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
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman,
Jr., Secretary,
Calamos Advisors, LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2006
DATE OF REPORTING PERIOD: January 31, 2006
CALAMOS STRATEGIC TOTAL RETURN FUND
ITEM 1. SCHEDULE OF INVESTMENTS January 31, 2006 (UNAUDITED)
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
CORPORATE BONDS (33.9%)
CONSUMER DISCRETIONARY (8.8%)
$ 3,714,000 Asbury Automotive Group, Inc.@
8.000%, 03/15/14 $ 3,658,290
5,942,000 Aztar Corp.@
7.875%, 06/15/14 6,194,535
8,435,000 Beazer Homes USA, Inc.@
8.375%, 04/15/12 8,856,750
3,714,000 Boyd Gaming Corp.
7.750%, 12/15/12 3,890,415
3,157,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 3,401,668
11,514,000 EchoStar Communications Corp.*
7.125%, 02/01/16 11,413,252
1,634,000 EchoStar DBS Corporation
6.625%, 10/01/14 1,593,150
4,828,000 GBP EMI Group, PLC++
9.750%, 05/20/08 9,312,199
14,856,000 Goodyear Tire & Rubber Company@
7.857%, 08/15/11 14,558,880
6,685,000 GSC Holdings Corp. (Gamestop, Inc.)*@
8.000%, 10/01/12 6,526,231
6,685,000 Hovnanian Enterprises, Inc.@
7.750%, 05/15/13 6,768,562
5,200,000 IMAX Corp.@
9.625%, 12/01/10 5,343,000
7,057,000 Intrawest Corp.
7.500%, 10/15/13 7,268,710
5,652,000 Jarden Corp.@
9.750%, 05/01/12 5,680,260
2,409,000 Kellwood Company
7.625%, 10/15/17 2,171,275
5,571,000 Landry's Restaurants, Inc.@
7.500%, 12/15/14 5,292,450
Mandalay Resort Group@
10,804,000 10.250%, 08/01/07 11,560,280
4,828,000 7.625%, 07/15/13 5,093,540
9,657,000 Meritage Corp.
7.000%, 05/01/14 9,319,005
4,457,000 NCL Holding, ASA
10.625%, 07/15/14 4,685,421
3,714,000 Oxford Industries, Inc.
8.875%, 06/01/11 3,820,778
Pinnacle Entertainment, Inc.
6,685,000 8.250%, 03/15/12 6,952,400
3,822,000 8.750%, 10/01/13@ 4,089,540
7,439,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 7,383,207
4,828,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 4,363,956
9,657,000 Royal Caribbean Cruises, Ltd.@
7.500%, 10/15/27 10,550,659
3,714,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 3,783,638
11,142,000 Standard Pacific Corp.@
9.250%, 04/15/12 11,643,390
$ 3,714,000 Vail Resorts, Inc.
6.750%, 02/15/14 $ 3,751,140
Warner Music Group
13,742,000 7.375%, 04/15/14 13,776,355
1,857,000 GBP 8.125%, 04/15/14 3,456,392
743,000 William Lyon Homes, Inc.
10.750%, 04/01/13 772,720
1,634,000 Wynn Las Vegas, LLC@
6.625%, 12/01/14 1,599,278
------------
208,531,326
------------
CONSUMER STAPLES (2.8%)
6,314,000 Central Garden & Pet Company
9.125%, 02/01/13 6,661,270
10,956,000 Chiquita Brands International, Inc.@
7.500%, 11/01/14 9,696,060
8,542,000 Del Monte Foods Company
8.625%, 12/15/12 9,097,230
3,493,000 Herbalife, Ltd.
9.500%, 04/01/11 3,781,173
12,628,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 12,091,310
8,171,000 NBTY, Inc.*
7.125%, 10/01/15 7,701,167
4,680,000 Revlon, Inc.@
9.500%, 04/01/11 4,329,000
Spectrum Brands, Inc.@
10,399,000 7.375%, 02/01/15 8,605,172
4,457,000 8.500%, 10/01/13 3,844,163
------------
65,806,545
------------
ENERGY (4.4%)
8,914,000 Arch Western Finance, LLC@++
6.750%, 07/01/13 9,047,710
Chesapeake Energy Corp.
5,200,000 6.875%, 01/15/16@ 5,330,000
2,971,000 7.500%, 06/15/14 3,175,256
4,000,000 Comstock Resources, Inc.
6.875%, 03/01/12 3,985,000
1,634,000 Energy Partners, Ltd.
8.750%, 08/01/10 1,695,275
10,994,000 Giant Industries, Inc.
8.000%, 05/15/14 11,488,730
3,714,000 Houston Exploration Company
7.000%, 06/15/13 3,676,860
3,714,000 KCS Energy, Inc.
7.125%, 04/01/12 3,741,855
743,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 786,651
Petroleo Brasileiro, SA
12,256,000 9.125%, 07/02/13@ 14,443,696
11,514,000 8.375%, 12/10/18 13,183,530
1,486,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 1,583,558
8,412,000 Swift Energy Company
9.375%, 05/01/12 9,105,990
5,608,000 Whiting Petroleum Corp.@
7.250%, 05/01/12 5,755,210
See accompanying notes to Schedule of Investments
1
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
$14,856,000 Williams Companies, Inc.
7.750%, 06/15/31 $ 16,193,040
------------
103,192,361
------------
FINANCIALS (3.3%)
29,712,000 Dow Jones TRAC-X North America High
Yield Series 5 December 2010 Trust
3*@
8.250%, 12/29/10 29,934,840
E*TRADE Financial Corporation
14,381,000 7.375%, 09/15/13 14,740,525
9,917,000 7.875%, 12/01/15@ 10,412,850
2,526,000 8.000%, 06/15/11* 2,639,670
11,142,000 Leucadia National Corp.
7.000%, 08/15/13 11,142,000
7,800,000 Senior Housing Properties Trust
8.625%, 01/15/12 8,599,500
------------
77,469,385
------------
HEALTH CARE (3.4%)
3,714,000 Ameripath, Inc.
10.500%, 04/01/13 3,936,840
2,711,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 2,888,153
10,399,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 11,490,895
1,170,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 1,240,200
4,271,000 Biovail Corp.
7.875%, 04/01/10 4,436,501
1,634,000 DaVita, Inc.
7.250%, 03/15/15 1,652,383
1,188,000 Omnicare, Inc.@
6.875%, 12/15/15 1,195,425
8,171,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 8,497,840
3,714,000 Quintiles Transnational Corp.
10.000%, 10/01/13 4,141,110
14,113,000 Service Corp. International++
6.750%, 04/01/16 14,024,794
13,148,000 Tenet Healthcare Corp.*@
9.250%, 02/01/15 12,950,780
4,828,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 4,755,580
10,028,000 Vanguard Health Systems, Inc.@
9.000%, 10/01/14 10,629,680
------------
81,840,181
------------
INDUSTRIALS (3.4%)
4,085,000 Accuride Corp.@
8.500%, 02/01/15 4,085,000
4,940,000 American Airlines, Inc.
7.250%, 02/05/09 4,865,900
2,228,000 Armor Holdings, Inc.@
8.250%, 08/15/13 2,417,380
12,256,000 CNH Global, NV
9.250%, 08/01/11 13,175,200
2,600,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 2,749,500
$10,028,000 Cummins, Inc.@ ++
9.500%, 12/01/10 $ 10,830,240
3,714,000 Gardner Denver, Inc.
8.000%, 05/01/13 3,918,270
7,057,000 General Cable Corp.@
9.500%, 11/15/10 7,550,990
3,714,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 3,890,415
1,634,000 Hexcel Corporation
6.750%, 02/01/15 1,625,830
2,789,000 Manitowoc Company, Inc.
10.500%, 08/01/12 3,109,735
3,714,000 Monitronics International, Inc.
11.750%, 09/01/10 3,695,430
5,200,000 Navistar International Corp.@
7.500%, 06/15/11 5,174,000
2,228,000 Orbital Sciences Corp.@
9.000%, 07/15/11 2,400,670
3,714,000 Sequa Corp.
8.875%, 04/01/08 3,955,410
2,563,000 Trinity Industries, Inc.
6.500%, 03/15/14 2,569,407
3,714,000 Wesco Distribution Inc.*@
7.500%, 10/15/17 3,797,565
------------
79,810,942
------------
INFORMATION TECHNOLOGY (2.6%)
17,827,000 Advanced Micro Devices, Inc.@
7.750%, 11/01/12 18,852,052
1,634,000 Avago Technologies*@
11.875%, 12/01/15 1,654,425
6,314,000 Celestica, Inc.@
7.875%, 07/01/11 6,392,925
3,714,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 3,946,125
9,434,000 Lucent Technologies, Inc.@
6.500%, 01/15/28 7,830,220
817,000 Sanmina-SCI Corporation
8.125%, 03/01/16 829,255
3,714,000 Stratus Technologies, Inc.
10.375%, 12/01/08 3,881,130
7,800,000 SunGard Data Systems Inc.*@
9.125%, 08/15/13 8,151,000
11,142,000 Telcordia Technologies*
10.000%, 03/15/13 10,250,640
------------
61,787,772
------------
MATERIALS (3.0%)
Aleris International, Inc.
9,285,000 10.375%, 10/15/10 10,259,925
1,486,000 9.000%, 11/15/14 1,560,300
2,228,000 Century Aluminum Company@
7.500%, 08/15/14 2,294,840
6,485,000 Freeport-McMoRan Copper & Gold, Inc.@
10.125%, 02/01/10 7,133,500
1,634,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 1,646,255
Ineos Group Holdings, PLC*
10,028,000 EUR 7.875%, 02/07/16 12,185,520
See accompanying notes to Schedule of Investments
2
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 1,857,000 8.500%, 02/15/16 $ 1,859,321
7,428,000 IPSCO, Inc.
8.750%, 06/01/13 8,170,800
5,942,000 U.S. Concrete, Inc.@
8.375%, 04/01/14 6,090,550
Union Carbide Corp.
8,134,000 7.875%, 04/01/23@ 9,063,537
6,425,000 7.500%, 06/01/25 6,960,607
2,971,000 Westlake Chemical Corporation
6.625%, 01/15/16 2,989,569
------------
70,214,724
------------
TELECOMMUNICATION SERVICES (1.8%)
Alamosa Holdings, Inc.
9,657,000 8.500%, 01/31/12 10,514,059
3,714,000 11.000%, 07/31/10 4,178,250
16,342,000 AT&T Corp.++
9.750%, 11/15/31 20,267,136
1,263,000 Citizens Communications Company
9.000%, 08/15/31 1,307,205
3,343,000 IPCS Escrow Company
11.500%, 05/01/12 3,869,522
3,714,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 3,788,280
------------
43,924,452
------------
UTILITIES (0.4%)
8,914,000 Edison International@
7.730%, 06/15/09 9,203,705
------------
TOTAL CORPORATE BONDS
(Cost $794,098,726) 801,781,393
------------
CONVERTIBLE BONDS (15.8%)
CONSUMER DISCRETIONARY (1.8%)
7,000,000 General Motors Corp.+
6.250%, 03/06/32 5,093,200
4,462,000 Lions Gate Entertainment Corp.
3.625%, 03/15/25 3,987,913
32,000,000 Walt Disney Company@
2.125%, 04/15/23 32,880,000
------------
41,961,113
------------
ENERGY (1.5%)
10,500,000 Cal Dive International, Inc.*
3.250%, 12/15/25 16,130,625
15,000,000 Repsol Ypf, SA
4.500%, 01/26/11 19,083,954
------------
35,214,579
------------
FINANCIALS (1.8%)
13,500,000 Deutsche Bank, LUX (USA Interactive)*++
4.450%, 05/01/12 17,583,750
4,350,000 Host Marriott Corp.*@
3.250%, 04/15/24 5,307,000
18,750,000 Travelers Property Casualty Corp.+
4.500%, 04/15/32 19,102,500
------------
41,993,250
------------
HEALTH CARE (2.9%)
$17,000,000 Emdeon Corp.*
3.125%, 09/01/25 $ 15,045,000
19,000,000 Invitrogen Corp.*@
3.250%, 06/15/25 18,691,250
17,500,000 LifePoint Hospitals, Inc.*@
3.250%, 08/15/25 14,875,000
20,000,000 Wyeth@++
4.239%, 01/15/24 20,830,000
------------
69,441,250
------------
INDUSTRIALS (1.5%)
9,000,000 GATX Corp.
7.500%, 02/01/07 11,272,500
16,000,000 Lockheed Martin Corp.@++
4.090%, 08/15/33 17,532,800
4,500,000 Quanta Services, Inc.@
4.500%, 10/01/23 6,176,250
------------
34,981,550
------------
INFORMATION TECHNOLOGY (3.6%)
16,500,000 Advanced Micro Devices, Inc.++
4.750%, 02/01/22 29,596,875
14,500,000 DST Systems, Inc.
4.125%, 08/15/23 18,505,625
19,500,000 LSI Logic Corp.
4.000%, 05/15/10 19,816,875
17,000,000 Vishay Intertechnology, Inc.
3.625%, 08/01/23 17,573,750
------------
85,493,125
------------
MATERIALS (0.9%)
10,700,000 Freeport-McMoRan Copper & Gold, Inc.@
7.000%, 02/11/11 22,684,000
------------
UTILITIES (1.8%)
20,000,000 CenterPoint Energy, Inc.@
3.750%, 05/15/23 23,400,000
8,750,000 GBP Scottish and Southern Energy, PLC
3.750%, 10/29/09 19,067,668
------------
42,467,668
------------
TOTAL CONVERTIBLE BONDS
(Cost $353,554,284) 374,236,535
------------
SYNTHETIC CONVERTIBLE SECURITIES (13.8%)
CORPORATE BONDS (11.7%)
CONSUMER DISCRETIONARY (3.1%)
1,286,000 Asbury Automotive Group, Inc.@
8.000%, 03/15/14 1,266,710
2,058,000 Aztar Corp.@
7.875%, 06/15/14 2,145,465
2,920,000 Beazer Homes USA, Inc.@
8.375%, 04/15/12 3,066,000
1,286,000 Boyd Gaming Corp.
7.750%, 12/15/12 1,347,085
1,093,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 1,177,708
See accompanying notes to Schedule of Investments
3
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- -----------
$ 3,986,000 EchoStar Communications Corp.*
7.125%, 02/01/16 $ 3,951,122
566,000 EchoStar DBS Corporation
6.625%, 10/01/14 551,850
1,672,000 GBP EMI Group, PLC++
8.250%, 05/20/08 3,224,937
5,144,000 Goodyear Tire & Rubber Company@
7.860%, 08/15/11 5,041,120
2,315,000 GSC Holdings Corp. (Gamestop, Inc.)*@
8.000%, 10/01/12 2,260,019
2,315,000 Hovnanian Enterprises, Inc.@
7.750%, 05/15/13 2,343,937
1,800,000 IMAX Corp.@
9.625%, 12/01/10 1,849,500
2,443,000 Intrawest Corp.
7.500%, 10/15/13 2,516,290
1,957,000 Jarden Corp.@
9.750%, 05/01/12 1,966,785
834,000 Kellwood Company
7.625%, 10/15/17 751,699
1,929,000 Landry's Restaurants, Inc.@
7.500%, 12/15/14 1,832,550
Mandalay Resort Group@
3,741,000 10.250%, 08/01/07 4,002,870
1,672,000 7.625%, 07/15/13 1,763,960
3,343,000 Meritage Corp.
7.000%, 05/01/14 3,225,995
1,543,000 NCL Holding, ASA
10.625%, 07/15/14 1,622,079
1,286,000 Oxford Industries, Inc.
8.875%, 06/01/11 1,322,973
Pinnacle Entertainment, Inc.
2,315,000 8.250%, 03/15/12 2,407,600
1,323,000 8.750%, 10/01/13@ 1,415,610
2,576,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 2,556,680
1,672,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 1,511,295
3,343,000 Royal Caribbean Cruises, Ltd.@
7.500%, 10/15/27 3,652,361
1,286,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 1,310,113
3,858,000 Standard Pacific Corp.@
9.250%, 04/15/12 4,031,610
1,286,000 Vail Resorts, Inc.
6.750%, 02/15/14 1,298,860
Warner Music Group
4,758,000 7.375%, 04/15/14 4,769,895
643,000 GBP 8.125%, 04/15/14 1,196,801
257,000 William Lyon Homes, Inc.
10.750%, 04/01/13 267,280
566,000 Wynn Las Vegas, LLC@
6.625%, 12/01/14 553,973
-----------
72,202,732
-----------
CONSUMER STAPLES (1.0%)
$ 2,186,000 Central Garden & Pet Company
9.125%, 02/01/13 $ 2,306,230
3,794,000 Chiquita Brands International, Inc.@
7.500%, 11/01/14 3,357,690
2,958,000 Del Monte Foods Company
8.625%, 12/15/12 3,150,270
1,209,000 Herbalife, Ltd.
9.500%, 04/01/11 1,308,743
4,372,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 4,186,190
2,829,000 NBTY, Inc.*
7.125%, 10/01/15 2,666,332
1,620,000 Revlon, Inc.@
9.500%, 04/01/11 1,498,500
Spectrum Brands, Inc.@
3,601,000 7.375%, 02/01/15 2,979,827
1,543,000 8.500%, 10/01/13 1,330,838
-----------
22,784,620
-----------
ENERGY (1.5%)
3,086,000 Arch Western Finance, LLC@++
6.750%, 07/01/13 3,132,290
Chesapeake Energy Corp.
1,800,000 6.875%, 01/15/16@ 1,845,000
1,029,000 7.500%, 06/15/14 1,099,744
1,385,000 Comstock Resources, Inc.
6.875%, 03/01/12 1,379,806
566,000 Energy Partners, Ltd.
8.750%, 08/01/10 587,225
3,806,000 Giant Industries, Inc.
8.000%, 05/15/14 3,977,270
1,286,000 Houston Exploration Company
7.000%, 06/15/13 1,273,140
1,286,000 KCS Energy, Inc.
7.125%, 04/01/12 1,295,645
257,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 272,099
Petroleo Brasileiro, SA
4,244,000 9.125%, 07/02/13@ 5,001,554
3,986,000 8.375%, 12/10/18 4,563,970
514,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 547,745
2,913,000 Swift Energy Company
9.375%, 05/01/12 3,153,322
1,942,000 Whiting Petroleum Corp.@
7.250%, 05/01/12 1,992,977
5,144,000 Williams Companies, Inc.
7.750%, 06/15/31 5,606,960
-----------
35,728,747
-----------
FINANCIALS (1.1%)
10,288,000 Dow Jones TRAC-X North America High
Yield Series 5 December 2010 Trust 3*@
8.250%, 12/29/10 10,365,160
E*TRADE Financial Corporation
4,979,000 7.375%, 09/15/13 5,103,475
See accompanying notes to Schedule of Investments
4
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- -----------
$3,433,000 7.875%, 12/01/15@ $ 3,604,650
874,000 8.000%, 06/15/11* 913,330
3,858,000 Leucadia National Corp.
7.000%, 08/15/13 3,858,000
2,700,000 Senior Housing Properties Trust
8.625%, 01/15/12 2,976,750
-----------
26,821,365
-----------
HEALTH CARE (1.2%)
1,286,000 Ameripath, Inc.
10.500%, 04/01/13 1,363,160
939,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 1,000,360
3,601,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 3,979,105
405,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 429,300
1,479,000 Biovail Corp.
7.875%, 04/01/10 1,536,311
566,000 DaVita, Inc.
7.250%, 03/15/15 572,368
412,000 Omnicare, Inc.@
6.875%, 12/15/15 414,575
2,829,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 2,942,160
1,286,000 Quintiles Transnational Corp.
10.000%, 10/01/13 1,433,890
4,887,000 Service Corp. International++
6.750%, 04/01/16 4,856,456
4,552,000 Tenet Healthcare Corp.*@
9.250%, 02/01/15 4,483,720
1,672,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 1,646,920
3,472,000 Vanguard Health Systems, Inc.@
9.000%, 10/01/14 3,680,320
-----------
28,338,645
-----------
INDUSTRIALS (1.2%)
1,415,000 Accuride Corp.@
8.500%, 02/01/15 1,415,000
1,710,000 American Airlines, Inc.
7.250%, 02/05/09 1,684,350
772,000 Armor Holdings, Inc.@
8.250%, 08/15/13 837,620
4,244,000 CNH Global, NV
9.250%, 08/01/11 4,562,300
900,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 951,750
3,472,000 Cummins, Inc.@++
9.500%, 12/01/10 3,749,760
1,286,000 Gardner Denver, Inc.
8.000%, 05/01/13 1,356,730
2,443,000 General Cable Corp.@
9.500%, 11/15/10 2,614,010
1,286,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 1,347,085
566,000 Hexcel Corporation
6.750%, 02/01/15 563,170
$ 966,000 Manitowoc Company, Inc.
10.500%, 08/01/12 $ 1,077,090
1,286,000 Monitronics International, Inc.
11.750%, 09/01/10 1,279,570
1,800,000 Navistar International Corp.@
7.500%, 06/15/11 1,791,000
772,000 Orbital Sciences Corp.@
9.000%, 07/15/11 831,830
1,286,000 Sequa Corp.
8.875%, 04/01/08 1,369,590
887,000 Trinity Industries, Inc.
6.500%, 03/15/14 889,217
1,286,000 Wesco Distribution Inc.*@
7.500%, 10/15/17 1,314,935
-----------
27,635,007
-----------
INFORMATION TECHNOLOGY (0.9%)
6,173,000 Advanced Micro Devices, Inc.@
7.750%, 11/01/12 6,527,947
566,000 Avago Technologies*@
11.875%, 12/01/15 573,075
2,186,000 Celestica, Inc.@
7.875%, 07/01/11 2,213,325
1,286,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 1,366,375
3,266,000 Lucent Technologies, Inc.@
6.500%, 01/15/28 2,710,780
283,000 Sanmina-SCI Corporation
8.125%, 03/01/16 287,245
1,286,000 Stratus Technologies, Inc.
10.375%, 12/01/08 1,343,870
2,700,000 SunGard Data Systems Inc.*@
9.125%, 08/15/13 2,821,500
3,858,000 Telcordia Technologies*
10.000%, 03/15/13 3,549,360
-----------
21,393,477
-----------
MATERIALS (1.0%)
Aleris International, Inc.
3,215,000 10.375%, 10/15/10 3,552,575
514,000 9.000%, 11/15/14 539,700
772,000 Century Aluminum Company@
7.500%, 08/15/14 795,160
2,245,000 Freeport-McMoRan Copper & Gold, Inc.@
10.125%, 02/01/10 2,469,500
566,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 570,245
Ineos Group Holdings, PLC*
3,472,000 EUR 7.875%, 02/15/16 4,218,999
643,000 8.500%, 02/15/16 643,804
2,572,000 IPSCO, Inc.
8.750%, 06/01/13 2,829,200
2,058,000 U.S. Concrete, Inc.@
8.375%, 04/01/14 2,109,450
Union Carbide Corp.
2,816,000 7.875%, 04/01/23@ 3,137,807
2,225,000 7.500%, 06/01/25 2,410,483
See accompanying notes to Schedule of Investments
5
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- ------------
$1,029,000 Westlake Chemical Corporation
6.625%, 01/15/16 $ 1,035,431
------------
24,312,354
------------
TELECOMMUNICATION SERVICES (0.6%)
Alamosa Holdings, Inc.
3,343,000 8.500%, 01/31/12 3,639,691
1,286,000 11.000%, 07/31/10 1,446,750
5,658,000 AT&T Corp.++
9.750%, 11/15/31 7,016,978
437,000 Citizens Communications Company
9.000%, 08/15/31 452,295
1,157,000 IPCS Escrow Company
11.500%, 05/01/12 1,339,228
1,286,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 1,311,720
------------
15,206,662
------------
UTILITIES (0.1%)
3,086,000 Edison International@
7.730%, 06/15/09 3,186,295
------------
TOTAL CORPORATE BONDS 277,609,904
------------
NUMBER OF
CONTRACTS VALUE
---------- ------------
OPTIONS (2.1%)
CONSUMER DISCRETIONARY (0.3%)
1,600 eBay, Inc.#
Call, 01/20/07, Strike 42.50 1,056,000
320 Garmin, Ltd.#
Call, 01/19/08, Strike 65.00 400,000
7,450 Home Depot, Inc.#
Call, 01/20/07, Strike 40.00 3,203,500
370 Lowe's Companies, Inc.#
Call, 01/19/08, Strike 70.00 294,150
620 Office Depot, Inc.#
Call, 01/19/08, Strike 30.00 514,600
525 Tiffany & Co.#
Call, 01/19/08, Strike 40.00 328,125
6,000 YUM! Brands, Inc.#
Call, 01/20/07, Strike 50.00 2,940,000
------------
8,736,375
------------
CONSUMER STAPLES (0.2%)
3,000 Altria Group, Inc.#
Call, 01/20/07, Strike 65.00 3,540,000
1,500 Kroger Company#
Call, 01/19/08, Strike 20.00 360,000
635 PepsiCo, Inc.#
Call, 01/19/08, Strike 60.00 320,675
------------
4,220,675
------------
ENERGY (0.5%)
600 Amerada Hess Corp.#
Call, 01/20/07, Strike 125.00 2,406,000
230 Anadarko Petroleum Corp.#
Call, 01/19/08, Strike 95.00 641,700
315 BJ Services Company#
Call, 01/19/08, Strike 40.00 283,500
3,800 Chevrontexaco Corp.#
Call, 01/20/07, Strike 60.00 $ 2,204,000
300 Devon Energy (Chevron) Corp.#
Call, 01/19/08, Strike 65.00 483,000
315 Diamond Offshore Drilling, Inc.#
Call, 01/19/08, Strike 70.00 815,850
250 Nabors Industries Ltd.#
Call, 01/19/08, Strike 75.00 522,500
300 Petroleo Brasileiro, SA#
Call, 01/19/08, Strike 70.00 997,500
245 Schlumberger, Ltd.#
Call, 01/19/08, Strike 100.00 1,000,825
230 Sunoco, Inc.#
Call, 01/19/08, Strike 75.00 742,900
490 Weatherford International, Ltd.#
Call, 01/19/08, Strike 35.00 739,900
350 XTO Energy, Inc.#
Call, 01/19/08, Strike 45.00 439,250
------------
11,276,925
------------
FINANCIALS (0.3%)
575 Aon Corp.#
Call, 01/19/08, Strike 35.00 339,250
1,460 Charles Schwab Corp.#
Call, 01/19/08, Strike 15.00 416,100
45 Chicago Mercantile Exchange
Holdings, Inc.#
Call, 01/19/08, Strike 360.00 573,525
420 CIT Group, Inc.#
Call, 01/19/08, Strike 50.00 443,100
750 E*TRADE Financial Corporation#
Call, 01/19/08, Strike 20.00 547,500
200 Goldman Sachs Group, Inc.#
Call, 01/19/08, Strike 130.00 583,000
220 Legg Mason, Inc.#
Call, 01/20/07, Strike 120.00 504,900
175 Lehman Brothers Holdings, Inc.#
Call, 01/19/08, Strike 125.00 576,625
430 Merrill Lynch & Company, Inc.#
Call, 01/19/08, Strike 70.00 610,600
320 Prudential Financial, Inc.#
Call, 01/19/08, Strike 75.00 384,000
560 St. Paul Travelers Companies, Inc.#
Call, 01/19/08, Strike 45.00 403,200
550 State Street Corp.#
Call, 01/19/08, Strike 60.00 506,000
------------
5,887,800
------------
HEALTH CARE (0.1%)
250 Aetna, Inc.#
Call, 01/19/08, Strike 100.00 447,500
215 Allergan, Inc.#
Call, 01/19/08, Strike 110.00 526,750
560 AmerisourceBergen Corp.#
Call, 01/19/08, Strike 40.00 537,600
240 Express Scripts, Inc.#
Call, 01/19/08, Strike 90.00 470,400
See accompanying notes to Schedule of Investments
6
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
--------- ------------
660 Health Net, Inc.#
Call, 01/19/08, Strike 55.00 $ 283,800
189 Omnicare, Inc.#
Call, 01/19/08, Strike 60.00 133,245
520 Teva Pharmaceutical Industries, Ltd.#
Call, 01/19/08, Strike 45.00 319,800
300 UnitedHealth Group, Inc.#
Call, 01/19/08, Strike 60.00 345,000
------------
3,064,095
------------
INDUSTRIALS (0.1%)
284 Burlington Northern Santa Fe Corp.#
Call, 01/19/08, Strike 60.00 690,120
------------
INFORMATION TECHNOLOGY (0.4%)
500 Advanced Micro Devices, Inc.#
Call, 01/19/08, Strike 25.00 1,060,000
550 Agilent Technologies, Inc.#
Call, 01/19/08, Strike 35.00 338,250
1,750 Apple Computer, Inc.#
Call, 01/19/08, Strike 75.00 3,640,000
1,225 Electronic Data Systems Corp.#
Call, 01/19/08, Strike 25.00 532,875
40 Google, Inc.#
Call, 01/19/08, Strike 430.00 474,400
820 Hewlett-Packard Company #
Call, 01/19/08, Strike 30.00 537,100
475 Intuit, Inc.#
Call, 01/19/08, Strike 55.00 384,750
300 Marvell Technology Group, Ltd.#
Call, 01/19/08, Strike 65.00 627,000
900 Micron Technology, Inc.#
Call, 01/19/08, Strike 12.50 409,500
800 Motorola, Inc.#
Call, 01/19/08, Strike 22.50 368,000
570 National Semiconductor Corp.#
Call, 01/19/08, Strike 25.00 470,250
425 NVIDIA Corp.#
Call, 01/19/08, Strike 35.00 701,250
740 Paychex, Inc.#
Call, 01/19/08, Strike 40.00 296,000
230 Sandisk Corp.#
Call, 01/19/08, Strike 65.00 531,300
------------
10,370,675
------------
MATERIALS (0.1%)
450 Freeport-McMoRan Copper & Gold, Inc.#
Call, 01/19/08, Strike 55.00 756,000
800 Goldcorp, Inc.#
Call, 01/20/07, Strike 20.00 712,000
849 Harmony Gold Mining Co, Ltd.#
Call, 01/19/08, Strike 15.00 611,280
130 Phelps Dodge Corp.#
Call, 01/19/08, Strike 145.00 585,000
------------
2,664,280
------------
TELECOMMUNICATION SERVICES (0.1%)
500 America Movil S.A. de C.V.#
Call, 01/19/08, Strike 30.00 $ 455,000
730 American Tower Corp.#
Call, 01/19/08, Strike 27.50 562,100
550 Crown Castle International Corp.#
Call, 01/19/08, Strike 25.00 580,250
350 NII Holdings, Inc.#
Call, 01/19/08, Strike 45.00 481,250
------------
2,078,600
------------
TOTAL OPTIONS 48,989,545
------------
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES
(Cost $319,667,749) 326,599,449
------------
NUMBER OF
SHARES VALUE
---------- -----------
CONVERTIBLE PREFERRED STOCKS (20.6%)
CONSUMER DISCRETIONARY (3.6%)
2,652,400 Ford Motor Company Capital Trust II
6.500% 85,274,660
-----------
CONSUMER STAPLES (1.6%)
1,500,000 Albertson's, Inc.
7.250% 36,825,000
-----------
ENERGY (1.9%)
110,000 Amerada Hess Corp.
7.000% 14,338,500
210,700 Chesapeake Energy Corp.*
5.000% 31,789,363
-----------
46,127,863
-----------
FINANCIALS (8.8%)
27,600,000 Fortis, NV (Assurant)*
7.750% 34,258,500
650,000 Genworth Financial, Inc.
6.000% 23,302,500
515,000 Hartford Financial Services Group, Inc.
7.000% 37,873,100
725,000 Lazard, Ltd.
6.625% 23,678,500
1,250,000 Lehman Brothers Holdings, Inc.
6.250% 32,425,000
460,000 Merrill Lynch & Company, Inc.
6.750% 18,975,000
675,000 Metlife, Inc.
6.375% 18,562,500
470,000 National Australia Bank, Ltd.
7.875% 20,064,300
-----------
209,139,400
-----------
HEALTH CARE (2.8%)
635,000 Baxter International, Inc.
7.000% 32,740,600
See accompanying notes to Schedule of Investments
7
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
--------- --------------
639,000 Schering-Plough Corp.
6.000% $ 32,767,920
--------------
65,508,520
--------------
INDUSTRIALS (1.0%)
6,500,000 GBP BAE Systems, PLC
7.750% 23,311,488
--------------
UTILITIES (0.9%)
Southern Union Company
200,000 5.000% 10,110,000
150,000 5.750% 11,298,000
--------------
21,408,000
--------------
TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $479,510,914) 487,594,931
--------------
COMMON STOCKS (59.6%)
CONSUMER DISCRETIONARY (2.1%)
227,706 Federated Department Stores, Inc.@ 15,172,051
577,000 General Motors Corp.@ 13,882,620
490,000 Maytag Corp.@ 8,437,800
300,000 Reader's Digest Association, Inc. 4,767,000
375,000 Tupperware Corporation@ 8,325,000
--------------
50,584,471
--------------
CONSUMER STAPLES (3.9%)
320,000 Altria Group, Inc.@ 23,148,800
700,000 Conagra Foods, Inc.@ 14,511,000
420,000 Reynolds American, Inc.@ 42,474,600
696,200 Sara Lee Corp.@ 12,726,536
--------------
92,860,936
--------------
ENERGY (10.5%)
1,040,000 Chevron Corp. 61,755,200
732,000 ConocoPhillips @ 47,360,400
455,000 Kerr-Mcgee Corp.@ 50,227,450
325,000 Marathon Oil Corp. 24,982,750
360,000 EUR OMV, AG 25,499,609
395,000 PetroChina Company, Ltd.@ 39,507,900
--------------
249,333,309
--------------
FINANCIALS (13.5%)
980,000 Bank of America Corp.@ 43,345,400
1,372,000 Citigroup, Inc. 63,907,760
477,000 Federal National Mortgage Association 27,637,380
568,700 General Growth Properties, Inc.@ 29,344,920
176,000 Jefferson-Pilot Corp. 10,266,080
559,600 Mills Corp.@ 23,195,420
292,446 State Street Corp. 17,681,285
2,428,000 Washington Mutual, Inc. 102,752,960
--------------
318,131,205
--------------
HEALTH CARE (11.3%)
4,146,000 Bristol-Myers Squibb Company @ 94,487,340
1,300,000 Johnson & Johnson 74,802,000
1,755,000 Merck & Company, Inc.@ 60,547,500
1,407,000 Pfizer, Inc. 36,131,760
--------------
265,968,600
--------------
INDUSTRIALS (6.3%)
630,000 Caterpillar, Inc. 42,777,000
819,000 General Electric Company $ 26,822,250
450,000 Masco Corp.@ 13,342,500
350,000 R.R. Donnelley & Sons Company 11,410,000
635,000 Raytheon Company @ 26,015,950
920,000 Waste Management, Inc.@ 29,053,600
--------------
149,421,300
--------------
INFORMATION TECHNOLOGY (3.2%)
1,382,000 Intel Corp. 29,395,140
650,000 Microsoft Corp. 18,297,500
1,500,000 Nokia Corp.@ 27,570,000
--------------
75,262,640
--------------
MATERIALS (1.0%)
400,000 Lubrizol Corp. 18,296,000
270,000 RPM International, Inc. 5,103,000
--------------
23,399,000
--------------
TELECOMMUNICATION SERVICES (7.1%)
3,071,000 AT&T Corp.@ 79,692,450
900,000 CAD BCE Inc. 21,736,535
1,185,000 Bellsouth Corp. 34,092,450
1,039,000 Verizon Communications, Inc.@ 32,894,740
--------------
168,416,175
--------------
UTILITIES (0.7%)
950,000 Teco Energy, Inc. 16,226,000
--------------
TOTAL COMMON STOCKS
(Cost $1,336,101,601) 1,409,603,636
--------------
PRINCIPAL
AMOUNT VALUE
----------- ----------
SHORT-TERM INVESTMENT (1.5%)
$35,958,000 Citigroup, Inc.
4.420%, 02/01/06
(Cost $35,958,000) 35,958,000
----------
NUMBER OF
SHARES VALUE
----------- ----------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (21.5%)
508,407,067 Bank of New York Institutional Cash
Reserve Fund
current rate 4.528% 508,407,067
(Cost $508,407,067)
TOTAL INVESTMENTS (166.7%)
(Cost $3,827,298,341) 3,944,181,011
---------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-21.5%) (508,407,067)
---------------
OTHER ASSETS, LESS LIABILITIES (0.5%) 10,804,293
---------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING
DIVIDENDS PAYABLE (-45.7%) (1,080,901,362)
---------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 2,365,676,875
---------------
NOTES TO SCHEDULE OF INVESTMENTS
See accompanying notes to Schedule of Investments
8
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JANUARY 31, 2006 (UNAUDITED)
Note: Market values for securities denominated in foreign currencies are shown
in U.S. dollars. The principal amount for such securities is shown in the
respective foreign currency. The date shown 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.
* 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 January 31, 2006, the market value
of 144A securities that could not be exchanged to the registered form is
$209,892,768 or 8.9 % of net assets.
@ Security, or portion of security, is on loan.
+ Security is purchased at a price that takes into account the value, if any,
of accrued but unpaid interest.
++ Variable rate security. The interest rate shown is the rate in effect at
January 31, 2006.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying notes to Schedule of Investments
9
NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED)
NOTE 1
PORTFOLIO VALUATION. In computing the Fund's net asset value, portfolio
securities that are traded on a securities exchange in the United States, except
for option securities, are valued at the last reported sale price as of the time
of valuation, or lacking any current reported sale at the time of valuation, at
the mean between the most recent bid and asked quotations. Each option security
traded on a securities exchange in the United States is valued at the last
current reported sale price as of the time of valuation if the last current
reported sale price falls within the consolidated bid/ask quote for the option
security. If the last current reported sale price as of the time of valuation
does not fall within the consolidated bid/ask quote for the option security, the
security is valued at the mid-point of the consolidated bid/ask quote for the
option security. Each security traded in the over-the-counter market and quoted
on the NASDAQ National Market System, is 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 by NASDAQ, or lacking any
current reported sale on NASDAQ at the time of valuation, at the mean between
the most recent bid and asked quotations. Each over-the-counter option that is
not traded through the Options Clearing Corporation is valued by the
counterparty, or if the counterparty's price is not readily available then by
using the Black-Scholes method. Each other security traded over-the-counter is
valued at the mean between the most recent bid and asked quotations. 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 priced at a fair value following procedures and/or guidelines
approved by the Board of Trustees, which may include utilizing a systematic fair
valuation model provided by an independent pricing system. The Fund may also use
fair value pricing if the value of a security it holds is, pursuant to Board of
Trustees' guidelines, 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 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
official closing prices.
Securities that are principally traded in a foreign market are valued at the
last current sale price at the time of valuation or lacking any current or
reported sale, at the time of valuation, at the mean between the most recent bid
and asked quotations 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 priced at a fair value following
procedures approved by the Board of Trustees. In light of the judgment involved
in fair value decisions, there can be no assurance that a fair value assigned to
a particular security is accurate.
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.
FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by
a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
selected by the advisor from rates quoted by any 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 among others, 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 market value should the counterparty not perform under the
contract. Put and call options purchased are accounted for in the same manner as
portfolio securities. The cost of securities acquired through the exercise of
purchased call options is increased by premiums paid. The proceeds from
securities sold through the exercise of purchased put options are decreased by
the premiums paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from written options. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a call option is
exercised, the premium is added to the proceeds from the sale of the underlying
security or currency in determining whether the Fund has realized again or loss.
If a put option is exercised, the premium reduces the cost basis of the
securities purchased by the Fund. 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 following information is presented on an income tax basis as of
January 31, 2006. 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 January 31,
2006 was as follows:
Cost basis of investments $3,838,177,300
--------------
Gross unrealized appreciation 275,138,580
Gross unrealized depreciation (169,134,869)
--------------
Net unrealized appreciation (depreciation) $ 106,003,711
==============
NOTE 3
SYNTHETIC CONVERTIBLE SECURITIES. The Fund may establish a "synthetic"
convertible instrument by combining separate securities that possess the
economic characteristics similar to a convertible security, i.e., fixed-income
securities ("fixed-income component") and the right to acquire equity securities
("convertible component"). The fixed-income component is achieved by investing
in non-convertible, fixed income securities such as bonds, preferred stocks and
money market instruments. The convertible component is achieved by investing in
warrants or options to buy common stock at a certain exercise price, or options
on a stock index. In establishing a synthetic instrument, the Fund may pool a
basket of fixed-income securities and a basket of warrants or options that
produce the economic characteristics similar to a convertible security. Within
each basket of fixed-income securities and warrants or options, different
companies may issue the fixed-income and convertible components, which may be
purchased separately and at different times.
The Fund may purchase synthetic securities created by other parties, typically
investment banks, including convertible structured notes. Convertible structured
notes are fixed-income debentures linked to equity. Convertible structured notes
have the attributes of a convertible security; however, the investment bank that
issued the convertible note assumes the credit risk associated with the
investment, rather than the issuer of the underlying common stock into which the
note is convertible. Purchasing synthetic convertible securities may offer more
flexibility than purchasing a convertible security. Different companies may
issue the fixed-income and convertible components, which may be purchased
separately and at different times.
NOTE 4
PREFERRED SHARES. There are unlimited shares of Auction Rate Cumulative
Preferred Shares ("Preferred Shares") authorized. The Preferred Shares have
rights as determined by the Board of Trustees. The 43,200 Preferred Shares
outstanding consist of seven series, 7,040 shares of M, 7,040 shares of TU,
7,040 shares of W, 7,040 shares of TH,
7,040 shares of F, 4,000 shares of A, and 4,000 shares of B. The Preferred
Shares have a liquidation value of $25,000 per share plus any accumulated but
unpaid dividends, whether or not declared.
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven or twenty-eight days based on the results of an auction. Dividend rates
ranged from 3.70% to 4.61% for the period ended January 31, 2006. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make other
distributions on shares of common stock or purchase any such shares if, at the
time of the declaration, distribution or purchase, asset coverage with respect
to the outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the Fund's option, in whole or in part,
on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or the holders of common shares.
NOTE 5
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 Fund's net asset value. 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. Net unrealized
gains are reported as an asset and net unrealized losses are reported as a
liability on the Statement of Assets and Liabilities. The change in the value of
the swaps, including periodic amounts of interest to be paid or received on
swaps is reported as unrealized gains or losses in the Statement of Operations.
A realized gain or loss is recorded upon payment or termination of swap
agreements. Details of the swap agreements outstanding as January 31, 2006 were
as follows:
Unrealized
Termination Notional Fixed Rate Floating Rate Appreciation
Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation)
------------ ------------ ------------ ----------- --------------- --------------
Citibank NA June 4, 2006 $150,000 3.04% 1month LIBOR $ 998,342
Citibank NA June 4, 2007 150,000 3.61% 1month LIBOR 2,472,081
Citibank NA June 4, 2009 200,000 4.34% 1month LIBOR 2,963,138
----------
$6,433,561
==========
NOTE 6
SECURITIES LENDING. During the period ended January 31, 2006, the Fund lent
certain of its securities to broker-dealers and banks. Any such loan must be
continuously secured by collateral in cash or cash equivalents maintained on a
current basis in an amount at least equal to the market value of the securities
loaned by the Fund. The Fund continues to receive the equivalent of the interest
or dividends paid by the issuer on the securities loaned and also receives an
additional return that may be in the form of a fixed fee or a percentage of the
collateral. The Fund may pay reasonable fees to persons unaffiliated with the
Fund for services in arranging these loans. The Fund has the right to call the
loan and obtain the securities loaned at any time on notice of not more than
five business days. The Fund does not have the right to vote the securities
during the existence of the loan but could call the loan in an attempt to permit
voting of the securities in certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
In the event of bankruptcy or other default of the borrower, the Fund could
experience both delays in liquidating the loan collateral or recovering the
loaned securities and losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the period while the
Fund seeks to enforce its rights thereto, (b) possible subnormal levels of
income and lack of access to income during this period, and (c) the expenses of
enforcing its rights. In an effort to reduce these risks, Calamos Advisors LLC
and the security lending agent will monitor the creditworthiness of the firms to
which the Fund lends securities. At January 31, 2006, the Fund had securities
valued at $494,352,997 that were on loan to broker-dealers and banks and
$508,407,067 in cash or cash equivalent collateral.
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 30, 2006
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 30, 2006
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 30, 2006
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: March 30, 2006