Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS MARCH 31, 2021 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
|
| |||||||
CORPORATE BOND (0.2%) | ||||||||
Consumer Discretionary (0.2%) |
| |||||||
53,000 | Dana, Inc. 5.500%, 12/15/24 (Cost $52,836) | $ | 54,149 | |||||
|
|
| ||||||
CONVERTIBLE BONDS (22.5%) | ||||||||
Communication Services (2.3%) |
| |||||||
43,000 | Eventbrite, Inc.* | 45,008 | ||||||
Liberty Media Corp. | ||||||||
90,000 | 1.375%, 10/15/23 | 116,342 | ||||||
31,000 | 0.500%, 12/01/50* | 35,967 | ||||||
105,000 | Liberty Media Corp. / Liberty Formula One | 133,646 | ||||||
27,000 | Live Nation Entertainment, Inc. | 37,697 | ||||||
22,000 | Sea, Ltd.* | 56,127 | ||||||
26,000 | Snap, Inc. | 61,363 | ||||||
Twitter, Inc. | ||||||||
116,000 | 0.000%, 03/15/26* | 110,309 | ||||||
47,000 | 0.250%, 06/15/24 | 62,664 | ||||||
65,000 | Zynga, Inc. 0.250%, 06/01/24 | 89,025 | ||||||
|
|
| ||||||
748,148 | ||||||||
Consumer Discretionary (6.5%) |
| |||||||
38,000 | Bloomin’ Brands, Inc.* | 91,712 | ||||||
194,000 | Booking Holdings, Inc.*^ | 286,445 | ||||||
100,000 | Burlington Stores, Inc.* | 151,291 | ||||||
85,000 | Chegg, Inc.* | 91,379 | ||||||
25,000 | Dick’s Sporting Goods, Inc.* | 57,219 | ||||||
85,000 | DraftKings, Inc.* | 84,236 | ||||||
95,000 | Etsy, Inc.* | 125,002 | ||||||
64,000 | Expedia Group, Inc.* | 70,038 | ||||||
85,000 | Ford Motor Company* | 86,078 | ||||||
15,000 | Guess, Inc. | 17,292 | ||||||
43,000 | Magnite, Inc.* | 41,621 | ||||||
38,000 | MakeMyTrip, Ltd.* | 41,467 | ||||||
95,000 | Marriott Vacations Worldwide Corp.* | 113,331 | ||||||
NCL Corp., Ltd.* |
| |||||||
44,000 | 5.375%, 08/01/25 | 76,102 | ||||||
25,000 | 6.000%, 05/15/24 | 55,554 | ||||||
175,000 | Royal Caribbean Cruises, Ltd.* | 247,156 |
PRINCIPAL AMOUNT | VALUE | |||||||
|
| |||||||
85,000 | Shake Shack, Inc.* | $ | 84,884 | |||||
7,000 | Tesla, Inc. | 75,334 | ||||||
50,000 | Under Armour, Inc.* | 98,326 | ||||||
95,000 | Vail Resorts, Inc.* | 97,513 | ||||||
48,000 | Wayfair, Inc.* | 51,311 | ||||||
80,000 | Winnebago Industries, Inc. | 111,083 | ||||||
|
|
| ||||||
2,154,374 | ||||||||
|
|
| ||||||
Consumer Staples (0.2%) | ||||||||
85,000 | Beyond Meat, Inc.* | 81,575 | ||||||
|
|
| ||||||
Energy (0.9%) | ||||||||
55,000 | EQT Corp.*^ | 80,829 | ||||||
130,000 | Pioneer Natural Resources Company* | 203,567 | ||||||
|
|
| ||||||
284,396 | ||||||||
|
|
| ||||||
Financials (0.2%) | ||||||||
50,000 | Ares Capital Corp. | 54,526 | ||||||
|
|
| ||||||
Health Care (3.4%) | ||||||||
32,000 | CONMED Corp. | 50,148 | ||||||
80,000 | DexCom, Inc.* | 79,003 | ||||||
52,000 | Envista Holdings Corp.*^ | 106,581 | ||||||
65,000 | Exact Sciences Corp. | 88,862 | ||||||
37,000 | Guardant Health, Inc.* | 47,463 | ||||||
85,000 | Haemonetics Corp.* | 80,884 | ||||||
44,000 | Halozyme Therapeutics, Inc.* | 40,158 | ||||||
65,000 | Insulet Corp. | 86,031 | ||||||
46,000 | Integra LifeSciences Holdings Corp. | 51,351 | ||||||
55,000 | Jazz Investments I, Ltd.* | 70,914 | ||||||
80,000 | NeoGenomics, Inc. | 80,895 | ||||||
50,000 | Oak Street Health, Inc.* | 50,109 | ||||||
70,000 | Omnicell, Inc.* | 99,439 | ||||||
95,000 | Pacira BioSciences, Inc.*^ | 114,306 | ||||||
36,000 | Repligen Corp. | 63,481 | ||||||
|
|
| ||||||
1,109,625 | ||||||||
|
|
|
See accompanying Notes to Schedule of Investments |
1 |
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS MARCH 31, 2021 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
|
| |||||||
Industrials (3.9%) | ||||||||
85,000 | Air Canada* | $ | 133,125 | |||||
55,000 | Air Transport Services Group, Inc. | 61,705 | ||||||
17,000 | Chart Industries, Inc.* | 42,416 | ||||||
100,000 | JetBlue Airways Corp.* | 110,128 | ||||||
115,000 | Middleby Corp.* | 162,017 | ||||||
45,000 | Parsons Corp.*^ | 49,444 | ||||||
275,000 | Southwest Airlines Company | 472,565 | ||||||
80,000 | Sunrun, Inc.* | 71,918 | ||||||
185,000 | Uber Technologies, Inc.* | 194,376 | ||||||
|
|
| ||||||
1,297,694 | ||||||||
|
|
| ||||||
Information Technology (4.3%) |
| |||||||
50,000 | Bentley Systems, Inc.* | 51,637 | ||||||
41,000 | Bill.com Holdings, Inc.* | 48,773 | ||||||
75,000 | Coupa Software, Inc.* | 84,709 | ||||||
55,000 | Datadog, Inc.* | 64,627 | ||||||
Enphase Energy, Inc.* | ||||||||
65,000 | 0.000%, 03/01/28 | 60,313 | ||||||
29,000 | 0.000%, 03/01/26 | 27,007 | ||||||
25,000 | Five9, Inc.* | 33,459 | ||||||
65,000 | Itron, Inc.* | 64,883 | ||||||
80,000 | LivePerson, Inc.* | 80,930 | ||||||
150,000 | Microchip Technology, Inc. | 176,500 | ||||||
30,000 | Nova Measuring Instruments, Ltd.* | 39,857 | ||||||
65,000 | Okta, Inc. | 87,749 | ||||||
30,000 | ON Semiconductor Corp. | 62,182 | ||||||
100,000 | Repay Holdings Corp.* | 98,225 | ||||||
90,000 | RingCentral, Inc. | 98,527 | ||||||
64,000 | Shift4 Payments, Inc.* | 80,408 | ||||||
19,000 | Shopify, Inc.^ | 21,597 | ||||||
47,000 | Silicon Laboratories, Inc.* | 61,801 | ||||||
31,000 | Square, Inc.* | 34,805 | ||||||
30,000 | Wix.com, Ltd.* | 31,589 | ||||||
30,000 | Workday, Inc. | 51,785 |
PRINCIPAL AMOUNT | VALUE | |||||||
|
| |||||||
40,000 | Zscaler, Inc.* | $ | 53,343 | |||||
|
|
| ||||||
1,414,706 | ||||||||
|
|
| ||||||
Materials (0.1%) | ||||||||
33,000 | MP Materials Corp.* | 34,047 | ||||||
|
|
| ||||||
Real Estate (0.7%) | ||||||||
70,000 | IH Merger Sub, LLC | 99,353 | ||||||
45,000 | Pebblebrook Hotel Trust | 52,981 | ||||||
75,000 | Redfin Corp.* | 87,636 | ||||||
|
|
| ||||||
239,970 | ||||||||
|
|
| ||||||
TOTAL CONVERTIBLE BONDS | 7,419,061 | |||||||
|
|
| ||||||
NUMBER OF SHARES | VALUE | |||||||
|
| |||||||
CONVERTIBLE PREFERRED STOCKS (9.4%) | ||||||||
Communication Services (0.7%) |
| |||||||
205 | 2020 Cash Mandatory Exchangeable Trust* | 230,343 | ||||||
|
|
| ||||||
Consumer Discretionary (0.8%) |
| |||||||
1,695 | Aptiv, PLC | 267,624 | ||||||
|
|
| ||||||
Financials (0.8%) | ||||||||
1,180 | AMG Capital Trust II^ | 66,663 | ||||||
2,895 | KKR & Company, Inc.^ | 192,952 | ||||||
|
|
| ||||||
259,615 | ||||||||
|
|
| ||||||
Health Care (1.4%) |
| |||||||
1,095 | Avantor, Inc. | 98,846 | ||||||
1,300 | Boston Scientific Corp. | 139,438 | ||||||
Danaher Corp. | ||||||||
130 | 4.750%, 04/15/22 | 198,914 | ||||||
22 | 5.000%, 04/15/23^ | 28,494 | ||||||
|
|
| ||||||
465,692 | ||||||||
|
|
| ||||||
Industrials (1.9%) | ||||||||
800 | Colfax Corp. | 144,128 | ||||||
205 | Fortive Corp. | 204,090 | ||||||
2,430 | Stanley Black & Decker, Inc.^ | 286,691 | ||||||
|
|
| ||||||
634,909 | ||||||||
|
|
| ||||||
Information Technology (0.8%) | ||||||||
170 | Broadcom, Inc.^ | 250,663 | ||||||
|
|
|
See accompanying Notes to Schedule of Investments |
2 |
Growth and Income Portfolio
SCHEDULE OF INVESTMENTS MARCH 31, 2021 (UNAUDITED) |
NUMBER OF SHARES | VALUE | |||||||
|
| |||||||
Utilities (3.0%) | ||||||||
995 | AES Corp. | $ | 102,783 | |||||
875 | CenterPoint Energy, Inc. (Warner Media, LLC, Charter Communications Time, Inc.)§** | 53,144 | ||||||
1,890 | Dominion Energy, Inc. | 186,808 | ||||||
3,750 | DTE Energy Company | 186,337 | ||||||
1,945 | Essential Utilities, Inc. | 111,235 | ||||||
NextEra Energy, Inc. | ||||||||
4,935 | 4.872%, 09/01/22 | 283,318 | ||||||
1,210 | 6.219%, 09/01/23 | 60,016 | ||||||
|
|
| ||||||
983,641 | ||||||||
|
|
| ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | 3,092,487 | |||||||
|
|
| ||||||
COMMON STOCKS (67.1%) | ||||||||
Communication Services (7.3%) |
| |||||||
515 | Alphabet, Inc. - Class A# | 1,062,198 | ||||||
4,275 | Comcast Corp. - Class A | 231,320 | ||||||
2,015 | Facebook, Inc. - Class A# | 593,478 | ||||||
375 | Netflix, Inc.# | 195,623 | ||||||
1,710 | Walt Disney Company#~ | 315,529 | ||||||
|
|
| ||||||
2,398,148 | ||||||||
|
|
| ||||||
Consumer Discretionary (8.0%) |
| |||||||
370 | Amazon.com, Inc.#~ | 1,144,809 | ||||||
2,245 | General Motors Company | 128,998 | ||||||
1,135 | Home Depot, Inc. | 346,459 | ||||||
785 | Lowe’s Companies, Inc. | 149,291 | ||||||
650 | McDonald’s Corp. | 145,691 | ||||||
2,805 | MGM Resorts International | 106,562 | ||||||
1,340 | NIKE, Inc. - Class B | 178,073 | ||||||
895 | Starbucks Corp. | 97,797 | ||||||
650 | Target Corp. | 128,745 | ||||||
190 | Tesla, Inc.# | 126,907 | ||||||
1,310 | TJX Companies, Inc. | 86,656 | ||||||
|
|
| ||||||
2,639,988 | ||||||||
|
|
| ||||||
Consumer Staples (4.7%) | ||||||||
4,990 | Coca-Cola Company | 263,023 | ||||||
390 | Costco Wholesale Corp. | 137,467 | ||||||
2,930 | Mondelez International, Inc. - Class A | 171,493 | ||||||
1,345 | PepsiCo, Inc. | 190,250 | ||||||
1,740 | Philip Morris International, Inc. | 154,408 | ||||||
2,065 | Procter & Gamble Company | 279,663 | ||||||
1,500 | Sysco Corp. | 118,110 | ||||||
1,570 | Walmart, Inc. | 213,253 | ||||||
|
|
| ||||||
1,527,667 | ||||||||
|
|
| ||||||
Energy (2.2%) | ||||||||
2,925 | Chevron Corp. | 306,511 | ||||||
3,480 | Exxon Mobil Corp. | 194,288 | ||||||
1,920 | Hess Corp. | 135,859 | ||||||
1,505 | Marathon Petroleum Corp. | 80,503 | ||||||
|
|
| ||||||
717,161 | ||||||||
|
|
|
NUMBER OF SHARES | VALUE | |||||||
|
| |||||||
Financials (8.9%) | ||||||||
1,350 | American International Group, Inc. | $ | 62,384 | |||||
583 | Assurant, Inc. | 82,652 | ||||||
9,845 | Bank of America Corp. | 380,903 | ||||||
125 | BlackRock, Inc. | 94,245 | ||||||
2,795 | Charles Schwab Corp. | 182,178 | ||||||
875 | Chubb, Ltd. | 138,224 | ||||||
3,415 | Citigroup, Inc. | 248,441 | ||||||
1,140 | Discover Financial Services | 108,289 | ||||||
585 | Goldman Sachs Group, Inc. | 191,295 | ||||||
1,515 | Intercontinental Exchange, Inc. | 169,195 | ||||||
3,145 | JPMorgan Chase & Company | 478,763 | ||||||
3,935 | KeyCorp | 78,621 | ||||||
1,555 | Marsh & McLennan Companies, Inc. | 189,399 | ||||||
3,875 | Morgan Stanley | 300,932 | ||||||
510 | Northern Trust Corp. | 53,606 | ||||||
1,760 | US Bancorp | 97,346 | ||||||
2,185 | Wells Fargo & Company | 85,368 | ||||||
|
|
| ||||||
2,941,841 | ||||||||
|
|
| ||||||
Health Care (7.6%) | ||||||||
815 | Abbott Laboratories | 97,670 | ||||||
645 | Agilent Technologies, Inc. | 82,005 | ||||||
215 | Anthem, Inc. | 77,174 | ||||||
2,010 | Baxter International, Inc. | 169,523 | ||||||
1,745 | Bristol-Myers Squibb Company | 110,162 | ||||||
945 | Edwards Lifesciences Corp.# | 79,040 | ||||||
345 | Eli Lilly & Company | 64,453 | ||||||
350 | Humana, Inc. | 146,738 | ||||||
85 | Intuitive Surgical, Inc.# | 62,810 | ||||||
1,705 | Johnson & Johnson | 280,217 | ||||||
2,060 | Medtronic, PLC | 243,348 | ||||||
2,915 | Merck & Company, Inc. | 224,717 | ||||||
3,310 | Pfizer, Inc. | 119,921 | ||||||
230 | Stryker Corp. | 56,023 | ||||||
360 | Thermo Fisher Scientific, Inc. | 164,297 | ||||||
1,245 | UnitedHealth Group, Inc. | 463,227 | ||||||
305 | Vertex Pharmaceuticals, Inc.# | 65,541 | ||||||
|
|
| ||||||
2,506,866 | ||||||||
|
|
| ||||||
Industrials (5.9%) | ||||||||
6,390 | Carrier Global Corp. | 269,786 | ||||||
3,390 | CSX Corp. | 326,864 | ||||||
175 | FedEx Corp. | 49,707 | ||||||
1,610 | Honeywell International, Inc. | 349,483 | ||||||
1,180 | J.B. Hunt Transport Services, Inc. | 198,323 | ||||||
790 | Northrop Grumman Corp. | 255,675 | ||||||
4,860 | Raytheon Technologies Corp. | 375,532 | ||||||
580 | Union Pacific Corp. | 127,838 | ||||||
|
|
| ||||||
1,953,208 | ||||||||
|
|
| ||||||
Information Technology (19.2%) | ||||||||
765 | Accenture, PLC - Class A | 211,331 | ||||||
430 | Adobe, Inc.#~ | 204,409 | ||||||
505 | Advanced Micro Devices, Inc.# | 39,643 | ||||||
13,055 | Apple, Inc. | 1,594,668 | ||||||
2,510 | Cisco Systems, Inc. | 129,792 | ||||||
1,375 | Fidelity National Information | |||||||
Services, Inc. | 193,339 | |||||||
495 | Global Payments, Inc. | 99,782 | ||||||
580 | Lam Research Corp. | 345,239 | ||||||
1,335 | Marvell Technology Group, Ltd. | 65,388 | ||||||
845 | MasterCard, Inc. - Class A | 300,862 | ||||||
1,925 | Micron Technology, Inc.# | 169,804 |
See accompanying Notes to Schedule of Investments |
3 |
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS MARCH 31, 2021 (UNAUDITED) |
NUMBER OF SHARES | VALUE | |||||||
|
| |||||||
6,460 | Microsoft Corp.~ | $ | 1,523,074 | |||||
665 | NVIDIA Corp. | 355,063 | ||||||
315 | PayPal Holdings, Inc.# | 76,495 | ||||||
565 | QUALCOMM, Inc. | 74,913 | ||||||
830 | Salesforce.com, Inc.# | 175,852 | ||||||
250 | ServiceNow, Inc.#~ | 125,028 | ||||||
370 | Skyworks Solutions, Inc. | 67,888 | ||||||
995 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | 117,689 | ||||||
2,130 | Visa, Inc. - Class A | 450,985 | ||||||
|
|
| ||||||
6,321,244 | ||||||||
|
|
| ||||||
Materials (2.3%) | ||||||||
580 | Celanese Corp. - Class A | 86,890 | ||||||
5,565 | Freeport-McMoRan, Inc.# | 183,255 | ||||||
985 | Linde, PLC | 275,938 | ||||||
1,110 | PPG Industries, Inc. | 166,789 | ||||||
240 | Vulcan Materials Company | 40,500 | ||||||
|
|
| ||||||
753,372 | ||||||||
|
|
| ||||||
Real Estate (1.0%) | ||||||||
810 | American Tower Corp. | 193,639 | ||||||
835 | Crown Castle International Corp. | 143,728 | ||||||
|
|
| ||||||
337,367 | ||||||||
|
|
| ||||||
TOTAL COMMON STOCKS (Cost $12,371,630) | 22,096,862 | |||||||
|
|
| ||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |||||||
PURCHASED OPTIONS (0.4%) # | ||||||||
Information Technology (0.0%) |
| |||||||
22 | Intel Corp. | |||||||
140,800 | Call, 06/18/21, Strike $70.00 | 3,366 | ||||||
10 88,210 | Micron Technology, Inc. | 6,200 | ||||||
20140,340 | Oracle Corp. | |||||||
Call, 06/18/21, Strike $80.00 | 1,040 | |||||||
|
|
| ||||||
10,606 | ||||||||
|
|
| ||||||
Other (0.4%) | ||||||||
65 | iShares China Large-Cap ETF | |||||||
303,290 | Call, 06/18/21, Strike $56.00 iShares MSCI EAFE ETF | 618 | ||||||
| 235 1,782,945 |
| Call, 06/18/21, Strike $75.00 |
| 64,390 |
| ||
| 200 1,517,400 |
| Call, 06/18/21, Strike $78.00 | 11,200 | ||||
| 105 560,070 |
| iShares MSCI Emerging Markets Call, 06/18/21, Strike $59.00 | 2,520 | ||||
| 60 320,040 |
| Call, 06/18/21, Strike $57.00 | 3,510 | ||||
| 35 239,820 |
| iShares MSCI Japan ETF | 4,690 | ||||
| 38 839,572 |
| iShares Russell 2000 ETF | 21,964 |
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |||||||
|
| |||||||
1 | S&P 500 Index | |||||||
397,289 | Put, 05/21/21, Strike $3,750.00 | $ | 4,070 | |||||
|
|
| ||||||
112,962 | ||||||||
|
|
| ||||||
TOTAL PURCHASED OPTIONS | 123,568 | |||||||
|
|
| ||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED | | ||||||
966,239 | State Street Navigator Securities Lending Government Money Market Portfolio† | 966,239 | ||||||
|
|
| ||||||
| TOTAL INVESTMENTS (102.5%) | 33,752,366 | ||||||
|
|
| ||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-2.9%) | (966,239 | ) | |||||
OTHER ASSETS, LESS LIABILITIES (0.4%) | 155,823 | |||||||
|
|
| ||||||
NET ASSETS (100.0%) | $ | 32,941,950 | ||||||
|
|
|
FORWARD FOREIGN CURRENCY CONTRACTS
COUNTERPARTY | LONG CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/LOSS | |||||||||||
State Street Bank and Trust | Canadian Dollar | 04/22/21 | 50,000 | $ | 39,789 | $ | 187 | |||||||||
State Street Bank and Trust | Canadian Dollar | 04/22/21 | 20,000 | 15,915 | 293 | |||||||||||
State Street Bank and Trust | New Taiwanese Dollar | 04/22/21 | 316,000 | 11,076 | (350 | ) | ||||||||||
State Street Bank and Trust | New Taiwanese Dollar | 04/22/21 | 177,000 | 6,204 | (107 | ) | ||||||||||
|
| |||||||||||||||
$ | 23 | |||||||||||||||
|
| |||||||||||||||
COUNTERPARTY | SHORT CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/LOSS | |||||||||||
State Street Bank and Trust | New Taiwanese Dollar | 04/22/21 | 193,000 | $ | 6,765 | $ | 178 | |||||||||
State Street Bank and Trust | Canadian Dollar | 04/22/21 | 10,000 | 7,958 | (94 | ) | ||||||||||
State Street Bank and Trust | Canadian Dollar | 04/22/21 | 12,000 | 9,549 | (162 | ) | ||||||||||
State Street Bank and Trust | New Taiwanese Dollar | 04/22/21 | 288,000 | 10,095 | 309 | |||||||||||
State Street Bank and Trust | Canadian Dollar | 04/22/21 | 13,000 | 10,345 | (3 | ) | ||||||||||
State Street Bank and Trust | Canadian Dollar | 04/22/21 | 16,000 | 12,732 | 51 |
See accompanying Notes to Schedule of Investments |
4 |
Growth and Income Portfolio
SCHEDULE OF INVESTMENTS MARCH 31, 2021 (UNAUDITED) |
COUNTERPARTY | SHORT CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/LOSS | |||||||||||||||
State Street Bank and Trust | | New Taiwanese Dollar | | 04/22/21 | 3,062,000 | $ | 107,326 | $ | 3,645 | |||||||||||
Northern Trust Company | | Canadian Dollar | | 04/22/21 | 168,000 | 133,690 | (1,369 | ) | ||||||||||||
|
|
| ||||||||||||||||||
$ | 2,555 | |||||||||||||||||||
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
* | 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. | |
§ | Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical. | |
** | Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at March 31, 2021. | |
# | Non-income producing security. | |
~ | Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options. The aggregate value of such securities is $302,593. | |
† | Represents investment of cash collateral received from securities on loan as of March 31, 2021. | |
Note: 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 |
5 |
Note 1 – Organization and Significant Accounting Policies
Organization. CALAMOS ADVISORS TRUST (the “Trust”), a Massachusetts business trust organized February 17, 1999, consists of a single series, Calamos Growth and Income Portfolio (the “Portfolio”), which commenced operations on May 19, 1999.
The Trust currently offers the Portfolio’s shares to certain life insurance companies for allocation to certain separate accounts established for the purpose of funding qualified and non-qualified variable annuity contracts and variable life insurance contracts. The Portfolio seeks high long-term total return through growth and current income.
The Portfolio invests primarily in a diversified portfolio of convertible instruments (including synthetic convertible instruments), equity and fixed-income securities of U.S. companies without regard to market capitalization. In pursuing its investment objective, the Portfolio attempts to utilize these different types of securities to strike, in the investment adviser’s opinion, the appropriate balance between risk and return in terms of growth and income.
Significant Accounting Policies. The Schedules of Investments have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Portfolio:
In March 2017, the Financial Accounting Standards Board (“FASB”) issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The Portfolio adopted ASU2017-08 as of January 1, 2020, with no material impact on the Portfolio’s financial statements.
In October 2020, FASB issued ASU No. 2020-08, Codification Improvements to Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs (“ASU 2020-08”). ASU 2020-08 was issued to clarify how to amortize premiums for debt securities where there are bonds with multiple call dates. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. Management has evaluated the impact of this guidance within the Portfolio’s financial statements and has determined the adoption of ASU 2020-08 will have no impact on the Fund’s financial statements.
Portfolio Valuation. The valuation of the Portfolio’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Portfolio 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 the Portfolio 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 Portfolio 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 Portfolio 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 Portfolio’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 Portfolio 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 Portfolio’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 Portfolio 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 Portfolio may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Portfolio pays a premium whether or not the option is exercised. Additionally, the Portfolio bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Portfolio as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
Forward Foreign Currency Contracts. The Portfolio may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to the Portfolio on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates.
As of March 31, 2021, the Portfolio had outstanding forward foreign currency contracts as listed on the Schedule of Investments.
Note 2 – Investments
The cost basis of investments for federal income tax purposes at March 31, 2021 was as follows*:
Cost basis of investments | $22,347,939 | |||
|
|
| ||
Gross unrealized appreciation | 11,762,912 | |||
Gross unrealized depreciation | (358,485) | |||
|
|
| ||
Net unrealized appreciation (depreciation) | $11,404,427 | |||
|
|
|
* 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 Portfolio’s most recent semi-annual or annual report.