Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
|
CORPORATE BONDS (16.3%) |
| ||||||
Airlines (0.3%) | ||||||||
199,333 | Air Canada Pass Through Trust Series 2015-2, Class B* 5.000%, 06/15/25 | $ | 197,864 | |||||
1,125,641 | Alaska Airlines Pass Through Trust Series 2020-1, Class A* 4.800%, 02/15/29 | 1,089,958 | ||||||
606,886 | Alaska Airlines Pass Through Trust Series 2020-1, Class B* 8.000%, 02/15/27 | 612,421 | ||||||
1,299,480 | American Airlines Pass Through Trust Series 2021-1, Class B 3.950%, 01/11/32 | 1,146,622 | ||||||
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd.* | ||||||||
810,333 | 5.500%, 04/20/26 | 799,062 | ||||||
295,000 | 5.750%, 04/20/29 | 286,182 | ||||||
1,238,044 | British Airways Pass Through Trust Series 2021-1, Class B* 3.900%, 03/15/33 | 1,111,132 | ||||||
1,281,692 | JetBlue Pass Through Trust Series 2020-1, Class B 7.750%, 05/15/30 | 1,292,202 | ||||||
1,570,000 | Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.* 8.000%, 09/20/25 | 1,589,010 | ||||||
8,124,453 | ||||||||
Communication Services (1.7%) |
| |||||||
700,000 | Altice France Holding, SA* 10.500%, 05/15/27 | 297,311 | ||||||
1,400,000 | Altice France, SA* 5.500%, 10/15/29 | 995,568 | ||||||
1,415,000 | APi Group DE, Inc.* 4.750%, 10/15/29 | 1,261,076 | ||||||
1,124,000 | Arrow Bidco, LLC* 9.500%, 03/15/24 | 1,127,069 | ||||||
1,270,000 | Ashtead Capital, Inc.* 2.450%, 08/12/31 | 1,006,297 | ||||||
Audacy Capital Corp.* | ||||||||
1,479,000 | 6.750%, 03/31/29 | 32,316 | ||||||
538,000 | 6.500%, 05/01/27 | 12,939 | ||||||
890,000 | Cincinnati Bell Telephone Company, LLC 6.300%, 12/01/28 | 731,162 | ||||||
1,815,000 | Consolidated Communications, Inc.* 6.500%, 10/01/28 | 1,418,731 | ||||||
CSC Holdings, LLC* | ||||||||
1,940,000 | 5.500%, 04/15/27 | 1,665,956 | ||||||
1,800,000 | 5.375%, 02/01/28 | 1,504,566 | ||||||
1,800,000 | 4.625%, 12/01/30 | 909,936 | ||||||
1,395,000 | 4.500%, 11/15/31 | 1,002,252 | ||||||
1,250,000 | 5.750%, 01/15/30 | 648,887 | ||||||
Diamond Sports Group, LLC / Diamond | ||||||||
825,000 | 6.625%, 08/15/27 | 24,379 | ||||||
656,000 | 5.375%, 08/15/26 | 20,913 | ||||||
1,633,000 | Directv Financing, LLC / Directv 5.875%, 08/15/27 | 1,475,562 |
PRINCIPAL AMOUNT | VALUE | |||||||
810,000 | Embarq Corp. 7.995%, 06/01/36 | $ | 460,493 | |||||
1,210,000 | Frontier California, Inc. 6.750%, 05/15/27 | 1,117,992 | ||||||
Frontier Communications Holdings, LLC* | ||||||||
749,000 | 5.000%, 05/01/28 | 635,429 | ||||||
298,000 | 8.750%, 05/15/30 | 287,475 | ||||||
1,333,000 | Frontier Florida, LLC@ 6.860%, 02/01/28 | 1,251,047 | ||||||
1,785,000 | Frontier North, Inc.@ 6.730%, 02/15/28 | 1,613,729 | ||||||
Go Daddy Operating Company, LLC / GD Finance Company, Inc.* | ||||||||
1,030,000 | 3.500%, 03/01/29 | 887,788 | ||||||
301,000 | 5.250%, 12/01/27 | 289,571 | ||||||
iHeartCommunications, Inc. | ||||||||
450,000 | 8.375%, 05/01/27 | 308,250 | ||||||
450,000 | 5.250%, 08/15/27* | 355,063 | ||||||
Intelsat Jackson Holdings, SA@& | ||||||||
900,000 | 0.000%, 07/15/25* | 1 | ||||||
585,000 | 0.000%, 08/01/23 | 1 | ||||||
1,480,000 | LCPR Senior Secured Financing DAC* 6.750%, 10/15/27 | 1,390,593 | ||||||
875,638 | Ligado Networks, LLC* 15.500%, 11/01/23 PIK rate | 304,258 | ||||||
Lumen Technologies, Inc. | ||||||||
900,000 | 7.600%, 09/15/39 | 330,831 | ||||||
600,000 | 4.000%, 02/15/27* | 394,800 | ||||||
596,000 | Match Group Holdings II, LLC*^ 3.625%, 10/01/31 | 491,801 | ||||||
1,102,000 | Paramount Global‡ 6.375%, 03/30/62 5 year CMT + 4.00% | 910,362 | ||||||
419,000 | Qwest Corp. 7.250%, 09/15/25 | 409,221 | ||||||
235,000 | Rogers Communications, Inc.*‡ 5.250%, 03/15/82 5 year CMT + 3.59% | 217,041 | ||||||
Scripps Escrow II, Inc.* | ||||||||
591,000 | 3.875%, 01/15/29 | 491,747 | ||||||
295,000 | 5.375%, 01/15/31 | 224,808 | ||||||
985,000 | Scripps Escrow, Inc.* 5.875%, 07/15/27 | 824,258 | ||||||
Sirius XM Radio, Inc.* | ||||||||
1,500,000 | 5.500%, 07/01/29 | 1,372,500 | ||||||
1,185,000 | 4.000%, 07/15/28 | 1,032,325 | ||||||
585,000 | 3.125%, 09/01/26 | 527,711 | ||||||
298,000 | 3.875%, 09/01/31 | 233,608 | ||||||
1,084,000 | Spanish Broadcasting System, Inc.* 9.750%, 03/01/26 | 751,678 | ||||||
3,045,000 | Sprint, LLC 7.125%, 06/15/24 | 3,074,323 | ||||||
1,045,000 | Stagwell Global, LLC* 5.625%, 08/15/29 | 890,476 | ||||||
1,350,000 | TEGNA, Inc. 4.625%, 03/15/28 | 1,217,106 | ||||||
880,000 | Telecom Italia Capital, SA 6.000%, 09/30/34 | 712,545 | ||||||
1,196,000 | Telesat Canada / Telesat, LLC* 4.875%, 06/01/27 | 718,270 |
See accompanying Notes to Schedule of Investments | ||
1 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
480,000 | Time Warner Cable, LLC 7.300%, 07/01/38 | $ | 489,994 | |||||
1,955,000 | United States Cellular Corp.^ 6.700%, 12/15/33 | 1,692,287 | ||||||
450,000 | Univision Communications, Inc.* 8.000%, 08/15/28 | 453,834 | ||||||
125,000 | Vodafone Group, PLC‡ 7.000%, 04/04/79 U.S. 5 yr Swap + 4.87% | 128,180 | ||||||
40,626,316 | ||||||||
Consumer Discretionary (3.3%) | ||||||||
1,435,000 | Abercrombie & Fitch Management Company*^ 8.750%, 07/15/25 | 1,458,161 | ||||||
1,505,000 | Adient Global Holdings Company* 8.250%, 04/15/31 | 1,547,637 | ||||||
943,000 | American Axle & Manufacturing, Inc. 6.875%, 07/01/28 | 898,358 | ||||||
Ashton Woods USA, LLC / Ashton Woods Finance Company* | ||||||||
1,043,000 | 4.625%, 08/01/29 | 904,302 | ||||||
856,000 | 6.625%, 01/15/28 | 825,946 | ||||||
1,487,000 | At Home Group, Inc.* 4.875%, 07/15/28 | 864,750 | ||||||
Bath & Body Works, Inc. | ||||||||
1,577,000 | 6.694%, 01/15/27 | 1,584,648 | ||||||
1,475,000 | 6.875%, 11/01/35 | 1,369,877 | ||||||
800,000 | Benteler International AG* 10.500%, 05/15/28 | 818,408 | ||||||
Caesars Entertainment Corp.*^ | ||||||||
728,000 | 4.625%, 10/15/29 | 641,514 | ||||||
605,000 | 8.125%, 07/01/27 | 621,837 | ||||||
Carnival Corp.* | ||||||||
601,000 | 4.000%, 08/01/28 | 534,914 | ||||||
596,000 | 7.625%, 03/01/26 | 588,753 | ||||||
582,000 | 10.500%, 02/01/26 | 613,678 | ||||||
1,385,000 | Carriage Services, Inc.* 4.250%, 05/15/29 | 1,202,097 | ||||||
900,000 | Carvana Company* 4.875%, 09/01/29 | 559,013 | ||||||
CCO Holdings, LLC / CCO Holdings Capital Corp.* | ||||||||
3,900,000 | 5.125%, 05/01/27 | 3,662,607 | ||||||
1,370,000 | 6.375%, 09/01/29 | 1,310,967 | ||||||
1,300,000 | 4.750%, 03/01/30 | 1,127,191 | ||||||
1,198,000 | 4.250%, 02/01/31 | 984,924 | ||||||
620,000 | 5.000%, 02/01/28 | 573,847 | ||||||
600,000 | 4.500%, 08/15/30 | 508,152 | ||||||
596,000 | 4.750%, 02/01/32 | 494,179 | ||||||
596,000 | CDI Escrow Issuer, Inc.* 5.750%, 04/01/30 | 554,316 | ||||||
900,000 | Cedar Fair, LP^ 5.250%, 07/15/29 | 809,019 | ||||||
600,000 | Churchill Downs, Inc.* 6.750%, 05/01/31 | 587,214 | ||||||
Dana, Inc. | ||||||||
985,000 | 4.250%, 09/01/30 | 846,135 | ||||||
896,000 | 4.500%, 02/15/32^ | 752,756 | ||||||
DISH DBS Corp. | ||||||||
1,495,000 | 5.250%, 12/01/26* | 1,227,649 | ||||||
926,000 | 7.750%, 07/01/26 | 600,381 | ||||||
739,000 | 7.375%, 07/01/28 | 416,729 | ||||||
590,000 | 5.125%, 06/01/29 | 298,605 |
PRINCIPAL AMOUNT | VALUE | |||||||
1,200,000 | DISH Network Corp.* 11.750%, 11/15/27 | $ | 1,208,544 | |||||
1,675,000 | Empire Resorts, Inc.* 7.750%, 11/01/26 | 1,359,949 | ||||||
1,308,000 | Everi Holdings, Inc.* 5.000%, 07/15/29 | 1,161,269 | ||||||
1,240,000 | Ford Motor Company^ 6.100%, 08/19/32 | 1,200,655 | ||||||
| 2,300,000 | Ford Motor Credit Company, LLC 7.350%, 11/04/27 | 2,366,194 | |||||
1,885,000 | 4.000%, 11/13/30 | 1,626,661 | ||||||
1,555,000 | 7.200%, 06/10/30 | 1,599,535 | ||||||
1,450,000 | 5.113%, 05/03/29 | 1,354,358 | ||||||
1,000,000 | 2.900%, 02/16/28 | 862,000 | ||||||
525,000 | 7.350%, 03/06/30 | 544,063 | ||||||
300,000 | 4.950%, 05/28/27 | 285,486 | ||||||
| 447,000 |
| Gap, Inc.* | 320,043 | ||||
60,000 | 3.625%, 10/01/29 | 44,758 | ||||||
| 185,000 | General Motors Financial Company, Inc.‡ 5.700%, 09/30/30^ 5 year CMT + 5.00% | 166,794 | |||||
155,000 | 6.500%, 09/30/28 3 mo. LIBOR + 3.44% | 139,207 | ||||||
goeasy, Ltd.* | ||||||||
2,050,000 | 5.375%, 12/01/24 | 2,001,025 | ||||||
1,111,000 | 4.375%, 05/01/26 | 1,018,365 | ||||||
511,000 | Group 1 Automotive, Inc.* 4.000%, 08/15/28 | 452,312 | ||||||
1,280,000 | Guitar Center, Inc.* 8.500%, 01/15/26 | 1,179,187 | ||||||
International Game Technology, PLC* | ||||||||
1,500,000 | 6.250%, 01/15/27 | 1,502,580 | ||||||
400,000 | 4.125%, 04/15/26 | 381,092 | ||||||
745,000 | Kohl’s Corp. 5.550%, 07/17/45 | 485,554 | ||||||
1,200,000 | LCM Investments Holdings II, LLC* 8.250%, 08/01/31 | 1,219,956 | ||||||
1,175,000 | Liberty Interactive, LLC 8.250%, 02/01/30 | 440,625 | ||||||
Life Time, Inc.* | ||||||||
1,159,000 | 8.000%, 04/15/26 | 1,161,121 | ||||||
600,000 | 5.750%, 01/15/26 | 589,092 | ||||||
450,000 | Lindblad Expeditions Holdings, Inc.* 9.000%, 05/15/28 | 465,017 | ||||||
767,000 | Lindblad Expeditions, LLC* 6.750%, 02/15/27 | 743,484 | ||||||
780,000 | M/I Homes, Inc. 3.950%, 02/15/30 | 681,603 | ||||||
Macy’s Retail Holdings, LLC | ||||||||
1,992,000 | 6.700%, 07/15/34* | 1,658,938 | ||||||
600,000 | 4.300%, 02/15/43 | 377,664 | ||||||
1,375,000 | Mclaren Finance, PLC* 7.500%, 08/01/26 | 1,228,356 | ||||||
1,518,000 | Midwest Gaming Borrower, LLC / Midwest Gaming Finance Corp.* 4.875%, 05/01/29 | 1,351,642 | ||||||
869,000 | Mohegan Tribal Gaming Authority* 8.000%, 02/01/26 | 796,856 | ||||||
Newell Brands, Inc.^ | ||||||||
300,000 | 6.375%, 09/15/27 | 295,146 | ||||||
148,000 | 6.625%, 09/15/29 | 148,352 |
See accompanying Notes to Schedule of Investments | ||
2 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
Nordstrom, Inc. | ||||||||
600,000 | 5.000%, 01/15/44 | $ | 409,458 | |||||
551,000 | 4.250%, 08/01/31 | 435,351 | ||||||
1,370,000 | Penn Entertainment, Inc.*^ 4.125%, 07/01/29 | 1,133,250 | ||||||
PetSmart, Inc. / PetSmart Finance Corp.* | ||||||||
750,000 | 7.750%, 02/15/29 | 732,907 | ||||||
375,000 | 4.750%, 02/15/28 | 344,550 | ||||||
1,670,000 | Premier Entertainment Sub, LLC / Premier Entertainment Finance Corp.* 5.625%, 09/01/29 | 1,278,151 | ||||||
3,380,000 | Rite Aid Corp.* 8.000%, 11/15/26 | 1,693,617 | ||||||
600,000 | Royal Caribbean Cruises, Ltd.* 7.250%, 01/15/30 | 608,784 | ||||||
1,670,000 | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed* 4.625%, 03/01/29 | 1,393,264 | ||||||
2,400,000 | Six Flags Entertainment Corp.* 7.250%, 05/15/31 | 2,298,504 | ||||||
1,348,000 | Sonic Automotive, Inc.*^ 4.625%, 11/15/29 | 1,156,395 | ||||||
837,000 | Speedway Motorsports, LLC / Speedway Funding II, Inc.* 4.875%, 11/01/27 | 784,143 | ||||||
2,430,000 | Station Casinos, LLC* 4.500%, 02/15/28 | 2,207,169 | ||||||
707,000 | Taylor Morrison Communities, Inc.* 5.750%, 01/15/28 | 690,675 | ||||||
300,000 | Viking Cruises, Ltd.* 9.125%, 07/15/31 | 308,442 | ||||||
1,355,000 | Vista Outdoor, Inc.* 4.500%, 03/15/29 | 1,153,742 | ||||||
600,000 | Windsor Holdings III, LLC* 8.500%, 06/15/30 | 603,816 | ||||||
| 1,200,000 | ZF North America Capital, Inc.* 7.125%, 04/14/30 | 1,235,904 | |||||
400,000 | 6.875%, 04/14/28 | 406,624 | ||||||
81,080,793 | ||||||||
Consumer Staples (0.6%) | ||||||||
1,335,000 | 1375209 B.C., Ltd.* 9.000%, 01/30/28 | 1,340,434 | ||||||
1,358,000 | Central Garden & Pet Company* 4.125%, 04/30/31 | 1,138,411 | ||||||
1,349,000 | Edgewell Personal Care Company* 4.125%, 04/01/29 | 1,181,292 | ||||||
Energizer Holdings, Inc.* | ||||||||
1,641,000 | 4.375%, 03/31/29^ | 1,428,113 | ||||||
298,000 | 6.500%, 12/31/27 | 291,280 | ||||||
JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.* | ||||||||
1,770,000 | 5.500%, 01/15/30 | 1,713,555 | ||||||
740,000 | 5.125%, 02/01/28 | 719,872 | ||||||
440,000 | 5.750%, 04/01/33 | 422,668 | ||||||
125,000 | Land O’ Lakes, Inc.* 7.000%, 09/18/28 | 103,444 | ||||||
751,000 | New Albertsons, LP 7.750%, 06/15/26 | 778,111 |
PRINCIPAL AMOUNT | VALUE | |||||||
1,192,000 | Performance Food Group, Inc.* 4.250%, 08/01/29 | $ | 1,058,925 | |||||
Pilgrim’s Pride Corp. | ||||||||
950,000 | 5.875%, 09/30/27* | 939,142 | ||||||
900,000 | 4.250%, 04/15/31 | 777,852 | ||||||
505,000 | Post Holdings, Inc.* 5.750%, 03/01/27 | 495,400 | ||||||
1,124,000 | Prestige Brands, Inc.* 3.750%, 04/01/31 | 947,633 | ||||||
715,000 | United Natural Foods, Inc.* 6.750%, 10/15/28 | 596,746 | ||||||
1,857,000 | Vector Group, Ltd.* 5.750%, 02/01/29 | 1,619,843 | ||||||
15,552,721 | ||||||||
Energy (1.8%) | ||||||||
1,198,000 | Antero Resources Corp.* 5.375%, 03/01/30 | 1,117,638 | ||||||
1,187,000 | Apache Corp. 5.100%, 09/01/40 | 1,009,247 | ||||||
Buckeye Partners, LP | ||||||||
900,000 | 3.950%, 12/01/26 | 829,845 | ||||||
600,000 | 5.850%, 11/15/43 | 464,634 | ||||||
1,670,000 | Callon Petroleum Company*^ 7.500%, 06/15/30 | 1,623,758 | ||||||
591,000 | Cheniere Energy, Inc. 4.625%, 10/15/28 | 556,840 | ||||||
892,000 | Chesapeake Energy Corp.* 6.750%, 04/15/29 | 888,833 | ||||||
330,000 | Civitas Resources, Inc.* 8.750%, 07/01/31 | 341,738 | ||||||
Continental Resources, Inc.* | ||||||||
900,000 | 2.875%, 04/01/32 | 700,443 | ||||||
610,000 | 5.750%, 01/15/31 | 591,151 | ||||||
921,000 | DT Midstream, Inc.* 4.125%, 06/15/29 | 817,655 | ||||||
Earthstone Energy Holdings, LLC* | ||||||||
1,176,000 | 8.000%, 04/15/27 | 1,171,155 | ||||||
450,000 | 9.875%, 07/15/31 | 465,597 | ||||||
Enbridge, Inc.‡ | ||||||||
901,000 | 7.375%, 01/15/83 5 year CMT + 3.71% | 893,738 | ||||||
310,000 | 5.750%, 07/15/80 5 year CMT + 5.31% | 284,028 | ||||||
Energy Transfer, LP‡ | ||||||||
1,735,000 | 8.651%, 11/01/66 3 mo. SOFR + 3.28% | 1,392,025 | ||||||
1,015,000 | 6.500%, 11/15/26 5 year CMT + 5.69% | 926,431 | ||||||
EnLink Midstream Partners, LP | ||||||||
1,775,000 | 9.618%, 08/31/23‡ 3 mo. LIBOR + 4.11% | 1,536,049 | ||||||
1,285,000 | 4.850%, 07/15/26 | 1,249,881 | ||||||
745,000 | Enlink Midstream, LLC* 6.500%, 09/01/30 | 751,489 | ||||||
Enterprise Products Operating, LLC‡ | ||||||||
80,000 | 5.250%, 08/16/77 3 mo. SOFR + 3.29% | 71,145 | ||||||
75,000 | 8.304%, 08/16/77 3 mo. LIBOR + 2.99% | 74,961 | ||||||
1,370,000 | EQM Midstream Partners, LP* 7.500%, 06/01/27 | 1,393,934 | ||||||
Genesis Energy, LP / Genesis Energy Finance Corp. | ||||||||
1,173,000 | 6.250%, 05/15/26^ | 1,126,467 |
See accompanying Notes to Schedule of Investments | ||
3 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
300,000 | 8.875%, 04/15/30 | $ | 299,643 | |||||
Gulfport Energy Corp. | ||||||||
1,190,000 | 8.000%, 05/17/26* | 1,206,220 | ||||||
1,000,000 | 6.375%, 05/15/25& | 1 | ||||||
305,622 | 8.000%, 05/17/26 | 309,788 | ||||||
1,670,000 | Hilcorp Energy I, LP / Hilcorp Finance Company* 6.000%, 04/15/30 | 1,544,650 | ||||||
894,000 | Howard Midstream Energy Partners, LLC* 6.750%, 01/15/27 | 867,207 | ||||||
1,162,000 | Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.* 6.000%, 08/01/26 | 1,139,550 | ||||||
Moss Creek Resources Holdings, Inc.* | ||||||||
600,000 | 10.500%, 05/15/27 | 586,650 | ||||||
540,000 | 7.500%, 01/15/26 | 506,050 | ||||||
900,000 | Nabors Industries, Inc.* 7.375%, 05/15/27 | 881,298 | ||||||
900,000 | Nabors Industries, Ltd.* 7.500%, 01/15/28 | 829,512 | ||||||
New Fortress Energy, Inc.* | ||||||||
1,191,000 | 6.750%, 09/15/25 | 1,134,928 | ||||||
589,000 | 6.500%, 09/30/26 | 541,073 | ||||||
1,270,000 | Parkland Corp.*~ 5.875%, 07/15/27 | 1,236,091 | ||||||
1,196,000 | Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 1,109,792 | ||||||
1,390,000 | Plains All American Pipeline, LP‡ 9.431%, 08/31/23 3 mo. LIBOR + 4.11% | 1,262,829 | ||||||
1,070,000 | Rockcliff Energy II, LLC* 5.500%, 10/15/29 | 984,282 | ||||||
Southwestern Energy Company | ||||||||
600,000 | 5.375%, 02/01/29 | 567,594 | ||||||
593,000 | 4.750%, 02/01/32 | 528,820 | ||||||
298,000 | Sunoco, LP / Sunoco Finance Corp. 4.500%, 04/30/30 | 265,324 | ||||||
1,502,000 | Transocean, Inc.* 8.750%, 02/15/30 | 1,559,827 | ||||||
Venture Global Calcasieu Pass, LLC* | ||||||||
750,000 | 6.250%, 01/15/30 | 734,078 | ||||||
300,000 | 4.125%, 08/15/31 | 254,901 | ||||||
300,000 | 3.875%, 08/15/29 | 260,352 | ||||||
Venture Global LNG, Inc.* | ||||||||
1,505,000 | 8.375%, 06/01/31 | 1,528,508 | ||||||
900,000 | 8.125%, 06/01/28 | 915,219 | ||||||
Vital Energy, Inc. | ||||||||
685,000 | 7.750%, 07/31/29* | 588,456 | ||||||
604,000 | 9.500%, 01/15/25^ | 603,565 | ||||||
1,200,000 | VOC Escrow, Ltd.* 5.000%, 02/15/28 | 1,116,384 | ||||||
1,205,000 | Weatherford International, Ltd.* 8.625%, 04/30/30 | 1,235,908 | ||||||
44,877,182 | ||||||||
Financials (3.2%) | ||||||||
1,883,000 | Acrisure, LLC / Acrisure Finance, Inc.* 7.000%, 11/15/25 | 1,823,441 |
PRINCIPAL AMOUNT | VALUE | |||||||
1,789,000 | Aethon United BR, LP / Aethon United Finance Corp.* 8.250%, 02/15/26 | $ | 1,785,601 | |||||
1,892,000 | AG Issuer, LLC* 6.250%, 03/01/28 | 1,830,510 | ||||||
195,000 | Aircastle, Ltd.*‡ 5.250%, 06/15/26 5 year CMT + 4.41% | 149,196 | ||||||
2,100,000 | Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer* 6.750%, 10/15/27 | 2,000,061 | ||||||
140,000 | Allstate Corp.‡ 5.750%, 08/15/53 3 mo. LIBOR + 2.94% | 139,045 | ||||||
Ally Financial, Inc. | ||||||||
1,782,000 | 4.700%, 05/15/26‡ 5 year CMT + 3.87% | 1,359,648 | ||||||
850,000 | 4.700%, 05/15/28‡ 7 year CMT + 3.48% | 600,057 | ||||||
489,000 | 8.000%, 11/01/31 | 519,347 | ||||||
250,000 | American International Group, Inc.‡ 5.750%, 04/01/48 3 mo. LIBOR + 2.87% | 242,220 | ||||||
2,365,000 | AmWINS Group, Inc.* 4.875%, 06/30/29 | 2,170,313 | ||||||
460,000 | Ares Finance Company III, LLC*‡ 4.125%, 06/30/51 5 year CMT + 3.24% | 346,477 | ||||||
1,307,000 | Aviation Capital Group, LLC* 3.500%, 11/01/27 | 1,178,901 | ||||||
490,000 | Avolon Holdings Funding, Ltd.* 5.500%, 01/15/26 | 476,393 | ||||||
350,000 | AXIS Specialty Finance, LLC‡ 4.900%, 01/15/40 5 year CMT + 3.19% | 281,796 | ||||||
Bank of America Corp.‡ | ||||||||
439,000 | 6.125%, 04/27/27^ 5 year CMT + 3.23% | 431,906 | ||||||
145,000 | 5.125%, 06/20/24 3 mo. SOFR + 3.55%3 mo. LIBOR + 3.03%3 mo. LIBOR + 3.03% | 142,828 | ||||||
135,000 | 6.250%, 09/05/24 3 mo. SOFR + 3.97% | 134,075 | ||||||
135,000 | 6.100%, 03/17/25 3 mo. SOFR + 4.16% | 134,522 | ||||||
145,000 | Bank of Montreal‡ 4.800%, 08/25/24 5 year CMT + 2.98% | 129,782 | ||||||
763,000 | Bank of New York Mellon Corp.‡ 4.700%, 09/20/25 5 year CMT + 4.36% | 748,228 | ||||||
240,000 | Bank of Nova Scotia‡ 3.625%, 10/27/81 5 year CMT + 2.61% | 173,974 | ||||||
BP Capital Markets, PLC‡ | ||||||||
280,000 | 4.875%, 03/22/30 5 year CMT + 4.40% | 260,728 | ||||||
145,000 | 4.375%, 06/22/25 5 year CMT + 4.04% | 139,797 | ||||||
2,379,000 | BroadStreet Partners, Inc.* 5.875%, 04/15/29 | 2,126,279 | ||||||
Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLC* | ||||||||
1,135,000 | 4.500%, 04/01/27 | 982,717 |
See accompanying Notes to Schedule of Investments | ||
4 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
747,000 | 5.750%, 05/15/26 | $ | 701,567 | |||||
1,200,000 | Burford Capital Global Financial, LLC* 6.875%, 04/15/30 | 1,098,648 | ||||||
458,000 | Capital One Financial Corp.^‡ 3.950%, 09/01/26 5 year CMT + 3.16% | 363,876 | ||||||
1,040,000 | Castlelake Aviation Finance DAC*^ 5.000%, 04/15/27 | 960,679 | ||||||
Charles Schwab Corp.‡ | ||||||||
325,000 | 4.000%, 06/01/26 5 year CMT + 3.17% | 291,385 | ||||||
285,000 | 5.375%, 06/01/25 5 year CMT + 4.97% | 279,482 | ||||||
147,000 | 4.000%, 12/01/30 10 year CMT + 3.08% | 116,827 | ||||||
Citigroup, Inc.‡ | ||||||||
546,000 | 4.150%, 11/15/26 5 year CMT + 3.00% | 459,683 | ||||||
509,000 | 3.875%, 02/18/26 5 year CMT + 3.42% | 443,380 | ||||||
150,000 | 4.000%, 12/10/25 5 year CMT + 3.60% | 134,760 | ||||||
450,000 | Citizens Financial Group, Inc.‡ 4.000%, 10/06/26 5 year CMT + 3.22% | 348,309 | ||||||
145,000 | Corebridge Financial, Inc. 6.875%, 12/15/52 | 141,252 | ||||||
Credit Acceptance Corp. | ||||||||
1,500,000 | 6.625%, 03/15/26^ | 1,471,875 | ||||||
1,092,000 | 5.125%, 12/31/24* | 1,070,924 | ||||||
Discover Financial Services‡ | ||||||||
245,000 | 6.125%, 06/23/25 5 year CMT + 5.78% | 236,486 | ||||||
210,000 | 5.500%, 10/30/27 3 mo. SOFR + 3.34% | 163,254 | ||||||
1,533,000 | Enact Holdings, Inc.* 6.500%, 08/15/25 | 1,518,375 | ||||||
265,000 | Enstar Finance, LLC‡ 5.500%, 01/15/42 5 year CMT + 4.01% | 205,924 | ||||||
605,000 | Fifth Third Bancorp‡ 4.500%, 09/30/25 5 year CMT + 4.22% | 554,398 | ||||||
1,718,000 | Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP* 3.750%, 12/15/27 | 1,373,060 | ||||||
Goldman Sachs Group, Inc.‡ | ||||||||
500,000 | 4.400%, 02/10/25 5 year CMT + 2.85% | 434,410 | ||||||
153,000 | 4.125%, 11/10/26 5 year CMT + 2.95% | 131,170 | ||||||
1,891,000 | Greystar Real Estate Partners, LLC* 5.750%, 12/01/25 | 1,866,663 | ||||||
HUB International, Ltd.* | ||||||||
1,785,000 | 5.625%, 12/01/29 | 1,597,861 | ||||||
1,277,000 | 7.000%, 05/01/26 | 1,275,710 | ||||||
Huntington Bancshares, Inc.‡ | ||||||||
350,000 | 4.450%, 10/15/27 7 year CMT + 4.05% | 300,097 | ||||||
210,000 | 5.625%, 07/15/30^ 10 year CMT + 4.95% | 193,299 |
PRINCIPAL AMOUNT | VALUE | |||||||
892,000 | Icahn Enterprises, LP / Icahn Enterprises Finance Corp. 4.375%, 02/01/29 | $ | 724,349 | |||||
1,913,000 | ILFC E-Capital Trust II*‡ 7.314%, 12/21/65 3 mo. LIBOR + 1.80% | 1,386,925 | ||||||
Iron Mountain, Inc.* | ||||||||
2,470,000 | 5.250%, 03/15/28 | 2,324,468 | ||||||
300,000 | 7.000%, 02/15/29 | 301,419 | ||||||
3,000,000 | Jefferies Finance, LLC / JFIN Co-Issuer Corp.* 5.000%, 08/15/28 | 2,564,310 | ||||||
JPMorgan Chase & Company‡ | ||||||||
1,100,000 | 3.650%, 06/01/26^ 5 year CMT + 2.85% | 985,072 | ||||||
135,000 | 6.125%, 04/30/24 3 mo. SOFR + 3.59% | 134,474 | ||||||
180,000 | KeyCorp‡ 5.000%, 09/15/26 3 mo. SOFR + 3.87% | 145,681 | ||||||
Ladder Capital Finance Holdings, LLLP / Ladder Capital Finance Corp.* | ||||||||
2,306,000 | 5.250%, 10/01/25 | 2,211,223 | ||||||
596,000 | 4.750%, 06/15/29 | 502,803 | ||||||
1,680,000 | LD Holdings Group, LLC* 6.125%, 04/01/28 | 1,104,634 | ||||||
Level 3 Financing, Inc.* | ||||||||
1,607,000 | 3.400%, 03/01/27 | 1,419,945 | ||||||
1,250,000 | 4.250%, 07/01/28 | 886,650 | ||||||
600,000 | 4.625%, 09/15/27 | 456,828 | ||||||
420,000 | Liberty Mutual Group, Inc.*‡ 4.125%, 12/15/51 5 year CMT + 3.32% | 337,386 | ||||||
892,000 | LPL Holdings, Inc.* 4.000%, 03/15/29 | 800,347 | ||||||
M&T Bank Corp.‡ | ||||||||
145,000 | 6.450%, 02/15/24 3 mo. LIBOR + 3.61 | 140,409 | ||||||
85,000 | 5.125%, 11/01/26 3 mo. LIBOR + 3.52 | 71,981 | ||||||
80,000 | 5.000%, 08/01/24 5 year CMT + 3.17 | 70,647 | ||||||
280,000 | Markel Corp.‡ 6.000%, 06/01/25 5 year CMT + 5.66% | 273,283 | ||||||
MetLife, Inc. | ||||||||
2,990,000 | 6.400%, 12/15/66 | 3,011,079 | ||||||
225,000 | 3.850%, 09/15/25‡ 5 year CMT + 3.58% | 211,516 | ||||||
1,615,000 | Nationstar Mortgage Holdings, Inc.* 5.500%, 08/15/28 | 1,466,000 | ||||||
120,000 | Nationwide Financial Services, Inc. 6.750%, 05/15/87 | 115,618 | ||||||
Navient Corp. | ||||||||
1,305,000 | 5.000%, 03/15/27 | 1,182,630 | ||||||
655,000 | 4.875%, 03/15/28 | 572,929 | ||||||
1,370,000 | Necessity Retail REIT, Inc. / American Finance Operating Partner, LP* 4.500%, 09/30/28 | 1,075,354 | ||||||
155,000 | Northern Trust Corp.‡ 4.600%, 10/01/26 3 mo. LIBOR + 3.20 | 138,835 |
See accompanying Notes to Schedule of Investments | ||
5 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
OneMain Finance Corp. | ||||||||
820,000 | 3.875%, 09/15/28 | $ | 676,311 | |||||
599,000 | 7.125%, 03/15/26^ | 593,729 | ||||||
592,000 | Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance Co-Issuer* 5.875%, 10/01/28 | 549,110 | ||||||
442,000 | PartnerRe Finance B, LLC‡ 4.500%, 10/01/50 5 year CMT + 3.82% | 373,897 | ||||||
1,871,000 | PHH Mortgage Corp.* 7.875%, 03/15/26 | 1,696,417 | ||||||
PNC Financial Services Group, Inc.‡ | ||||||||
440,000 | 6.000%, 05/15/27 5 year CMT + 3.00% | 408,311 | ||||||
315,000 | 3.400%, 09/15/26 5 year CMT + 2.60% | 242,040 | ||||||
140,000 | 6.200%, 09/15/27 5 year CMT + 3.24% | 134,723 | ||||||
280,000 | QBE Insurance Group, Ltd.*‡ 5.875%, 05/12/25 5 year CMT + 5.51% | 269,998 | ||||||
1,355,000 | RHP Hotel Properties, LP / RHP Finance Corp.* 4.500%, 02/15/29 | 1,208,687 | ||||||
Rocket Mortgage, LLC / Rocket Mortgage Co-Issuer, Inc.* | ||||||||
560,000 | 3.875%, 03/01/31 | 461,950 | ||||||
555,000 | 3.625%, 03/01/29 | 473,171 | ||||||
275,000 | 2.875%, 10/15/26 | 245,537 | ||||||
503,000 | State Street Corp.^‡ 5.625%, 12/15/23 3 mo. SOFR + 2.80% | 489,872 | ||||||
1,225,000 | StoneX Group, Inc.* 8.625%, 06/15/25 | 1,242,003 | ||||||
Truist Financial Corp.‡ | ||||||||
295,000 | 4.800%, 09/01/24 5 year CMT + 3.00% | 263,706 | ||||||
285,000 | 4.950%, 09/01/25^ 5 year CMT + 4.61% | 269,684 | ||||||
108,000 | 5.100%, 03/01/30 10 year CMT + 4.35 | 96,604 | ||||||
250,000 | U.S. Bancorp^‡ 5.300%, 04/15/27 3 mo. SOFR + 3.18% | 219,638 | ||||||
United Wholesale Mortgage, LLC* | ||||||||
1,383,000 | 5.500%, 04/15/29 | 1,217,330 | ||||||
600,000 | 5.750%, 06/15/27 | 561,846 | ||||||
Uniti Group, LP / Uniti Group Finance, Inc. / CSL Capital, LLC* | ||||||||
600,000 | 10.500%, 02/15/28 | 596,850 | ||||||
600,000 | 6.500%, 02/15/29 | 418,368 | ||||||
1,340,000 | VZ Secured Financing, BV* 5.000%, 01/15/32 | 1,090,572 | ||||||
Wells Fargo & Company‡ | ||||||||
620,000 | 3.900%, 03/15/26 5 year CMT + 3.45% | 556,940 | ||||||
147,000 | 7.625%, 09/15/28 5 year CMT + 3.61 | 151,254 | ||||||
1,255,000 | XHR, LP* 6.375%, 08/15/25 | 1,238,698 | ||||||
78,405,237 | ||||||||
PRINCIPAL AMOUNT | VALUE | |||||||
Health Care (1.1%) | ||||||||
Bausch Health Companies, Inc.* | ||||||||
2,370,000 | 11.000%, 09/30/28 | $ | 1,757,829 | |||||
469,000 | 14.000%, 10/15/30 | 299,367 | ||||||
447,000 | 6.125%, 02/01/27 | 295,244 | ||||||
CHS/Community Health Systems, Inc.* | ||||||||
2,392,000 | 6.125%, 04/01/30 | 1,511,696 | ||||||
1,325,000 | 8.000%, 03/15/26 | 1,303,164 | ||||||
663,000 | 6.875%, 04/15/29 | 441,717 | ||||||
149,000 | 5.250%, 05/15/30 | 119,312 | ||||||
DaVita, Inc.* | ||||||||
2,381,000 | 4.625%, 06/01/30 | 2,034,898 | ||||||
1,395,000 | 3.750%, 02/15/31 | 1,116,418 | ||||||
Embecta Corp.* | ||||||||
894,000 | 5.000%, 02/15/30 | 738,453 | ||||||
298,000 | 6.750%, 02/15/30 | 263,101 | ||||||
Encompass Health Corp. | ||||||||
600,000 | 4.750%, 02/01/30 | 546,882 | ||||||
600,000 | 4.500%, 02/01/28 | 558,186 | ||||||
1,369,000 | HCA, Inc. 7.500%, 11/06/33 | 1,511,677 | ||||||
350,000 | Jazz Securities DAC* 4.375%, 01/15/29 | 311,780 | ||||||
488,014 | Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC* 10.000%, 06/15/29 | 81,147 | ||||||
Medline Borrower, LP* | ||||||||
1,484,000 | 5.250%, 10/01/29^ | 1,318,920 | ||||||
1,480,000 | 3.875%, 04/01/29 | 1,298,034 | ||||||
Organon & Company / Organon Foreign Debt Co-Issuer, BV* | ||||||||
2,200,000 | 5.125%, 04/30/31 | 1,867,338 | ||||||
500,000 | 4.125%, 04/30/28 | 448,475 | ||||||
1,251,000 | Team Health Holdings, Inc.* 6.375%, 02/01/25 | 648,556 | ||||||
Tenet Healthcare Corp. | ||||||||
2,710,000 | 6.250%, 02/01/27 | 2,661,735 | ||||||
1,575,000 | 6.875%, 11/15/31 | 1,578,748 | ||||||
Teva Pharmaceutical Finance Netherlands III, BV | ||||||||
1,520,000 | 5.125%, 05/09/29^ | 1,397,807 | ||||||
1,100,000 | 4.750%, 05/09/27 | 1,025,277 | ||||||
535,000 | 3.150%, 10/01/26 | 484,384 | ||||||
250,000 | 7.875%, 09/15/29 | 260,685 | ||||||
200,000 | 8.125%, 09/15/31 | 212,074 | ||||||
26,092,904 | ||||||||
Industrials (2.3%) | ||||||||
1,355,000 | ACCO Brands Corp.* 4.250%, 03/15/29 | 1,164,893 | ||||||
1,170,000 | AerCap Holdings, NV‡ 5.875%, 10/10/79 5 year CMT + 4.54% | 1,134,315 | ||||||
Air Lease Corp.‡ | ||||||||
1,520,000 | 4.125%, 12/15/26 5 year CMT + 3.15% | 1,104,067 | ||||||
320,000 | 4.650%, 06/15/26 5 year CMT + 4.08% | 285,760 | ||||||
Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC* | ||||||||
1,925,000 | 4.625%, 01/15/27 | 1,827,595 | ||||||
1,191,000 | 3.500%, 03/15/29 | 1,037,301 | ||||||
900,000 | 5.875%, 02/15/28 | 881,172 |
See accompanying Notes to Schedule of Investments | ||
6 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
1,370,000 | Allegiant Travel Company* 7.250%, 08/15/27 | $ | 1,356,642 | |||||
295,000 | American Airlines Group, Inc.*^ 3.750%, 03/01/25 | 281,834 | ||||||
670,000 | Arcosa, Inc.* 4.375%, 04/15/29 | 607,429 | ||||||
3,100,000 | ARD Finance, SA* 6.500%, 06/30/27 7.250% PIK rate | 2,524,888 | ||||||
937,000 | Beacon Roofing Supply, Inc.* 4.125%, 05/15/29 | 829,161 | ||||||
1,191,000 | BWX Technologies, Inc.* 4.125%, 04/15/29 | 1,081,785 | ||||||
Cascades, Inc. / Cascades USA, Inc.* | ||||||||
600,000 | 5.375%, 01/15/28 | 567,546 | ||||||
600,000 | 5.125%, 01/15/26 | 578,874 | ||||||
297,000 | Delta Air Lines, Inc. 7.375%, 01/15/26 | 308,607 | ||||||
295,000 | Delta Air Lines, Inc. / SkyMiles IP, Ltd.* 4.750%, 10/20/28 | 285,855 | ||||||
1,565,000 | Deluxe Corp.* 8.000%, 06/01/29 | 1,315,289 | ||||||
894,000 | Eco Material Technologies, Inc.* 7.875%, 01/31/27 | 863,372 | ||||||
300,000 | Emerald Debt Merger Sub, LLC* 6.625%, 12/15/30 | 298,713 | ||||||
575,000 | EnerSys* 4.375%, 12/15/27 | 534,267 | ||||||
733,000 | Graham Packaging Company, Inc.* 7.125%, 08/15/28 | 645,399 | ||||||
Graphic Packaging International, LLC* | ||||||||
750,000 | 4.750%, 07/15/27 | 723,240 | ||||||
551,000 | 3.500%, 03/01/29 | 482,296 | ||||||
1,303,000 | Great Lakes Dredge & Dock Corp.*^ 5.250%, 06/01/29 | 1,109,752 | ||||||
2,775,000 | H&E Equipment Services, Inc.* 3.875%, 12/15/28 | 2,439,142 | ||||||
1,792,000 | Hawaiian Brand Intellectual Property, Ltd. / HawaiianMiles Loyalty, Ltd.* 5.750%, 01/20/26 | 1,693,548 | ||||||
1,500,000 | Herc Holdings, Inc.* 5.500%, 07/15/27 | 1,442,550 | ||||||
1,385,000 | IEA Energy Services, LLC* 6.625%, 08/15/29 | 1,355,583 | ||||||
1,309,000 | JELD-WEN, Inc.*^ 4.625%, 12/15/25 | 1,288,972 | ||||||
1,940,000 | Ken Garff Automotive, LLC* 4.875%, 09/15/28 | 1,710,323 | ||||||
1,200,000 | Knife River Holding Company* 7.750%, 05/01/31 | 1,229,112 | ||||||
598,000 | MasTec, Inc.* 4.500%, 08/15/28 | 556,367 | ||||||
722,000 | Moog, Inc.* 4.250%, 12/15/27 | 669,763 | ||||||
1,472,000 | Newfold Digital Holdings Group, Inc.* 6.000%, 02/15/29 | 1,087,572 | ||||||
1,140,000 | Novelis Corp.* 4.750%, 01/30/30 | 1,026,034 | ||||||
450,000 | OI European Group, BV* 4.750%, 02/15/30 | 408,411 |
PRINCIPAL AMOUNT | VALUE | |||||||
1,375,000 | Pactiv Evergreen Group Issuer, Inc. / Pactiv Evergreen Group Issuer, LLC* 4.000%, 10/15/27 | $ | 1,240,085 | |||||
1,783,000 | Patrick Industries, Inc.* 4.750%, 05/01/29 | 1,551,745 | ||||||
600,000 | QVC, Inc. 5.450%, 08/15/34 | 304,146 | ||||||
Sealed Air Corp.* | ||||||||
933,000 | 6.125%, 02/01/28 | 932,104 | ||||||
298,000 | 5.000%, 04/15/29 | 278,547 | ||||||
650,000 | Sensata Technologies, BV* 4.000%, 04/15/29 | 576,173 | ||||||
593,000 | Sensata Technologies, Inc.* 3.750%, 02/15/31 | 501,797 | ||||||
Sinclair Television Group, Inc.* | ||||||||
891,000 | 4.125%, 12/01/30 | 581,075 | ||||||
600,000 | 5.500%, 03/01/30 | 316,578 | ||||||
1,165,000 | Standard Industries, Inc.* 5.000%, 02/15/27 | 1,117,305 | ||||||
100,000 | Stanley Black & Decker, Inc.‡ 4.000%, 03/15/60 5 year CMT + 2.66% | 76,539 | ||||||
957,000 | Stericycle, Inc.* 3.875%, 01/15/29 | 846,438 | ||||||
879,000 | STL Holding Company, LLC* 7.500%, 02/15/26 | 819,307 | ||||||
1,200,000 | TransDigm UK Holdings, PLC 6.875%, 05/15/26 | 1,195,584 | ||||||
TransDigm, Inc. | ||||||||
1,539,000 | 6.250%, 03/15/26* | 1,533,537 | ||||||
900,000 | 6.750%, 08/15/28* | 905,553 | ||||||
875,000 | 7.500%, 03/15/27 | 874,851 | ||||||
890,000 | Tronox, Inc.* 4.625%, 03/15/29 | 738,567 | ||||||
484,035 | United Airlines Pass Through Trust Series 2019-2, Class B 3.500%, 11/01/29 | 436,285 | ||||||
1,191,000 | Vertiv Group Corp.* 4.125%, 11/15/28 | 1,070,423 | ||||||
1,251,000 | Wabash National Corp.* 4.500%, 10/15/28 | 1,056,057 | ||||||
1,050,000 | Waste Pro USA, Inc.* 5.500%, 02/15/26 | 994,917 | ||||||
283,000 | WESCO Distribution, Inc.* 7.250%, 06/15/28 | 289,288 | ||||||
Williams Scotsman International, Inc.* | ||||||||
1,256,000 | 6.125%, 06/15/25 | 1,252,194 | ||||||
298,000 | 4.625%, 08/15/28 | 275,331 | ||||||
56,501,855 | ||||||||
Information Technology (0.7%) | ||||||||
596,000 | Booz Allen Hamilton, Inc.* 4.000%, 07/01/29 | 539,303 | ||||||
692,000 | Coherent Corp.*^ 5.000%, 12/15/29 | 623,706 | ||||||
1,201,000 | CommScope Technologies, LLC*^ 6.000%, 06/15/25 | 1,091,193 | ||||||
1,100,000 | CommScope, Inc.* 4.750%, 09/01/29 | 847,682 | ||||||
733,000 | Dell International, LLC / EMC Corp. 6.020%, 06/15/26 | 743,350 | ||||||
596,000 | Dun & Bradstreet Corp.*^ 5.000%, 12/15/29 | 528,724 |
See accompanying Notes to Schedule of Investments | ||
7 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
586,000 | Fair Isaac Corp.* 4.000%, 06/15/28 | $ | 538,622 | |||||
1,315,000 | KBR, Inc.* 4.750%, 09/30/28 | 1,205,000 | ||||||
MPH Acquisition Holdings, LLC* | ||||||||
1,300,000 | 5.750%, 11/01/28^ | 996,671 | ||||||
595,000 | 5.500%, 09/01/28 | 519,399 | ||||||
589,000 | NCR Corp.* 5.125%, 04/15/29 | 527,715 | ||||||
886,000 | ON Semiconductor Corp.* 3.875%, 09/01/28 | 803,540 | ||||||
Open Text Corp.* | ||||||||
855,000 | 3.875%, 02/15/28 | 762,403 | ||||||
600,000 | 6.900%, 12/01/27 | 613,944 | ||||||
447,000 | 3.875%, 12/01/29 | 378,430 | ||||||
447,000 | Open Text Holdings, Inc.* 4.125%, 12/01/31 | 371,564 | ||||||
590,000 | Playtika Holding Corp.* 4.250%, 03/15/29 | 521,265 | ||||||
1,645,000 | TTM Technologies, Inc.* 4.000%, 03/01/29 | 1,403,728 | ||||||
Twilio, Inc. | ||||||||
830,000 | 3.625%, 03/15/29 | 714,215 | ||||||
298,000 | 3.875%, 03/15/31^ | 252,504 | ||||||
1,475,000 | Viavi Solutions, Inc.* 3.750%, 10/01/29 | 1,271,937 | ||||||
1,355,000 | ZoomInfo Technologies, LLC / ZoomInfo Finance Corp.* 3.875%, 02/01/29 | 1,166,628 | ||||||
16,421,523 | ||||||||
Materials (0.7%) | ||||||||
623,000 | ArcelorMittal, SA^ 7.000%, 10/15/39 | 646,381 | ||||||
600,000 | ATI, Inc. 5.875%, 12/01/27 | 586,242 | ||||||
295,000 | Carpenter Technology Corp. 7.625%, 03/15/30 | 301,463 | ||||||
895,000 | Chemours Company* 4.625%, 11/15/29 | 758,566 | ||||||
1,880,000 | Clearwater Paper Corp.* 4.750%, 08/15/28 | 1,666,601 | ||||||
900,000 | Cleveland-Cliffs, Inc.* 6.750%, 04/15/30 | 877,797 | ||||||
Commercial Metals Company | ||||||||
596,000 | 4.125%, 01/15/30 | 536,459 | ||||||
298,000 | 4.375%, 03/15/32 | 260,479 | ||||||
1,375,000 | Constellium, SE*^ 3.750%, 04/15/29 | 1,197,199 | ||||||
886,000 | HB Fuller Company 4.250%, 10/15/28 | 795,832 | ||||||
600,000 | INEOS Finance, PLC* 6.750%, 05/15/28 | 572,610 | ||||||
900,000 | JW Aluminum Continuous Cast Company* 10.250%, 06/01/26 | 892,098 | ||||||
Kaiser Aluminum Corp.* | ||||||||
1,350,000 | 4.625%, 03/01/28 | 1,214,001 | ||||||
149,000 | 4.500%, 06/01/31 | 122,283 | ||||||
297,000 | LSF11 A5 HoldCo, LLC* 6.625%, 10/15/29 | 249,697 | ||||||
1,566,000 | Mercer International, Inc. 5.125%, 02/01/29 | 1,285,608 | ||||||
1,175,000 | OCI, NV* 6.700%, 03/16/33 | 1,163,602 |
PRINCIPAL AMOUNT | VALUE | |||||||
Owens-Brockway Glass Container, Inc.* | ||||||||
900,000 | 7.250%, 05/15/31 | $ | 915,867 | |||||
887,000 | 6.625%, 05/13/27 | 884,774 | ||||||
1,328,000 | Silgan Holdings, Inc. 4.125%, 02/01/28 | 1,217,165 | ||||||
589,000 | Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc.* 5.125%, 04/01/29 | 346,709 | ||||||
16,491,433 | ||||||||
Other (0.1%) | ||||||||
Gen Digital, Inc.* | ||||||||
625,000 | 7.125%, 09/30/30^ | 630,475 | ||||||
625,000 | 6.750%, 09/30/27 | 627,756 | ||||||
1,258,231 | ||||||||
Real Estate (0.2%) | ||||||||
953,000 | EPR Properties 3.750%, 08/15/29 | 784,719 | ||||||
Forestar Group, Inc.* | ||||||||
862,000 | 5.000%, 03/01/28 | 803,031 | ||||||
630,000 | 3.850%, 05/15/26 | 587,128 | ||||||
1,341,000 | MIWD Holdco II, LLC / MIWD 5.500%, 02/01/30 | 1,141,339 | ||||||
550,000 | Service Properties Trust 5.250%, 02/15/26 | 502,661 | ||||||
3,818,878 | ||||||||
Special Purpose Acquisition Companies (0.1%) |
| |||||||
Fertitta Entertainment, LLC / Fertitta Entertainment Finance Company, Inc.* | ||||||||
1,195,000 | 6.750%, 01/15/30 | 1,027,844 | ||||||
596,000 | 4.625%, 01/15/29 | 522,942 | ||||||
1,550,786 | ||||||||
Utilities (0.2%) | ||||||||
340,000 | Algonquin Power & Utilities Corp.‡ 4.750%, 01/18/82 5 year CMT + 3.25% | 274,713 | ||||||
85,000 | American Electric Power Company, Inc.‡ 3.875%, 02/15/62 5 year CMT + 2.68 | 69,117 | ||||||
140,000 | CenterPoint Energy, Inc.‡ 6.125%, 09/01/23 3 mo. LIBOR + 3.27% | 137,606 | ||||||
235,000 | CMS Energy Corp.‡ 4.750%, 06/01/50 5 year CMT + 4.12% | 207,284 | ||||||
Dominion Energy, Inc.‡ | ||||||||
250,000 | 4.650%, 12/15/24 5 year CMT + 2.99% | 229,208 | ||||||
133,000 | 4.350%, 01/15/27 5 year CMT + 3.20% | 114,376 | ||||||
Duke Energy Corp.‡ | ||||||||
330,000 | 4.875%, 09/16/24 5 year CMT + 3.39% | 321,090 | ||||||
132,000 | 3.250%, 01/15/82 5 year CMT + 2.32% | 98,479 | ||||||
220,000 | Emera, Inc.‡ 6.750%, 06/15/76 3 mo. LIBOR + 5.44 | 214,548 |
See accompanying Notes to Schedule of Investments | ||
8 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
288,000 | National Rural Utilities Cooperative Finance Corp. | $ | 290,013 | |||||
150,000 | 5.250%, 04/20/46‡ 3 mo. LIBOR + 3.63% | 141,236 | ||||||
320,000 | NextEra Energy Capital Holdings, Inc.‡ 3.800%, 03/15/82 5 year CMT + 2.55% | 272,352 | ||||||
591,000 | PPL Capital Funding, Inc.‡ 8.203%, 03/30/67 3 mo. LIBOR + 2.67% Sempra‡ | 535,671 | ||||||
220,000 | 4.875%, 10/15/25 5 year CMT + 4.55% | 208,850 | ||||||
85,000 | 4.125%, 04/01/52 5 year CMT + 2.87% | 69,798 | ||||||
| 362,000 | Southern Company‡ 4.000%, 01/15/51 5 year CMT + 3.73% | 339,299 | |||||
95,000 | 3.750%, 09/15/51 5 year CMT + 2.92% | 82,434 | ||||||
1,500,000 | TerraForm Power Operating, LLC* 5.000%, 01/31/28 | 1,396,140 | ||||||
| 625,000 | Vistra Corp.*‡ 7.000%, 12/15/26 5 year CMT + 5.74% | 563,487 | |||||
340,000 | 8.000%, 10/15/26 5 year CMT + 6.93% | 324,112 | ||||||
80,000 | WEC Energy Group, Inc.‡ 7.433%, 05/15/67 3 mo. LIBOR + 2.11% | 68,547 | ||||||
5,958,360 | ||||||||
TOTAL CORPORATE BONDS (Cost $430,647,212) | 396,760,672 | |||||||
CONVERTIBLE BONDS (19.7%) | ||||||||
Communication Services (1.6%) | ||||||||
903,000 | Cable One, Inc. 03/15/26 | 743,585 | ||||||
| 8,895,000 | Liberty Media Corp.* | 9,391,341 | |||||
7,025,000 | 3.750%, 03/15/28 | 7,654,791 | ||||||
2,680,000 | 0.500%, 12/01/50 | 2,926,962 | ||||||
17,095,000 | Live Nation Entertainment, Inc. 2.000%, 02/15/25 | 17,841,368 | ||||||
38,558,047 | ||||||||
Consumer Discretionary (4.1%) | ||||||||
16,415,000 | Airbnb, Inc. 03/15/26 | 14,773,664 | ||||||
9,550,000 | Booking Holdings, Inc. 0.750%, 05/01/25 | 15,435,187 | ||||||
13,435,000 | DISH Network Corp. 3.375%, 08/15/26 | 7,565,383 | ||||||
5,895,000 | 0.000%, 12/15/25 | 3,600,077 | ||||||
2,379,000 | 2.375%, 03/15/24 | 2,193,224 | ||||||
14,650,000 | Ford Motor Company 0.000%, 03/15/26 | 14,998,523 | ||||||
7,670,000 | Marriott Vacations Worldwide Corp. 01/15/26 | 7,269,243 | ||||||
2,705,000 | Rivian Automotive, Inc.* 4.625%, 03/15/29 | 4,355,077 | ||||||
1,400,000 | Royal Caribbean Cruises, Ltd.* 6.000%, 08/15/25 | 3,216,122 |
PRINCIPAL AMOUNT | VALUE | |||||||
400,000 | Tesla, Inc. 2.000%, 05/15/24 | $ | 5,186,064 | |||||
9,760,000 | Vail Resorts, Inc. 01/01/26 | 8,659,072 | ||||||
11,140,000 | Wynn Macau, Ltd.* 4.500%, 03/07/29 | 12,339,221 | ||||||
99,590,857 | ||||||||
Energy (0.7%) | ||||||||
1,365,000 | EQT Corp. 1.750%, 05/01/26 | 3,940,154 | ||||||
7,245,000 | Nabors Industries, Inc.* 1.750%, 06/15/29 | 6,326,914 | ||||||
6,615,000 | Northern Oil And Gas, Inc.* 3.625%, 04/15/29 | 8,079,892 | ||||||
18,346,960 | ||||||||
Financials (0.9%) | ||||||||
3,000,000 | Ares Capital Corp. 4.625%, 03/01/24 | 3,063,930 | ||||||
4,500,000 | EUR | JPMorgan Chase Bank NA | 5,544,945 | |||||
11,275,000 | Morgan Stanley Finance, LLC 1.000%, 11/23/27 | 12,642,658 | ||||||
21,251,533 | ||||||||
Health Care (2.0%) | ||||||||
8,820,000 | Alnylam Pharmaceuticals, Inc.* 1.000%, 09/15/27 | 8,612,201 | ||||||
13,555,000 | Dexcom, Inc. 0.250%, 11/15/25 | 14,272,466 | ||||||
3,673,000 | Envista Holdings Corp. 2.375%, 06/01/25 | 6,239,288 | ||||||
3,975,000 | Integer Holdings Corp.* 2.125%, 02/15/28 | 4,869,812 | ||||||
7,755,000 | Jazz Investments I, Ltd. 2.000%, 06/15/26 | 8,059,539 | ||||||
7,755,000 | Pacira BioSciences, Inc. 0.750%, 08/01/25 | 7,162,363 | ||||||
49,215,669 | ||||||||
Industrials (2.5%) | ||||||||
4,215,000 | Axon Enterprise, Inc.* 0.500%, 12/15/27 | 4,354,769 | ||||||
5,315,000 | Granite Construction, Inc.* 3.750%, 05/15/28 | 5,843,098 | ||||||
13,520,000 | John Bean Technologies Corp. 0.250%, 05/15/26 | 12,963,922 | ||||||
13,805,000 | Middleby Corp. 1.000%, 09/01/25 | 17,409,210 | ||||||
5,470,000 | Southwest Airlines Company^ 1.250%, 05/01/25 | 6,037,130 | ||||||
14,800,000 | Uber Technologies, Inc. 12/15/25 | 14,176,476 | ||||||
60,784,605 | ||||||||
Information Technology (4.8%) | ||||||||
4,230,000 | Akamai Technologies, Inc. 0.375%, 09/01/27 | 4,169,553 | ||||||
7,838,000 | BILL Holdings, Inc. | 6,471,837 | ||||||
3,535,000 | 0.000%, 12/01/25 | 3,802,317 | ||||||
17,000,000 | CyberArk Software, Ltd. 0.000%, 11/15/24 | 19,972,110 | ||||||
Enphase Energy, Inc. | ||||||||
12,325,000 | 0.000%, 03/01/28 | 11,186,293 | ||||||
7,055,000 | 0.000%, 03/01/26 | 6,499,137 |
See accompanying Notes to Schedule of Investments | ||
9 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
13,000,000 | Microchip Technology, Inc. 0.125%, 11/15/24 | $ | 15,050,620 | |||||
17,315,000 | ON Semiconductor Corp.* 0.500%, 03/01/29 | 21,213,818 | ||||||
7,255,000 | Palo Alto Networks, Inc. 0.375%, 06/01/25 | 18,296,820 | ||||||
5,850,000 | Tyler Technologies, Inc. 0.250%, 03/15/26 | 5,880,186 | ||||||
5,670,000 | Wolfspeed, Inc.* 1.875%, 12/01/29 | 4,916,627 | ||||||
117,459,318 | ||||||||
Materials (0.3%) | ||||||||
5,800,000 | Glencore Funding, LLC 0.000%, 03/27/25 | 6,236,566 | ||||||
Other (0.0%) | ||||||||
590,000 | Multiplan Corp.* 6.000%, 10/15/27 | 402,539 | ||||||
Real Estate (1.3%) | ||||||||
5,400,000EUR | ANLLIAN Capital, Ltd. 0.000%, 02/05/25 | 6,383,846 | ||||||
15,115,000 | Pebblebrook Hotel Trust 1.750%, 12/15/26 | 13,200,534 | ||||||
12,285,000 | Welltower OP, LLC* 2.750%, 05/15/28 | 12,552,322 | ||||||
32,136,702 | ||||||||
Utilities (1.5%) | ||||||||
16,655,000 | CMS Energy Corp.* 3.375%, 05/01/28 | 16,607,866 | ||||||
20,355,000 | PPL Capital Funding, Inc.* 2.875%, 03/15/28 | 19,663,948 | ||||||
36,271,814 | ||||||||
TOTAL CONVERTIBLE BONDS (Cost $486,369,900) | 480,254,610 | |||||||
|
|
| ||||||
BANK LOANS (5.6%) ¡ | ||||||||
Airlines (0.1%) | ||||||||
940,500 | American Airlines, Inc.‡ 10.338%, 04/20/28 3 mo. SOFR + 4.75% | 975,374 | ||||||
976,000 | Mileage Plus Holdings, LLC‡ 10.764%, 06/21/27 3 mo. LIBOR + 5.25% | 1,019,310 | ||||||
1,994,684 | ||||||||
Communication Services (0.8%) | ||||||||
2,000,000 | APi Group DE, Inc.! 0.000%, 01/03/29 | 2,006,790 | ||||||
3,300,000 | Charter Communications Operating LLC! 0.000%, 02/01/27 | 3,281,042 | ||||||
1,512,000 | Clear Channel Outdoor Holdings, Inc.‡ 9.131%, 08/21/26 3 mo. SOFR + 3.50% | 1,468,530 | ||||||
3,938 | Clear Channel Outdoor Holdings, Inc.‡ 8.933%, 08/21/26 1 mo. SOFR + 3.50% | 3,824 |
PRINCIPAL AMOUNT | VALUE | |||||||
869,717 | CMG Media Corp.‡ 8.842%, 12/17/26 3 mo. SOFR + 3.50% | $ | 792,064 | |||||
1,602,797 | DIRECTV Financing, LLC‡ 10.433%, 08/02/27 1 mo. SOFR + 5.00% | 1,595,288 | ||||||
1,755,000 | Entercom Media Corp.‡ 8.131%, 11/18/24 3 mo. SOFR + 2.50% | 966,505 | ||||||
2,000,000 | Go Daddy Operating Company, LLC! 0.000%, 11/09/29 | 2,005,290 | ||||||
2,000,000 | Match Group, Inc.! 0.000%, 02/13/27 | 1,995,000 | ||||||
2,000,000 | Nexstar Broadcasting, Inc.! 0.000%, 09/18/26 | 2,002,340 | ||||||
330,644 | Nexstar Broadcasting, Inc.‡ 7.933%, 09/18/26 1 mo. SOFR + 2.50% | 331,031 | ||||||
600,000 | Telesat Canada‡ 8.183%, 12/07/26 1 mo. SOFR + 2.75% | 369,054 | ||||||
598,950 | Univision Communications, Inc.‡ 9.492%, 06/24/29 3 mo. SOFR + 4.25% | 599,513 | ||||||
2,000,000 | Virgin Media Bristol, LLC! 0.000%, 01/31/28 | 1,950,880 | ||||||
19,367,151 | ||||||||
Consumer Discretionary (1.0%) | ||||||||
2,000,000 | Adient US LLC! 0.000%, 04/10/28 | 2,005,210 | ||||||
2,000,000 | Aramark Services, Inc.! 0.000%, 06/22/30 | 2,000,000 | ||||||
1,197,000 | Caesars Entertainment, Inc.‡ 8.555%, 02/06/30 1 mo. SOFR + 3.25% | 1,199,244 | ||||||
1,197,000 | Hanesbrands, Inc.‡ 9.055%, 03/08/30 1 mo. SOFR + 3.75% | 1,198,125 | ||||||
2,200,000 | KFC Holding Company‡ 7.094%, 03/15/28 1 mo. SOFR + 1.75% | 2,197,250 | ||||||
722,390 | Life Time Fitness, Inc.‡ 10.050%, 01/15/26 3 mo. SOFR + 4.75% | 726,305 | ||||||
2,000,000 | Murphy USA, Inc.! 0.000%, 01/31/28 | 2,010,000 | ||||||
605,880 | PENN Entertainment, Inc. 8.169%, 05/03/29 1 mo. SOFR + 2.75% | 605,880 | ||||||
2,000,000 | Penn National Gaming, Inc! 0.000%, 05/03/29 | 2,000,000 | ||||||
1,989,132 | Petco Health and Wellness Company, Inc.‡ 8.754%, 03/03/28 3 mo. SOFR + 3.25% | 1,985,214 | ||||||
2,956,235 | PetSmart, Inc.‡ 9.169%, 02/11/28 1 mo. SOFR + 3.75% | 2,958,866 | ||||||
1,105,000 | SkyMiles IP, Ltd.‡ 9.076%, 10/20/27 3 mo. SOFR + 3.75% | 1,150,393 | ||||||
2,000,000 | Station Casinos, LLC! 0.000%, 02/08/27 | 1,995,770 |
See accompanying Notes to Schedule of Investments | ||
10 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
751,249 | TKC Holdings, Inc.‡ 10.933%, 05/15/28 1 mo. LIBOR + 5.50% | $ | 707,973 | |||||
300,000 | Windsor Holdings III, LLC! 0.000%, 06/21/30 | 299,501 | ||||||
1,975,050 | WW International, Inc.‡ 8.933%, 04/13/28 1 mo. SOFR + 3.50% | 1,491,983 | ||||||
|
|
| ||||||
24,531,714 | ||||||||
Consumer Staples (0.0%) | ||||||||
565,000 | United Natural Foods, Inc.! 0.000%, 10/22/25 | 566,565 | ||||||
|
|
| ||||||
Energy (0.1%) | ||||||||
1,197,000 | Par Petroleum, LLC‡ 9.614%, 02/28/30 3 mo. SOFR + 4.25% | 1,192,014 | ||||||
|
|
| ||||||
Financials (0.7%) | ||||||||
1,221,930 | Alliant Holdings Intermediate, LLC‡ 8.722%, 11/05/27 1 mo. SOFR + 3.50% | 1,221,038 | ||||||
915,000 | Amynta Agency Borrower, Inc.‡ 10.419%, 02/28/28 1 mo. SOFR + 5.00% | 903,640 | ||||||
1,176,068 | AssuredPartners, Inc.‡ 8.819%, 02/12/27 1 mo. SOFR + 3.50% | 1,171,658 | ||||||
2,200,000 | Avolon TLB Borrower 1 (US), LLC! 0.000%, 06/22/28 | 2,203,201 | ||||||
900,000 | Avolon TLB Borrower 1 (US), LLC‡ 7.755%, 06/22/28 1 mo. SOFR + 2.50% | 901,309 | ||||||
2,000,000 | Castlelake Aviation Ltd.! 0.000%, 10/22/26 | 2,002,000 | ||||||
597,000 | Castlelake Aviation, Ltd.‡ 8.004%, 10/22/27 3 mo. SOFR + 2.75% | 597,427 | ||||||
1,218,875 | Hub International, Ltd.‡ 9.073%, 11/10/29 3 mo. SOFR + 4.00% | 1,222,806 | ||||||
2,163,903 | Jazz Financing Lux Sarl‡ 8.933%, 05/05/28 1 mo. LIBOR + 3.50% | 2,164,055 | ||||||
2,000,000 | Jazz Financing Lux Sarl! 0.000%, 05/05/28 | 2,000,140 | ||||||
1,633,500 | VFH Parent, LLC‡ 8.405%, 01/13/29 1 mo. SOFR + 3.00% | 1,628,191 | ||||||
|
|
| ||||||
16,015,465 | ||||||||
|
|
| ||||||
Health Care (0.9%) | ||||||||
2,079,766 | Amneal Pharmaceuticals, LLC‡ 8.933%, 05/04/25 1 mo. SOFR + 3.50% | 1,983,577 | ||||||
1,724,243 | Avantor Funding, Inc.‡ 7.669%, 11/08/27 1 mo. SOFR + 2.25% | 1,726,838 | ||||||
285,000 | Bausch Health Companies, Inc.‡ 10.605%, 02/01/27 1 mo. SOFR + 5.25% | 233,441 |
PRINCIPAL AMOUNT | VALUE | |||||||
2,200,000 | DaVita, Inc.! 0.000%, 08/12/26 | $ | 2,177,824 | |||||
2,000,000 | Elanco Animal Health, Inc.! 0.000%, 08/01/27 | 1,972,980 | ||||||
2,000,000 | Horizon Therapeutics USA, Inc.! 0.000%, 03/15/28 | 1,999,580 | ||||||
703,513 | ICON Luxembourg S.A.R.L.‡ 7.754%, 07/03/28 3 mo. SOFR + 2.25% | 704,990 | ||||||
1,601,104 | ICON Luxembourg Sarl! 0.000%, 07/03/28 | 1,604,466 | ||||||
2,000,000 | IQVIA, Inc.! 0.000%, 06/11/25 | 2,003,300 | ||||||
1,118,060 | Mallinckrodt International Finance, SA‡ 10.619%, 09/30/27 1 mo. SOFR + 5.25% | 849,553 | ||||||
2,000,000 | Organon & Company‡ 8.257%, 06/02/28 1 mo. SOFR + 3.00% | 1,997,130 | ||||||
1,261,176 | Padagis, LLC‡ 10.280%, 07/06/28 3 mo. SOFR + 4.75% | 1,221,241 | ||||||
2,000,000 | Perrigo Investments, LLC! 0.000%, 04/20/29 | 1,992,500 | ||||||
398,996 | PRA Health Sciences, Inc.! 0.000%, 07/03/28 | 399,834 | ||||||
175,281 | PRA Health Sciences, Inc. 7.754%, 07/03/28 3 mo. SOFR + 2.25% | 175,649 | ||||||
2,895,183 | Team Health Holdings, Inc.‡ 10.569%, 03/02/27 1 mo. SOFR + 5.25% | 2,001,802 | ||||||
|
|
| ||||||
23,044,705 | ||||||||
|
|
| ||||||
Industrials (1.0%) | ||||||||
588,000 | ACProducts, Inc.‡ 9.754%, 05/17/28 3 mo. LIBOR + 4.25% | 507,591 | ||||||
737,550 | Air Canada‡ 8.839%, 08/11/28 3 mo. LIBOR + 3.50% | 738,866 | ||||||
2,000,000 | Beacon Roofing Supply, Inc.! 0.000%, 05/19/28 | 2,002,190 | ||||||
2,200,000 | Berry Global, Inc.! 0.000%, 07/01/26 | 2,200,946 | ||||||
2,618,863 | ChampionX Corp.‡ 8.495%, 06/07/29 1 mo. SOFR + 3.25% | 2,630,320 | ||||||
855,000 | ChampionX Corp.! 0.000%, 06/07/29 | 858,741 | ||||||
2,000,000 | Emrld Borrower, LP! 0.000%, 05/31/30 | 2,003,760 | ||||||
758,248 | Emrld Borrower, LP‡ 8.264%, 05/31/30 3 mo. SOFR + 3.00% | 759,674 | ||||||
2,000,000 | H.B. Fuller Company! 0.000%, 02/15/30 | 2,008,550 | ||||||
2,000,000 | Jeld-Wen, Inc.! 0.000%, 07/28/28 | 1,994,850 | ||||||
2,000,000 | Scientific Games International, Inc.! 0.000%, 04/14/29 | 1,999,840 |
See accompanying Notes to Schedule of Investments | ||
11 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT | VALUE | |||||||
1,386,000 | Scientific Games International, Inc.‡ 8.302%, 04/14/29 1 mo. SOFR + 3.00% | $ | 1,385,889 | |||||
646,750 | Summit Materials, LLC‡ 8.492%, 12/14/27 6 mo. SOFR + 3.00% | 651,196 | ||||||
2,000,000 | TransDigm, Inc.! 0.000%, 08/24/28 | 2,004,220 | ||||||
1,800,000 | United Airlines, Inc.! 0.000%, 04/21/28 | 1,805,625 | ||||||
1,167,015 | United Airlines, Inc.‡ 9.292%, 04/21/28 3 mo. LIBOR + 3.75% | 1,170,662 | ||||||
|
|
| ||||||
24,722,920 | ||||||||
|
|
| ||||||
Information Technology (0.2%) | ||||||||
1,180,171 | Banff Merger Sub, Inc.‡ 9.183%, 10/02/25 1 mo. SOFR + 3.75% | 1,178,702 | ||||||
990,690 | Camelot U.S. Acquisition LLC‡ 8.433%, 10/30/26 1 mo. SOFR + 3.00% | 991,002 | ||||||
391,650 | Camelot U.S. Acquisition LLC‡ 8.433%, 10/30/26 1 mo. SOFR + 3.00% | 391,834 | ||||||
3,099,982 | II-VI, Inc.‡ 8.183%, 07/02/29 1 mo. SOFR + 2.75% | 3,103,082 | ||||||
|
|
| ||||||
5,664,620 | ||||||||
|
|
| ||||||
Information Technology (0.2%) | ||||||||
298,500 | CDK Global, Inc.‡ 9.492%, 07/06/29 3 mo. SOFR + 4.25% | 298,981 | ||||||
1,167,097 | Dun & Bradstreet Corp.‡ 8.291%, 02/06/26 1 mo. SOFR + 3.00% | 1,167,277 | ||||||
2,000,000 | Open Text Corp.! 0.000%, 01/31/30 | 2,005,630 | ||||||
1,202,317 | SS&C Technologies, Inc.! 0.000%, 03/22/29 | 1,202,870 | ||||||
797,783 | SS&C Technologies, Inc.! 0.000%, 03/22/29 | 798,150 | ||||||
|
|
| ||||||
5,472,908 | ||||||||
|
|
| ||||||
Materials (0.4%) | ||||||||
550,963 | American Axle and Manufacturing, Inc.‡ 8.777%, 12/13/29 1 mo. SOFR + 3.50% | 551,195 | ||||||
237,037 | American Axle and Manufacturing, Inc.‡ 8.436%, 12/13/29 6 mo. SOFR + 3.50% | 237,137 | ||||||
2,200,000 | Axalta Coating Systems U.S. Holdings, Inc.! 0.000%, 12/20/29 | 2,208,591 | ||||||
1,715,000 | Chemours Company! 0.000%, 04/03/25 | 1,714,288 | ||||||
1,200,000 | Ineos US Finance, LLC‡ 8.805%, 02/18/30 1 mo. SOFR + 3.50% | 1,189,128 | ||||||
1,478,161 | Innophos, Inc.‡ 8.683%, 02/05/27 1 mo. SOFR + 3.25% | 1,480,474 |
PRINCIPAL AMOUNT | VALUE | |||||||
610,000 | LSF11 A5 Holdco, LLC‡ 9.669%, 10/15/28 1 mo. SOFR + 4.25% | $ | 608,856 | |||||
592,500 | LSF11 A5 HoldCo, LLC‡ 8.933%, 10/15/28 1 mo. SOFR + 3.50% | 587,810 | ||||||
598,473 | Trinseo Materials Operating SCA! 0.000%, 05/03/28 | 477,241 | ||||||
1,175,627 | WR Grace & Company‡ 9.313%, 09/22/28 3 mo. LIBOR + 3.75% | 1,175,480 | ||||||
|
|
| ||||||
10,230,200 | ||||||||
|
|
| ||||||
Special Purpose Acquisition Companies (0.2%) |
| |||||||
1,075,000 | AP Core Holdings II, LLC‡ 10.933%, 09/01/27 1 mo. SOFR + 5.50% | 1,042,530 | ||||||
589,050 | Clydesdale Acquisition Holdings, Inc.‡ 9.594%, 04/13/29 1 mo. SOFR + 4.18% | 584,476 | ||||||
296,250 | Fertitta Entertainment, LLC‡ 9.319%, 01/27/29 1 mo. SOFR + 4.00% | 293,573 | ||||||
1,265,438 | Oscar AcquisitionCo, LLC‡ 9.842%, 04/29/29 3 mo. SOFR + 4.50% | 1,250,948 | ||||||
1,191,000 | Patagonia Holdco, LLC‡ 10.789%, 08/01/29 3 mo. SOFR + 5.75% | 1,029,227 | ||||||
|
|
| ||||||
4,200,754 | ||||||||
|
|
| ||||||
TOTAL BANK LOANS (Cost $139,469,595) | 137,003,700 | |||||||
|
|
| ||||||
U.S. GOVERNMENT AND AGENCY SECURITIES (2.7%) | ||||||||
Other (2.7%) | ||||||||
United States Treasury Note ^ | ||||||||
30,400,000 | 2.500%, 05/31/24 | 29,685,719 | ||||||
36,945,000 | 2.250%, 03/31/24 | 36,199,606 | ||||||
|
|
| ||||||
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $67,296,246) | 65,885,325 | |||||||
|
|
| ||||||
NUMBER OF SHARES | VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS (2.5%) | ||||||||
Energy (0.0%) | ||||||||
28 | Gulfport Energy Corp. 10.000%, 08/31/23 15.000% PIK rate | 206,500 | ||||||
|
|
| ||||||
Financials (0.7%) | ||||||||
80,250 | AMG Capital Trust II 5.150%, 10/15/37 | 3,992,919 | ||||||
1,450 | Bank OZK 4.625%, 11/15/26 | 23,011 | ||||||
191,800 | KKR & Company, Inc. 6.000%, 09/15/23 | 13,399,148 | ||||||
|
|
| ||||||
17,415,078 | ||||||||
|
|
|
See accompanying Notes to Schedule of Investments | ||
12 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
NUMBER OF SHARES | VALUE | |||||||
Industrials (0.1%) | ||||||||
46,187 | Chart Industries, Inc. 6.750%, 12/15/25 | $ | 3,334,240 | |||||
|
| |||||||
Utilities (1.7%) | ||||||||
246,010 | AES Corp. 6.875%, 02/15/24 | 21,055,996 | ||||||
84,885 | CenterPoint Energy, Inc. (Warner Media, LLC, Charter Communications Time, Inc.)#§** 3.369%, 09/15/29 | 3,296,764 | ||||||
NextEra Energy, Inc. | ||||||||
262,050 | 6.926%, 09/01/25 | 11,983,546 | ||||||
94,060 | 6.219%, 09/01/23 | 4,655,970 | ||||||
|
| |||||||
40,992,276 | ||||||||
|
| |||||||
TOTAL CONVERTIBLE (Cost $63,040,361) | 61,948,094 | |||||||
|
| |||||||
COMMON STOCKS (93.3%) | ||||||||
Communication Services (9.5%) | ||||||||
661,840 | Alphabet, Inc. - Class A^# | 87,839,405 | ||||||
199,700 | Alphabet, Inc. - Class C^# | 26,582,067 | ||||||
25,095 | Altice USA, Inc. - Class A# | 85,072 | ||||||
264,885 | AT&T, Inc. | 3,846,130 | ||||||
411,425 | Comcast Corp. - Class A | 18,621,096 | ||||||
8,434 | Cumulus Media, Inc. - Class A# | 53,472 | ||||||
2 | Frontier Communications Parent, Inc.^# | 36 | ||||||
146,450 | Meta Platforms, Inc. - Class A~# | 46,658,970 | ||||||
32,360 | Netflix, Inc.# | 14,205,069 | ||||||
205,085 | EUR | Orange, SA | 2,318,247 | |||||
135,860 | T-Mobile U.S., Inc.# | 18,717,432 | ||||||
149,335 | Walt Disney Company# | 13,274,388 | ||||||
|
| |||||||
232,201,384 | ||||||||
|
| |||||||
Consumer Discretionary (10.5%) | ||||||||
688,315 | Amazon.com, Inc.^# | 92,013,949 | ||||||
137,124 | Aptiv, PLC# | 15,013,707 | ||||||
59,260 | Carnival Corp.# | 1,116,458 | ||||||
243,463 | General Motors Company | 9,341,675 | ||||||
52,240 | Home Depot, Inc. | 17,439,802 | ||||||
294,980 | Las Vegas Sands Corp.# | 17,642,754 | ||||||
41,620 | Lowe’s Companies, Inc. | 9,750,317 | ||||||
4,380 | EUR | LVMH Moet Hennessy Louis Vuitton, SE | 4,068,002 | |||||
62,500 | McDonald’s Corp. | 18,325,000 | ||||||
162,800 | NIKE, Inc. - Class B | 17,971,492 | ||||||
107,325 | Starbucks Corp.µ | 10,901,000 | ||||||
132,450 | Tesla, Inc.# | 35,421,103 | ||||||
71,950 | TJX Companies, Inc.µ | 6,225,834 | ||||||
|
| |||||||
255,231,093 | ||||||||
|
| |||||||
Consumer Staples (6.8%) | ||||||||
58,750 | Altria Group, Inc. | 2,668,425 | ||||||
459,960 | Coca-Cola Company^ | 28,485,323 | ||||||
31,575 | Costco Wholesale Corp.µ | 17,703,155 | ||||||
47,280 | Estee Lauder Companies, Inc. - Class A | 8,510,400 | ||||||
113,665 | Mondelez International, Inc. - Class A | 8,425,986 | ||||||
149,110 | Monster Beverage Corp.# | 8,572,334 | ||||||
102,796 | PepsiCo, Inc.^ | 19,270,138 |
NUMBER OF SHARES | VALUE | |||||||
179,035 | Philip Morris International, Inc.^ | $ | 17,853,370 | |||||
203,745 | Procter & Gamble Company~ | 31,845,344 | ||||||
52,650 | Walgreens Boots Alliance, Inc.^µ | 1,577,921 | ||||||
130,790 | Walmart, Inc.µ | 20,908,089 | ||||||
|
| |||||||
165,820,485 | ||||||||
|
| |||||||
Energy (5.0%) | ||||||||
475,000 | BP, PLC (ADR) | 17,717,500 | ||||||
11,045 | Chaparral Energy, Inc. - Class A | 469,413 | ||||||
3,550 | Chesapeake Energy Corp. | 299,407 | ||||||
128,625 | Chevron Corp.^µ | 21,050,768 | ||||||
64,470 | ConocoPhillips^ | 7,589,408 | ||||||
82,935 | Energy Transfer, LP | 1,102,206 | ||||||
49,155 | Enterprise Products Partners, LP | 1,303,099 | ||||||
7,920 | EP Energy Corp. | 55,440 | ||||||
317,920 | Exxon Mobil Corp. | 34,093,741 | ||||||
56,105 | Hess Corp. | 8,512,812 | ||||||
15,860 | Magellan Midstream Partners, LP | 1,051,042 | ||||||
80,370 | Marathon Petroleum Corp. | 10,690,817 | ||||||
24,975 | Pioneer Natural Resources Company | 5,636,108 | ||||||
219,710 | Schlumberger, NV | 12,817,881 | ||||||
|
| |||||||
122,389,642 | ||||||||
|
| |||||||
Financials (11.5%) | ||||||||
35,430 | Affiliated Managers Group, Inc. | 4,912,015 | ||||||
59,230 | American Express Company^ | 10,002,763 | ||||||
346,890 | American International Group, Inc.^ | 20,910,529 | ||||||
29,983 | Assurant, Inc. | 4,033,013 | ||||||
663,370 | Bank of America Corp.^~ | 21,227,840 | ||||||
71,870 | Bank of New York Mellon Corp.^ | 3,260,023 | ||||||
10,715 | BlackRock, Inc.µ | 7,916,778 | ||||||
76,155 | Chubb, Ltd. | 15,566,844 | ||||||
231,670 | Citigroup, Inc. | 11,041,392 | ||||||
55,815 | Discover Financial Services | 5,891,273 | ||||||
27,300 | Goldman Sachs Group, Inc.^ | 9,715,251 | ||||||
212,020 | JPMorgan Chase & Company^ | 33,490,679 | ||||||
85,415 | Marsh & McLennan Companies, Inc. | 16,093,894 | ||||||
72,315 | Mastercard, Inc. - Class A^ | 28,512,358 | ||||||
247,340 | Morgan Stanley^ | 22,646,451 | ||||||
157,631 | Starwood Property Trust, Inc.^ | 3,269,267 | ||||||
178,525 | Visa, Inc. - Class A^ | 42,440,748 | ||||||
411,130 | Wells Fargo & Company^µ | 18,977,761 | ||||||
|
| |||||||
279,908,879 | ||||||||
|
| |||||||
Health Care (12.8%) | ||||||||
82,820 | Abbott Laboratories~ | 9,220,351 | ||||||
118,475 | AbbVie, Inc. | 17,721,490 | ||||||
124,060 | Alcon, Inc. | 10,535,175 | ||||||
267,298 | Boston Scientific Corp.^#µ | 13,859,401 | ||||||
107,005 | Bristol-Myers Squibb Companyµ | 6,654,641 | ||||||
26,965 | Danaher Corp. | 6,877,693 | ||||||
35,495 | Dexcom, Inc.# | 4,421,257 | ||||||
23,435 | Elevance Health, Inc.µ | 11,052,649 | ||||||
74,890 | Eli Lilly & Company^ | 34,041,249 | ||||||
34,856 | GE Healthcare, Inc. | 2,718,768 | ||||||
150,220 | Gilead Sciences, Inc.^ | 11,437,751 | ||||||
10,885 | Humana, Inc. | 4,972,595 | ||||||
251,335 | Johnson & Johnson | 42,106,153 | ||||||
17,140 | Mallinckrodt, PLC^# | 27,767 | ||||||
22,490 | McKesson Corp. | 9,049,976 | ||||||
204,155 | Medtronic, PLC | 17,916,643 | ||||||
219,485 | Merck & Company, Inc. | 23,408,075 |
See accompanying Notes to Schedule of Investments | ||
13 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
NUMBER OF SHARES | VALUE | |||||||
314,685 | Pfizer, Inc. | $ | 11,347,541 | |||||
20,295 | Stryker Corp.µ | 5,751,806 | ||||||
30,260 | Thermo Fisher Scientific, Inc.~µ | 16,602,452 | ||||||
72,460 | UnitedHealth Group, Inc.^~µ | 36,691,570 | ||||||
112,720 | Zimmer Biomet Holdings, Inc.^µ | 15,572,268 | ||||||
|
| |||||||
311,987,271 | ||||||||
|
| |||||||
Industrials (5.8%) | ||||||||
777,890 | CSX Corp.µ | 25,919,295 | ||||||
104,568 | General Electric Company^ | 11,945,848 | ||||||
104,790 | Honeywell International, Inc. | 20,342,883 | ||||||
79,505 | JB Hunt Transport Services, Inc. | 16,214,250 | ||||||
28,435 | Northrop Grumman Corp. | 12,653,575 | ||||||
59,495 | Parker-Hannifin Corp. | 24,393,545 | ||||||
272,540 | RTX Corp.µ | 23,964,442 | ||||||
152,510 | Southwest Airlines Companyµ | 5,209,741 | ||||||
|
| |||||||
140,643,579 | ||||||||
|
| |||||||
Information Technology (27.3%) | ||||||||
56,335 | Accenture, PLC - Class A | 17,821,577 | ||||||
21,770 | Adobe, Inc.^# | 11,890,121 | ||||||
69,245 | Advanced Micro Devices, Inc.^# | 7,921,628 | ||||||
1,106,065 | Apple, Inc.^~ | 217,286,469 | ||||||
79,440 | Applied Materials, Inc. | 12,042,310 | ||||||
54,444 | Broadcom, Inc. | 48,926,101 | ||||||
247,515 | Cisco Systems, Inc.^µ | 12,880,681 | ||||||
58,910 | Fidelity National Information Services, Inc.^ | 3,556,986 | ||||||
10,330 | Intuit, Inc. | 5,285,861 | ||||||
16,960 | Lam Research Corp. | 12,185,590 | ||||||
95,780 | Micron Technology, Inc.^ | 6,837,734 | ||||||
574,150 | Microsoft Corp.^~ | 192,868,468 | ||||||
1,520,000 | Nokia Oyj (ADR)^ | 5,988,800 | ||||||
161,290 | NVIDIA Corp. | 75,369,204 | ||||||
81,370 | Oracle Corp. | 9,539,005 | ||||||
59,985 | Salesforce, Inc.# | 13,497,225 | ||||||
21,845 | ServiceNow, Inc.# | 12,735,635 | ||||||
|
| |||||||
666,633,395 | ||||||||
|
| |||||||
Materials (2.6%) | ||||||||
255,945 | Freeport-McMoRan, Inc. | 11,427,944 | ||||||
63,970 | Linde, PLC | 24,991,160 | ||||||
126,910 | PPG Industries, Inc. | 18,262,349 | ||||||
36,605 | Vulcan Materials Companyµ | 8,071,403 | ||||||
|
| |||||||
62,752,856 | ||||||||
|
| |||||||
Real Estate (0.7%) | ||||||||
70,930 | American Tower Corp. | 13,498,688 | ||||||
119,195 | Invitation Homes, Inc. | 4,231,423 | ||||||
1,951 | Necessity Retail REIT, Inc. 7.500%, 03/26/24 | 40,210 | ||||||
|
| |||||||
17,770,321 | ||||||||
|
| |||||||
Special Purpose Acquisition Company (0.0%) |
| |||||||
14,052 | Intelsat Emergence, SA | 323,196 | ||||||
|
| |||||||
Utilities (0.8%) |
| |||||||
176,574 | DTE Energy Companyµ | 20,182,408 | ||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $1,490,839,339) | 2,275,844,509 | |||||||
|
|
NUMBER OF SHARES | VALUE | |||||||
WARRANTS (0.0%) # | ||||||||
Energy (0.0%) | ||||||||
57,470 | Mcdermott International, Ltd.& 06/30/27, Strike $15.98 | $ | 6 | |||||
51,723 | Mcdermott International, Ltd. 06/30/27, Strike $12.33 | 5 | ||||||
16,676 | Tidewater, Inc. 11/14/42, Strike $0.01 | 1 | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $369,524) | 12 | |||||||
|
| |||||||
EXCHANGE-TRADED FUND (0.0%) | ||||||||
Other (0.0%) | ||||||||
5,525 | iShares Preferred & Income (Cost $209,453) | 172,490 | ||||||
|
| |||||||
PREFERRED STOCKS (0.3%) | ||||||||
Communication Services (0.0%) | ||||||||
8,482 | AT&T, Inc. 4.750%, 02/18/25 | 156,748 | ||||||
3,485 | AT&T, Inc. 5.350%, 11/01/66 | 77,332 | ||||||
14,625 | Qwest Corp. 6.500%, 09/01/56 | 211,770 | ||||||
5,000 | Telephone and Data Systems, Inc. 6.000%, 09/30/26 | 69,600 | ||||||
8,175 | United States Cellular Corp. 5.500%, 03/01/70 | 117,965 | ||||||
5,625 | United States Cellular Corp. 5.500%, 06/01/70 | 81,000 | ||||||
|
| |||||||
714,415 | ||||||||
|
| |||||||
Consumer Discretionary (0.1%) | ||||||||
2,835 | Ford Motor Company 6.200%, 06/01/59 | 70,847 | ||||||
2,764 | Ford Motor Company 6.500%, 08/15/62 | 66,585 | ||||||
8,177 | Guitar Center, Inc.& | 1,042,567 | ||||||
605 | Qurate Retail, Inc.^ 8.000%, 03/15/31 | 21,659 | ||||||
|
| |||||||
1,201,658 | ||||||||
|
| |||||||
Energy (0.1%) | ||||||||
12,420 | Energy Transfer, LP‡ 7.625%, 08/30/23 3 mo. LIBOR + 4.74% | 311,991 | ||||||
52,665 | NuStar Energy, LP‡ 11.151%, 08/30/23 3 mo. LIBOR + 5.64% | 1,278,706 | ||||||
20,834 | NuStar Energy, LP‡ 12.274%, 08/30/23 3 mo. LIBOR + 6.77% | 532,517 | ||||||
55,760 | NuStar Logistics, LP‡ 12.304%, 01/15/43 3 mo. LIBOR + 6.73% | 1,464,815 | ||||||
|
| |||||||
3,588,029 | ||||||||
|
|
See accompanying Notes to Schedule of Investments | ||
14 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
NUMBER OF SHARES | VALUE | |||||||
Financials (0.1%) | ||||||||
3,400 | Affiliated Managers Group, Inc. 4.750%, 09/30/60 | $ | 62,900 | |||||
6,000 | Allstate Corp. 7.375%, 07/15/28 | 161,040 | ||||||
5,970 | Annaly Capital Management, Inc.‡ 6.950%, 08/30/23 3 mo. LIBOR + 4.99% | 151,877 | ||||||
1,350 | Capital One Financial Corp. 4.800%, 06/01/25 | 25,204 | ||||||
10,725 | CNO Financial Group, Inc. 5.125%, 11/25/60 | 174,281 | ||||||
1,732 | Cullen/Frost Bankers, Inc. 4.450%, 12/15/25 | 32,492 | ||||||
1,201 | First Citizens BancShares, Inc. 5.625%, 01/04/27 | 24,885 | ||||||
4,592 | KeyCorp‡ 6.200%, 12/15/27 5 year CMT + 3.13% | 98,682 | ||||||
2,125 | Morgan Stanley 6.500%, 10/15/27 | 55,356 | ||||||
7,932 | Prospect Capital Corp. 5.350%, 07/01/26 | 131,275 | ||||||
11,100 | Reinsurance Group of America, Inc.‡ 7.125%, 10/15/52 5 year CMT + 3.46% | 285,714 | ||||||
6,214 | Selective Insurance Group, Inc. 4.600%, 12/15/25 | 108,621 | ||||||
1,312,327 | ||||||||
Industrials (0.0%) | ||||||||
4,980 | WESCO International, Inc.‡ 10.625%, 06/22/25 5 year CMT + 10.33% | 135,058 | ||||||
Real Estate (0.0%) | ||||||||
8,773 | Brookfield Property Partners, LP 5.750%, 03/31/25 | 118,655 | ||||||
5,000 | Brookfield Property Partners, LP 6.375%, 09/30/24 | 73,100 | ||||||
3,625 | Global Net Lease, Inc. 6.875%, 11/26/24 | 74,167 | ||||||
3,000 | Spirit Realty Capital, Inc.µ 6.000%, 08/30/23 | 68,400 | ||||||
334,322 | ||||||||
Utilities (0.0%) | ||||||||
6,000 | Brookfield Renewable Partners, LP 5.250%, 03/31/25 | 123,960 | ||||||
5,100 | DTE Energy Company 5.250%, 12/01/77 | 122,094 | ||||||
246,054 | ||||||||
TOTAL PREFERRED STOCKS (Cost $7,960,264) | 7,531,863 | |||||||
|
|
PRINCIPAL AMOUNT | VALUE | |||||||
|
ASSET BACKED SECURITY (0.0%) |
| ||||||
Other (0.0%) | ||||||||
955,000 | SVC ABS, LLC Series 2023-1A, 6.700%, 02/20/53 (Cost $874,585) | $ | 860,286 | |||||
|
| |||||||
RIGHTS (0.0%) # | ||||||||
Communication Services (0.0%) | ||||||||
3 | Intelsat Jackson Holdings, SA | — | ||||||
3 | Intelsat Jackson Holdings, SA | — | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $—) | — | |||||||
|
| |||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |||||||
PURCHASED OPTIONS (0.1%) # | ||||||||
Financials (0.0%) | ||||||||
| 920 6,975,440 |
| PayPal Holdings, Inc. Call, 09/15/23, Strike $75.00 | 476,100 | ||||
|
| |||||||
Other (0.1%) | ||||||||
| 5,800 24,331,000 |
| iShares MSCI EAFE ETF Call, 12/15/23, Strike $41.00 | 1,664,600 | ||||
| 325 149,141,200 |
| S&P 500 Index Put, 09/15/23, Strike $4,400.00 | 747,500 | ||||
|
| |||||||
2,412,100 | ||||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $2,830,633) | 2,888,200 | |||||||
|
| |||||||
| TOTAL INVESTMENTS (140.5%) (Cost $2,689,907,112) | 3,429,149,761 | ||||||
|
| |||||||
| MANDATORY REDEEMABLE PREFERRED SHARES, | (323,500,000 | ) | |||||
|
| |||||||
LIABILITIES, LESS OTHER ASSETS (-27.2%) | (664,836,991 | ) | ||||||
|
| |||||||
NET ASSETS (100.0%) | $ | 2,440,812,770 | ||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS
* | Securities issued and sold pursuant to a Rule 144A transaction are exempted 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. |
@ | In default status and considered non-income producing. |
& | Illiquid security. |
^ | Security, or portion of security, is on loan. |
See accompanying Notes to Schedule of Investments | ||
15 |
Calamos Strategic Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
‡ | Variable rate security. The rate shown is the rate in effect at July 31, 2023. |
~ | Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options. The aggregate value of such securities is $13,209,007. |
¡ | Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown. |
! | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. |
# | Non-income producing security. |
§ | Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical. |
** | Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at July 31, 2023. |
µ | Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $250,214,629. |
FOREIGN CURRENCY ABBREVIATION
EUR European Monetary Unit
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
See accompanying Notes to Schedule of Investments | ||
16 |
Notes to Schedule of Investments (Unaudited)
Note 1 – Organization and Significant Accounting Policies
Organization. Calamos Strategic Total Return Fund (the “Fund”, or “Trust”) was organized as a Delaware statutory trust on December 31, 2003 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on March 26, 2004.
The Fund’s investment strategy is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest primarily in common and preferred stocks, convertible securities and income-producing securities such as investment grade and below investment grade (high yield/high risk) debt securities. The Fund, under normal circumstances, will invest at least 50% of its managed assets in equity securities (including securities that are convertible into equity securities). The Fund may invest up to 35% of its managed assets in securities of foreign issuers, including debt and equity securities of corporate issuers and debt securities of government issuers in developed and emerging markets. The Fund may invest up to 15% of its managed assets in securities of foreign issuers in emerging markets. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).
Significant Accounting Policies. The Schedule of Investments has been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP) and the Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:
Fund Valuation. The Trust’s Board of Trustees, including a majority of the Trustees who are not “interested persons” of the Trust, have designated Calamos Advisors LLC (“Calamos Advisors”, or the “Advisor”) to perform fair valuation determinations related to all Fund investments under the oversight of the Board. As “valuation designee” the Calamos Advisors has adopted procedures to guide the determination of the NAV on any day on which the Fund’s NAVs are determined. The valuation of the Fund’s investments is in accordance with these procedures.
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time the Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the Board of Trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the Board of Trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the Board of Trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the Board of Trustees.
Fixed income securities, bank loans, 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, bank loans, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the Board of Trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee.
The Fund also may use fair value pricing, pursuant to guidelines adopted by Calamos Advisors, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by Calamos Advisors, 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 the Fund to calculate its NAV may differ from market quotations or official closing prices. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s net asset value (“NAV”).
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of
premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
Note 2 – Investments
The cost basis of investments for federal income tax purposes at July 31, 2023 was as follows*:
Cost basis of investments | $ | 2,689,907,112 | ||
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Gross unrealized appreciation | 957,612,981 | |||
Gross unrealized depreciation | (218,370,332) | |||
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Net unrealized appreciation (depreciation) | $ | 739,242,649 | ||
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* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report.
Note 3 – Mandatory Redeemable Preferred Shares
The Fund has MRPS issued with an aggregate liquidation preference of $323,500,000, divided into four series with different mandatory redemption dates and dividend rates.
The table below summarizes the key terms of each series of the MRPS at July 31, 2023.
Series | Term Redemption Date | Dividend Rate | Shares (000’s) | Liquidation Preference Per Share | Aggregate Liquidation Preference | |||||
Series B | 9/06/24 | 4.00% | 3,220 | $25 | $80,500,000 | |||||
Series C | 9/06/27 | 4.24% | 3,240 | $25 | $81,000,000 | |||||
Series D | 8/24/26 | 2.45% | 2,480 | $25 | $62,000,000 | |||||
Series F | 5/24/27 | 3.66% | 4,000 | $25 | $100,000,000 | |||||
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$323,500,000 | ||||||||||
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On September 6, 2022, $80,500,000 of Series A MRPS were redeemed at $25.01 per share.
The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.
During the period ended July 31, 2023, all MRPS were rated `AA-’ by Kroll Bond Rating Agency LLC (“KBRA”). If the ratings of the MRPS are downgraded, the Fund’s dividend expense may increase, as described below.
Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated “AA-” by Kroll. If on the first day of a monthly dividend period the MRPS of any class are rated lower than “A” by Kroll, the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS’ dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in “Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares” within the Statement of Operations.
With regard to the Series B and C MRPS, so long as any MRPS are outstanding, the Fund will not declare, pay or set apart for payment any dividend or other distribution (other than non-cash distributions) with respect to Fund shares ranking junior to or on parity with the MRPS, unless (1) the Fund has satisfied the MRPS Overcollateralization Test (as defined below) on at least one “valuation date” in the preceding 65 calendar days, (2) immediately after such transaction the Fund would satisfy the MRPS Asset Coverage Test (as defined below), (3) full cumulative dividends on the MRPS due on or prior to the date of the transaction have been declared and paid to the holders of MRPS and (4) the Fund has redeemed the full number of MRPS required to be redeemed by any provision for mandatory redemption or deposited sufficient monies with the Fund’s paying agent for that purpose, subject to certain grace periods and exceptions.
MRPS Asset Coverage Test: Asset coverage with respect to all outstanding senior securities and preferred shares, including the MRPS, determined in accordance with Section 18(h) of the 1940 Act, on the basis of values calculated as of a time within 48 hours (not including Sundays or holidays) next preceding the time of determination, must be greater than or equal to 225%.
MRPS Overcollateralization Test: So long as Fitch or any other NSRSO, such as Kroll, is then rating any class of the outstanding MRPS pursuant to the request of the Fund, satisfaction of only those overcollateralization ratios applicable to closed-end fund issuers with the same rating(s) as the Fund’s MRPS’ then-current rating(s) issued by Fitch or such other NSRSO, such as Kroll, by application of the applicable rating agency guidelines.
With regard to Series D and F MRPS, for so long as any MRPS are Outstanding, the Fund will not declare, pay or set apart for payment any dividend or other distribution (other than a dividend or distribution paid in shares of, or options, warrants or rights to subscribe for or purchase, Common Shares or other shares of beneficial interest, if any, ranking junior to the MRPS as to dividends or upon liquidation (collectively “non-cash distributions”) with respect to Common Shares or any other shares of the Series or Fund ranking junior to or on a parity with the MRPS as to dividends or upon liquidation, or call for redemption, redeem, purchase or otherwise acquire for consideration any Common Shares or any other such junior shares (except by conversion into or exchange for shares of the Fund ranking junior to the MRPS as to dividends and upon liquidation) or any such parity shares (except by conversion into or exchange for shares of the Fund ranking junior to or on a parity with the MRPS as to dividends and upon liquidation), unless (1) immediately after such transaction the Fund would satisfy the MRPS Asset Coverage Test, (2) full cumulative dividends on the MRPS due on or prior to the date of the transaction have been declared and paid to the Holders of MRPS, and (3) the Fund has redeemed the full number of MRPS required to be redeemed by any provision for mandatory redemption contained in Section 3(a) or deposited sufficient monies with the Paying Agent for that purpose (without regard to the provisions of the Special Proviso); provided that the Fund may make any distributions reasonably necessary for the Fund to continue to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code and to avoid excise tax under Section 4982
of the Internal Revenue Code (“Tax Required Payments”). For the avoidance of doubt, any such Tax Required Payments would only be paid to holders of Common Shares after full cumulative dividends due on or prior to the date of the applicable distribution and any mandatory redemptions occurring on or prior to the date of the applicable distribution have been paid to the holders of MRPS.
Except as otherwise required pursuant to the Fund’s governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.