Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| CONVERTIBLE BONDS (37.4%) | |||||||||
Communication Services (6.1%) | ||||||||||
Bandwidth, Inc. | ||||||||||
15,000,000 | 0.250%, 03/01/26^ | $ | 23,239,950 | |||||||
2,500,000 | 0.500%, 04/01/28* | 2,515,275 | ||||||||
| 12,000,000 | | Bilibili, Inc.~ 1.375%, 04/01/26 |
| 41,472,120 |
| ||||
| 15,000,000 | | EUR | Cellnex Telecom, SA 1.500%, 01/16/26 |
| 33,440,669 |
| |||
| 1,000,000,000 | | JPY | CyberAgent, Inc. 0.000%, 02/19/25 |
| 12,516,658 |
| |||
Eventbrite, Inc. | ||||||||||
2,500,000 | 5.000%, 12/01/25 | 4,172,200 | ||||||||
1,953,000 | 0.750%, 09/15/26* | 1,846,952 | ||||||||
iQIYI, Inc. | ||||||||||
20,000,000 | 2.000%, 04/01/25~ | 17,144,200 | ||||||||
19,667,000 | 4.000%, 12/15/26^ | 16,867,009 | ||||||||
7,500,000 | 3.750%, 12/01/23^ | 7,322,250 | ||||||||
JOYY, Inc. | ||||||||||
10,000,000 | 1.375%, 06/15/26 | 8,838,700 | ||||||||
10,000,000 | 0.750%, 06/15/25 | 9,339,300 | ||||||||
| 5,000,000 | | Liberty Media Corp.* 2.250%, 12/01/48 |
| 6,150,900 |
| ||||
| 5,000,000 | | Liberty Media Corp. / Liberty Formula One 1.000%, 01/30/23 |
| 6,622,300 |
| ||||
| 18,000,000 | | Magnite, Inc.* 0.250%, 03/15/26 |
| 15,521,040 |
| ||||
| 5,000,000 | | Match Group Financeco 3, Inc.* 2.000%, 01/15/30 |
| 10,090,550 |
| ||||
| 20,000,000 | | Match Group Financeco, Inc.*~ 0.875%, 10/01/22 |
| 72,450,600 |
| ||||
| 12,500,000 | | Momo, Inc. 1.250%, 07/01/25 |
| 10,563,250 |
| ||||
Sea, Ltd.~ | ||||||||||
15,000,000 | 2.375%, 12/01/25 | 46,628,400 | ||||||||
10,000,000 | 1.000%, 12/01/24 | 55,089,200 | ||||||||
Snap, Inc.~ | ||||||||||
39,397,000 | 0.000%, 05/01/27* | 45,353,827 | ||||||||
24,970,000 | 0.750%, 08/01/26 | 81,748,035 | ||||||||
10,000,000 | 0.250%, 05/01/25 | 34,355,800 | ||||||||
| 55,000,000 | | Spotify USA, Inc.^*~ 0.000%, 03/15/26 |
| 49,579,750 |
| ||||
| 7,500,000 | | TechTarget, Inc.* 0.125%, 12/15/25 |
| 9,158,850 |
| ||||
| 10,000,000 | | TripAdvisor, Inc.^* 0.250%, 04/01/26 |
| 9,258,400 |
| ||||
Twitter, Inc. | ||||||||||
50,000,000 | 0.000%, 03/15/26*~ | 48,120,500 | ||||||||
39,000,000 | 0.250%, 06/15/24^~ | 54,082,470 | ||||||||
22,500,000 | 1.000%, 09/15/21 | 22,552,425 | ||||||||
| 16,000,000 | | World Wrestling Entertainment, Inc.~ 3.375%, 12/15/23 |
| 33,072,640 |
| ||||
Zillow Group, Inc. | ||||||||||
18,000,000 | 0.750%, 09/01/24~ | 44,217,900 | ||||||||
7,500,000 | 1.375%, 09/01/26 | 18,687,225 | ||||||||
Zynga, Inc. | ||||||||||
27,500,000 | 0.250%, 06/01/24~ | 36,750,175 | ||||||||
17,500,000 | 0.000%, 12/15/26* | 18,326,000 | ||||||||
|
|
| ||||||||
907,095,520 | ||||||||||
|
|
|
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
Consumer Discretionary (9.0%) | ||||||||||
| 8,625,000 | | 2U, Inc. 2.250%, 05/01/25 | $ | 14,669,572 |
| ||||
| 56,393,000 | | Airbnb, Inc.*~ 0.000%, 03/15/26 |
| 52,856,031 |
| ||||
| 5,000,000 | | American Eagle Outfitters, Inc. 3.750%, 04/15/25 |
| 20,199,250 |
| ||||
| 30,000,000 | | Booking Holdings, Inc.~ 0.900%, 09/15/21 |
| 32,123,100 |
| ||||
| 15,000,000 | | Carnival Corp.~ 5.750%, 04/01/23 |
| 34,148,850 |
| ||||
| 3,009,000 | | Cheesecake Factory, Inc.^ 0.375%, 06/15/26 |
| 2,822,743 |
| ||||
Chegg, Inc. | ||||||||||
13,457,000 | 0.125%, 03/15/25^~ | 23,972,300 | ||||||||
7,500,000 | 0.000%, 09/01/26* | 8,132,775 | ||||||||
| 7,500,000 | | Cracker Barrel Old Country Store, Inc.^* 0.625%, 06/15/26 |
| 7,487,025 |
| ||||
| 15,000,000 | | EUR | Delivery Hero, SE 1.000%, 01/23/27 |
| 25,681,886 |
| |||
| 15,000,000 | | Dicks Sporting Goods, Inc.~ 3.250%, 04/15/25 |
| 46,154,400 |
| ||||
| 49,456,000 | | DraftKings, Inc.*~ 0.000%, 03/15/28 |
| 43,414,455 |
| ||||
Etsy, Inc. | ||||||||||
30,000,000 | 0.125%, 10/01/26^~ | 65,043,600 | ||||||||
20,000,000 | 0.250%, 06/15/28* | 20,944,200 | ||||||||
| 7,941,000 | | Expedia Group, Inc.^* 0.000%, 02/15/26 |
| 8,538,322 |
| ||||
| 10,000,000 | | Farfetch, Ltd.~ 3.750%, 05/01/27 |
| 32,555,600 |
| ||||
| 15,000,000 | | Fiverr International, Ltd.* 0.000%, 11/01/25 |
| 20,421,300 |
| ||||
| 3,000,000 | | Groupon, Inc.* 1.125%, 03/15/26 |
| 2,629,890 |
| ||||
| 15,000,000 | | Guess?, Inc. 2.000%, 04/15/24 |
| 17,048,250 |
| ||||
| 10,000,000 | | Li Auto, Inc.* 0.250%, 05/01/28 |
| 13,321,800 |
| ||||
| 7,000,000 | | Marriott Vacations Worldwide Corp.* 0.000%, 01/15/26 |
| 7,484,610 |
| ||||
| 10,000,000 | | Meituan 0.000%, 04/27/27 |
| 9,375,600 |
| ||||
| 12,500,000 | | MercadoLibre, Inc.^~ 2.000%, 08/15/28 |
| 44,857,000 |
| ||||
| 7,500,000 | | National Vision Holdings, Inc. 2.500%, 05/15/25 |
| 13,815,000 |
| ||||
| 27,500,000 | | NCL Corp. Ltd.~ 6.000%, 05/15/24 |
| 53,947,575 |
| ||||
NIO, Inc.* | ||||||||||
10,000,000 | 0.000%, 02/01/26 | 8,750,300 | ||||||||
7,449,000 | 0.500%, 02/01/27^ | 6,466,104 | ||||||||
10,000,000 | GBP | Ocado Group, PLC 0.750%, 01/18/27 | 13,729,873 | |||||||
37,500,000 | Peloton Interactive, Inc.^*~ 0.000%, 02/15/26 | 35,485,125 | ||||||||
Pinduoduo, Inc. | ||||||||||
10,000,000 | 0.000%, 12/01/25^ | 9,286,300 | ||||||||
6,750,000 | 0.000%, 10/01/24~ | 14,491,440 | ||||||||
| 4,500,000 | | Quotient Technology, Inc. 1.750%, 12/01/22 |
| 4,690,440 |
|
See accompanying Notes to Schedule of Investments
1
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
Royal Caribbean Cruises, Ltd. | ||||||||||
22,916,000 | 4.250%, 06/15/23 | $ | 29,527,266 | |||||||
5,000,000 | 2.875%, 11/15/23* | 5,982,850 | ||||||||
| 10,245,000 | | Shake Shack, Inc.* 0.000%, 03/01/28 |
| 9,600,692 |
| ||||
10,833,000 | Stride, Inc.* 1.125%, 09/01/27 | 9,902,879 | ||||||||
Tesla, Inc.~ | ||||||||||
20,000,000 | 2.375%, 03/15/22 | 209,710,200 | ||||||||
16,822,000 | 2.000%, 05/15/24^ | 186,428,974 | ||||||||
| 6,809,000 | | Under Armour, Inc. 1.500%, 06/01/24 |
| 12,710,973 |
| ||||
| 7,764,000 | | Vail Resorts, Inc.^* 0.000%, 01/01/26 |
| 7,839,388 |
| ||||
| 6,632,000 | | Vroom, Inc.* 0.750%, 07/01/26 |
| 6,452,008 |
| ||||
Wayfair, Inc. | ||||||||||
29,821,000 | 1.125%, 11/01/24~ | 63,731,950 | ||||||||
25,000,000 | 1.000%, 08/15/26~ | 44,288,000 | ||||||||
22,590,000 | 0.625%, 10/01/25* | 21,945,959 | ||||||||
|
|
| ||||||||
1,322,665,855 | ||||||||||
|
|
| ||||||||
Consumer Staples (0.4%) | ||||||||||
| 36,755,000 | | Beyond Meat, Inc.*~ 0.000%, 03/15/27 |
| 33,865,322 |
| ||||
| 15,000,000 | | Herbalife Nutrition, Ltd. 2.625%, 03/15/24 |
| 16,110,300 |
| ||||
| 4,000,000 | | Turning Point Brands, Inc. 2.500%, 07/15/24 |
| 4,779,800 |
| ||||
| 610,000,000 | | JPY | Yaoko Company, Ltd. 0.000%, 06/20/24 |
| 6,438,626 |
| |||
|
|
| ||||||||
61,194,048 | ||||||||||
|
|
| ||||||||
Energy (0.6%) | ||||||||||
| 15,000,000 | | Chesapeake Energy Corp. 5.500%, 09/15/26 |
| 951,600 |
| ||||
| 56,500,000 | | Pioneer Natural Resources Company^~ 0.250%, 05/15/25 |
| 83,122,235 |
| ||||
|
|
| ||||||||
84,073,835 | ||||||||||
|
|
| ||||||||
Financials (0.8%) | ||||||||||
| 55,000,000 | | Coinbase Global, Inc.*~ 0.500%, 06/01/26 |
| 55,531,850 |
| ||||
| 8,052,000 | | GSK Finance No 3, PLC^* 0.000%, 06/22/23 |
| 8,133,245 |
| ||||
| 4,600,000 | | Heritage Insurance Holdings, Inc. 5.875%, 08/01/37 |
| 4,551,976 |
| ||||
| 5,000,000 | | Hope Bancorp, Inc. 2.000%, 05/15/38 |
| 4,896,550 |
| ||||
| 10,467,000 | | JPMorgan Chase Financial Company, LLC§ 0.250%, 05/01/23 |
| 11,263,957 |
| ||||
LendingTree, Inc. | ||||||||||
15,000,000 | 0.500%, 07/15/25 | 13,536,000 | ||||||||
12,500,000 | 0.625%, 06/01/22~ | 14,242,625 | ||||||||
| 5,000,000 | | Realogy Group, LLC / Realogy Co-Issuer Corp.* 0.250%, 06/15/26 |
| 5,064,800 |
| ||||
|
|
| ||||||||
117,221,003 | ||||||||||
|
|
| ||||||||
Health Care (3.3%) | ||||||||||
| 5,000,000 | | Accolade, Inc.* 0.500%, 04/01/26 |
| 5,862,000 |
|
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 10,500,000 | | Allscripts Healthcare Solutions, Inc. 0.875%, 01/01/27 | $ | 14,753,865 |
| ||||
Bridgebio Pharma, Inc. | ||||||||||
10,000,000 | 2.250%, 02/01/29* | 9,138,700 | ||||||||
6,000,000 | 2.500%, 03/15/27 | 9,008,640 | ||||||||
| 3,759,000 | | Coherus Biosciences, Inc. 1.500%, 04/15/26 |
| 3,763,774 |
| ||||
| 3,500,000 | | Collegium Pharmaceutical, Inc. 2.625%, 02/15/26 |
| 3,915,660 |
| ||||
| 10,000,000 | | CONMED Corp.^ 2.625%, 02/01/24 |
| 16,185,700 |
| ||||
| 15,000,000 | | Dexcom, Inc.~ 0.750%, 12/01/23 |
| 46,945,650 |
| ||||
| 5,000,000 | | Evolent Health, Inc. 1.500%, 10/15/25 |
| 4,923,750 |
| ||||
| 4,000,000 | | Guardant Health, Inc.^* 0.000%, 11/15/27 |
| 4,342,720 |
| ||||
| 5,000,000 | | Haemonetics Corp.* 0.000%, 03/01/26 |
| 4,248,100 |
| ||||
Halozyme Therapeutics, Inc. | ||||||||||
19,000,000 | 0.250%, 03/01/27^* | 17,407,230 | ||||||||
10,000,000 | 1.250%, 12/01/24 | 18,033,000 | ||||||||
| 17,000,000 | | Innoviva, Inc.~ 2.500%, 08/15/25 |
| 18,945,820 |
| ||||
| 9,000,000 | | Insmed, Inc. 0.750%, 06/01/28 |
| 9,185,400 |
| ||||
| 10,000,000 | | Insulet Corp. 0.375%, 09/01/26 |
| 13,850,800 |
| ||||
Intercept Pharmaceuticals, Inc. | ||||||||||
5,000,000 | 3.250%, 07/01/23 | 4,531,150 | ||||||||
5,000,000 | 2.000%, 05/15/26 | 3,397,850 | ||||||||
| 11,243,000 | | Ionis Pharmaceuticals, Inc. 0.125%, 12/15/24 |
| 10,379,200 |
| ||||
Ironwood Pharmaceuticals, Inc. | ||||||||||
9,500,000 | 1.500%, 06/15/26 | 11,562,165 | ||||||||
7,500,000 | 0.750%, 06/15/24 | 9,001,050 | ||||||||
2,423,000 | 2.250%, 06/15/22 | 2,676,979 | ||||||||
| 22,500,000 | | Jazz Investments I, Ltd.~ 2.000%, 06/15/26 |
| 29,170,125 |
| ||||
| 10,000,000 | | Livongo Health, Inc. 0.875%, 06/01/25 |
| 14,798,000 |
| ||||
| 5,000,000 | | Mesa Laboratories, Inc. 1.375%, 08/15/25 |
| 6,015,600 |
| ||||
| 7,000,000 | | Natera, Inc.^ 2.250%, 05/01/27 |
| 21,381,220 |
| ||||
| 3,000,000 | | NeoGenomics, Inc. 0.250%, 01/15/28 |
| 2,956,530 |
| ||||
| 7,500,000 | | Neurocrine Biosciences, Inc.^~ 2.250%, 05/15/24 |
| 9,714,675 |
| ||||
| 25,000,000 | | Novocure, Ltd.*~ 0.000%, 11/01/25 |
| 29,780,000 |
| ||||
| 10,000,000 | | NuVasive, Inc. 0.375%, 03/15/25 |
| 9,732,900 |
| ||||
| 17,500,000 | | Oak Street Health, Inc.^* 0.000%, 03/15/26 |
| 18,533,550 |
| ||||
| 12,500,000 | | Omnicell, Inc.* 0.250%, 09/15/25 |
| 19,690,125 |
| ||||
| 2,500,000 | | OPKO Health, Inc. 4.500%, 02/15/25 |
| 3,053,600 |
| ||||
| 8,633,000 | | Pacira BioSciences, Inc.^ 0.750%, 08/01/25 |
| 9,499,581 |
| ||||
| 4,000,000 | | Revance Therapeutics, Inc. 1.750%, 02/15/27 |
| 4,678,880 |
| ||||
| 20,000,000 | | Sarepta Therapeutics, Inc.~ 1.500%, 11/15/24 |
| 24,535,800 |
|
See accompanying Notes to Schedule of Investments
2
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 12,500,000 | | SmileDirectClub, Inc.* 0.000%, 02/01/26 | $ | 9,706,500 |
| ||||
| 10,000,000 | | Supernus Pharmaceuticals, Inc. 0.625%, 04/01/23 |
| 9,831,900 |
| ||||
| 5,000,000 | | Tabula Rasa HealthCare, Inc. 1.750%, 02/15/26 |
| 4,808,950 |
| ||||
| 7,400,000 | | Tilray, Inc. 5.000%, 10/01/23 |
| 7,288,926 |
| ||||
| 5,000,000 | | Travere Therapeutics, Inc. 2.500%, 09/15/25 |
| 4,258,650 |
| ||||
| 2,000,000 | | Vocera Communications, Inc.* 0.500%, 09/15/26 |
| 1,954,700 |
| ||||
|
| |||||||||
483,449,415 | ||||||||||
|
| |||||||||
Industrials (1.1%) | ||||||||||
| 4,750,000 | | Aerojet Rocketdyne Holdings, Inc. 2.250%, 12/15/23 |
| 8,635,595 |
| ||||
| 10,285,000 | | Air Canada 4.000%, 07/01/25 |
| 15,694,396 |
| ||||
| 10,000,000 | | American Airlines Group, Inc.^ 6.500%, 07/01/25 |
| 15,313,300 |
| ||||
| 11,250,000 | | FTI Consulting, Inc.^ 2.000%, 08/15/23 |
| 16,900,538 |
| ||||
| 6,600,000 | | Greenbrier Companies, Inc.* 2.875%, 04/15/28 |
| 6,943,662 |
| ||||
| 3,126,000 | | JetBlue Airways Corp.^* 0.500%, 04/01/26 |
| 3,091,770 |
| ||||
| 5,000,000 | | John Bean Technologies Corp.* 0.250%, 05/15/26 |
| 5,391,950 |
| ||||
| 15,500,000 | | Lyft, Inc. 1.500%, 05/15/25 |
| 24,762,335 |
| ||||
| 8,467,000 | | Middleby Corp.* 1.000%, 09/01/25 |
| 13,244,674 |
| ||||
| 30,000,000 | | Southwest Airlines Company~ 1.250%, 05/01/25 |
| 44,079,000 |
| ||||
| 10,000,000 | | Spirit Airlines, Inc.^ 1.000%, 05/15/26 |
| 9,402,000 |
| ||||
|
| |||||||||
163,459,220 | ||||||||||
|
| |||||||||
Information Technology (14.9%) | ||||||||||
| 3,058,000 | | 21Vianet Group, Inc.^* 0.000%, 02/01/26 |
| 2,475,634 |
| ||||
| 7,500,000 | | 8x8, Inc. 0.500%, 02/01/24 |
| 8,896,275 |
| ||||
Akamai Technologies, Inc. | ||||||||||
43,500,000 | 0.375%, 09/01/27~ | 51,137,730 | ||||||||
20,000,000 | 0.125%, 05/01/25 | 26,723,400 | ||||||||
| 10,000,000 | | Altair Engineering, Inc.~ 0.250%, 06/01/24 |
| 15,690,900 |
| ||||
Alteryx, Inc. | ||||||||||
10,000,000 | 1.000%, 08/01/26 | 9,268,200 | ||||||||
10,000,000 | 0.500%, 08/01/24^ | 9,499,900 | ||||||||
| 5,000,000 | | Avaya Holdings Corp.^ 2.250%, 06/15/23 |
| 5,559,700 |
| ||||
| 7,500,000 | | Benefitfocus, Inc. 1.250%, 12/15/23 |
| 7,077,975 |
| ||||
| 11,398,000 | | Bentley Systems, Inc.* 0.125%, 01/15/26 |
| 13,155,230 |
| ||||
| 20,000,000 | | Bill.com Holdings, Inc.* 0.000%, 12/01/25 |
| 29,070,400 |
| ||||
Blackline, Inc. | ||||||||||
30,000,000 | 0.000%, 03/15/26* | 29,322,900 | ||||||||
24,000,000 | 0.125%, 08/01/24^~ | 39,345,840 | ||||||||
12,500,000 | Box, Inc.^* 0.000%, 01/15/26 | 14,390,375 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 3,000,000 | | CalAmp Corp. 2.000%, 08/01/25 | $ | 2,763,750 |
| ||||
| 12,500,000 | | Ceridian HCM Holding, Inc.* 0.250%, 03/15/26 |
| 12,744,500 |
| ||||
| 25,000,000 | | Cloudflare, Inc.~ 0.750%, 05/15/25 |
| 79,478,750 |
| ||||
Coupa Software, Inc. | ||||||||||
32,876,000 | 0.125%, 06/15/25^~ | 49,337,013 | ||||||||
23,000,000 | 0.375%, 06/15/26 | 24,694,410 | ||||||||
| 10,000,000 | | Cree, Inc.^ 1.750%, 05/01/26 |
| 20,716,400 |
| ||||
| 11,000,000 | | CSG Systems International, Inc.~ 4.250%, 03/15/36 |
| 11,348,150 |
| ||||
| 10,000,000 | | CyberArk Software, Ltd. 0.000%, 11/15/24 |
| 11,421,300 |
| ||||
| 2,500,000 | | Cypress Semiconductor Corp. 4.500%, 01/15/22 |
| 4,510,325 |
| ||||
| 13,500,000 | | Datadog, Inc. 0.125%, 06/15/25 |
| 18,733,005 |
| ||||
Dropbox, Inc.* | ||||||||||
27,750,000 | 0.000%, 03/01/28~ | 31,255,380 | ||||||||
23,000,000 | 0.000%, 03/01/26 | 25,074,140 | ||||||||
Enphase Energy, Inc.* | ||||||||||
11,000,000 | 0.000%, 03/01/28 | 11,156,860 | ||||||||
10,000,000 | 0.000%, 03/01/26 | 10,081,300 | ||||||||
| 9,072,000 | | Envestnet, Inc.* 0.750%, 08/15/25 |
| 8,985,907 |
| ||||
| 8,000,000 | | Everbridge, Inc.* 0.000%, 03/15/26 |
| 8,365,920 |
| ||||
| 50,000,000 | | Fastly, Inc.*~ 0.000%, 03/15/26 |
| 43,710,000 |
| ||||
FireEye, Inc. | ||||||||||
12,500,000 | 0.875%, 06/01/24 | 14,144,750 | ||||||||
5,000,000 | 1.625%, 06/01/35 | 5,003,300 | ||||||||
| 5,000,000 | | fuboTV, Inc.* 3.250%, 02/15/26 |
| 4,600,000 |
| ||||
| 5,200,000 | | GDS Holdings, Ltd. 2.000%, 06/01/25 |
| 6,809,400 |
| ||||
| 20,000,000 | | Guidewire Software, Inc.^~ 1.250%, 03/15/25 |
| 23,600,200 |
| ||||
| 2,500,000 | | i3 Verticals, LLC 1.000%, 02/15/25 |
| 2,620,300 |
| ||||
| 6,500,000 | | II-VI, Inc. 0.250%, 09/01/22 |
| 9,980,620 |
| ||||
| 15,000,000 | | Infinera Corp.~ 2.125%, 09/01/24 |
| 18,094,800 |
| ||||
| 13,000,000 | | Insight Enterprises, Inc. 0.750%, 02/15/25 |
| 19,945,510 |
| ||||
| 15,000,000 | | Itron, Inc.* 0.000%, 03/15/26 |
| 15,367,650 |
| ||||
| 6,000,000 | | Lenovo Group, Ltd. 3.375%, 01/24/24 |
| 7,623,000 |
| ||||
LivePerson, Inc. | ||||||||||
15,000,000 | 0.000%, 12/15/26* | 16,240,800 | ||||||||
7,500,000 | 0.750%, 03/01/24 | 13,186,650 | ||||||||
Lumentum Holdings, Inc. | ||||||||||
28,000,000 | 0.500%, 12/15/26^~ | 30,797,480 | ||||||||
10,000,000 | 0.250%, 03/15/24 | 14,857,700 | ||||||||
| 15,000,000 | | Medallia, Inc.* 0.125%, 09/15/25 |
| 16,093,950 |
| ||||
MicroStrategy, Inc.* | ||||||||||
29,523,000 | 0.000%, 02/15/27 | 21,881,857 | ||||||||
9,601,000 | 0.750%, 12/15/25^ | 16,417,998 | ||||||||
| 35,500,000 | | MongoDB, Inc.~ 0.250%, 01/15/26 |
| 64,147,435 |
| ||||
| 15,000,000 | | New Relic, Inc.~ 0.500%, 05/01/23 |
| 15,006,600 |
|
See accompanying Notes to Schedule of Investments
3
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 20,000,000 | | Nice Systems, Inc.~ 1.250%, 01/15/24 | $ | 66,761,400 |
| ||||
| 10,000,000 | | Nova Measuring Instruments, Ltd.* 0.000%, 10/15/25 |
| 14,126,900 |
| ||||
Nuance Communications, Inc. | ||||||||||
6,831,000 | 1.500%, 11/01/35 | 18,154,680 | ||||||||
4,000,000 | 1.250%, 04/01/25 | 11,221,360 | ||||||||
| 10,000,000 | | Nutanix, Inc.^~ 0.000%, 01/15/23 |
| 10,465,300 |
| ||||
Okta, Inc.~ | ||||||||||
43,500,000 | 0.375%, 06/15/26 | 54,872,640 | ||||||||
37,500,000 | 0.125%, 09/01/25^ | 54,722,250 | ||||||||
| 20,000,000 | | ON Semiconductor Corp.^* 0.000%, 05/01/27 |
| 21,284,000 |
| ||||
| 10,000,000 | | OSI Systems, Inc.~ 1.250%, 09/01/22 |
| 10,560,100 |
| ||||
Palo Alto Networks, Inc.~ | ||||||||||
42,925,000 | 0.750%, 07/01/23 | 66,328,568 | ||||||||
40,000,000 | 0.375%, 06/01/25 | 57,388,400 | ||||||||
| 4,500,000 | | PAR Technology Corp. 2.875%, 04/15/26 |
| 7,430,850 |
| ||||
| 32,500,000 | | Pegasystems, Inc.~ 0.750%, 03/01/25 |
| 36,889,450 |
| ||||
| 10,000,000 | | Progress Software Corp.* 1.000%, 04/15/26 |
| 10,054,400 |
| ||||
| 17,000,000 | | Proofpoint, Inc.^ 0.250%, 08/15/24 |
| 21,429,690 |
| ||||
PROS Holdings, Inc. | ||||||||||
5,000,000 | 1.000%, 05/15/24 | 5,085,800 | ||||||||
2,000,000 | 2.250%, 09/15/27* | 2,521,260 | ||||||||
Q2 Holdings, Inc. | ||||||||||
20,000,000 | 0.125%, 11/15/25* | 19,994,200 | ||||||||
5,625,000 | 0.750%, 06/01/26^ | 7,405,819 | ||||||||
| 12,500,000 | | Rapid7, Inc.* 0.250%, 03/15/27 |
| 15,621,625 |
| ||||
| 7,500,000 | | Repay Holdings Corp.* 0.000%, 02/01/26 |
| 7,471,050 |
| ||||
| 24,500,000 | | RingCentral, Inc.* 0.000%, 03/15/26 |
| 24,156,020 |
| ||||
| 17,500,000 | | Sailpoint Technologies Holdings, Inc.~ 0.125%, 09/15/24 |
| 32,167,100 |
| ||||
Shift4 Payments, Inc.* | ||||||||||
17,500,000 | 0.500%, 08/01/27 | 18,190,550 | ||||||||
15,000,000 | 0.000%, 12/15/25 | 19,516,650 | ||||||||
| 10,426,000 | | Shopify, Inc.^ 0.125%, 11/01/25 |
| 13,747,411 |
| ||||
| 12,926,000 | | Silicon Laboratories, Inc. 0.625%, 06/15/25 |
| 17,555,318 |
| ||||
| 5,000,000 | | SMART Global Holdings, Inc. 2.250%, 02/15/26 |
| 6,842,950 |
| ||||
Splunk, Inc.~ | ||||||||||
35,000,000 | 0.500%, 09/15/23 | 40,427,100 | ||||||||
32,500,000 | 1.125%, 09/15/25 | 39,314,275 | ||||||||
Square, Inc. | ||||||||||
35,000,000 | 0.500%, 05/15/23~ | 111,103,300 | ||||||||
20,000,000 | 0.125%, 03/01/25^~ | 42,153,600 | ||||||||
10,000,000 | 0.000%, 05/01/26^* | 11,377,000 | ||||||||
| 7,500,000 | | EUR | Talend, SA 1.750%, 09/01/24 |
| 10,976,959 |
| |||
| 15,000,000 | | Teradyne, Inc.~ 1.250%, 12/15/23 |
| 60,270,450 |
| ||||
| 22,000,000 | | Tyler Technologies, Inc.* 0.250%, 03/15/26 |
| 25,164,480 |
| ||||
| 10,000,000 | | Verint Systems, Inc.* 0.250%, 04/15/26 |
| 9,648,500 |
|
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 12,500,000 | | Viavi Solutions, Inc.^~ 1.000%, 03/01/24 | $ | 16,934,250 |
| ||||
| 10,000,000 | | Vishay Intertechnology, Inc. 2.250%, 06/15/25 |
| 10,513,800 |
| ||||
| 10,000,000 | | Weibo Corp. 1.250%, 11/15/22 |
| 9,583,200 |
| ||||
| 4,217,000 | | Wix.com, Ltd. 0.000%, 07/01/23 |
| 8,893,105 |
| ||||
| 40,000,000 | | Workday, Inc.~ 0.250%, 10/01/22 |
| 64,762,000 |
| ||||
| 17,500,000 | | Workiva, Inc.^ 1.125%, 08/15/26 |
| 30,583,350 |
| ||||
Zendesk, Inc.~ | ||||||||||
26,000,000 | 0.625%, 06/15/25 | 35,436,180 | ||||||||
10,000,000 | 0.250%, 03/15/23 | 20,804,800 | ||||||||
| 17,500,000 | | Zscaler, Inc. 0.125%, 07/01/25 |
| 29,240,750 |
| ||||
|
|
| ||||||||
2,201,564,409 | ||||||||||
|
|
| ||||||||
Materials (0.4%) | ||||||||||
| 10,000,000 | | Allegheny Technologies, Inc. 3.500%, 06/15/25 |
| 15,460,000 |
| ||||
| 20,000,000 | | CHF | Sika, AG 0.150%, 06/05/25 |
| 37,305,073 |
| |||
| 5,000,000 | | EUR | Symrise, AG 0.238%, 06/20/24 |
| 7,997,990 |
| |||
|
|
| ||||||||
60,763,063 | ||||||||||
|
|
| ||||||||
Real Estate (0.6%) | ||||||||||
| 17,700,000 | | IH Merger Sub, LLC~ 3.500%, 01/15/22 |
| 31,665,477 |
| ||||
| 10,500,000 | | EUR | IMMOFINANZ, AG 1.500%, 01/24/24 |
| 13,444,596 |
| |||
| 7,500,000 | | iStar, Inc. 3.125%, 09/15/22 |
| 13,135,800 |
| ||||
Redfin Corp.* | ||||||||||
15,000,000 | 0.500%, 04/01/27 | 14,444,850 | ||||||||
15,000,000 | 0.000%, 10/15/25^ | 16,267,050 | ||||||||
|
|
| ||||||||
88,957,773 | ||||||||||
|
|
| ||||||||
Utilities (0.2%) | ||||||||||
| 12,500,000 | | NextEra Energy Partners, LP^* 0.000%, 06/15/24 |
| 12,570,250 |
| ||||
| 10,000,000 | | Sunnova Energy International, Inc.* 0.250%, 12/01/26 |
| 12,713,100 |
| ||||
|
|
| ||||||||
25,283,350 | ||||||||||
|
|
| ||||||||
TOTAL CONVERTIBLE BONDS (Cost $4,292,665,142) | 5,515,727,491 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
CORPORATE BOND (0.0%) | ||||||||||
Communication Services (0.0%) | ||||||||||
| 3,000,000 | | Sirius XM Radio, Inc.* 3.875%, 08/01/22 (Cost $2,890,412) |
| 3,000,000 |
| ||||
|
|
| ||||||||
|
|
|
See accompanying Notes to Schedule of Investments
4
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS (3.0%) | ||||||||||
Communication Services (0.2%) | ||||||||||
| 21,292 | | 2020 Cash Mandatory Exchangeable Trust*~ 5.250%, 06/01/23 | $ | 26,941,407 |
| ||||
|
|
| ||||||||
Consumer Discretionary (0.1%) | ||||||||||
| 116,491 | | Aptiv, PLC^ 5.500%, 06/15/23 |
| 21,872,350 |
| ||||
|
|
| ||||||||
Consumer Staples (0.1%) | ||||||||||
| 100,000 | | Energizer Holdings, Inc. 7.500%, 01/15/22 |
| 9,062,000 |
| ||||
|
|
| ||||||||
Financials (0.2%) | ||||||||||
| 15,000 | | 2020 Mandatory Exchangeable Trust*~ 6.500%, 05/16/23 |
| 28,330,050 |
| ||||
|
|
| ||||||||
Health Care (0.5%) | ||||||||||
| 590,000 | | Avantor, Inc.~ 6.250%, 05/15/22 |
| 68,233,500 |
| ||||
| 3,500 | | Danaher Corp. 4.750%, 04/15/22 |
| 6,974,625 |
| ||||
|
|
| ||||||||
75,208,125 | ||||||||||
|
|
| ||||||||
Industrials (0.5%) | ||||||||||
| 178,572 | | Clarivate, PLC 5.250%, 06/01/24 |
| 16,232,195 |
| ||||
| 230,000 | | Colfax Corp.~ 5.750%, 01/15/22 |
| 42,637,400 |
| ||||
| 104,200 | | Stanley Black & Decker, Inc.^~ 5.250%, 11/15/22 |
| 12,295,600 |
| ||||
|
|
| ||||||||
71,165,195 | ||||||||||
|
|
| ||||||||
Information Technology (0.1%) | ||||||||||
50,000 | II-VI, Inc. | |||||||||
6.000%, 07/01/23 | 14,591,000 | |||||||||
|
|
| ||||||||
Materials (0.1%) | ||||||||||
| 242,647 | | International Flavors & Fragrances, Inc. 6.000%, 09/15/21 |
| 12,360,438 |
| ||||
|
|
| ||||||||
Utilities (1.2%) | ||||||||||
American Electric Power Company, Inc. | ||||||||||
400,000 | 6.125%, 08/15/23~ | 21,228,000 | ||||||||
99,780 | 6.125%, 03/15/22 | 5,015,940 | ||||||||
| 400,000 | | CenterPoint Energy, Inc.^~ 7.000%, 09/01/21 |
| 18,836,000 |
| ||||
| 300,000 | | DTE Energy Company 6.250%, 11/01/22 |
| 15,390,000 |
| ||||
| 308,881 | | Essential Utilities, Inc.~ 6.000%, 04/30/22 |
| 18,733,633 |
| ||||
NextEra Energy, Inc.^ | ||||||||||
650,000 | 4.872%, 09/01/22~ | 38,200,500 | ||||||||
300,000 | 6.219%, 09/01/23 | 15,567,000 | ||||||||
205,000 | 5.279%, 03/01/23 | 10,524,700 | ||||||||
| 150,000 | | PG&E Corp. 5.500%, 08/16/23 |
| 13,563,000 |
|
NUMBER OF SHARES |
|
| VALUE | |||||||
| 400,000 | | Southern Company^~ 6.750%, 08/01/22 | $ | 20,740,000 |
| ||||
|
|
| ||||||||
177,798,773 | ||||||||||
|
|
| ||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $347,373,149) | 437,329,338 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
COMMON STOCKS (51.3%) | ||||||||||
Communication Services (5.4%) | ||||||||||
129,762 | Activision Blizzard, Inc. | 10,850,698 | ||||||||
49,404 | Alphabet, Inc. - Class A~# | 133,120,560 | ||||||||
57,182 | Alphabet, Inc. - Class C~# | 154,644,145 | ||||||||
1,393,569 | AT&T, Inc.~ | 39,089,611 | ||||||||
37,341 | Charter Communications, Inc.^# | 27,783,571 | ||||||||
921,193 | Comcast Corp. - Class A~ | 54,193,784 | ||||||||
554,815 | Facebook, Inc. - Class A~# | 197,680,585 | ||||||||
159,194 | Fox Corp. - Class A | 5,676,858 | ||||||||
94,569 | Netflix, Inc.# | 48,946,077 | ||||||||
152,219 | Twitter, Inc.# | 10,617,275 | ||||||||
819,785 | Verizon Communications, Inc.~ | 45,727,607 | ||||||||
372,030 | Walt Disney Company~# | 65,484,721 | ||||||||
|
|
| ||||||||
793,815,492 | ||||||||||
|
|
| ||||||||
Consumer Discretionary (5.2%) | ||||||||||
81,588 | Amazon.com, Inc.~# | 271,491,413 | ||||||||
128,842 | Aptiv, PLC# | 21,497,288 | ||||||||
7,378 | Booking Holdings, Inc.~# | 16,071,202 | ||||||||
7,921 | Chipotle Mexican Grill, Inc. - Class A# | 14,760,308 | ||||||||
56,277 | Darden Restaurants, Inc.~ | 8,209,689 | ||||||||
48,815 | Dollar General Corp.~ | 11,356,322 | ||||||||
170,964 | DR Horton, Inc.~ | 16,315,095 | ||||||||
196,803 | eBay, Inc. | 13,423,933 | ||||||||
52,555 | Expedia Group, Inc.# | 8,454,523 | ||||||||
564,849 | Ford Motor Company~# | 7,879,644 | ||||||||
203,605 | General Motors Company# | 11,572,908 | ||||||||
227,376 | Home Depot, Inc.~ | 74,622,529 | ||||||||
115,439 | Leggett & Platt, Inc. | 5,544,535 | ||||||||
193,477 | Lowes Companies, Inc.~ | 37,281,083 | ||||||||
168,548 | McDonalds Corp. | 40,908,285 | ||||||||
186,736 | MGM Resorts International | 7,008,202 | ||||||||
46,618 | Mohawk Industries, Inc.~# | 9,085,848 | ||||||||
254,447 | NIKE, Inc. - Class B~ | 42,622,417 | ||||||||
23,141 | OReilly Automotive, Inc.# | 13,973,461 | ||||||||
46,513 | PVH Corp.~# | 4,866,190 | ||||||||
97,179 | Ross Stores, Inc.~ | 11,922,892 | ||||||||
121,238 | Royal Caribbean Cruises, Ltd.^# | 9,319,565 | ||||||||
236,017 | Starbucks Corp.~ | 28,659,544 | ||||||||
145,966 | Target Corp.~ | 38,104,424 | ||||||||
10,073 | Tesla, Inc.# | 6,922,166 | ||||||||
303,775 | TJX Companies, Inc.~ | 20,902,758 | ||||||||
17,803 | Ulta Beauty, Inc.# | 5,978,247 | ||||||||
102,532 | VF Corp. | 8,223,066 | ||||||||
41,131 | Wynn Resorts, Ltd.# | 4,044,411 | ||||||||
|
|
| ||||||||
771,021,948 | ||||||||||
|
|
| ||||||||
Consumer Staples (2.8%) | ||||||||||
395,620 | Altria Group, Inc.~ | 19,005,585 | ||||||||
160,919 | Archer-Daniels-Midland Company~ | 9,610,083 | ||||||||
103,416 | Church & Dwight Company, Inc. | 8,953,757 | ||||||||
806,148 | Coca-Cola Company | 45,974,620 | ||||||||
159,454 | Colgate-Palmolive Company~ | 12,676,593 |
See accompanying Notes to Schedule of Investments
5
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
79,929 | Constellation Brands, Inc. - Class A | $ | 17,931,272 | |||||||
63,328 | Costco Wholesale Corp.~ | 27,213,308 | ||||||||
174,411 | General Mills, Inc. | 10,265,832 | ||||||||
128,549 | Kellogg Company~ | 8,144,865 | ||||||||
95,809 | Kimberly-Clark Corp. | 13,003,198 | ||||||||
221,575 | Kraft Heinz Company | 8,523,990 | ||||||||
229,653 | Kroger Company | 9,346,877 | ||||||||
370,044 | Mondelez International, Inc. - Class A | 23,408,983 | ||||||||
99,555 | Monster Beverage Corp.# | 9,390,028 | ||||||||
267,058 | PepsiCo, Inc.~ | 41,914,753 | ||||||||
212,331 | Philip Morris International, Inc.~ | 21,252,210 | ||||||||
395,097 | Procter & Gamble Company | 56,194,646 | ||||||||
172,541 | Sysco Corp. | 12,802,542 | ||||||||
161,796 | Walgreens Boots Alliance, Inc. | 7,628,681 | ||||||||
351,099 | Walmart, Inc.~ | 50,049,163 | ||||||||
|
| |||||||||
413,290,986 | ||||||||||
|
| |||||||||
Energy (1.3%) | ||||||||||
5,867 | Chesapeake Energy Corp.^ | 317,111 | ||||||||
435,577 | Chevron Corp.~ | 44,346,094 | ||||||||
263,460 | ConocoPhillips~ | 14,769,568 | ||||||||
78,853 | EOG Resources, Inc.~ | 5,745,230 | ||||||||
483,812 | Exxon Mobil Corp.~ | 27,853,057 | ||||||||
184,233 | Hess Corp. | 14,082,770 | ||||||||
545,734 | Kinder Morgan, Inc. | 9,484,857 | ||||||||
408,568 | Marathon Petroleum Corp. | 22,561,125 | ||||||||
169,378 | Occidental Petroleum Corp. | 4,420,766 | ||||||||
109,397 | ONEOK, Inc. | 5,685,362 | ||||||||
76,783 | Phillips 66~ | 5,638,176 | ||||||||
98,401 | Pioneer Natural Resources Company | 14,304,553 | ||||||||
243,414 | Schlumberger, NV | 7,017,626 | ||||||||
74,285 | Valero Energy Corp.~ | 4,974,866 | ||||||||
275,358 | Williams Companies, Inc. | 6,897,718 | ||||||||
|
| |||||||||
188,098,879 | ||||||||||
|
| |||||||||
Financials (5.4%) | ||||||||||
135,644 | Aflac, Inc.~ | 7,460,420 | ||||||||
105,826 | Allstate Corp.~ | 13,762,671 | ||||||||
122,286 | American Express Company~ | 20,853,432 | ||||||||
386,939 | American International Group, Inc.~ | 18,321,562 | ||||||||
53,024 | Ameriprise Financial, Inc. | 13,656,861 | ||||||||
94,600 | Arthur J Gallagher & Company | 13,178,726 | ||||||||
79,535 | Assurant, Inc. | 12,551,418 | ||||||||
66,000 | Athene Holding, Ltd.# | 4,264,920 | ||||||||
200,000 | B Riley Principal 250 Merger Corp.# | 1,992,000 | ||||||||
2,150,607 | Bank of America Corp.~ | 82,497,285 | ||||||||
197,484 | Bank of New York Mellon Corp. | 10,136,854 | ||||||||
349,759 | Berkshire Hathaway Inc- Class B~# | 97,334,432 | ||||||||
20,489 | BlackRock, Inc.~ | 17,767,446 | ||||||||
228,679 | Capital One Financial Corp.~ | 36,977,394 | ||||||||
136,102 | Cboe Global Markets, Inc. | 16,124,004 | ||||||||
149,532 | Charles Schwab Corp.~ | 10,160,699 | ||||||||
88,325 | Chubb, Ltd.~ | 14,903,961 | ||||||||
406,820 | Citigroup, Inc.~ | 27,509,168 | ||||||||
42,615 | CME Group, Inc. | 9,039,920 | ||||||||
74,676 | Discover Financial Services | 9,283,720 | ||||||||
86,187 | First Republic Bank/CA | 16,808,189 | ||||||||
114,870 | Goldman Sachs Group, Inc.~ | 43,062,466 | ||||||||
702,724 | JPMorgan Chase & Company~ | 106,659,449 | ||||||||
52,711 | M&T Bank Corp. | 7,055,367 |
NUMBER OF SHARES |
|
| VALUE | |||||||
146,236 | Marsh & McLennan Companies, Inc. | $ | 21,528,864 | |||||||
159,332 | MetLife, Inc.~ | 9,193,456 | ||||||||
383,777 | Morgan Stanley~ | 36,834,917 | ||||||||
84,428 | Northern Trust Corp. | 9,527,700 | ||||||||
63,451 | Prudential Financial, Inc.~ | 6,362,866 | ||||||||
55,077 | S&P Global, Inc. | 23,612,611 | ||||||||
79,739 | State Street Corp.~ | 6,948,456 | ||||||||
70,724 | Travelers Companies, Inc.~ | 10,532,218 | ||||||||
142,512 | Truist Financial Corp. | 7,756,928 | ||||||||
161,255 | US Bancorp | 8,956,103 | ||||||||
702,136 | Wells Fargo & Company~ | 32,256,128 | ||||||||
254,498 | Zions Bancorp NA | 13,272,071 | ||||||||
|
| |||||||||
798,144,682 | ||||||||||
|
| |||||||||
Health Care (6.5%) | ||||||||||
274,383 | Abbott Laboratories~ | 33,194,855 | ||||||||
344,187 | AbbVie, Inc.~ | 40,028,948 | ||||||||
232,830 | Agilent Technologies, Inc. | 35,676,541 | ||||||||
19,007 | Align Technology, Inc.# | 13,225,071 | ||||||||
77,154 | Amgen, Inc.~ | 18,635,777 | ||||||||
270,691 | AstraZeneca, PLC | 15,494,339 | ||||||||
248,547 | Baxter International, Inc. | 19,225,111 | ||||||||
65,945 | Becton Dickinson and Company | 16,865,434 | ||||||||
39,457 | Biogen, Inc.~# | 12,891,786 | ||||||||
618,390 | Boston Scientific Corp.# | 28,198,584 | ||||||||
504,956 | Bristol-Myers Squibb Company~ | 34,271,364 | ||||||||
124,934 | Centene Corp.# | 8,571,722 | ||||||||
369,000 | Change Healthcare, Inc.# | 8,010,990 | ||||||||
53,166 | Cigna Corp. | 12,201,065 | ||||||||
234,851 | CVS Health Corp.~ | 19,342,328 | ||||||||
100,976 | Danaher Corp. | 30,039,350 | ||||||||
118,156 | Edwards Lifesciences Corp.~# | 13,265,374 | ||||||||
185,399 | Eli Lilly & Company | 45,144,657 | ||||||||
249,447 | Gilead Sciences, Inc. | 17,034,736 | ||||||||
53,722 | HCA Healthcare, Inc. | 13,333,800 | ||||||||
49,893 | Humana, Inc. | 21,247,433 | ||||||||
29,626 | Illumina, Inc.# | 14,687,090 | ||||||||
29,942 | Intuitive Surgical, Inc.# | 29,686,295 | ||||||||
504,962 | Johnson & Johnson~ | 86,954,456 | ||||||||
68,209 | Laboratory Corp. of America Holdings~# | 20,200,095 | ||||||||
49,534 | McKesson Corp. | 10,096,515 | ||||||||
304,515 | Medtronic, PLC | 39,985,865 | ||||||||
506,730 | Merck & Company, Inc. | 38,952,335 | ||||||||
50,673 | Organon & Company# | 1,470,024 | ||||||||
1,099,189 | Pfizer, Inc.~ | 47,056,281 | ||||||||
197,062 | PPD, Inc.# | 9,088,499 | ||||||||
64,473 | Quest Diagnostics, Inc.~ | 9,142,271 | ||||||||
13,096 | Regeneron Pharmaceuticals, Inc.~# | 7,525,093 | ||||||||
46,712 | Stryker Corp.~ | 12,656,149 | ||||||||
59,370 | Thermo Fisher Scientific, Inc.~ | 32,060,394 | ||||||||
225,774 | UnitedHealth Group, Inc.~ | 93,068,558 | ||||||||
101,000 | Vertex Pharmaceuticals, Inc.# | 20,359,580 | ||||||||
50,507 | Zimmer Biomet Holdings, Inc. | 8,253,854 | ||||||||
65,122 | Zoetis, Inc. | 13,200,229 | ||||||||
|
| |||||||||
950,342,848 | ||||||||||
|
| |||||||||
Industrials (4.0%) | ||||||||||
106,457 | 3M Company | 21,072,099 | ||||||||
55,809 | Allegion plc | 7,623,509 | ||||||||
103,145 | Boeing Company~# | 23,360,280 | ||||||||
228,452 | Carrier Global Corp. | 12,621,973 | ||||||||
162,669 | Caterpillar, Inc.~ | 33,631,816 | ||||||||
802,584 | CSX Corp.~ | 25,939,515 |
See accompanying Notes to Schedule of Investments
6
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
55,143 | Deere & Company | $ | 19,939,157 | |||||||
241,860 | Delta Air Lines, Inc.~# | 9,650,214 | ||||||||
81,197 | Eaton Corp., PLC | 12,833,186 | ||||||||
215,211 | Emerson Electric Company~ | 21,712,638 | ||||||||
40,687 | FedEx Corp. | 11,390,326 | ||||||||
117,299 | Fortune Brands Home & Security, Inc. | 11,433,133 | ||||||||
47,300 | General Dynamics Corp. | 9,272,219 | ||||||||
1,634,544 | General Electric Company | 21,167,345 | ||||||||
168,291 | Honeywell International, Inc. | 39,344,753 | ||||||||
56,000 | IHS Markit, Ltd. | 6,543,040 | ||||||||
67,481 | Illinois Tool Works, Inc.~ | 15,295,918 | ||||||||
185,284 | Johnson Controls International plc | 13,232,983 | ||||||||
46,051 | Kansas City Southern | 12,332,458 | ||||||||
62,769 | L3Harris Technologies, Inc. | 14,232,243 | ||||||||
38,671 | Lockheed Martin Corp. | 14,372,851 | ||||||||
159,368 | Masco Corp. | 9,515,863 | ||||||||
42,452 | Norfolk Southern Corp. | 10,945,399 | ||||||||
71,786 | Northrop Grumman Corp. | 26,059,754 | ||||||||
71,219 | Otis Worldwide Corp. | 6,377,661 | ||||||||
112,050 | PACCAR, Inc. | 9,299,029 | ||||||||
132,398 | Pentair, PLC | 9,753,761 | ||||||||
257,024 | Raytheon Technologies Corp.~ | 22,348,237 | ||||||||
178,731 | Southwest Airlines Company~# | 9,029,490 | ||||||||
82,786 | Spirit Airlines, Inc.# | 2,233,566 | ||||||||
78,523 | Stanley Black & Decker, Inc. | 15,472,957 | ||||||||
9,515 | Teledyne Technologies, Inc.# | 4,308,107 | ||||||||
202,548 | Union Pacific Corp.~ | 44,309,400 | ||||||||
128,469 | United Parcel Service Inc- Class B | 24,583,828 | ||||||||
62,824 | Verisk Analytics, Inc. | 11,932,791 | ||||||||
120,034 | Waste Management, Inc. | 17,796,241 | ||||||||
88,383 | Xylem Inc/NY | 11,123,000 | ||||||||
|
| |||||||||
592,090,740 | ||||||||||
|
| |||||||||
Information Technology (13.5%) |
| |||||||||
114,278 | Accenture, PLC - Class A~ | 36,303,835 | ||||||||
91,922 | Adobe, Inc.# | 57,141,473 | ||||||||
280,860 | Advanced Micro Devices, Inc.# | 29,824,523 | ||||||||
163,615 | Amphenol Corp- Class A~ | 11,860,451 | ||||||||
2,933,227 | Apple, Inc.~ | 427,840,490 | ||||||||
459,130 | Applied Materials, Inc.~ | 64,246,061 | ||||||||
53,923 | Autodesk, Inc.# | 17,316,293 | ||||||||
106,424 | Automatic Data Processing, Inc. | 22,309,663 | ||||||||
84,367 | Broadcom, Inc. | 40,951,742 | ||||||||
1,051,394 | Cisco Systems, Inc.~ | 58,215,686 | ||||||||
69,805 | Citrix Systems, Inc. | 7,032,854 | ||||||||
200,000 | Cloudera, Inc.# | 3,174,000 | ||||||||
138,395 | Cognizant Technology Solutions Corp. - Class A~ | 10,176,184 | ||||||||
130,000 | DouYu International Holdings, Ltd.# | 523,900 | ||||||||
74,251 | Fidelity National Information Services, Inc. | 11,067,112 | ||||||||
125,722 | Fiserv, Inc.# | 14,471,859 | ||||||||
10,520 | Five9, Inc.# | 2,117,571 | ||||||||
46,736 | Gartner, Inc.# | 12,372,421 | ||||||||
71,260 | Global Payments, Inc. | 13,782,397 | ||||||||
269,320 | HP, Inc. | 7,775,268 | ||||||||
775,303 | Intel Corp.~ | 41,649,277 | ||||||||
127,933 | International Business Machines Corp. | 18,033,436 | ||||||||
53,584 | Intuit, Inc. | 28,397,913 | ||||||||
47,505 | Jack Henry & Associates, Inc. | 8,270,145 | ||||||||
20,234 | Lam Research Corp. | 12,897,354 | ||||||||
172,695 | Mastercard, Inc. - Class A | 66,649,908 | ||||||||
90,000 | Maxim Integrated Products, Inc. | 8,991,900 |
NUMBER OF SHARES |
|
| VALUE | |||||||
350,835 | Micron Technology, Inc.~# | $ | 27,217,779 | |||||||
1,468,218 | Microsoft Corp.~ | 418,309,990 | ||||||||
76,837 | NetApp, Inc. | 6,115,457 | ||||||||
558,328 | NVIDIA Corp. | 108,868,377 | ||||||||
366,338 | Oracle Corp. | 31,922,693 | ||||||||
99,884 | Paychex, Inc. | 11,368,797 | ||||||||
39,860 | Paycom Software, Inc.# | 15,944,000 | ||||||||
200,014 | PayPal Holdings, Inc.# | 55,109,857 | ||||||||
17,500 | Proofpoint, Inc.# | 3,056,550 | ||||||||
230,397 | QUALCOMM, Inc. | 34,513,471 | ||||||||
211,489 | salesforce.com, Inc.# | 51,165,621 | ||||||||
33,789 | ServiceNow, Inc.# | 19,864,215 | ||||||||
69,354 | TE Connectivity, Ltd. | 10,227,634 | ||||||||
124,629 | Texas Instruments, Inc.~ | 23,756,780 | ||||||||
386,304 | Visa, Inc. - Class A^~ | 95,181,443 | ||||||||
69,990 | Western Digital Corp.# | 4,544,451 | ||||||||
320,957 | Western Union Company | 7,449,412 | ||||||||
231,752 | Xilinx, Inc. | 34,725,720 | ||||||||
|
| |||||||||
1,992,735,963 | ||||||||||
|
| |||||||||
Materials (1.2%) | ||||||||||
63,455 | Air Products and Chemicals, Inc.~ | 18,467,309 | ||||||||
51,735 | Avery Dennison Corp. | 10,899,530 | ||||||||
143,545 | Ball Corp. | 11,609,920 | ||||||||
180,335 | Corteva, Inc. | 7,714,731 | ||||||||
180,334 | Dow, Inc. | 11,209,561 | ||||||||
162,390 | DuPont de Nemours, Inc. | 12,187,370 | ||||||||
65,000 | Forterra, Inc.# | 1,533,350 | ||||||||
494,146 | Freeport-McMoRan, Inc. | 18,826,963 | ||||||||
12,882 | International Flavors & Fragrances, Inc. | 1,940,544 | ||||||||
138,624 | Linde, PLC | 42,611,631 | ||||||||
161,927 | Newmont Corp. | 10,172,254 | ||||||||
77,917 | PPG Industries, Inc. | 12,740,988 | ||||||||
46,673 | Sherwin-Williams Company | 13,583,243 | ||||||||
|
| |||||||||
173,497,394 | ||||||||||
|
| |||||||||
Real Estate (1.2%) | ||||||||||
53,807 | Alexandria Real Estate Equities, Inc. | 10,833,501 | ||||||||
74,243 | American Tower Corp.~ | 20,995,920 | ||||||||
49,500 | AvalonBay Communities, Inc.~ | 11,277,585 | ||||||||
68,590 | Crown Castle International Corp. | 13,244,043 | ||||||||
58,729 | Digital Realty Trust, Inc. | 9,053,663 | ||||||||
14,222 | Equinix, Inc. | 11,667,871 | ||||||||
47,788 | Federal Realty Investment Trust | 5,616,524 | ||||||||
64,145 | Mid-America Apartment Communities, Inc. | 12,386,399 | ||||||||
100,814 | Prologis, Inc.~ | 12,908,225 | ||||||||
35,324 | Public Storage~ | 11,038,044 | ||||||||
122,462 | Realty Income Corp. | 8,607,854 | ||||||||
99,885 | Regency Centers Corp. | 6,533,478 | ||||||||
81,023 | Simon Property Group, Inc. | 10,251,030 | ||||||||
155,397 | UDR, Inc. | 8,545,281 | ||||||||
125,676 | Welltower, Inc. | 10,916,217 | ||||||||
240,027 | Weyerhaeuser Company | 8,096,111 | ||||||||
|
| |||||||||
171,971,746 | ||||||||||
|
| |||||||||
Special Purpose Acquisition Companies (3.6%)# |
| |||||||||
65,000 | ABG Acquisition Corp. I | 631,150 | ||||||||
500,000 | Accelerate Acquisition Corp. | 5,015,000 | ||||||||
600,000 | Acropolis Infrastructure Acquisition Corp. | 6,002,460 | ||||||||
50,000 | Advanced Merger Partners, Inc. | 496,000 | ||||||||
750,000 | AF Acquisition Corp. | 7,436,250 | ||||||||
500,000 | African Gold Acquisition Corp. | 5,047,500 |
See accompanying Notes to Schedule of Investments
7
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
550,000 | Agile Growth Corp. | $ | 5,480,750 | |||||||
250,000 | Alkuri Global Acquisition Corp. | 2,557,500 | ||||||||
10,000 | Alpha Capital Acquisition Company | 99,700 | ||||||||
1,225,000 | Alpha Partners Technology Merger Corp. | 12,164,250 | ||||||||
1,000,000 | AltC Acquisition Corp- Class A | 9,850,000 | ||||||||
10,000 | Altimar Acquisition Corp. III | 100,700 | ||||||||
500,000 | Angel Pond Holdings Corp. | 4,955,000 | ||||||||
300,000 | Anzu Special Acquisition Corp. I | 2,985,000 | ||||||||
10,000 | Apollo Strategic Growth Capital II | 99,350 | ||||||||
25,100 | Arctos NorthStar Acquisition Corp. | 250,071 | ||||||||
100,000 | Ares Acquisition Corp. | 1,005,000 | ||||||||
125,000 | Aries I Acquisition Corp. | 1,275,000 | ||||||||
100,000 | Arrowroot Acquisition Corp. | 1,003,000 | ||||||||
600,000 | Artisan Acquisition Corp. | 6,003,000 | ||||||||
511,397 | Astrea Acquisition Corp. | 5,106,299 | ||||||||
400,000 | Athena Technology Acquisition Corp. | 4,128,000 | ||||||||
240,000 | Atlantic Coastal Acquisition Corp. | 2,385,600 | ||||||||
25,000 | Atlas Crest Investment Corp. II | 250,000 | ||||||||
300,000 | Austerlitz Acquisition Corp. II | 3,000,000 | ||||||||
600,000 | Belong Acquisition Corp. | 5,934,000 | ||||||||
119,900 | Big Sky Growth Partners, Inc. | 1,195,403 | ||||||||
500,000 | Bilander Acquisition Corp. | 4,960,000 | ||||||||
463,200 | Black Spade Acquisition Company | 4,632,000 | ||||||||
100,000 | BlueRiver Acquisition Corp. | 995,000 | ||||||||
30,000 | Broadscale Acquisition Corp. | 300,000 | ||||||||
500,000 | Build Acquisition Corp. | 5,015,000 | ||||||||
500,000 | BYTE Acquisition Corp. | 4,995,000 | ||||||||
100,000 | CA Healthcare Acquisition Corp. | 1,027,000 | ||||||||
210,000 | Cartesian Growth Corp. | 2,095,800 | ||||||||
300,000 | Catalyst Partners Acquisition Corp. | 3,018,000 | ||||||||
75,000 | Catcha Investment Corp. | 746,250 | ||||||||
50,000 | CC Neuberger Principal Holdings III | 499,500 | ||||||||
100,000 | Centricus Acquisition Corp. | 1,025,000 | ||||||||
25,000 | CF Acquisition Corp. V | 253,750 | ||||||||
50,000 | CF Acquisition Corp. VIII | 503,500 | ||||||||
200,000 | Clarim Acquisition Corp. | 1,984,000 | ||||||||
10,000 | Climate Real Impact Solutions II Acquisition Corp. | 99,700 | ||||||||
20,000 | Colicity, Inc. | 199,400 | ||||||||
500,000 | Coliseum Acquisition Corp. | 4,930,000 | ||||||||
500,000 | Colombier Acquisition Corp. | 4,960,000 | ||||||||
150,000 | Compute Health Acquisition Corp. | 1,498,500 | ||||||||
20,000 | Constellation Acquisition Corp. I | 201,000 | ||||||||
250,000 | Corazon Capital V838 Monoceros Corp. | 2,507,500 | ||||||||
125,000 | Corner Growth Acquisition Corp. 2 | 1,245,625 | ||||||||
500,000 | Corsair Partnering Corp. | 5,000,000 | ||||||||
50,000 | COVA Acquisition Corp. | 501,500 | ||||||||
400,000 | Crown PropTech Acquisitions | 3,968,000 | ||||||||
200,000 | D & Z Media Acquisition Corp. | 1,993,000 | ||||||||
100,000 | Decarbonization Plus Acquisition Corp. II | 986,000 | ||||||||
175,000 | DHB Capital Corp. | 1,733,375 | ||||||||
500,000 | DHC Acquisition Corp. | 5,030,000 | ||||||||
100,000 | DiamondHead Holdings Corp. | 995,000 | ||||||||
625,000 | Digital Transformation Opportunities Corp. | 6,221,875 | ||||||||
500,000 | Disruptive Acquisition Corp. I | 4,982,500 | ||||||||
40,306 | dMY Technology Group, Inc. IV | 407,091 | ||||||||
20,000 | ECP Environmental Growth Opportunities Corp. | 201,400 | ||||||||
100,000 | Edify Acquisition Corp. | 1,004,000 |
NUMBER OF SHARES |
|
| VALUE | |||||||
325,000 | EJF Acquisition Corp. | $ | 3,228,875 | |||||||
250,000 | Elliott Opportunity II Corp. | 2,505,000 | ||||||||
26,400 | Empowerment & Inclusion Capital I Corp. | 265,320 | ||||||||
300,700 | EQ Health Acquisition Corp. | 3,028,049 | ||||||||
140,000 | EUR | ESG Core Investments, BV | 1,589,020 | |||||||
400,000 | ESM Acquisition Corp. | 4,000,000 | ||||||||
100,000 | European Biotech Acquisition Corp. | 1,000,000 | ||||||||
40,000 | FAST Acquisition Corp. II | 400,400 | ||||||||
206,711 | Fifth Wall Acquisition Corp. III | 2,050,573 | ||||||||
40,000 | Figure Acquisition Corp. I | 402,000 | ||||||||
15,000 | FinServ Acquisition Corp. II | 150,000 | ||||||||
50,000 | FinTech Acquisition Corp. VI | 502,500 | ||||||||
75,000 | Fintech Evolution Acquisition Group | 745,500 | ||||||||
50,000 | First Reserve Sustainable Growth Corp. | 500,000 | ||||||||
400,000 | Flame Acquisition Corp. | 4,080,000 | ||||||||
20,000 | Forest Road Acquisition Corp. II | 199,000 | ||||||||
100,000 | Fortistar Sustainable Solutions Corp. | 1,017,000 | ||||||||
200,000 | Fortress Value Acquisition Corp. IV | 2,000,000 | ||||||||
500,000 | Forum Merger IV Corp. | 4,975,000 | ||||||||
170,000 | Freedom Acquisition I Corp. | 1,691,500 | ||||||||
100,000 | Frontier Acquisition Corp. | 998,000 | ||||||||
800,000 | Frontier Investment Corp. | 7,952,000 | ||||||||
10,000 | FS Development Corp. II | 98,900 | ||||||||
10,000 | FTAC Athena Acquisition Corp. | 102,000 | ||||||||
500,000 | FTAC Hera Acquisition Corp. | 5,000,000 | ||||||||
425,000 | Fusion Acquisition Corp. II | 4,237,250 | ||||||||
25,000 | G Squared Ascend I, Inc. | 250,000 | ||||||||
700,000 | G&P Acquisition Corp. | 7,038,500 | ||||||||
200,000 | Galata Acquisition Corp. | 1,988,000 | ||||||||
443,787 | GigInternational1, Inc. | 4,566,568 | ||||||||
250,000 | Glenfarne Merger Corp. | 2,490,000 | ||||||||
380,000 | Golden Arrow Merger Corp. | 3,777,200 | ||||||||
40,000 | Gores Holdings VII, Inc. | 401,200 | ||||||||
20,000 | Gores Holdings VIII, Inc. | 200,000 | ||||||||
40,000 | Gores Technology Partners II, Inc. | 398,400 | ||||||||
20,000 | Gores Technology Partners, Inc. | 199,700 | ||||||||
100,000 | Group Nine Acquisition Corp. | 1,001,000 | ||||||||
401,201 | Growth Capital Acquisition Corp. | 4,028,058 | ||||||||
533,506 | GX Acquisition Corp. II | 5,313,720 | ||||||||
150,000 | Hamilton Lane Alliance Holdings I, Inc. | 1,498,500 | ||||||||
18,326 | Haymaker Acquisition Corp. III | 182,710 | ||||||||
5,000 | HealthCor Catalio Acquisition Corp. | 49,450 | ||||||||
35,000 | Hudson Executive Investment Corp. II | 350,350 | ||||||||
150,000 | Hudson Executive Investment Corp. III | 1,485,000 | ||||||||
250,000 | Ibere Pharmaceuticals | 2,502,500 | ||||||||
100,000 | Independence Holdings Corp. | 1,002,000 | ||||||||
20,000 | ION Acquisition Corp. 2, Ltd. | 200,600 | ||||||||
99,503 | Isos Acquisition Corp. | 1,016,921 | ||||||||
441,806 | ITHAX Acquisition Corp. | 4,409,224 | ||||||||
220,000 | Itiquira Acquisition Corp. | 2,200,000 | ||||||||
50,000 | Jack Creek Investment Corp. | 501,500 | ||||||||
400,000 | Jatt Acquisition Corp. | 3,988,000 | ||||||||
100,000 | Jaws Hurricane Acquisition Corp. | 1,000,000 | ||||||||
100,000 | Jaws Juggernaut Acquisition Corp. | 999,000 | ||||||||
175,000 | Jaws Mustang Acquisition Corp. | 1,755,250 | ||||||||
100,000 | JOFF Fintech Acquisition Corp. | 997,000 |
See accompanying Notes to Schedule of Investments
8
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
50,120 | Kernel Group Holdings, Inc. | $ | 508,217 | |||||||
250,000 | Kernel Group Holdings, Inc. - Class A | 2,432,500 | ||||||||
20,000 | Khosla Ventures Acquisition Company | 197,400 | ||||||||
500,000 | Kismet Acquisition Three Corp. | 4,970,000 | ||||||||
500,000 | Kismet Acquisition Two Corp. | 4,980,000 | ||||||||
150,000 | KKR Acquisition Holdings I Corp. | 1,500,000 | ||||||||
100,000 | L Catterton Asia Acquisition Corp. | 1,001,500 | ||||||||
500,000 | Landcadia Holdings IV, Inc. | 4,987,500 | ||||||||
5,000 | LDH Growth Corp. I | 49,750 | ||||||||
150,000 | Levere Holdings Corp. | 1,511,250 | ||||||||
20,000 | Liberty Media Acquisition Corp. | 209,800 | ||||||||
100,000 | Live Oak Mobility Acquisition Corp. | 999,500 | ||||||||
75,000 | Longview Acquisition Corp. II | 756,750 | ||||||||
150,000 | M3-Brigade Acquisition II Corp. | 1,508,250 | ||||||||
680,000 | Macondray Capital Acquisition Corp. I | 6,759,200 | ||||||||
500,000 | Magnum Opus Acquisition, Ltd. | 5,020,000 | ||||||||
250,000 | Maquia Capital Acquisition Corp. | 2,526,250 | ||||||||
400,000 | Mason Industrial Technology, Inc. | 3,992,000 | ||||||||
500,000 | Mercury Ecommerce Acquisition Corp. | 4,970,000 | ||||||||
500,000 | Metals Acquisition Corp. | 4,920,000 | ||||||||
225,000 | Mission Advancement Corp. | 2,229,750 | ||||||||
100,000 | Monument Circle Acquisition Corp. | 1,012,000 | ||||||||
50,000 | Music Acquisition Corp. | 501,500 | ||||||||
5,000 | New Vista Acquisition Corp. | 50,050 | ||||||||
232,319 | NextGen Acquisition Corp. II | 2,362,684 | ||||||||
18,129 | Northern Genesis Acquisition Corp. III | 183,284 | ||||||||
20,000 | Northern Star Investment Corp. III | 200,000 | ||||||||
20,000 | Northern Star Investment Corp. IV | 198,200 | ||||||||
100,000 | OceanTech Acquisitions I Corp. | 1,029,000 | ||||||||
100,000 | One Equity Partners Open Water I Corp. | 998,000 | ||||||||
300,000 | Orion Acquisition Corp. | 3,045,000 | ||||||||
375,000 | Orion Biotech Opportunities Corp. | 3,735,000 | ||||||||
750,000 | Osiris Acquisition Corp. | 7,500,000 | ||||||||
302,300 | Oyster Enterprises Acquisition Corp. | 3,035,092 | ||||||||
500,000 | Peridot Acquisition Corp. II | 4,990,000 | ||||||||
710,000 | Pine Technology Acquisition Corp. | 7,057,400 | ||||||||
15,000 | Pivotal Investment Corp. III | 148,650 | ||||||||
100,000 | Plum Acquisition Corp. I | 992,500 | ||||||||
380,000 | Portage Fintech Acquisition Corp. | 3,788,600 | ||||||||
92,081 | Post Holdings Partnering Corp. | 938,646 | ||||||||
70,000 | Primavera Capital Acquisition Corp. | 714,000 | ||||||||
250,000 | Priveterra Acquisition Corp. | 2,487,500 | ||||||||
250,000 | Property Solutions Acquisition Corp. II | 2,490,000 | ||||||||
500,000 | PWP Forward Acquisition Corp. I | 5,000,000 | ||||||||
100,000 | Quantum FinTech Acquisition Corp. | 1,009,000 | ||||||||
10,000 | Queens Gambit Growth Capital | 102,100 | ||||||||
250,000 | Reinvent Technology Partners | 2,495,000 | ||||||||
40,000 | Reinvent Technology Partners Y | 403,200 | ||||||||
10,000 | Revolution Healthcare Acquisition Corp. | 100,000 | ||||||||
65,000 | Rice Acquisition Corp. II | 662,383 | ||||||||
200,000 | RMG Acquisition Corp. III | 2,000,000 | ||||||||
211,044 | Rosecliff Acquisition Corp. I | 2,099,888 | ||||||||
400,000 | Ross Acquisition Corp. II | 3,996,000 | ||||||||
450,000 | RXR Acquisition Corp. | 4,477,500 |
NUMBER OF SHARES |
|
| VALUE | |||||||
75,000 | Sandbridge X2 Corp. | $ | 751,125 | |||||||
100,000 | Science Strategic Acquisition Corp. Alpha | 999,000 | ||||||||
100,000 | ScION Tech Growth II | 1,000,000 | ||||||||
600,000 | Shelter Acquisition Corp. I | 5,970,000 | ||||||||
208,021 | Silver Spike Acquisition Corp. II | 2,080,210 | ||||||||
300,000 | SilverBox Engaged Merger Corp. I | 2,976,000 | ||||||||
50,000 | Simon Property Group Acquisition Holdings, Inc. | 507,500 | ||||||||
500,000 | Skydeck Acquisition Corp. | 4,980,000 | ||||||||
30,000 | Slam Corp. | 302,400 | ||||||||
200,000 | Soaring Eagle Acquisition Corp- Class A | 1,974,000 | ||||||||
300,000 | Social Capital Suvretta Holdings Corp. I | 2,955,000 | ||||||||
300,000 | Social Capital Suvretta Holdings Corp. II | 2,958,000 | ||||||||
300,000 | Social Capital Suvretta Holdings Corp. III | 2,949,000 | ||||||||
300,000 | Social Capital Suvretta Holdings Corp. IV | 2,949,000 | ||||||||
10,000 | Social Leverage Acquisition Corp. I | 99,600 | ||||||||
400,000 | Software Acquisition Group, Inc. III | 4,008,000 | ||||||||
100,000 | Spartan Acquisition Corp. III | 1,020,000 | ||||||||
500,000 | StoneBridge Acquisition Corp. | 4,980,000 | ||||||||
500,000 | Stratim Cloud Acquisition Corp. | 4,960,000 | ||||||||
300,000 | Summit Healthcare Acquisition Corp. | 3,006,000 | ||||||||
70,000 | Supernova Partners Acquisition Company II, Ltd. | 699,650 | ||||||||
100,000 | Supernova Partners Acquisition Company III, Ltd. | 998,000 | ||||||||
25,000 | Sustainable Development Acquisition I Corp. | 253,000 | ||||||||
5,000 | SVF Investment Corp. 2 | 48,900 | ||||||||
5,000 | SVF Investment Corp. 3 | 49,000 | ||||||||
250,000 | Tailwind International Acquisition Corp. | 2,483,750 | ||||||||
350,000 | Tailwind Two Acquisition Corp. | 3,494,750 | ||||||||
700,000 | TB, SA Acquisition Corp. | 6,947,500 | ||||||||
200,000 | TCW Special Purpose Acquisition Corp. | 1,990,000 | ||||||||
500,000 | Tech and Energy Transition Corp. | 4,990,000 | ||||||||
100,000 | Thunder Bridge Capital Partners III, Inc. | 997,000 | ||||||||
500,000 | Thunder Bridge Capital Partners IV, Inc. | 4,960,000 | ||||||||
20,000 | Tishman Speyer Innovation Corp. II | 201,200 | ||||||||
500,000 | TLG Acquisition One Corp. | 4,970,000 | ||||||||
500,000 | TortoiseEcofin Acquisition Corp. III | 4,960,000 | ||||||||
25,000 | Tribe Capital Growth Corp. I | 249,750 | ||||||||
500,000 | Tuatara Capital Acquisition Corp. | 5,030,000 | ||||||||
537,329 | Twelve Seas Investment Company II | 5,362,543 | ||||||||
250,000 | Twin Ridge Capital Acquisition Corp. | 2,488,750 | ||||||||
100,000 | TZP Strategies Acquisition Corp. | 999,000 | ||||||||
20,000 | USHG Acquisition Corp. | 200,200 | ||||||||
50,000 | Valor Latitude Acquisition Corp. | 498,250 | ||||||||
200,000 | Vector Acquisition Corp. II | 1,946,000 | ||||||||
210,000 | Velocity Acquisition Corp. | 2,123,100 | ||||||||
100,000 | Virgin Group Acquisition Corp. II | 999,000 |
See accompanying Notes to Schedule of Investments
9
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
100,000 | VPC Impact Acquisition Holdings II | $ | 1,007,000 | |||||||
200,000 | VPC Impact Acquisition Holdings III, Inc. | 2,050,000 | ||||||||
100,000 | Waldencast Acquisition Corp. | 1,024,000 | ||||||||
5,000 | Warburg Pincus Capital Corp. I-A | 50,000 | ||||||||
20,000 | Warburg Pincus Capital Corp. I-B | 200,200 | ||||||||
370,548 | Warrior Technologies Acquisition Company | 3,738,829 | ||||||||
800,000 | Xpac Acquisition Corp. | 7,840,000 | ||||||||
100,000 | Z-Work Acquisition Corp. | 990,000 | ||||||||
100,000 | Zimmer Energy Transition Acquisition Corp. | 1,009,000 | ||||||||
|
| |||||||||
536,784,488 | ||||||||||
|
| |||||||||
Utilities (1.2%) | ||||||||||
384,014 | AES Corp.~ | 9,101,132 | ||||||||
150,172 | American Electric Power Company, Inc.~ | 13,233,157 | ||||||||
139,427 | CMS Energy Corp.~ | 8,615,194 | ||||||||
116,738 | Consolidated Edison, Inc. | 8,611,762 | ||||||||
137,985 | Dominion Energy, Inc.~ | 10,330,937 | ||||||||
190,677 | Duke Energy Corp.~ | 20,042,059 | ||||||||
91,650 | Edison International | 4,994,925 | ||||||||
85,362 | Entergy Corp. | 8,785,457 | ||||||||
128,322 | Exelon Corp.~ | 6,005,470 | ||||||||
193,236 | FirstEnergy Corp.~ | 7,404,803 | ||||||||
315,112 | NextEra Energy, Inc. | 24,547,225 | ||||||||
236,512 | NiSource, Inc. | 5,858,402 | ||||||||
224,000 | PNM Resources, Inc. | 10,825,920 | ||||||||
148,468 | Public Service Enterprise Group, Inc.~ | 9,239,164 | ||||||||
212,229 | Southern Company | 13,555,066 | ||||||||
169,871 | Xcel Energy, Inc. | 11,593,696 | ||||||||
|
| |||||||||
172,744,369 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost $5,589,723,040) | 7,554,539,535 | |||||||||
|
| |||||||||
|
| |||||||||
EXCHANGE-TRADED FUND (2.9%) | ||||||||||
Other (2.9%) | ||||||||||
986,004 | SPDR S&P 500 ETF Trust^ | 432,372,614 | ||||||||
|
| |||||||||
|
| |||||||||
INVESTMENT IN AFFILIATED FUND (1.0%) | ||||||||||
Other (1.0%) | ||||||||||
14,938,002 | Calamos Short-Term Bond Fund | 149,081,256 | ||||||||
|
| |||||||||
|
| |||||||||
WARRANTS (0.0%) # | ||||||||||
Energy (0.0%) | ||||||||||
11,071 | Chesapeake Energy Corp.^ 02/09/26, Strike $36.18 | 238,691 | ||||||||
Special Purpose Acquisition Companies (0.0%) |
| |||||||||
5,000 | EUR | ESG Core Investments, BV 12/31/27, Strike 11.50 | 5,783 | |||||||
|
| |||||||||
TOTAL WARRANTS (Cost $3,290,859) | 244,474 | |||||||||
|
| |||||||||
|
|
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
PURCHASED OPTIONS (0.3%) # | ||||||||||
Communication Services (0.1%) |
| |||||||||
Cyberagent, Inc. | ||||||||||
30 | JPY | |||||||||
2,709,000,000 | Call, 02/19/25, Strike 93.40 | $ | 1,121,561 | |||||||
10 | JPY | |||||||||
903,000,000 | Call, 02/17/23, Strike 95.84 | 312,839 | ||||||||
70 | JPY | |||||||||
63,210,000 | Call, 02/17/23, Strike 95.44 | 2,169,691 | ||||||||
50 | JPY | Zenrin Company, Ltd. | ||||||||
4,918,480,000 | Call, 03/31/23, Strike 96.21 | | ||||||||
|
| |||||||||
3,604,091 | ||||||||||
|
| |||||||||
Consumer Discretionary (0.0%) |
| |||||||||
Edion Corp. | ||||||||||
60 | JPY | |||||||||
64,857,000,000 | Call, 06/19/25, Strike 99.51 | 601,067 | ||||||||
50 | JPY | |||||||||
54,047,500,000 | Call, 06/19/25, Strike 95.45 | 508,978 | ||||||||
50 | JPY | |||||||||
540,475,000 | Call, 06/19/25, Strike 94.30 | 508,978 | ||||||||
100 | JPY | His Company, Ltd. | ||||||||
21,486,470,000 | Call, 11/15/24, Strike 96.54 | | ||||||||
100 | JPY | Kyoritsu Maintenance Company, Ltd. | ||||||||
103,697,000,000 | Call, 01/29/26, Strike 94.89 | 821,293 | ||||||||
Takashimaya Company, Ltd. | ||||||||||
100 | JPY | |||||||||
1,006,880,000 | Call, 12/06/23, Strike 97.28 | 172,190 | ||||||||
50 | JPY | |||||||||
503,440,000 | Call, 12/06/23, Strike 97.18 | 86,095 | ||||||||
50 | JPY | |||||||||
503,440,000 | Call, 12/06/23, Strike 97.29 | 86,095 | ||||||||
|
| |||||||||
2,784,696 | ||||||||||
|
| |||||||||
Consumer Staples (0.0%) | ||||||||||
Ezaki Glico Company, Ltd. | ||||||||||
100 | JPY | |||||||||
996,830,000 | Call, 01/30/24, Strike 97.57 | 87,469 | ||||||||
50 | JPY | |||||||||
498,415,000 | Call, 01/30/24, Strike 96.89 | 49,554 | ||||||||
50 | JPY | Nippn Corp. | ||||||||
50,356,500,000 | 06/20/25, Strike 98.27 | 96,286 | ||||||||
|
| |||||||||
233,309 | ||||||||||
|
| |||||||||
Health Care (0.0%) | ||||||||||
100 | JPY | Medipal Holdings Corp. | ||||||||
103,849,000,000 | Call, 10/07/22, Strike 98.52 | 453,733 | ||||||||
Ship Healthcare Holdings, Inc. | ||||||||||
72 | JPY | |||||||||
82,581,120,000 | Call, 12/13/23, Strike 97.95 | 1,055,457 | ||||||||
50 | JPY | |||||||||
57,348,000,000 | Call, 12/13/23, Strike 97.68 | 732,956 | ||||||||
25 | JPY | |||||||||
28,674,000,000 | Call, 12/13/23, Strike 98.32 | 373,274 | ||||||||
100 | JPY | Toho Holdings Company, Ltd. | ||||||||
16,686,400,000 | Call, 06/23/23, Strike 98.43 | 42,934 | ||||||||
|
| |||||||||
2,658,354 | ||||||||||
|
|
See accompanying Notes to Schedule of Investments
10
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
Industrials (0.0%) | ||||||||||
100 | JPY | Ana Holdings, Inc. | ||||||||
47,350,000 | Call, 09/19/24, Strike 96.53 | $ | | |||||||
100 | Asashi Refining US, Inc. | |||||||||
1,062,390,000 | Call, 03/16/26, Strike $88.78 | 1,538,000 | ||||||||
Nagoya Railroad Company, Ltd. | ||||||||||
100 | JPY | |||||||||
103,358,000,000 | Call, 12/09/22, Strike 98.92 | 173,441 | ||||||||
28 | JPY | |||||||||
28,940,240,000 | Call, 12/09/22, Strike 98.77 | 52,956 | ||||||||
22 | JPY | |||||||||
22,738,760,000 | Call, 12/09/22, Strike 98.94 | 38,157 | ||||||||
100 | JPY | |||||||||
1,033,580,000 | Call, 12/09/22, Strike 97.53 | 125,847 | ||||||||
50 | JPY | |||||||||
516,790,000 | Call, 12/09/22, Strike 98.07 | 56,609 | ||||||||
160 | JPY | Seino Holdings Company, Ltd. | ||||||||
160,232,000,000 | Call, 03/31/26, Strike 97.31 | 335,445 | ||||||||
54 | JPY | Senko Company, Ltd. | ||||||||
64,507,320,000 | Call, 03/28/22, Strike 98.82 | 974,122 | ||||||||
|
| |||||||||
3,294,577 | ||||||||||
|
| |||||||||
Information Technology (0.0%) |
| |||||||||
Digital Garage, Inc. | ||||||||||
150 | JPY | |||||||||
1,604,655,000 | Call, 09/14/23, Strike 94.68 | 1,478,826 | ||||||||
50 | JPY | |||||||||
534,885,000 | Call, 09/14/23, Strike 94.80 | 492,942 | ||||||||
|
| |||||||||
1,971,768 | ||||||||||
|
| |||||||||
Materials (0.0%) | ||||||||||
50 | JPY | Kansai Paint Company, Ltd. | ||||||||
50,969,000,000 | Call, 06/17/22, Strike 98.95 | 115,048 | ||||||||
45 | JPY | Maeda Kosen Company, Ltd. | ||||||||
46,732,050,000 | Call, 04/18/22, Strike 97.72 | 41 | ||||||||
100 | JPY | Mitsubishi Chemical Holdings Corp. | ||||||||
8,339,560,000 | Call, 03/30/22, Strike 98.83 | 92,953 | ||||||||
Teijin, Ltd. | ||||||||||
100 | JPY | |||||||||
100,286,000,000 | Call, 12/10/21, Strike 99.19 | 44,665 | ||||||||
100 | JPY | |||||||||
100,286,000,000 | Call, 12/10/21, Strike 99.18 | 34,149 | ||||||||
|
| |||||||||
286,856 | ||||||||||
|
| |||||||||
Other (0.2%) | ||||||||||
150 | JPY | Lxil Corp. | ||||||||
151,012,500,000 | Call, 03/04/22, Strike 99.52 | 165,444 | ||||||||
S&P 500 Index | ||||||||||
4,000 | ||||||||||
1,758,104,000 | Put, 08/31/21, Strike $4,000.00 | 5,740,000 | ||||||||
4,000 | ||||||||||
1,758,104,000 | Put, 08/31/21, Strike $3,900.00 | 4,080,000 | ||||||||
2,500 | S&P 500 Index | |||||||||
1,098,815,000 | Call, 03/31/22, Strike $5,000.00 | 6,125,000 | ||||||||
S&P 500 Index | ||||||||||
2,000 | ||||||||||
879,052,000 | Put, 08/31/21, Strike $3,800.00 | 1,500,000 | ||||||||
2,000 | ||||||||||
879,052,000 | Put, 09/30/21, Strike $4,000.00 | 7,240,000 | ||||||||
1,000 | ||||||||||
439,526,000 | Put, 08/31/21, Strike $4,150.00 | 2,490,000 |
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
500 | ||||||||||
219,763,000 | Put, 03/31/22, Strike $3,000.00 | $ | 1,922,500 | |||||||
|
|
| ||||||||
29,262,944 | ||||||||||
|
|
| ||||||||
Utilities (0.0%) | ||||||||||
Chugoku Electric Power Company, Inc. | ||||||||||
100 | JPY | |||||||||
104,321,000,000 | Call, 01/25/22, Strike 98.54 | 24,963 | ||||||||
100 | JPY | |||||||||
104,321,000,000 | Call, 01/25/22, Strike 98.97 | 24,963 | ||||||||
50 | JPY | |||||||||
521,605,000 | Call, 01/25/22, Strike 98.22 | 12,482 | ||||||||
100 | JPY | Kyushu Electric Power Company, Inc. | ||||||||
1,052,470,000 | Call, 03/31/22, Strike 98.05 | 39,435 | ||||||||
|
|
| ||||||||
101,843 | ||||||||||
|
|
| ||||||||
TOTAL PURCHASED OPTIONS (Cost $69,367,669) | 44,198,438 | |||||||||
|
|
| ||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (3.2%) | | ||||||||
236,498,080 | JPMorgan Prime Money Market Fund - Capital Class, 0.070%*** | 236,498,080 | ||||||||
231,514,205 | State Street Navigator Securities Lending Government Money Market Portfolio | 231,514,205 | ||||||||
|
|
| ||||||||
TOTAL INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (Cost $468,012,285) | 468,012,285 | |||||||||
|
|
| ||||||||
| TOTAL INVESTMENTS (99.1%) | 14,604,505,431 | ||||||||
|
|
| ||||||||
|
|
| ||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-3.2%) | (468,012,285 | ) | |||||||
|
|
| ||||||||
OTHER ASSETS, LESS LIABILITIES (4.1%) | 603,427,809 | |||||||||
|
|
| ||||||||
NET ASSETS (100.0%) | $ | 14,739,920,955 | ||||||||
|
|
| ||||||||
NUMBER OF SHARES |
|
| VALUE | |||||||
COMMON STOCKS SOLD SHORT (-27.9%) # | ||||||||||
Communication Services (-4.7%) |
| |||||||||
(161,200 | ) | Bandwidth, Inc. - Class A | (20,901,192 | ) | ||||||
(484,848 | ) | Bilibili, Inc. | (41,493,292 | ) | ||||||
(433,500 | ) | EUR | Cellnex Telecom, SA* | (28,252,299 | ) | |||||
(1,007,800 | ) | JPY | CyberAgent, Inc. | (18,042,197 | ) | |||||
(216,600 | ) | Eventbrite, Inc. - Class A | (3,848,982 | ) | ||||||
(971,357 | ) | iQIYI, Inc. | (10,840,344 | ) | ||||||
(154,800 | ) | JOYY, Inc. | (8,274,060 | ) |
See accompanying Notes to Schedule of Investments
11
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
(95,500 | ) | Liberty Media Corp-Liberty Formula One | $ | (4,481,815 | ) | |||||
(57,500 | ) | Live Nation Entertainment, Inc. | (4,536,175 | ) | ||||||
(343,600 | ) | Lyft, Inc. - Class A | (19,007,952 | ) | ||||||
(123,900 | ) | Magnite, Inc. | (3,754,170 | ) | ||||||
(503,843 | ) | Match Group, Inc. | (80,247,075 | ) | ||||||
(360,338 | ) | Sea, Ltd. | (99,510,942 | ) | ||||||
(1,823,527 | ) | Snap, Inc. - Class A | (135,706,879 | ) | ||||||
(44,700 | ) | Spotify Technology, SA | (10,221,549 | ) | ||||||
(162,000 | ) | T-Mobile US, Inc. | (23,331,240 | ) | ||||||
(78,092 | ) | TechTarget, Inc. | (5,706,963 | ) | ||||||
(67,470 | ) | TripAdvisor, Inc. | (2,560,486 | ) | ||||||
(718,300 | ) | Twitter, Inc. | (50,101,425 | ) | ||||||
(608,900 | ) | World Wrestling Entertainment, Inc. | (30,067,482 | ) | ||||||
(575,000 | ) | Zillow Group, Inc. - Class C | (61,099,500 | ) | ||||||
(3,507,700 | ) | Zynga Inc. - Class A | (35,427,770 | ) | ||||||
|
| |||||||||
(697,413,789 | ) | |||||||||
|
| |||||||||
Consumer Discretionary (-6.6%) | ||||||||||
(269,400 | ) | 2U, Inc. | (11,691,960 | ) | ||||||
(64,100 | ) | Airbnb, Inc. - Class A | (9,231,041 | ) | ||||||
(572,500 | ) | American Eagle Outfitters, Inc. | (19,734,075 | ) | ||||||
(118,000 | ) | Aptiv, PLC | (19,688,300 | ) | ||||||
(10,700 | ) | Booking Holdings, Inc. | (23,307,382 | ) | ||||||
(706,531 | ) | Carnival Corp. | (15,296,396 | ) | ||||||
(20,000 | ) | Cheesecake Factory, Inc. | (905,200 | ) | ||||||
(268,598 | ) | Chegg, Inc. | (23,805,841 | ) | ||||||
(300,000 | ) | Chewy, Inc. - Class A | (25,110,000 | ) | ||||||
(21,323 | ) | Cracker Barrel Old Country Store, Inc. | (2,903,766 | ) | ||||||
(128,400 | ) | EUR | Delivery Hero, SE* | (19,222,081 | ) | |||||
(424,600 | ) | Dicks Sporting Goods, Inc. | (44,217,844 | ) | ||||||
(304,600 | ) | DraftKings Inc- Class A | (14,773,100 | ) | ||||||
(660,100 | ) | JPY | EDION Corp. | (6,799,262 | ) | |||||
(368,959 | ) | Etsy, Inc. | (67,707,666 | ) | ||||||
(14,400 | ) | Expedia Group, Inc. | (2,316,528 | ) | ||||||
(595,333 | ) | Farfetch, Ltd. - Class A | (29,838,090 | ) | ||||||
(52,100 | ) | Fiverr International, Ltd. | (12,968,211 | ) | ||||||
(26,000 | ) | Groupon, Inc. | (945,620 | ) | ||||||
(354,080 | ) | Guess?, Inc. | (7,903,066 | ) | ||||||
(93,100 | ) | JPY | Kyoritsu Maintenance Company, Ltd. | (3,067,832 | ) | |||||
(287,400 | ) | Li Auto, Inc. | (9,596,286 | ) | ||||||
(27,000 | ) | Marriott Vacations Worldwide Corp. | (3,978,990 | ) | ||||||
(81,000 | ) | HKD | Meituan - Class B* | (2,240,981 | ) | |||||
(27,254 | ) | MercadoLibre, Inc. | (42,753,350 | ) | ||||||
(211,700 | ) | National Vision Holdings, Inc. | (11,427,566 | ) | ||||||
(90,878 | ) | NIO, Inc. | (4,060,429 | ) | ||||||
(1,842,500 | ) | Norwegian Cruise Line Holdings, Ltd. | (44,275,275 | ) | ||||||
(272,636 | ) | GBP | Ocado Group, PLC | (7,029,787 | ) | |||||
(65,800 | ) | Peloton Interactive, Inc. - Class A | (7,767,690 | ) | ||||||
(168,050 | ) | Pinduoduo, Inc. | (15,395,060 | ) | ||||||
(63,500 | ) | Quotient Technology, Inc. | (689,610 | ) | ||||||
(282,500 | ) | Royal Caribbean Cruises, Ltd. | (21,715,775 | ) | ||||||
(34,500 | ) | Shake Shack, Inc. - Class A | (3,468,630 | ) | ||||||
(140,355 | ) | Stride, Inc. | (4,303,284 | ) | ||||||
(40,000 | ) | JPY | Takashimaya Company, Ltd. | (411,649 | ) | |||||
(443,866 | ) | Tesla, Inc. | (305,024,715 | ) | ||||||
(608,051 | ) | Under Armour, Inc. - Class C | (10,653,054 | ) | ||||||
(10,800 | ) | Vail Resorts, Inc. | (3,296,160 | ) | ||||||
(71,000 | ) | Vroom, Inc. | (2,629,840 | ) | ||||||
(431,602 | ) | Wayfair, Inc. - Class A | (104,171,459 | ) | ||||||
|
| |||||||||
(966,322,851 | ) | |||||||||
|
|
NUMBER OF SHARES |
|
| VALUE | |||||||
Consumer Staples (-0.2%) | ||||||||||
(101,500 | ) | Beyond Meat, Inc. | $ | (12,454,050 | ) | |||||
(170,108 | ) | Energizer Holdings, Inc. | (7,289,128 | ) | ||||||
(33,800 | ) | JPY | Ezaki Glico Company, Ltd. | (1,260,125 | ) | |||||
(135,100 | ) | Herbalife Nutrition, Ltd. | (6,881,994 | ) | ||||||
(47,000 | ) | JPY | Nippn Corp. | (673,907 | ) | |||||
(49,561 | ) | Turning Point Brands, Inc. | (2,627,724 | ) | ||||||
(63,400 | ) | JPY | Yaoko Company, Ltd. | (3,814,229 | ) | |||||
|
| |||||||||
(35,001,157 | ) | |||||||||
|
| |||||||||
Energy (-0.4%) | ||||||||||
(393,700 | ) | Pioneer Natural Resources Company | (57,232,169 | ) | ||||||
|
| |||||||||
(57,232,169 | ) | |||||||||
|
| |||||||||
Financials (-0.3%) | ||||||||||
(75,834 | ) | Apollo Global Management, Inc. | (4,463,589 | ) | ||||||
(79,200 | ) | Coinbase Global, Inc. - Class A | (18,737,136 | ) | ||||||
(34,000 | ) | Hope Bancorp, Inc. | (450,500 | ) | ||||||
(52,429 | ) | LendingTree, Inc. | (10,235,190 | ) | ||||||
(15,892 | ) | S&P Global, Inc. | (6,813,218 | ) | ||||||
(73,500 | ) | Voya Financial, Inc. | (4,733,400 | ) | ||||||
|
| |||||||||
(45,433,033 | ) | |||||||||
|
| |||||||||
Health Care (-2.5%) | ||||||||||
(65,000 | ) | Accolade, Inc. | (3,042,650 | ) | ||||||
(662,149 | ) | Allscripts Healthcare Solutions, Inc. | (11,309,505 | ) | ||||||
(1,715,900 | ) | Avantor, Inc. | (64,483,522 | ) | ||||||
(197,666 | ) | Bridgebio Pharma, Inc. | (10,565,248 | ) | ||||||
(147,790 | ) | Coherus Biosciences, Inc. | (1,928,660 | ) | ||||||
(84,000 | ) | Collegium Pharmaceutical, Inc. | (2,090,760 | ) | ||||||
(96,500 | ) | CONMED Corp. | (13,311,210 | ) | ||||||
(22,800 | ) | Danaher Corp. | (6,782,772 | ) | ||||||
(89,900 | ) | Dexcom, Inc. | (46,344,349 | ) | ||||||
(75,000 | ) | Evolent Health, Inc. - Class A | (1,720,500 | ) | ||||||
(22,550 | ) | Guardant Health, Inc. | (2,475,990 | ) | ||||||
(475,625 | ) | Halozyme Therapeutics, Inc. | (19,657,581 | ) | ||||||
(743,600 | ) | Innoviva, Inc. | (10,544,248 | ) | ||||||
(170,531 | ) | Insmed, Inc. | (4,195,063 | ) | ||||||
(34,000 | ) | Insulet Corp. | (9,509,460 | ) | ||||||
(17,500 | ) | Intercept Pharmaceuticals, Inc. | (302,400 | ) | ||||||
(71,484 | ) | Ionis Pharmaceuticals, Inc. | (2,654,916 | ) | ||||||
(1,005,487 | ) | Ironwood Pharmaceuticals, Inc. | (13,342,812 | ) | ||||||
(105,500 | ) | Jazz Pharmaceuticals, PLC | (17,884,360 | ) | ||||||
(189,900 | ) | JPY | Medipal Holdings Corp. | (3,560,679 | ) | |||||
(13,300 | ) | Mesa Laboratories, Inc. | (3,916,983 | ) | ||||||
(172,200 | ) | Natera, Inc. | (19,720,344 | ) | ||||||
(27,433 | ) | NeoGenomics, Inc. | (1,264,661 | ) | ||||||
(52,021 | ) | Neurocrine Biosciences, Inc. | (4,848,877 | ) | ||||||
(108,800 | ) | Novocure, Ltd. | (16,756,288 | ) | ||||||
(58,048 | ) | NuVasive, Inc. | (3,712,170 | ) | ||||||
(116,600 | ) | Oak Street Health, Inc. | (7,350,464 | ) | ||||||
(110,000 | ) | Omnicell, Inc. | (16,115,000 | ) | ||||||
(396,000 | ) | OPKO Health, Inc. | (1,362,240 | ) | ||||||
(76,483 | ) | Pacira BioSciences, Inc. | (4,508,673 | ) | ||||||
(92,000 | ) | Revance Therapeutics, Inc. | (2,675,360 | ) | ||||||
(192,500 | ) | Sarepta Therapeutics, Inc. | (13,047,650 | ) | ||||||
(328,400 | ) | JPY | Ship Healthcare Holdings, Inc. | (8,250,038 | ) | |||||
(361,100 | ) | SmileDirectClub, Inc. | (2,549,366 | ) | ||||||
(44,000 | ) | Supernus Pharmaceuticals, Inc. | (1,158,520 | ) | ||||||
(40,000 | ) | Tabula Rasa HealthCare, Inc. | (1,718,400 | ) | ||||||
(66,283 | ) | Teladoc Health, Inc. | (9,839,711 | ) | ||||||
(33,900 | ) | JPY | Toho Holdings Company, Ltd. | (566,107 | ) | |||||
(53,137 | ) | Travere Therapeutics, Inc. | (730,634 | ) |
See accompanying Notes to Schedule of Investments
12
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
(23,800 | ) | Vocera Communications, Inc. | $ | (998,648 | ) | |||||
|
| |||||||||
(366,796,819 | ) | |||||||||
|
| |||||||||
Industrials (-1.1%) | ||||||||||
(580,000 | ) | CAD | Air Canada | (11,613,017 | ) | |||||
(524,000 | ) | American Airlines Group, Inc. | (10,679,120 | ) | ||||||
(51,991 | ) | Canadian National Railway Company | (5,647,782 | ) | ||||||
(513,000 | ) | Clarivate, PLC | (11,696,400 | ) | ||||||
(920,000 | ) | Colfax Corp. | (42,209,600 | ) | ||||||
(96,050 | ) | FTI Consulting, Inc. | (13,994,485 | ) | ||||||
(74,380 | ) | Greenbrier Companies, Inc. | (3,183,464 | ) | ||||||
(62,300 | ) | JetBlue Airways Corp. | (921,417 | ) | ||||||
(17,900 | ) | John Bean Technologies Corp. | (2,623,782 | ) | ||||||
(99,700 | ) | JPY | Lixil Corp. | (2,702,774 | ) | |||||
(55,500 | ) | Middleby Corp. | (10,627,695 | ) | ||||||
(100,000 | ) | JPY | Nagoya Railroad Company, Ltd. | (1,676,314 | ) | |||||
(221,300 | ) | JPY | Seino Holdings Company, Ltd. | (2,801,930 | ) | |||||
(267,300 | ) | JPY | Senko Group Holdings Company, Ltd. | (2,694,807 | ) | |||||
(465,100 | ) | Southwest Airlines Company | (23,496,852 | ) | ||||||
(48,992 | ) | Stanley Black & Decker, Inc. | (9,653,873 | ) | ||||||
|
| |||||||||
(156,223,312 | ) | |||||||||
|
| |||||||||
Information Technology (-10.2%) |
| |||||||||
(28,000 | ) | 21Vianet Group, Inc. | (485,240 | ) | ||||||
(216,000 | ) | 8x8, Inc. | (5,520,960 | ) | ||||||
(156,394 | ) | Advanced Micro Devices, Inc. | (16,607,479 | ) | ||||||
(417,300 | ) | Akamai Technologies, Inc. | (50,042,616 | ) | ||||||
(186,395 | ) | Altair Engineering, Inc. - Class A | (13,002,915 | ) | ||||||
(38,835 | ) | Alteryx, Inc. - Class A | (3,005,829 | ) | ||||||
(56,700 | ) | Analog Devices, Inc. | (9,492,714 | ) | ||||||
(100,000 | ) | Avaya Holdings Corp. | (2,422,000 | ) | ||||||
(108,000 | ) | Bentley Systems, Inc. - Class B | (6,567,480 | ) | ||||||
(102,000 | ) | Bill.com Holdings, Inc. | (21,095,640 | ) | ||||||
(386,741 | ) | Blackline, Inc. | (44,239,303 | ) | ||||||
(340,500 | ) | Box, Inc. - Class A | (8,144,760 | ) | ||||||
(50,700 | ) | Ceridian HCM Holding, Inc. | (4,988,880 | ) | ||||||
(634,900 | ) | Cloudflare, Inc. - Class A | (75,318,187 | ) | ||||||
(229,060 | ) | Coupa Software, Inc. | (49,706,020 | ) | ||||||
(198,000 | ) | Cree, Inc. | (18,366,480 | ) | ||||||
(65,000 | ) | CSG Systems International, Inc. | (2,948,400 | ) | ||||||
(42,000 | ) | CyberArk Software, Ltd. | (5,965,260 | ) | ||||||
(116,000 | ) | Datadog, Inc. - Class A | (12,841,200 | ) | ||||||
(153,800 | ) | JPY | Digital Garage, Inc. | (6,350,795 | ) | |||||
(882,200 | ) | Dropbox, Inc. - Class A | (27,780,478 | ) | ||||||
(40,034 | ) | Enphase Energy, Inc. | (7,590,446 | ) | ||||||
(46,000 | ) | Envestnet, Inc. | (3,460,580 | ) | ||||||
(27,000 | ) | Everbridge, Inc. | (3,812,940 | ) | ||||||
(198,900 | ) | Fastly, Inc. - Class A | (9,561,123 | ) | ||||||
(294,000 | ) | FireEye, Inc. | (5,938,800 | ) | ||||||
(21,000 | ) | fuboTV, Inc. | (546,840 | ) | ||||||
(87,800 | ) | GDS Holdings, Ltd. | (5,176,688 | ) | ||||||
(102,333 | ) | Guidewire Software, Inc. | (11,788,762 | ) | ||||||
(35,000 | ) | I3 Verticals, Inc. - Class A | (1,117,200 | ) | ||||||
(288,100 | ) | II-VI, Inc. | (20,112,261 | ) | ||||||
(1,088,000 | ) | Infinera Corp. | (10,782,080 | ) | ||||||
(152,400 | ) | Insight Enterprises, Inc. | (15,297,912 | ) | ||||||
(70,400 | ) | Itron, Inc. | (6,942,848 | ) | ||||||
(4,462,000 | ) | HKD | Lenovo Group, Ltd. | (4,157,027 | ) | |||||
(290,100 | ) | LivePerson, Inc. | (18,476,469 | ) | ||||||
(331,500 | ) | Lumentum Holdings, Inc. | (27,842,685 | ) | ||||||
(240,000 | ) | Medallia, Inc. | (8,128,800 | ) | ||||||
(29,449 | ) | MicroStrategy Inc- Class A | (18,435,368 | ) | ||||||
(148,329 | ) | MongoDB, Inc. | (53,238,245 | ) | ||||||
(51,000 | ) | New Relic, Inc. | (3,523,080 | ) |
NUMBER OF SHARES |
|
| VALUE | |||||||
(237,100 | ) | Nice, Ltd. | $ | (66,067,915 | ) | |||||
(108,350 | ) | Nova, Ltd. | (10,596,630 | ) | ||||||
(324,639 | ) | Nuance Communications, Inc. | (17,822,681 | ) | ||||||
(59,500 | ) | Nutanix, Inc. - Class A | (2,143,190 | ) | ||||||
(303,162 | ) | Okta, Inc. | (75,120,512 | ) | ||||||
(222,815 | ) | ON Semiconductor Corp. | (8,703,154 | ) | ||||||
(50,100 | ) | OSI Systems, Inc. | (5,012,505 | ) | ||||||
(254,291 | ) | Palo Alto Networks, Inc. | (101,474,824 | ) | ||||||
(91,400 | ) | PAR Technology Corp. | (5,579,970 | ) | ||||||
(156,300 | ) | Pegasystems, Inc. | (19,950,132 | ) | ||||||
(85,700 | ) | Progress Software Corp. | (3,907,063 | ) | ||||||
(67,692 | ) | Proofpoint, Inc. | (11,823,085 | ) | ||||||
(56,500 | ) | PROS Holdings, Inc. | (2,453,230 | ) | ||||||
(126,230 | ) | Q2 Holdings, Inc. | (13,040,821 | ) | ||||||
(84,600 | ) | Rapid7, Inc. | (9,623,250 | ) | ||||||
(130,600 | ) | Repay Holdings Corp. | (3,253,246 | ) | ||||||
(34,111 | ) | RingCentral, Inc. - Class A | (9,116,847 | ) | ||||||
(553,500 | ) | Sailpoint Technologies Holdings, Inc. | (27,669,465 | ) | ||||||
(229,800 | ) | Shift4 Payments, Inc. - Class A | (20,495,862 | ) | ||||||
(5,100 | ) | Shopify, Inc. - Class A | (7,649,643 | ) | ||||||
(83,600 | ) | Silicon Laboratories, Inc. | (12,455,564 | ) | ||||||
(104,200 | ) | SMART Global Holdings, Inc. | (4,880,728 | ) | ||||||
(273,500 | ) | Splunk, Inc. | (38,831,530 | ) | ||||||
(606,600 | ) | Square, Inc. - Class A | (149,987,916 | ) | ||||||
(87,000 | ) | Talend,, SA | (5,742,000 | ) | ||||||
(473,975 | ) | Teradyne, Inc. | (60,194,825 | ) | ||||||
(32,900 | ) | Tyler Technologies, Inc. | (16,207,856 | ) | ||||||
(98,300 | ) | Verint Systems, Inc. | (4,194,461 | ) | ||||||
(810,200 | ) | Viavi Solutions, Inc. | (13,522,238 | ) | ||||||
(131,000 | ) | Vishay Intertechnology, Inc. | (2,899,030 | ) | ||||||
(25,800 | ) | Wix.com, Ltd. | (7,704,912 | ) | ||||||
(241,712 | ) | Workday, Inc. - Class A | (56,657,293 | ) | ||||||
(194,700 | ) | Workiva, Inc. | (25,266,219 | ) | ||||||
(339,050 | ) | Zendesk, Inc. | (44,256,196 | ) | ||||||
(5,821 | ) | Zoom Video Communications, Inc. | (2,200,920 | ) | ||||||
(98,000 | ) | Zscaler, Inc. | (23,119,180 | ) | ||||||
|
| |||||||||
(1,510,447,683 | ) | |||||||||
|
| |||||||||
Materials (-0.5%) | ||||||||||
(552,021 | ) | Allegheny Technologies, Inc. | (11,332,991 | ) | ||||||
(256,100 | ) | JPY | Asahi Holdings, Inc. | (5,049,399 | ) | |||||
(71,000 | ) | International Flavors & Fragrances, Inc. | (10,695,440 | ) | ||||||
(63,200 | ) | JPY | Kansai Paint Company, Ltd. | (1,544,498 | ) | |||||
(67,200 | ) | JPY | Maeda Kosen Company, Ltd. | (2,241,940 | ) | |||||
(95,461 | ) | CHF | Sika, AG | (33,627,648 | ) | |||||
(34,000 | ) | EUR | Symrise, AG | (5,013,328 | ) | |||||
(200,000 | ) | JPY | Teijin, Ltd. | (3,000,775 | ) | |||||
|
| |||||||||
(72,506,019 | ) | |||||||||
|
| |||||||||
Real Estate (-0.4%) | ||||||||||
(117,300 | ) | EUR | IMMOFINANZ, AG | (2,781,550 | ) | |||||
(777,072 | ) | Invitation Homes, Inc. | (31,611,289 | ) | ||||||
(507,100 | ) | iStar, Inc. | (12,287,033 | ) | ||||||
(113,400 | ) | Realogy Holdings Corp. | (2,009,448 | ) | ||||||
(245,900 | ) | Redfin Corp. | (14,402,363 | ) | ||||||
|
| |||||||||
(63,091,683 | ) | |||||||||
|
| |||||||||
Utilities (-1.0%) | ||||||||||
(223,600 | ) | American Electric Power Company, Inc. | (19,703,632 | ) | ||||||
(612,760 | ) | CenterPoint Energy, Inc. | (15,600,870 | ) | ||||||
(99,322 | ) | DTE Energy Company | (11,652,457 | ) | ||||||
(330,733 | ) | Essential Utilities, Inc. | (16,245,605 | ) | ||||||
(55,300 | ) | NextEra Energy Partners, LP | (4,287,409 | ) |
See accompanying Notes to Schedule of Investments
13
Calamos Market Neutral Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
(629,300 | ) | NextEra Energy, Inc. | $ | (49,022,470 | ) | |||||
(950,000 | ) | PG&E Corp. | (8,350,500 | ) | ||||||
(262,500 | ) | Southern Company | (16,765,875 | ) | ||||||
(199,300 | ) | Sunnova Energy International, Inc. | (7,593,330 | ) | ||||||
|
| |||||||||
(149,222,148 | ) | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $2,952,799,167) | (4,119,690,663 | ) | ||||||||
|
| |||||||||
| TOTAL SECURITIES SOLD SHORT | (4,119,690,663 | ) | |||||||
|
| |||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
WRITTEN OPTIONS (-3.3%) # | ||||||||||
Consumer Discretionary (-0.1%) |
| |||||||||
7,497 | Carnival Corp. | |||||||||
16,231,005 | Call, 01/21/22, Strike $10.00 | (9,015,143 | ) | |||||||
|
| |||||||||
Industrials (-0.1%) | ||||||||||
2,490 | Southwest Airlines Company | |||||||||
12,579,480 | Call, 01/21/22, Strike $30.00 | (5,229,000 | ) | |||||||
2,150 | Spirit Airlines, Inc. | |||||||||
5,800,700 | Call, 01/21/22, Strike $10.00 | (3,708,750 | ) | |||||||
|
| |||||||||
(8,937,750 | ) | |||||||||
|
| |||||||||
Other (-3.1%) | ||||||||||
S&P 500 Index | ||||||||||
6,750 | ||||||||||
2,966,800,500 | Call, 09/30/21, Strike $4,000.00 | (289,878,750 | ) | |||||||
5,750 | ||||||||||
2,527,274,500 | Call, 09/30/21, Strike $4,200.00 | (146,538,750 | ) | |||||||
3,000 | ||||||||||
1,318,578,000 | Put, 08/31/21, Strike $3,500.00 | (1,080,000 | ) | |||||||
2,000 | ||||||||||
879,052,000 | Put, 09/30/21, Strike $3,500.00 | (2,160,000 | ) | |||||||
1,500 | ||||||||||
659,289,000 | Put, 08/31/21, Strike $3,650.00 | (757,500 | ) | |||||||
1,250 | ||||||||||
549,407,500 | Call, 10/29/21, Strike $4,300.00 | (25,312,500 | ) | |||||||
500 | S&P 500 Index | |||||||||
219,763,000 | Call, 09/30/21, Strike $4,300.00 | (8,712,500 | ) | |||||||
|
| |||||||||
(474,440,000 | ) | |||||||||
|
| |||||||||
TOTAL WRITTEN OPTIONS (Premium $330,735,460) | (492,392,893 | ) | ||||||||
|
| |||||||||
|
|
FORWARD FOREIGN CURRENCY CONTRACTS
SHORT | SETTLEMENT | LOCAL | CURRENT | UNREALIZED | ||||||||||||||
COUNTERPARTY | CONTRACTS | DATE | CURRENCY | VALUE | GAIN/LOSS | |||||||||||||
State Street Bank and Trust | British Pound Sterling | 10/28/21 | 9,594,000 | $ | 13,338,163 | $ | (213,468) | |||||||||||
State Street Bank and Trust | Swiss Franc | 10/28/21 | 31,242,000 | 34,565,470 | (509,764) | |||||||||||||
State Street Bank and Trust | Japanese Yen | 10/28/21 | 4,280,482,000 | 39,044,802 | (200,941) | |||||||||||||
State Street Bank and Trust | European Monetary Unit | 10/28/21 | 63,352,000 | 75,278,737 | (454,120) | |||||||||||||
|
|
| ||||||||||||||||
$ | (1,378,293) | |||||||||||||||||
|
|
| ||||||||||||||||
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
^ | Security, or portion of security, is on loan. |
* | 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 segregated as collateral (or collateral for potential future transactions) for written options and securities sold short. The aggregate value of such securities is $2,779,026,033. |
§ | Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical. |
# | Non-income producing security. |
*** | The rate disclosed is the 7 day net yield as of July 31, 2021. |
| Represents investment of cash collateral received from securities on loan as of July 31, 2021. |
FOREIGN CURRENCY ABBREVIATION
CAD | Canadian Dollar |
CHF | Swiss Franc |
EUR | European Monetary Unit |
GBP | British Pound Sterling |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
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. For purchased options denominated in JPY, the strike price shown is a percentage of the par value of the underlying.
See accompanying Notes to Schedule of Investments
14
Calamos Hedged Equity Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
CONVERTIBLE BOND (1.4%) | ||||||||||
Consumer Discretionary (1.4%) |
| |||||||||
616,000 | Tesla, Inc. 2.000%, 05/15/24 (Cost $6,587,300) | $ | 6,826,789 | |||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES |
|
| VALUE | |||||||
COMMON STOCKS (97.0%) | ||||||||||
Communication Services (11.2%) |
| |||||||||
8,998 | Activision Blizzard, Inc. | 752,413 | ||||||||
3,532 | Alphabet Inc- Class A#~ | 9,517,080 | ||||||||
3,963 | Alphabet Inc- Class C#~ | 10,717,616 | ||||||||
96,608 | AT&T, Inc.~ | 2,709,854 | ||||||||
2,582 | Charter Communications, Inc. - Class A#~ | 1,921,137 | ||||||||
64,224 | Comcast Corp. - Class A~ | 3,778,298 | ||||||||
38,870 | Facebook, Inc. - Class A#~ | 13,849,381 | ||||||||
11,309 | Fox Corp. - Class A | 403,279 | ||||||||
6,264 | Netflix, Inc.#~ | 3,242,058 | ||||||||
10,832 | Twitter, Inc.# | 755,532 | ||||||||
58,378 | Verizon Communications, Inc.~ | 3,256,325 | ||||||||
26,476 | Walt Disney Company#~ | 4,660,306 | ||||||||
|
| |||||||||
55,563,279 | ||||||||||
|
| |||||||||
Consumer Discretionary (10.8%) |
| |||||||||
5,794 | Amazon.com, Inc.#~ | 19,280,057 | ||||||||
8,911 | Aptiv, PLC# | 1,486,800 | ||||||||
504 | Booking Holdings, Inc.#~ | 1,097,843 | ||||||||
491 | Chipotle Mexican Grill, Inc.# | 914,949 | ||||||||
3,913 | Darden Restaurants, Inc. | 570,828 | ||||||||
3,535 | Dollar General Corp. | 822,382 | ||||||||
12,158 | DR Horton, Inc. | 1,160,238 | ||||||||
13,656 | eBay, Inc. | 931,476 | ||||||||
3,901 | Expedia Group, Inc.# | 627,554 | ||||||||
39,140 | Ford Motor Company# | 546,003 | ||||||||
14,139 | General Motors Company# | 803,661 | ||||||||
15,823 | Home Depot, Inc.~ | 5,192,950 | ||||||||
8,248 | Leggett & Platt, Inc. | 396,151 | ||||||||
13,780 | Lowes Companies, Inc.~ | 2,655,268 | ||||||||
11,957 | McDonalds Corp.~ | 2,902,084 | ||||||||
13,582 | MGM Resorts International | 509,733 | ||||||||
3,330 | Mohawk Industries, Inc.# | 649,017 | ||||||||
17,620 | NIKE Inc- Class B~ | 2,951,526 | ||||||||
1,601 | OReilly Automotive, Inc.# | 966,748 | ||||||||
3,246 | PVH Corp.# | 339,597 | ||||||||
6,745 | Ross Stores, Inc. | 827,544 | ||||||||
7,684 | Royal Caribbean Cruises, Ltd.# | 590,669 | ||||||||
16,347 | Starbucks Corp.~ | 1,985,016 | ||||||||
10,401 | Target Corp.~ | 2,715,181 | ||||||||
21,070 | TJX Companies, Inc.~ | 1,449,827 | ||||||||
1,240 | Ulta Beauty, Inc.# | 416,392 | ||||||||
7,306 | VF Corp. | 585,941 | ||||||||
1,529 | Wynn Resorts, Ltd.# | 150,347 | ||||||||
|
| |||||||||
53,525,782 | ||||||||||
|
| |||||||||
Consumer Staples (5.7%) |
| |||||||||
25,980 | Altria Group, Inc.~ | 1,248,079 | ||||||||
11,453 | Archer-Daniels-Midland Company | 683,973 | ||||||||
7,347 | Church & Dwight Company, Inc. | 636,103 | ||||||||
55,934 | Coca-Cola Company~ | 3,189,916 |
NUMBER OF SHARES |
|
| VALUE | |||||||
11,066 | Colgate-Palmolive Company | $ | 879,747 | |||||||
5,222 | Constellation Brands, Inc. - Class A | 1,171,504 | ||||||||
4,517 | Costco Wholesale Corp.~ | 1,941,045 | ||||||||
12,083 | General Mills, Inc. | 711,205 | ||||||||
9,167 | Kellogg Company | 580,821 | ||||||||
6,832 | Kimberly-Clark Corp. | 927,239 | ||||||||
15,786 | Kraft Heinz Company | 607,288 | ||||||||
15,902 | Kroger Company | 647,211 | ||||||||
26,389 | Mondelez International, Inc. - Class A~ | 1,669,368 | ||||||||
6,900 | Monster Beverage Corp.# | 650,808 | ||||||||
18,500 | PepsiCo, Inc.~ | 2,903,575 | ||||||||
14,824 | Philip Morris International, Inc.~ | 1,483,734 | ||||||||
27,666 | Procter & Gamble Company~ | 3,934,935 | ||||||||
11,902 | Sysco Corp. | 883,129 | ||||||||
11,213 | Walgreens Boots Alliance, Inc.~ | 528,693 | ||||||||
22,472 | Walmart, Inc.~ | 3,203,384 | ||||||||
|
| |||||||||
28,481,757 | ||||||||||
|
| |||||||||
Energy (2.6%) |
| |||||||||
31,103 | Chevron Corp.~ | 3,166,596 | ||||||||
19,962 | ConocoPhillips~ | 1,119,070 | ||||||||
5,629 | EOG Resources, Inc. | 410,129 | ||||||||
34,242 | Exxon Mobil Corp.~ | 1,971,312 | ||||||||
12,958 | Hess Corp. | 990,510 | ||||||||
37,868 | Kinder Morgan, Inc. | 658,146 | ||||||||
27,058 | Marathon Petroleum Corp. | 1,494,143 | ||||||||
11,244 | Occidental Petroleum Corp. | 293,468 | ||||||||
7,590 | ONEOK, Inc. | 394,452 | ||||||||
5,318 | Phillips 66 | 390,501 | ||||||||
6,828 | Pioneer Natural Resources Company | 992,586 | ||||||||
16,019 | Schlumberger, NV | 461,828 | ||||||||
5,291 | Valero Energy Corp.~ | 354,338 | ||||||||
19,112 | Williams Companies, Inc. | 478,756 | ||||||||
|
| |||||||||
13,175,835 | ||||||||||
|
| |||||||||
Financials (11.1%) |
| |||||||||
7,850 | Aflac, Inc. | 431,750 | ||||||||
6,029 | Allstate Corp. | 784,071 | ||||||||
8,683 | American Express Company~ | 1,480,712 | ||||||||
26,837 | American International Group, Inc.~ | 1,270,732 | ||||||||
3,693 | Ameriprise Financial, Inc. | 951,169 | ||||||||
6,723 | Arthur J Gallagher & Company | 936,581 | ||||||||
5,545 | Assurant, Inc.~ | 875,056 | ||||||||
149,086 | Bank of America Corp.~ | 5,718,939 | ||||||||
13,681 | Bank of New York Mellon Corp. | 702,246 | ||||||||
24,847 | Berkshire Hathaway Inc- Class B#~ | 6,914,672 | ||||||||
1,419 | BlackRock, Inc. | 1,230,514 | ||||||||
16,116 | Capital One Financial Corp.~ | 2,605,957 | ||||||||
9,433 | Cboe Global Markets, Inc.~ | 1,117,528 | ||||||||
10,609 | Charles Schwab Corp. | 720,882 | ||||||||
6,117 | Chubb, Ltd. | 1,032,183 | ||||||||
28,964 | Citigroup, Inc.~ | 1,958,546 | ||||||||
2,954 | CME Group, Inc. | 626,632 | ||||||||
4,753 | Discover Financial Services | 590,893 | ||||||||
6,320 | First Republic Bank/CA | 1,232,526 | ||||||||
7,964 | Goldman Sachs Group, Inc.~ | 2,985,544 | ||||||||
49,005 | JPMorgan Chase & Company~ | 7,437,979 | ||||||||
3,670 | M&T Bank Corp. | 491,230 | ||||||||
10,428 | Marsh & McLennan Companies, Inc.~ | 1,535,210 |
See accompanying Notes to Schedule of Investments
15
Calamos Hedged Equity Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
11,370 | MetLife, Inc. | $ | 656,049 | |||||||
26,718 | Morgan Stanley~ | 2,564,394 | ||||||||
5,879 | Northern Trust Corp. | 663,445 | ||||||||
4,403 | Prudential Financial, Inc. | 441,533 | ||||||||
3,820 | S&P Global, Inc.~ | 1,637,710 | ||||||||
5,181 | State Street Corp. | 451,472 | ||||||||
4,907 | Travelers Companies, Inc. | 730,750 | ||||||||
9,318 | Truist Financial Corp. | 507,179 | ||||||||
13,572 | US Bancorp~ | 753,789 | ||||||||
48,635 | Wells Fargo & Company~ | 2,234,292 | ||||||||
17,622 | Zions Bancorp NA | 918,987 | ||||||||
|
| |||||||||
55,191,152 | ||||||||||
|
| |||||||||
Health Care (13.0%) |
| |||||||||
19,483 | Abbott Laboratories~ | 2,357,053 | ||||||||
24,200 | AbbVie, Inc.~ | 2,814,460 | ||||||||
16,227 | Agilent Technologies, Inc.~ | 2,486,463 | ||||||||
1,229 | Align Technology, Inc.# | 855,138 | ||||||||
5,479 | Amgen, Inc.~ | 1,323,398 | ||||||||
16,781 | AstraZeneca, PLC | 960,545 | ||||||||
17,235 | Baxter International, Inc.~ | 1,333,127 | ||||||||
4,576 | Becton Dickinson and Company~ | 1,170,312 | ||||||||
2,849 | Biogen, Inc.#~ | 930,854 | ||||||||
40,352 | Boston Scientific Corp.# | 1,840,051 | ||||||||
35,076 | Bristol-Myers Squibb Company~ | 2,380,608 | ||||||||
8,899 | Centene Corp.# | 610,560 | ||||||||
3,780 | Cigna Corp. | 867,472 | ||||||||
16,720 | CVS Health Corp.~ | 1,377,059 | ||||||||
6,683 | Danaher Corp.~ | 1,988,126 | ||||||||
8,083 | Edwards Lifesciences Corp.#~ | 907,479 | ||||||||
12,258 | Eli Lilly & Company~ | 2,984,823 | ||||||||
17,811 | Gilead Sciences, Inc.~ | 1,216,313 | ||||||||
3,729 | HCA Healthcare, Inc. | 925,538 | ||||||||
3,592 | Humana, Inc.~ | 1,529,689 | ||||||||
2,053 | Illumina, Inc.# | 1,017,775 | ||||||||
2,127 | Intuitive Surgical, Inc.#~ | 2,108,836 | ||||||||
35,972 | Johnson & Johnson~ | 6,194,379 | ||||||||
4,860 | Laboratory Corp. of America Holdings# | 1,439,289 | ||||||||
3,433 | McKesson Corp. | 699,748 | ||||||||
18,891 | Medtronic, PLC | 2,480,577 | ||||||||
35,122 | Merck & Company, Inc.~ | 2,699,828 | ||||||||
3,512 | Organon & Company# | 101,883 | ||||||||
78,228 | Pfizer, Inc.~ | 3,348,941 | ||||||||
4,261 | Quest Diagnostics, Inc. | 604,210 | ||||||||
908 | Regeneron Pharmaceuticals, Inc.# | 521,746 | ||||||||
3,327 | Stryker Corp. | 901,417 | ||||||||
4,118 | Thermo Fisher Scientific, Inc.~ | 2,223,761 | ||||||||
15,747 | UnitedHealth Group, Inc.~ | 6,491,228 | ||||||||
6,670 | Vertex Pharmaceuticals, Inc.#~ | 1,344,539 | ||||||||
3,310 | Zimmer Biomet Holdings, Inc. | 540,920 | ||||||||
4,502 | Zoetis, Inc. | 912,555 | ||||||||
|
| |||||||||
64,490,700 | ||||||||||
|
| |||||||||
Industrials (8.0%) |
| |||||||||
7,568 | 3M Company~ | 1,498,010 | ||||||||
3,968 | Allegion plc | 542,029 | ||||||||
7,134 | Boeing Company#~ | 1,615,708 | ||||||||
15,214 | Carrier Global Corp. | 840,574 | ||||||||
11,278 | Caterpillar, Inc.~ | 2,331,726 | ||||||||
55,932 | CSX Corp.~ | 1,807,722 | ||||||||
3,802 | Deere & Company~ | 1,374,765 | ||||||||
16,895 | Delta Air Lines, Inc.#~ | 674,111 | ||||||||
5,219 | Eaton Corp., PLC | 824,863 | ||||||||
14,928 | Emerson Electric Company~ | 1,506,086 |
NUMBER OF SHARES |
|
| VALUE | |||||||
2,842 | FedEx Corp. | $ | 795,618 | |||||||
8,107 | Fortune Brands Home & Security, Inc. | 790,189 | ||||||||
3,301 | General Dynamics Corp. | 647,095 | ||||||||
112,549 | General Electric Company~ | 1,457,510 | ||||||||
11,992 | Honeywell International, Inc.~ | 2,803,610 | ||||||||
4,703 | Illinois Tool Works, Inc. | 1,066,029 | ||||||||
12,133 | Johnson Controls International plc | 866,539 | ||||||||
4,459 | L3Harris Technologies, Inc. | 1,011,034 | ||||||||
2,649 | Lockheed Martin Corp.~ | 984,554 | ||||||||
11,099 | Masco Corp. | 662,721 | ||||||||
3,016 | Norfolk Southern Corp. | 777,615 | ||||||||
5,049 | Northrop Grumman Corp.~ | 1,832,888 | ||||||||
4,968 | Otis Worldwide Corp. | 444,884 | ||||||||
7,764 | PACCAR, Inc. | 644,334 | ||||||||
9,411 | Pentair, PLC | 693,308 | ||||||||
18,273 | Raytheon Technologies Corp.~ | 1,588,837 | ||||||||
11,778 | Southwest Airlines Company# | 595,025 | ||||||||
5,452 | Stanley Black & Decker, Inc. | 1,074,317 | ||||||||
721 | Teledyne Technologies, Inc.# | 326,447 | ||||||||
13,957 | Union Pacific Corp.~ | 3,053,233 | ||||||||
8,900 | United Parcel Service Inc- Class B~ | 1,703,104 | ||||||||
4,466 | Verisk Analytics, Inc. | 848,272 | ||||||||
8,548 | Waste Management, Inc.~ | 1,267,326 | ||||||||
6,143 | Xylem Inc/NY~ | 773,097 | ||||||||
|
| |||||||||
39,723,180 | ||||||||||
|
| |||||||||
Information Technology (27.5%) |
| |||||||||
8,115 | Accenture, PLC - Class A | 2,577,973 | ||||||||
6,390 | Adobe, Inc.#~ | 3,972,216 | ||||||||
20,918 | Advanced Micro Devices, Inc.#~ | 2,221,282 | ||||||||
11,604 | Amphenol Corp- Class A | 841,174 | ||||||||
200,526 | Apple, Inc.~ | 29,248,722 | ||||||||
31,809 | Applied Materials, Inc.~ | 4,451,033 | ||||||||
3,765 | Autodesk, Inc.# | 1,209,054 | ||||||||
7,560 | Automatic Data Processing, Inc.~ | 1,584,803 | ||||||||
5,966 | Broadcom, Inc.~ | 2,895,896 | ||||||||
73,325 | Cisco Systems Inc/Delaware~ | 4,060,005 | ||||||||
4,972 | Citrix Systems, Inc. | 500,929 | ||||||||
9,061 | Cognizant Technology Solutions Corp. - Class A | 666,255 | ||||||||
4,723 | Fidelity National Information Services, Inc. | 703,963 | ||||||||
8,961 | Fiserv, Inc.#~ | 1,031,501 | ||||||||
3,339 | Gartner, Inc.# | 883,933 | ||||||||
4,963 | Global Payments, Inc. | 959,894 | ||||||||
18,623 | HP, Inc. | 537,646 | ||||||||
55,244 | Intel Corp.~ | 2,967,708 | ||||||||
9,112 | International Business Machines Corp.~ | 1,284,428 | ||||||||
3,816 | Intuit, Inc.~ | 2,022,366 | ||||||||
3,386 | Jack Henry & Associates, Inc. | 589,469 | ||||||||
1,696 | Lam Research Corp.~ | 1,081,047 | ||||||||
11,963 | Mastercard, Inc. - Class A~ | 4,617,000 | ||||||||
24,290 | Micron Technology, Inc.#~ | 1,884,418 | ||||||||
103,902 | Microsoft Corp.~ | 29,602,719 | ||||||||
5,017 | NetApp, Inc. | 399,303 | ||||||||
38,676 | NVIDIA Corp.~ | 7,541,433 | ||||||||
26,077 | Oracle Corp.~ | 2,272,350 | ||||||||
7,107 | Paychex, Inc. | 808,919 | ||||||||
2,550 | Paycom Software, Inc.# | 1,020,000 | ||||||||
13,766 | PayPal Holdings, Inc.#~ | 3,792,946 | ||||||||
15,954 | QUALCOMM, Inc.~ | 2,389,909 | ||||||||
14,661 | salesforce.com, Inc.#~ | 3,546,936 | ||||||||
2,173 | ServiceNow, Inc.# | 1,277,485 |
See accompanying Notes to Schedule of Investments
16
Calamos Hedged Equity Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
4,844 | TE Connectivity, Ltd. | $ | 714,345 | |||||||
8,883 | Texas Instruments, Inc.~ | 1,693,277 | ||||||||
26,925 | Visa, Inc. - Class A~ | 6,634,051 | ||||||||
4,918 | Western Digital Corp.# | 319,326 | ||||||||
22,789 | Western Union Company | 528,933 | ||||||||
9,847 | Xilinx, Inc.~ | 1,475,475 | ||||||||
|
| |||||||||
136,810,122 | ||||||||||
|
| |||||||||
Materials (2.4%) |
| |||||||||
4,385 | Air Products and Chemicals, Inc.~ | 1,276,166 | ||||||||
3,582 | Avery Dennison Corp. | 754,656 | ||||||||
10,193 | Ball Corp. | 824,410 | ||||||||
12,497 | Corteva, Inc. | 534,622 | ||||||||
12,495 | Dow, Inc. | 776,689 | ||||||||
11,231 | DuPont de Nemours, Inc. | 842,886 | ||||||||
35,226 | Freeport-McMoRan, Inc. | 1,342,111 | ||||||||
905 | International Flavors & Fragrances, Inc. | 136,329 | ||||||||
9,798 | Linde, PLC | 3,011,807 | ||||||||
11,379 | Newmont Corp. | 714,829 | ||||||||
5,554 | PPG Industries, Inc. | 908,190 | ||||||||
3,399 | Sherwin-Williams Company | 989,211 | ||||||||
|
| |||||||||
12,111,906 | ||||||||||
|
| |||||||||
Real Estate (2.4%) |
| |||||||||
3,820 | Alexandria Real Estate Equities, Inc. | 769,119 | ||||||||
4,800 | American Tower Corp. | 1,357,440 | ||||||||
3,511 | AvalonBay Communities, Inc. | 799,911 | ||||||||
4,764 | Crown Castle International Corp. | 919,881 | ||||||||
3,799 | Digital Realty Trust, Inc. | 585,654 | ||||||||
879 | Equinix, Inc. | 721,140 | ||||||||
3,399 | Federal Realty Investment Trust | 399,485 | ||||||||
4,570 | Mid-America Apartment Communities, Inc. | 882,467 | ||||||||
6,582 | Prologis, Inc. | 842,759 | ||||||||
2,515 | Public Storage | 785,887 | ||||||||
8,741 | Realty Income Corp. | 614,405 | ||||||||
7,124 | Regency Centers Corp. | 465,981 | ||||||||
5,277 | Simon Property Group, Inc. | 667,646 | ||||||||
11,062 | UDR, Inc. | 608,299 | ||||||||
8,949 | Welltower, Inc. | 777,310 | ||||||||
16,656 | Weyerhaeuser Company | 561,807 | ||||||||
|
| |||||||||
11,759,191 | ||||||||||
|
| |||||||||
Utilities (2.3%) |
| |||||||||
27,257 | AES Corp. | 645,991 | ||||||||
10,673 | American Electric Power Company, Inc.~ | 940,505 | ||||||||
9,929 | CMS Energy Corp. | 613,513 | ||||||||
8,313 | Consolidated Edison, Inc. | 613,250 | ||||||||
9,830 | Dominion Energy, Inc. | 735,972 | ||||||||
13,593 | Duke Energy Corp.~ | 1,428,760 | ||||||||
6,015 | Edison International | 327,818 | ||||||||
6,086 | Entergy Corp. | 626,371 | ||||||||
8,383 | Exelon Corp. | 392,324 | ||||||||
13,766 | FirstEnergy Corp. | 527,513 | ||||||||
21,866 | NextEra Energy, Inc.~ | 1,703,362 | ||||||||
16,820 | NiSource, Inc. | 416,631 | ||||||||
10,570 | Public Service Enterprise Group, Inc. | 657,771 | ||||||||
15,092 | Southern Company | 963,926 |
NUMBER OF SHARES |
|
| VALUE | |||||||
12,114 | Xcel Energy, Inc. | $ | 826,781 | |||||||
|
| |||||||||
11,420,488 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost $318,512,615) | 482,253,392 | |||||||||
|
| |||||||||
|
| |||||||||
EXCHANGE-TRADED FUND (3.9%) | ||||||||||
Other (3.9%) | ||||||||||
44,271 | SPDR S&P 500 ETF Trust^ (Cost $18,846,532) | 19,413,276 | ||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
PURCHASED OPTIONS (0.4%) # | ||||||||||
Other (0.4%) | ||||||||||
140 | S&P 500 Index | |||||||||
61,533,640 | 03/31/22, Strike $5,000.00 S&P 500 Index | 343,000 | ||||||||
450 | ||||||||||
197,786,700 | Put, 08/31/21, Strike $4,000.00 | 645,750 | ||||||||
200 | ||||||||||
87,905,200 | Put, 08/31/21, Strike $3,800.00 | 150,000 | ||||||||
200 | ||||||||||
87,905,200 | Put, 09/30/21, Strike $4,000.00 | 724,000 | ||||||||
150 | ||||||||||
65,928,900 | Put, 08/31/21, Strike $3,900.00 | 153,000 | ||||||||
50 | ||||||||||
21,976,300 | Put, 08/31/21, Strike $4,150.00 | 124,500 | ||||||||
50 | ||||||||||
21,976,300 | Put, 03/31/22, Strike $3,000.00 | 192,250 | ||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS (Cost $3,964,960) | 2,332,500 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (0.0%) | | ||||||||
241,382 | State Street Navigator Securities Lending Government Money Market Portfolio (Cost $241,382) | 241,382 | ||||||||
|
| |||||||||
|
| |||||||||
| TOTAL INVESTMENTS (102.7%) (Cost $348,152,789) | 511,067,339 | ||||||||
|
| |||||||||
|
| |||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (0.0%) | (241,382) | ||||||||
|
| |||||||||
LIABILITIES, LESS OTHER ASSETS (-2.7%) | (13,626,468) | |||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 497,199,489 | ||||||||
|
| |||||||||
|
|
See accompanying Notes to Schedule of Investments
17
Calamos Hedged Equity Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
WRITTEN OPTIONS (-4.2%) # | ||||||||||
Other (-4.2%) | ||||||||||
100 | S&P 500 Index | |||||||||
43,952,600 | Call, 09/30/21, Strike $4,375.00 | $ | (1,193,500) | |||||||
S&P 500 Index | ||||||||||
375 | ||||||||||
164,822,250 | Put, 08/31/21, Strike $3,500.00 | (135,000) | ||||||||
300 | ||||||||||
131,857,800 | Call, 09/30/21, Strike $4,000.00 | (12,883,500) | ||||||||
200 | ||||||||||
87,905,200 | Put, 09/30/21, Strike $3,500.00 | (216,000) | ||||||||
150 | ||||||||||
65,928,900 | Call, 10/29/21, Strike $4,300.00 | (3,037,500) | ||||||||
140 | ||||||||||
61,533,640 | Call, 09/30/21, Strike $4,200.00 | (3,567,900) | ||||||||
50 | ||||||||||
21,976,300 | Put, 08/31/21, Strike $3,650.00 | (25,250) | ||||||||
|
| |||||||||
TOTAL WRITTEN OPTIONS (Premium $14,250,429) | (21,058,650) | |||||||||
|
| |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS
# | 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 $155,129,779. |
^ | Security, or portion of security, is on loan. |
| Represents investment of cash collateral received from securities on loan as of July 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
18
Calamos Phineus Long/Short Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
CONVERTIBLE PREFERRED STOCK (2.2%) | ||||||||||
Consumer Discretionary (2.2%) | ||||||||||
47,400 | EUR | Volkswagen, AG | ||||||||
0.000% | ||||||||||
(Cost $12,403,475) | $ | 11,545,240 | ||||||||
|
| |||||||||
|
| |||||||||
COMMON STOCKS (97.0%) | ||||||||||
Communication Services (9.2%) | ||||||||||
8,400 | Alphabet, Inc. - Class A#~ | 22,634,052 | ||||||||
74,700 | Facebook, Inc. - Class A#~ | 26,615,610 | ||||||||
|
| |||||||||
49,249,662 | ||||||||||
|
| |||||||||
Consumer Discretionary (7.4%) | ||||||||||
1,500 | Amazon.com, Inc.# | 4,991,385 | ||||||||
175,500 | Caesars Entertainment, Inc.# | 15,331,680 | ||||||||
330,000 | Las Vegas Sands Corp.#~ | 13,975,500 | ||||||||
65,000 | VF Corp. | 5,213,000 | ||||||||
|
| |||||||||
39,511,565 | ||||||||||
|
| |||||||||
Consumer Staples (3.3%) | ||||||||||
236,000 | Sysco Corp.~ | 17,511,200 | ||||||||
|
| |||||||||
Energy (1.8%) | ||||||||||
233,500 | Royal Dutch Shell, PLC - Class A | 9,484,770 | ||||||||
|
| |||||||||
Financials (16.9%) | ||||||||||
260,500 | Bank of America Corp. | 9,992,780 | ||||||||
77,400 | JPMorgan Chase & Company~ | 11,747,772 | ||||||||
3,585,000 | GBP | Legal & General Group, PLC | 12,986,546 | |||||||
193,300 | Morgan Stanley~ | 18,552,934 | ||||||||
7,600,000 | GBP | Natwest Group, PLC | 21,331,043 | |||||||
295,000 | Truist Financial Corp.~ | 16,056,850 | ||||||||
|
| |||||||||
90,667,925 | ||||||||||
|
| |||||||||
Health Care (4.5%) | ||||||||||
354,500 | Boston Scientific Corp.#~ | 16,165,200 | ||||||||
19,000 | UnitedHealth Group, Inc.~ | 7,832,180 | ||||||||
|
| |||||||||
23,997,380 | ||||||||||
|
| |||||||||
Industrials (36.5%) | ||||||||||
276,000 | AerCap Holdings, NV#~ | 14,628,000 | ||||||||
748,000 | Air Lease Corp. - Class A~ | 31,685,280 | ||||||||
64,500 | Boeing Company#~ | 14,607,960 | ||||||||
500,000 | CSX Corp. | 16,160,000 | ||||||||
450,000 | Delta Air Lines, Inc.#~ | 17,955,000 | ||||||||
86,500 | Honeywell International, Inc.~ | 20,222,835 | ||||||||
2,908,800 | GBP | International Consolidated Airlines |
| |||||||
Group, SA# | 6,774,836 | |||||||||
59,700 | L3Harris Technologies, Inc.~ | 13,536,378 | ||||||||
240,500 | Raytheon Technologies Corp.~ | 20,911,475 | ||||||||
182,000 | Southwest Airlines Company#~ | 9,194,640 | ||||||||
110,000 | Uber Technologies, Inc.# | 4,780,600 | ||||||||
72,000 | Union Pacific Corp.~ | 15,750,720 | ||||||||
196,000 | United Airlines Holdings, Inc.# | 9,157,120 | ||||||||
|
| |||||||||
195,364,844 | ||||||||||
|
| |||||||||
Information Technology (15.2%) | ||||||||||
114,200 | Fidelity National Information | |||||||||
Services, Inc.~ | 17,021,510 | |||||||||
64,700 | FleetCor Technologies, Inc.#~ | 16,706,834 | ||||||||
41,000 | Paycom Software, Inc.#~ | 16,400,000 |
NUMBER OF SHARES |
|
| VALUE | |||||||
75,500 | salesforce.com, Inc.#~ | $ | 18,265,715 | |||||||
34,900 | Twilio, Inc. - Class A#~ | 13,038,291 | ||||||||
|
| |||||||||
81,432,350 | ||||||||||
|
| |||||||||
Materials (2.2%) | ||||||||||
38,600 | Linde, PLC~ | 11,865,254 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost $464,524,739) | 519,084,950 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
PURCHASED OPTIONS (0.8%) # | ||||||||||
Consumer Discretionary (0.1%) | ||||||||||
64 | Amazon.com, Inc. | |||||||||
21,296,576 | Call, 10/15/21, Strike $3,500.00 | 536,960 | ||||||||
14 | Dominos Pizza, Inc. | |||||||||
455,686 | Put, 07/23/21, Strike $525.00 | 1,461 | ||||||||
665 | Peloton Interactive, Inc. | |||||||||
7,850,325 | Call, 08/06/21, Strike $118.00 | 221,112 | ||||||||
|
| |||||||||
759,533 | ||||||||||
|
| |||||||||
Energy (0.1%) | ||||||||||
1,375 | Royal Dutch Shell, PLC | |||||||||
5,585,250 | Call, 10/15/21, Strike $40.00 | 316,250 | ||||||||
|
| |||||||||
Financials (0.3%) | ||||||||||
7,800 | Huntington Bancshares, Inc. | |||||||||
10,982,400 | Call, 09/17/21, Strike $14.00 | 487,500 | ||||||||
13,500 | Itau Unibanco Holding, SA | |||||||||
7,789,500 | Call, 12/17/21, Strike $5.00 | 1,316,250 | ||||||||
|
| |||||||||
1,803,750 | ||||||||||
|
| |||||||||
Industrials (0.1%) | ||||||||||
2,725 | Southwest Airlines Company | |||||||||
13,766,700 | Call, 08/20/21, Strike $52.00 | 256,150 | ||||||||
|
| |||||||||
Information Technology (0.1%) | ||||||||||
501 | Workday, Inc. | |||||||||
11,743,440 | Call, 09/17/21, Strike $230.00 | 691,380 | ||||||||
|
| |||||||||
Other (0.1%) | ||||||||||
532 | ARK Innovation ETF | |||||||||
6,384,000 | Put, 08/06/21, Strike $109.00 | 11,970 | ||||||||
560 | Invesco QQQ Trust Series | |||||||||
20,415,920 | Put, 08/13/21, Strike $355.00 | 101,080 | ||||||||
8,000 | iShares 20+ Year Treasury Bond | |||||||||
119,616,000 | Put, 08/20/21, Strike $140.00 | 96,000 | ||||||||
3,750 | SPDR S&P 500 ETF Trust | |||||||||
164,441,250 | Put, 08/09/21, Strike $432.00 | 504,375 | ||||||||
|
| |||||||||
713,425 | ||||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS (Cost $7,184,082) | 4,540,488 | |||||||||
|
| |||||||||
|
| |||||||||
| TOTAL INVESTMENTS (100.0%) | 535,170,678 | ||||||||
|
| |||||||||
LIABILITIES, LESS OTHER ASSETS (0.0%) | (63,494 | ) | ||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 535,107,184 | ||||||||
|
| |||||||||
|
|
See accompanying Notes to Schedule of Investments
19
Calamos Phineus Long/Short Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
COMMON STOCKS SOLD SHORT (-3.6%) # | ||||||||||
Consumer Discretionary (-3.6%) | ||||||||||
(90,500 | ) | eBay, Inc. | $ | (6,173,005 | ) | |||||
(50,000 | ) | Target Corp. | (13,052,500 | ) | ||||||
|
|
| ||||||||
(19,225,505 | ) | |||||||||
|
|
| ||||||||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $16,515,529) | (19,225,505 | ) | ||||||||
|
|
| ||||||||
|
|
| ||||||||
EXCHANGE-TRADED FUNDS SOLD SHORT (-43.3%) # | ||||||||||
Other (-43.3%) | ||||||||||
(53,200 | ) | ARK Innovation ETF | (6,384,000 | ) | ||||||
(85,000 | ) | Invesco QQQ Trust Series | (30,988,450 | ) | ||||||
(482,500 | ) | Vanguard S&P 500 ETF | (194,519,875 | ) | ||||||
|
|
| ||||||||
TOTALEXCHANGE-TRADED FUNDS SOLD SHORT (Proceeds $220,704,910) | (231,892,325 | ) | ||||||||
|
|
| ||||||||
|
|
| ||||||||
| TOTAL SECURITIES SOLD SHORT (Proceeds $237,220,439) | (251,117,830 | ) | |||||||
|
|
| ||||||||
|
|
| ||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
WRITTEN OPTIONS (-1.3%) # | ||||||||||
Communication Services (0.0%) | ||||||||||
300 | Facebook, Inc. | |||||||||
10,689,000 | Call, 08/20/21, Strike $370.00 | (93,000 | ) | |||||||
|
|
| ||||||||
Consumer Discretionary (-0.1%) | ||||||||||
15 | Amazon.com, Inc. | |||||||||
4,991,385 | Call, 08/20/21, Strike $3,400.00 | (71,062 | ) | |||||||
100 | Dominos Pizza, Inc. | |||||||||
3,254,900 | Call, 08/20/21, Strike $535.00 | (68,000 | ) | |||||||
Peloton Interactive, Inc. | ||||||||||
665 | ||||||||||
7,850,325 | Call, 08/06/21, Strike $126.00 | (54,862 | ) | |||||||
665 | ||||||||||
7,850,325 | Call, 08/20/21, Strike $130.00 | (135,993 | ) | |||||||
|
|
| ||||||||
(329,917 | ) | |||||||||
|
|
| ||||||||
Energy (0.0%) | ||||||||||
5,900 | Energy Select Sector SPDR Fund | |||||||||
29,140,100 | Put, 08/20/21, Strike $45.00 | (182,900 | ) | |||||||
|
|
| ||||||||
Financials (-0.2%) | ||||||||||
7,800 | Huntington Bancshares, Inc. | |||||||||
10,982,400 | Put, 09/17/21, Strike $13.00 | (214,500 | ) | |||||||
13,500 | Itau Unibanco Holding, SA | |||||||||
7,789,500 | Put, 08/20/21, Strike $6.00 | (465,750 | ) | |||||||
Moodys Corp. | ||||||||||
145 | ||||||||||
5,452,000 | Call, 09/17/21, Strike $380.00 | (127,600 | ) | |||||||
145 | ||||||||||
5,452,000 | Call, 09/17/21, Strike $370.00 | (205,900 | ) | |||||||
145 | ||||||||||
5,452,000 | Put, 09/17/21, Strike $370.00 | (125,425 | ) | |||||||
|
|
| ||||||||
(1,139,175 | ) | |||||||||
|
|
|
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
Industrials (-0.1%) | ||||||||||
Southwest Airlines Company | ||||||||||
1,825 | ||||||||||
9,219,900 | Put, 08/20/21, Strike $47.50 | $ | (105,850 | ) | ||||||
1,820 | ||||||||||
9,194,640 | Call, 08/06/21, Strike $51.00 | (123,760 | ) | |||||||
|
|
| ||||||||
(229,610 | ) | |||||||||
|
|
| ||||||||
Other (-0.9%) | ||||||||||
ARK Innovation ETF | ||||||||||
532 | ||||||||||
6,384,000 | Put, 08/06/21, Strike $100.00 | (2,660 | ) | |||||||
532 | ||||||||||
6,384,000 | Put, 08/20/21, Strike $100.00 | (22,344 | ) | |||||||
Invesco QQQ Trust Series | ||||||||||
560 | ||||||||||
20,415,920 | Put, 08/13/21, Strike $345.00 | (44,520 | ) | |||||||
560 | ||||||||||
20,415,920 | Put, 08/20/21, Strike $340.00 | (61,600 | ) | |||||||
iShares 20+ Year Treasury Bond | ||||||||||
8,000 | ||||||||||
119,616,000 | Call, 09/17/21, Strike $150.00 | (2,412,000 | ) | |||||||
4,000 | ||||||||||
59,808,000 | Put, 09/17/21, Strike $130.00 | (92,000 | ) | |||||||
Vanguard S&P 500 ETF | ||||||||||
5,550 | ||||||||||
223,748,250 | Put, 08/20/21, Strike $350.00 | (222,000 | ) | |||||||
4,825 | ||||||||||
194,519,875 | Put, 08/20/21, Strike $380.00 | (615,188 | ) | |||||||
710 | ||||||||||
28,623,650 | Call, 08/20/21, Strike $385.00 | (1,405,800 | ) | |||||||
|
|
| ||||||||
(4,878,112 | ) | |||||||||
|
|
| ||||||||
TOTAL WRITTEN OPTIONS | (6,852,714 | ) | ||||||||
|
|
| ||||||||
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
# | Non-income producing security. |
~ | Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options and securities sold short. The aggregate value of such securities is $275,148,121. |
FOREIGN CURRENCY ABBREVIATIONS
EUR | European Monetary Unit |
GBP | British Pound Sterling |
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. 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
20
Calamos Convertible Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
CONVERTIBLE BONDS (83.1%) | ||||||||||
Communication Services (9.2%) | ||||||||||
4,873,000 | Eventbrite, Inc.* 0.750%, 09/15/26 | $ | 4,608,396 | |||||||
12,500,000 | Liberty Media Corp. 0.500%, 12/01/50* | 13,842,750 | ||||||||
10,750,000 | 1.375%, 10/15/23 | 14,294,168 | ||||||||
8,000,000 | Liberty Media Corp. / Liberty Formula One~ 1.000%, 01/30/23 | 10,595,680 | ||||||||
6,537,000 | Magnite, Inc.* 0.250%, 03/15/26 | 5,636,724 | ||||||||
7,750,000 | Match Group Financeco 3, Inc.* 2.000%, 01/15/30 | 15,640,353 | ||||||||
32,000,000 | Snap, Inc. 0.000%, 05/01/27* | 36,838,400 | ||||||||
3,273,000 | 0.250%, 05/01/25 | 11,244,653 | ||||||||
12,500,000 | Twitter, Inc.^ 0.250%, 06/15/24 | 17,334,125 | ||||||||
11,000,000 | Zynga, Inc. 0.250%, 06/01/24 | 14,700,070 | ||||||||
|
| |||||||||
144,735,319 | ||||||||||
|
| |||||||||
Consumer Discretionary (21.1%) | ||||||||||
7,750,000 | Airbnb, Inc.* 0.000%, 03/15/26 | 7,263,920 | ||||||||
15,419,000 | Booking Holdings, Inc.^ 0.750%, 05/01/25 | 21,765,460 | ||||||||
6,750,000 | Burlington Stores, Inc.^ 2.250%, 04/15/25 | 11,044,823 | ||||||||
7,500,000 | Cheesecake Factory, Inc. 0.375%, 06/15/26 | 7,035,750 | ||||||||
11,000,000 | Chegg, Inc.* 0.000%, 09/01/26 | 11,928,070 | ||||||||
3,250,000 | Dicks Sporting Goods, Inc. 3.250%, 04/15/25 | 10,000,120 | ||||||||
7,250,000 | DISH Network Corp.* 0.000%, 12/15/25 | 8,485,400 | ||||||||
15,250,000 | DraftKings, Inc.* 0.000%, 03/15/28 | 13,387,060 | ||||||||
16,750,000 | Etsy, Inc.*^ 0.125%, 09/01/27 | 20,188,775 | ||||||||
5,570,000 | Expedia Group, Inc.*^ 0.000%, 02/15/26 | 5,988,975 | ||||||||
15,250,000 | Ford Motor Company* 0.000%, 03/15/26 | 16,341,137 | ||||||||
7,500,000 | LCI Industries* 1.125%, 05/15/26 | 8,088,300 | ||||||||
5,517,000 | MakeMyTrip, Ltd.* 0.000%, 02/15/28 | 5,577,025 | ||||||||
14,750,000 | Marriott Vacations Worldwide Corp.*^ 0.000%, 01/15/26 | 15,771,142 | ||||||||
3,750,000 | NCL Corp. Ltd. 6.000%, 05/15/24 | 7,356,488 | ||||||||
5,285,000 | NCL Corp., Ltd.* 5.375%, 08/01/25 | 8,363,724 | ||||||||
3,750,000 | RH 0.000%, 09/15/24^ | 11,729,663 | ||||||||
3,250,000 | 0.000%, 06/15/23 | 11,085,718 | ||||||||
20,500,000 | Royal Caribbean Cruises, Ltd. 4.250%, 06/15/23 | 26,414,250 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
7,750,000 | Shake Shack, Inc.* 0.000%, 03/01/28 | $ | 7,262,603 | |||||||
2,700,000 | Tesla, Inc. 2.000%, 05/15/24 | 29,922,615 | ||||||||
4,000,000 | Under Armour, Inc. 1.500%, 06/01/24 | 7,467,160 | ||||||||
20,750,000 | Vail Resorts, Inc.*~^ 0.000%, 01/01/26 | 20,951,482 | ||||||||
7,750,000 | Vroom, Inc.* 0.750%, 07/01/26 | 7,539,665 | ||||||||
20,000,000 | Wayfair, Inc.* 0.625%, 10/01/25 | 19,429,800 | ||||||||
8,000,000 | Winnebago Industries, Inc. 1.500%, 04/01/25 | 10,586,560 | ||||||||
|
| |||||||||
330,975,685 | ||||||||||
|
| |||||||||
Consumer Staples (0.4%) | ||||||||||
7,750,000 | Beyond Meat, Inc.*^ 0.000%, 03/15/27 | 7,140,695 | ||||||||
|
| |||||||||
Energy (0.7%) | ||||||||||
7,750,000 | Pioneer Natural Resources Company 0.250%, 05/15/25 | 11,401,722 | ||||||||
|
| |||||||||
Financials (1.0%) | ||||||||||
7,500,000 | Coinbase Global, Inc.* 0.500%, 06/01/26 | 7,572,525 | ||||||||
7,500,000 | Realogy Group, LLC / Realogy Co-Issuer Corp.* 0.250%, 06/15/26 | 7,597,200 | ||||||||
|
| |||||||||
15,169,725 | ||||||||||
|
| |||||||||
Health Care (13.1%) | ||||||||||
7,500,000 | Bridgebio Pharma, Inc.* 2.250%, 02/01/29 | 6,854,025 | ||||||||
4,630,000 | CONMED Corp. 2.625%, 02/01/24 | 7,493,979 | ||||||||
20,500,000 | Dexcom, Inc. 0.250%, 11/15/25 | 23,376,355 | ||||||||
2,772,000 | Envista Holdings Corp. 2.375%, 06/01/25 | 5,913,036 | ||||||||
15,500,000 | Exact Sciences Corp. 0.375%, 03/15/27 | 18,739,965 | ||||||||
7,750,000 | Halozyme Therapeutics, Inc.* 0.250%, 03/01/27 | 7,100,318 | ||||||||
16,975,000 | Insulet Corp. 0.375%, 09/01/26 | 23,511,733 | ||||||||
13,500,000 | Integra LifeSciences Holdings Corp.^ 0.500%, 08/15/25 | 15,369,480 | ||||||||
10,000,000 | Jazz Investments I, Ltd. 2.000%, 06/15/26 | 12,964,500 | ||||||||
14,000,000 | NeoGenomics, Inc. 0.250%, 01/15/28 | 13,797,140 | ||||||||
5,600,000 | NuVasive, Inc. 0.375%, 03/15/25 | 5,450,424 | ||||||||
7,500,000 | Oak Street Health, Inc.* 0.000%, 03/15/26 | 7,942,950 | ||||||||
11,250,000 | Omnicell, Inc.* 0.250%, 09/15/25 | 17,721,113 | ||||||||
10,000,000 | Pacira BioSciences, Inc. 0.750%, 08/01/25 | 11,003,800 | ||||||||
6,805,000 | Repligen Corp. 0.375%, 07/15/24 | 14,719,691 |
See accompanying Notes to Schedule of Investments
21
Calamos Convertible Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
2,000,000 | Sarepta Therapeutics, Inc. 1.500%, 11/15/24 | $ | 2,453,580 | |||||||
10,000,000 | Teladoc Health, Inc.^ 1.250%, 06/01/27 | 10,771,700 | ||||||||
|
| |||||||||
205,183,789 | ||||||||||
|
| |||||||||
Industrials (6.3%) | ||||||||||
4,500,000 | Air Canada 4.000%, 07/01/25 | 6,866,775 | ||||||||
7,000,000 | Air Transport Services Group, Inc.~ 1.125%, 10/15/24 | 7,281,120 | ||||||||
15,000,000 | JetBlue Airways Corp.*^ 0.500%, 04/01/26 | 14,835,750 | ||||||||
7,500,000 | John Bean Technologies Corp.* 0.250%, 05/15/26 | 8,087,925 | ||||||||
5,500,000 | Middleby Corp.* 1.000%, 09/01/25 | 8,603,485 | ||||||||
13,250,000 | Southwest Airlines Company~ 1.250%, 05/01/25 | 19,468,225 | ||||||||
7,500,000 | Sunrun, Inc.* 0.000%, 02/01/26 | 6,697,275 | ||||||||
27,500,000 | Uber Technologies, Inc.*^ 0.000%, 12/15/25 | 26,861,725 | ||||||||
98,702,280 | ||||||||||
|
| |||||||||
Information Technology (28.6%) | ||||||||||
9,500,000 | Akamai Technologies, Inc. 0.125%, 05/01/25 | 12,693,615 | ||||||||
11,500,000 | Bentley Systems, Inc.* 0.125%, 01/15/26 | 13,272,955 | ||||||||
7,125,000 | Bill.com Holdings, Inc.* 0.000%, 12/01/25 | 10,356,330 | ||||||||
19,000,000 | Coupa Software, Inc. 0.375%, 06/15/26 | 20,399,730 | ||||||||
8,500,000 | Datadog, Inc. 0.125%, 06/15/25 | 11,794,855 | ||||||||
7,750,000 | Enphase Energy, Inc.* 0.000%, 03/01/26 | 7,813,007 | ||||||||
7,750,000 | 0.000%, 03/01/28^ | 7,860,515 | ||||||||
2,750,000 | Everbridge, Inc. 0.125%, 12/15/24 | 3,845,023 | ||||||||
8,000,000 | Five9, Inc. 0.500%, 06/01/25 | 12,938,880 | ||||||||
6,500,000 | LivePerson, Inc.* 0.000%, 12/15/26 | 7,037,680 | ||||||||
28,525,000 | Microchip Technology, Inc.^ 0.125%, 11/15/24 | 31,305,332 | ||||||||
7,750,000 | MicroStrategy, Inc.* 0.000%, 02/15/27 | 5,744,145 | ||||||||
7,500,000 | MongoDB, Inc. 0.250%, 01/15/26 | 13,552,275 | ||||||||
7,575,000 | Nova Measuring Instruments, Ltd.* 0.000%, 10/15/25 | 10,701,127 | ||||||||
8,000,000 | Okta, Inc. 0.125%, 09/01/25 | 11,674,080 | ||||||||
4,750,000 | 0.375%, 06/15/26 | 5,991,840 | ||||||||
15,000,000 | ON Semiconductor Corp.*^ 0.000%, 05/01/27 | 15,963,000 | ||||||||
9,500,000 | Palo Alto Networks, Inc. 0.750%, 07/01/23~ | 14,679,590 | ||||||||
6,250,000 | 0.375%, 06/01/25 | 8,966,937 | ||||||||
7,500,000 | Proofpoint, Inc. 0.250%, 08/15/24 | 9,454,275 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
3,500,000 | Q2 Holdings, Inc. 0.750%, 06/01/26 | $ | 4,608,065 | |||||||
14,500,000 | Repay Holdings Corp.* 0.000%, 02/01/26 | 14,444,030 | ||||||||
25,250,000 | RingCentral, Inc. 0.000%, 03/01/25 | 26,704,905 | ||||||||
21,750,000 | Shift4 Payments, Inc.* 0.000%, 12/15/25 | 28,299,142 | ||||||||
8,898,000 | Shopify, Inc.^ 0.125%, 11/01/25 | 11,732,636 | ||||||||
10,750,000 | Silicon Laboratories, Inc. 0.625%, 06/15/25 | 14,600,005 | ||||||||
20,000,000 | Splunk, Inc. 1.125%, 06/15/27 | 19,603,600 | ||||||||
12,500,000 | Square, Inc.*^ 0.250%, 11/01/27 | 14,749,375 | ||||||||
12,500,000 | 0.000%, 05/01/26 | 14,221,250 | ||||||||
7,500,000 | Tyler Technologies, Inc.* 0.250%, 03/15/26 | 8,578,800 | ||||||||
3,250,000 | Viavi Solutions, Inc.^ 1.000%, 03/01/24 | 4,402,905 | ||||||||
10,500,000 | Wix.com, Ltd.*^ 0.000%, 08/15/25 | 11,474,400 | ||||||||
7,000,000 | Workday, Inc. 0.250%, 10/01/22 | 11,333,350 | ||||||||
9,250,000 | Zendesk, Inc. 0.625%, 06/15/25 | 12,607,102 | ||||||||
8,653,000 | Zscaler, Inc. 0.125%, 07/01/25 | 14,458,298 | ||||||||
|
| |||||||||
447,863,054 | ||||||||||
|
| |||||||||
Materials (1.2%) | ||||||||||
7,500,000 | Ivanhoe Mines, Ltd.* 2.500%, 04/15/26 | 9,382,575 | ||||||||
8,241,000 | MP Materials Corp.* 0.250%, 04/01/26 | 8,924,591 | ||||||||
|
| |||||||||
18,307,166 | ||||||||||
|
| |||||||||
Real Estate (1.5%) | ||||||||||
6,000,000 | IH Merger Sub, LLC 3.500%, 01/15/22 | 10,734,060 | ||||||||
12,000,000 | Redfin Corp.* 0.000%, 10/15/25 | 13,013,640 | ||||||||
|
| |||||||||
23,747,700 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS (Cost $1,077,891,479) | 1,303,227,135 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES |
|
| VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS (12.2%) | ||||||||||
Communication Services (0.7%) | ||||||||||
9,250 | 2020 Cash Mandatory Exchangeable Trust* 5.250%, 06/01/23 | 11,704,303 | ||||||||
|
| |||||||||
Consumer Discretionary (1.1%) | ||||||||||
92,520 | Aptiv, PLC 5.500%, 06/15/23 | 17,371,555 | ||||||||
|
| |||||||||
Financials (1.5%) | ||||||||||
10,300 | Bank of America Corp.~ 7.250% | 15,239,365 |
See accompanying Notes to Schedule of Investments
22
Calamos Convertible Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
107,870 | KKR & Company, Inc.^ 6.000%, 09/15/23 | $ | 8,957,525 | |||||||
|
| |||||||||
24,196,890 | ||||||||||
|
| |||||||||
Health Care (3.4%) | ||||||||||
157,130 | Avantor, Inc. | 18,172,084 | ||||||||
80,360 | Boston Scientific Corp. 5.500%, 06/01/23 | 9,873,030 | ||||||||
12,375 | Danaher Corp.^ | 24,660,281 | ||||||||
|
| |||||||||
52,705,395 | ||||||||||
|
| |||||||||
Industrials (1.0%) | ||||||||||
129,110 | Stanley Black & Decker, Inc.^ 5.250%, 11/15/22 | 15,234,980 | ||||||||
|
| |||||||||
Information Technology (1.6%) | ||||||||||
16,605 | Broadcom, Inc. | 25,643,766 | ||||||||
|
| |||||||||
Utilities (2.9%) | ||||||||||
74,990 | AES Corp. | 7,602,486 | ||||||||
152,490 | Dominion Energy, Inc. 7.250%, 06/01/22 | 15,207,828 | ||||||||
174,515 | NextEra Energy, Inc. | 9,055,583 | ||||||||
149,730 | 4.872%, 09/01/22 | 8,799,632 | ||||||||
86,590 | 5.279%, 03/01/23^ | 4,445,531 | ||||||||
|
| |||||||||
45,111,060 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | 191,967,949 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
PURCHASED OPTION (0.1%) # | ||||||||||
Information Technology (0.1%) | ||||||||||
1,800 | Micron Technology, Inc. | |||||||||
13,964,400 | Call, 01/21/22, Strike $85.00 (Cost $1,569,662) | $ | 886,500 | |||||||
|
| |||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (9.5%) |
| ||||||||
69,006,486 | JPMorgan Prime Money Market Fund - Capital Class, 0.070%*** | 69,006,486 | ||||||||
79,186,529 | State Street Navigator Securities Lending Government Money Market Portfolio | 79,186,529 | ||||||||
|
| |||||||||
TOTAL INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED | 148,193,015 | |||||||||
|
| |||||||||
|
|
|
| VALUE | ||||||||
TOTAL INVESTMENTS (104.9%) (Cost $1,376,210,330) | $ | 1,644,274,599 | ||||||||
|
| |||||||||
|
| |||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-9.5%) | (148,193,015 | ) | ||||||||
|
| |||||||||
OTHER ASSETS, LESS LIABILITIES (4.6%) | 72,043,037 | |||||||||
|
| |||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 1,568,124,621 | ||||||||
|
| |||||||||
|
|
FORWARD FOREIGN CURRENCY CONTRACTS
COUNTERPARTY | SHORT CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/LOSS | ||||||||||||||||||||
Bank of New YorkBank and Trust | | Canadian Dollar | | 10/28/21 | 15,990,000 | $ | 12,815,786 | $ | (153,609) | ||||||||||||||||
|
| ||||||||||||||||||||||||
$ | (153,609) | ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
|
|
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 segregated as collateral (or collateral for potential future transactions) for written options. |
The aggregate value of such securities is $42,751,036. |
^ | Security, or portion of security, is on loan. |
| Perpetual maturity. |
# | Non-income producing security. |
*** | The rate disclosed is the 7 day net yield as of July 31, 2021. |
| Represents investment of cash collateral received from securities on loan as of July 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
23
Calamos Global Convertible Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
CONVERTIBLE BONDS (86.7%) | ||||||||||
Communication Services (11.7%) |
| |||||||||
1,100,000 | EUR | America Movil, BV 0.000%, 03/02/24 | $ | 1,367,391 | ||||||
1,363,000 | Bharti Airtel, Ltd.* 1.500%, 02/17/25 | 1,627,013 | ||||||||
600,000 | EUR | Cellnex Telecom, SA 1.500%, 01/16/26 | 1,337,627 | |||||||
50,000,000 | JPY | CyberAgent, Inc. 0.000%, 02/17/23 | 588,638 | |||||||
50,000,000 | JPY | 0.000%, 02/19/25 | 625,833 | |||||||
1,205,000 | iQIYI, Inc. 4.000%, 12/15/26 | 1,033,444 | ||||||||
760,000 | 2.000%, 04/01/25 | 651,480 | ||||||||
1,000,000 | Kakao Corp. 0.000%, 04/28/23 | 1,517,520 | ||||||||
710,000 | Liberty Media Corp. 1.375%, 10/15/23 | 944,080 | ||||||||
665,000 | Liberty Media Corp. (Sirius XM Holdings, Inc.)*§ 2.125%, 03/31/48 | 694,253 | ||||||||
660,000 | Liberty Media Corp. / Liberty Formula One 1.000%, 01/30/23 | 874,144 | ||||||||
750,000 | Momo, Inc. 1.250%, 07/01/25 | 633,795 | ||||||||
1,174,000 | Sea, Ltd. 2.375%, 12/01/25 | 3,649,449 | ||||||||
4,133,000 | Snap, Inc. 0.000%, 05/01/27* | 4,757,910 | ||||||||
1,032,000 | 0.750%, 08/01/26 | 3,378,613 | ||||||||
2,711,000 | Twitter, Inc. 0.000%, 03/15/26* | 2,609,093 | ||||||||
2,090,000 | 0.250%, 06/15/24^ | 2,898,266 | ||||||||
1,000,000 | Xiaomi Best Time International, Ltd. | 1,039,940 | ||||||||
1,442,000 | Zynga, Inc. 0.250%, 06/01/24 | 1,927,045 | ||||||||
|
| |||||||||
32,155,534 | ||||||||||
|
| |||||||||
Consumer Discretionary (16.1%) | ||||||||||
1,366,000 | Airbnb, Inc.* 0.000%, 03/15/26 | 1,280,324 | ||||||||
613,000 | Baozun, Inc. 1.625%, 05/01/24 | 558,320 | ||||||||
957,000 | Booking Holdings, Inc.^ 0.750%, 05/01/25 | 1,350,901 | ||||||||
600,000 | Cie Generale des Etablissements Michelin SCA 0.000%, 01/10/22 | 652,908 | ||||||||
900,000 | EUR | Delivery Hero, SE 0.250%, 01/23/24 | 1,470,706 | |||||||
2,719,000 | DraftKings, Inc.* 0.000%, 03/15/28 | 2,386,847 | ||||||||
1,200,000 | CHF | Dufry One, BV 0.750%, 03/30/26 | 1,269,124 | |||||||
958,000 | Etsy, Inc.* 0.125%, 09/01/27 | 1,154,677 | ||||||||
993,000 | Expedia Group, Inc.*^ 0.000%, 02/15/26 | 1,067,693 | ||||||||
521,000 | Fiverr International, Ltd.* 0.000%, 11/01/25 | 709,300 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
1,100,000 | EUR | Global Fashion Group, SA 1.250%, 03/15/28 | $ | 1,301,129 | ||||||
600,000 | EUR | HelloFresh, SE 0.750%, 05/13/25 | 1,218,338 | |||||||
969,000 | Liberty Broadband Corp.* 2.750%, 09/30/50 | 1,040,299 | ||||||||
1,958,000 | MakeMyTrip, Ltd.* 0.000%, 02/15/28 | 1,979,303 | ||||||||
1,303,000 | Marriott Vacations Worldwide Corp.* 0.000%, 01/15/26 | 1,393,207 | ||||||||
2,700,000 | Meituan 0.000%, 04/27/28 | 2,509,866 | ||||||||
1,822,000 | NCL Corp., Ltd.* 5.375%, 08/01/25 | 2,883,388 | ||||||||
900,000 | GBP | Ocado Group, PLC 0.750%, 01/18/27 | 1,235,689 | |||||||
948,000 | Peloton Interactive, Inc.* 0.000%, 02/15/26 | 897,064 | ||||||||
2,243,000 | Pinduoduo, Inc. 0.000%, 12/01/25 | 2,082,917 | ||||||||
3,427,000 | Royal Caribbean Cruises, Ltd. 4.250%, 06/15/23 | 4,415,690 | ||||||||
416,000 | EUR | SEB, SA 0.000%, 11/17/21 | 897,127 | |||||||
1,355,000 | Shake Shack, Inc.* 0.000%, 03/01/28 | 1,269,784 | ||||||||
1,000,000 | EUR | Shop Apotheke Europe, NV 0.000%, 01/21/28 | 1,134,031 | |||||||
980,000 | Stride, Inc.* 1.125%, 09/01/27 | 895,857 | ||||||||
116,000 | Tesla, Inc. 2.000%, 05/15/24 | 1,285,564 | ||||||||
2,043,000 | Vroom, Inc.* 0.750%, 07/01/26 | 1,987,553 | ||||||||
1,863,000 | Wayfair, Inc.* 0.625%, 10/01/25 | 1,809,886 | ||||||||
1,500,000 | EUR | Zalando, SE 0.050%, 08/06/25 | 2,215,428 | |||||||
|
| |||||||||
44,352,920 | ||||||||||
|
| |||||||||
Consumer Staples (2.1%) | ||||||||||
3,800,000 | Carrefour, SA 0.000%, 03/27/24 | 3,905,906 | ||||||||
100,000,000 | JPY | Nippn Corp. 0.000%, 06/20/25 | 916,503 | |||||||
729,000 | Turning Point Brands, Inc. 2.500%, 07/15/24 | 871,119 | ||||||||
|
| |||||||||
5,693,528 | ||||||||||
|
| |||||||||
Energy (1.9%) | ||||||||||
2,141,000 | Pioneer Natural Resources Company 0.250%, 05/15/25 | 3,149,817 | ||||||||
2,000,000 | TotalEnergies, SE 0.500%, 12/02/22 | 2,025,860 | ||||||||
|
| |||||||||
5,175,677 | ||||||||||
|
| |||||||||
Financials (4.8%) | ||||||||||
1,312,000 | Coinbase Global, Inc.* 0.500%, 06/01/26 | 1,324,687 | ||||||||
2,700,000 | EUR | Corestate Capital Holding, SA 1.375%, 11/28/22 | 2,837,490 |
See accompanying Notes to Schedule of Investments
24
Calamos Global Convertible Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
1,000,000 | GBP | Cornwall Jersey, Ltd. 0.750%, 04/16/26 | $ | 1,276,479 | ||||||
1,670,000 | GSK Finance No 3, PLC* 0.000%, 06/22/23 | 1,686,850 | ||||||||
1,200,000 | JPMorgan Chase Bank NA | 1,414,032 | ||||||||
900,000 | EUR | LEG Immobilien, SE^ 0.875%, 09/01/25 | 1,361,670 | |||||||
1,700,000 | EUR | Oliver Capital Sarl 0.000%, 12/29/23 | 2,207,800 | |||||||
130,000,000 | JPY | SBI Holdings, Inc. 0.000%, 09/13/23 | 1,220,025 | |||||||
|
| |||||||||
13,329,033 | ||||||||||
|
| |||||||||
Health Care (9.3%) | ||||||||||
1,312,000 | Bridgebio Pharma, Inc.* 2.250%, 02/01/29 | 1,198,997 | ||||||||
650,000 | Coherus Biosciences, Inc. 1.500%, 04/15/26 | 650,825 | ||||||||
1,140,000 | Dexcom, Inc. 0.250%, 11/15/25 | 1,299,953 | ||||||||
600,000 | EUR | GN Store Nord AS 0.000%, 05/21/24 | 904,392 | |||||||
1,372,000 | Haemonetics Corp.* 0.000%, 03/01/26 | 1,165,679 | ||||||||
1,372,000 | Halozyme Therapeutics, Inc.* | 1,256,985 | ||||||||
702,000 | Innoviva, Inc. 2.500%, 08/15/25 | 782,351 | ||||||||
970,000 | Insulet Corp. 0.375%, 09/01/26 | 1,343,528 | ||||||||
1,088,000 | Integra LifeSciences Holdings Corp. 0.500%, 08/15/25 | 1,238,666 | ||||||||
1,295,000 | Jazz Investments I, Ltd. 2.000%, 06/15/26 | 1,678,903 | ||||||||
240,000,000 | JPY | Menicon Company, Ltd. 0.000%, 01/29/25 | 2,602,055 | |||||||
1,241,000 | NeoGenomics, Inc. 0.250%, 01/15/28 | 1,223,018 | ||||||||
926,000 | Novocure, Ltd.* 0.000%, 11/01/25 | 1,103,051 | ||||||||
710,000 | NuVasive, Inc. 0.375%, 03/15/25 | 691,036 | ||||||||
2,561,000 | Oak Street Health, Inc.* 0.000%, 03/15/26 | 2,712,253 | ||||||||
950,000 | Omnicell, Inc.* 0.250%, 09/15/25 | 1,496,449 | ||||||||
Pacira BioSciences, Inc. | ||||||||||
1,045,000 | 0.750%, 08/01/25 | 1,149,897 | ||||||||
113,000 | 2.375%, 04/01/22 | 120,672 | ||||||||
130,000,000 | JPY | Ship Healthcare Holdings, Inc. | 1,358,468 | |||||||
630,000 | Tabula Rasa HealthCare, Inc. | 605,928 | ||||||||
1,085,000 | Teladoc Health, Inc. 1.250%, 06/01/27 | 1,168,729 | ||||||||
|
| |||||||||
25,751,835 | ||||||||||
|
| |||||||||
Industrials (5.4%) | ||||||||||
1,676,000 | Air Canada 4.000%, 07/01/25 | 2,557,492 | ||||||||
900,000 | EUR | Duerr, AG 0.750%, 01/15/26 | 1,398,300 | |||||||
1,331,000 | John Bean Technologies Corp.* | 1,435,337 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
952,000 | Middleby Corp.* 1.000%, 09/01/25 | $ | 1,489,185 | |||||||
1,173,000 | Southwest Airlines Company 1.250%, 05/01/25 | 1,723,489 | ||||||||
2,624,000 | Sunrun, Inc.* 0.000%, 02/01/26 | 2,343,153 | ||||||||
2,378,000 | Uber Technologies, Inc.* 0.000%, 12/15/25 | 2,322,807 | ||||||||
1,400,000 | Vinci, SA^ 0.375%, 02/16/22 | 1,573,740 | ||||||||
|
| |||||||||
14,843,503 | ||||||||||
|
| |||||||||
Information Technology (29.0%) | ||||||||||
1,307,000 | 21Vianet Group, Inc.*^ 0.000%, 02/01/26 | 1,058,095 | ||||||||
2,800,000 | AUD | Afterpay, Ltd. 0.000%, 03/12/26 | 1,743,173 | |||||||
1,310,000 | Akamai Technologies, Inc. | 1,750,383 | ||||||||
Alteryx, Inc. | ||||||||||
664,000 | 0.500%, 08/01/24 | 630,793 | ||||||||
655,000 | 1.000%, 08/01/26 | 607,067 | ||||||||
1,247,000 | Bill.com Holdings, Inc.* 0.000%, 12/01/25 | 1,812,539 | ||||||||
2,690,000 | Coupa Software, Inc. 0.375%, 06/15/26 | 2,888,172 | ||||||||
1,573,000 | CyberArk Software, Ltd. 0.000%, 11/15/24 | 1,796,570 | ||||||||
746,000 | Datadog, Inc. 0.125%, 06/15/25 | 1,035,172 | ||||||||
1,374,000 | Dropbox, Inc.* 0.000%, 03/01/28 | 1,547,564 | ||||||||
3,348,000 | CAD | Dye & Durham, Ltd.* 3.750%, 03/01/26 | 2,717,097 | |||||||
1,372,000 | Enphase Energy, Inc.* 0.000%, 03/01/28 | 1,391,565 | ||||||||
2,744,000 | Fastly, Inc.* 0.000%, 03/15/26 | 2,398,805 | ||||||||
330,000 | FireEye, Inc. 1.625%, 06/01/35 | 330,218 | ||||||||
1,126,000 | Five9, Inc. 0.500%, 06/01/25 | 1,821,147 | ||||||||
1,200,000 | Globalwafers Company, Ltd. | 1,260,948 | ||||||||
1,163,000 | LivePerson, Inc.* 0.000%, 12/15/26 | 1,259,203 | ||||||||
1,761,000 | Lumentum Holdings, Inc. 0.500%, 12/15/26 | 1,936,941 | ||||||||
2,967,000 | Microchip Technology, Inc. | 3,256,193 | ||||||||
2,764,000 | MicroStrategy, Inc.* 0.000%, 02/15/27 | 2,048,622 | ||||||||
1,362,000 | New Relic, Inc. 0.500%, 05/01/23 | 1,362,599 | ||||||||
Nexi S.p.A | ||||||||||
2,300,000 | EUR | 0.000%, 02/24/28 | 2,789,708 | |||||||
1,400,000 | EUR | 1.750%, 04/24/27 | 2,041,576 | |||||||
969,000 | Nice, Ltd.*^ 0.000%, 09/15/25 | 1,099,902 | ||||||||
1,325,000 | Okta, Inc. 0.125%, 09/01/25 | 1,933,519 | ||||||||
2,756,000 | ON Semiconductor Corp.* 0.000%, 05/01/27 | 2,932,935 | ||||||||
Palo Alto Networks, Inc. | ||||||||||
770,000 | 0.375%, 06/01/25 | 1,104,727 | ||||||||
650,000 | 0.750%, 07/01/23 | 1,004,393 |
See accompanying Notes to Schedule of Investments
25
Calamos Global Convertible Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
729,000 | Pegasystems, Inc. 0.750%, 03/01/25 | $ | 827,459 | |||||||
1,110,000 | Proofpoint, Inc. 0.250%, 08/15/24 | 1,399,233 | ||||||||
1,930,000 | Repay Holdings Corp.* | 1,922,550 | ||||||||
1,960,000 | RingCentral, Inc.* | 1,932,482 | ||||||||
130,000,000 | JPY | SCREEN Holdings Company, Ltd. | 1,334,602 | |||||||
929,000 | Shift4 Payments, Inc.* | 1,208,731 | ||||||||
417,000 | Shopify, Inc. | 549,844 | ||||||||
742,000 | Silicon Laboratories, Inc. | 1,007,740 | ||||||||
983,200 | EUR | SOITEC | 2,742,754 | |||||||
1,430,000 | Splunk, Inc. | 1,729,828 | ||||||||
2,190,000 | Square, Inc.* | 2,584,090 | ||||||||
1,346,000 | Tyler Technologies, Inc.* | 1,539,609 | ||||||||
1,200,000 | Win Semiconductors Corp. | 1,220,220 | ||||||||
1,862,000 | Wix.com, Ltd.* | 2,034,794 | ||||||||
1,870,000 | Workday, Inc. | 3,027,623 | ||||||||
1,146,000 | Workiva, Inc. | 2,002,773 | ||||||||
1,735,000 | Xero Investments, Ltd. | 1,723,653 | ||||||||
1,649,000 | Zendesk, Inc. | 2,247,472 | ||||||||
790,000 | Zscaler, Inc. | 1,320,011 | ||||||||
|
| |||||||||
79,915,094 | ||||||||||
|
| |||||||||
Materials (2.1%) | ||||||||||
4,000,000 | BASF, SE | 4,014,480 | ||||||||
50,000,000 | JPY | Mitsubishi Chemical Holdings Corp. | 477,754 | |||||||
400,000 | EUR | Symrise, AG | 639,839 | |||||||
60,000,000 | JPY | Teijin, Ltd. | 548,234 | |||||||
|
| |||||||||
5,680,307 | ||||||||||
|
| |||||||||
Real Estate (4.3%) | ||||||||||
700,000 | EUR | ANLLIAN Capital, Ltd. | 1,321,907 | |||||||
1,990,000 | ESR Cayman, Ltd. | 2,183,050 | ||||||||
1,900,000 | EUR | Grand City Properties, SA | 2,342,203 | |||||||
525,000 | IH Merger Sub, LLC | 939,230 | ||||||||
2,135,000 | Redfin Corp.* | 2,315,344 | ||||||||
140,000,000 | JPY | Relo Group, Inc. | 1,313,247 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
1,400,000 | Vingroup, JSC | $ | 1,505,084 | |||||||
|
| |||||||||
11,920,065 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS (Cost $211,426,367) | 238,817,496 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES |
|
| VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS (8.1%) | ||||||||||
Communication Services (0.4%) |
| |||||||||
845 | 2020 Cash Mandatory | 1,069,204 | ||||||||
|
| |||||||||
Financials (3.3%) | ||||||||||
2,487 | Bank of America Corp. | 3,679,641 | ||||||||
18,628 | KKR & Company, Inc.^ | 1,546,869 | ||||||||
2,530 | Wells Fargo & Company | 3,826,650 | ||||||||
|
| |||||||||
9,053,160 | ||||||||||
|
| |||||||||
Health Care (1.1%) | ||||||||||
13,930 | Avantor, Inc. | 1,611,005 | ||||||||
772 | Danaher Corp. | 1,538,403 | ||||||||
|
| |||||||||
3,149,408 | ||||||||||
|
| |||||||||
Information Technology (1.1%) | ||||||||||
1,995 | Broadcom, Inc. | 3,080,958 | ||||||||
|
| |||||||||
Utilities (2.2%) | ||||||||||
13,463 | AES Corp. | 1,364,879 | ||||||||
12,955 | American Electric Power Company, Inc. | 651,248 | ||||||||
13,250 | DTE Energy Company | 679,725 | ||||||||
28,565 | Essential Utilities, Inc. | 1,732,467 | ||||||||
31,000 | NextEra Energy, Inc. | 1,608,590 | ||||||||
|
| |||||||||
6,036,909 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE (Cost $17,715,373) | 22,389,639 | |||||||||
|
| |||||||||
|
| |||||||||
COMMON STOCK (0.5%) | ||||||||||
Utilities (0.5%) | ||||||||||
9,489 | Sempra Energy | 1,239,738 | ||||||||
|
| |||||||||
|
|
See accompanying Notes to Schedule of Investments
26
Calamos Global Convertible Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
U.S. GOVERNMENT AND AGENCY SECURITIES (1.8%) | ||||||||||
United States Treasury Note | ||||||||||
2,693,000 | 1.875%, 05/31/22 | $ | 2,733,343 | |||||||
2,297,000 | 1.750%, 07/15/22 | 2,333,653 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $5,020,527) | 5,066,996 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
PURCHASED OPTIONS (0.3%) # | ||||||||||
Consumer Discretionary (0.1%) | ||||||||||
Alibaba Group Holding, Ltd. | ||||||||||
167 | ||||||||||
3,259,673 | Call, 11/19/21, Strike $250.00 | 45,257 | ||||||||
81 | ||||||||||
1,581,039 | Call, 11/19/21, Strike $220.00 | 60,750 | ||||||||
Industrials (0.2%) | ||||||||||
348 | EUR | Schneider Electric, SE | ||||||||
4,913,464 | Call, 12/17/21, Strike 130.00 | 620,254 | ||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS (Cost $910,290) | 726,261 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (4.0%) | | ||||||||
11,142,650 | State Street Navigator Securities | 11,142,650 | ||||||||
|
| |||||||||
|
| |||||||||
| TOTAL INVESTMENTS (101.4%) (Cost $247,517,314) | 279,382,780 | ||||||||
|
| |||||||||
|
| |||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-4.0%) | (11,142,650 | ) | |||||||
|
| |||||||||
OTHER ASSETS, LESS LIABILITIES (2.6%) | 7,090,430 | |||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 275,330,560 | ||||||||
|
| |||||||||
|
|
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. |
§ | Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical. |
^ | Security, or portion of security, is on loan. |
# | Non-income producing security. |
| Perpetual maturity. |
| Represents investment of cash collateral received from securities on loan as of July 31, 2021. |
FOREIGN CURRENCY ABBREVIATIONS
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
EUR | European Monetary Unit |
GBP | British Pound Sterling |
JPY | Japanese Yen |
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
27
Calamos Global Convertible Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
CURRENCY EXPOSURE JULY 31, 2021 | ||||||||
| Value | % of Total Investments | ||||||
US Dollar | $ | 228,006,189 | 81.6% | |||||
European Monetary Unit | 32,149,670 | 11.5% | ||||||
Japanese Yen | 10,985,359 | 3.9% | ||||||
Canadian Dollar | 2,717,097 | 1.0% | ||||||
British Pound Sterling | 2,512,168 | 0.9% | ||||||
Australian Dollar | 1,743,173 | 0.6% | ||||||
Swiss Franc | 1,269,124 | 0.5% | ||||||
|
|
| ||||||
Total Investments | $ | 279,382,780 | 100.0% | |||||
Currency exposure may vary over time. |
See accompanying Notes to Schedule of Investments
28
Calamos Timpani Small Cap Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
COMMON STOCKS (99.9%) | ||||||||||
Communication Services (4.4%) | ||||||||||
11,982 | Cardlytics, Inc.# | $ | 1,509,253 | |||||||
99,244 | Chicken Soup For The Soul | |||||||||
Entertainment, Inc.# | 3,560,875 | |||||||||
13,884 | Gambling.com Group, Ltd.# | 97,188 | ||||||||
72,961 | Integral Ad Science Holding | |||||||||
Corp.# | 1,276,088 | |||||||||
126,088 | Magnite, Inc.# | 3,820,466 | ||||||||
102,869 | Tremor International, Ltd.# | 2,264,146 | ||||||||
142,361 | ZipRecruiter, Inc. - Class A# | 3,712,775 | ||||||||
|
| |||||||||
16,240,791 | ||||||||||
|
| |||||||||
Consumer Discretionary (24.7%) | ||||||||||
24,042 | Asbury Automotive Group, Inc.# | 4,939,669 | ||||||||
54,605 | Boot Barn Holdings, Inc.# | 4,718,964 | ||||||||
197,380 | CarParts.com, Inc.# | 3,475,862 | ||||||||
46,427 | Century Communities, Inc. | 3,224,355 | ||||||||
14,466 | Chegg, Inc.# | 1,282,122 | ||||||||
27,872 | Citi Trends, Inc.# | 2,222,792 | ||||||||
24,585 | Crocs, Inc.# | 3,338,889 | ||||||||
9,989 | Deckers Outdoor Corp.# | 4,103,981 | ||||||||
117,517 | Everi Holdings, Inc.# | 2,666,461 | ||||||||
264,767 | Full House Resorts, Inc.# | 2,189,623 | ||||||||
111,202 | GrowGeneration Corp.# | 4,522,585 | ||||||||
67,365 | Kirklands, Inc.# | 1,310,923 | ||||||||
39,673 | Lithia Motors, Inc. - Class A | 14,965,449 | ||||||||
103,387 | Lovesac Company# | 6,275,591 | ||||||||
35,713 | Malibu Boats, Inc. - Class A# | 2,987,750 | ||||||||
147,847 | OneSpaWorld Holdings, Ltd.# | 1,460,728 | ||||||||
99,971 | OneWater Marine, Inc. - Class A | 4,696,637 | ||||||||
301,672 | Party City Holdco, Inc.# | 2,576,279 | ||||||||
8,592 | Polaris, Inc. | 1,126,153 | ||||||||
228,590 | Porch Group, Inc.# | 4,235,773 | ||||||||
36,304 | PubMatic, Inc. - Class A# | 1,078,592 | ||||||||
99,644 | Quotient Technology, Inc.# | 1,082,134 | ||||||||
39,802 | TopBuild Corp.# | 8,067,467 | ||||||||
45,754 | YETI Holdings, Inc.# | 4,407,483 | ||||||||
|
| |||||||||
90,956,262 | ||||||||||
|
| |||||||||
Consumer Staples (2.3%) | ||||||||||
120,415 | Celsius Holdings, Inc.# | 8,264,081 | ||||||||
|
| |||||||||
Energy (1.3%) | ||||||||||
66,199 | Aspen Aerogels, Inc.# | 2,492,392 | ||||||||
81,238 | Helmerich & Payne, Inc. | 2,329,094 | ||||||||
|
| |||||||||
4,821,486 | ||||||||||
|
| |||||||||
Financials (2.5%) | ||||||||||
38,612 | BRP Group, Inc. - Class A# | 1,052,563 | ||||||||
57,607 | LPL Financial Holdings, Inc. | 8,124,891 | ||||||||
|
| |||||||||
9,177,454 | ||||||||||
|
| |||||||||
Health Care (28.5%) | ||||||||||
41,600 | Accolade, Inc.# | 1,947,296 | ||||||||
100,823 | Alphatec Holdings, Inc.# | 1,486,131 | ||||||||
168,266 | Apyx Medical Corp.# | 1,514,394 | ||||||||
204,962 | Avid Bioservices, Inc.# | 5,257,275 | ||||||||
117,336 | Axonics, Inc.# | 7,972,981 | ||||||||
33,462 | BioLife Solutions, Inc.# | 1,569,368 | ||||||||
65,733 | CareDx, Inc.# | 5,524,201 | ||||||||
99,272 | Castle Biosciences, Inc.# | 6,934,149 | ||||||||
113,040 | Cutera, Inc.# | 5,872,428 |
NUMBER OF SHARES |
|
| VALUE | |||||||
60,845 | Eargo, Inc.# | $ | 2,190,420 | |||||||
73,704 | Establishment Labs Holdings, | |||||||||
Inc.# | 5,843,990 | |||||||||
48,210 | Exagen, Inc.# | 574,663 | ||||||||
120,654 | iCAD, Inc.# | 1,768,788 | ||||||||
88,196 | InfuSystem Holdings, Inc.# | 1,609,577 | ||||||||
10,326 | Inogen, Inc.# | 823,705 | ||||||||
74,661 | Inotiv, Inc.# | 1,950,145 | ||||||||
25,149 | Inspire Medical Systems, Inc.# | 4,606,291 | ||||||||
7,169 | Intellia Therapeutics, Inc.# | 1,016,923 | ||||||||
151,988 | Itamar Medical, Ltd.# | 2,997,203 | ||||||||
36,981 | Natera, Inc.# | 4,235,064 | ||||||||
328,742 | Neuronetics, Inc.# | 4,359,119 | ||||||||
95,002 | OptimizeRx Corp.# | 5,250,761 | ||||||||
97,638 | Organogenesis Holdings, Inc.# | 1,497,767 | ||||||||
27,302 | Phreesia, Inc.# | 1,866,092 | ||||||||
26,914 | Pro-Dex, Inc.# | 825,722 | ||||||||
54,579 | RadNet, Inc.# | 2,005,232 | ||||||||
9,291 | Shockwave Medical, Inc.# | 1,690,962 | ||||||||
19,590 | Staar Surgical Company# | 2,505,953 | ||||||||
600,395 | Stereotaxis, Inc.# | 5,469,598 | ||||||||
42,977 | Surgery Partners, Inc.# | 2,344,825 | ||||||||
129,007 | Vericel Corp.# | 6,829,631 | ||||||||
676,220 | ViewRay, Inc.# | 4,490,101 | ||||||||
|
| |||||||||
104,830,755 | ||||||||||
|
| |||||||||
Industrials (12.3%) | ||||||||||
51,655 | Advanced Drainage Systems, Inc. | 6,306,559 | ||||||||
112,056 | Agrify Corp.# | 2,140,270 | ||||||||
8,747 | Allegiant Travel Company# | 1,662,980 | ||||||||
90,214 | Byrna Technologies, Inc.# | 2,165,136 | ||||||||
15,305 | Generac Holdings, Inc.# | 6,418,305 | ||||||||
10,548 | H&E Equipment Services, Inc. | 358,948 | ||||||||
15,051 | Hydrofarm Holdings Group, Inc.# | 742,616 | ||||||||
153,670 | Montrose Environmental Group, | |||||||||
Inc.# | 8,250,542 | |||||||||
18,767 | Saia, Inc.# | 4,241,342 | ||||||||
176,883 | Shyft Group, Inc. | 6,976,265 | ||||||||
28,839 | Trex Company, Inc.# | 2,800,267 | ||||||||
59,797 | Upwork, Inc.# | 3,096,887 | ||||||||
|
| |||||||||
45,160,117 | ||||||||||
|
| |||||||||
Information Technology (19.9%) | ||||||||||
23,421 | ACM Research, Inc. - Class A# | 2,174,874 | ||||||||
32,789 | Advanced Energy Industries, Inc. | 3,401,859 | ||||||||
78,491 | Asana, Inc. - Class A# | 5,577,570 | ||||||||
23,990 | BigCommerce Holdings, Inc.# | 1,553,592 | ||||||||
52,742 | Brooks Automation, Inc. | 4,694,565 | ||||||||
61,138 | Diodes, Inc.# | 5,013,316 | ||||||||
15,269 | Five9, Inc.# | 3,073,497 | ||||||||
80,846 | Ichor Holdings, Ltd.# | 4,169,228 | ||||||||
60,609 | Lattice Semiconductor Corp.# | 3,439,561 | ||||||||
62,265 | Privia Health Group, Inc.# | 2,583,998 | ||||||||
27,095 | Rapid7, Inc.# | 3,082,056 | ||||||||
6,858 | RingCentral, Inc. - Class A# | 1,832,938 | ||||||||
49,429 | Shift4 Payments, Inc. - Class A# | 4,408,573 | ||||||||
29,968 | SimilarWeb, Ltd.# | 718,633 | ||||||||
62,627 | SiTime Corp.# | 8,494,726 | ||||||||
102,481 | Sprout Social, Inc. - Class A# | 9,104,412 | ||||||||
27,024 | Telos Corp.# | 757,213 | ||||||||
148,442 | Varonis Systems, Inc.# | 9,084,650 | ||||||||
|
| |||||||||
73,165,261 | ||||||||||
|
|
See accompanying Notes to Schedule of Investments
29
Calamos Timpani Small Cap Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
Materials (3.6%) | ||||||||||
52,043 | Ingevity Corp.# | $ | 4,420,532 | |||||||
225,795 | Ranpak Holdings Corp.# | 5,784,868 | ||||||||
85,013 | Summit Materials, Inc. - Class A# | 2,856,437 | ||||||||
|
| |||||||||
13,061,837 | ||||||||||
|
| |||||||||
Real Estate (0.4%) | ||||||||||
45,780 | eXp World Holdings, Inc.# | 1,644,418 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $272,955,233) | 367,322,462 | |||||||||
|
| |||||||||
|
| |||||||||
TOTAL INVESTMENTS (99.9%) | ||||||||||
(Cost $272,955,233) | 367,322,462 | |||||||||
|
| |||||||||
|
| |||||||||
OTHER ASSETS, LESS LIABILITIES (0.1%) | 295,379 | |||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 367,617,841 | ||||||||
|
| |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS
# | Non-income producing security. |
See accompanying Notes to Schedule of Investments
30
Calamos Timpani SMID Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
COMMON STOCKS (99.8%) | ||||||||||
Communication Services (3.3%) | ||||||||||
540 | Cardlytics, Inc.# | $ | 68,018 | |||||||
895 | Gambling.com Group, Ltd.# | 6,265 | ||||||||
3,456 | Integral Ad Science Holding Corp.# | 60,446 | ||||||||
6,588 | Magnite, Inc.# | 199,617 | ||||||||
6,218 | Tremor International, Ltd.# | 136,858 | ||||||||
601 | Zillow Group, Inc. - Class C# | 63,862 | ||||||||
9,090 | ZipRecruiter, Inc. - Class A# | 237,067 | ||||||||
|
|
| ||||||||
772,133 | ||||||||||
|
|
| ||||||||
Consumer Discretionary (21.9%) | ||||||||||
990 | Asbury Automotive Group, Inc.# | 203,405 | ||||||||
2,804 | Boot Barn Holdings, Inc.# | 242,322 | ||||||||
9,948 | CarParts.com, Inc.# | 175,184 | ||||||||
836 | Century Communities, Inc. | 58,060 | ||||||||
3,157 | Chegg, Inc.# | 279,805 | ||||||||
1,199 | Citi Trends, Inc.# | 95,620 | ||||||||
1,393 | Crocs, Inc.# | 189,183 | ||||||||
642 | Deckers Outdoor Corp.# | 263,766 | ||||||||
1,731 | DraftKings, Inc. - Class A# | 83,953 | ||||||||
675 | Etsy, Inc.# | 123,869 | ||||||||
5,308 | Everi Holdings, Inc.# | 120,439 | ||||||||
562 | Five Below, Inc.# | 109,264 | ||||||||
1,175 | Floor & Decor Holdings, Inc. - Class A# | 143,362 | ||||||||
5,861 | GrowGeneration Corp.# | 238,367 | ||||||||
3,096 | Kirklands, Inc.# | 60,248 | ||||||||
1,603 | Levi Strauss & Company - Class A | 44,115 | ||||||||
2,554 | Lithia Motors, Inc. - Class A | 963,420 | ||||||||
3,546 | Lovesac Company# | 215,242 | ||||||||
1,579 | Malibu Boats, Inc. - Class A# | 132,099 | ||||||||
9,353 | OneSpaWorld Holdings, Ltd.# | 92,408 | ||||||||
13,975 | Party City Holdco, Inc.# | 119,346 | ||||||||
544 | Polaris, Inc. | 71,302 | ||||||||
301 | Pool Corp. | 143,824 | ||||||||
12,864 | Porch Group, Inc.# | 238,370 | ||||||||
2,327 | PubMatic, Inc. - Class A# | 69,135 | ||||||||
2,195 | TopBuild Corp.# | 444,905 | ||||||||
2,621 | YETI Holdings, Inc.# | 252,481 | ||||||||
|
|
| ||||||||
5,173,494 | ||||||||||
|
|
| ||||||||
Consumer Staples (1.8%) | ||||||||||
6,156 | Celsius Holdings, Inc.# | 422,486 | ||||||||
|
|
| ||||||||
Energy (1.3%) | ||||||||||
3,950 | Aspen Aerogels, Inc.# | 148,718 | ||||||||
5,127 | Helmerich & Payne, Inc. | 146,991 | ||||||||
|
|
| ||||||||
295,709 | ||||||||||
|
|
| ||||||||
Financials (3.3%) | ||||||||||
2,105 | Brown & Brown, Inc. | 114,512 | ||||||||
1,656 | BRP Group, Inc. - Class A# | 45,143 | ||||||||
4,461 | LPL Financial Holdings, Inc. | 629,179 | ||||||||
|
|
| ||||||||
788,834 | ||||||||||
|
|
| ||||||||
Health Care (22.9%) | ||||||||||
1,952 | Accolade, Inc.# | 91,373 | ||||||||
4,149 | Alphatec Holdings, Inc.# | 61,156 | ||||||||
11,475 | Avid Bioservices, Inc.# | 294,334 | ||||||||
6,122 | Axonics, Inc.# | 415,990 |
NUMBER OF SHARES |
|
| VALUE | |||||||
1,793 | BioLife Solutions, Inc.# | $ | 84,092 | |||||||
3,577 | CareDx, Inc.# | 300,611 | ||||||||
5,470 | Castle Biosciences, Inc.# | 382,080 | ||||||||
5,387 | Cutera, Inc.# | 279,855 | ||||||||
3,251 | Eargo, Inc.# | 117,036 | ||||||||
3,169 | Establishment Labs Holdings, Inc.# | 251,270 | ||||||||
5,706 | Horizon Therapeutics, PLC# | 570,714 | ||||||||
3,885 | iCAD, Inc.# | 56,954 | ||||||||
532 | Inogen, Inc.# | 42,438 | ||||||||
1,350 | Inspire Medical Systems, Inc.# | 247,266 | ||||||||
453 | Intellia Therapeutics, Inc.# | 64,258 | ||||||||
1,040 | Jazz Pharmaceuticals, PLC# | 176,301 | ||||||||
1,239 | Natera, Inc.# | 141,890 | ||||||||
11,792 | Neuronetics, Inc.# | 156,362 | ||||||||
2,281 | Oak Street Health, Inc.# | 143,794 | ||||||||
1,886 | OptimizeRx Corp.# | 104,239 | ||||||||
3,941 | Organogenesis Holdings, Inc.# | 60,455 | ||||||||
3,437 | RadNet, Inc.# | 126,275 | ||||||||
730 | Repligen Corp.# | 179,361 | ||||||||
390 | Shockwave Medical, Inc.# | 70,980 | ||||||||
602 | Staar Surgical Company# | 77,008 | ||||||||
28,416 | Stereotaxis, Inc.# | 258,870 | ||||||||
1,915 | Surgery Partners, Inc.# | 104,482 | ||||||||
5,910 | Vericel Corp.# | 312,875 | ||||||||
32,546 | ViewRay, Inc.# | 216,105 | ||||||||
|
|
| ||||||||
5,388,424 | ||||||||||
|
|
| ||||||||
Industrials (15.3%) | ||||||||||
3,308 | Advanced Drainage Systems, Inc. | 403,874 | ||||||||
371 | Allegiant Travel Company# | 70,534 | ||||||||
2,990 | Axon Enterprise, Inc.# | 556,200 | ||||||||
3,391 | Byrna Technologies, Inc.# | 81,384 | ||||||||
1,674 | Generac Holdings, Inc.# | 702,009 | ||||||||
580 | H&E Equipment Services, Inc. | 19,737 | ||||||||
970 | Hydrofarm Holdings Group, Inc.# | 47,860 | ||||||||
8,789 | Montrose Environmental Group, Inc.# | 471,881 | ||||||||
357 | Old Dominion Freight Line, Inc. | 96,087 | ||||||||
960 | Saia, Inc.# | 216,960 | ||||||||
9,361 | Shyft Group, Inc. | 369,198 | ||||||||
2,102 | Trex Company, Inc.# | 204,104 | ||||||||
1,159 | Upwork, Inc.# | 60,025 | ||||||||
2,231 | XPO Logistics, Inc.# | 309,417 | ||||||||
|
|
| ||||||||
3,609,270 | ||||||||||
|
|
| ||||||||
Information Technology (27.4%) | ||||||||||
1,554 | Advanced Energy Industries, Inc. | 161,228 | ||||||||
4,938 | Asana, Inc. - Class A# | 350,894 | ||||||||
2,543 | Brooks Automation, Inc. | 226,352 | ||||||||
2,976 | Cloudflare, Inc. - Class A# | 353,043 | ||||||||
3,473 | Diodes, Inc.# | 284,786 | ||||||||
8,799 | Dynatrace, Inc.# | 561,992 | ||||||||
1,401 | Elastic, NV# | 207,432 | ||||||||
1,591 | Five9, Inc.# | 320,252 | ||||||||
3,192 | Ichor Holdings, Ltd.# | 164,611 | ||||||||
3,353 | Lattice Semiconductor Corp.# | 190,283 | ||||||||
2,664 | Lightspeed POS, Inc.# | 227,852 | ||||||||
804 | MongoDB, Inc.# | 288,572 | ||||||||
708 | Monolithic Power Systems, Inc. | 318,076 | ||||||||
3,304 | ON Semiconductor Corp.# | 129,054 | ||||||||
3,943 | Privia Health Group, Inc.# | 163,635 | ||||||||
1,332 | Rapid7, Inc.# | 151,515 | ||||||||
872 | RingCentral, Inc.# | 233,060 | ||||||||
2,765 | Shift4 Payments, Inc. - Class A# | 246,610 |
See accompanying Notes to Schedule of Investments
31
Calamos Timpani SMID Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
1,924 | SimilarWeb, Ltd.# | $ | 46,138 | |||||||
3,551 | SiTime Corp.# | 481,658 | ||||||||
5,955 | Sprout Social, Inc. - Class A# | 529,042 | ||||||||
1,742 | Telos Corp.# | 48,811 | ||||||||
8,477 | Varonis Systems, Inc.# | 518,792 | ||||||||
1,051 | Zscaler, Inc.# | 247,941 | ||||||||
|
|
| ||||||||
6,451,629 | ||||||||||
|
|
| ||||||||
Materials (2.3%) | ||||||||||
2,734 | Ingevity Corp.# | 232,226 | ||||||||
12,245 | Ranpak Holdings Corp.# | 313,717 | ||||||||
|
|
| ||||||||
545,943 | ||||||||||
|
|
| ||||||||
Real Estate (0.3%) | ||||||||||
2,174 | eXp World Holdings, Inc.# | 78,090 | ||||||||
|
|
| ||||||||
TOTAL COMMON STOCKS (Cost $16,048,509) | 23,526,012 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
| TOTAL INVESTMENTS (99.8%) (Cost $16,048,509) | 23,526,012 | ||||||||
|
|
| ||||||||
|
|
| ||||||||
OTHER ASSETS, LESS LIABILITIES (0.2%) | 51,085 | |||||||||
|
|
| ||||||||
NET ASSETS (100.0%) | $ | 23,577,097 | ||||||||
|
|
| ||||||||
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
# | Non-income producing security. |
See accompanying Notes to Schedule of Investments
32
Calamos Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
COMMON STOCKS (99.0%) | ||||||||||
Communication Services (13.9%) | ||||||||||
40,930 | Alphabet, Inc. - Class A#~ | $ | 110,287,113 | |||||||
12,900 | Bumble, Inc. - Class A#^ | 656,352 | ||||||||
3,858 | Cardlytics, Inc.#^ | 485,954 | ||||||||
254,650 | Facebook, Inc. - Class A#~ | 90,731,795 | ||||||||
6,429 | Gambling.com Group, Ltd.# | 45,003 | ||||||||
24,708 | Integral Ad Science Holding Corp.# | 432,143 | ||||||||
47,096 | Magnite, Inc.#^ | 1,427,009 | ||||||||
30,550 | Netflix, Inc.# | 15,811,764 | ||||||||
23,020 | Roku, Inc.# | 9,859,696 | ||||||||
12,500 | Snap, Inc. - Class A# | 930,250 | ||||||||
44,631 | Tremor International, Ltd.# | 982,328 | ||||||||
70,800 | Walt Disney Company# | 12,462,216 | ||||||||
4,297 | Zillow Group, Inc. - Class C#^ | 456,599 | ||||||||
64,988 | ZipRecruiter, Inc. - Class A#^ | 1,694,887 | ||||||||
|
| |||||||||
246,263,109 | ||||||||||
|
| |||||||||
Consumer Discretionary (17.1%) |
| |||||||||
4,650 | Airbnb, Inc. - Class A# | 669,647 | ||||||||
38,020 | Amazon.com, Inc.#~ | 126,514,972 | ||||||||
7,186 | Asbury Automotive Group, Inc.# | 1,476,436 | ||||||||
20,046 | Boot Barn Holdings, Inc.# | 1,732,375 | ||||||||
125,700 | Caesars Entertainment, Inc.# | 10,981,152 | ||||||||
71,126 | CarParts.com, Inc.#^ | 1,252,529 | ||||||||
6,009 | Century Communities, Inc. | 417,325 | ||||||||
22,691 | Chegg, Inc.#^ | 2,011,103 | ||||||||
5,700 | Chipotle Mexican Grill, Inc. - Class A# | 10,621,608 | ||||||||
8,570 | Citi Trends, Inc.# | 683,457 | ||||||||
10,012 | Crocs, Inc.# | 1,359,730 | ||||||||
4,613 | Deckers Outdoor Corp.# | 1,895,251 | ||||||||
12,374 | DraftKings, Inc. - Class A#^ | 600,139 | ||||||||
4,826 | Etsy, Inc.# | 885,619 | ||||||||
38,235 | Everi Holdings, Inc.# | 867,552 | ||||||||
4,039 | Five Below, Inc.# | 785,262 | ||||||||
8,526 | Floor & Decor Holdings, Inc. - Class A# | 1,040,257 | ||||||||
41,905 | GrowGeneration Corp.# | 1,704,276 | ||||||||
22,247 | Kirklands, Inc.#^ | 432,927 | ||||||||
11,463 | Levi Strauss & Company - Class A | 315,462 | ||||||||
18,259 | Lithia Motors, Inc. - Class A | 6,887,660 | ||||||||
25,349 | Lovesac Company# | 1,538,684 | ||||||||
30,600 | Lululemon Athletica, Inc.# | 12,245,202 | ||||||||
11,456 | Malibu Boats, Inc. - Class A# | 958,409 | ||||||||
158,900 | NIKE, Inc. - Class B~ | 26,617,339 | ||||||||
66,867 | OneSpaWorld Holdings, Ltd.# | 660,646 | ||||||||
99,916 | Party City Holdco, Inc.#^ | 853,283 | ||||||||
3,890 | Polaris, Inc. | 509,862 | ||||||||
2,163 | Pool Corp. | 1,033,525 | ||||||||
91,967 | Porch Group, Inc.# | 1,704,149 | ||||||||
16,724 | PubMatic, Inc. - Class A# | 496,870 | ||||||||
78,500 | Royal Caribbean Cruises, Ltd.# | 6,034,295 | ||||||||
75,350 | Tesla, Inc.# | 51,780,520 | ||||||||
15,774 | TopBuild Corp.# | 3,197,232 | ||||||||
31,100 | Ulta Beauty, Inc.# | 10,443,380 | ||||||||
129,500 | VF Corp. | 10,385,900 | ||||||||
18,737 | YETI Holdings, Inc.# | 1,804,935 | ||||||||
|
| |||||||||
303,398,970 | ||||||||||
|
|
NUMBER OF SHARES |
|
| VALUE | |||||||
Consumer Staples (1.6%) | ||||||||||
44,015 | Celsius Holdings, Inc.# | $ | 3,020,749 | |||||||
43,300 | Constellation Brands, Inc. - Class A | 9,713,922 | ||||||||
24,700 | Estee Lauder Companies Inc. - Class A | 8,245,601 | ||||||||
53,400 | Walmart, Inc. | 7,612,170 | ||||||||
|
| |||||||||
28,592,442 | ||||||||||
|
| |||||||||
Energy (0.1%) | ||||||||||
28,385 | Aspen Aerogels, Inc.# | 1,068,695 | ||||||||
36,656 | Helmerich & Payne, Inc. | 1,050,928 | ||||||||
|
| |||||||||
2,119,623 | ||||||||||
|
| |||||||||
Financials (3.7%) | ||||||||||
53,400 | American Express Company | 9,106,302 | ||||||||
15,124 | Brown & Brown, Inc. | 822,746 | ||||||||
11,840 | BRP Group, Inc. - Class A#^ | 322,758 | ||||||||
109,800 | Charles Schwab Corp. | 7,460,910 | ||||||||
2,800 | Coinbase Global, Inc. - Class A#^ | 662,424 | ||||||||
22,500 | Goldman Sachs Group, Inc. | 8,434,800 | ||||||||
498,800 | Huntington Bancshares, Inc. | 7,023,104 | ||||||||
31,896 | LPL Financial Holdings, Inc. | 4,498,612 | ||||||||
54,700 | Marsh & McLennan Companies, Inc. | 8,052,934 | ||||||||
542,000 | SLM Corp. | 10,205,860 | ||||||||
201,000 | Wells Fargo & Company | 9,233,940 | ||||||||
|
| |||||||||
65,824,390 | ||||||||||
|
| |||||||||
Health Care (11.4%) | ||||||||||
14,015 | Accolade, Inc.#^ | 656,042 | ||||||||
18,750 | Align Technology, Inc.# | 13,046,250 | ||||||||
29,664 | Alphatec Holdings, Inc.# | 437,247 | ||||||||
82,040 | Avid Bioservices, Inc.# | 2,104,326 | ||||||||
43,997 | Axonics, Inc.# | 2,989,596 | ||||||||
12,822 | BioLife Solutions, Inc.#^ | 601,352 | ||||||||
242,296 | Boston Scientific Corp.# | 11,048,698 | ||||||||
128,250 | Bristol-Myers Squibb Company | 8,704,327 | ||||||||
25,574 | CareDx, Inc.# | 2,149,239 | ||||||||
39,108 | Castle Biosciences, Inc.#^ | 2,731,694 | ||||||||
38,686 | Cutera, Inc.#^ | 2,009,738 | ||||||||
77,250 | Danaher Corp. | 22,981,102 | ||||||||
44,700 | Dexcom, Inc.# | 23,043,297 | ||||||||
23,364 | Eargo, Inc.#^ | 841,104 | ||||||||
80,452 | Edwards Lifesciences Corp.# | 9,032,346 | ||||||||
102,000 | Eli Lilly & Company | 24,837,000 | ||||||||
22,778 | Establishment Labs Holdings, Inc.# | 1,806,068 | ||||||||
49,250 | Exact Sciences Corp.# | 5,311,120 | ||||||||
41,006 | Horizon Therapeutics, PLC# | 4,101,420 | ||||||||
27,900 | iCAD, Inc.# | 409,014 | ||||||||
3,818 | Inogen, Inc.# | 304,562 | ||||||||
9,696 | Inspire Medical Systems, Inc.# | 1,775,919 | ||||||||
3,240 | Intellia Therapeutics, Inc.# | 459,594 | ||||||||
46,800 | IQVIA Holdings, Inc.# | 11,592,360 | ||||||||
7,476 | Jazz Pharmaceuticals, PLC# | 1,267,332 | ||||||||
8,857 | Natera, Inc.# | 1,014,304 | ||||||||
84,748 | Neuronetics, Inc.# | 1,123,758 | ||||||||
16,305 | Oak Street Health, Inc.#^ | 1,027,867 | ||||||||
13,484 | OptimizeRx Corp.#^ | 745,261 | ||||||||
28,305 | Organogenesis Holdings, Inc.#^ | 434,199 | ||||||||
24,574 | RadNet, Inc.# | 902,849 | ||||||||
5,244 | Repligen Corp.# | 1,288,451 | ||||||||
2,786 | Shockwave Medical, Inc.# | 507,052 |
See accompanying Notes to Schedule of Investments
33
Calamos Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
4,307 | Staar Surgical Company# | $ | 550,951 | |||||||
203,158 | Stereotaxis, Inc.# | 1,850,769 | ||||||||
13,763 | Surgery Partners, Inc.# | 750,909 | ||||||||
13,600 | Thermo Fisher Scientific, Inc. | 7,344,136 | ||||||||
65,100 | UnitedHealth Group, Inc.~ | 26,835,522 | ||||||||
42,254 | Vericel Corp.#^ | 2,236,927 | ||||||||
232,677 | ViewRay, Inc.# | 1,544,975 | ||||||||
|
|
| ||||||||
202,398,677 | ||||||||||
|
|
| ||||||||
Industrials (8.3%) | ||||||||||
23,773 | Advanced Drainage Systems, Inc. | 2,902,446 | ||||||||
294,700 | Air Lease Corp. - Class A | 12,483,492 | ||||||||
2,652 | Allegiant Travel Company# | 504,198 | ||||||||
21,376 | Axon Enterprise, Inc.# | 3,976,363 | ||||||||
24,372 | Byrna Technologies, Inc.#^ | 584,928 | ||||||||
512,200 | CSX Corp. | 16,554,304 | ||||||||
12,026 | Generac Holdings, Inc.# | 5,043,223 | ||||||||
4,145 | H&E Equipment Services, Inc. | 141,054 | ||||||||
85,900 | Honeywell International, Inc. | 20,082,561 | ||||||||
6,969 | Hydrofarm Holdings Group, Inc.# | 343,850 | ||||||||
45,200 | L3Harris Technologies, Inc. | 10,248,648 | ||||||||
250,000 | Lyft, Inc. - Class A# | 13,830,000 | ||||||||
62,839 | Montrose Environmental Group, | |||||||||
Inc.# | 3,373,826 | |||||||||
2,592 | Old Dominion Freight Line, Inc. | 697,637 | ||||||||
193,100 | Raytheon Technologies Corp. | 16,790,045 | ||||||||
6,905 | Saia, Inc.# | 1,560,530 | ||||||||
66,927 | Shyft Group, Inc. | 2,639,601 | ||||||||
15,106 | Trex Company, Inc.# | 1,466,793 | ||||||||
239,350 | Uber Technologies, Inc.# | 10,402,151 | ||||||||
76,600 | Union Pacific Corp. | 16,757,016 | ||||||||
8,287 | Upwork, Inc.# | 429,184 | ||||||||
29,210 | Waste Management, Inc. | 4,330,675 | ||||||||
15,948 | XPO Logistics, Inc.# | 2,211,828 | ||||||||
|
|
| ||||||||
147,354,353 | ||||||||||
|
|
| ||||||||
Information Technology (41.8%) |
| |||||||||
25,250 | Adobe, Inc.# | 15,696,157 | ||||||||
11,108 | Advanced Energy Industries, Inc. | 1,152,455 | ||||||||
772,300 | Apple, Inc. | 112,647,678 | ||||||||
252,700 | Applied Materials, Inc. | 35,360,311 | ||||||||
35,304 | Asana, Inc. - Class A#^ | 2,508,702 | ||||||||
6,400 | ASML Holding, NV | 4,907,136 | ||||||||
18,184 | Brooks Automation, Inc. | 1,618,558 | ||||||||
21,280 | Cloudflare, Inc. - Class A#^ | 2,524,446 | ||||||||
24,958 | Diodes, Inc.# | 2,046,556 | ||||||||
63,188 | Dynatrace, Inc.# | 4,035,818 | ||||||||
10,167 | Elastic, NV# | 1,505,326 | ||||||||
60,900 | Fidelity National Information Services, Inc. | 9,077,145 | ||||||||
11,372 | Five9, Inc.# | 2,289,070 | ||||||||
22,820 | Ichor Holdings, Ltd.# | 1,176,827 | ||||||||
19,300 | Lam Research Corp. | 12,302,013 | ||||||||
23,975 | Lattice Semiconductor Corp.# | 1,360,581 | ||||||||
19,135 | Lightspeed POS, Inc.#^ | 1,636,617 | ||||||||
278,900 | Marvell Technology, Inc. | 16,876,239 | ||||||||
35,800 | Mastercard, Inc. - Class A | 13,816,652 | ||||||||
301,300 | Micron Technology, Inc.# | 23,374,854 | ||||||||
598,700 | Microsoft Corp.~ | 170,575,617 | ||||||||
5,747 | MongoDB, Inc.# | 2,062,713 | ||||||||
5,086 | Monolithic Power Systems, Inc. | 2,284,936 | ||||||||
371,600 | NVIDIA Corp. | 72,458,284 | ||||||||
23,750 | ON Semiconductor Corp.# | 927,675 | ||||||||
66,150 | Paycom Software, Inc.# | 26,460,000 | ||||||||
142,850 | PayPal Holdings, Inc.#~ | 39,359,460 | ||||||||
28,187 | Privia Health Group, Inc.#^ | 1,169,761 |
NUMBER OF SHARES |
|
| VALUE | |||||||
9,565 | Rapid7, Inc.#^ | $ | 1,088,019 | |||||||
6,232 | RingCentral, Inc. - Class A# | 1,665,627 | ||||||||
134,250 | salesforce.com, Inc.# | 32,479,102 | ||||||||
4,950 | ServiceNow, Inc.# | 2,910,056 | ||||||||
19,768 | Shift4 Payments, Inc. - Class A#^ | 1,763,108 | ||||||||
13,817 | SimilarWeb, Ltd.#^ | 331,332 | ||||||||
25,390 | SiTime Corp.# | 3,443,900 | ||||||||
82,550 | Snowflake, Inc. - Class A# | 21,935,186 | ||||||||
42,578 | Sprout Social, Inc. - Class A# | 3,782,630 | ||||||||
19,650 | Square, Inc. - Class A#^ | 4,858,659 | ||||||||
12,512 | Telos Corp.# | 350,586 | ||||||||
80,700 | Trade Desk, Inc. - Class A# | 6,610,137 | ||||||||
95,900 | Twilio, Inc. - Class A# | 35,827,281 | ||||||||
16,500 | Unity Software, Inc.#^ | 1,767,480 | ||||||||
60,605 | Varonis Systems, Inc.# | 3,709,026 | ||||||||
135,000 | Visa, Inc. - Class A~ | 33,262,650 | ||||||||
20,811 | Zscaler, Inc.# | 4,909,523 | ||||||||
|
|
| ||||||||
741,905,889 | ||||||||||
|
|
| ||||||||
Materials (1.0%) | ||||||||||
19,549 | Ingevity Corp.# | 1,660,492 | ||||||||
43,750 | Linde, PLC | 13,448,312 | ||||||||
87,546 | Ranpak Holdings Corp.# | 2,242,929 | ||||||||
|
|
| ||||||||
17,351,733 | ||||||||||
|
|
| ||||||||
Real Estate (0.1%) | ||||||||||
15,542 | eXp World Holdings, Inc.#^ | 558,269 | ||||||||
|
|
| ||||||||
TOTAL COMMON STOCKS (Cost $1,007,223,979) | 1,755,767,455 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (0.9%) | | ||||||||
16,007,375 | State Street Navigator Securities Lending Government Money Market Portfolio | 16,007,375 | ||||||||
|
|
| ||||||||
TOTAL INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (Cost $16,007,375) | 16,007,375 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
| TOTAL INVESTMENTS (99.9%) (Cost $1,023,231,354) | 1,771,774,830 | ||||||||
|
|
| ||||||||
|
|
| ||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-0.9%) | (16,007,375 | ) | |||||||
|
|
| ||||||||
OTHER ASSETS, LESS LIABILITIES (1.0%) | 18,063,378 | |||||||||
|
|
| ||||||||
NET ASSETS (100.0%) | $ | 1,773,830,833 | ||||||||
|
|
| ||||||||
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
# | Non-income producing security. |
~ | 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 $17,059,907. |
^ | Security, or portion of security, is on loan. |
See accompanying Notes to Schedule of Investments
34
Calamos Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
| Represents investment of cash collateral received from securities on loan as of July 31, 2021. |
See accompanying Notes to Schedule of Investments
35
Calamos Growth and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT | VALUE | |||||||
CONVERTIBLE BONDS (20.4%) | ||||||||
Communication Services (2.4%) | ||||||||
3,283,000 | Eventbrite, Inc.* 0.750%, 09/15/26 | $ | 3,104,733 | |||||
Liberty Media Corp. | ||||||||
6,963,000 | 1.375%, 10/15/23 | 9,258,631 | ||||||
2,275,000 | 0.500%, 12/01/50* | 2,519,380 | ||||||
8,050,000 | Liberty Media Corp. / Liberty Formula One 1.000%, 01/30/23 | 10,661,903 | ||||||
2,090,000 | Live Nation Entertainment, Inc. 2.500%, 03/15/23 | 2,724,754 | ||||||
3,259,000 | Magnite, Inc.* 0.250%, 03/15/26 | 2,810,171 | ||||||
3,000,000 | Match Group Financeco 2, Inc.* 0.875%, 06/15/26 | 5,706,720 | ||||||
2,500,000 | Match Group Financeco 3, Inc.* 2.000%, 01/15/30 | 5,045,275 | ||||||
10,510,000 | Snap, Inc.* 0.000%, 05/01/27 | 12,099,112 | ||||||
3,520,000 | Twitter, Inc. 0.250%, 06/15/24 | 4,881,290 | ||||||
5,000,000 | Zynga, Inc. 0.250%, 06/01/24 | 6,681,850 | ||||||
|
|
| ||||||
65,493,819 | ||||||||
|
|
| ||||||
Consumer Discretionary (5.0%) | ||||||||
2,775,000 | Bloomin Brands, Inc. 5.000%, 05/01/25 | 6,260,566 | ||||||
13,861,000 | Booking Holdings, Inc.^ 0.750%, 05/01/25 | 19,566,188 | ||||||
7,115,000 | Burlington Stores, Inc. 2.250%, 04/15/25 | 11,642,061 | ||||||
6,480,000 | Chegg, Inc.* 0.000%, 09/01/26 | 7,026,718 | ||||||
1,800,000 | Dicks Sporting Goods, Inc. 3.250%, 04/15/25 | 5,538,528 | ||||||
6,230,000 | DraftKings, Inc.* 0.000%, 03/15/28 | 5,468,943 | ||||||
3,575,000 | Etsy, Inc.*^ 0.125%, 09/01/27 | 4,308,948 | ||||||
4,709,000 | Expedia Group, Inc.*^ 0.000%, 02/15/26 | 5,063,211 | ||||||
6,280,000 | Ford Motor Company* 0.000%, 03/15/26 | 6,729,334 | ||||||
2,878,000 | MakeMyTrip, Ltd.* 0.000%, 02/15/28 | 2,909,313 | ||||||
7,235,000 | Marriott Vacations Worldwide Corp.* 0.000%, 01/15/26 | 7,735,879 | ||||||
12,585,000 | Royal Caribbean Cruises, Ltd. 4.250%, 06/15/23 | 16,215,772 | ||||||
6,185,000 | Shake Shack, Inc.* 0.000%, 03/01/28 | 5,796,025 | ||||||
325,000 | Tesla, Inc. 2.000%, 05/15/24 | 3,601,796 | ||||||
3,790,000 | Under Armour, Inc. 1.500%, 06/01/24 | 7,075,134 | ||||||
7,040,000 | Vail Resorts, Inc.* 0.000%, 01/01/26 | 7,108,358 | ||||||
5,300,000 | Vroom, Inc.* 0.750%, 07/01/26 | 5,156,158 |
PRINCIPAL AMOUNT | VALUE | |||||||
3,585,000 | Wayfair, Inc.* 0.625%, 10/01/25 | $ | 3,482,792 | |||||
2,980,000 | Winnebago Industries, Inc.^ 1.500%, 04/01/25 | 3,943,494 | ||||||
|
|
| ||||||
134,629,218 | ||||||||
|
|
| ||||||
Consumer Staples (0.2%) | ||||||||
6,215,000 | Beyond Meat, Inc.* 0.000%, 03/15/27 | 5,726,377 | ||||||
|
|
| ||||||
Energy (0.7%) | ||||||||
3,995,000 | EQT Corp.^ 1.750%, 05/01/26 | 5,864,380 | ||||||
9,355,000 | Pioneer Natural Resources Company^ 0.250%, 05/15/25 | 13,762,983 | ||||||
|
|
| ||||||
19,627,363 | ||||||||
|
|
| ||||||
Financials (0.5%) | ||||||||
3,950,000 | Ares Capital Corp. 4.625%, 03/01/24 | 4,332,202 | ||||||
3,975,000 | JPMorgan Chase Bank NA*^ 0.125%, 01/01/23 | 4,239,178 | ||||||
5,255,000 | Realogy Group, LLC / Realogy Co-Issuer Corp.* 0.250%, 06/15/26 | 5,323,105 | ||||||
|
|
| ||||||
13,894,485 | ||||||||
|
|
| ||||||
Health Care (2.9%) | ||||||||
2,325,000 | CONMED Corp. 2.625%, 02/01/24 | 3,763,175 | ||||||
6,035,000 | Dexcom, Inc. 0.250%, 11/15/25 | 6,881,771 | ||||||
3,899,000 | Envista Holdings Corp.^ 2.375%, 06/01/25 | 8,317,074 | ||||||
9,280,000 | Exact Sciences Corp.^ 0.375%, 03/15/27 | 11,219,798 | ||||||
3,272,000 | Halozyme Therapeutics, Inc.* 0.250%, 03/01/27 | 2,997,708 | ||||||
4,920,000 | Insulet Corp. 0.375%, 09/01/26 | 6,814,594 | ||||||
3,365,000 | Integra LifeSciences Holdings Corp. 0.500%, 08/15/25 | 3,830,985 | ||||||
7,800,000 | Jazz Investments I, Ltd. 2.000%, 06/15/26 | 10,112,310 | ||||||
5,995,000 | NeoGenomics, Inc. 0.250%, 01/15/28 | 5,908,132 | ||||||
3,730,000 | Oak Street Health, Inc.* 0.000%, 03/15/26 | 3,950,294 | ||||||
5,250,000 | Omnicell, Inc.* 0.250%, 09/15/25 | 8,269,853 | ||||||
7,150,000 | Pacira BioSciences, Inc. 0.750%, 08/01/25 | 7,867,717 | ||||||
|
|
| ||||||
79,933,411 | ||||||||
|
|
| ||||||
Industrials (3.7%) | ||||||||
6,240,000 | Air Canada 4.000%, 07/01/25 | 9,521,928 | ||||||
3,950,000 | Air Transport Services Group, Inc. 1.125%, 10/15/24 | 4,108,632 | ||||||
1,300,000 | Chart Industries, Inc.* 1.000%, 11/15/24 | 3,476,005 |
See accompanying Notes to Schedule of Investments
36
Calamos Growth and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT | VALUE | |||||||
7,460,000 | JetBlue Airways Corp.*^ 0.500%, 04/01/26 | $ | 7,378,313 | |||||
10,465,000 | John Bean Technologies Corp.* 0.250%, 05/15/26 | 11,285,351 | ||||||
8,645,000 | Middleby Corp.* 1.000%, 09/01/25 | 13,523,114 | ||||||
3,192,000 | Parsons Corp.*^ 0.250%, 08/15/25 | 3,368,486 | ||||||
20,125,000 | Southwest Airlines Company^ 1.250%, 05/01/25 | 29,569,662 | ||||||
6,115,000 | Sunrun, Inc.*^ 0.000%, 02/01/26 | 5,460,512 | ||||||
13,615,000 | Uber Technologies, Inc.*^ 0.000%, 12/15/25 | 13,298,996 | ||||||
|
|
| ||||||
100,990,999 | ||||||||
|
|
| ||||||
Information Technology (4.2%) | ||||||||
3,154,000 | Bill.com Holdings, Inc.* 0.000%, 12/01/25 | 4,584,402 | ||||||
5,530,000 | Coupa Software, Inc.^ 0.375%, 06/15/26 | 5,937,395 | ||||||
1,960,000 | Datadog, Inc. 0.125%, 06/15/25 | 2,719,755 | ||||||
Enphase Energy, Inc.* | ||||||||
4,990,000 | 0.000%, 03/01/28 | 5,061,157 | ||||||
2,207,000 | 0.000%, 03/01/26 | 2,224,943 | ||||||
1,822,000 | Five9, Inc. 0.500%, 06/01/25 | 2,946,830 | ||||||
4,895,000 | Itron, Inc.* 0.000%, 03/15/26 | 5,014,976 | ||||||
5,805,000 | LivePerson, Inc.* 0.000%, 12/15/26 | 6,285,190 | ||||||
11,597,000 | Microchip Technology, Inc.^ 0.125%, 11/15/24 | 12,727,360 | ||||||
2,235,000 | Nova Measuring Instruments, Ltd.* 0.000%, 10/15/25 | 3,157,362 | ||||||
4,920,000 | Okta, Inc.^ 0.125%, 09/01/25 | 7,179,559 | ||||||
ON Semiconductor Corp. | ||||||||
6,480,000 | 0.000%, 05/01/27*^ | 6,896,016 | ||||||
2,230,000 | 1.625%, 10/15/23 | 4,325,642 | ||||||
3,825,000 | Palo Alto Networks, Inc. 0.375%, 06/01/25 | 5,487,766 | ||||||
7,310,000 | Repay Holdings Corp.* 0.000%, 02/01/26 | 7,281,783 | ||||||
6,495,000 | RingCentral, Inc. 0.000%, 03/01/25 | 6,869,242 | ||||||
4,638,000 | Shift4 Payments, Inc.* 0.000%, 12/15/25 | 6,034,548 | ||||||
1,358,000 | Shopify, Inc.^ 0.125%, 11/01/25 | 1,790,618 | ||||||
3,322,000 | Silicon Laboratories, Inc. 0.625%, 06/15/25 | 4,511,741 | ||||||
2,275,000 | Square, Inc.*^ | |||||||
0.000%, 05/01/26 | 2,588,268 | |||||||
2,282,000 | Wix.com, Ltd.*^ 0.000%, 08/15/25 | 2,493,770 | ||||||
2,255,000 | Workday, Inc. 0.250%, 10/01/22 | 3,650,958 | ||||||
2,907,000 | Zscaler, Inc. 0.125%, 07/01/25 | 4,857,306 | ||||||
|
|
| ||||||
114,626,587 | ||||||||
|
|
|
PRINCIPAL AMOUNT | VALUE | |||||||
Materials (0.1%) | ||||||||
2,485,000 | MP Materials Corp.*^ 0.250%, 04/01/26 | $ | 2,691,131 | |||||
|
|
| ||||||
Real Estate (0.7%) | ||||||||
5,340,000 | IH Merger Sub, LLC 3.500%, 01/15/22 | 9,553,313 | ||||||
3,315,000 | Pebblebrook Hotel Trust 1.750%, 12/15/26 | 3,719,993 | ||||||
5,495,000 | Redfin Corp.* 0.000%, 10/15/25 | 5,959,163 | ||||||
|
|
| ||||||
19,232,469 | ||||||||
|
|
| ||||||
TOTAL CONVERTIBLE BONDS (Cost $462,910,034) | 556,845,859 | |||||||
|
|
| ||||||
NUMBER OF SHARES | VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS (8.3%) | ||||||||
Communication Services (0.7%) |
| |||||||
15,280 | 2020 Cash Mandatory Exchangeable Trust* 5.250%, 06/01/23 | 19,334,243 | ||||||
|
|
| ||||||
Consumer Discretionary (0.7%) |
| |||||||
106,325 | Aptiv, PLC^ 5.500%, 06/15/23 | 19,963,582 | ||||||
|
|
| ||||||
Financials (0.8%) |
| |||||||
80,250 | AMG Capital Trust II^ 5.150%, 10/15/37 | 4,720,064 | ||||||
214,825 | KKR & Company, Inc.^ 6.000%, 09/15/23 | 17,839,068 | ||||||
|
|
| ||||||
22,559,132 | ||||||||
|
|
| ||||||
Health Care (1.5%) |
| |||||||
81,055 | Avantor, Inc. 6.250%, 05/15/22 | 9,374,011 | ||||||
94,735 | Boston Scientific Corp.^ 5.500%, 06/01/23 | 11,639,142 | ||||||
9,890 | Danaher Corp.^ 4.750%, 04/15/22 | 19,708,297 | ||||||
|
|
| ||||||
40,721,450 | ||||||||
|
|
| ||||||
Industrials (1.2%) |
| |||||||
59,310 | Colfax Corp. 5.750%, 01/15/22 | 10,994,888 | ||||||
176,425 | Stanley Black & Decker, Inc.^ 5.250%, 11/15/22 | 20,818,150 | ||||||
|
|
| ||||||
31,813,038 | ||||||||
|
|
| ||||||
Information Technology (0.7%) |
| |||||||
12,805 | Broadcom, Inc. 8.000%, 09/30/22 | 19,775,274 | ||||||
|
|
| ||||||
Utilities (2.7%) |
| |||||||
73,905 | AES Corp.^ 6.875%, 02/15/24 | 7,492,489 | ||||||
80,675 | CenterPoint Energy, Inc. (Warner Media, LLC, Charter Communications Time, Inc.)^§** 4.566%, 09/15/29 | 5,355,368 |
See accompanying Notes to Schedule of Investments
37
Calamos Growth and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
140,435 | Dominion Energy, Inc. 7.250%, 06/01/22 | $ | 14,005,583 | |||||
273,280 | DTE Energy Company 6.250%, 11/01/22 | 14,019,264 | ||||||
141,390 | Essential Utilities, Inc. 6.000%, 04/30/22 | 8,575,303 | ||||||
NextEra Energy, Inc. | ||||||||
326,000 | 4.872%, 09/01/22 | 19,159,020 | ||||||
88,405 | 6.219%, 09/01/23^ | 4,587,335 | ||||||
|
|
| ||||||
73,194,362 | ||||||||
|
|
| ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $173,750,581) | 227,361,081 | |||||||
|
|
| ||||||
COMMON STOCKS (68.6%) | ||||||||
Communication Services (7.9%) |
| |||||||
39,080 | Alphabet, Inc. - Class A#~ | 105,302,232 | ||||||
321,635 | Comcast Corp. - Class A | 18,921,787 | ||||||
152,330 | Facebook, Inc. - Class A# | 54,275,179 | ||||||
27,710 | Netflix, Inc.# | 14,341,865 | ||||||
126,745 | Walt Disney Company# | 22,309,655 | ||||||
|
|
| ||||||
215,150,718 | ||||||||
|
|
| ||||||
Consumer Discretionary (7.8%) |
| |||||||
28,060 | Amazon.com, Inc.# | 93,372,175 | ||||||
165,770 | General Motors Company# | 9,422,367 | ||||||
84,115 | Home Depot, Inc. | 27,605,702 | ||||||
58,410 | Lowes Companies, Inc. | 11,255,023 | ||||||
47,685 | McDonalds Corp. | 11,573,626 | ||||||
207,960 | MGM Resorts International | 7,804,739 | ||||||
100,640 | NIKE, Inc. - Class B | 16,858,206 | ||||||
66,830 | Starbucks Corp. | 8,115,167 | ||||||
47,470 | Target Corp. | 12,392,044 | ||||||
12,620 | Tesla, Inc.# | 8,672,464 | ||||||
100,120 | TJX Companies, Inc. | 6,889,257 | ||||||
|
|
| ||||||
213,960,770 | ||||||||
|
|
| ||||||
Consumer Staples (4.6%) |
| |||||||
408,935 | Coca-Cola Company | 23,321,563 | ||||||
28,785 | Costco Wholesale Corp. | 12,369,490 | ||||||
215,050 | Mondelez International, Inc. - Class A | 13,604,063 | ||||||
98,075 | PepsiCo, Inc. | 15,392,871 | ||||||
129,500 | Philip Morris International, Inc. | 12,961,655 | ||||||
152,560 | Procter & Gamble Company | 21,698,609 | ||||||
109,455 | Sysco Corp. | 8,121,561 | ||||||
117,332 | Walmart, Inc. | 16,725,677 | ||||||
|
|
| ||||||
124,195,489 | ||||||||
|
|
| ||||||
Energy (2.0%) |
| |||||||
216,685 | Chevron Corp. | 22,060,700 | ||||||
258,910 | Exxon Mobil Corp. | 14,905,449 | ||||||
141,960 | Hess Corp. | 10,851,422 | ||||||
111,565 | Marathon Petroleum Corp. | 6,160,619 | ||||||
|
|
| ||||||
53,978,190 | ||||||||
|
|
| ||||||
Financials (8.7%) |
| |||||||
99,710 | American International Group, Inc. | 4,721,269 | ||||||
43,888 | Assurant, Inc. | 6,925,965 | ||||||
727,315 | Bank of America Corp.~ | 27,899,803 | ||||||
9,110 | BlackRock, Inc. | 7,899,919 | ||||||
240,040 | Charles Schwab Corp. | 16,310,718 | ||||||
64,430 | Chubb, Ltd. | 10,871,918 |
NUMBER OF SHARES | VALUE | |||||||
253,435 | Citigroup, Inc. | $ | 17,137,275 | |||||
84,145 | Discover Financial Services | 10,460,906 | ||||||
43,170 | Goldman Sachs Group, Inc. | 16,183,570 | ||||||
111,325 | Intercontinental Exchange, Inc. | 13,340,075 | ||||||
232,540 | JPMorgan Chase & Company~ | 35,294,921 | ||||||
299,725 | KeyCorp | 5,892,593 | ||||||
122,180 | Marsh & McLennan Companies, Inc. | 17,987,340 | ||||||
284,810 | Morgan Stanley | 27,336,064 | ||||||
37,360 | Northern Trust Corp. | 4,216,076 | ||||||
127,650 | US Bancorp | 7,089,681 | ||||||
162,855 | Wells Fargo & Company~ | 7,481,559 | ||||||
|
|
| ||||||
237,049,652 | ||||||||
|
|
| ||||||
Health Care (7.8%) |
| |||||||
59,960 | Abbott Laboratories | 7,253,961 | ||||||
102,725 | AbbVie, Inc. | 11,946,918 | ||||||
46,845 | Agilent Technologies, Inc. | 7,178,059 | ||||||
15,820 | Anthem, Inc. | 6,075,038 | ||||||
148,470 | Baxter International, Inc. | 11,484,155 | ||||||
128,820 | Bristol-Myers Squibb Company | 8,743,013 | ||||||
72,300 | Edwards Lifesciences Corp.# | 8,117,121 | ||||||
25,645 | Eli Lilly & Company | 6,244,558 | ||||||
26,750 | Humana, Inc. | 11,391,755 | ||||||
6,485 | Intuitive Surgical, Inc.# | 6,429,618 | ||||||
129,370 | Johnson & Johnson~ | 22,277,514 | ||||||
156,780 | Medtronic, PLC~ | 20,586,782 | ||||||
222,685 | Merck & Company, Inc. | 17,117,796 | ||||||
244,925 | Pfizer, Inc. | 10,485,239 | ||||||
17,665 | Stryker Corp. | 4,786,155 | ||||||
17,705 | Thermo Fisher Scientific, Inc. | 9,560,877 | ||||||
92,715 | UnitedHealth Group, Inc. | 38,218,977 | ||||||
22,415 | Vertex Pharmaceuticals, Inc.# | 4,518,416 | ||||||
|
|
| ||||||
212,415,952 | ||||||||
|
|
| ||||||
Industrials (6.0%) |
| |||||||
474,725 | Carrier Global Corp. | 26,228,556 | ||||||
813,840 | CSX Corp. | 26,303,309 | ||||||
12,540 | FedEx Corp. | 3,510,573 | ||||||
120,840 | Honeywell International, Inc. | 28,251,184 | ||||||
87,210 | JB Hunt Transport Services, Inc. | 14,690,524 | ||||||
58,345 | Northrop Grumman Corp. | 21,180,402 | ||||||
400,075 | Raytheon Technologies Corp. | 34,786,521 | ||||||
42,150 | Union Pacific Corp. | 9,220,734 | ||||||
|
|
| ||||||
164,171,803 | ||||||||
|
|
| ||||||
Information Technology (20.4%) |
| |||||||
57,015 | Accenture, PLC - Class A | 18,112,525 | ||||||
31,970 | Adobe, Inc.# | 19,873,511 | ||||||
37,580 | Advanced Micro Devices, Inc.# | 3,990,620 | ||||||
982,945 | Apple, Inc.~ | 143,372,358 | ||||||
185,485 | Cisco Systems, Inc. | 10,270,305 | ||||||
100,905 | Fidelity National Information Services, Inc. | 15,039,890 | ||||||
37,285 | Global Payments, Inc. | 7,211,292 | ||||||
40,850 | Lam Research Corp. | 26,038,199 | ||||||
102,200 | Marvell Technology, Inc. | 6,184,122 | ||||||
61,095 | Mastercard, Inc. - Class A | 23,579,004 | ||||||
133,330 | Micron Technology, Inc.# | 10,343,741 | ||||||
486,955 | Microsoft Corp.~ | 138,738,349 | ||||||
196,720 | NVIDIA Corp. | 38,358,433 | ||||||
23,310 | PayPal Holdings, Inc.# | 6,422,604 | ||||||
42,205 | QUALCOMM, Inc. | 6,322,309 | ||||||
72,820 | salesforce.com, Inc.# | 17,617,343 | ||||||
18,370 | ServiceNow, Inc.# | 10,799,539 | ||||||
27,515 | Skyworks Solutions, Inc. | 5,076,793 |
See accompanying Notes to Schedule of Investments
38
Calamos Growth and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
73,010 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | $ | 8,515,886 | |||||
168,980 | Visa, Inc. - Class A | 41,634,982 | ||||||
|
|
| ||||||
557,501,805 | ||||||||
|
|
| ||||||
Materials (2.3%) | ||||||||
43,260 | Celanese Corp. - Class A | 6,738,610 | ||||||
414,490 | Freeport-McMoRan, Inc. | 15,792,069 | ||||||
72,650 | Linde, PLC | 22,331,883 | ||||||
81,855 | PPG Industries, Inc. | 13,384,930 | ||||||
17,435 | Vulcan Materials Company | 3,138,126 | ||||||
|
|
| ||||||
61,385,618 | ||||||||
|
|
| ||||||
Real Estate (1.1%) | ||||||||
60,195 | American Tower Corp. | 17,023,146 | ||||||
61,825 | Crown Castle International Corp. | 11,937,789 | ||||||
|
|
| ||||||
28,960,935 | ||||||||
|
|
| ||||||
TOTAL COMMON STOCKS (Cost $823,660,946) | 1,868,770,932 | |||||||
|
|
| ||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |||||||
PURCHASED OPTIONS (0.3%) # | ||||||||
Consumer Discretionary (0.1%) |
| |||||||
Tesla, Inc. | ||||||||
140 | ||||||||
9,620,800 | Call, 09/17/21, Strike $850.00 | 95,550 | ||||||
140 | ||||||||
9,620,800 | Call, 01/21/22, Strike $750.00 | 1,047,550 | ||||||
|
|
| ||||||
1,143,100 | ||||||||
|
|
| ||||||
Other (0.2%) | ||||||||
iShares MSCI EAFE ETF | ||||||||
26,890 | ||||||||
213,748,610 | Call, 09/17/21, Strike $82.00 | 1,344,500 | ||||||
11,550 | ||||||||
91,810,950 | Call, 12/17/21, Strike $85.00 | 537,075 | ||||||
9,000 | iShares MSCI Emerging Markets | |||||||
46,440,000 | Call, 09/17/21, Strike $57.00 | 121,500 | ||||||
835 | iShares Russell 2000 ETF | |||||||
18,457,675 | Call, 09/17/21, Strike $225.00 | 465,095 | ||||||
155 | S&P 500 Index | |||||||
68,126,530 | Put, 09/30/21, Strike $4,000.00 | 561,100 | ||||||
S&P 500 Index | ||||||||
155 | ||||||||
68,126,530 | Put, 12/31/21, Strike $4,050.00 | 1,669,350 | ||||||
95 | ||||||||
41,754,970 | Put, 12/31/21, Strike $4,300.00 | 1,565,600 | ||||||
|
|
| ||||||
6,264,220 | ||||||||
|
|
| ||||||
TOTAL PURCHASED OPTIONS (Cost $16,031,620) | 7,407,320 | |||||||
|
|
|
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (4.1%) | | ||||||
54,768,343 | JPMorgan Prime Money Market Fund - Capital Class, 0.070%*** (Cost $54,768,343) | $ | 54,768,343 | |||||
56,710,266 | State Street Navigator Securities Lending Government Money Market Portfolio (Cost $56,710,266) | 56,710,266 | ||||||
|
|
| ||||||
TOTAL INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (Cost $111,478,609) | 111,478,609 | |||||||
|
|
| ||||||
| TOTAL INVESTMENTS (101.7%) (Cost $1,587,831,790) | 2,771,863,801 | ||||||
|
|
| ||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-4.1%) | (111,478,609) | ||||||
|
|
| ||||||
OTHER ASSETS, LESS LIABILITIES (2.4%) | 65,744,894 | |||||||
|
|
| ||||||
NET ASSETS (100.0%) | $ | 2,726,130,086 | ||||||
|
|
| ||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |||||||
WRITTEN OPTIONS (0.0%) # | ||||||||
Consumer Discretionary (0.0%) |
| |||||||
Tesla, Inc. | ||||||||
140 | ||||||||
9,620,800 | Put, 09/17/21, Strike $600.00 | (235,900 | ) | |||||
140 | ||||||||
9,620,800 | Put, 01/21/22, Strike $500.00 | (395,850 | ) | |||||
|
|
| ||||||
(631,750 | ) | |||||||
|
|
| ||||||
Information Technology (0.0%) |
| |||||||
410 | Paypal Holdings, Inc. | |||||||
11,296,730 | Put, 09/17/21, Strike $270.00 | (366,950 | ) | |||||
|
|
| ||||||
(366,950 | ) | |||||||
|
|
| ||||||
TOTAL WRITTEN OPTIONS (Premium $1,351,790) | (998,700 | ) | ||||||
|
|
|
FORWARD FOREIGN CURRENCY CONTRACTS
COUNTERPARTY | SHORT CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/LOSS | |||||||||||||||||
State Street Bank and Trust | New Taiwanese Dollar | 10/28/21 | 223,695,000 | $ | 7,999,764 | $ | 20,852 | |||||||||||||||
Bank of New York | Canadian Dollar | 10/28/21 | 10,013,000 | 8,025,295 | (96,190 | ) | ||||||||||||||||
|
|
| ||||||||||||||||||||
$ | (75,338 | ) | ||||||||||||||||||||
|
|
| ||||||||||||||||||||
|
|
|
See accompanying Notes to Schedule of Investments
39
Calamos Growth and Income Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
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. |
# | 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, 2021. |
~ | 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 $10,750,982. |
*** | The rate disclosed is the 7 day net yield as of July 31, 2021. |
| Represents investment of cash collateral received from securities on loan as of July 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
40
Calamos Dividend Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS (99.1%) | ||||||||
Communication Services (10.0%) |
| |||||||
275 | Alphabet, Inc. - Class C# | $ | 743,715 | |||||
2,016 | AT&T, Inc. | 56,549 | ||||||
3,025 | Comcast Corp. - Class A | 177,961 | ||||||
1,020 | Facebook, Inc. - Class A# | 363,426 | ||||||
200 | Netflix, Inc.# | 103,514 | ||||||
490 | T-Mobile US, Inc.# | 70,570 | ||||||
935 | Walt Disney Company# | 164,579 | ||||||
|
|
| ||||||
1,680,314 | ||||||||
|
|
| ||||||
Consumer Discretionary (13.4%) |
| |||||||
200 | Amazon.com, Inc.# | 665,518 | ||||||
705 | Aptiv, PLC# | 117,629 | ||||||
40 | Booking Holdings, Inc.# | 87,130 | ||||||
525 | Dicks Sporting Goods, Inc.^ | 54,674 | ||||||
1,370 | General Motors Company# | 77,871 | ||||||
560 | Home Depot, Inc. | 183,786 | ||||||
535 | Lowes Companies, Inc. | 103,089 | ||||||
425 | McDonalds Corp. | 103,152 | ||||||
2,590 | MGM Resorts International | 97,203 | ||||||
1,195 | NIKE, Inc. - Class B | 200,174 | ||||||
970 | Royal Caribbean Cruises, Ltd.# | 74,564 | ||||||
690 | Starbucks Corp. | 83,787 | ||||||
655 | Target Corp. | 170,988 | ||||||
80 | Tesla, Inc.# | 54,976 | ||||||
2,160 | TJX Companies, Inc. | 148,630 | ||||||
1,185 | Under Armour, Inc. - Class A# | 24,233 | ||||||
|
|
| ||||||
2,247,404 | ||||||||
|
|
| ||||||
Consumer Staples (5.8%) |
| |||||||
2,945 | Coca-Cola Company | 167,953 | ||||||
225 | Costco Wholesale Corp. | 96,687 | ||||||
1,440 | Mondelez International, Inc. | 91,094 | ||||||
630 | PepsiCo, Inc. | 98,879 | ||||||
1,025 | Philip Morris International, Inc. | 102,592 | ||||||
1,065 | Procter & Gamble Company | 151,475 | ||||||
1,520 | Sysco Corp. | 112,784 | ||||||
1,030 | Walmart, Inc. | 146,827 | ||||||
|
|
| ||||||
968,291 | ||||||||
|
|
| ||||||
Energy (3.4%) |
| |||||||
1,390 | Chevron Corp. | 141,516 | ||||||
1,080 | ConocoPhillips | 60,545 | ||||||
2,390 | Exxon Mobil Corp. | 137,592 | ||||||
1,370 | Hess Corp. | 104,723 | ||||||
1,190 | Marathon Petroleum Corp. | 65,712 | ||||||
410 | Pioneer Natural Resources Company | 59,601 | ||||||
|
|
| ||||||
569,689 | ||||||||
|
|
| ||||||
Financials (11.8%) |
| |||||||
299 | American Express Company | 50,988 | ||||||
360 | American International Group, Inc. | 17,046 | ||||||
495 | Assurant, Inc. | 78,116 | ||||||
5,200 | Bank of America Corp. | 199,472 | ||||||
60 | BlackRock, Inc. | 52,030 | ||||||
2,050 | Charles Schwab Corp. | 139,298 | ||||||
495 | Chubb, Ltd. | 83,526 | ||||||
1,875 | Citigroup, Inc. | 126,788 | ||||||
670 | Discover Financial Services | 83,294 | ||||||
435 | Goldman Sachs Group, Inc. | 163,073 |
NUMBER OF SHARES | VALUE | |||||||
900 | Intercontinental Exchange, Inc. | $ | 107,847 | |||||
1,700 | JPMorgan Chase & Company | 258,026 | ||||||
3,195 | KeyCorp | 62,814 | ||||||
760 | Marsh & McLennan Companies, Inc. | 111,887 | ||||||
2,090 | Morgan Stanley | 200,598 | ||||||
400 | Northern Trust Corp. | 45,140 | ||||||
1,310 | US Bancorp | 72,757 | ||||||
2,755 | Wells Fargo & Company | 126,565 | ||||||
|
|
| ||||||
1,979,265 | ||||||||
|
|
| ||||||
Health Care (11.0%) |
| |||||||
1,200 | Abbott Laboratories | 145,176 | ||||||
1,065 | AbbVie, Inc. | 123,860 | ||||||
310 | Agilent Technologies, Inc. | 47,501 | ||||||
120 | Amgen, Inc. | 28,985 | ||||||
110 | Anthem, Inc. | 42,241 | ||||||
1,060 | Baxter International, Inc. | 81,991 | ||||||
1,495 | Bristol-Myers Squibb Company | 101,466 | ||||||
380 | Danaher Corp. | 113,046 | ||||||
530 | Eli Lilly & Company | 129,055 | ||||||
163 | Humana, Inc. | 69,415 | ||||||
905 | Johnson & Johnson | 155,841 | ||||||
1,185 | Medtronic, PLC | 155,602 | ||||||
1,720 | Merck & Company, Inc. | 132,216 | ||||||
1,985 | Pfizer, Inc. | 84,978 | ||||||
215 | Stryker Corp. | 58,252 | ||||||
180 | Thermo Fisher Scientific, Inc. | 97,202 | ||||||
655 | UnitedHealth Group, Inc. | 270,004 | ||||||
|
|
| ||||||
1,836,831 | ||||||||
|
|
| ||||||
Industrials (8.6%) |
| |||||||
3,975 | Carrier Global Corp. | 219,619 | ||||||
6,150 | CSX Corp. | 198,768 | ||||||
170 | FedEx Corp. | 47,592 | ||||||
1,075 | Fortive Corp. | 78,109 | ||||||
800 | Honeywell International, Inc. | 187,032 | ||||||
550 | JB Hunt Transport Services, Inc. | 92,647 | ||||||
265 | Northrop Grumman Corp. | 96,200 | ||||||
2,505 | Raytheon Technologies Corp. | 217,810 | ||||||
2,460 | Southwest Airlines Company# | 124,279 | ||||||
495 | Stanley Black & Decker, Inc. | 97,540 | ||||||
355 | Union Pacific Corp. | 77,660 | ||||||
|
|
| ||||||
1,437,256 | ||||||||
|
|
| ||||||
Information Technology (29.2%) |
| |||||||
510 | Accenture, PLC - Class A | 162,017 | ||||||
210 | Adobe, Inc.# | 130,542 | ||||||
7,685 | Apple, Inc. | 1,120,934 | ||||||
830 | Applied Materials, Inc. | 116,142 | ||||||
390 | Broadcom, Inc. | 189,306 | ||||||
1,995 | Cisco Systems, Inc. | 110,463 | ||||||
820 | Fidelity National Information Services, Inc. | 122,221 | ||||||
465 | Global Payments, Inc. | 89,936 | ||||||
1,435 | Intel Corp. | 77,088 | ||||||
255 | Intuit, Inc. | 135,142 | ||||||
205 | Lam Research Corp. | 130,669 | ||||||
740 | Marvell Technology, Inc. | 44,777 | ||||||
540 | Mastercard, Inc. - Class A | 208,407 | ||||||
500 | Microchip Technology, Inc. | 71,560 | ||||||
965 | Micron Technology, Inc.# | 74,865 | ||||||
3,525 | Microsoft Corp. | 1,004,308 | ||||||
1,500 | NVIDIA Corp. | 292,485 |
See accompanying Notes to Schedule of Investments
41
Calamos Dividend Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES | VALUE | |||||||
1,365 | Oracle Corp. | $ | 118,946 | |||||
190 | PayPal Holdings, Inc.# | 52,351 | ||||||
390 | QUALCOMM, Inc. | 58,422 | ||||||
385 | salesforce.com, Inc.# | 93,143 | ||||||
120 | ServiceNow, Inc.# | 70,547 | ||||||
215 | Skyworks Solutions, Inc. | 39,670 | ||||||
490 | Texas Instruments, Inc. | 93,404 | ||||||
1,135 | Visa, Inc. - Class A | 279,653 | ||||||
|
|
| ||||||
4,886,998 | ||||||||
|
|
| ||||||
Materials (3.0%) |
| |||||||
275 | Celanese Corp. | 42,837 | ||||||
2,630 | Freeport-McMoRan, Inc. | 100,203 | ||||||
470 | Linde, PLC | 144,473 | ||||||
410 | LyondellBasell Industries NV- Class A | 40,725 | ||||||
530 | PPG Industries, Inc. | 86,666 | ||||||
60 | Sherwin-Williams Company | 17,462 | ||||||
360 | Vulcan Materials Company | 64,796 | ||||||
|
|
| ||||||
497,162 | ||||||||
|
|
| ||||||
Real Estate (1.0%) |
| |||||||
330 | American Tower Corp. | 93,324 | ||||||
395 | Crown Castle International Corp. | 76,271 | ||||||
|
|
| ||||||
169,595 | ||||||||
|
|
| ||||||
Utilities (1.9%) |
| |||||||
915 | Dominion Energy, Inc. | 68,506 | ||||||
685 | DTE Energy Company | 80,364 | ||||||
2,160 | NextEra Energy, Inc. | 168,264 | ||||||
|
|
| ||||||
317,134 | ||||||||
|
|
| ||||||
TOTAL COMMON STOCKS (Cost $8,946,790) | 16,589,939 | |||||||
|
|
| ||||||
EXCHANGE-TRADED FUND (0.2%) | ||||||||
Other (0.2%) |
| |||||||
240 | iShares Nasdaq Biotechnology ETF^ (Cost $31,125) | 39,787 | ||||||
|
|
| ||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (0.5%) | | ||||||
90,156 | State Street Navigator Securities Lending Government Money Market Portfolio (Cost $90,156) | 90,156 | ||||||
|
|
| ||||||
| TOTAL INVESTMENTS (99.8%) (Cost $9,068,071) | 16,719,882 | ||||||
|
|
| ||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-0.5%) | (90,156) | ||||||
|
|
| ||||||
OTHER ASSETS, LESS LIABILITIES (0.7%) | 120,047 | |||||||
|
|
| ||||||
NET ASSETS (100.0%) | $ | 16,749,773 | ||||||
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
# | Non-income producing security. |
^ | Security, or portion of security, is on loan. |
| Represents investment of cash collateral received from securities on loan as of July 31, 2021. |
See accompanying Notes to Schedule of Investments
42
Calamos Select Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
COMMON STOCKS (98.3%) | ||||||||||
Communication Services (10.4%) | ||||||||||
1,006 |
| Alphabet, Inc. - Class A# | $ | 2,710,697 | ||||||
5,155 | Facebook, Inc. - Class A# | 1,836,727 | ||||||||
675 | Netflix, Inc.# | 349,360 | ||||||||
3,072 | Walt Disney Company# | 540,733 | ||||||||
|
| |||||||||
5,437,517 | ||||||||||
|
| |||||||||
Consumer Discretionary (12.1%) | ||||||||||
764 | Amazon.com, Inc.# | 2,542,279 | ||||||||
3,450 | Aptiv, PLC# | 575,632 | ||||||||
1,328 | Lululemon Athletica, Inc.# | 531,426 | ||||||||
5,766 | NIKE, Inc. - Class B | 965,863 | ||||||||
4,506 | Starbucks Corp. | 547,163 | ||||||||
950 | Tesla, Inc.# | 652,840 | ||||||||
6,827 | TJX Companies, Inc. | 469,766 | ||||||||
|
| |||||||||
6,284,969 | ||||||||||
|
| |||||||||
Consumer Staples (8.2%) | ||||||||||
12,196 | Coca-Cola Company | 695,538 | ||||||||
4,097 | Constellation Brands, Inc. - Class A | 919,121 | ||||||||
1,910 | Estee Lauder Companies Inc. - Class A | 637,615 | ||||||||
8,300 | Mondelez International, Inc. - Class A | 525,058 | ||||||||
5,965 | Sysco Corp. | 442,603 | ||||||||
7,438 | Walmart, Inc. | 1,060,287 | ||||||||
|
| |||||||||
4,280,222 | ||||||||||
|
| |||||||||
Energy (2.5%) | ||||||||||
4,180 | Chevron Corp. | 425,566 | ||||||||
11,687 | Hess Corp. | 893,354 | ||||||||
|
| |||||||||
1,318,920 | ||||||||||
|
| |||||||||
Financials (12.1%) | ||||||||||
5,322 | American Express Company | 907,561 | ||||||||
14,352 | Bank of America Corp. | 550,543 | ||||||||
7,765 | Charles Schwab Corp. | 527,632 | ||||||||
2,274 | Chubb, Ltd. | 383,715 | ||||||||
5,427 | Discover Financial Services | 674,685 | ||||||||
1,305 | Goldman Sachs Group, Inc. | 489,218 | ||||||||
5,495 | JPMorgan Chase & Company | 834,031 | ||||||||
9,450 | Morgan Stanley | 907,011 | ||||||||
22,590 | Wells Fargo & Company | 1,037,784 | ||||||||
|
| |||||||||
6,312,180 | ||||||||||
|
| |||||||||
Health Care (12.1%) | ||||||||||
12,122 | Boston Scientific Corp.# | 552,763 | ||||||||
5,484 | Bristol-Myers Squibb Company | 372,199 | ||||||||
3,465 | Danaher Corp. | 1,030,803 | ||||||||
853 | Dexcom, Inc.# | 439,730 | ||||||||
4,355 | Edwards Lifesciences Corp.# | 488,936 | ||||||||
6,759 | Eli Lilly & Company | 1,645,816 | ||||||||
2,870 | Exact Sciences Corp.# | 309,501 | ||||||||
1,040 | IQVIA Holdings, Inc.# | 257,608 | ||||||||
2,885 | UnitedHealth Group, Inc. | 1,189,255 | ||||||||
|
| |||||||||
6,286,611 | ||||||||||
|
| |||||||||
Industrials (10.2%) | ||||||||||
10,400 | Air Lease Corp. - Class A | 440,544 | ||||||||
11,300 | Carrier Global Corp. | 624,325 |
NUMBER OF SHARES |
|
| VALUE | |||||||
23,778 |
| CSX Corp. | $ | 768,505 | ||||||
3,146 | Honeywell International, Inc. | 735,503 | ||||||||
7,324 | Raytheon Technologies Corp. | 636,822 | ||||||||
10,371 | Southwest Airlines Company# | 523,943 | ||||||||
9,269 | Uber Technologies, Inc.# | 402,831 | ||||||||
2,049 | Union Pacific Corp. | 448,239 | ||||||||
4,940 | Waste Management, Inc. | 732,404 | ||||||||
|
| |||||||||
5,313,116 | ||||||||||
|
| |||||||||
Information Technology (26.0%) | ||||||||||
22,261 | Apple, Inc. | 3,246,990 | ||||||||
5,400 | Applied Materials, Inc. | 755,622 | ||||||||
1,156 | Broadcom, Inc. | 561,122 | ||||||||
3,107 | Fidelity National Information Services, Inc. | 463,098 | ||||||||
1,149 | Mastercard, Inc. - Class A | 443,445 | ||||||||
6,336 | Micron Technology, Inc.# | 491,547 | ||||||||
11,321 | Microsoft Corp. | 3,225,466 | ||||||||
6,536 | NVIDIA Corp. | 1,274,455 | ||||||||
1,349 | Paycom Software, Inc.# | 539,600 | ||||||||
2,027 | PayPal Holdings, Inc.# | 558,499 | ||||||||
2,390 | salesforce.com, Inc.# | 578,213 | ||||||||
1,470 | Twilio, Inc. - Class A# | 549,177 | ||||||||
3,427 | Visa, Inc. - Class A | 844,379 | ||||||||
|
| |||||||||
13,531,613 | ||||||||||
|
| |||||||||
Materials (2.4%) | ||||||||||
3,360 | Celanese Corp. - Class A | 523,387 | ||||||||
2,400 | Linde, PLC | 737,736 | ||||||||
|
| |||||||||
1,261,123 | ||||||||||
|
| |||||||||
Utilities (2.3%) | ||||||||||
6,728 | Dominion Energy, Inc. | 503,725 | ||||||||
9,063 | NextEra Energy, Inc. | 706,008 | ||||||||
|
| |||||||||
1,209,733 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost $33,418,369) | 51,236,004 | |||||||||
|
| |||||||||
|
| |||||||||
| TOTAL INVESTMENTS (98.3%) (Cost $33,418,369) | 51,236,004 | ||||||||
|
| |||||||||
|
| |||||||||
OTHER ASSETS, LESS LIABILITIES (1.7%) | 870,388 | |||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 52,106,392 | ||||||||
|
| |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS | ||
# | Non-income producing security. |
See accompanying Notes to Schedule of Investments
43
Calamos International Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
CONVERTIBLE PREFERRED STOCK (0.6%) | ||||||||||
Financials (0.6%) | ||||||||||
389,000 | BRL | Banco Bradesco, SA 0.000% (Cost $2,173,194) | $ | 1,811,213 | ||||||
|
| |||||||||
|
| |||||||||
COMMON STOCKS (99.0%) | ||||||||||
Communication Services (4.4%) | ||||||||||
10,700 | EUR | CTS Eventim, AG & Company KGaA# | 727,012 | |||||||
5,700 | KRW | NAVER Corp. | 2,148,338 | |||||||
19,680 | Sea, Ltd.# | 5,434,829 | ||||||||
74,300 | HKD | Tencent Holdings, Ltd. | 4,480,895 | |||||||
|
| |||||||||
12,791,074 | ||||||||||
|
| |||||||||
Consumer Discretionary (17.6%) | ||||||||||
26,262 | Alibaba Group Holding, Ltd.#~ | 5,126,080 | ||||||||
33,100 | Aptiv, PLC#~ | 5,522,735 | ||||||||
38,150 | Capri Holdings, Ltd.# | 2,148,227 | ||||||||
126,200 | GBP | Compass Group, PLC# | 2,666,591 | |||||||
39,500 | EUR | Daimler, AG | 3,524,957 | |||||||
41,000 | INR | Dixon Technologies India, Ltd.# | 2,375,109 | |||||||
147,250 | EUR | Global Fashion Group, SA# | 2,003,106 | |||||||
12,200 | Global-e Online, Ltd.# | 849,608 | ||||||||
334,000 | HKD | Li Ning Company, Ltd. | 3,527,478 | |||||||
7,100 | Lululemon Athletica, Inc.# | 2,841,207 | ||||||||
8,100 | EUR | LVMH Moet Hennessy Louis Vuitton, SE | 6,485,403 | |||||||
22,100 | CAD | Magna International, Inc. | 1,852,886 | |||||||
43,900 | EUR | Moncler S.p.A | 3,015,170 | |||||||
64,000 | GBP | Persimmon, PLC | 2,581,607 | |||||||
31,500 | EUR | Publicis Groupe, SA | 1,988,614 | |||||||
17,700 | EUR | Puma, SE | 2,171,248 | |||||||
22,300 | Sony Group Corp.^ | 2,325,890 | ||||||||
|
| |||||||||
51,005,916 | ||||||||||
|
| |||||||||
Consumer Staples (2.5%) | ||||||||||
11,700 | DKK | Carlsberg AS - Class B | 2,161,989 | |||||||
4,800 | EUR | LOreal, SA | 2,195,969 | |||||||
22,500 | CHF | Nestle, SA | 2,849,167 | |||||||
|
| |||||||||
7,207,125 | ||||||||||
|
| |||||||||
Energy (1.7%) | ||||||||||
87,800 | CAD | Canadian Natural Resources, Ltd. | 2,897,344 | |||||||
45,600 | EUR | TotalEnergies, SE | 1,988,466 | |||||||
|
| |||||||||
4,885,810 | ||||||||||
|
| |||||||||
Financials (13.9%) | ||||||||||
313,200 | HKD | AIA Group, Ltd. | 3,747,676 | |||||||
20,300 | CAD | Bank of Montreal^ | 2,009,986 | |||||||
29,200 | SEK | EQT, AB | 1,407,502 | |||||||
343,000 | INR | HDFC Bank, Ltd. | 6,594,045 | |||||||
44,200 | HKD | Hong Kong Exchanges & Clearing, Ltd. | 2,824,808 | |||||||
135,400 | ICICI Bank, Ltd.^ | 2,517,086 | ||||||||
455,800 | EUR | ING Groep, NV | 5,848,230 | |||||||
717,000 | EUR | Intesa Sanpaolo, S.p.A | 1,980,746 | |||||||
6,900,400 | GBP | Lloyds Banking Group, PLC | 4,362,895 | |||||||
44,600 | EUR | NN Group, NV | 2,217,350 | |||||||
403,700 | UBS Group, AG#^ | 6,652,976 | ||||||||
|
| |||||||||
40,163,300 | ||||||||||
|
|
NUMBER OF SHARES |
|
| VALUE | |||||||
Health Care (10.1%) | ||||||||||
103,150 | Alcon, Inc.^ | $ | 7,509,320 | |||||||
11,700 | EUR | Carl Zeiss Meditec, AG | 2,605,737 | |||||||
21,400 | Horizon Therapeutics, PLC# | 2,140,428 | ||||||||
32,600 | LivaNova, PLC# | 2,813,380 | ||||||||
5,750 | CHF | Lonza Group, AG | 4,477,096 | |||||||
65,500 | DKK | Novo Nordisk, A/S - Class B | 6,063,418 | |||||||
231,000 | HKD | Wuxi Biologics Cayman, Inc.#* | 3,528,352 | |||||||
|
| |||||||||
29,137,731 | ||||||||||
|
| |||||||||
Industrials (15.8%) | ||||||||||
140,200 | CAD | Air Canada#^ | 2,807,146 | |||||||
23,500 | EUR | Airbus, SE# | 3,223,463 | |||||||
37,600 | SEK | Atlas Copco, AB - Class A | 2,546,460 | |||||||
116,000 | CAD | CAE, Inc.# | 3,539,692 | |||||||
40,750 | CAD | Canadian Pacific Railway, Ltd. | 3,025,874 | |||||||
85,500 | EUR | Deutsche Post, AG | 5,794,434 | |||||||
12,800 | JPY | FANUC Corp. | 2,866,784 | |||||||
92,900 | JPY | Lixil Corp. | 2,535,248 | |||||||
19,500 | JPY | Nidec Corp. | 2,188,748 | |||||||
54,600 | JPY | Recruit Holdings Company, Ltd. | 2,829,952 | |||||||
102,700 | EUR | Ryanair Holdings, PLC# | 2,016,001 | |||||||
69,700 | SEK | Sandvik, AB | 1,817,518 | |||||||
26,275 | EUR | Schneider Electric, SE | 4,400,756 | |||||||
191,000 | HKD | Techtronic Industries Company, Ltd. | 3,405,966 | |||||||
118,100 | GBP | Travis Perkins, PLC# | 2,793,308 | |||||||
|
| |||||||||
45,791,350 | ||||||||||
|
| |||||||||
Information Technology (25.4%) | ||||||||||
9,850 | Accenture PLC - Class A | 3,129,148 | ||||||||
2,295 | EUR | Adyen, NV#* | 6,219,563 | |||||||
144,000 | GBP | Alphawave IP Group, PLC# | 853,483 | |||||||
39,250 | EUR | Amadeus IT Group, SA# | 2,574,045 | |||||||
6,700 | EUR | ASM International, NV | 2,377,897 | |||||||
22,855 | EUR | ASML Holding, NV | 17,469,991 | |||||||
7,300 | Atlassian Corp., PLC - Class A# | 2,373,376 | ||||||||
70,000 | GBP | Darktrace, PLC#^ | 744,345 | |||||||
59,500 | EUR | Dassault Systemes, SE | 3,282,151 | |||||||
22,000 | JPY | Fujitsu, Ltd. | 3,742,869 | |||||||
9,200 | JPY | Keyence Corp. | 5,124,423 | |||||||
30,300 | KRW | Samsung Electronics Company, Ltd. | 2,070,593 | |||||||
3,765 | Shopify, Inc. - Class A# | 5,647,236 | ||||||||
473,000 | TWD | Taiwan Semiconductor Manufacturing Company, Ltd. | 9,885,461 | |||||||
39,150 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | 4,566,456 | ||||||||
8,100 | JPY | Tokyo Electron, Ltd. | 3,340,646 | |||||||
|
| |||||||||
73,401,683 | ||||||||||
|
| |||||||||
Materials (6.8%) | ||||||||||
83,470 | EUR | ArcelorMittal, SA | 2,915,225 | |||||||
445,000 | Cemex, SAB de CV# | 3,617,850 | ||||||||
42,600 | EUR | CRH, PLC | 2,129,108 | |||||||
101,800 | CAD | First Quantum Minerals, Ltd. | 2,180,263 | |||||||
90,850 | AUD | James Hardie Industries, PLC | 3,065,147 | |||||||
2,500 | KRW | LG Chem, Ltd. | 1,836,259 | |||||||
197,900 | INR | Tata Steel, Ltd. | 3,824,628 | |||||||
|
| |||||||||
19,568,480 | ||||||||||
|
|
See accompanying Notes to Schedule of Investments
44
Calamos International Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2019 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
Real Estate (0.8%) | ||||||||||
110,211 | INR | Godrej Properties, Ltd.# | $ | 2,386,684 | ||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost $199,193,536) |
| 286,339,153 |
| |||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES/ |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (3.6%) | | ||||||||
10,262,614 | State Street Navigator Securities Lending Government Money Market Portfolio | 10,262,614 | ||||||||
|
| |||||||||
|
| |||||||||
| TOTAL INVESTMENTS (103.2%) (Cost $211,629,344) | 298,412,980 | ||||||||
|
| |||||||||
|
| |||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-3.5%) | (10,262,614) | ||||||||
|
| |||||||||
OTHER ASSETS, LESS LIABILITIES (0.3%) | 1,033,955 | |||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 289,184,321 | ||||||||
|
| |||||||||
|
|
FORWARD FOREIGN CURRENCY CONTRACTS
COUNTERPARTY | LONG CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/LOSS | ||||||||||||||||||||
State Street Bank and Trust | British Pound Sterling | 09/30/21 | 10,427,000 | $ | 14,495,672 | $ | (720) | ||||||||||||||||||
|
|
| |||||||||||||||||||||||
$ | (720) | ||||||||||||||||||||||||
|
|
| |||||||||||||||||||||||
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS | ||
# | 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 $88,305. | |
^ | Security, or portion of security, is on loan. | |
* | 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. | |
| Represents investment of cash collateral received from securities on loan as of July 31, 2021. | |
FOREIGN CURRENCY ABBREVIATIONS | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
DKK | Danish Krone | |
EUR | European Monetary Unit | |
GBP | British Pound Sterling | |
HKD | Hong Kong Dollar |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
SEK | Swedish Krona | |
TWD | New Taiwan Dollar |
See accompanying Notes to Schedule of Investments
45
Calamos International Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
CURRENCY EXPOSURE JULY 31, 2021
Value | % of Total Investments | |||||||
European Monetary Unit | $ | 89,154,642 | 29.9% | |||||
US Dollar | 75,478,446 | 25.3% | ||||||
Japanese Yen | 22,628,670 | 7.6% | ||||||
Hong Kong Dollar | 21,515,175 | 7.2% | ||||||
Canadian Dollar | 18,313,191 | 6.1% | ||||||
Indian Rupee | 15,180,466 | 5.1% | ||||||
British Pound Sterling | 14,002,229 | 4.7% | ||||||
New Taiwan Dollar | 9,885,461 | 3.3% | ||||||
Danish Krone | 8,225,407 | 2.8% | ||||||
Swiss Franc | 7,326,263 | 2.5% | ||||||
South Korean Won | 6,055,190 | 2.0% | ||||||
Swedish Krona | 5,771,480 | 1.9% | ||||||
Australian Dollar | 3,065,147 | 1.0% | ||||||
Brazilian Real | 1,811,213 | 0.6% | ||||||
|
| |||||||
Total Investments | $ | 298,412,980 | 100.0% | |||||
Currency exposure may vary over time. |
|
See accompanying Notes to Schedule of Investments
46
Calamos Evolving World Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
CONVERTIBLE BONDS (8.2%) | ||||||||||
Airlines (1.0%) | ||||||||||
| 52,000,000 | | HKD | Cathay Pacific Finance III, Ltd. 2.750%, 02/05/26 | $ | 6,691,684 |
| |||
|
|
| ||||||||
Communication Services (2.7%) | ||||||||||
| 4,100,000 | | Kakao Corp. 0.000%, 04/28/23 |
| 6,221,832 |
| ||||
| 2,695,000 | | Sea, Ltd. 2.375%, 12/01/25 |
| 8,377,569 |
| ||||
| 3,200,000 | | Xiaomi Best Time International, Ltd. 0.000%, 12/17/27 |
| 3,327,808 |
| ||||
|
|
| ||||||||
17,927,209 | ||||||||||
|
|
| ||||||||
Consumer Discretionary (1.0%) | ||||||||||
| 6,700,000 | | Meituan 0.000%, 04/27/28 |
| 6,228,186 |
| ||||
|
|
| ||||||||
Financials (1.3%) | ||||||||||
| 60,000,000 | | HKD | Citigroup Global Markets Funding Luxembourg SCA 0.000%, 05/28/24 |
| 8,593,400 |
| |||
|
|
| ||||||||
Information Technology (1.1%) | ||||||||||
| 6,800,000 | | Globalwafers Company, Ltd. 0.000%, 06/01/26 |
| 7,145,372 |
| ||||
|
|
| ||||||||
Real Estate (1.1%) | ||||||||||
| 6,600,000 | | Vingroup, JSC 3.000%, 04/20/26 |
| 7,095,396 |
| ||||
|
|
| ||||||||
TOTAL CONVERTIBLE BONDS (Cost $49,360,779) | 53,681,247 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
NUMBER OF SHARES |
|
| VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS (1.6%) | ||||||||||
Consumer Discretionary (0.9%) | ||||||||||
| 30,125 | | Aptiv, PLC 5.500%, 06/15/23 |
| 5,656,270 |
| ||||
|
|
| ||||||||
Financials (0.7%) | ||||||||||
| 967,500 | | BRL | Banco Bradesco, SA 0.000%, 09/01/21 |
| 4,504,752 |
| |||
|
|
| ||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $8,653,762) | 10,161,022 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
COMMON STOCKS (86.8%) | ||||||||||
Communication Services (6.7%) | ||||||||||
19,345 | KRW | NAVER Corp. | 7,291,157 | |||||||
26,550 | Sea, Ltd.# | 7,332,048 | ||||||||
18,550 | KRW | SK Telecom Company, Ltd. | 4,858,875 | |||||||
311,400 | HKD | Tencent Holdings, Ltd. | 18,779,957 | |||||||
91,950 | Tencent Holdings, Ltd.^ | 5,627,340 | ||||||||
|
|
| ||||||||
43,889,377 | ||||||||||
|
|
|
NUMBER OF SHARES |
|
| VALUE | |||||||
Consumer Discretionary (16.8%) | ||||||||||
359,600 | HKD | Alibaba Group Holding, Ltd.# | $ | 8,782,421 | ||||||
62,935 | Alibaba Group Holding, Ltd.# | 12,284,283 | ||||||||
2,479,200 | MXN | Alsea, SAB de CV# | 5,001,680 | |||||||
83,642 | CNY | China Tourism Group Duty Free Corp., Ltd. - Class A | 3,128,351 | |||||||
923,000 | BRL | CVC Brasil Operadora e Agencia de Viagens, SA# | 3,951,980 | |||||||
119,000 | INR | Dixon Technologies India, Ltd.# | 6,893,609 | |||||||
239,000 | TWD | Eclat Textile Company, Ltd. | 5,218,083 | |||||||
32,550 | KRW | Hyundai Motor Company | 6,194,750 | |||||||
1,848,500 | INR | Indian Hotels Company, Ltd. | 3,588,972 | |||||||
112,600 | INR | Jubilant Foodworks, Ltd.# | 5,722,951 | |||||||
977,600 | HKD | Li Ning Company, Ltd. | 10,324,739 | |||||||
7,350 | EUR | LVMH Moet Hennessy Louis Vuitton, SE | 5,884,902 | |||||||
130,965 | MakeMyTrip, Ltd.#^ | 3,727,264 | ||||||||
3,626 | MercadoLibre, Inc.# | 5,688,106 | ||||||||
333,000 | ZAR | Mr Price Group, Ltd. | 4,952,307 | |||||||
3,110,700 | HKD | Samsonite International, SA#* | 5,789,942 | |||||||
219,000 | HKD | Shenzhou International Group Holdings, Ltd. | 4,860,327 | |||||||
111,300 | Trip.com Group, Ltd.# | 2,886,009 | ||||||||
89,789 | HKD | Yum China Holdings, Inc. | 5,502,179 | |||||||
|
|
| ||||||||
110,382,855 | ||||||||||
|
|
| ||||||||
Consumer Staples (3.0%) | ||||||||||
14,368 | CNY | Kweichow Moutai Company, Ltd. - Class A | 3,742,281 | |||||||
474,957 | HKD | LOccitane International, SA | 1,651,167 | |||||||
650,200 | BRL | Raia Drogasil, SA | 3,150,972 | |||||||
561,750 | INR | Varun Beverages, Ltd. | 5,724,324 | |||||||
1,695,000 | MXN | Wal-Mart de Mexico, SAB de CV | 5,584,080 | |||||||
|
|
| ||||||||
19,852,824 | ||||||||||
|
|
| ||||||||
Energy (1.6%) | ||||||||||
51,700 | Chevron Corp. | 5,263,577 | ||||||||
197,260 | INR | Reliance Industries, Ltd. | 5,411,822 | |||||||
|
|
| ||||||||
10,675,399 | ||||||||||
|
|
| ||||||||
Financials (19.3%) | ||||||||||
515,000 | HKD | AIA Group, Ltd. | 6,162,367 | |||||||
2,371,900 | IDR | Bank Central Asia, Tbk PT | 4,896,448 | |||||||
4,118,000 | IDR | Bank Jago, Tbk PT# | 5,110,502 | |||||||
3,614,000 | TWD | Cathay Financial Holding Company, Ltd. | 7,033,974 | |||||||
464,000 | TWD | Chailease Holding Company, Ltd. | 3,850,563 | |||||||
1,203,000 | HKD | China Merchants Bank Company, Ltd. - Class H | 9,151,885 | |||||||
1,458,700 | ZAR | FirstRand, Ltd. | 5,411,106 | |||||||
785,000 | MXN | Grupo Financiero Banorte, SAB de CV - Class O | 5,078,420 | |||||||
144,100 | KRW | Hana Financial Group, Inc. | 5,436,693 | |||||||
1,017,800 | INR | HDFC Bank, Ltd. | 19,566,821 | |||||||
83,800 | HKD | Hong Kong Exchanges & Clearing, Ltd. | 5,355,632 | |||||||
204,500 | INR | Housing Development Finance Corp., Ltd. | 6,735,923 | |||||||
685,075 | ICICI Bank, Ltd.^ | 12,735,544 | ||||||||
1,267,700 | Itau Unibanco Holding, SA^ | 7,314,629 | ||||||||
1,309,200 | THB | Kasikornbank PCL | 4,074,176 | |||||||
94,500 | HUF | OTP Bank Nyrt# | 5,095,997 |
See accompanying Notes to Schedule of Investments
47
Calamos Evolving World Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
320,900 | Sberbank of Russia, PJSC | $ | 5,336,567 | |||||||
359,400 | INR | SBI Cards & Payment Services, Ltd.# | 4,984,949 | |||||||
121,500 | KRW | Shinhan Financial Group Company, Ltd. | 4,118,019 | |||||||
|
|
| ||||||||
127,450,215 | ||||||||||
|
|
| ||||||||
Health Care (3.0%) | ||||||||||
553,067 | CNY | Aier Eye Hospital Group Company, Ltd. - Class A | 5,050,114 | |||||||
48,300 | CNY | Shenzhen Mindray Bio-Medical Electronics Company, Ltd. - Class A | 2,930,341 | |||||||
759,500 | HKD | Wuxi Biologics Cayman, Inc.#* | 11,600,793 | |||||||
|
|
| ||||||||
19,581,248 | ||||||||||
|
|
| ||||||||
Industrials (3.9%) | ||||||||||
416,650 | ZAR | Barloworld, Ltd. | 3,073,562 | |||||||
57,300 | CNY | Contemporary Amperex Technology Company, Ltd. - Class A | 4,917,484 | |||||||
1,667,200 | PHP | International Container Terminal Services, Inc. | 5,186,242 | |||||||
382,500 | HKD | Techtronic Industries Company, Ltd. | 6,820,848 | |||||||
410,600 | INR | Voltas, Ltd. | 5,858,102 | |||||||
|
|
| ||||||||
25,856,238 | ||||||||||
|
|
| ||||||||
Information Technology (22.1%) | ||||||||||
23,550 | Accenture, PLC - Class A | 7,481,364 | ||||||||
12,680 | EUR | ASML Holding, NV | 9,692,386 | |||||||
73,000 | TWD | eMemory Technology, Inc. | 3,433,505 | |||||||
19,600 | Globant, SA# | 4,687,536 | ||||||||
1,379,000 | TWD | Hon Hai Precision Industry Company, Ltd. | 5,449,422 | |||||||
334,700 | Infosys, Ltd. | 7,403,564 | ||||||||
316,000 | TWD | MediaTek, Inc. | 10,332,520 | |||||||
34,800 | NVIDIA Corp. | 6,785,652 | ||||||||
393,350 | KRW | Samsung Electronics Company, Ltd. | 26,880,120 | |||||||
65,600 | KRW | SK Hynix, Inc. | 6,421,995 | |||||||
1,933,649 | TWD | Taiwan Semiconductor Manufacturing Company, Ltd. | 40,412,289 | |||||||
99,275 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | 11,579,436 | ||||||||
722,995 | BRL | TOTVS, SA | 4,908,578 | |||||||
|
|
| ||||||||
145,468,367 | ||||||||||
|
|
| ||||||||
Materials (8.5%) | ||||||||||
132,700 | INR | Asian Paints, Ltd. | 5,275,362 | |||||||
1,599,100 | Cemex, SAB de CV# | 13,000,683 | ||||||||
230,700 | CAD | First Quantum Minerals, Ltd.^ | 4,940,930 | |||||||
8,290 | KRW | LG Chem, Ltd. | 6,089,035 | |||||||
20,150 | KRW | POSCO | 6,408,842 | |||||||
579,600 | INR | Tata Steel, Ltd. | 11,201,388 | |||||||
325,700 | INR | UPL, Ltd. | 3,532,774 | |||||||
263,500 | Vale, SA - Class B | 5,538,770 | ||||||||
|
|
| ||||||||
55,987,784 | ||||||||||
|
|
| ||||||||
Real Estate (1.9%) | ||||||||||
9,442,000 | PHP | Ayala Land, Inc. | 6,176,921 |
NUMBER OF SHARES |
|
| VALUE | |||||||
285,800 | INR | Godrej Properties, Ltd.# | $ | 6,189,166 | ||||||
|
|
| ||||||||
12,366,087 | ||||||||||
|
|
| ||||||||
TOTAL COMMON STOCKS (Cost $481,641,968) | 571,510,394 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
PURCHASED OPTIONS (1.6%) # | ||||||||||
Communication Services (0.3%) | ||||||||||
766 | Sea, Ltd. | |||||||||
21,153,856 | Call, 01/21/22, Strike $300.00 | 1,865,210 | ||||||||
|
|
| ||||||||
Consumer Discretionary (0.1%) | ||||||||||
2,700 | Coupang, Inc. | |||||||||
9,806,400 | Call, 01/21/22, Strike $45.00 | 742,500 | ||||||||
|
|
| ||||||||
Information Technology (0.1%) | ||||||||||
2,925 | Kraneshares Csi China Internet | |||||||||
14,759,550 | Call, 01/21/22, Strike $60.00 | 742,950 | ||||||||
|
|
| ||||||||
Other (1.1%) | ||||||||||
13,400 | iShares MSCI Emerging Markets | |||||||||
69,144,000 | Put, 09/30/21, Strike $53.00 | 3,296,400 | ||||||||
12,690 | VanEck Vectors Russia ETF | |||||||||
36,509,130 | Call, 01/21/22, Strike $27.00 | 3,489,750 | ||||||||
4,000 | Xtrackers Harvest CSI 300 China | |||||||||
15,064,000 | A ETF Call, 01/21/22, Strike $40.00 | 504,000 | ||||||||
|
|
| ||||||||
7,290,150 | ||||||||||
|
|
| ||||||||
TOTAL PURCHASED OPTIONS (Cost $9,543,252) | 10,640,810 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (1.8%) | | ||||||||
11,960,871 | State Street Navigator Securities Lending Government Money Market Portfolio (Cost $11,960,871) | 11,960,871 | ||||||||
|
|
| ||||||||
|
|
| ||||||||
| TOTAL INVESTMENTS (100.0%) | 657,954,344 | ||||||||
|
|
| ||||||||
|
|
| ||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-1.8%) | (11,960,871) | ||||||||
|
|
| ||||||||
OTHER ASSETS, LESS LIABILITIES (1.8%) | 12,254,585 | |||||||||
|
|
| ||||||||
NET ASSETS (100.0%) | $ | 658,248,058 | ||||||||
|
|
| ||||||||
|
|
|
See accompanying Notes to Schedule of Investments
48
Calamos Evolving World Growth Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NOTES TO SCHEDULE OF INVESTMENTS | ||
# | Non-income producing security. | |
^ | Security, or portion of security, is on loan. | |
* | 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. | |
| Represents investment of cash collateral received from securities on loan as of July 31, 2021. | |
FOREIGN CURRENCY ABBREVIATIONS | ||
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CNY | Chinese Yuan Renminbi | |
EUR | European Monetary Unit | |
HKD | Hong Kong Dollar | |
HUF | Hungarian Forint | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
PHP | Philippine Peso | |
THB | Thai Baht | |
TWD | New Taiwan Dollar | |
ZAR | South African Rand |
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.
CURRENCY EXPOSURE JULY 31, 2021
Value | % of Total Investments | ||||||||
US Dollar | $ | 191,326,487 | 29.1% | ||||||
Hong Kong Dollar | 110,067,341 | 16.7% | |||||||
Indian Rupee | 90,686,163 | 13.8% | |||||||
New Taiwan Dollar | 75,730,356 | 11.5% | |||||||
South Korean Won | 73,699,486 | 11.2% | |||||||
Chinese Yuan Renminbi | 19,768,571 | 3.0% | |||||||
Brazilian Real | 16,516,282 | 2.5% | |||||||
Mexican Peso | 15,664,179 | 2.4% | |||||||
European Monetary Unit | 15,577,288 | 2.4% | |||||||
South African Rand | 13,436,975 | 2.0% | |||||||
Philippine Peso | 11,363,163 | 1.7% | |||||||
Indonesian Rupiah | 10,006,950 | 1.5% | |||||||
Hungarian Forint | 5,095,997 | 0.8% | |||||||
Canadian Dollar | 4,940,930 | 0.8% | |||||||
Thai Baht | 4,074,176 | 0.6% | |||||||
|
| ||||||||
Total Investments | $ | 657,954,344 | 100.0% | ||||||
Currency exposure may vary over time. |
See accompanying Notes to Schedule of Investments
49
Calamos Global Equity Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
COMMON STOCKS (99.5%) | ||||||||||
Communication Services (9.0%) | ||||||||||
1,210 | Alphabet, Inc. - Class A# | $ | 3,260,381 | |||||||
5,435 |
| Facebook, Inc. - Class A# | 1,936,491 | |||||||
7,725 | Sea, Ltd.# | 2,133,336 | ||||||||
35,000 | HKD | Tencent Holdings, Ltd. | 2,110,785 | |||||||
14,839 | Walt Disney Company# | 2,611,961 | ||||||||
|
| |||||||||
12,052,954 | ||||||||||
|
| |||||||||
Consumer Discretionary (16.6%) | ||||||||||
8,785 | Alibaba Group Holding, Ltd.# | 1,714,744 | ||||||||
1,275 | Amazon.com, Inc.#~ | 4,242,677 | ||||||||
14,555 | Aptiv, PLC# | 2,428,502 | ||||||||
17,280 | Caesars Entertainment, Inc.# | 1,509,581 | ||||||||
1,265 | Chipotle Mexican Grill, Inc. - Class A# | 2,357,252 | ||||||||
65,400 | GBP | Compass Group, PLC# | 1,381,894 | |||||||
14,650 | DR Horton, Inc. | 1,398,049 | ||||||||
44,000 | General Motors Company# | 2,500,960 | ||||||||
157,500 | HKD | Li Ning Company, Ltd. | 1,663,407 | |||||||
2,520 | Lululemon Athletica, Inc.# | 1,008,428 | ||||||||
2,550 | EUR | LVMH Moet Hennessy Louis Vuitton, SE | 2,041,701 | |||||||
|
| |||||||||
22,247,195 | ||||||||||
|
| |||||||||
Consumer Staples (2.8%) | ||||||||||
16,100 | Celsius Holdings, Inc.# | 1,104,943 | ||||||||
3,230 | Costco Wholesale Corp. | 1,387,996 | ||||||||
20,700 | Mondelez International, Inc. - Class A | 1,309,482 | ||||||||
|
| |||||||||
3,802,421 | ||||||||||
|
| |||||||||
Energy (1.7%) | ||||||||||
15,850 | Chevron Corp. | 1,613,688 | ||||||||
4,450 | Pioneer Natural Resources Company | 646,897 | ||||||||
|
| |||||||||
2,260,585 | ||||||||||
|
| |||||||||
Financials (12.4%) | ||||||||||
53,025 | Bank of America Corp. | 2,034,039 | ||||||||
108,290 | INR | HDFC Bank, Ltd. | 2,081,834 | |||||||
15,400 | HKD | Hong Kong Exchanges & Clearing, Ltd. | 984,209 | |||||||
53,000 | ICICI Bank, Ltd.^ | 985,270 | ||||||||
134,900 | EUR | ING Groep, NV | 1,730,861 | |||||||
13,250 | JPMorgan Chase & Company | 2,011,085 | ||||||||
2,159,933 | GBP | Lloyds Banking Group, PLC | 1,365,654 | |||||||
14,050 | Morgan Stanley | 1,348,519 | ||||||||
20,700 | EUR | NN Group, NV | 1,029,129 | |||||||
94,800 | UBS Group, AG#^ | 1,562,304 | ||||||||
34,200 | Wells Fargo & Company | 1,571,148 | ||||||||
|
| |||||||||
16,704,052 | ||||||||||
|
| |||||||||
Health Care (11.1%) | ||||||||||
47,475 | Alcon, Inc.^ | 3,456,180 | ||||||||
4,600 | Danaher Corp. | 1,368,454 | ||||||||
7,000 | Eli Lilly & Company | 1,704,500 | ||||||||
10,050 | Horizon Therapeutics, PLC# | 1,005,201 | ||||||||
1,400 | Illumina, Inc.# | 694,050 | ||||||||
14,800 | LivaNova, PLC# | 1,277,240 | ||||||||
2,220 | CHF | Lonza Group, AG | 1,728,548 | |||||||
18,750 | Novo Nordisk, A/S | 1,736,250 |
NUMBER OF SHARES |
|
| VALUE | |||||||
1,920 | UnitedHealth Group, Inc. | $ | 791,462 | |||||||
79,000 | HKD | Wuxi Biologics Cayman, Inc.#* | 1,206,666 | |||||||
|
| |||||||||
14,968,551 | ||||||||||
|
| |||||||||
Industrials (9.4%) | ||||||||||
50,900 | CAD | CAE, Inc.# | 1,553,193 | |||||||
29,400 | EUR | Deutsche Post, AG | 1,992,472 | |||||||
5,300 | JPY | FANUC Corp. | 1,187,028 | |||||||
9,000 | JPY | Nidec Corp. | 1,010,191 | |||||||
20,300 | Quanta Services, Inc. | 1,845,270 | ||||||||
19,300 | JPY | Recruit Holdings Company, Ltd. | 1,000,331 | |||||||
40,000 | SEK | Sandvik, AB | 1,043,052 | |||||||
10,750 | EUR | Schneider Electric, SE | 1,800,499 | |||||||
23,000 | Southwest Airlines Company# | 1,161,960 | ||||||||
|
| |||||||||
12,593,996 | ||||||||||
|
| |||||||||
Information Technology (30.4%) | ||||||||||
4,650 | Accenture, PLC - Class A | 1,477,212 | ||||||||
2,930 | Adobe, Inc.# | 1,821,376 | ||||||||
879 | EUR | Adyen, NV#* | 2,382,133 | |||||||
21,050 | Apple, Inc. | 3,070,353 | ||||||||
5,678 | EUR | ASML Holding, NV | 4,340,171 | |||||||
8,200 | JPY | Fujitsu, Ltd. | 1,395,069 | |||||||
4,100 | JPY | Keyence Corp. | 2,283,710 | |||||||
2,150 | Lam Research Corp. | 1,370,432 | ||||||||
4,090 | Mastercard, Inc. - Class A | 1,578,495 | ||||||||
14,320 | Microsoft Corp. | 4,079,911 | ||||||||
21,480 | NVIDIA Corp. | 4,188,385 | ||||||||
19,203 | Oracle Corp. | 1,673,349 | ||||||||
6,085 | PayPal Holdings, Inc.# | 1,676,600 | ||||||||
12,850 | KRW | Samsung Electronics Company, Ltd. | 878,123 | |||||||
19,550 | Shift4 Payments, Inc. - Class A#^ | 1,743,665 | ||||||||
1,180 | Shopify, Inc. - Class A# | 1,769,917 | ||||||||
124,000 | TWD | Taiwan Semiconductor Manufacturing Company, Ltd. | 2,591,538 | |||||||
20,800 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | 2,426,112 | ||||||||
|
| |||||||||
40,746,551 | ||||||||||
|
| |||||||||
Materials (5.1%) | ||||||||||
39,375 | EUR | ArcelorMittal, SA | 1,375,189 | |||||||
199,000 | Cemex, SAB de CV# | 1,617,870 | ||||||||
36,100 | Freeport-McMoRan, Inc. | 1,375,410 | ||||||||
27,800 | AUD | James Hardie Industries, PLC | 937,931 | |||||||
5,800 | PPG Industries, Inc. | 948,416 | ||||||||
28,400 | INR | Tata Steel, Ltd. | 548,860 | |||||||
|
| |||||||||
6,803,676 | ||||||||||
|
| |||||||||
Real Estate (1.0%) | ||||||||||
59,750 | INR | Godrej Properties, Ltd.# | 1,293,921 | |||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost $85,786,892) |
| 133,473,902 |
| |||||||
|
| |||||||||
|
|
See accompanying Notes to Schedule of Investments
50
Calamos Global Equity Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (2.6%) | | ||||||||
3,532,305 | State Street Navigator Securities Lending Government Money Market Portfolio (Cost $3,532,305) | $ | 3,532,305 | |||||||
|
| |||||||||
|
| |||||||||
| TOTAL INVESTMENTS (102.1%) (Cost $89,319,197) | 137,006,207 | ||||||||
|
| |||||||||
|
| |||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-2.6%) | (3,532,305 | ) | |||||||
|
| |||||||||
OTHER ASSETS, LESS LIABILITIES (0.5%) | 686,877 | |||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 134,160,779 | ||||||||
|
| |||||||||
|
|
FORWARD FOREIGN CURRENCY CONTRACTS
LONG | SETTLEMENT | LOCAL | CURRENT | UNREALIZED | |||||||||||||||||||||
COUNTERPARTY | CONTRACTS | DATE | CURRENCY | VALUE | GAIN/LOSS | ||||||||||||||||||||
State Street Bank and Trust | British Pound Sterling | 09/30/21 | 1,623,000 | $ | 2,256,303 | $ | (112) | ||||||||||||||||||
|
| ||||||||||||||||||||||||
$ | (112) | ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS
# | 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 $16,638. |
^ | Security, or portion of security, is on loan. |
* | 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. |
| Represents investment of cash collateral received from securities on loan as of July 31, 2021. |
FOREIGN CURRENCY ABBREVIATIONS
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
EUR | European Monetary Unit |
GBP | British Pound Sterling |
HKD | Hong Kong Dollar |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
SEK | Swedish Krona |
TWD | New Taiwan Dollar |
See accompanying Notes to Schedule of Investments
51
Calamos Global Equity Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
CURRENCY EXPOSURE JULY 31, 2021 | ||||||
Value | % of Total Investments | |||||
US Dollar | $ | 92,068,108 | 67.2% | |||
European Monetary Unit | 16,692,155 | 12.2% | ||||
Japanese Yen | 6,876,329 | 5.0% | ||||
Hong Kong Dollar | 5,965,067 | 4.3% | ||||
Indian Rupee | 3,924,615 | 2.9% | ||||
British Pound Sterling | 2,747,548 | 2.0% | ||||
New Taiwan Dollar | 2,591,538 | 1.9% | ||||
Swiss Franc | 1,728,548 | 1.3% | ||||
Canadian Dollar | 1,553,193 | 1.1% | ||||
Swedish Krona | 1,043,052 | 0.8% | ||||
Australian Dollar | 937,931 | 0.7% | ||||
South Korean Won | 878,123 | 0.6% | ||||
|
| |||||
Total Investments | $ | 137,006,207 | 100.0% | |||
Currency exposure may vary over time. |
See accompanying Notes to Schedule of Investments
52
Calamos Global Opportunities Fund (formerly, Global Growth and Income Fund)
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
CONVERTIBLE BONDS (21.4%) | ||||||||||
Communication Services (2.8%) | ||||||||||
1,333,000 | Eventbrite, Inc.* 0.750%, 09/15/26 | $ | 1,260,618 | |||||||
2,460,000 | Liberty Media Corp.* 0.500%, 12/01/50 | 2,724,253 | ||||||||
735,000 | Live Nation Entertainment, Inc. 2.500%, 03/15/23 | 958,227 | ||||||||
710,000 | Sea, Ltd. 2.375%, 12/01/25 | 2,207,078 | ||||||||
|
| |||||||||
7,150,176 | ||||||||||
|
| |||||||||
Consumer Discretionary (8.7%) | ||||||||||
1,265,000 | Booking Holdings, Inc.^ 0.750%, 05/01/25 | 1,785,674 | ||||||||
2,475,000 | Cheesecake Factory, Inc. 0.375%, 06/15/26 | 2,321,798 | ||||||||
5,131,000 | Ford Motor Company* 0.000%, 03/15/26 | 5,498,123 | ||||||||
2,000,000 | EUR | Global Fashion Group, SA 1.250%, 03/15/28 | 2,365,690 | |||||||
2,875,000 | Marriott Vacations Worldwide Corp.* 0.000%, 01/15/26 | 3,074,036 | ||||||||
1,175,000 | Shake Shack, Inc.* 0.000%, 03/01/28 | 1,101,104 | ||||||||
139,000 | Tesla, Inc. 2.375%, 03/15/22 | 1,457,486 | ||||||||
3,606,000 | Vail Resorts, Inc.* 0.000%, 01/01/26 | 3,641,014 | ||||||||
800,000 | GBP | WH Smith, PLC 1.625%, 05/07/26 | 1,091,273 | |||||||
|
| |||||||||
22,336,198 | ||||||||||
|
| |||||||||
Consumer Staples (0.8%) | ||||||||||
Premium Brands Holdings Corp. | ||||||||||
1,330,000 | CAD | 4.200%, 09/30/27 | 1,191,915 | |||||||
918,000 | CAD | 4.600%, 12/31/23 | 888,082 | |||||||
|
| |||||||||
2,079,997 | ||||||||||
|
| |||||||||
Financials (1.9%) | ||||||||||
18,000,000 | HKD | Citigroup Global Markets Funding Luxembourg SCA 0.000%, 05/28/24 | 2,578,020 | |||||||
1,220,000 | Realogy Group, LLC / Realogy Co-Issuer Corp.* 0.250%, 06/15/26 | 1,235,811 | ||||||||
110,000,000 | JPY | SBI Holdings, Inc. 0.000%, 07/25/25 | 1,091,608 | |||||||
|
| |||||||||
4,905,439 | ||||||||||
|
| |||||||||
Health Care (1.3%) | ||||||||||
800,000 | Jazz Investments I, Ltd. 2.000%, 06/15/26 | 1,037,160 | ||||||||
1,515,000 | LivaNova USA, Inc. 3.000%, 12/15/25 | 2,396,366 | ||||||||
|
| |||||||||
3,433,526 | ||||||||||
|
|
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
Industrials (2.8%) | ||||||||||
1,300,000 | EUR | Duerr, AG 0.750%, 01/15/26 | $ | 2,019,766 | ||||||
2,365,000 | JetBlue Airways Corp.* 0.500%, 04/01/26 | 2,339,103 | ||||||||
1,205,000 | John Bean Technologies Corp.* 0.250%, 05/15/26 | 1,299,460 | ||||||||
1,129,000 | Southwest Airlines Company 1.250%, 05/01/25 | 1,658,840 | ||||||||
|
| |||||||||
7,317,169 | ||||||||||
|
| |||||||||
Information Technology (2.1%) | ||||||||||
1,185,000 | ON Semiconductor Corp.* 0.000%, 05/01/27 | 1,261,077 | ||||||||
1,370,000 | Shift4 Payments, Inc.* 0.000%, 12/15/25 | 1,782,521 | ||||||||
2,015,000 | Square, Inc.*^ 0.250%, 11/01/27 | 2,377,599 | ||||||||
|
| |||||||||
5,421,197 | ||||||||||
|
| |||||||||
Materials (0.5%) | ||||||||||
1,050,000 | Ivanhoe Mines, Ltd.* 2.500%, 04/15/26 | 1,313,561 | ||||||||
|
| |||||||||
Real Estate (0.5%) | ||||||||||
1,300,000 | Redfin Corp.* 0.500%, 04/01/27 | 1,251,887 | ||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS (Cost $50,414,849) | 55,209,150 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES |
|
| VALUE | |||||||
| CONVERTIBLE PREFERRED STOCKS (9.5%) | |||||||||
Communication Services (1.3%) | ||||||||||
2,670 | 2020 Cash Mandatory Exchangeable Trust* 5.250%, 06/01/23 | 3,378,431 | ||||||||
|
| |||||||||
Consumer Discretionary (1.6%) | ||||||||||
22,122 | Aptiv, PLC 5.500%, 06/15/23 | 4,153,627 | ||||||||
|
| |||||||||
Financials (0.8%) | ||||||||||
24,300 | KKR & Company, Inc.^ 6.000%, 09/15/23 | 2,017,872 | ||||||||
|
| |||||||||
Health Care (2.0%) | ||||||||||
2,620 | Danaher Corp. 4.750%, 04/15/22 | 5,221,005 | ||||||||
|
| |||||||||
Industrials (1.9%) | ||||||||||
12,600 | Clarivate, PLC 5.250%, 06/01/24 | 1,145,340 | ||||||||
31,187 | Stanley Black & Decker, Inc.^ 5.250%, 11/15/22 | 3,680,066 | ||||||||
|
| |||||||||
4,825,406 | ||||||||||
|
|
See accompanying Notes to Schedule of Investments
53
Calamos Global Opportunities Fund (formerly, Global Growth and Income Fund)
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
Information Technology (0.7%) | ||||||||||
1,255 | Broadcom, Inc. 8.000%, 09/30/22 | $ | 1,938,147 | |||||||
|
| |||||||||
Utilities (1.2%) | ||||||||||
11,700 | AES Corp. 6.875%, 02/15/24 | 1,186,146 | ||||||||
32,389 | NextEra Energy, Inc. 4.872%, 09/01/22 | 1,903,501 | ||||||||
|
| |||||||||
3,089,647 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $18,376,662) | 24,624,135 | |||||||||
|
| |||||||||
|
| |||||||||
COMMON STOCKS (65.2%) | ||||||||||
Communication Services (4.0%) | ||||||||||
7,300 | Facebook, Inc. - Class A# | 2,600,990 | ||||||||
56,300 | HKD | Tencent Holdings, Ltd. | 3,395,349 | |||||||
24,280 | Walt Disney Company#~ | 4,273,765 | ||||||||
|
| |||||||||
10,270,104 | ||||||||||
|
| |||||||||
Consumer Discretionary (5.3%) | ||||||||||
8,500 | Alibaba Group Holding, Ltd.# | 1,659,115 | ||||||||
400 | Amazon.com, Inc.# | 1,331,036 | ||||||||
1,400 | Chipotle Mexican Grill, Inc. - Class A# | 2,608,816 | ||||||||
21,232 | DR Horton, Inc. | 2,026,170 | ||||||||
42,100 | General Motors Company# | 2,392,964 | ||||||||
4,615 | EUR | LVMH Moet Hennessy Louis Vuitton, SE | 3,695,078 | |||||||
|
| |||||||||
13,713,179 | ||||||||||
|
| |||||||||
Consumer Staples (3.8%) | ||||||||||
20,000 | Celsius Holdings, Inc.# | 1,372,600 | ||||||||
58,250 | Coca-Cola Company~ | 3,321,997 | ||||||||
6,090 | Costco Wholesale Corp. | 2,616,995 | ||||||||
40,300 | Mondelez International, Inc. - Class A | 2,549,378 | ||||||||
|
| |||||||||
9,860,970 | ||||||||||
|
| |||||||||
Energy (2.0%) | ||||||||||
33,200 | CAD | Canadian Natural Resources, Ltd. | 1,095,578 | |||||||
29,500 | Chevron Corp. | 3,003,395 | ||||||||
57,400 | GBP | Royal Dutch Shell, PLC | 1,153,795 | |||||||
|
| |||||||||
5,252,768 | ||||||||||
|
| |||||||||
Financials (11.7%) | ||||||||||
100,510 | Bank of America Corp.~ | 3,855,564 | ||||||||
174,800 | INR | HDFC Bank, Ltd. | 3,360,464 | |||||||
264,300 | EUR | ING Groep, NV | 3,391,152 | |||||||
611,200 | EUR | Intesa Sanpaolo, S.p.A | 1,688,468 | |||||||
32,525 | JPMorgan Chase & Company~ | 4,936,645 | ||||||||
34,550 | Morgan Stanley | 3,316,109 | ||||||||
39,200 | EUR | NN Group, NV | 1,948,881 | |||||||
188,000 | UBS Group, AG^# | 3,098,240 | ||||||||
96,300 | Wells Fargo & Company | 4,424,022 | ||||||||
|
| |||||||||
30,019,545 | ||||||||||
|
| |||||||||
Health Care (6.9%) | ||||||||||
105,186 | Alcon, Inc.^ | 7,657,541 | ||||||||
11,500 | Eli Lilly & Company | 2,800,250 | ||||||||
2,500 | CHF | Lonza Group, AG | 1,946,563 |
NUMBER OF SHARES |
|
| VALUE | |||||||
37,900 | Novo Nordisk, A/S | $ | 3,509,540 | |||||||
4,650 | UnitedHealth Group, Inc. | 1,916,823 | ||||||||
|
| |||||||||
17,830,717 | ||||||||||
|
| |||||||||
Industrials (6.2%) | ||||||||||
41,000 | CAE, Inc.# | 1,251,730 | ||||||||
8,500 | Caterpillar, Inc. | 1,757,375 | ||||||||
44,100 | EUR | Deutsche Post, AG | 2,988,709 | |||||||
6,400 | JPY | FANUC Corp. | 1,433,392 | |||||||
23,450 | EUR | Schneider Electric, SE | 3,927,601 | |||||||
8,950 | Union Pacific Corp. | 1,957,902 | ||||||||
18,700 | Waste Management, Inc. | 2,772,462 | ||||||||
|
| |||||||||
16,089,171 | ||||||||||
|
| |||||||||
Information Technology (20.9%) | ||||||||||
8,600 | Accenture, PLC - Class A | 2,732,048 | ||||||||
1,350 | EUR | Adyen, NV*# | 3,658,566 | |||||||
40,040 | Apple, Inc. | 5,840,235 | ||||||||
10,830 | EUR | ASML Holding, NV | 8,278,276 | |||||||
15,300 | JPY | Fujitsu, Ltd. | 2,602,995 | |||||||
7,300 | JPY | Keyence Corp. | 4,066,118 | |||||||
27,980 | Microsoft Corp.~ | 7,971,782 | ||||||||
24,800 | NVIDIA Corp. | 4,835,752 | ||||||||
47,110 | Oracle Corp. | 4,105,165 | ||||||||
18,600 | KRW | Samsung Electronics Company, Ltd. | 1,271,057 | |||||||
374,000 | TWD | Taiwan Semiconductor Manufacturing Company, Ltd. | 7,816,412 | |||||||
6,000 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | 699,840 | ||||||||
|
| |||||||||
53,878,246 | ||||||||||
|
| |||||||||
Materials (4.4%) | ||||||||||
71,800 | EUR | ArcelorMittal, SA | 2,507,645 | |||||||
254,800 | Cemex, SAB de CV# | 2,071,524 | ||||||||
49,900 | EUR | CRH, PLC | 2,493,955 | |||||||
64,900 | Freeport-McMoRan, Inc. | 2,472,690 | ||||||||
10,100 | PPG Industries, Inc. | 1,651,552 | ||||||||
|
| |||||||||
11,197,366 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost $119,595,408) | 168,112,066 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
PURCHASED OPTIONS (2.3%) # | ||||||||||
Communication Services (1.3%) | ||||||||||
28 | Alphabet, Inc. | |||||||||
7,544,684 | Call, 01/21/22, Strike $1,500.00 | 3,370,220 | ||||||||
|
| |||||||||
Consumer Discretionary (0.7%) | ||||||||||
21 | Amazon.com, Inc. | |||||||||
6,987,939 | Call, 01/21/22, Strike $2,500.00 | 1,829,100 | ||||||||
|
| |||||||||
Energy (0.0%) | ||||||||||
90 | Pioneer Natural Resources Company | |||||||||
1,308,330 | Call, 09/17/21, Strike $170.00 | 15,750 | ||||||||
|
|
See accompanying Notes to Schedule of Investments
54
Calamos Global Opportunities Fund (formerly, Global Growth and Income Fund)
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
Information Technology (0.1%) | ||||||||||
45 | Adobe, Inc. | |||||||||
2,797,335 | Call, 01/21/22, Strike $600.00 | $ | 270,000 | |||||||
|
| |||||||||
Other (0.2%) | ||||||||||
530 | Invesco QQQ Trust Series | |||||||||
19,322,210 | Put, 09/30/21, Strike $335.00 | 220,480 | ||||||||
440 | SPDR S&P 500 ETF Trust | |||||||||
19,294,440 | Put, 09/30/21, Strike $405.00 | 189,200 | ||||||||
|
| |||||||||
409,680 | ||||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS (Cost $2,257,119) | 5,894,750 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (4.1%) | | ||||||||
10,615,135 | State Street Navigator Securities Lending Government Money Market Portfolio (Cost $10,615,135) | 10,615,135 | ||||||||
|
| |||||||||
|
| |||||||||
| TOTAL INVESTMENTS (102.5%) | 264,455,236 | ||||||||
|
| |||||||||
|
| |||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-4.1%) | (10,615,135 | ) | |||||||
|
| |||||||||
OTHER ASSETS, LESS LIABILITIES (1.6%) | 4,059,835 | |||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 257,899,936 | ||||||||
|
| |||||||||
|
|
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. | |
# | 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 $3,053,160. | |
| Represents investment of cash collateral received from securities on loan as of July 31, 2021. | |
FOREIGN CURRENCY ABBREVIATIONS | ||
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
EUR | European Monetary Unit | |
GBP | British Pound Sterling | |
HKD | Hong Kong Dollar |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
TWD | New Taiwan Dollar |
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
55
Calamos Global Opportunities Fund (formerly, Global Growth and Income Fund)
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
CURRENCY EXPOSURE JULY 31, 2021
Value | % of Total Investments | ||||||||
US Dollar | $ | 190,508,828 | 72.0% | ||||||
European Monetary Unit | 38,963,787 | 14.7% | |||||||
Japanese Yen | 9,194,113 | 3.5% | |||||||
New Taiwan Dollar | 7,816,412 | 3.0% | |||||||
Hong Kong Dollar | 5,973,369 | 2.3% | |||||||
Indian Rupee | 3,360,464 | 1.3% | |||||||
Canadian Dollar | 3,175,575 | 1.2% | |||||||
British Pound Sterling | 2,245,068 | 0.8% | |||||||
Swiss Franc | 1,946,563 | 0.7% | |||||||
South Korean Won | 1,271,057 | 0.5% | |||||||
|
| ||||||||
Total Investments | $ | 264,455,236 | 100.0% | ||||||
Currency exposure may vary over time. |
See accompanying Notes to Schedule of Investments
56
Calamos Total Return Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
CORPORATE BONDS (50.7%) | ||||||||||
Airlines (2.2%) | ||||||||||
234,288 | Air Canada Pass Through Trust Series 2015-1, Class B* | $ | 237,448 | |||||||
113,834 | Air Canada Pass Through Trust Series 2015-2, Class AA* 3.750%, 06/15/29 | 117,868 | ||||||||
206,573 | Alaska Airlines Pass Through Trust Series 2020-1, Class A* | 229,187 | ||||||||
96,736 | Alaska Airlines Pass Through Trust Series 2020-1, Class B* | 108,167 | ||||||||
134,347 | British Airways Pass Through Trust Series 2019-1, Class A* | 134,457 | ||||||||
140,855 | JetBlue Pass Through Trust Series 2019-1, Class AA | 142,346 | ||||||||
166,818 | JetBlue Pass Through Trust Series 2020-1, Class B | 197,436 | ||||||||
75,000 | Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.* | 84,611 | ||||||||
69,569 | UAL Pass Through Trust Series 2007-1 | 72,040 | ||||||||
122,473 | United Airlines Pass Through Trust Series 2014-2, Class B 4.625%, 03/03/24 | 125,453 | ||||||||
155,160 | United Airlines Pass Through Trust Series 2018-1, Class B | 159,499 | ||||||||
|
| |||||||||
1,608,512 | ||||||||||
|
| |||||||||
Communication Services (2.7%) | ||||||||||
250,000 | AT&T, Inc. | 253,895 | ||||||||
150,000 | Cogent Communications Group, Inc.* | 154,580 | ||||||||
250,000 | Comcast Corp. | 292,275 | ||||||||
110,000 | Crown Castle Towers, LLC* 3.720%, 07/15/43 | 113,737 | ||||||||
175,000 | Electronic Arts, Inc. 4.800%, 03/01/26 | 202,643 | ||||||||
110,000 | Hughes Satellite Systems Corp. 5.250%, 08/01/26 | 123,255 | ||||||||
250,000 | NTT Finance Corp.* 1.591%, 04/03/28 | 251,735 | ||||||||
125,000 | Sirius XM Radio, Inc.* 3.875%, 08/01/22 | 125,000 | ||||||||
100,000 | United States Cellular Corp. 6.700%, 12/15/33 | 124,575 | ||||||||
255,000 | Verizon Communications, Inc. 4.016%, 12/03/29 | 295,012 | ||||||||
|
| |||||||||
1,936,707 | ||||||||||
|
|
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
Consumer Discretionary (3.8%) | ||||||||||
150,000 | American Honda Finance Corp. 2.350%, 01/08/27 | $ | 159,402 | |||||||
130,000 | Delta Air Lines Pass Through Trust Series 2019-1, Class AA | 137,257 | ||||||||
200,000 | Ford Motor Credit Company, LLC 4.000%, 11/13/30 | 211,868 | ||||||||
100,000 | goeasy, Ltd.* | 103,164 | ||||||||
250,000 | Home Depot, Inc. | 273,657 | ||||||||
125,000 | Lennar Corp. | 136,160 | ||||||||
200,000 | Lowes Companies, Inc. | 221,754 | ||||||||
250,000 | M/I Homes, Inc. | 257,458 | ||||||||
175,000 | Macys, Inc.* | 190,934 | ||||||||
250,000 | Mattel, Inc.* | 260,277 | ||||||||
125,000 | MGM Resorts International | 132,149 | ||||||||
200,000 | Newell Brands, Inc. | 223,080 | ||||||||
100,000 | NIKE, Inc. | 109,979 | ||||||||
125,000 | Nordstrom, Inc. | 124,710 | ||||||||
200,000 | Toll Brothers Finance Corp. 4.350%, 02/15/28 | 222,426 | ||||||||
|
| |||||||||
2,764,275 | ||||||||||
|
| |||||||||
Consumer Staples (2.6%) | ||||||||||
250,000 | Anheuser-Busch InBev Worldwide, Inc. | 281,227 | ||||||||
250,000 | Archer-Daniels-Midland Company 3.250%, 03/27/30 | 280,652 | ||||||||
250,000 | Costco Wholesale Corp. | 250,008 | ||||||||
175,000 | Edgewell Personal Care Company* 4.125%, 04/01/29 | 176,241 | ||||||||
250,000 | Hershey Company | 252,593 | ||||||||
200,000 | Kimberly-Clark Corp. | 224,030 | ||||||||
150,000 | Land O Lakes, Inc.* | 158,153 | ||||||||
250,000 | Walmart, Inc. | 275,267 | ||||||||
|
| |||||||||
1,898,171 | ||||||||||
|
| |||||||||
Energy (0.4%) | ||||||||||
175,000 | Energy Transfer, LP | 144,424 | ||||||||
150,000 | EQT Corp.* | 154,434 | ||||||||
|
| |||||||||
298,858 | ||||||||||
|
|
See accompanying Notes to Schedule of Investments
57
Calamos Total Return Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
Financials (19.8%) | ||||||||||
115,000 | Ally Financial, Inc. | $ | 120,863 | |||||||
100,000 | 8.000%, 11/01/31 | 145,792 | ||||||||
250,000 | American Express Company | 268,112 | ||||||||
150,000 | Ares Capital Corp. | 159,255 | ||||||||
200,000 | Aviation Capital Group, LLC* | 213,022 | ||||||||
250,000 | AXIS Specialty Finance, PLC | 279,730 | ||||||||
200,000 | Bank of America Corp. | 203,808 | ||||||||
150,000 | 3.366%, 01/23/26 | 161,609 | ||||||||
250,000 | Bank of Montreal 3.300%, 02/05/24 | 267,612 | ||||||||
75,000 | 4.800%, 08/25/24 | 80,340 | ||||||||
250,000 | Barclays, PLC 1 year CMT + 0.80% | 250,937 | ||||||||
150,000 | Berkshire Hathaway Finance Corp. 4.250%, 01/15/49 | 190,923 | ||||||||
125,000 | BP Capital Markets, PLC 4.875%, 03/22/30 | 137,966 | ||||||||
175,000 | Brookfield Finance, Inc. | 183,978 | ||||||||
150,000 | Capital One Financial Corp. | 151,407 | ||||||||
150,000 | Caterpillar Financial Services Corp. 2.150%, 11/08/24 | 157,395 | ||||||||
200,000 | Charles Schwab Corp.^ | 209,612 | ||||||||
250,000 | CIT Bank NA | 263,532 | ||||||||
250,000 | Citigroup, Inc. | 256,892 | ||||||||
250,000 | Credit Suisse Group, AG* | 246,855 | ||||||||
250,000 | CyrusOne, LP / CyrusOne 2.900%, 11/15/24 | 263,782 | ||||||||
200,000 | Danske Bank, A/S* | 200,618 | ||||||||
350,000 | Discover Bank | 384,468 | ||||||||
150,000 | Duke Realty, LP | 161,204 | ||||||||
200,000 | Essential Properties, LP | 202,944 | ||||||||
200,000 | Essex Portfolio, LP | 200,388 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
200,000 | Federation des Caisses | $ | 207,964 | |||||||
200,000 | Fifth Third Bancorp | 213,328 | ||||||||
125,000 | Franklin Resources, Inc.^ | 134,491 | ||||||||
182,000 | Global Net Lease, Inc. / Global | 180,773 | ||||||||
125,000 | Globe Life, Inc. | 148,031 | ||||||||
150,000 | Goldman Sachs Group, Inc. 3.800%, 05/10/26^ | 153,033 | ||||||||
125,000 | 3.814%, 04/23/29 | 140,849 | ||||||||
150,000 | HAT Holdings I, LLC / HAT Holdings II, LLC* 3.375%, 06/15/26 | 151,701 | ||||||||
250,000 | HSBC Holdings, PLC | 252,907 | ||||||||
125,000 | Huntington Bancshares, Inc.^ 4.450%, 10/15/27 | 134,619 | ||||||||
200,000 | Hyundai Capital America* | 199,864 | ||||||||
250,000 | ILFC E-Capital Trust II* | 211,713 | ||||||||
175,000 | Iron Mountain, Inc.* | 183,568 | ||||||||
200,000 | Jaguar Holding Company II / | 209,958 | ||||||||
150,000 | JPMorgan Chase & Company 3.220%, 03/01/25 | 159,339 | ||||||||
125,000 | 3.650%, 06/01/26 | 126,214 | ||||||||
125,000 | Life Storage, LP | 143,170 | ||||||||
200,000 | Lloyds Banking Group, PLC | 201,576 | ||||||||
125,000 | LPL Holdings, Inc.* | 127,136 | ||||||||
200,000 | LSEGA Financing, PLC* | 205,032 | ||||||||
300,000 | Macquarie Bank, Ltd.* | 303,489 | ||||||||
250,000 | Markel Corp. | 277,992 | ||||||||
200,000 | MetLife, Inc. | 256,486 | ||||||||
200,000 | Morgan Stanley | 203,088 | ||||||||
250,000 | National Securities Clearing Corp.* 1.500%, 04/23/25 | 256,180 |
See accompanying Notes to Schedule of Investments
58
Calamos Total Return Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 ((UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
200,000 | Nippon Life Insurance Company* | $ | 198,538 | |||||||
150,000 | Oaktree Specialty Lending Corp. | 151,625 | ||||||||
200,000 | OneMain Finance Corp. 6.875%, 03/15/25 | 227,362 | ||||||||
118,000 | PartnerRe Finance B, LLC^ | 123,888 | ||||||||
150,000 | PNC Financial Services Group, Inc. 2.200%, 11/01/24 | 157,659 | ||||||||
250,000 | Prologis, LP 2.250%, 04/15/30 | 260,472 | ||||||||
200,000 | Prospect Capital Corp. 3.706%, 01/22/26 | 207,764 | ||||||||
125,000 | Reinsurance Group of America, Inc. 3.900%, 05/15/29 | 142,329 | ||||||||
250,000 | RenaissanceRe Finance, Inc. | 275,772 | ||||||||
250,000 | Royal Bank of Canada | 248,493 | ||||||||
300,000 | SBA Tower Trust* | 304,080 | ||||||||
69,000 | SLM Corp. | 74,773 | ||||||||
150,000 | State Street Corp. | 158,240 | ||||||||
SVB Financial Group | ||||||||||
200,000 | 2.100%, 05/15/28^ | 205,792 | ||||||||
125,000 | 4.000%, 05/15/26 | 129,978 | ||||||||
110,000 | Toronto-Dominion Bank | 111,492 | ||||||||
250,000 | Travelers Companies, Inc. | 248,268 | ||||||||
150,000 | US Bancorp | 163,308 | ||||||||
200,000 | USAA Capital Corp.* | 205,688 | ||||||||
125,000 | Ventas Realty, LP | 142,150 | ||||||||
150,000 | VICI Properties, LP / VICI Note 3.500%, 02/15/25 | 153,545 | ||||||||
Wells Fargo & Company | ||||||||||
125,000 | 4.400%, 06/14/46 | 153,869 | ||||||||
125,000 | 3.900%, 03/15/26 5 year CMT + 3.45% | 129,876 | ||||||||
|
| |||||||||
14,320,506 | ||||||||||
|
| |||||||||
Health Care (4.7%) | ||||||||||
200,000 | AbbVie, Inc. | 219,212 | ||||||||
100,000 | Bausch Health Companies, Inc.* | 102,239 | ||||||||
200,000 | Bristol-Myers Squibb Company | |||||||||
3.200%, 06/15/26 | 220,438 | |||||||||
175,000 | Charles River Laboratories International, Inc.* | 179,560 | ||||||||
150,000 | CVS Health Corp. 4.780%, 03/25/38 | 188,652 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
100,000 | DaVita, Inc.* | $ | 103,406 | |||||||
23,000 | 3.750%, 02/15/31 | 22,395 | ||||||||
200,000 | 4.912%, 08/27/21 | 200,668 | ||||||||
175,000 | 5.900%, 08/28/28 | 209,400 | ||||||||
250,000 | Health Care Service Corp. | 255,742 | ||||||||
200,000 | Humana, Inc. | 217,510 | ||||||||
250,000 | Johnson & Johnson | 291,285 | ||||||||
200,000 | Pfizer, Inc. | 216,922 | ||||||||
200,000 | Royalty Pharma, PLC*^ | 199,300 | ||||||||
125,000 | Tenet Healthcare Corp.* | 128,071 | ||||||||
150,000 | Teva Pharmaceutical Finance | 148,826 | ||||||||
120,000 | Thermo Fisher Scientific, Inc. | 133,247 | ||||||||
125,000 | UnitedHealth Group, Inc. | 131,800 | ||||||||
200,000 | Universal Health Services, Inc.* | 204,116 | ||||||||
|
| |||||||||
3,372,789 | ||||||||||
|
| |||||||||
Industrials (4.7%) | ||||||||||
250,000 | 3M Company | 300,340 | ||||||||
125,000 | Air Lease Corp. | 130,900 | ||||||||
150,000 | Albertsons Companies, Inc. / | 158,755 | ||||||||
250,000 | Avolon Holdings Funding, Ltd.* | 251,450 | ||||||||
175,000 | EnerSys* | 183,332 | ||||||||
150,000 | FedEx Corp.^ | 155,471 | ||||||||
80,000 | GXO Logistics, Inc.* | 80,005 | ||||||||
48,472 | Hawaiian Airlines Pass Through | 48,328 | ||||||||
250,000 | Honeywell International, Inc. | 257,562 | ||||||||
250,000 | Infor, Inc.* | 256,760 | ||||||||
125,000 | John Deere Capital Corp. | 129,234 | ||||||||
200,000 | Mars, Inc.*^ | |||||||||
0.875%, 07/16/26 | 197,838 | |||||||||
300,000 | Moog, Inc.* | 309,930 | ||||||||
17,000 | Park Aerospace Holdings, Ltd.* | 17,744 | ||||||||
175,000 | QVC, Inc. | 179,937 |
See accompanying Notes to Schedule of Investments
59
Calamos Total Return Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
250,000 | Roper Technologies, Inc.^ | $ | 249,297 | |||||||
100,000 | Sensata Technologies, BV* | 111,622 | ||||||||
125,000 | TransDigm, Inc.* | 131,346 | ||||||||
250,000 | Verisk Analytics, Inc. | 259,955 | ||||||||
|
| |||||||||
3,409,806 | ||||||||||
|
| |||||||||
Information Technology (4.5%) | ||||||||||
250,000 | Apple, Inc. | 321,385 | ||||||||
250,000 | Broadcom, Inc. | 281,265 | ||||||||
250,000 | Fortinet, Inc. | 254,370 | ||||||||
125,000 | Hewlett Packard Enterprise Company | 143,016 | ||||||||
200,000 | Intuit, Inc.^ | 201,538 | ||||||||
250,000 | Mastercard, Inc. | 286,410 | ||||||||
Microsoft Corp. | ||||||||||
157,000 | 4.100%, 02/06/37 | 196,790 | ||||||||
93,000 | 2.525%, 06/01/50 | 93,202 | ||||||||
250,000 | NVIDIA Corp. | 287,977 | ||||||||
200,000 | Oracle Corp. | 212,428 | ||||||||
150,000 | Square, Inc.* | 153,510 | ||||||||
175,000 | TTM Technologies, Inc.* | 176,311 | ||||||||
200,000 | Twilio, Inc. | 205,720 | ||||||||
250,000 | Visa, Inc. | 260,108 | ||||||||
150,000 | VMware, Inc. - Class A | 150,519 | ||||||||
|
| |||||||||
3,224,549 | ||||||||||
|
| |||||||||
Materials (0.6%) | ||||||||||
Clearwater Paper Corp.* | ||||||||||
100,000 | 4.750%, 08/15/28 | 101,187 | ||||||||
87,000 | 5.375%, 02/01/25 | 93,180 | ||||||||
250,000 | Georgia-Pacific, LLC* | 272,950 | ||||||||
|
| |||||||||
467,317 | ||||||||||
|
| |||||||||
Real Estate (2.2%) | ||||||||||
150,000 | EPR Properties | 162,590 | ||||||||
250,000 | Equinix, Inc. | 251,967 | ||||||||
200,000 | Federal Realty Investment Trust | 200,842 | ||||||||
190,000 | Healthpeak Properties, Inc. | 208,008 | ||||||||
200,000 | Public Storage | 208,672 | ||||||||
200,000 | Realty Income Corp. | 222,702 | ||||||||
Service Properties Trust | ||||||||||
125,000 | 3.950%, 01/15/28 | 117,536 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
100,000 | 5.250%, 02/15/26 | $ | 101,224 | |||||||
125,000 | Tanger Properties, LP^ | 136,715 | ||||||||
|
| |||||||||
1,610,256 | ||||||||||
|
| |||||||||
Utilities (2.5%) | ||||||||||
150,000 | Berkshire Hathaway Energy Company | 174,432 | ||||||||
200,000 | Consolidated Edison Company of | 224,132 | ||||||||
200,000 | DPL, Inc. | 214,834 | ||||||||
50,000 | DTE Energy Company | 51,148 | ||||||||
150,000 | Duke Energy Carolinas, LLC | 174,878 | ||||||||
250,000 | Florida Power & Light Company | 268,467 | ||||||||
175,000 | Monongahela Power Company* | 194,843 | ||||||||
150,000 | Northern States Power Company | 175,027 | ||||||||
150,000 | Public Service Electric and Gas Company | 175,737 | ||||||||
125,000 | Southern Company | 127,943 | ||||||||
|
| |||||||||
1,781,441 | ||||||||||
|
| |||||||||
TOTAL CORPORATE BONDS | 36,693,187 | |||||||||
|
| |||||||||
|
| |||||||||
CONVERTIBLE BONDS (0.5%) | ||||||||||
Consumer Discretionary (0.2%) | ||||||||||
125,000 | DISH Network Corp. | 121,129 | ||||||||
|
| |||||||||
Financials (0.3%) | ||||||||||
200,000 | Prospect Capital Corp. | 207,552 | ||||||||
TOTAL CONVERTIBLE BONDS | 328,681 | |||||||||
|
| |||||||||
|
| |||||||||
BANK LOANS (8.6%) ¡ | ||||||||||
Airlines (0.2%) | ||||||||||
185,000 | AAdvantage Loyalty IP, Ltd. | 190,481 | ||||||||
|
| |||||||||
Communication Services (1.0%) | ||||||||||
124,055 | CSC Holdings, LLC | 122,704 | ||||||||
297,927 | Go Daddy Operating Company, LLC | 294,948 |
See accompanying Notes to Schedule of Investments
60
Calamos Total Return Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
298,462 | SBA Senior Finance II, LLC 1.850%, 04/11/25 1 mo. LIBOR + 1.75% | $ | 295,793 | |||||||
|
|
| ||||||||
713,445 | ||||||||||
|
|
| ||||||||
Consumer Discretionary (0.7%) | ||||||||||
248,569 | Meredith Corp. 5.250%, 01/31/25 3 mo. LIBOR + 4.25% | 254,111 | ||||||||
249,375 | Murphy USA, Inc. 2.250%, 01/31/28 1 mo. LIBOR + 1.75% | 249,478 | ||||||||
|
|
| ||||||||
503,589 | ||||||||||
|
|
| ||||||||
Consumer Staples (0.6%) | ||||||||||
298,500 | Energizer Holdings, Inc. 2.750%, 12/22/27 1 mo. LIBOR + 2.25% | 297,194 | ||||||||
148,533 | United Natural Foods, Inc. 3.592%, 10/22/25 1 mo. LIBOR + 3.50% | 148,254 | ||||||||
|
|
| ||||||||
445,448 | ||||||||||
|
|
| ||||||||
Energy (0.2%) | ||||||||||
112,500 | DT Midstream, Inc. 2.500%, 06/26/28 6 mo. LIBOR + 2.00% | 112,349 | ||||||||
12,500 | DT Midstream, Inc. 2.500%, 06/26/28 3 mo. LIBOR + 2.00% | 12,484 | ||||||||
|
|
| ||||||||
124,833 | ||||||||||
|
|
| ||||||||
Financials (0.4%) | ||||||||||
150,000 | Jazz Financing Lux Sarl 4.000%, 05/05/28 1 mo. LIBOR + 3.50% | 150,375 | ||||||||
168,664 | Level 3 Financing, Inc. 1.842%, 03/01/27 1 mo. LIBOR + 1.75% | 165,344 | ||||||||
|
|
| ||||||||
315,719 | ||||||||||
|
|
| ||||||||
Health Care (1.8%) | ||||||||||
265,261 | Amneal Pharmaceuticals, LLC 3.625%, 05/04/25 1 mo. LIBOR + 3.50% | 257,096 | ||||||||
212,308 | Avantor, Inc. 2.500%, 11/21/24 3 mo. LIBOR + 2.00% | 211,954 | ||||||||
299,250 | Catalent Pharma Solutions Inc. 2.500%, 02/22/28 1 mo. LIBOR + 2.00% | 300,148 | ||||||||
65,000 | HCA, Inc.! 0.000%, 06/23/28 | 65,447 | ||||||||
168,114 | Icon Luxembourg Sarl! 0.000%, 07/03/28 | 167,964 | ||||||||
41,886 | Icon Luxembourg Sarl! 0.000%, 07/03/28 | 41,848 | ||||||||
32,022 | Icon Luxembourg Sarl 3.000%, 07/03/28 3 mo. LIBOR + 2.50% | 31,993 | ||||||||
7,978 | Icon Luxembourg Sarl 3.000%, 07/03/28 3 mo. LIBOR + 2.50% | 7,971 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
259,013 | Mallinckrodt International Finance S.A. 6.000%, 09/24/24 6 mo. LIBOR + 5.25% | $ | 252,484 | |||||||
|
|
| ||||||||
1,336,905 | ||||||||||
|
|
| ||||||||
Industrials (1.9%) | ||||||||||
300,000 | AECOM Technology Corporation 1.842%, 04/13/28 1 mo. LIBOR + 1.75% | 299,812 | ||||||||
249,375 | Horizon Therapeutics USA, Inc. 2.500%, 03/15/28 1 mo. LIBOR + 2.00% | 247,286 | ||||||||
319,200 | Spectrum Brands, Inc. 2.500%, 03/03/28 3 mo. LIBOR + 2.00% | 316,707 | ||||||||
253,696 | United Rentals, Inc. 1.842%, 10/31/25 1 mo. LIBOR + 1.75% | 254,925 | ||||||||
250,000 | XPO Logistics, Inc. 1.881%, 02/24/25 3 mo. LIBOR + 1.75% | 248,143 | ||||||||
|
|
| ||||||||
1,366,873 | ||||||||||
|
|
| ||||||||
Information Technology (1.6%) | ||||||||||
298,500 | Dell International, LLC 2.000%, 09/19/25 1 mo. LIBOR + 1.75% | 298,402 | ||||||||
298,481 | ON Semiconductor Corporation 2.092%, 09/19/26 1 mo. LIBOR + 2.00% | 295,753 | ||||||||
298,458 | Open Text Corporation 1.842%, 05/30/25 1 mo. LIBOR + 1.75% | 298,750 | ||||||||
249,375 | Playtika Holding Corp. 2.842%, 03/13/28 1 mo. LIBOR + 2.75% | 247,926 | ||||||||
|
|
| ||||||||
1,140,831 | ||||||||||
|
|
| ||||||||
Information Technology (0.2%) | ||||||||||
124,375 | Camelot U.S. Acquisition 1 Co. 4.000%, 10/30/26 1 mo. LIBOR + 3.00% | 124,511 | ||||||||
|
|
| ||||||||
TOTAL BANK LOANS (Cost $6,299,563) | 6,262,635 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
ASSET BACKED SECURITIES (4.1%) | ||||||||||
Financials (2.7%) | ||||||||||
177,735 | Commonbond Student Loan Trust Series 2021-AGS, Class A* 1.200%, 03/25/52 | 177,655 | ||||||||
150,000 | Dell Equipment Finance Trust Series 2021-1, Class B* 0.710%, 05/22/26 | 150,560 | ||||||||
250,000 | DT Auto Owner Trust Series 2020-1A, Class B* 2.160%, 05/15/24 | 252,214 | ||||||||
265,000 | Hertz Vehicle Financing III, LP Series 2021-2A, Class A* 1.680%, 12/27/27 | 268,734 | ||||||||
26,840 | OSCAR US Funding Trust IX, LLC Series 2018-2A, Class A3* 3.390%, 09/12/22 | 26,856 |
See accompanying Notes to Schedule of Investments
61
Calamos Total Return Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
290,000 | Oscar US Funding Trust XII, LLC Series 2021-1A, Class A4* 1.000%, 04/10/28 | $ | 290,012 | |||||||
237,000 | Progress Residentiall Trust Series 2021-SFR5, Class B* 1.658%, 07/17/38 | 238,359 | ||||||||
59,576 | SoFi Professional Loan Program, LLC Series 2016-C, Class A2B* 2.360%, 12/27/32 | 60,136 | ||||||||
241,301 | SoFi Professional Loan Program, LLC Series 2017-F, Class A2FX* 2.840%, 01/25/41 | 246,331 | ||||||||
250,000 | Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A* 2.560%, 11/25/31 | 263,989 | ||||||||
|
| |||||||||
1,974,846 | ||||||||||
|
| |||||||||
Other (1.4%) | ||||||||||
226,042 | CLI Funding VI, LLC Series 2020-3A, Class A* 2.070%, 10/18/45 | 229,143 | ||||||||
223,904 | MVW Owner Trust Series 2019-1A, Class A* 2.890%, 11/20/36 | 230,971 | ||||||||
250,000 | SCF Equipment Leasing, LLC Series 2020-1A, Class A3* 1.190%, 10/20/27 | 251,593 | ||||||||
195,000 | SCF Equipment Leasing, LLC Series 2021-1A, Class A3* 0.830%, 08/21/28 | 195,101 | ||||||||
100,000 | Tesla Auto Lease Trust Series 2020-A, Class A3* 0.680%, 12/20/23 | 100,469 | ||||||||
|
| |||||||||
1,007,277 | ||||||||||
|
| |||||||||
TOTAL ASSET BACKED SECURITIES (Cost $2,942,835) | 2,982,123 | |||||||||
|
| |||||||||
|
| |||||||||
U.S. GOVERNMENT AND AGENCY SECURITIES (27.7%) | ||||||||||
Federal Home Loan Mortgage Corp. Pool | ||||||||||
258,190 | 4.000%, 05/01/49 | 275,783 | ||||||||
145,375 | 2.500%, 02/01/35 | 152,484 | ||||||||
Federal National Mortgage Association | ||||||||||
946,262 | 2.500%, 04/01/50 | 985,490 | ||||||||
910,422 | 3.000%, 04/01/50 | 953,746 | ||||||||
874,848 | 3.500%, 04/01/50 | 926,315 | ||||||||
412,909 | 3.000%, 07/01/46 | 436,421 | ||||||||
259,526 | 3.500%, 11/01/49 | 274,588 | ||||||||
249,695 | 3.500%, 08/01/47 | 265,613 | ||||||||
245,211 | 3.000%, 03/01/47 | 259,174 | ||||||||
207,450 | 2.500%, 09/01/31 | 218,858 | ||||||||
200,677 | 4.000%, 06/01/48 | 214,177 | ||||||||
175,907 | 3.000%, 02/01/33 | 185,622 | ||||||||
155,515 | 4.500%, 04/01/48 | 167,481 | ||||||||
138,582 | 3.500%, 02/01/49 | 146,999 | ||||||||
114,526 | 3.000%, 07/01/49 | 119,966 | ||||||||
99,424 | 4.000%, 03/01/47 | 106,790 | ||||||||
96,567 | 3.000%, 01/01/35 | 101,840 | ||||||||
Government National Mortgage Association II Pool | ||||||||||
270,959 | 3.500%, 10/20/47 | 287,084 | ||||||||
194,186 | 3.000%, 10/20/47 | 204,797 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
U.S. Treasury Bond | ||||||||||
1,000,000 | 2.250%, 08/15/49 | $ | 1,075,703 | |||||||
750,000 | 2.875%, 11/15/46 | 900,937 | ||||||||
600,000 | 1.875%, 02/15/41 | 607,219 | ||||||||
600,000 | 1.125%, 05/15/40 | 536,531 | ||||||||
500,000 | 3.500%, 02/15/39 | 643,203 | ||||||||
500,000 | 3.000%, 05/15/47 | 615,312 | ||||||||
500,000 | 2.000%, 02/15/50 | 510,312 | ||||||||
500,000 | 1.125%, 08/15/40 | 445,586 | ||||||||
300,000 | 3.000%, 02/15/49 | 371,977 | ||||||||
200,000 | 1.375%, 08/15/50 | 175,750 | ||||||||
125,000 | 2.375%, 11/15/49 | 138,145 | ||||||||
1,091,340 | U.S. Treasury Inflation Indexed Note 0.500%, 01/15/28 | 1,254,588 | ||||||||
U.S. Treasury Note | ||||||||||
1,800,000 | 0.750%, 01/31/28 | 1,779,258 | ||||||||
630,000 | 1.500%, 02/15/30^ | 648,506 | ||||||||
600,000 | 0.250%, 09/30/25 | 592,078 | ||||||||
500,000 | 2.875%, 11/30/25 | 548,769 | ||||||||
500,000 | 2.500%, 02/28/26 | 542,168 | ||||||||
500,000 | 1.125%, 02/28/27 | 509,434 | ||||||||
500,000 | 0.500%, 04/30/27 | 491,270 | ||||||||
500,000 | 0.375%, 09/30/27 | 484,941 | ||||||||
400,000 | 0.625%, 05/15/30^ | 382,000 | ||||||||
400,000 | 0.625%, 08/15/30 | 380,844 | ||||||||
125,000 | 0.250%, 05/31/25 | 123,745 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $19,235,695) | 20,041,504 | |||||||||
|
| |||||||||
|
| |||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES (6.2%) | ||||||||||
250,000 | BX Trust Series 2019-OC11, Class A* 3.202%, 12/09/41 | 274,128 | ||||||||
Federal National Mortgage Association | ||||||||||
996,721 | 2.500%, 07/01/51 | 1,038,930 | ||||||||
994,000 | 2.000%, 07/01/36 | 1,032,224 | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates Class A2 | ||||||||||
500,000 | 3.990%, 05/25/33 | 599,960 | ||||||||
460,000 | 3.350%, 01/25/28 | 522,277 | ||||||||
1,000,000 | Government National Mortgage Association II Pool Series 2021-134, Class KP 1.350%, 03/16/60 | 991,851 | ||||||||
|
| |||||||||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $4,373,435) | 4,459,370 | |||||||||
|
| |||||||||
|
|
See accompanying Notes to Schedule of Investments
62
Calamos Total Return Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (3.2%) | | ||||||||
2,292,234 | State Street Navigator Securities Lending Government Money Market Portfolio (Cost $2,292,234) | $ | 2,292,234 | |||||||
|
| |||||||||
| TOTAL INVESTMENTS (101.0%) (Cost $70,056,730) | 73,059,734 | ||||||||
|
| |||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-3.2%) | (2,292,234) | ||||||||
|
| |||||||||
OTHER ASSETS, LESS LIABILITIES (2.2%) | 1,607,078 | |||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 72,374,578 | ||||||||
|
|
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. |
| Variable rate security. The rate shown is the rate in effect at July 31, 2021. |
^ | Security, or portion of security, is on loan. |
¡ | 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. |
| Represents investment of cash collateral received from securities on loan as of July 31, 2021. |
See accompanying Notes to Schedule of Investments
63
Calamos Total Return Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
FUTURES CONTRACTS
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) | ||||||||||
Buys 1,000,000 | U.S. Treasury Note 5-Year | Sep 2021 | $ | 1,244,453 | $ | 5,526 |
See accompanying Notes to Schedule of Investments
64
Calamos High Income Opportunities Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
CORPORATE BONDS (79.2%) | ||||||||||
Airlines (2.0%) | ||||||||||
175,716 | Air Canada Pass Through Trust Series 2015-1, Class B* | $ | 178,086 | |||||||
26,667 | Air Canada Pass Through Trust Series 2015-2, Class B* | 27,065 | ||||||||
110,493 | Alaska Airlines Pass Through | 122,588 | ||||||||
76,847 | Alaska Airlines Pass Through | 85,927 | ||||||||
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd.* | ||||||||||
65,000 | 5.500%, 04/20/26 | 68,079 | ||||||||
22,000 | 5.750%, 04/20/29 | 23,810 | ||||||||
110,000 | British Airways Pass Through | 111,735 | ||||||||
74,879 | JetBlue Pass Through Trust | 88,622 | ||||||||
33,000 | Spirit Loyalty Cayman, Ltd. / Spirit | 37,229 | ||||||||
85,731 | United Airlines Pass Through | 87,817 | ||||||||
50,164 | United Airlines Pass Through | 49,731 | ||||||||
|
| |||||||||
880,689 | ||||||||||
|
| |||||||||
Communication Services (10.6%) | ||||||||||
150,000 | Arrow Bidco, LLC* | 153,999 | ||||||||
65,000 | Beasley Mezzanine Holdings, | 66,034 | ||||||||
70,000 | Brinks Company* | 73,794 | ||||||||
170,000 | Cincinnati Bell, Inc.* | 178,821 | ||||||||
115,000 | CommScope, Inc.* | 118,484 | ||||||||
100,000 | Consolidated Communications, Inc.* 6.500%, 10/01/28 | 108,107 | ||||||||
CSC Holdings, LLC* | ||||||||||
315,000 | 5.750%, 01/15/30 | 328,942 | ||||||||
250,000 | 5.375%, 02/01/28 | 264,710 | ||||||||
220,000 | 4.500%, 11/15/31 | 222,123 | ||||||||
200,000 | 5.500%, 04/15/27 | 209,420 | ||||||||
101,000 | Cumulus Media New Holdings, | 106,435 | ||||||||
Diamond Sports Group, LLC / | ||||||||||
75,000 | 6.625%, 08/15/27 | 30,154 | ||||||||
55,000 | 5.375%, 08/15/26 | 31,999 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
10,000 | DIRECTV Holdings, LLC / | $ | 10,348 | |||||||
322,000 | Embarq Corp. | 361,236 | ||||||||
Entercom Media Corp.*^ | ||||||||||
44,000 | 6.750%, 03/31/29 | 44,948 | ||||||||
44,000 | 6.500%, 05/01/27 | 45,369 | ||||||||
56,000 | Frontier Florida, LLC& | 61,417 | ||||||||
140,000 | Frontier North, Inc.@ | 152,398 | ||||||||
Go Daddy Operating Company, | ||||||||||
90,000 | 3.500%, 03/01/29 | 90,173 | ||||||||
25,000 | 5.250%, 12/01/27 | 26,278 | ||||||||
30,000 | Hughes Satellite Systems Corp. 5.250%, 08/01/26 | 33,615 | ||||||||
Intelsat Jackson Holdings, SA@ | ||||||||||
70,000 | 9.750%, 07/15/25* | 39,611 | ||||||||
50,000 | 5.500%, 08/01/23 | 27,597 | ||||||||
100,000 | Intelsat Luxembourg, SA@ | 2,743 | ||||||||
200,000 | LCPR Senior Secured Financing | 213,916 | ||||||||
56,070 | Ligado Networks, LLC* | 55,535 | ||||||||
110,000 | Lumen Technologies, Inc.* | 113,248 | ||||||||
Netflix, Inc. | ||||||||||
80,000 | 4.875%, 06/15/30* | 96,537 | ||||||||
45,000 | 4.875%, 04/15/28 | 52,654 | ||||||||
Scripps Escrow II, Inc.* | ||||||||||
46,000 | 3.875%, 01/15/29 | 46,065 | ||||||||
23,000 | 5.375%, 01/15/31 | 23,018 | ||||||||
| 130,000 | | Scripps Escrow, Inc.* 5.875%, 07/15/27 |
| 134,681 |
| ||||
| 46,000 | | Shift4 Payments, LLC / Shift4 Payments Finance Sub, Inc.* 4.625%, 11/01/26 |
| 47,969 |
| ||||
Sirius XM Radio, Inc.* | ||||||||||
125,000 | 5.500%, 07/01/29 | 137,111 | ||||||||
125,000 | 4.625%, 07/15/24 | 128,436 | ||||||||
72,000 | 4.000%, 07/15/28 | 74,304 | ||||||||
| 65,000 | | Spanish Broadcasting System, Inc.* 9.750%, 03/01/26 |
| 66,335 |
| ||||
| 165,000 | | Sprint Capital Corp. 6.875%, 11/15/28 |
| 213,045 |
| ||||
| 230,000 | | Sprint Corp. 7.125%, 06/15/24 |
| 264,873 |
| ||||
| 80,000 | | Telecom Italia Capital, SA 6.000%, 09/30/34 |
| 92,020 |
| ||||
| 126,000 | | United States Cellular Corp. 6.700%, 12/15/33 |
| 156,964 |
| ||||
| 42,000 | | Windstream Services, LLC / Windstream Finance Corp.@& 7.750%, 10/01/21 |
| 452 |
| ||||
|
| |||||||||
4,705,918 | ||||||||||
|
|
See accompanying Notes to Schedule of Investments
65
Calamos High Income Opportunities Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
Consumer Discretionary (13.2%) | ||||||||||
| 96,000 | | American Axle & Manufacturing, Inc.^ 6.875%, 07/01/28 | $ | 104,054 |
| ||||
Ashton Woods USA, LLC / Ashton | ||||||||||
Woods Finance Company* | ||||||||||
72,000 | 6.625%, 01/15/28 | 76,880 | ||||||||
60,000 | 4.625%, 08/01/29 | 60,210 | ||||||||
| 28,000 | | Avis Budget Car Rental, LLC / Avis Budget Finance, Inc.*^ 5.375%, 03/01/29 |
| 29,203 |
| ||||
| 125,000 | | Ballys Corp.* 6.750%, 06/01/27 |
| 135,234 |
| ||||
Caesars Entertainment, Inc.* | ||||||||||
46,000 | 8.125%, 07/01/27 | 50,686 | ||||||||
46,000 | 6.250%, 07/01/25 | 48,617 | ||||||||
| 140,000 | | Caesars Resort Collection, LLC / CRC Finco, Inc.* 5.250%, 10/15/25 |
| 141,182 |
| ||||
Carnival Corp.* | ||||||||||
44,000 | 10.500%, 02/01/26^ | 50,448 | ||||||||
23,000 | 7.625%, 03/01/26 | 24,416 | ||||||||
| 110,000 | | Carriage Services, Inc.* 4.250%, 05/15/29 |
| 110,092 |
| ||||
| 65,000 | | Carvana Company* 5.625%, 10/01/25 |
| 67,563 |
| ||||
CCO Holdings, LLC / CCO Holdings Capital Corp.* | ||||||||||
200,000 | 5.125%, 05/01/27 | 209,490 | ||||||||
100,000 | 4.750%, 03/01/30 | 106,135 | ||||||||
60,000 | 5.750%, 02/15/26 | 62,065 | ||||||||
55,000 | 5.000%, 02/01/28 | 57,723 | ||||||||
46,000 | 4.250%, 02/01/31 | 47,470 | ||||||||
| 75,000 | | Cedar Fair, LP 5.250%, 07/15/29 |
| 76,409 |
| ||||
Century Communities, Inc. | ||||||||||
125,000 | 6.750%, 06/01/27 | 133,739 | ||||||||
85,000 | 5.875%, 07/15/25 | 87,880 | ||||||||
| 200,000 | | Dana, Inc. 5.625%, 06/15/28 |
| 215,402 |
| ||||
DISH DBS Corp. | ||||||||||
77,000 | 7.750%, 07/01/26 | 88,026 | ||||||||
60,000 | 7.375%, 07/01/28^ | 64,991 | ||||||||
| 72,000 | | Everi Holdings, Inc.* 5.000%, 07/15/29 |
| 73,701 |
| ||||
| 55,000 | | Ford Motor Company 8.500%, 04/21/23 |
| 61,150 |
| ||||
Ford Motor Credit Company, LLC | ||||||||||
200,000 | 4.389%, 01/08/26 | 217,114 | ||||||||
200,000 | 4.000%, 11/13/30 | 211,868 | ||||||||
200,000 | 3.664%, 09/08/24 | 209,858 | ||||||||
goeasy, Ltd.* | ||||||||||
160,000 | 5.375%, 12/01/24 | 166,128 | ||||||||
80,000 | 4.375%, 05/01/26 | 82,531 | ||||||||
| 44,000 | | Goodyear Tire & Rubber Company* 5.000%, 07/15/29 |
| 46,398 |
| ||||
| 45,000 | | Guitar Center, Inc.* 8.500%, 01/15/26 |
| 48,112 |
| ||||
| 200,000 | | International Game Technology, PLC* 6.250%, 01/15/27 |
| 227,482 |
| ||||
L Brands, Inc. | ||||||||||
123,000 | 6.694%, 01/15/27 | 146,156 | ||||||||
67,000 | 6.875%, 11/01/35 | 86,260 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 50,000 | | Liberty Interactive, LLC 8.500%, 07/15/29 | $ | 57,416 |
| ||||
| 65,000 | | Life Time, Inc.* 8.000%, 04/15/26 |
| 68,140 |
| ||||
M/I Homes, Inc. | ||||||||||
170,000 | 5.625%, 08/01/25 | 175,071 | ||||||||
70,000 | 4.950%, 02/01/28 | 73,856 | ||||||||
Macys Retail Holdings, LLC | ||||||||||
40,000 | 6.700%, 07/15/34* | 42,567 | ||||||||
25,000 | 5.125%, 01/15/42 | 22,898 | ||||||||
| 45,000 | | Macys, Inc.* 8.375%, 06/15/25 |
| 49,097 |
| ||||
Mattel, Inc.* | ||||||||||
125,000 | 5.875%, 12/15/27 | 136,905 | ||||||||
11,000 | 3.750%, 04/01/29^ | 11,612 | ||||||||
Mclaren Finance, PLC* | ||||||||||
200,000 | 7.500%, 08/01/26 | 203,396 | ||||||||
200,000 | 5.750%, 08/01/22 | 200,000 | ||||||||
| 100,000 | | Midwest Gaming Borrower, LLC / Midwest Gaming Finance Corp.* 4.875%, 05/01/29 |
| 100,920 |
| ||||
| 65,000 | | Mohegan Gaming & Entertainment* 8.000%, 02/01/26 |
| 67,705 |
| ||||
| 92,000 | | Newell Brands, Inc. 4.700%, 04/01/26 |
| 102,617 |
| ||||
| 48,000 | | Penn National Gaming, Inc.* 4.125%, 07/01/29 |
| 47,336 |
| ||||
| 224,000 | | Rite Aid Corp.* 8.000%, 11/15/26 |
| 225,127 |
| ||||
Royal Caribbean Cruises, Ltd.* | ||||||||||
45,000 | 11.500%, 06/01/25 | 51,559 | ||||||||
23,000 | 10.875%, 06/01/23 | 26,143 | ||||||||
| 105,000 | | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed* 4.625%, 03/01/29 |
| 106,322 |
| ||||
| 125,000 | | Speedway Motorsports, LLC / Speedway Funding II, Inc.* 4.875%, 11/01/27 |
| 127,894 |
| ||||
| 75,000 | | Taylor Morrison Communities, Inc.* 5.750%, 01/15/28 |
| 84,914 |
| ||||
| 23,000 | | Viking Cruises, Ltd.* 13.000%, 05/15/25 |
| 26,696 |
| ||||
| 100,000 | | Vista Outdoor, Inc.* 4.500%, 03/15/29 |
| 102,085 |
| ||||
| 105,000 | | VOC Escrow, Ltd.* 5.000%, 02/15/28 |
| 104,310 |
| ||||
| 23,000 | | Williams Scotsman International, Inc.* 4.625%, 08/15/28 |
| 23,803 |
| ||||
|
| |||||||||
5,863,062 | ||||||||||
|
| |||||||||
Consumer Staples (3.8%) | ||||||||||
| 107,000 | | Central Garden & Pet Company* 4.125%, 04/30/31 |
| 109,467 |
| ||||
Edgewell Personal Care Company* | ||||||||||
65,000 | 4.125%, 04/01/29 | 65,461 | ||||||||
45,000 | 5.500%, 06/01/28 | 47,691 | ||||||||
| 102,000 | | Energizer Holdings, Inc.* 4.375%, 03/31/29 |
| 102,596 |
| ||||
| 70,000 | | Fresh Market, Inc.* 9.750%, 05/01/23 |
| 72,162 |
|
See accompanying Notes to Schedule of Investments
66
Calamos High Income Opportunities Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
105,000 | JBS USA LUX, SA / JBS USA Finance, Inc.* 6.750%, 02/15/28 | $ | 115,544 | |||||||
42,000 | JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.* 6.500%, 04/15/29 | 47,357 | ||||||||
Kraft Heinz Foods Company | ||||||||||
140,000 | 4.375%, 06/01/46 | 161,249 | ||||||||
23,000 | 4.250%, 03/01/31 | 26,518 | ||||||||
23,000 | 3.875%, 05/15/27 | 25,480 | ||||||||
63,000 | New Albertsons, LP 7.750%, 06/15/26 | 72,377 | ||||||||
96,000 | Performance Food Group, Inc.* 4.250%, 08/01/29 | 97,698 | ||||||||
145,000 | Pilgrims Pride Corp.* 5.875%, 09/30/27 | 155,243 | ||||||||
Post Holdings, Inc.* | ||||||||||
110,000 | 5.750%, 03/01/27 | 114,730 | ||||||||
65,000 | 4.625%, 04/15/30 | 66,283 | ||||||||
90,000 | Prestige Brands, Inc.* 3.750%, 04/01/31 | 89,355 | ||||||||
100,000 | United Natural Foods, Inc.*^ 6.750%, 10/15/28 | 108,134 | ||||||||
Vector Group, Ltd.* | ||||||||||
145,000 | 5.750%, 02/01/29 | 147,764 | ||||||||
55,000 | 10.500%, 11/01/26 | 58,529 | ||||||||
|
| |||||||||
1,683,638 | ||||||||||
|
| |||||||||
Energy (7.4%) | ||||||||||
Antero Resources Corp.* | ||||||||||
35,000 | 7.625%, 02/01/29 | 38,367 | ||||||||
22,000 | 5.375%, 03/01/30 | 22,403 | ||||||||
Apache Corp. | ||||||||||
90,000 | 5.100%, 09/01/40 | 96,628 | ||||||||
52,000 | 4.875%, 11/15/27 | 56,007 | ||||||||
46,000 | 4.625%, 11/15/25 | 49,500 | ||||||||
Buckeye Partners, LP | ||||||||||
75,000 | 3.950%, 12/01/26 | 76,250 | ||||||||
50,000 | 5.850%, 11/15/43 | 50,899 | ||||||||
68,000 | ChampionX Corp. 6.375%, 05/01/26 | 71,230 | ||||||||
Cheniere Energy Partners, LP | ||||||||||
110,000 | 5.625%, 10/01/26 | 113,769 | ||||||||
23,000 | 4.000%, 03/01/31* | 24,351 | ||||||||
45,000 | Cheniere Energy, Inc. 4.625%, 10/15/28 | 47,555 | ||||||||
Continental Resources, Inc. | ||||||||||
90,000 | 3.800%, 06/01/24 | 94,506 | ||||||||
70,000 | 4.375%, 01/15/28^ | 78,244 | ||||||||
125,000 | DCP Midstream Operating, LP* 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% | 117,641 | ||||||||
1,745 | Diamond Foreign Asset Company / Diamond Finance, LLC | |||||||||
13.000%, 04/22/27 | ||||||||||
13.000% PIK rate | 1,750 | |||||||||
51,000 | DT Midstream, Inc.* 4.125%, 06/15/29 | 52,346 | ||||||||
140,000 | Energy Transfer, LP 3.143%, 11/01/66 3 mo. USD LIBOR + 3.02% | 115,539 | ||||||||
70,000 | 6.500%, 11/15/26 | |||||||||
5 year CMT + 5.69 | 71,697 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
120,000 | EnLink Midstream Partners, LP 6.000%, 12/15/22 3 mo. USD LIBOR + 4.11% | $ | 92,956 | |||||||
100,000 | 4.850%, 07/15/26 | 104,675 | ||||||||
EQT Corp. | ||||||||||
57,000 | 7.500%, 02/01/30 | 74,943 | ||||||||
40,000 | 6.625%, 02/01/25 | 46,269 | ||||||||
23,000 | 5.000%, 01/15/29 | 26,018 | ||||||||
117,000 | Genesis Energy, LP / Genesis Energy Finance Corp. 6.250%, 05/15/26 | 115,647 | ||||||||
Gulfport Energy Operating Corp. | ||||||||||
90,000 | 6.375%, 05/15/25 | 3,825 | ||||||||
26,334 | 8.000%, 05/17/26^ | 28,210 | ||||||||
Laredo Petroleum, Inc. | ||||||||||
76,000 | 10.125%, 01/15/28 | 80,552 | ||||||||
23,000 | 7.750%, 07/31/29* | 22,276 | ||||||||
100,000 | Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.* 6.000%, 08/01/26 | 102,541 | ||||||||
Moss Creek Resources Holdings, Inc.* | ||||||||||
50,000 | 7.500%, 01/15/26 | 45,288 | ||||||||
45,000 | 10.500%, 05/15/27 | 43,253 | ||||||||
44,000 | Murphy Oil Corp. 6.375%, 07/15/28 | 46,607 | ||||||||
New Fortress Energy, Inc.* | ||||||||||
46,000 | 6.750%, 09/15/25 | 46,985 | ||||||||
45,000 | 6.500%, 09/30/26 | 45,535 | ||||||||
45,000 | Nine Energy Service, Inc.* 8.750%, 11/01/23 | 27,097 | ||||||||
24,000 | Oasis Midstream Partners, LP / OMP Finance Corp.* 8.000%, 04/01/29 | 25,114 | ||||||||
Occidental Petroleum Corp. | ||||||||||
280,000 | 4.300%, 08/15/39 | 277,984 | ||||||||
203,000 | 2.900%, 08/15/24 | 204,669 | ||||||||
46,000 | 5.875%, 09/01/25 | 51,036 | ||||||||
25,000 | Ovintiv, Inc. 6.500%, 08/15/34 | 33,399 | ||||||||
50,000 | Par Petroleum, LLC / Par Petroleum Finance Corp.* 7.750%, 12/15/25 | 49,682 | ||||||||
75,000 | Parkland Corp. / Canada* 5.875%, 07/15/27 | 80,058 | ||||||||
100,000 | Plains All American Pipeline, LP 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% | 89,677 | ||||||||
36,000 | Range Resources Corp.* 8.250%, 01/15/29 | 39,905 | ||||||||
52,000 | Transocean, Inc.*^ 11.500%, 01/30/27 | 51,805 | ||||||||
Venture Global Calcasieu Pass, LLC* | ||||||||||
25,000 | 4.125%, 08/15/31 | 25,790 | ||||||||
25,000 | 3.875%, 08/15/29 | 25,558 | ||||||||
47,000 | Vine Energy Holdings, LLC* 6.750%, 04/15/29 | 49,126 | ||||||||
50,000 | Viper Energy Partners, LP* 5.375%, 11/01/27 | 52,463 | ||||||||
70,000 | W&T Offshore, Inc.* 9.750%, 11/01/23 | 67,418 | ||||||||
47,000 | Weatherford International, Ltd.* 11.000%, 12/01/24 | 48,697 | ||||||||
|
| |||||||||
3,303,740 | ||||||||||
|
|
See accompanying Notes to Schedule of Investments
67
Calamos High Income Opportunities Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
Financials (15.4%) | ||||||||||
Acrisure, LLC / Acrisure Finance, Inc.* | ||||||||||
262,000 | 7.000%, 11/15/25 | $ | 266,619 | |||||||
144,000 | 6.000%, 08/01/29 | 144,108 | ||||||||
63,000 | Aethon United BR, LP / Aethon United Finance Corp.* 8.250%, 02/15/26 | 67,497 | ||||||||
| 97,000 | | AG Issuer, LLC* 6.250%, 03/01/28 |
| 102,016 |
| ||||
205,000 | Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer* 6.750%, 10/15/27 | 214,401 | ||||||||
| 76,000 |
| Ally Financial, Inc. 4.700%, 05/15/26 5 year CMT + 3.87% |
| 79,875 |
| ||||
75,000 | 8.000%, 11/01/31 | 109,344 | ||||||||
| 45,000 | | 4.700%, 08/01/33 7 year CMT + 3.48% |
| 46,878 |
| ||||
97,000 | AmWINS Group, Inc.* 4.875%, 06/30/29 | 99,061 | ||||||||
215,000 | AssuredPartners, Inc.* 7.000%, 08/15/25 | 219,145 | ||||||||
98,000 | Aviation Capital Group, LLC* 3.500%, 11/01/27 | 104,381 | ||||||||
87,000 | BroadStreet Partners, Inc.* 5.875%, 04/15/29 | 88,693 | ||||||||
| 266,000 | | Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco LL* 5.750%, 05/15/26 |
| 276,943 |
| ||||
Credit Acceptance Corp. | ||||||||||
130,000 | 6.625%, 03/15/26 | 137,561 | ||||||||
89,000 | 5.125%, 12/31/24* | 92,078 | ||||||||
| 29,000 | | Cushman & Wakefield US Borrower, LLC* 6.750%, 05/15/28 |
| 31,185 |
| ||||
| 125,000 | | Donnelley Financial Solutions, Inc. 8.250%, 10/15/24 |
| 129,651 |
| ||||
| 96,000 | | Enact Holdings, Inc.* 6.500%, 08/15/25 |
| 104,249 |
| ||||
| 138,000 | | Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP* 3.750%, 12/15/27 |
| 137,070 |
| ||||
| 156,000 | | Greystar Real Estate Partners, LLC* 5.750%, 12/01/25 |
| 159,920 |
| ||||
| 420,000 | | HUB International, Ltd.* 7.000%, 05/01/26 |
| 435,674 |
| ||||
Icahn Enterprises, LP / Icahn Enterprises Finance Corp. | ||||||||||
115,000 | 5.250%, 05/15/27 | 121,131 | ||||||||
68,000 | 4.375%, 02/01/29 | 68,921 | ||||||||
| 160,000 | | ILFC E-Capital Trust II* 3.910%, 12/21/65 3 mo. USD LIBOR + 1.80% |
| 135,496 |
| ||||
230,000 | Iron Mountain, Inc.* 5.250%, 03/15/28 | 241,261 | ||||||||
Jefferies Finance, LLC / JFIN Co- Issuer Corp.* | ||||||||||
260,000 | 5.000%, 08/15/28 | 266,321 | ||||||||
200,000 | 6.250%, 06/03/26 | 215,630 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.* | ||||||||||
182,000 | 5.250%, 10/01/25 | $ | 185,030 | |||||||
48,000 | 4.750%, 06/15/29 | 47,851 | ||||||||
| 113,000 | | LD Holdings Group, LLC* 6.125%, 04/01/28 |
| 112,295 |
| ||||
| 200,000 | | Level 3 Financing, Inc.* 4.250%, 07/01/28 |
| 203,978 |
| ||||
LPL Holdings, Inc.* | ||||||||||
115,000 | 4.000%, 03/15/29 | 116,965 | ||||||||
36,000 | 4.375%, 05/15/31 | 36,951 | ||||||||
| 193,000 | | MetLife, Inc. 6.400%, 12/15/66 |
| 247,509 |
| ||||
Navient Corp. | ||||||||||
202,000 | 5.000%, 03/15/27 | 210,779 | ||||||||
100,000 | 4.875%, 03/15/28 | 100,958 | ||||||||
OneMain Finance Corp. | ||||||||||
85,000 | 7.125%, 03/15/26 | 100,156 | ||||||||
85,000 | 6.875%, 03/15/25 | 96,629 | ||||||||
Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance Co-Issuer* | ||||||||||
55,000 | 7.500%, 06/01/25 | 59,656 | ||||||||
45,000 | 5.875%, 10/01/28 | 48,041 | ||||||||
| 57,000 | | PHH Mortgage Corp.* 7.875%, 03/15/26 |
| 58,588 |
| ||||
| 100,000 | | Prospect Capital Corp. 3.706%, 01/22/26 |
| 103,882 |
| ||||
45,000 | Quicken Loans, LLC / Quicken Loans Co-Issuer, Inc.* 3.625%, 03/01/29 | 45,357 | ||||||||
| 125,000 | | Radian Group, Inc. 4.875%, 03/15/27 |
| 135,954 |
| ||||
| 100,000 | | RHP Hotel Properties, LP / RHP Finance Corp.* 4.500%, 02/15/29 |
| 101,140 |
| ||||
| 72,000 | | RLJ Lodging Trust, LP* 3.750%, 07/01/26 |
| 73,037 |
| ||||
| 55,000 | | SLM Corp. 4.200%, 10/29/25 |
| 59,602 |
| ||||
| 150,000 | | Starwood Property Trust, Inc.^ 4.750%, 03/15/25 |
| 159,198 |
| ||||
| 90,000 | | StoneX Group, Inc.* 8.625%, 06/15/25 |
| 97,862 |
| ||||
United Wholesale Mortgage, LLC* | ||||||||||
68,000 | 5.500%, 11/15/25 | 70,145 | ||||||||
46,000 | 5.500%, 04/15/29 | 45,824 | ||||||||
96,000 | VICI Properties, LP / VICI Note Company, Inc.* 3.750%, 02/15/27 | 98,953 | ||||||||
XHR, LP* | ||||||||||
98,000 | 6.375%, 08/15/25 | 104,544 | ||||||||
48,000 | 4.875%, 06/01/29 | 49,166 | ||||||||
|
|
| ||||||||
6,865,159 | ||||||||||
|
|
| ||||||||
Health Care (6.9%) | ||||||||||
| 46,000 | | Acadia Healthcare Company, Inc.* 5.000%, 04/15/29 |
| 48,421 |
| ||||
| 240,000 | | Bausch Health Americas, Inc.* 8.500%, 01/31/27 |
| 259,959 |
| ||||
Bausch Health Companies, Inc.* | ||||||||||
125,000 | 5.250%, 02/15/31^ | 117,261 | ||||||||
100,000 | 5.000%, 01/30/28 | 95,719 | ||||||||
39,000 | 5.000%, 02/15/29 | 36,884 |
See accompanying Notes to Schedule of Investments
68
Calamos High Income Opportunities Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
Centene Corp. | ||||||||||
100,000 | 4.250%, 12/15/27 | $ | 105,479 | |||||||
46,000 | 3.000%, 10/15/30 | 47,883 | ||||||||
| 44,000 | | Charles River Laboratories International, Inc.* 3.750%, 03/15/29 |
| 45,147 |
| ||||
CHS/Community Health Systems, Inc.* | ||||||||||
183,000 | 6.125%, 04/01/30 | 185,657 | ||||||||
110,000 | 8.000%, 03/15/26 | 117,995 | ||||||||
49,000 | 6.875%, 04/15/29 | 51,636 | ||||||||
DaVita, Inc.* | ||||||||||
137,000 | 4.625%, 06/01/30 | 141,666 | ||||||||
67,000 | 3.750%, 02/15/31 | 65,238 | ||||||||
Encompass Health Corp. | ||||||||||
45,000 | 4.750%, 02/01/30 | 48,274 | ||||||||
45,000 | 4.500%, 02/01/28 | 46,885 | ||||||||
| 124,000 | | HCA, Inc. 7.500%, 11/06/33 |
| 177,264 |
| ||||
| 210,000 | | Jazz Securities DAC* 4.375%, 01/15/29 |
| 219,267 |
| ||||
| 80,000 | | Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*@ 5.625%, 10/15/23 |
| 53,288 |
| ||||
| 200,000 | | Organon & Company / Organon Foreign Debt Co-Issuer, BV* 5.125%, 04/30/31 |
| 206,260 |
| ||||
| 107,000 | | Team Health Holdings, Inc.*^ 6.375%, 02/01/25 |
| 99,909 |
| ||||
Tenet Healthcare Corp. | ||||||||||
220,000 | 6.250%, 02/01/27* | 229,460 | ||||||||
130,000 | 6.875%, 11/15/31 | 149,093 | ||||||||
125,000 | 4.875%, 01/01/26* | 129,606 | ||||||||
Teva Pharmaceutical Finance Netherlands III, BV | ||||||||||
200,000 | 6.000%, 04/15/24 | 210,460 | ||||||||
180,000 | 2.800%, 07/21/23 | 178,591 | ||||||||
|
|
| ||||||||
3,067,302 | ||||||||||
|
|
| ||||||||
Industrials (11.8%) | ||||||||||
| 90,000 | | Abercrombie & Fitch Management Company* 8.750%, 07/15/25 |
| 99,664 |
| ||||
| 100,000 | | ACCO Brands Corp.*^ 4.250%, 03/15/29 |
| 100,051 |
| ||||
Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC* | ||||||||||
123,000 | 4.875%, 02/15/30 | 133,247 | ||||||||
120,000 | 4.625%, 01/15/27 | 127,004 | ||||||||
46,000 | 3.500%, 03/15/29 | 46,495 | ||||||||
Allison Transmission, Inc.* | ||||||||||
80,000 | 4.750%, 10/01/27 | 83,599 | ||||||||
25,000 | 3.750%, 01/30/31 | 25,024 | ||||||||
| 24,000 | | Ambience Merger Sub, Inc.* 7.125%, 07/15/29 |
| 24,323 |
| ||||
| 20,000 | | American Airlines Group, Inc.*^ 3.750%, 03/01/25 |
| 17,828 |
| ||||
| 49,000 | | Arcosa, Inc.* 4.375%, 04/15/29 |
| 50,232 |
| ||||
| 225,000 | | ARD Finance, SA* 6.500%, 06/30/27 7.250% PIK rate |
| 237,631 |
| ||||
| 79,000 | | Beacon Roofing Supply, Inc.*^ 4.125%, 05/15/29 |
| 79,275 |
|
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 87,000 | | BWX Technologies, Inc.* 4.125%, 04/15/29 | $ | 89,196 |
| ||||
Cascades, Inc. / Cascades USA, Inc.* | ||||||||||
75,000 | 5.125%, 01/15/26 | 79,495 | ||||||||
50,000 | 5.375%, 01/15/28 | 52,699 | ||||||||
Delta Air Lines, Inc. | ||||||||||
23,000 | 7.375%, 01/15/26 | 27,103 | ||||||||
23,000 | 3.800%, 04/19/23 | 23,766 | ||||||||
Delta Air Lines, Inc. / SkyMiles IP, Ltd.* | ||||||||||
23,000 | 4.750%, 10/20/28 | 25,781 | ||||||||
11,000 | 4.500%, 10/20/25 | 11,849 | ||||||||
| 69,000 | | Endure Digital, Inc.* 6.000%, 02/15/29 |
| 67,000 |
| ||||
| 45,000 | | EnerSys* 4.375%, 12/15/27 |
| 47,142 |
| ||||
| 46,000 | | GFL Environmental, Inc.* 3.750%, 08/01/25 |
| 47,390 |
| ||||
Golden Nugget, Inc.* | ||||||||||
65,000 | 6.750%, 10/15/24 | 65,238 | ||||||||
50,000 | 8.750%, 10/01/25^ | 52,730 | ||||||||
| 52,000 | | Graham Packaging Company, Inc.* 7.125%, 08/15/28 |
| 55,676 |
| ||||
| 50,000 | | Granite US Holdings Corp.* 11.000%, 10/01/27 |
| 55,869 |
| ||||
Graphic Packaging International, LLC* | ||||||||||
60,000 | 4.750%, 07/15/27 | 65,110 | ||||||||
44,000 | 3.500%, 03/01/29 | 43,886 | ||||||||
| 22,000 | | Great Lakes Dredge & Dock Corp.* 5.250%, 06/01/29 |
| 22,718 |
| ||||
| 223,000 | | H&E Equipment Services, Inc.* 3.875%, 12/15/28 |
| 221,468 |
| ||||
| 54,000 | | HCRX Investments Holdco, LP* 4.500%, 08/01/29 |
| 55,157 |
| ||||
| 125,000 | | Herc Holdings, Inc.* 5.500%, 07/15/27 |
| 131,382 |
| ||||
Howmet Aerospace, Inc. | ||||||||||
115,000 | 5.125%, 10/01/24 | 126,751 | ||||||||
40,000 | 6.875%, 05/01/25 | 46,578 | ||||||||
| 110,000 | | JELD-WEN, Inc.* 4.625%, 12/15/25 |
| 112,218 |
| ||||
| 43,000 | | KeHE Distributors, LLC / KeHE Finance Corp.* 8.625%, 10/15/26 |
| 46,638 |
| ||||
| 108,000 | | Ken Garff Automotive, LLC* 4.875%, 09/15/28 |
| 111,370 |
| ||||
| 46,000 | | MasTec, Inc.* 4.500%, 08/15/28 |
| 48,545 |
| ||||
| 63,000 | | Meritor, Inc.* 4.500%, 12/15/28 |
| 64,516 |
| ||||
| 60,000 | | Moog, Inc.* 4.250%, 12/15/27 |
| 61,986 |
| ||||
| 130,000 | | Nationstar Mortgage Holdings, Inc.* 5.500%, 08/15/28 |
| 132,322 |
| ||||
| 95,000 | | Novelis Corp.* 4.750%, 01/30/30 |
| 101,304 |
| ||||
| 105,000 | | Park-Ohio Industries, Inc. 6.625%, 04/15/27 |
| 106,856 |
| ||||
Patrick Industries, Inc.* | ||||||||||
50,000 | 7.500%, 10/15/27 | 54,410 | ||||||||
44,000 | 4.750%, 05/01/29 | 44,935 |
See accompanying Notes to Schedule of Investments
69
Calamos High Income Opportunities Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 110,000 | | Peninsula Pacific Entertainment, LLC / Peninsula Pacific Entertainment Finance In* 8.500%, 11/15/27 | $ | 119,445 |
| ||||
| 19,000 | | Picasso Finance Sub, Inc.* 6.125%, 06/15/25 |
| 20,157 |
| ||||
| 100,000 | | QVC, Inc. 4.375%, 09/01/28 |
| 102,821 |
| ||||
| 110,000 | | Reynolds Group Issuer, Inc. / Reynolds Group Issuer, LLC / Reynolds Group Issuer Lu* 4.000%, 10/15/27 |
| 110,024 |
| ||||
| 80,000 | | Scientific Games International, Inc.* 5.000%, 10/15/25 |
| 82,293 |
| ||||
| 44,000 | | SEG Holding, LLC / SEG Finance Corp.*^ 5.625%, 10/15/28 |
| 46,441 |
| ||||
| 86,000 | | Sensata Technologies, Inc.* 3.750%, 02/15/31 |
| 86,861 |
| ||||
Sinclair Television Group, Inc.* | ||||||||||
46,000 | 4.125%, 12/01/30 | 44,656 | ||||||||
45,000 | 5.500%, 03/01/30^ | 45,203 | ||||||||
Standard Industries, Inc.* | ||||||||||
90,000 | 5.000%, 02/15/27 | 93,246 | ||||||||
23,000 | 4.375%, 07/15/30 | 23,672 | ||||||||
Station Casinos, LLC* | ||||||||||
185,000 | 4.500%, 02/15/28 | 186,767 | ||||||||
65,000 | 5.000%, 10/01/25 | 65,905 | ||||||||
| 45,000 | | Stericycle, Inc.* 3.875%, 01/15/29 |
| 45,676 |
| ||||
| 69,000 | | STL Holding Company, LLC* 7.500%, 02/15/26 |
| 72,815 |
| ||||
TransDigm, Inc. | ||||||||||
195,000 | 7.500%, 03/15/27 | 206,887 | ||||||||
125,000 | 6.250%, 03/15/26* | 131,346 | ||||||||
| 44,000 | | Tronox, Inc.* 4.625%, 03/15/29 |
| 44,825 |
| ||||
United Rentals North America, Inc. | ||||||||||
50,000 | 3.750%, 01/15/32 | 50,000 | ||||||||
35,000 | 5.875%, 09/15/26 | 36,200 | ||||||||
22,000 | 3.875%, 02/15/31 | 22,669 | ||||||||
| 75,000 | | Waste Pro USA, Inc.* 5.500%, 02/15/26 |
| 76,608 |
| ||||
WESCO Distribution, Inc.* | ||||||||||
47,000 | 7.125%, 06/15/25 | 50,697 | ||||||||
25,000 | 7.250%, 06/15/28 | 27,873 | ||||||||
| 115,000 | | XPO Logistics, Inc.* 6.750%, 08/15/24 |
| 119,396 |
| ||||
|
|
| ||||||||
5,235,940 | ||||||||||
|
|
| ||||||||
Information Technology (2.9%) | ||||||||||
| 48,000 | | Booz Allen Hamilton, Inc.* 4.000%, 07/01/29 |
| 49,511 |
| ||||
| 50,000 | | CDK Global, Inc.* 5.250%, 05/15/29 |
| 54,519 |
| ||||
| 112,000 | | CommScope Technologies, LLC* 6.000%, 06/15/25 |
| 113,814 |
| ||||
Dell International, LLC / EMC Corp. | ||||||||||
70,000 | 6.100%, 07/15/27 | 86,603 | ||||||||
40,000 | 5.850%, 07/15/25 | 47,027 | ||||||||
| 48,000 | | Fair Isaac Corp.* 4.000%, 06/15/28 |
| 50,226 |
|
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 100,000 | | KBR, Inc.* 4.750%, 09/30/28 | $ | 101,791 |
| ||||
| 100,000 | | MPH Acquisition Holdings, LLC*^ 5.750%, 11/01/28 |
| 97,270 |
| ||||
| 44,000 | | NCR Corp.* 5.125%, 04/15/29 |
| 45,857 |
| ||||
| 112,000 | | Nielsen Finance, LLC / Nielsen Finance Company* 4.500%, 07/15/29 |
| 113,126 |
| ||||
| 68,000 | | ON Semiconductor Corp.* 3.875%, 09/01/28 |
| 70,853 |
| ||||
| 72,000 | | Open Text Corp.* 3.875%, 02/15/28 |
| 74,529 |
| ||||
| 44,000 | | Playtika Holding Corp.* 4.250%, 03/15/29 |
| 43,931 |
| ||||
| 66,000 | | PTC, Inc.* 4.000%, 02/15/28 |
| 68,394 |
| ||||
| 100,000 | | TTM Technologies, Inc.*^ 4.000%, 03/01/29 |
| 100,749 |
| ||||
Twilio, Inc. | ||||||||||
65,000 | 3.625%, 03/15/29 | 66,859 | ||||||||
23,000 | 3.875%, 03/15/31^ | 24,068 | ||||||||
100,000 | ZoomInfo Technologies, LLC / ZoomInfo Finance Corp.* 3.875%, 02/01/29 | 100,194 | ||||||||
|
|
| ||||||||
1,309,321 | ||||||||||
|
|
| ||||||||
Materials (3.4%) | ||||||||||
| 200,000 | | Alcoa Nederland Holding, BV*^ 4.125%, 03/31/29 |
| 210,522 |
| ||||
| 47,000 | | Allegheny Technologies, Inc.^ 5.875%, 12/01/27 |
| 49,421 |
| ||||
| 75,000 | | ArcelorMittal, SA 7.250%, 10/15/39 |
| 109,604 |
| ||||
| 145,000 | | Clearwater Paper Corp.*^ 4.750%, 08/15/28 |
| 146,721 |
| ||||
Freeport-McMoRan, Inc. | ||||||||||
65,000 | 5.000%, 09/01/27 | 68,687 | ||||||||
48,000 | 5.450%, 03/15/43 | 61,713 | ||||||||
45,000 | 5.400%, 11/14/34 | 57,209 | ||||||||
| 68,000 | | HB Fuller Company 4.250%, 10/15/28 |
| 69,663 |
| ||||
| 87,000 | | Intertape Polymer Group, Inc.* 4.375%, 06/15/29 |
| 89,115 |
| ||||
| 85,000 | | JW Aluminum Continuous Cast Company* 10.250%, 06/01/26 |
| 89,660 |
| ||||
Kaiser Aluminum Corp.* | ||||||||||
50,000 | 4.625%, 03/01/28 | 52,277 | ||||||||
11,000 | 4.500%, 06/01/31 | 11,452 | ||||||||
| 71,000 | | Mercer International, Inc. 5.125%, 02/01/29 |
| 72,504 |
| ||||
New Gold, Inc.* | ||||||||||
30,000 | 6.375%, 05/15/25 | 30,968 | ||||||||
23,000 | 7.500%, 07/15/27 | 24,861 | ||||||||
| 45,000 | | Owens-Brockway Glass Container, Inc.*^ 6.625%, 05/13/27 |
| 48,811 |
| ||||
| 46,000 | | PBF Holding Company, LLC / PBF Finance Corp. 7.250%, 06/15/25 |
| 27,797 |
| ||||
| 110,000 | | Silgan Holdings, Inc. 4.125%, 02/01/28 |
| 114,308 |
| ||||
| 44,000 | | Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc.* 5.125%, 04/01/29 |
| 44,909 |
|
See accompanying Notes to Schedule of Investments
70
Calamos High Income Opportunities Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
75,000 | Univar Solutions USA, Inc.* 5.125%, 12/01/27 | $ | 78,676 | |||||||
46,000 | Valvoline, Inc.* 3.625%, 06/15/31 | 45,856 | ||||||||
|
| |||||||||
1,504,734 | ||||||||||
|
| |||||||||
Real Estate (0.9%) | ||||||||||
71,000 | EPR Properties 3.750%, 08/15/29 | 72,108 | ||||||||
Forestar Group, Inc.* | ||||||||||
67,000 | 5.000%, 03/01/28 | 69,840 | ||||||||
23,000 | 3.850%, 05/15/26 | 23,350 | ||||||||
| 68,000 | | iStar, Inc. 5.500%, 02/15/26 | 71,392 | ||||||
Service Properties Trust | ||||||||||
125,000 | 4.350%, 10/01/24 | 126,169 | ||||||||
45,000 | 5.250%, 02/15/26 | 45,551 | ||||||||
|
| |||||||||
408,410 | ||||||||||
|
| |||||||||
Utilities (0.9%) | ||||||||||
72,000 | Calpine Corp.* 4.500%, 02/15/28 | 74,319 | ||||||||
139,000 | PPL Capital Funding, Inc. 2.812%, 03/30/67 3 mo. USD LIBOR + 2.67% | 136,294 | ||||||||
Talen Energy Supply, LLC* | ||||||||||
55,000 | 10.500%, 01/15/26 | 37,967 | ||||||||
25,000 | 7.250%, 05/15/27 | 22,824 | ||||||||
100,000 | TerraForm Power Operating, LLC* 5.000%, 01/31/28 | 108,282 | ||||||||
|
| |||||||||
379,686 | ||||||||||
|
| |||||||||
TOTAL CORPORATE BONDS (Cost $33,728,658) | 35,207,599 | |||||||||
|
| |||||||||
|
| |||||||||
CONVERTIBLE BONDS (0.8%) | ||||||||||
Consumer Discretionary (0.8%) | ||||||||||
179,000 | DISH Network Corp. 2.375%, 03/15/24 | 173,456 | ||||||||
Liberty Interactive, LLC | ||||||||||
95,000 | 4.000%, 11/15/29 | 73,210 | ||||||||
60,000 | 3.750%, 02/15/30 | 46,286 | ||||||||
40,000 | Peloton Interactive, Inc.* 0.000%, 02/15/26 | 37,851 | ||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS (Cost $367,385) | 330,803 | |||||||||
|
| |||||||||
|
| |||||||||
BANK LOANS (11.4%) ¡ | ||||||||||
Airlines (0.5%) | ||||||||||
95,000 | AAdvantage Loyalty IP, Ltd. 5.500%, 04/20/28 3 mo. LIBOR + 4.75% | 97,814 | ||||||||
| 124,688 | | United Airlines, Inc. 4.500%, 04/21/28 1 mo. LIBOR + 3.75% |
| 125,070 |
| ||||
|
| |||||||||
222,884 | ||||||||||
|
| |||||||||
Communication Services (2.5%) | ||||||||||
| 122,813 | | Clear Channel Outdoor Holdings, Inc. 3.630%, 08/21/26 3 mo. LIBOR + 3.50% |
| 119,448 |
|
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 270,000 | | DIRECTV Financing, LLC! 0.000%, 07/21/27 | $ | 269,799 |
| ||||
| 139,650 | | Frontier Communications Corp. 4.500%, 05/01/28 3 mo. LIBOR + 3.75% |
| 139,825 |
| ||||
| 85,000 | | Frontier Communications Corp.! 0.000%, 05/01/28 |
| 85,107 |
| ||||
| 84,274 | | iHeartCommunications, Inc. 3.092%, 05/01/26 1 mo. LIBOR + 3.00% |
| 83,274 |
| ||||
| 233,900 | | Intelsat Jackson Holdings S.A. 8.625%, 01/02/24 |
| 238,620 |
| ||||
| 190,000 | | Intelsat Jackson Holdings, SA 8.750%, 01/02/24 3 mo. PRIME + 5.50% |
| 194,003 |
| ||||
|
| |||||||||
1,130,076 | ||||||||||
|
| |||||||||
Consumer Discretionary (2.4%) | ||||||||||
50,000 | At Home Group, Inc.! 0.000%, 07/30/28 | 50,063 | ||||||||
| 25,000 | | At Home Group, Inc. 4.750%, 07/30/28 3 mo. LIBOR + 4.25% |
| 25,031 |
| ||||
| 99,500 | | Life Time Fitness, Inc. 5.750%, 12/16/24 3 mo. LIBOR + 4.75% |
| 99,563 |
| ||||
| 144,234 | | Meredith Corp. 5.250%, 01/31/25 3 mo. LIBOR + 4.25% |
| 147,450 |
| ||||
| 159,600 | | Petco Health and Wellness Company, Inc. 4.000%, 03/03/28 3 mo. LIBOR + 3.25% |
| 159,088 |
| ||||
| 190,000 | | PetSmart, Inc. 4.500%, 02/12/28 6 mo. LIBOR + 3.75% |
| 190,166 |
| ||||
| 72,319 | | Rent-A-Center, Inc. 4.750%, 02/17/28 1 mo. LIBOR + 4.00% |
| 72,680 |
| ||||
| 40,000 | | Rent-A-Center, Inc.! 0.000%, 02/17/28 |
| 40,200 |
| ||||
| 92,300 | | TKC Holdings, Inc.! 0.000%, 05/15/28 |
| 91,348 |
| ||||
| 23,600 | | TKC Holdings, Inc. 6.500%, 05/15/28 3 mo. LIBOR + 5.50% |
| 23,357 |
| ||||
| 165,000 | | WW International, Inc. 4.000%, 04/13/28 1 mo. LIBOR + 3.50% |
| 164,846 |
| ||||
|
| |||||||||
1,063,792 | ||||||||||
|
| |||||||||
Consumer Staples (0.1%) | ||||||||||
| 49,511 | | United Natural Foods, Inc. 3.592%, 10/22/25 1 mo. LIBOR + 3.50% |
| 49,418 |
| ||||
|
| |||||||||
Energy (0.3%) | ||||||||||
| 115,132 | | Par Pacific Holdings, Inc. 6.870%, 01/12/26 3 mo. LIBOR + 6.75% |
| 114,556 |
| ||||
|
| |||||||||
Health Care (2.7%) | ||||||||||
| 265,261 | | Amneal Pharmaceuticals, LLC 3.625%, 05/04/25 1 mo. LIBOR + 3.50% |
| 257,096 |
|
See accompanying Notes to Schedule of Investments
71
Calamos High Income Opportunities Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 98,862 | | Endo Luxembourg Finance Company I Sarl 5.750%, 03/27/28 3 mo. LIBOR + 5.00% | $ | 96,799 |
| ||||
| 137,239 | | Gentiva Health Services, Inc. 2.875%, 07/02/25 1 mo. LIBOR + 2.75% |
| 136,896 |
| ||||
| 44,030 | | Icon Luxembourg Sarl! 0.000%, 07/03/28 |
| 43,991 |
| ||||
| 40,027 | | Icon Luxembourg Sarl 3.000%, 07/03/28 3 mo. LIBOR + 2.25% |
| 39,991 |
| ||||
| 10,970 | | Icon Luxembourg Sarl! 0.000%, 07/03/28 |
| 10,960 |
| ||||
| 9,973 | | Icon Luxembourg Sarl 3.000%, 07/03/28 3 mo. LIBOR + 2.25% |
| 9,964 |
| ||||
| 237,428 | | Mallinckrodt International Finance S.A. 6.000%, 09/24/24 6 mo. LIBOR + 4.75% |
| 231,444 |
| ||||
| 115,000 | | Padagis, LLC 5.250%, 07/06/28 3 mo. LIBOR + 4.75% |
| 115,359 |
| ||||
| 265,302 | | Team Health Holdings, Inc. 3.750%, 02/06/24 1 mo. LIBOR + 2.75% |
| 257,468 |
| ||||
|
| |||||||||
1,199,968 | ||||||||||
|
| |||||||||
Industrials (1.6%) | ||||||||||
| 50,000 | | ACProducts, Inc. 4.750%, 05/05/28 6 mo. LIBOR + 4.25% |
| 49,754 |
| ||||
| 60,000 | | Air Canada! 0.000%, 07/28/28 |
| 60,175 |
| ||||
| 176,040 | | Berry Global, Inc. 1.850%, 07/01/26 1 mo. LIBOR + 1.75% |
| 174,185 |
| ||||
| 93,300 | | BW Gas & Convenience Holdings, LLC 4.000%, 03/17/28 1 mo. LIBOR + 3.50% |
| 93,533 |
| ||||
| 93,816 | | Dun & Bradstreet Corp. 3.336%, 02/06/26 1 mo. LIBOR + 3.25% |
| 93,142 |
| ||||
| 98,273 | | Granite Holdings US Acquisition Company 4.147%, 09/30/26 3 mo. LIBOR + 4.00% |
| 98,273 |
| ||||
| 152,634 | | Scientific Games International, Inc. 2.842%, 08/14/24 1 mo. LIBOR + 2.75% |
| 150,588 |
| ||||
|
| |||||||||
719,650 | ||||||||||
|
| |||||||||
Information Technology (1.1%) | ||||||||||
| 60,000 | | AP Core Holdings II, LLC! 0.000%, 07/21/27 |
| 59,813 |
| ||||
| 217,235 | | Banff Merger Sub, Inc. 3.842%, 10/02/25 1 mo. LIBOR + 3.75% |
| 215,702 |
| ||||
| 123,125 | | Camelot U.S. Acquisition 1 Company 3.092%, 10/30/26 1 mo. LIBOR + 3.00% |
| 122,094 |
|
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 102,868 | | VFH Parent, LLC 3.085%, 03/01/26 1 mo. LIBOR + 3.00% | $ | 102,262 |
| ||||
|
| |||||||||
499,871 | ||||||||||
|
| |||||||||
Materials (0.2%) | ||||||||||
| 79,000 | | Innophos, Inc. 3.592%, 02/07/27 1 mo. LIBOR + 3.50% |
| 78,951 |
| ||||
|
| |||||||||
TOTAL BANK LOANS (Cost $5,102,873) |
| 5,079,166 |
| |||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES |
|
| VALUE | |||||||
COMMON STOCKS (1.8%) | ||||||||||
Communication Services (0.1%) | ||||||||||
1,527 | Cumulus Media, Inc. - Class A# | 18,003 | ||||||||
1,545 | Lumen Technologies, Inc. | 19,266 | ||||||||
|
| |||||||||
37,269 | ||||||||||
|
| |||||||||
Energy (1.7%) | ||||||||||
4,064 | Calfrac Well Services, Ltd.# | 11,745 | ||||||||
1,068 | Chaparral Energy, Inc. - Class A# | 40,584 | ||||||||
341 | Chesapeake Energy Corp.^ | 18,431 | ||||||||
215 | Chevron Corp. | 21,889 | ||||||||
448 | Denbury, Inc.# | 29,438 | ||||||||
3,276 | Diamond Offshore Drilling, Inc.# | 19,410 | ||||||||
4,210 | Energy Transfer, LP | 41,511 | ||||||||
4,560 | Enterprise Products Partners, LP | 102,919 | ||||||||
660 | EP Energy Corp.&# | 65,340 | ||||||||
648 | Gulfport Energy Operating Corp.# | 44,258 | ||||||||
5,561 | Lonestar Resources US, Inc.#& | 54,776 | ||||||||
1,285 | Magellan Midstream Partners, LP | 59,881 | ||||||||
221 | Oasis Petroleum, Inc. | 20,268 | ||||||||
790 | Schlumberger, NV | 22,776 | ||||||||
1,523 | Superior Energy Services, Inc.# | 59,397 | ||||||||
2,145 | Targa Resources Corp. | 90,326 | ||||||||
1,565 | Weatherford International, PLC^# | 27,294 | ||||||||
345 | Whiting Petroleum Corp.# | 16,181 | ||||||||
965 | Williams Companies, Inc. | 24,173 | ||||||||
|
| |||||||||
770,597 | ||||||||||
|
| |||||||||
Industrials (0.0%) | ||||||||||
18,627 | McDermott International, Inc.# | 6,166 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost $1,133,792) |
| 814,032 |
| |||||||
|
| |||||||||
|
| |||||||||
PREFERRED STOCKS (1.3%) | ||||||||||
Communication Services (0.2%) | ||||||||||
| 3,875 | | United States Cellular Corp. 6.250%, 09/01/69 |
| 107,648 |
| ||||
|
| |||||||||
Consumer Discretionary (0.3%) | ||||||||||
590 | Guitar Center, Inc. | 67,039 | ||||||||
| 463 | | Qurate Retail, Inc. 8.000%, 03/15/31 |
| 50,226 |
| ||||
|
| |||||||||
117,265 | ||||||||||
|
|
See accompanying Notes to Schedule of Investments
72
Calamos High Income Opportunities Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
Energy (0.8%) | ||||||||||
| 6,130 | | NuStar Energy, LP 7.625%, 06/15/22 3 mo. USD LIBOR + 5.64% | $ | 142,829 |
| ||||
| 3,692 | | NuStar Energy, LP 8.500%, 12/15/21 3 mo. USD LIBOR + 6.77% |
| 93,001 |
| ||||
4,185 | NuStar Logistics, LP 6.860%, 01/15/43 3 mo. USD LIBOR + 6.73% | 105,755 | ||||||||
|
| |||||||||
341,585 | ||||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (Cost $573,059) |
| 566,498 |
| |||||||
|
| |||||||||
|
| |||||||||
WARRANTS (0.1%) # | ||||||||||
Energy (0.1%) | ||||||||||
| 392 | | Chesapeake Energy Corp. 02/09/26, Strike $32.13 |
| 9,800 |
| ||||
| 352 | | Chesapeake Energy Corp. 02/09/26, Strike $27.63 |
| 10,078 |
| ||||
| 217 | | Chesapeake Energy Corp. 02/09/26, Strike $36.18 |
| 4,679 |
| ||||
| 548 | | Denbury, Inc. 09/18/25, Strike $32.59 |
| 18,210 |
| ||||
| 210 | | Denbury, Inc. 09/18/23, Strike $35.41 |
| 6,289 |
| ||||
| 4,950 | | Mcdermott International, Ltd. 06/30/27, Strike $15.98 |
| 1 |
| ||||
| 4,455 | | Mcdermott International, Ltd. 06/30/27, Strike $12.33 |
| 0 |
| ||||
|
| |||||||||
TOTAL WARRANTS (Cost $127,391) |
| 49,057 |
| |||||||
|
| |||||||||
EXCHANGE-TRADED FUND (1.0%) | ||||||||||
Other (1.0%) | ||||||||||
| 5,065 | | iShares iBoxx High Yield Corporate Bond ETF^ (Cost $441,871) |
| 444,910 |
| ||||
|
| |||||||||
|
| |||||||||
CONVERTIBLE PREFERRED STOCK (0.0%) | ||||||||||
Energy (0.0%) | ||||||||||
| 2 | | Gulfport Energy Operating Corp. (Cost $1,596) |
| 9,850 |
| ||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (5.4%) | | ||||||||
| 2,408,256 | | State Street Navigator Securities Lending Government Money Market Portfolio (Cost $2,408,256) |
| 2,408,256 |
| ||||
|
| |||||||||
|
|
|
|
| VALUE | |||||
TOTAL INVESTMENTS (101.0%) | $ | 44,910,171 |
| |||||
|
| |||||||
|
| |||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-5.4%) | (2,408,256) | |||||||
|
| |||||||
OTHER ASSETS, LESS LIABILITIES (4.4%) | 1,950,017 | |||||||
|
| |||||||
NET ASSETS (100.0%) | $ | 44,451,932 | ||||||
|
| |||||||
|
|
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. |
& | Illiquid security. |
@ | In default status and considered non-income producing. |
| Variable rate security. The rate shown is the rate in effect at July 31, 2021. |
¡ | 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. |
| Represents investment of cash collateral received from securities on loan as of July 31, 2021. |
See accompanying Notes to Schedule of Investments
73
Calamos Short-Term Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
CORPORATE BONDS (62.2%) | ||||||||||
Airlines (1.4%) | ||||||||||
556,433 |
| Air Canada Pass Through Trust Series 2015-1, Class B* 3.875%, 09/15/24 | $ | 563,940 | ||||||
366,399 | Air Canada Pass Through Trust Series 2015-2, Class B* 5.000%, 06/15/25 | 371,866 | ||||||||
384,233 | Alaska Airlines Pass Through Trust Series 2020-1, Class B* 8.000%, 02/15/27 | 429,634 | ||||||||
253,648 | British Airways Pass Through Trust Series 2013-1, Class A* 4.625%, 12/20/25 | 267,294 | ||||||||
198,471 | Southwest Airlines Company Pass Through Trust Series 2007-1 6.650%, 08/01/22 | 203,794 | ||||||||
150,000 | Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.* 8.000%, 09/20/25 | 169,222 | ||||||||
326,973 | UAL Pass Through Trust Series 2007-1 6.636%, 01/02/24 | 338,587 | ||||||||
244,946 | United Airlines Pass Through Trust Series 2014-2, Class B 4.625%, 03/03/24 | 250,906 | ||||||||
|
|
| ||||||||
2,595,243 | ||||||||||
|
|
| ||||||||
Communication Services (3.1%) | ||||||||||
500,000 | Ashtead Capital, Inc.* 4.125%, 08/15/25 | 511,435 | ||||||||
AT&T, Inc. | ||||||||||
250,000 | 1.700%, 03/25/26 | 253,895 | ||||||||
250,000 | 0.900%, 03/25/24 | 250,698 | ||||||||
500,000 | Bell Canada 0.750%, 03/17/24 | 503,235 | ||||||||
223,000 | Charter Communications Operating, LLC / Charter Communications Operating Capital 4.464%, 07/23/22 | 230,169 | ||||||||
350,000 | Cogent Communications Group, Inc.*^ 3.500%, 05/01/26 | 360,685 | ||||||||
300,000 | Crown Castle Towers, LLC* 3.720%, 07/15/43 | 310,193 | ||||||||
Netflix, Inc. | ||||||||||
250,000 | 5.500%, 02/15/22 | 256,780 | ||||||||
250,000 | 3.625%, 06/15/25* | 268,952 | ||||||||
500,000 | NTT Finance Corp.* 0.583%, 03/01/24 | 500,530 | ||||||||
250,000 | Qwest Corp. 6.750%, 12/01/21 | 254,805 | ||||||||
500,000 | Sirius XM Radio, Inc.* 3.875%, 08/01/22 | 500,000 | ||||||||
250,000 | Sprint Corp. 7.875%, 09/15/23 | 283,150 | ||||||||
31,250 | Sprint Spectrum Company, LLC / Sprint Spectrum Company II, LLC / Sprint Spectrum Company III, LLC* 3.360%, 03/20/23 | 31,370 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
T-Mobile USA, Inc. | ||||||||||
250,000 | 4.000%, 04/15/22 | $ | 254,720 | |||||||
250,000 | 2.625%, 04/15/26 | 256,183 | ||||||||
250,000 | 2.250%, 02/15/26 | 253,228 | ||||||||
500,000 | Verizon Communications, Inc. 0.750%, 03/22/24 | 502,405 | ||||||||
|
|
| ||||||||
5,782,433 | ||||||||||
|
|
| ||||||||
Consumer Discretionary (5.3%) | ||||||||||
American Honda Finance Corp. | ||||||||||
500,000 | 0.650%, 09/08/23 | 502,920 | ||||||||
250,000 | 0.550%, 07/12/24 | 249,585 | ||||||||
250,000 | BMW US Capital, LLC*^ 2.950%, 04/14/22 | 254,745 | ||||||||
500,000 | Cargill, Inc.* 3.250%, 11/15/21 | 504,365 | ||||||||
250,000 | Daimler Finance North America, LLC* 3.400%, 02/22/22 | 254,343 | ||||||||
Ford Motor Credit Company, LLC | ||||||||||
500,000 | 3.370%, 11/17/23 | 518,845 | ||||||||
250,000 | 3.350%, 11/01/22 | 255,775 | ||||||||
250,000 | 3.339%, 03/28/22 | 253,305 | ||||||||
250,000 | General Motors Company 5.400%, 10/02/23 | 274,277 | ||||||||
200,000 | goeasy, Ltd.* 4.375%, 05/01/26 | 206,328 | ||||||||
500,000 | Hasbro, Inc. 2.600%, 11/19/22 | 513,445 | ||||||||
Lennar Corp. | ||||||||||
500,000 | 4.750%, 11/15/22 | 521,655 | ||||||||
250,000 | 4.500%, 04/30/24 | 272,320 | ||||||||
500,000 | M/I Homes, Inc. 5.625%, 08/01/25 | 514,915 | ||||||||
500,000 | Macys, Inc.* 8.375%, 06/15/25 | 545,525 | ||||||||
500,000 | Mattel, Inc.* 3.375%, 04/01/26 | 520,555 | ||||||||
250,000 | MGM Resorts International 6.000%, 03/15/23 | 264,298 | ||||||||
500,000 | Newell Brands, Inc. 4.350%, 04/01/23 | 523,790 | ||||||||
250,000 | Nissan Motor Acceptance Corp.* 1.050%, 03/08/24 | 250,183 | ||||||||
500,000 | Nordstrom, Inc. 2.300%, 04/08/24 | 498,840 | ||||||||
500,000 | Panasonic Corp.* 2.536%, 07/19/22 | 509,015 | ||||||||
250,000 | Target Corp. 2.250%, 04/15/25 | 263,600 | ||||||||
605,000 | Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc.* 5.875%, 04/15/23 | 642,794 | ||||||||
Toll Brothers Finance Corp. | ||||||||||
500,000 | 4.375%, 04/15/23 | 522,735 | ||||||||
250,000 | 4.875%, 11/15/25 | 280,517 | ||||||||
|
|
| ||||||||
9,918,675 | ||||||||||
|
|
| ||||||||
Consumer Staples (1.8%) | ||||||||||
200,000 | Hormel Foods Corp. 0.650%, 06/03/24 | 200,694 | ||||||||
750,000 | Keurig Dr Pepper, Inc. 0.750%, 03/15/24 | 751,252 | ||||||||
653,000 | Land O Lakes, Inc.* 6.000%, 11/15/22 | 688,491 |
See accompanying Notes to Schedule of Investments
74
Calamos Short-Term Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
McCormick & Company Inc/MD | ||||||||||
350,000 | 2.700%, 08/15/22 | $ | 358,008 | |||||||
300,000 | 0.900%, 02/15/26 | 297,597 | ||||||||
Mondelez International Holdings Netherlands, BV* | ||||||||||
500,000 | 2.000%, 10/28/21 | 501,375 | ||||||||
250,000 | 2.125%, 09/19/22 | 255,070 | ||||||||
250,000 | PepsiCo, Inc. 2.250%, 03/19/25 | 263,747 | ||||||||
|
|
| ||||||||
3,316,234 | ||||||||||
|
|
| ||||||||
Energy (1.7%) | ||||||||||
750,000 | Baltimore Gas and Electric Company 2.800%, 08/15/22 | 764,512 | ||||||||
500,000 | EQT Corp.* 3.125%, 05/15/26 | 514,780 | ||||||||
500,000 | Halliburton Company 3.250%, 11/15/21 | 500,495 | ||||||||
250,000 | ONEOK, Inc. 2.750%, 09/01/24 | 263,093 | ||||||||
500,000 | Phillips 66 4.300%, 04/01/22 | 513,095 | ||||||||
500,000 | Saudi Arabian Oil Company* 2.750%, 04/16/22 | 508,485 | ||||||||
|
|
| ||||||||
3,064,460 | ||||||||||
|
|
| ||||||||
Financials (27.3%) | ||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||||
500,000 | 2.875%, 08/14/24^ | 523,010 | ||||||||
150,000 | 4.450%, 12/16/21 | 151,724 | ||||||||
55,000 | Aflac, Inc. 1.125%, 03/15/26 | 55,448 | ||||||||
Ally Financial, Inc. | ||||||||||
250,000 | 3.050%, 06/05/23 | 260,752 | ||||||||
250,000 | 1.450%, 10/02/23 | 253,943 | ||||||||
American Express Company | ||||||||||
250,000 | 3.700%, 11/05/21 | 251,525 | ||||||||
250,000 | 2.750%, 05/20/22 | 254,515 | ||||||||
250,000 | American International Group, Inc. 4.875%, 06/01/22 | 259,250 | ||||||||
750,000 | Ameriprise Financial, Inc. 3.000%, 03/22/22 | 763,425 | ||||||||
500,000 | Aon Corp. 2.200%, 11/15/22 | 512,090 | ||||||||
680,000 | Ares Capital Corp. 3.500%, 02/10/23 | 705,201 | ||||||||
Aviation Capital Group, LLC* | ||||||||||
750,000 | 2.875%, 01/20/22^ | 756,270 | ||||||||
250,000 | 3.875%, 05/01/23 | 261,875 | ||||||||
Bank of America Corp. | ||||||||||
250,000 | 2.456%, 10/22/25 3 mo. USD LIBOR + 0.87% | 262,085 | ||||||||
250,000 | 1.658%, 03/11/27 SOFR + 0.91% | 254,108 | ||||||||
250,000 | 0.981%, 09/25/25 SOFR + 0.91% | 250,620 | ||||||||
Bank of Montreal | ||||||||||
500,000 | 2.050%, 11/01/22^ | 511,450 | ||||||||
500,000 | 0.625%, 07/09/24 | 500,920 | ||||||||
500,000 | Bank of New York Mellon Corp. 1.950%, 08/23/22 | 509,240 | ||||||||
Bank of Nova Scotia | ||||||||||
500,000 | 0.700%, 04/15/24 | 501,845 | ||||||||
200,000 | 0.650%, 07/31/24 | 200,286 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
750,000 | Barclays, PLC 1.007%, 12/10/24 1 year CMT + 0.80% | $ | 752,812 | |||||||
Buffalo State College Foundation Housing Corp. | ||||||||||
450,000 | 2.100%, 11/01/22 | 456,654 | ||||||||
400,000 | 2.000%, 11/01/21 | 401,367 | ||||||||
500,000 | Capital One Financial Corp. 2.600%, 05/11/23 | 518,875 | ||||||||
250,000 | Caterpillar Financial Services Corp. 2.950%, 02/26/22 | 253,920 | ||||||||
Charles Schwab Corp. | ||||||||||
250,000 | 0.900%, 03/11/26 | 250,175 | ||||||||
250,000 | 0.750%, 03/18/24^ | 252,070 | ||||||||
500,000 | Citigroup, Inc. 0.981%, 05/01/25 SOFR + 0.67% | 502,790 | ||||||||
250,000 | Citizens Bank NA/Providence RI 3.250%, 02/14/22 | 253,390 | ||||||||
475,000 | Credit Acceptance Corp.* 5.125%, 12/31/24 | 491,425 | ||||||||
Credit Suisse AG/New York NY | ||||||||||
500,000 | 1.000%, 05/05/23 | 505,475 | ||||||||
250,000 | 0.495%, 02/02/24 | 249,540 | ||||||||
750,000 | Danske Bank, A/S* 3.001%, 09/20/22 3 mo. USD LIBOR + 1.25% | 752,317 | ||||||||
250,000 | Discover Bank 2.450%, 09/12/24 | 261,945 | ||||||||
500,000 | ERP Operating, LP 4.625%, 12/15/21 | 502,540 | ||||||||
1,250,000 | European Bank for Reconstruction & Development 0.500%, 11/25/25 | 1,241,950 | ||||||||
1,000,000 | European Investment Bank 0.250%, 09/15/23 | 999,850 | ||||||||
500,000 | Fifth Third Bancorp 4.300%, 01/16/24 | 542,090 | ||||||||
500,000 | FNB Corp/PA 2.200%, 02/24/23 | 508,540 | ||||||||
500,000 | Franklin Resources, Inc. 2.800%, 09/15/22 | 513,865 | ||||||||
Goldman Sachs Group, Inc. | ||||||||||
500,000 | 0.855%, 02/12/26 SOFR + 0.61% | 498,060 | ||||||||
250,000 | 0.627%, 11/17/23 SOFR + 0.54% | 250,158 | ||||||||
150,000 | 5.750%, 01/24/22 | 153,942 | ||||||||
350,000 | HAT Holdings I, LLC / HAT Holdings II, LLC* 3.375%, 06/15/26 | 353,969 | ||||||||
500,000 | Huntington National Bank 1.800%, 02/03/23 | 510,800 | ||||||||
Hyundai Capital America* | ||||||||||
250,000 | 3.950%, 02/01/22 | 254,215 | ||||||||
250,000 | 3.000%, 06/20/22 | 255,382 | ||||||||
250,000 | 2.375%, 02/10/23 | 256,340 | ||||||||
250,000 | 0.875%, 06/14/24 | 249,453 | ||||||||
Inter-American Development Bank | ||||||||||
1,000,000 | 1.750%, 04/14/22 | 1,011,610 | ||||||||
1,000,000 | 1.750%, 03/14/25^ | 1,043,550 | ||||||||
1,000,000 | 0.149%, 03/15/22 3 mo. USD LIBOR + 0.03% | 1,000,320 | ||||||||
333,000 | Intercontinental Exchange, Inc. 0.700%, 06/15/23 | 335,025 |
See accompanying Notes to Schedule of Investments
75
Calamos Short-Term Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
International Bank for Reconstruction & Development | ||||||||||
1,000,000 | 1.625%, 02/10/22 | $ | 1,008,120 | |||||||
1,000,000 | 1.625%, 01/15/25 | 1,038,700 | ||||||||
300,000 | Jaguar Holding Company II / Pharmaceutical Product Development, LLC* 4.625%, 06/15/25 | 314,937 | ||||||||
JPMorgan Chase & Company | ||||||||||
500,000 | 0.824%, 06/01/25 SOFR + 0.54% | 500,895 | ||||||||
250,000 | 1.578%, 04/22/27 SOFR + 0.89% | 253,208 | ||||||||
250,000 | KeyBank NA/Cleveland OH^ 0.423%, 01/03/24 SOFR + 0.34% | 250,313 | ||||||||
2,000,000 | Kreditanstalt fuer Wiederaufbau^ 2.500%, 02/15/22 | 2,026,120 | ||||||||
750,000 | Lloyds Banking Group, PLC 0.695%, 05/11/24 1 year CMT + 0.55% | 752,805 | ||||||||
500,000 | LSEGA Financing, PLC*^ 0.650%, 04/06/24 | 501,255 | ||||||||
250,000 | Macquarie Bank, Ltd.* 2.100%, 10/17/22 | 255,620 | ||||||||
650,000 | Macquarie Group, Ltd.* 4.150%, 03/27/24 3 mo. USD LIBOR + 1.33% | 687,186 | ||||||||
750,000 | Mizuho Financial Group, Inc. 2.721%, 07/16/23 3 mo. USD LIBOR + 0.84% | 767,152 | ||||||||
Morgan Stanley | ||||||||||
750,000 | 0.731%, 04/05/24 SOFR + 0.62% | 752,677 | ||||||||
| 500,000 | | 0.790%, 05/30/25 SOFR + 0.53% | 499,525 | ||||||
National Bank of Canada | ||||||||||
500,000 | 2.150%, 10/07/22* | 510,755 | ||||||||
250,000 | 2.100%, 02/01/23 | 256,452 | ||||||||
500,000 | National Securities Clearing Corp.* 1.200%, 04/23/23 | 507,710 | ||||||||
| 500,000 | | Nordea Bank Abp* 1.000%, 06/09/23 | 506,255 | ||||||
1,000,000 | Nordic Investment Bank 0.375%, 09/11/25 | 989,400 | ||||||||
1,000,000 | Oesterreichische Kontrollbank, AG 1.500%, 02/12/25 | 1,032,770 | ||||||||
OneMain Finance Corp. | ||||||||||
500,000 | 6.875%, 03/15/25 | 568,405 | ||||||||
200,000 | 6.125%, 05/15/22 | 207,886 | ||||||||
| 500,000 | | Pacific Life Global Funding II*^ 0.500%, 09/23/23 | 502,200 | ||||||
250,000 | PNC Financial Services Group, Inc. 2.200%, 11/01/24 | 262,765 | ||||||||
| 250,000 | | Prudential Financial, Inc. 4.500%, 11/16/21 | 252,998 | ||||||
500,000 | Reliance Standard Life Global Funding II* 3.850%, 09/19/23 | 534,305 | ||||||||
Royal Bank of Canada | ||||||||||
250,000 | 1.950%, 01/17/23 | 256,160 | ||||||||
250,000 | 0.875%, 01/20/26 | 248,493 | ||||||||
| 750,000 | | Santander Holdings USA, Inc. 3.700%, 03/28/22 | 763,642 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
SBA Tower Trust* | ||||||||||
500,000 | 1.631%, 05/15/51 | $ | 506,799 | |||||||
165,000 | 3.722%, 04/09/48 | 167,092 | ||||||||
| 250,000 | | Shell International Finance, BV 2.000%, 11/07/24 | 260,775 | ||||||
750,000 | Skandinaviska Enskilda Banken, AB* 3.050%, 03/25/22 | 763,807 | ||||||||
State Street Corp. | ||||||||||
500,000 | 2.354%, 11/01/25 SOFR + 0.94% | 527,465 | ||||||||
250,000 | 2.825%, 03/30/23 SOFR + 2.69% | 254,273 | ||||||||
Svensk Exportkredit, AB | ||||||||||
1,000,000 | 2.375%, 03/09/22 | 1,013,260 | ||||||||
500,000 | 0.500%, 08/26/25 | 496,205 | ||||||||
500,000 | 0.375%, 07/30/24 | 498,630 | ||||||||
Toronto-Dominion Bank | ||||||||||
500,000 | 0.750%, 06/12/23 | 503,995 | ||||||||
250,000 | 1.200%, 06/03/26^ | 252,553 | ||||||||
250,000 | 0.750%, 09/11/25^ | 248,905 | ||||||||
250,000 | 0.750%, 01/06/26 | 248,328 | ||||||||
Truist Financial Corp. | ||||||||||
250,000 | 3.050%, 06/20/22 | 255,650 | ||||||||
250,000 | 2.200%, 03/16/23 | 257,417 | ||||||||
| 500,000 | | UBS AG/London* 0.450%, 02/09/24 | 498,485 | ||||||
| 500,000 | | USAA Capital Corp.* 1.500%, 05/01/23 | 510,600 | ||||||
500,000 | Ventas Realty, LP 3.125%, 06/15/23 | 520,555 | ||||||||
500,000 | VICI Properties, LP / VICI Note Company, Inc.*^ 3.500%, 02/15/25 | 511,815 | ||||||||
100,000 | Weingarten Realty Investors 3.375%, 10/15/22 | 102,731 | ||||||||
500,000 | Wells Fargo & Company 1.654%, 06/02/24 SOFR + 1.60% | 510,925 | ||||||||
500,000 | Zions Bancorp NA 3.350%, 03/04/22 | 507,695 | ||||||||
|
|
| ||||||||
50,810,665 | ||||||||||
|
|
| ||||||||
Health Care (3.9%) | ||||||||||
AbbVie, Inc. | ||||||||||
250,000 | 3.375%, 11/14/21 | 252,217 | ||||||||
250,000 | 2.300%, 11/21/22 | 256,317 | ||||||||
300,000 | Anthem, Inc. 2.375%, 01/15/25 | 315,099 | ||||||||
AstraZeneca, PLC | ||||||||||
250,000 | 2.375%, 06/12/22 | 254,265 | ||||||||
250,000 | 0.700%, 04/08/26 | 246,563 | ||||||||
250,000 | Bausch Health Companies, Inc.* 5.500%, 11/01/25 | 255,597 | ||||||||
250,000 | Bristol-Myers Squibb Company 3.550%, 08/15/22 | 258,497 | ||||||||
250,000 | Cigna Corp. 0.613%, 03/15/24 | 250,163 | ||||||||
750,000 | Elanco Animal Health, Inc. 4.912%, 08/27/21 | 752,505 | ||||||||
Gilead Sciences, Inc. | ||||||||||
500,000 | 3.250%, 09/01/22 | 513,690 | ||||||||
500,000 | 0.750%, 09/29/23 | 500,350 | ||||||||
GlaxoSmithKline Capital, PLC | ||||||||||
500,000 | 2.850%, 05/08/22 | 510,205 | ||||||||
250,000 | 0.534%, 10/01/23 | 250,675 |
See accompanying Notes to Schedule of Investments
76
Calamos Short-Term Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
750,000 |
| Humana, Inc. 0.650%, 08/03/23 | $ | 750,000 | ||||||
400,000 | Illumina, Inc. 0.550%, 03/23/23 | 400,728 | ||||||||
500,000 | Royalty Pharma, PLC* 0.750%, 09/02/23 | 501,810 | ||||||||
250,000 | Stryker Corp. 0.600%, 12/01/23 | 250,113 | ||||||||
500,000 | Tenet Healthcare Corp.* 4.625%, 09/01/24 | 512,285 | ||||||||
250,000 | Zoetis, Inc. 3.250%, 08/20/21 | 250,353 | ||||||||
|
|
| ||||||||
7,281,432 | ||||||||||
|
|
| ||||||||
Industrials (6.6%) | ||||||||||
Air Lease Corp. | ||||||||||
520,000 | 3.500%, 01/15/22 | 527,426 | ||||||||
250,000 | 2.250%, 01/15/23^ | 256,287 | ||||||||
500,000 | Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC* 3.500%, 02/15/23 | 513,265 | ||||||||
500,000 | Avolon Holdings Funding, Ltd.* 3.625%, 05/01/22 | 510,035 | ||||||||
250,000 | Berry Global, Inc.* 0.950%, 02/15/24 | 250,848 | ||||||||
500,000 | BMW Finance, NV* 2.250%, 08/12/22 | 510,225 | ||||||||
250,000 | Boeing Company^ 2.300%, 08/01/21 | 250,000 | ||||||||
100,000 | GATX Corp. 0.896%, 11/05/21 3 mo. USD LIBOR + 0.72% | 100,035 | ||||||||
500,000 | Graphic Packaging International, LLC* 0.821%, 04/15/24 | 498,270 | ||||||||
210,000 | GXO Logistics, Inc.* 1.650%, 07/15/26 | 210,013 | ||||||||
77,167 | Hawaiian Airlines Pass Through Certificates Series 2013-1, Class B 4.950%, 07/15/23 | 76,938 | ||||||||
Honeywell International, Inc. | ||||||||||
500,000 | 0.483%, 08/19/22 | 500,070 | ||||||||
250,000 | 1.350%, 06/01/25 | 255,827 | ||||||||
250,000 | Huntington Ingalls Industries, Inc. 3.844%, 05/01/25 | 273,920 | ||||||||
500,000 | Infor, Inc.* 1.450%, 07/15/23 | 506,665 | ||||||||
John Deere Capital Corp. | ||||||||||
250,000 | 2.950%, 04/01/22 | 254,600 | ||||||||
250,000 | 0.700%, 07/05/23 | 251,975 | ||||||||
500,000 | Leidos, Inc. 2.950%, 05/15/23 | 519,565 | ||||||||
500,000 | Nestle Holdings, Inc.*^ 0.375%, 01/15/24 | 499,095 | ||||||||
17,000 | Park Aerospace Holdings, Ltd.* 5.250%, 08/15/22 | 17,744 | ||||||||
350,000 | QVC, Inc. 4.850%, 04/01/24 | 379,869 | ||||||||
Roper Technologies, Inc. | ||||||||||
500,000 | 2.800%, 12/15/21 | 503,715 | ||||||||
250,000 | 1.000%, 09/15/25 | 250,173 | ||||||||
250,000 | 0.450%, 08/15/22 | 250,313 | ||||||||
500,000 | Ryder System, Inc. 2.875%, 06/01/22 | 509,685 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
250,000 |
| Sensata Technologies, BV* 4.875%, 10/15/23 | $ | 268,112 | ||||||
Siemens Financieringsmaatschappij, NV* | ||||||||||
500,000 | 1.700%, 09/15/21 | 500,875 | ||||||||
500,000 | 0.650%, 03/11/24 | 501,950 | ||||||||
250,000 | 0.400%, 03/11/23 | 250,560 | ||||||||
1,000,000 | SMBC Aviation Capital Finance DAC* 4.125%, 07/15/23 | 1,062,810 | ||||||||
400,000 | Teledyne Technologies, Inc. 0.950%, 04/01/24 | 400,464 | ||||||||
Volkswagen Group of America Finance, LLC* | ||||||||||
250,000 | 0.875%, 11/22/23 | 251,312 | ||||||||
250,000 | 0.750%, 11/23/22 | 251,000 | ||||||||
|
|
| ||||||||
12,163,641 | ||||||||||
|
|
| ||||||||
Information Technology (3.9%) | ||||||||||
300,000 | CDW, LLC / CDW Finance Corp. 4.125%, 05/01/25 | 311,799 | ||||||||
500,000 | Fidelity National Information Services, Inc. 0.600%, 03/01/24 | 500,235 | ||||||||
250,000 | Fortinet, Inc. 1.000%, 03/15/26 | 249,288 | ||||||||
Hewlett Packard Enterprise Company | ||||||||||
300,000 | 2.250%, 04/01/23 | 308,226 | ||||||||
250,000 | 1.450%, 04/01/24 | 254,500 | ||||||||
225,000 | 3.500%, 10/05/21 | 225,673 | ||||||||
300,000 | HP, Inc.* 1.450%, 06/17/26 | 300,915 | ||||||||
500,000 | Intuit, Inc. 0.650%, 07/15/23 | 503,345 | ||||||||
500,000 | KLA Corp. 4.650%, 11/01/24 | 558,645 | ||||||||
250,000 | Microchip Technology, Inc.* 0.972%, 02/15/24 | 250,610 | ||||||||
250,000 | NetApp, Inc. 1.875%, 06/22/25 | 258,547 | ||||||||
500,000 | NVIDIA Corp. 2.200%, 09/16/21 | 500,370 | ||||||||
500,000 | Oracle Corp. 2.400%, 09/15/23 | 518,015 | ||||||||
750,000 | PayPal Holdings, Inc. 2.200%, 09/26/22 | 767,115 | ||||||||
375,000 | PTC, Inc.* 3.625%, 02/15/25 | 385,897 | ||||||||
400,000 | Seagate HDD Cayman 4.250%, 03/01/22 | 406,980 | ||||||||
250,000 | Square, Inc.* 2.750%, 06/01/26 | 255,850 | ||||||||
750,000 | VMware, Inc. - Class A 1.000%, 08/15/24 | 752,505 | ||||||||
|
|
| ||||||||
7,308,515 | ||||||||||
|
|
| ||||||||
Materials (0.9%) | ||||||||||
250,000 | Ball Corp. 4.000%, 11/15/23 | 265,965 | ||||||||
203,000 | Clearwater Paper Corp.* 5.375%, 02/01/25 | 217,421 | ||||||||
250,000 | Georgia-Pacific, LLC* 0.625%, 05/15/24 | 250,660 | ||||||||
500,000 | Martin Marietta Materials, Inc. 0.650%, 07/15/23 | 501,040 |
See accompanying Notes to Schedule of Investments
77
Calamos Short-Term Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
500,000 |
| Sealed Air Corp.* 4.875%, 12/01/22 | $ | 519,790 | ||||||
|
|
| ||||||||
1,754,876 | ||||||||||
|
|
| ||||||||
Other (0.1%) | ||||||||||
250,000 | Toyota Motor Credit Corp. 0.800%, 01/09/26 | 248,652 | ||||||||
|
|
| ||||||||
Real Estate (1.6%) | ||||||||||
250,000 | American Tower Corp. 0.600%, 01/15/24 | 250,028 | ||||||||
500,000 | Equinix, Inc. 1.000%, 09/15/25 | 499,690 | ||||||||
300,000 | Federal Realty Investment Trust 1.250%, 02/15/26 | 301,263 | ||||||||
500,000 | Kimco Realty Corp. 3.125%, 06/01/23 | 521,085 | ||||||||
500,000 | Service Properties Trust 5.000%, 08/15/22 | 507,410 | ||||||||
250,000 | Simon Property Group, LP 2.000%, 09/13/24 | 259,807 | ||||||||
500,000 | Welltower, Inc. 3.625%, 03/15/24 | 536,350 | ||||||||
|
|
| ||||||||
2,875,633 | ||||||||||
|
|
| ||||||||
Utilities (4.6%) | ||||||||||
250,000 | AES Corp.* 1.375%, 01/15/26 | 249,690 | ||||||||
500,000 | Alexander Funding Trust* 1.841%, 11/15/23 | 509,080 | ||||||||
American Electric Power Company, Inc. | ||||||||||
510,000 | 3.650%, 12/01/21 | 515,773 | ||||||||
500,000 | 0.750%, 11/01/23 | 500,465 | ||||||||
500,000 | CMS Energy Corp. 3.600%, 11/15/25 | 549,180 | ||||||||
250,000 | Consolidated Edison, Inc. 0.650%, 12/01/23 | 250,195 | ||||||||
500,000 | Dominion Energy, Inc.*** 2.715%, 08/15/21 | 500,405 | ||||||||
300,000 | DPL, Inc. 4.125%, 07/01/25 | 322,251 | ||||||||
250,000 | DTE Energy Company 2.250%, 11/01/22 | 255,737 | ||||||||
500,000 | Duke Energy Carolinas, LLC 3.350%, 05/15/22 | 512,675 | ||||||||
300,000 | Entergy Corp. 0.900%, 09/15/25 | 298,104 | ||||||||
250,000 | Entergy Louisiana, LLC 0.620%, 11/17/23 | 250,248 | ||||||||
750,000 | Georgia Power Company 2.100%, 07/30/23 | 775,807 | ||||||||
250,000 | National Rural Utilities Cooperative Finance Corp. 1.000%, 06/15/26 | 250,163 | ||||||||
NextEra Energy Capital Holdings, Inc. | ||||||||||
500,000 | 2.900%, 04/01/22 | 508,845 | ||||||||
167,000 | 0.650%, 03/01/23 | 167,630 | ||||||||
500,000 | Pacific Gas and Electric Company 1.750%, 06/16/22 | 499,690 | ||||||||
100,000 | PPL Capital Funding, Inc. 2.812%, 03/30/67 3 mo. USD LIBOR + 2.67% | 98,053 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
250,000 |
| Public Service Electric and Gas Company 0.950%, 03/15/26 | $ | 250,647 | ||||||
250,000 | Southern Company 0.600%, 02/26/24 | 250,735 | ||||||||
250,000 | Southern Power Company 0.900%, 01/15/26 | 248,083 | ||||||||
500,000 | WEC Energy Group, Inc. 0.800%, 03/15/24 | 502,710 | ||||||||
250,000 | Wisconsin Public Service Corp. 3.350%, 11/21/21 | 252,330 | ||||||||
|
|
| ||||||||
8,518,496 | ||||||||||
|
|
| ||||||||
TOTAL CORPORATE BONDS (Cost $113,787,938) | 115,638,955 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
CONVERTIBLE BONDS (0.6%) | ||||||||||
Communication Services (0.3%) | ||||||||||
650,000 | Twitter, Inc. 1.000%, 09/15/21 | 651,515 | ||||||||
|
|
| ||||||||
Financials (0.3%) | ||||||||||
500,000 | Prospect Capital Corp. 4.950%, 07/15/22 | 518,880 | ||||||||
|
|
| ||||||||
TOTAL CONVERTIBLE BONDS (Cost $1,149,588) | 1,170,395 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
U.S. GOVERNMENT AND AGENCY SECURITIES (4.4%) | ||||||||||
U.S. Treasury Note | ||||||||||
2,000,000 | 2.000%, 05/31/24 | 2,094,766 | ||||||||
2,000,000 | 1.750%, 07/31/24^ | 2,084,219 | ||||||||
2,000,000 | 0.125%, 02/15/24^ | 1,993,281 | ||||||||
1,000,000 | 1.375%, 06/30/23^ | 1,023,086 | ||||||||
1,000,000 | 1.250%, 08/31/24^ | 1,027,109 | ||||||||
|
|
| ||||||||
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $7,991,877) | 8,222,461 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
SOVEREIGN BOND (0.3%) | ||||||||||
500,000 | Kommunalbanken, AS* 0.500%, 01/13/26 (Cost $498,356) | 495,705 | ||||||||
|
|
| ||||||||
|
|
| ||||||||
BANK LOANS (8.0%) ¡ | ||||||||||
Airlines (0.3%) | ||||||||||
470,000 | AAdvantage Loyalty IP, Ltd. 5.500%, 04/20/28 3 mo. LIBOR + 4.75% | 483,924 | ||||||||
|
|
| ||||||||
Communication Services (1.0%) | ||||||||||
491,269 | CSC Holdings, LLC 2.593%, 04/15/27 1 mo. LIBOR + 2.50% | 485,917 | ||||||||
695,164 | Go Daddy Operating Company, LLC 1.842%, 02/15/24 1 mo. LIBOR + 1.75% | 688,212 | ||||||||
696,410 | SBA Senior Finance II, LLC 1.850%, 04/11/25 1 mo. LIBOR + 1.75% | 690,184 | ||||||||
|
|
| ||||||||
1,864,313 | ||||||||||
|
|
|
See accompanying Notes to Schedule of Investments
78
Calamos Short-Term Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
Consumer Discretionary (0.4%) | ||||||||||
748,125 |
| Murphy USA, Inc. 2.250%, 01/31/28 1 mo. LIBOR + 1.75% | $ | 748,435 | ||||||
|
|
| ||||||||
Consumer Staples (0.6%) | ||||||||||
696,500 | Energizer Holdings, Inc. 2.750%, 12/22/27 1 mo. LIBOR + 2.25% | 693,453 | ||||||||
346,577 | United Natural Foods, Inc. 3.592%, 10/22/25 1 mo. LIBOR + 3.50% | 345,927 | ||||||||
|
|
| ||||||||
1,039,380 | ||||||||||
|
|
| ||||||||
Energy (0.2%) | ||||||||||
337,500 | DT Midstream, Inc. 2.500%, 06/26/28 6 mo. LIBOR + 2.00% | 337,048 | ||||||||
37,500 | DT Midstream, Inc. 2.500%, 06/26/28 3 mo. LIBOR + 2.00% | 37,450 | ||||||||
|
|
| ||||||||
374,498 | ||||||||||
|
|
| ||||||||
Financials (0.5%) | ||||||||||
500,000 | Jazz Financing Lux S.a.r.l. 4.000%, 05/05/28 1 mo. LIBOR + 3.50% | 501,250 | ||||||||
505,992 | Level 3 Financing, Inc. 1.842%, 03/01/27 1 mo. LIBOR + 1.75% | 496,031 | ||||||||
|
|
| ||||||||
997,281 | ||||||||||
|
|
| ||||||||
Health Care (1.1%) | ||||||||||
636,923 | Avantor, Inc.! 0.000%, 11/21/24 | 635,862 | ||||||||
698,250 | Catalent Pharma Solutions Inc. 2.500%, 02/22/28 1 mo. LIBOR + 2.00% | 700,344 | ||||||||
185,000 | HCA, Inc. 1.842%, 06/23/28 1 mo LIBOR + 1.75% | 186,272 | ||||||||
320,218 | Icon Luxembourg Sarl! 0.000%, 07/03/28 | 319,931 | ||||||||
80,054 | Icon Luxembourg Sarl 3.000%, 07/03/28 3 mo. LIBOR + 2.50% | 79,983 | ||||||||
79,782 | Icon Luxembourg Sarl! 0.000%, 07/03/28 | 79,711 | ||||||||
19,946 | Icon Luxembourg Sarl 3.000%, 07/03/28 3 mo. LIBOR + 2.50% | 19,928 | ||||||||
|
|
| ||||||||
2,022,031 | ||||||||||
|
|
| ||||||||
Industrials (2.1%) | ||||||||||
700,000 | AECOM Technology Corporation 1.842%, 04/13/28 1 mo LIBOR + 1.75% | 699,563 | ||||||||
748,125 | Horizon Therapeutics USA, Inc. 2.500%, 03/15/28 1 mo. LIBOR + 2.00% | 741,859 | ||||||||
678,300 | Spectrum Brands, Inc. 2.500%, 03/03/28 3 mo. LIBOR + 2.00% | 673,002 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
488,769 |
| TransDigm, Inc. 2.342%, 12/09/25 1 mo. LIBOR + 2.25% | $ | 480,782 | ||||||
591,976 | United Rentals, Inc. 1.842%, 10/31/25 1 mo. LIBOR + 1.75% | 594,844 | ||||||||
750,000 | XPO Logistics, Inc. 1.881%, 02/24/25 3 mo. LIBOR + 1.75% | 744,428 | ||||||||
|
|
| ||||||||
3,934,478 | ||||||||||
|
|
| ||||||||
Information Technology (1.5%) | ||||||||||
696,500 | Dell International, LLC 2.000%, 09/19/25 1 mo. LIBOR + 1.75% | 696,270 | ||||||||
696,456 | ON Semiconductor Corporation 2.092%, 09/19/26 1 mo. LIBOR + 2.00% | 690,090 | ||||||||
696,401 | Open Text Corporation 1.842%, 05/30/25 1 mo. LIBOR + 1.75% | 697,084 | ||||||||
748,125 | Playtika Holding Corp. 2.842%, 03/13/28 1 mo. LIBOR + 2.75% | 743,778 | ||||||||
|
|
| ||||||||
2,827,222 | ||||||||||
|
|
| ||||||||
Information Technology (0.3%) | ||||||||||
248,750 | Camelot U.S. Acquisition 1 Co. 4.000%, 10/30/26 1 mo. LIBOR + 3.00% | 249,022 | ||||||||
246,250 | Camelot U.S. Acquisition 1 Company 3.092%, 10/30/26 1 mo. LIBOR + 3.00% | 244,188 | ||||||||
|
|
| ||||||||
493,210 | ||||||||||
|
|
| ||||||||
TOTAL BANK LOANS (Cost $14,860,540) | 14,784,772 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
ASSET BACKED SECURITIES (14.4%) | ||||||||||
Communication Services (0.8%) | ||||||||||
1,000,000 | Verizon Owner Trust 2020-A 1.980%, 07/22/24 | 1,026,453 | ||||||||
500,000 | Verizon Owner Trust 2020-B 0.470%, 02/20/25 | 501,774 | ||||||||
|
|
| ||||||||
1,528,227 | ||||||||||
|
|
| ||||||||
Consumer Discretionary (0.8%) | ||||||||||
1,500,000 | Avis Budget Rental Car Funding AESOP, LLC* 3.070%, 09/20/23 | 1,538,040 | ||||||||
|
|
| ||||||||
Financials (10.1%) | ||||||||||
500,000 | American Tower Trust #1 Series 2013-2A* 3.070%, 03/15/48 | 502,701 | ||||||||
239,643 | Commonbond Student Loan Trust 2019-A-GS* 2.540%, 01/25/47 | 247,007 | ||||||||
547,076 | Commonbond Student Loan Trust Series 2017-BGS, Class A1* 2.680%, 09/25/42 | 554,313 |
See accompanying Notes to Schedule of Investments
79
Calamos Short-Term Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
355,471 |
| Commonbond Student Loan Trust Series 2021-AGS, Class A* 1.200%, 03/25/52 | $ | 355,309 | ||||||
1,000,000 | Credit Acceptance Auto Loan Trust 2020-3* 1.240%, 10/15/29 | 1,010,317 | ||||||||
500,000 | Dell Equipment Finance Trust 2020-2* 0.570%, 10/23/23 | 501,823 | ||||||||
300,000 | Dell Equipment Finance Trust Series 2021-1, Class B* 0.710%, 05/22/26 | 301,120 | ||||||||
1,000,000 | DT Auto Owner Trust 2020-1* 2.160%, 05/15/24 | 1,008,857 | ||||||||
565,676 | Enterprise Fleet Financing 2019- 3, LLC* 2.060%, 05/20/25 | 572,720 | ||||||||
1,000,000 | Ford Credit Floorplan Master Owner Trust A 2.840%, 03/15/24 | 1,016,265 | ||||||||
36,102 | GM Financial Consumer Automobile Receivables Trust 2018-3 3.020%, 05/16/23 | 36,368 | ||||||||
1,500,000 | Hertz Vehicle Financing, LLC* 1.210%, 12/26/25 | 1,509,925 | ||||||||
1,000,000 | Kubota Credit Owner Trust 2020-1* 1.960%, 03/15/24 | 1,018,016 | ||||||||
269,451 | MMAF Equipment Finance, LLC 2019-B* 2.070%, 10/12/22 | 270,381 | ||||||||
924,833 | Navient Private Education Refi Loan Trust 2020-B* 2.120%, 01/15/69 | 939,122 | ||||||||
1,200,000 | NextGear Floorplan Master Owner Trust* 3.210%, 02/15/24 | 1,219,103 | ||||||||
860,000 | Oscar US Funding Trust XII, LLC Series 2021-1A, Class A4* 1.000%, 04/10/28 | 860,035 | ||||||||
998,292 | Palmer Square Loan Funding 2019-3, Ltd.* 1.005%, 08/20/27 3 mo. USD LIBOR + 0.85% | 997,114 | ||||||||
792,000 | Progress Residentiall Trust Series 2021-SFR5, Class B* 1.658%, 07/17/38 | 796,542 | ||||||||
118,881 | SoFi Consumer Loan Program 2019-2 Trust* 3.010%, 04/25/28 | 119,071 | ||||||||
267,527 | Sofi Professional Loan Program 2016-E, LLC* 2.490%, 01/25/36 | 269,254 | ||||||||
85,521 | SoFi Professional Loan Program 2020-ATrust* 2.060%, 05/15/46 | 85,763 | ||||||||
594,131 | SoFi Professional Loan Program 2020-C Trust* 1.950%, 02/15/46 | 603,611 | ||||||||
1,615,000 | Toyota Auto Loan Extended Note Trust 2019-1* 2.560%, 11/25/31 | 1,705,370 | ||||||||
1,525,000 | Volvo Financial Equipment, LLC Series 2018-1* 2.910%, 01/17/23 | 1,536,526 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
238,338 |
| Volvo Financial Equipment, LLC Series 2018-1* 2.760%, 10/17/22 | $ | 239,344 | ||||||
500,000 | World Omni Select Auto Trust 2020-A 0.550%, 07/15/25 | 501,348 | ||||||||
|
|
| ||||||||
18,777,325 | ||||||||||
|
|
| ||||||||
Other (2.5%) | ||||||||||
1,209,000 | CNH Equipment Trust 2020-A 2.300%, 10/15/27 | 1,261,460 | ||||||||
500,000 | CNH Equipment Trust 2020-A 1.160%, 06/16/25 | 504,703 | ||||||||
500,000 | HPEFS Equipment Trust 2021-1* 0.570%, 03/20/31 | 500,516 | ||||||||
447,807 | MVW Owner Trust 2019-1* 2.890%, 11/20/36 | 461,942 | ||||||||
201,915 | SCF Equipment Leasing 2019-2, LLC* 2.220%, 06/20/24 | 203,400 | ||||||||
500,000 | SCF Equipment Leasing 2020-1, LLC* 1.190%, 10/20/27 | 503,185 | ||||||||
770,000 | SCF Equipment Leasing, LLC Series 2021-1A, Class A3* 0.830%, 08/21/28 | 770,399 | ||||||||
400,000 | Tesla Auto Lease Trust 2020-A* 0.680%, 12/20/23 | 401,877 | ||||||||
|
|
| ||||||||
4,607,482 | ||||||||||
|
|
| ||||||||
Utilities (0.2%) | ||||||||||
378,589 | Harley-Davidson Motorcycle Trust 2020-A 1.870%, 10/15/24 | 382,138 | ||||||||
|
|
| ||||||||
TOTAL ASSET BACKED SECURITIES (Cost $26,543,350) | 26,833,212 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES (1.5%) | ||||||||||
1,548,000 | CSAIL 2017-CX9 Commercial Mortgage Trust 3.054%, 09/15/50 | 1,585,217 | ||||||||
71,652 | Morgan Stanley Capital I Trust 2018-H3 3.176%, 07/15/51 | 73,334 | ||||||||
212,723 | Wells Fargo Commercial Mortgage Trust 2015-LC20 2.678%, 04/15/50 | 215,054 | ||||||||
627,794 | Wells Fargo Commercial Mortgage Trust 2017-RC1 3.118%, 01/15/60 | 633,594 | ||||||||
75,193 | WFRBS Commercial Mortgage Trust 2012-C10 2.453%, 12/15/45 | 75,995 | ||||||||
150,816 | WFRBS Commercial Mortgage Trust 2014-LC14 3.522%, 03/15/47 | 155,851 | ||||||||
|
|
| ||||||||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $2,702,594) | 2,739,045 | |||||||||
|
|
| ||||||||
|
|
|
See accompanying Notes to Schedule of Investments
80
Calamos Short-Term Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
MUNICIPAL OBLIGATIONS (6.1%) | ||||||||||
Airlines (0.1%) | ||||||||||
250,000 |
| Dallas Fort Worth International Airport 1.041%, 11/01/23 | $ | 253,019 | ||||||
|
|
| ||||||||
Other (5.5%) | ||||||||||
400,000 | Alaska Housing Finance Corp. 0.846%, 12/01/23 | 399,342 | ||||||||
250,000 | Armada Area Schools 0.950%, 05/01/25 | 252,206 | ||||||||
250,000 | Capitol Area Community Development Corp. 0.957%, 10/01/21 | 249,621 | ||||||||
155,000 | City of Auburn CA 0.961%, 06/01/25 | 155,314 | ||||||||
210,000 | City of Freeport IL 1.027%, 01/01/22 | 210,532 | ||||||||
300,000 | City of Willows CA 0.770%, 08/01/23 | 300,849 | ||||||||
240,000 | City of Willows CA 0.720%, 08/01/22 | 240,607 | ||||||||
290,000 | Cloverleaf Local School District 0.839%, 03/01/22 | 290,588 | ||||||||
150,000 | Colorado Housing and Finance Authority 0.858%, 11/01/24 | 149,257 | ||||||||
175,000 | Cook County School District No 94 0.700%, 12/01/21 | 175,001 | ||||||||
250,000 | Corona-Norco Unified School District 1.000%, 09/01/25 | 251,637 | ||||||||
250,000 | County of Bergen NJ 2.000%, 11/01/23 | 259,069 | ||||||||
295,000 | County of San Diego CA 0.600%, 10/01/23 | 296,113 | ||||||||
290,000 | County of San Diego CA 0.480%, 10/01/22 | 290,622 | ||||||||
230,000 | Duluth Independent School District No 709 0.710%, 02/01/22 | 229,996 | ||||||||
175,000 | Encinitas Public Financing Authority 1.020%, 10/01/25 | 175,308 | ||||||||
175,000 | Encinitas Public Financing Authority 0.790%, 10/01/24 | 175,353 | ||||||||
250,000 | Galveston Independent School District 5.000%, 02/01/25 | 288,215 | ||||||||
175,000 | Haverstraw-Stony Point Central School District 0.790%, 05/01/23 | 175,382 | ||||||||
200,000 | Indiana Bond Bank Revenue 0.650%, 02/01/24 | 200,185 | ||||||||
200,000 | Indiana Bond Bank Revenue 0.470%, 02/01/23 | 200,082 | ||||||||
500,000 | Lake Central Multi-District School Building Corp. 0.853%, 01/15/24 | 505,611 | ||||||||
215,000 | Minnetonka Independent School District No 276 2.000%, 01/01/24 | 223,307 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
155,000 | Natomas Unified School District 0.700%, 08/01/22 | $ | 155,636 | |||||||
400,000 | San Bernardino City Unified School District 0.792%, 08/01/23 | 403,200 | ||||||||
250,000 | Thornapple Kellogg School District 0.930%, 05/01/25 | 252,059 | ||||||||
300,000 | Torrance Joint Powers Financing Authority 1.239%, 10/01/21 | 300,482 | ||||||||
250,000 | Torrance Joint Powers Financing Authority 1.289%, 10/01/22 | 252,836 | ||||||||
250,000 | Town of Oyster Bay NY 2.000%, 08/15/23 | 256,264 | ||||||||
525,000 | Town of Stratford CT 0.956%, 08/01/24 | 531,318 | ||||||||
100,000 | Ukiah Public Financing Authority 1.370%, 04/01/22 | 99,908 | ||||||||
250,000 | Village of Tarrytown NY 2.000%, 10/15/23 | 258,335 | ||||||||
300,000 | Virginia Housing Development Authority 0.607%, 09/01/23 | 303,526 | ||||||||
250,000 | West Covina Public Financing Authority 1.847%, 08/01/22 | 252,545 | ||||||||
250,000 | West Covina Public Financing Authority 1.747%, 08/01/21 | 250,000 | ||||||||
400,000 | West Mifflin Sanitary Sewer Municipal Authority 1.052%, 08/01/23 | 398,992 | ||||||||
250,000 | West Mifflin Sanitary Sewer Municipal Authority 0.895%, 08/01/22 | 249,663 | ||||||||
340,000 | Williamston Community Schools School District 1.050%, 05/01/25 | 342,772 | ||||||||
200,000 | Woodbury County Law Enforcement Center Authority 0.719%, 06/01/22 | 200,104 | ||||||||
|
|
| ||||||||
10,201,837 | ||||||||||
|
|
| ||||||||
Utilities (0.5%) | ||||||||||
505,000 | Augusta GA Water & Sewer Revenue 4.300%, 10/01/26 | 545,424 | ||||||||
135,000 | City of Fountain Company Electric Water & Wastewater Utility Enterprise Revenue 0.930%, 12/01/23 | 134,396 | ||||||||
100,000 | City of Fountain Company Electric Water & Wastewater Utility Enterprise Revenue 0.870%, 12/01/22 | 99,868 |
See accompanying Notes to Schedule of Investments
81
Calamos Short-Term Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
100,000 | City of Fountain Company Electric Water & Wastewater Utility Enterprise Revenue 0.770%, 12/01/21 | $ | 99,964 | |||||||
|
|
| ||||||||
879,652 | ||||||||||
|
|
| ||||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $11,279,270) | 11,334,508 | |||||||||
|
|
| ||||||||
|
|
| ||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (5.6%) | | ||||||||
10,383,570 | State Street Navigator Securities Lending Government Money Market Portfolio (Cost $10,383,570) | 10,383,570 | ||||||||
|
|
| ||||||||
|
|
| ||||||||
TOTAL INVESTMENTS (103.1%) (Cost $189,197,083) | 191,602,623 | |||||||||
|
|
| ||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-5.6%) | (10,383,570 | ) | |||||||
|
|
| ||||||||
OTHER ASSETS, LESS LIABILITIES (2.5%) | 4,630,197 | |||||||||
|
|
| ||||||||
NET ASSETS (100.0%) | $ | 185,849,250 | ||||||||
|
|
| ||||||||
|
|
|
See accompanying Notes to Schedule of Investments
82
Calamos Short-Term Bond Fund
SCHEDULE OF INVESTMENTS JULY 31, 2021 (UNAUDITED)
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. | |||
| Variable rate security. The rate shown is the rate in effect at July 31, 2021. | |||
** | Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at July 31, 2021. | |||
¡ | 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. | |||
| Represents investment of cash collateral received from securities on loan as of July 31, 2021. |
FUTURES CONTRACTS
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) | ||||||||||
| Buys 50 | | U.S. Treasury Note 5-Year | Sep 2021 | $ | 6,222,266 | $ | 27,632 |
See accompanying Notes to Schedule of Investments
83
Note 1 Organization and Significant Accounting Policies
Organization. CALAMOS INVESTMENT TRUST, a Massachusetts business trust organized December 21, 1987 (the Trust), consists of eighteen series, Market Neutral Income Fund, Hedged Equity Fund, Phineus Long/Short Fund, Convertible Fund, Global Convertible Fund, Timpani Small Cap Growth Fund, Timpani SMID Growth Fund, Growth Fund, Growth and Income Fund, Dividend Growth Fund, Select Fund, International Growth Fund , Evolving World Growth Fund, Global Equity Fund, Global Opportunities Fund (formerly, Global Growth and Income Fund), Total Return Bond Fund, High Income Opportunities Fund, and Short-Term Bond Fund, (each a Fund and collectively the Funds). The Trust is registered under the Investment Company Act of 1940 as amended (the 1940 Act) as an open-end management investment company. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The Trust currently offers Class A, Class C (except Timpani SMID Growth Fund), and Class I shares of each of the Funds (except Short-Term Bond Fund). Class R6 shares are offered in Market Neutral Income Fund, Timpani Small Cap Growth Fund, Timpani SMID Growth Fund, Growth and Income Fund, International Growth Fund and Global Equity Fund only.
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 Funds are 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 Funds:
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 Funds adopted ASU2017-08 as of November 1, 2019, with no material impact on the Funds Schedule of Investments.
Fund Valuation. The valuation of the Funds investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each Fund determines its net asset value (NAV). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time a Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Fixed income securities, 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 respective 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 respective Funds 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.
Each Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Funds 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 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 Funds 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, each 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.
Forward Foreign Currency Contracts. Each Fund 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 Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates.
As of July 31, 2021, the Fund had outstanding forward foreign currency contracts as listed on the Schedule of Investments.
Note 2 Investments
The cost basis of investments (excluding Investments of Collateral for Securities on Loan) for federal income tax purposes at July 31, 2021 was as follows:*
FUND | COST BASIS OF INVESTMENTS | GROSS UNREALIZED APPRECIATION | GROSS UNREALIZED DEPRECIATION | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Market Neutral Income Fund | $ | 8,045,742,458 | $ | 3,582,349,064 | $ | (1,635,669,647 | ) | $ | 1,946,679,417 | |||||||||||
Hedged Equity Fund | 333,902,360 | 168,112,409 | (12,006,080 | ) | 156,106,329 | |||||||||||||||
Phineus Long/Short Fund | 241,247,601 | 70,273,586 | (34,321,053 | ) | 35,952,533 | |||||||||||||||
Convertible Fund | 1,376,210,330 | 287,281,087 | (19,216,818 | ) | 268,064,269 | |||||||||||||||
Global Convertible Fund | 247,517,314 | 39,245,916 | (7,380,450 | ) | 31,865,466 | |||||||||||||||
Timpani Small Cap Growth Fund | 272,955,233 | 98,009,542 | (3,642,313 | ) | 94,367,229 | |||||||||||||||
Timpani SMID Growth Fund | 16,048,509 | 7,654,389 | (176,886 | ) | 7,477,503 | |||||||||||||||
Growth Fund | 1,023,231,354 | 753,332,889 | (4,789,413 | ) | 748,543,476 | |||||||||||||||
Growth and Income Fund | 1,586,480,000 | 1,204,092,412 | (19,707,311 | ) | 1,184,385,101 | |||||||||||||||
Dividend Growth Fund | 9,068,071 | 7,720,223 | (68,412 | ) | 7,651,811 | |||||||||||||||
Select Fund | 33,418,369 | 17,932,035 | (114,400 | ) | 17,817,635 | |||||||||||||||
International Growth Fund | 211,629,344 | 89,035,948 | (2,252,312 | ) | 86,783,636 | |||||||||||||||
Evolving World Growth Fund | 561,160,632 | 118,298,903 | (21,505,191 | ) | 96,793,712 | |||||||||||||||
Global Equity Fund | 89,319,197 | 48,208,781 | (521,771 | ) | 47,687,010 | |||||||||||||||
Global Opportunities Fund (formerly, Global Growth and Income Fund) | 201,259,173 | 65,941,504 | (2,745,441 | ) | 63,196,063 | |||||||||||||||
Total Return Bond Fund | 70,056,730 | 3,378,563 | (370,033 | ) | 3,008,530 | |||||||||||||||
High Income Opportunities Fund | 43,884,881 | 2,000,034 | (974,744 | ) | 1,025,290 | |||||||||||||||
Short-Term Bond Fund | 189,197,083 | 2,585,776 | (152,604 | ) | 2,433,172 |
* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal years federal income tax information, please refer to the Notes to Financial Statements section in the Funds most recent semi-annual or annual report.
Note 3 Short Sales
Securities sold short represent obligations to deliver the securities at a future date. A Fund may sell a security it does not own in anticipation of a decline in the value of that security before the delivery date. When the Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. Dividends paid on securities sold short are disclosed as an expense on the Statements of Operations. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be realized upon the termination of a short sale.
To secure its obligation to deliver to the broker-dealer the securities sold short, the Fund must segregate an amount of cash or liquid securities with its custodian equal to any excess of the current market value of the securities sold short over any cash or liquid securities deposited as collateral with the broker in connection with the short sale (not including the proceeds of the short sale). As a result of that requirement, the Fund will not gain any leverage merely by selling short, except to the extent that it earns interest or other income or gains on the segregated cash or liquid securities while also being subject to the possibility of gain or loss from the securities sold short.