 2,871,312
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------------------------------------
$ 15,437,000 Steinway Musical Instruments, Inc.
8.750%, 04/15/11 $ 16,749,319
7,952,000 Stoneridge, Inc.
11.500%, 05/01/12 9,443,566
4,678,000 Vail Resorts, Inc.
6.750%, 02/15/14 4,654,538
Warner Music Group(a)(c)
17,308,000 7.375%, 04/15/14 16,615,998
2,339,000 GBP 8.125%, 04/15/14 4,029,990
-------------
318,574,636
-------------
CONSUMER STAPLES (3.2%)
7,952,000 Central Garden & Pet Company
9.125%, 02/01/13 8,588,675
10,759,000 Del Monte Foods Company
8.625%, 12/15/12 11,781,360
Herbalife International, Inc.
9,356,000 11.750%, 07/15/10 10,642,285
7,485,000 9.500%, 04/01/11 7,858,918
11,227,000 Jean Coutu Group, Inc.(a)
8.500%, 08/01/14 11,184,924
5,614,000 Rayovac Corp.
8.500%, 10/01/13 5,964,357
Rite Aid Corp.(c)
4,912,000 11.250%, 07/01/08 5,452,124
3,742,000 6.875%, 08/15/13 3,442,955
3,508,000 9.250%, 06/01/13 3,692,639
-------------
68,608,237
-------------
ENERGY (6.4%)
Chesapeake Energy Corp.(c)
6,549,000 6.875%, 01/15/16 6,483,607
3,742,000 7.500%, 06/15/14(a) 3,957,527
3,742,000 Comstock Resources, Inc.
6.875%, 03/01/12 3,695,563
13,847,000 Giant Industries, Inc.
8.000%, 05/15/14 14,296,682
4,678,000 Houston Exploration Company
7.000%, 06/15/13 4,724,707
4,678,000 KCS Energy, Inc.(a)
7.125%, 04/01/12 4,701,317
936,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 987,043
Overseas Shipholding Group, Inc.
7,485,000 7.500%, 02/15/24 6,923,333
1,871,000 8.750%, 12/01/13 2,011,509
9,356,000 Paramount Resources, Ltd.
7.875%, 11/01/10 9,075,179
Petrobras International Finance Company(c)
15,437,000 9.125%, 07/02/13 16,209,018
5,146,000 8.375%, 12/10/18 4,914,163
Premcor, Inc.(c)
7,485,000 7.750%, 02/01/12 7,989,900
6,549,000 7.500%, 06/15/15 6,942,044
10,596,000 Swift Energy Company
9.375%, 05/01/12 11,443,146
4,678,000 Tesoro Petroleum Corp.(c)
9.625%, 04/01/12 5,367,922
7,064,000 Whiting Petroleum Corp.
7.250%, 05/01/12 7,098,989
18,712,000 Williams Companies, Inc.(c)
8.125%, 03/15/12 20,536,101
-------------
137,357,750
-------------
See accompanying Notes to Schedule of Investments
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------
FINANCIALS (1.9%)
$ 14,034,000 Leucadia National Corp.
7.000%, 08/15/13 $ 13,823,275
14,969,000 LNR Property Corp.
7.625%, 07/15/13 15,044,214
9,824,000 Senior Housing Properties Trust
8.625%, 01/15/12 10,781,453
--------------
39,648,942
--------------
HEALTH CARE (3.7%)
4,678,000 Alpharma, Inc.(a)
8.625%, 05/01/11 4,853,350
4,678,000 Ameripath, Inc.
10.500%, 04/01/13 4,771,486
3,415,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 3,499,210
13,098,000 Beverly Enterprises, Inc.(a)(c)
7.875%, 06/15/14 13,229,179
5,146,000 Curative Health Services, Inc.(a)
10.750%, 05/01/11 4,682,605
5,614,000 Leiner Health Products Group, Inc.(a)
11.000%, 06/01/12 5,866,121
10,291,000 MedCath Corp.(a)
9.875%, 07/15/12 10,522,998
8,420,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 9,472,803
4,678,000 Quintiles Transnational Corp.
10.000%, 10/01/13 4,829,960
17,776,000 Service Corp. International(a)
6.750%, 04/01/16 16,865,098
--------------
78,592,810
--------------
INDUSTRIALS (6.1%)
15,905,000 EUR AGCO Corp.
6.875%, 04/15/14 18,526,439
6,222,000 AMR Corp.(a)
7.250%, 02/05/09 5,879,453
2,807,000 Armor Holdings, Inc.
8.250%, 08/15/13 3,031,297
15,437,000 CNH Global, NV(a)
9.250%, 08/01/11 16,787,912
12,630,000 Cummins, Inc.
9.500%, 12/01/10 14,588,117
8,888,000 General Cable Corp.
9.500%, 11/15/10 9,732,428
15,905,000 Hutchison Whampoa International, Ltd.(a)
6.250%, 01/24/14 15,686,085
9,356,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 10,151,102
Manitowoc Company, Inc.
4,912,000 EUR 10.375%, 05/15/11 6,593,656
4,678,000 10.500%, 08/01/12 5,367,922
4,678,000 Monitronics International, Inc.(a)
11.750%, 09/01/10 5,069,704
5,614,000 Navistar International Corp.(c)
7.500%, 06/15/11 5,824,020
2,807,000 Orbital Sciences Corp.
9.000%, 07/15/11 3,101,466
4,678,000 Sequa Corp.
8.875%, 04/01/08 5,005,382
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------------------------------------
$ 4,678,000 United Rentals, Inc.(c)
7.000%, 02/15/14 $ 4,291,998
-------------
129,636,981
-------------
INFORMATION TECHNOLOGY (3.5%)
17,776,000 Avnet, Inc.
9.750%, 02/15/08 20,287,002
7,952,000 Celestica, Inc.
7.875%, 07/01/11 8,171,170
3,742,000 Freescale Semiconductor, Inc.(a)
7.125%, 07/15/14 3,817,189
15,905,000 Sanmina-Sci Corp.
10.375%, 01/15/10 18,091,884
4,678,000 Stratus Technologies, Inc.(a)
10.375%, 12/01/08 4,560,979
Xerox Corp.(c)
11,227,000 8.000%, 02/01/27 10,216,593
9,356,000 7.625%, 06/15/13 9,636,530
-------------
74,781,347
-------------
MATERIALS (7.6%)
11,227,000 Arch Western Finance, LLC(a)(c)
7.250%, 07/01/13 11,451,566
6,783,000 Century Aluminum Company
11.750%, 04/15/08 7,639,348
14,717,000 Freeport-McMoRan Copper & Gold, Inc.
10.125%, 02/01/10 16,409,187
Georgia-Pacific Corp.
8,888,000 7.375%, 12/01/25 8,732,521
6,081,000 8.125%, 06/15/23 6,278,948
7,952,000 IMCO Recycling, Inc.
10.375%, 10/15/10 8,628,437
9,356,000 IPSCO, Inc.
8.750%, 06/01/13 10,525,337
15,437,000 Ispat International, NV(a)(c)
9.750%, 04/01/14 16,016,054
9,356,000 Phelps Dodge Corp.
9.500%, 06/01/31 12,918,808
4,678,000 Polyone Corp.(c)
10.625%, 05/15/10 5,028,772
7,952,000 Steel Dynamics, Inc.(c)
9.500%, 03/15/09 8,867,011
11,227,000 Texas Industries, Inc.
10.250%, 06/15/11 12,854,944
14,034,000 UCAR Finance, Inc.
10.250%, 02/15/12 15,788,005
Union Carbide Corp.
8,982,000 7.875%, 04/01/23 8,689,718
6,222,000 7.500%, 06/01/25 5,863,899
7,485,000 U. S. Concrete, Inc.(a)
8.375%, 04/01/14 7,596,954
-------------
163,289,509
-------------
OTHER (1.7%)
18,712,000 Dow Jones TRAC-X North
America High Yield Series 3
December 2009 Trust 3(a)(c)
8.000%, 12/29/09 18,197,138
18,712,000 Dow Jones TRAC-X North
America High Yield Series 3
December 2009 Trust 4(a)
10.500%, 12/29/09 18,068,588
-------------
36,265,726
See accompanying Notes to Schedule of Investments
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES (2.6%)
$ 12,163,000 Alamosa (Delaware), Inc.(a)(c)
8.500%, 01/31/12 $ 11,949,766
4,678,000 Alamosa Holdings, Inc.
11.000%, 07/31/10 5,157,415
25,261,000 AT&T Corp.(c)
8.750%, 11/15/31 25,208,745
4,210,000 IPCS Escrow Company(a)
11.500%, 05/01/12 4,357,489
9,356,000 Nextel Communications, Inc.(c)
7.375%, 08/01/15 9,870,427
--------------
56,543,842
--------------
UTILITIES (2.0%)
Calpine Corp.(c)
23,951,000 8.500%, 05/01/08 15,029,245
18,244,000 8.500%, 02/15/11 11,493,668
4,552,000 7.750%, 04/15/09 2,799,248
11,227,000 Edison International(c)
9.875%, 04/15/11 12,630,404
--------------
41,952,565
--------------
TOTAL CORPORATE BONDS
(Cost $1,158,085,880) 1,145,252,345
==============
CONVERTIBLE BONDS (6.1%)
CONSUMER DISCRETIONARY (0.4%)
7,000,000 General Motors Corp.
6.250%, 07/15/33 7,873,600
--------------
ENERGY (0.8%)
15,000,000 Repsol Ypf, SA
4.500%, 01/26/11 16,368,255
--------------
FINANCIALS (0.4%)
8,700,000 Host Marriott Corp.(a)
3.250%, 04/15/24 8,667,375
--------------
INDUSTRIALS (0.7%)
13,000,000 Kaydon Corp.
4.000%, 05/23/23 15,210,000
--------------
INFORMATION TECHNOLOGY (3.1%)
33,000,000 Advanced Micro Devices, Inc.(c)
4.750%, 02/01/22 31,432,500
16,000,000 Fairchild Semiconductor International, Inc.(c)
5.000%, 11/01/08 15,960,000
22,000,000 LSI Logic Corp.(c)
4.000%, 05/15/10 20,185,000
--------------
67,577,500
--------------
MATERIALS (0.7%)
10,700,000 Freeport-McMoRan Copper & Gold, Inc.
7.000%, 02/11/11 15,581,875
--------------
TOTAL CONVERTIBLE BONDS
(Cost $144,838,642) 131,278,605
==============
SYNTHETIC CONVERTIBLE SECURITIES (4.3%)
CORPORATE BONDS (3.7%)
CONSUMER DISCRETIONARY (1.0%)
322,000 Asbury Automotive Group, Inc.
8.000%, 03/15/14 304,359
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------
$ 515,000 Aztar Corp.(a)
7.875%, 06/15/14 $ 523,690
Beazer Homes USA, Inc.(c)
731,000 8.375%, 04/15/12 786,284
138,000 8.625%, 05/15/11 148,532
Boise Cascade Corp.(c)
832,000 7.350%, 02/01/16 949,053
129,000 7.000%, 11/01/13 144,933
52,000 9.450%, 11/01/09 63,788
322,000 Boyd Gaming Corp.
7.750%, 12/15/12 333,345
322,000 Cadmus Communications Corp.(a)
8.375%, 06/15/14 334,956
Charter Communications Holdings
837,000 10.000%, 04/01/09 663,631
712,000 9.625%, 11/15/09 544,512
644,000 11.125%, 01/15/11 513,706
548,000 GBP EMI Group, PLC
9.750%, 05/20/08 1,051,552
580,000 Hovnanian Enterprises, Inc.(c)
7.750%, 05/15/13 597,123
322,000 IMAX Corp.(a)(c)
9.625%, 12/01/10 302,748
Intrawest Corp.
612,000 7.500%, 10/15/13 611,938
258,000 10.500%, 02/01/10 279,559
490,000 Jarden Corp.
9.750%, 05/01/12 536,692
322,000 Kellwood Company
7.625%, 10/15/17 346,687
Mandalay Resort Group
1,388,000 10.250%, 08/01/07 1,557,818
419,000 7.625%, 07/15/13 422,358
837,000 Meritage Corp.(c)
7.000%, 05/01/14 808,080
386,000 NCL Holding, ASA(a)
10.625%, 07/15/14 394,700
322,000 Oxford Industries, Inc.(a)
8.875%, 06/01/11 344,618
Pinnacle Entertainment, Inc.(c)
580,000 8.250%, 03/15/12 559,440
331,000 8.750%, 10/01/13 331,413
645,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 641,886
1,095,000 RH Donnelley Financial Corp.(c)
10.875%, 12/15/12 1,286,680
837,000 Royal Caribbean Cruises, Ltd.
7.250%, 03/15/18 829,015
548,000 Spanish Broadcasting System, Inc.
9.625%, 11/01/09 579,006
322,000 Speedway Motorsports, Inc.(a)
6.750%, 06/01/13 326,099
See accompanying Notes to Schedule of Investments
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------
Standard Pacific Corp.
$ 966,000 9.250%, 04/15/12 $ 1,072,502
180,000 9.500%, 09/15/10 197,688
1,063,000 Steinway Musical Instruments, Inc.
8.750%, 04/15/11 1,153,181
548,000 Stoneridge, Inc.
11.500%, 05/01/12 650,184
322,000 Vail Resorts, Inc.
6.750%, 02/15/14 320,462
Warner Music Group(a)(c)
1,192,000 7.375%, 04/15/14 1,144,002
161,000 GBP 8.125%, 04/15/14 277,463
--------------
21,933,683
--------------
CONSUMER STAPLES (0.2%)
548,000 Central Garden & Pet Company
9.125%, 02/01/13 591,325
741,000 Del Monte Foods Company
8.625%, 12/15/12 811,140
Herbalife International, Inc.
644,000 11.750%, 07/15/10 732,715
515,000 9.500%, 04/01/11 541,082
773,000 Jean Coutu Group, Inc.(a)
8.500%, 08/01/14 770,076
386,000 Rayovac Corp.
8.500%, 10/01/13 410,643
Rite Aid Corp.(c)
338,000 11.250%, 07/01/08 375,376
258,000 6.875%, 08/15/13 237,045
242,000 9.250%, 06/01/13 254,236
--------------
4,723,638
--------------
ENERGY (0.5%)
Chesapeake Energy Corp.(c)
451,000 6.875%, 01/15/16 446,393
258,000 7.500%, 06/15/14(a) 272,473
258,000 Comstock Resources, Inc.
6.875%, 03/01/12 254,437
953,000 Giant Industries, Inc.
8.000%, 05/15/14 984,318
322,000 Houston Exploration Company
7.000%, 06/15/13 325,293
322,000 KCS Energy, Inc.(a)
7.125%, 04/01/12 323,683
64,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 67,957
Overseas Shipholding Group, Inc.
515,000 7.500%, 02/15/24 476,667
129,000 8.750%, 12/01/13 138,491
644,000 Paramount Resources, Ltd.
7.875%, 11/01/10 624,821
Petrobras International Finance Company(c)
1,063,000 9.125%, 07/02/13 1,115,982
354,000 8.375%, 12/10/18 338,337
Premcor, Inc. (c)
515,000 7.750%, 02/01/12 550,100
451,000 7.500%, 06/15/15 477,956
729,000 Swift Energy Company
9.375%, 05/01/12 787,854
322,000 Tesoro Petroleum Corp.(c)
9.625%, 04/01/12 369,578
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------------
$ 486,000 Whiting Petroleum Corp.
7.250%, 05/01/12 $ 488,761
1,288,000 Williams Companies, Inc.(c)
8.125%, 03/15/12 1,413,899
---------------
9,457,000
---------------
FINANCIALS (0.1%)
966,000 Leucadia National Corp.
7.000%, 08/15/13 951,725
1,031,000 LNR Property Corp.
7.625%, 07/15/13 1,035,786
676,000 Senior Housing Properties Trust
8.625%, 01/15/12 742,297
---------------
2,729,808
---------------
HEALTH CARE (0.3%)
322,000 Alpharma, Inc.(a)
8.625%, 05/01/11 334,150
322,000 Ameripath, Inc.
10.500%, 04/01/13 328,514
235,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 240,919
902,000 Beverly Enterprises, Inc.(a)(c)
7.875%, 06/15/14 910,821
354,000 Curative Health Services, Inc.(a)
10.750%, 05/01/11 322,395
386,000 Leiner Health Products Group, Inc.(a)
11.000%, 06/01/12 403,879
709,000 MedCath Corp.(a)
9.875%, 07/15/12 724,502
580,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 652,197
322,000 Quintiles Transnational Corp.
10.000%, 10/01/13 332,540
1,224,000 Service Corp. International(a)
6.750%, 04/01/16 1,161,152
---------------
5,411,069
---------------
INDUSTRIALS (0.4%)
1,095,000 EUR AGCO Corp.
6.875%, 04/15/14 1,275,535
428,000 AMR Corp.(a)
7.250%, 02/05/09 404,797
193,000 Armor Holdings, Inc.
8.250%, 08/15/13 208,703
1,063,000 CNH Global, NV(a)
9.250%, 08/01/11 1,155,838
870,000 Cummins, Inc.
9.500%, 12/01/10 1,004,383
612,000 General Cable Corp.
9.500%, 11/15/10 670,072
1,095,000 Hutchison Whampoa International, Ltd.(a)
6.250%, 01/24/14 1,079,978
644,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 698,898
Manitowoc Company, Inc.
338,000 EUR 10.375%, 05/15/11 453,969
322,000 10.500%, 08/01/12 369,578
322,000 Monitronics International, Inc.(a)
11.750%, 09/01/10 349,046
See accompanying Notes to Schedule of Investments
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------------
$ 386,000 Navistar International Corp.(c)
7.500%, 06/15/11 $ 400,980
193,000 Orbital Sciences Corp.
9.000%, 07/15/11 213,534
322,000 Sequa Corp.
8.875%, 04/01/08 344,618
322,000 United Rentals, Inc.(c)
7.000%, 02/15/14 295,502
---------------
8,925,431
---------------
INFORMATION TECHNOLOGY (0.2%)
1,224,000 Avnet, Inc.
9.750%, 02/15/08 1,396,748
548,000 Celestica, Inc.
7.875%, 07/01/11 562,580
258,000 Freescale Semiconductor, Inc.(a)
7.125%, 07/15/14 262,811
1,095,000 Sanmina-Sci Corp.
10.375%, 01/15/10 1,245,616
322,000 Stratus Technologies, Inc.(a)
10.375%, 12/01/08 314,021
Xerox Corp.(c)
773,000 8.000%, 02/01/27 703,407
644,000 7.625%, 06/15/13 663,470
---------------
5,148,653
---------------
MATERIALS (0.6%)
773,000 Arch Western Finance, LLC(a)(c)
7.250%, 07/01/13 788,434
467,000 Century Aluminum Company
11.750%, 04/15/08 525,965
1,013,000 Freeport-McMoRan Copper & Gold, Inc.
10.125%, 02/01/10 1,129,763
Georgia-Pacific Corp.
612,000 7.375%, 12/01/25 601,229
419,000 8.125%, 06/15/23 432,302
548,000 IMCO Recycling, Inc.
10.375%, 10/15/10 594,063
644,000 IPSCO, Inc.
8.750%, 06/01/13 724,663
1,063,000 Ispat International, NV(a)(c)
9.750%, 04/01/14 1,102,696
644,000 Phelps Dodge Corp.
9.500%, 06/01/31 889,452
322,000 Polyone Corp.(c)
10.625%, 05/15/10 346,228
548,000 Steel Dynamics, Inc.(c)
9.500%, 03/15/09 610,489
773,000 Texas Industries, Inc.
10.250%, 06/15/11 885,056
966,000 UCAR Finance, Inc.
10.250%, 02/15/12 1,086,995
Union Carbide Corp.
618,000 7.875%, 04/01/23 598,282
428,000 7.500%, 06/01/25 403,726
515,000 U. S. Concrete, Inc.(a)
8.375%, 04/01/14 523,046
---------------
11,242,389
---------------
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------------------
OTHER (0.1%)
$ 1,288,000 Dow Jones TRAC-X North
America High Yield Series 3
December 2009 Trust 3(a)(c)
8.000%, 12/29/09 $ 1,252,862
1,288,000 Dow Jones TRAC-X North
America High Yield Series 3
December 2009 Trust 4(a)
10.500%, 12/29/09 1,244,012
-----------------
2,496,874
-----------------
TELECOMMUNICATION SERVICES (0.2%)
837,000 Alamosa (Delaware), Inc.(a)(c)
8.500%, 01/31/12 822,734
322,000 Alamosa Holdings, Inc.
11.000%, 07/31/10 355,085
1,739,000 AT&T Corp.(c)
8.750%, 11/15/31 1,735,608
290,000 IPCS Escrow Company(a)
11.500%, 05/01/12 300,011
644,000 Nextel Communications, Inc.(c)
7.375%, 08/01/15 679,573
-----------------
3,893,011
-----------------
UTILITIES (0.1%)
Calpine Corp.(c)
1,649,000 8.500%, 05/01/08 1,034,755
1,256,000 8.500%, 02/15/11 791,332
313,000 7.750%, 04/15/09 192,727
773,000 Edison International(c)
9.875%, 04/15/11 869,596
-----------------
2,888,410
-----------------
TOTAL CORPORATE BONDS 78,849,966
-----------------
NUMBER OF
CONTRACTS VALUE
----------------------------------------------------------------------------------------
OPTIONS (0.6%)
CONSUMER DISCRETIONARY (0.3%)
3,400 Carnival Corp.(b)
Call, 01/21/06, Strike 45 2,448,000
1,300 Nike, Inc.(b)
Call, 01/21/06, Strike 80 721,500
3,400 Starbucks Corp.(b)
Call, 01/21/06, Strike 40 3,842,000
----------------
7,011,500
----------------
CONSUMER STAPLES (0.1%)
3,500 Altria Group, Inc.(b)
Call, 01/21/06, Strike 55 1,190,000
2,513 Coca-Cola Company(b)
Call, 01/21/06, Strike 50 439,775
1,840 Gillette Company(b)
Call, 01/21/06, Strike 40 644,000
1,330 Kellogg Company(b)
Call, 01/21/06, Strike 45 295,925
----------------
2,569,700
----------------
FINANCIALS (0.0%)
1,300 Allstate Corp.(b)
Call, 01/21/06, Strike 45 708,500
----------------
HEALTH CARE (0.1%)
100 Bausch & Lomb, Inc.(b)
Call, 01/21/06, Strike 65 75,000
See accompanying Notes to Schedule of Investments
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
----------------------------------------------------------------------------------------------
1,400 Biogen, Inc.(b)
Call, 01/21/06, Strike 70 $ 1,078,000
---------------
1,153,000
---------------
INFORMATION TECHNOLOGY (0.1%)
2,400 QUALCOMM, Inc.(b)
Call, 01/21/06, Strike 75 2,472,000
---------------
TOTAL OPTIONS 13,914,700
---------------
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $94,323,715) 92,764,666
===============
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (11.2%)
CONSUMER DISCRETIONARY (3.0%)
1,205,000 Ford Motor Company Capital Trust II
6.500% 64,407,250
---------------
CONSUMER STAPLES (0.8%)
680,000 Albertson's, Inc.
7.250% 17,578,000
---------------
ENERGY (0.5%)
140,000 Amerada Hess Corp.
7.000% 10,570,000
---------------
FINANCIALS (2.7%)
335,000 Capital One Financial Corp.
6.250% 17,225,700
300,000 Chubb Corp.
7.000% 8,277,000
650,000 Genworth Financial, Inc.
6.000% 18,356,000
220,000 National Australia Bank, Ltd.
7.875% 7,240,200
35,000 State Street Corp.
6.750% 7,081,200
---------------
58,180,100
---------------
HEALTH CARE (1.5%)
635,000 Baxter International, Inc.
7.000% 32,670,750
---------------
INDUSTRIALS (0.3%)
80,000 Cummins Capital Trust I
7.000% 6,250,000
---------------
INFORMATION TECHNOLOGY (1.5%)
255,000 Xerox Corp.
6.250% 32,448,750
---------------
TELECOMMUNICATION SERVICES (0.4%)
170,000 ALLTEL Corp.
7.750% 8,517,000
---------------
UTILITIES (0.5%)
150,000 Southern Union Company
5.750% 9,063,750
---------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $242,673,092) 239,685,600
===============
NUMBER OF
SHARES VALUE
---------------------------------------------------------------------------------------------
COMMON STOCKS (73.8%)
CONSUMER DISCRETIONARY (6.9%)
2,000,000 AUD APN News & Media, Ltd. $ 5,938,546
2,000,000 GBP Enterprise Inns, PLC 19,384,673
1,865,000 Ford Motor Company 27,452,800
577,000 General Motors Corp. 24,891,780
425,000 Genuine Parts Company 16,035,250
731,000 May Department Stores Company 19,393,430
490,000 Maytag Corp. 10,045,000
980,000 Saks, Inc. 12,789,000
300,000 Sears Roebuck & Company 11,004,000
---------------
146,934,479
---------------
CONSUMER STAPLES (4.9%)
644,000 Gillette Company 25,103,120
410,000 Kimberly-Clark Corp. 26,268,700
482,000 Procter & Gamble Company 25,136,300
951,000 Sara Lee Corp. 20,883,960
263,000 Supervalu, Inc. 7,511,280
---------------
104,903,360
---------------
ENERGY (5.8%)
695,000 Chevrontexaco Corp. 66,476,750
366,000 Conocophillips 28,829,820
36,000 EUR OMV, AG 7,888,283
395,000 PetroChina Company, Ltd. 19,726,300
---------------
122,921,153
---------------
FINANCIALS (20.0%)
732,900 Allstate Corp. 34,504,932
490,000 Bank Of America Corp. 41,654,900
1,372,000 Citigroup, Inc. 60,491,480
477,000 Federal National Mortgage Association 33,847,920
220,000 Fidelity National Corp. 7,975,000
803,700 General Growth Properties, Inc. 24,175,296
191,000 Independence Community Bank Corp. 7,131,940
176,000 Jefferson-Pilot Corp. 8,479,680
449,600 Mills Corp. 20,501,760
439,000 Morgan Stanley 21,655,870
1,395,100 New York Community Bancorp, Inc. 26,841,724
118,900 UnionBanCal Corp. 6,902,145
855,000 Wachovia Corp. 37,885,050
2,428,000 Washington Mutual, Inc. 94,206,400
---------------
426,254,097
---------------
HEALTH CARE (12.8%)
4,146,000 Bristol-Myers Squibb Company 94,943,400
1,155,000 Johnson & Johnson 63,836,850
1,755,000 Merck & Company, Inc. 79,589,250
1,082,000 Pfizer, Inc. 34,580,720
---------------
272,950,220
---------------
INDUSTRIALS (9.1%)
308,000 3M Company 25,366,880
315,000 Caterpillar, Inc. 23,149,350
439,000 Eaton Corp. 28,376,960
410,000 Emerson Electric Company 24,887,000
819,000 General Electric Company 27,231,750
724,000 Rockwell Automation, Inc. 27,084,840
1,346,000 Waste Management, Inc. 37,876,440
---------------
193,973,220
---------------
See accompanying Notes to Schedule of Investments
CALAMOS STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2004 (UNAUDITED)
NUMBER OF
SHARES VALUE
-----------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (5.2%)
1,382,000 Intel Corp. $ 33,693,160
410,000 International Business Machines Corp. 35,698,700
614,000 QUALCOMM, Inc. 42,415,120
---------------
111,806,980
---------------
MATERIALS (1.2%)
44,000 CHF Givaudan, SA 25,209,677
---------------
TELECOMMUNICATION SERVICES (7.9%)
1,850,000 Bellsouth Corp. 50,116,500
3,071,000 SBC Communications, Inc. 77,819,140
1,039,000 Verizon Communications, Inc. 40,043,060
---------------
167,978,700
---------------
TOTAL COMMON STOCKS
(Cost $1,609,475,942) 1,572,931,886
===============
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------------
SHORT TERM INVESTMENTS (15.7%)
$ 321,768,789 Bank of New York Institutional Cash
Reserve Fund(d)
current rate 1.340% 321,768,789
14,155,000 Exxon Mobil Corporation
Commercial Paper
1.100%, 08/02/04 14,154,567
-----------------
TOTAL SHORT TERM INVESTMENTS
(Cost $335,923,356) 335,923,356
=================
TOTAL INVESTMENTS (164.7%) 3,517,836,458
=================
(Cost $3,585,320,627)
LIABILITIES, LESS OTHER ASSETS (-14.2%) (302,481,746)
PREFERRED SHARES AT REDEMPTION VALUE
INCLUDING DIVIDENDS PAYABLE (-50.5%) (1,080,000,000)
-----------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $ 2,135,354,712
=================
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market values for securities denominated in foreign currencies are shown
in U.S. dollars.
(a) 144A securities are those that are exempt from registration under Rule
144A of the Securities Act of 1933, as amended. These securities are
generally issued to qualified institutional buyers ("QIBs"), such as the
Fund. Any resale of these securities must generally be effected through a
sale that is exempt from registration (e.g. a sale to another QIB), or the
security must be registered for public sale. At July 31, 2004, the market
value of 144A securities that cannot currently be exchanged to the
registered form is $295,430,241 or 13.8% of net assets applicable to
common shareholders of the Fund.
(b) Non-income producing security.
(c) Security, or portion of security, is on loan. At July 31, 2004, the Fund
had securities valued at $311,125,413 on loan to brokers-dealers and
banks.
(d) Security is purchased with the cash collateral from securities loaned.
FOREIGN CURRENCY ABBREVIATIONS
AUD: Australian Dollar
CHF: Swiss Franc
EUR: European Monetary Unit
GBP: British Pound Sterling
CALAMOS STRATEGIC TOTAL RETURN FUND
NOTE 1
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities, including options, that are traded on a national securities
exchange are valued at the last reported sales price. Securities quoted on the
NASDAQ National Market System are valued at the Nasdaq Official Closing Price
("NOCP"), as determined by Nasdaq, or lacking an NOCP, the last current
reported sale price as of the time of valuation. Securities traded in the
over-the-counter market and listed securities for which no sales were reported
are valued at the mean of the most recently quoted bid and asked prices.
Short-term securities with maturities of 60 days or less are valued at
amortized cost, which approximates market value. When market quotations are not
readily available or when the valuation methods mentioned above are not
reflective of the fair value of the security, the security is valued at a fair
value following procedures approved by the Board of Trustees or a committee
appointed by the Board of Trustees. The Fund may also use fair value pricing,
if the value of a security it holds is, in the opinion of the valuation
committee or pursuant to Board of Trustees' guidelines, effected by events
occurring after the close of the primary market or exchange on which the
security is traded. These 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 is employed, the value of the portfolio
security used to calculate the Fund's net asset value may differ from quoted or
published prices.
Securities that are principally traded in a foreign market are valued as of the
close of the appropriate exchange or other designated time. Trading in
securities on European and Far Eastern securities exchanges and
over-the-counter markets is normally completed at various times before the
close of business on each day on which the New York Stock Exchange ("NYSE") is
open. Trading of these 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
net asset value is not calculated. As stated above, if the market prices are
not readily available or are not reflective of the fair value of the security,
the security will be valued at a fair value following procedures approved by
the Board of Trustees or a committee appointed by the Board of Trustees.
INVESTMENT TRANSACTIONS. Short term investment transactions are recorded on a
trade date basis. Long term investment transactions are recorded on a trade
date plus one basis, except for fiscal quarter ends, which are recorded on
trade date.
NOTE 2
INVESTMENTS. The following information is presented on an income tax basis as
of July 31, 2004. Differences between amounts for financial statements
and Federal income tax purposes are primarily due to timing differences.
The cost basis of investments for Federal income tax purposes at July 31, 2004
was as follows:
Cost basis of investments $ 3,587,417,128
========================
Gross unrealized appreciation $ 57,501,291
Gross unrealized depreciation (127,081,961)
------------------------
Net unrealized appreciation (depreciation) $ (69,580,670)
========================
NOTE 3
INTEREST RATE TRANSACTIONS. The Fund may enter into interest rate swap or cap
transactions to attempt to protect itself from increasing dividend or interest
expense on its leverage resulting from increasing short-term interest rates. A
decline in interest rates may result in a decline in the value of the swap or
cap, which may result in a decline in the net asset value of the Fund. In
addition, if the counterparty to an interest rate swap or cap defaults, the
Fund would not be able to use the anticipated receipts under the swap or cap to
offset the dividend or interest payments on the Fund's leverage. At the time an
interest rate swap or cap reaches its scheduled termination, there is a risk
that the Fund would not be able to obtain a replacement transaction or that the
terms of the replacement would not be as favorable as on the expiring
transaction. In addition, if the Fund is required to terminate any swap or cap
early due to the Fund failing to maintain a required 200% asset coverage of the
liquidation value of the outstanding preferred shares or the Fund loses its
credit rating on its preferred shares, then the Fund could be required to make
a termination payment, in addition to redeeming all or some of the preferred
shares. Details of the swap agreements outstanding as of July 31, 2004 were as
follows:
UNREALIZED
TERMINATION NOTIONAL FIXED APPRECIATION
COUNTERPARTY DATE AMOUNT (000) RATE FLOATING RATE (DEPRECIATION)
----------------------------------------------------------------------------------------------------
Citibank NA June 4, 2006 $ 150,000 3.04% 1 month LIBOR $ (528,718)
Citibank NA June 4, 2007 150,000 3.61% 1 month LIBOR (1,123,714)
Citibank NA June 4, 2009 200,000 4.34% 1 month LIBOR (3,198,237)
------------------
$ (4,850,669)
==================
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 on a timely basis.
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 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: September 23, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September 23, 2004
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: September 23, 2004
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September 23, 2004