N-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-21484

 

 

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER:

    Calamos Strategic Total Return Fund

 

ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:   

2020 Calamos Court, Naperville

Illinois 60563-2787

NAME AND ADDRESS OF AGENT FOR SERVICE:   

John P. Calamos, Sr., Chairman,

CEO and Co-CIO

Calamos Advisors LLC,

2020 Calamos Court,

Naperville, Illinois

60563-2787

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200

DATE OF FISCAL YEAR END: October 31, 2014

DATE OF REPORTING PERIOD: January 31, 2014

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

Calamos Strategic Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  CORPORATE BONDS (23.2%)   
    Consumer Discretionary (3.6%)   
  899,000       

Bon-Ton Department Stores, Inc.^µ

8.000%, 06/15/21

   $ 872,030   
    DISH DBS Corp.µ  
  9,202,000        5.875%, 07/15/22     9,230,756   
  6,395,000        5.125%, 05/01/20     6,406,991   
  2,483,000       

Dufry Finance, SCAµ*

5.500%, 10/15/20

     2,563,698   
  2,066,000       

Golden Nugget Escrow, Inc.*

8.500%, 12/01/21

     2,112,485   
    Goodyear Tire & Rubber Company  
  3,386,000        7.000%, 05/15/22µ     3,694,972   
  854,000        8.250%, 08/15/20     950,609   
    Icahn Enterprises, LP*  
  3,611,000        6.000%, 08/01/20     3,710,302   
  1,872,000        5.875%, 02/01/22     1,860,300   
  199,000        4.875%, 03/15/19     198,751   
  7,524,000        Jaguar Land Rover Automotive, PLCµ* 8.125%, 05/15/21     8,567,955   
  1,832,000       

Liberty Interactive, LLCµ

8.250%, 02/01/30

     1,949,935   
    Meritage Homes Corp.µ  
  2,468,000        7.000%, 04/01/22     2,646,930   
  1,881,000        7.150%, 04/15/20     2,054,993   
    Neiman Marcus Group LTD, LLC*  
  433,000        8.750%, 10/15/21^     455,733   
  342,000        8.000%, 10/15/21     358,886   
  3,386,000       

Outerwall, Inc.

6.000%, 03/15/19

     3,491,813   
  6,478,000       

Royal Caribbean Cruises, Ltd.µ

7.500%, 10/15/27

     6,927,411   
  4,480,000       

Ryland Group, Inc.µ

5.375%, 10/01/22

     4,320,400   
    Sally Holdings, LLC / Sally Capital, Inc.  
  1,595,000        5.750%, 06/01/22µ     1,623,909   
  692,000        5.500%, 11/01/23     684,215   
  2,167,000       

Service Corp. Internationalµ*

5.375%, 01/15/22

     2,200,859   
     

 

 

  
        66,883,933   
     

 

 

  
    Consumer Staples (0.5%)   
  707,000       

Alphabet Holding Company, Inc.*

7.750%, 11/01/17

     732,629   
    Post Holdings, Inc.µ  
  6,778,000        7.375%, 02/15/22     7,218,570   
  640,000        7.375%, 02/15/22*     682,000   
     

 

 

  
        8,633,199   
     

 

 

  
    Energy (6.2%)   
  4,641,000       

Atwood Oceanics, Inc.µ

6.500%, 02/01/20

     4,971,671   
  4,138,000       

Berry Petroleum Company

6.375%, 09/15/22

     4,215,588   
  1,761,000       

Bonanza Creek Energy, Inc.µ

6.750%, 04/15/21

     1,844,648   
  1,249,000       

BreitBurn Energy Partners, LP /

BreitBurn Finance Corp.

7.875%, 04/15/22

     1,334,088   

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  3,721,000       

Bristow Group, Inc.µ

6.250%, 10/15/22

   $ 3,946,586   
  4,702,000       

Calfrac Holdings, LPµ*

7.500%, 12/01/20

     4,893,019   
    Calumet Specialty Products Partners, LP  
  1,806,000        7.625%, 01/15/22     1,910,974   
  1,949,000        9.375%, 05/01/19µ     2,165,826   
  2,257,000        9.625%, 08/01/20µ     2,565,927   
    Carrizo Oil & Gas, Inc.µ  
  2,283,000        7.500%, 09/15/20     2,499,885   
  2,107,000        8.625%, 10/15/18     2,280,828   
  8,276,000       

Cimarex Energy Companyµ

5.875%, 05/01/22

     8,870,837   
  5,342,000       

Drill Rigs Holdings, Inc.µ*

6.500%, 10/01/17

     5,722,617   
  2,107,000       

Energy Transfer Equity, LP

5.875%, 01/15/24

     2,109,634   
  677,000       

Forum Energy Technologies, Inc.µ*

6.250%, 10/01/21

     713,389   
  8,276,000       

Gulfmark Offshore, Inc.µ

6.375%, 03/15/22

     8,369,105   
  6,019,000       

Holly Energy Partners, LPµ

6.500%, 03/01/20

     6,312,426   
  9,781,000       

Linn Energy, LLCµ*

7.000%, 11/01/19

     9,946,054   
  1,881,000       

Midstates Petroleum Company, Inc. /

Midstates Petroleum Company, LLCµ

10.750%, 10/01/20

     2,047,939   
    Oasis Petroleum, Inc.µ  
  3,736,000        6.500%, 11/01/21^     3,995,185   
  1,129,000        6.875%, 01/15/23     1,215,086   
  1,858,000       

Pioneer Energy Services Corp.µ

9.875%, 03/15/18

     1,965,996   
  4,890,000       

SEACOR Holdings, Inc.µ

7.375%, 10/01/19

     5,382,056   
  3,009,000       

SESI, LLCµ

7.125%, 12/15/21

     3,336,229   
  2,257,000       

SM Energy Companyµ

6.500%, 11/15/21

     2,407,937   
  4,890,000       

Swift Energy Companyµ

8.875%, 01/15/20

     5,198,681   
  2,513,000       

Trinidad Drilling, Ltd.µ*

7.875%, 01/15/19

     2,696,763   
  9,517,000       

W&T Offshore, Inc.µ

8.500%, 06/15/19

     10,183,190   
  1,618,000       

Western Refining, Inc.µ

6.250%, 04/01/21

     1,650,360   
     

 

 

  
        114,752,524   
     

 

 

  
    Financials (1.5%)   
  3,837,000       

AON Corp.µ

8.205%, 01/01/27

     4,691,078   
  828,000       

DuPont Fabros Technology, LP

5.875%, 09/15/21

     859,050   
  6,546,000       

Jefferies Finance, LLCµ*

7.375%, 04/01/20

     6,877,391   
  2,031,000       

Michael Baker International, LLC /

CDL Acquisition Company, Inc.µ*

8.250%, 10/15/18

     2,108,432   
  8,276,000       

Neuberger Berman Group LLCµ*

5.875%, 03/15/22

     8,731,180   
 

 

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL

AMOUNT

                 VALUE  
     
    Nuveen Investments, Inc.*  
  2,483,000        9.500%, 10/15/20^   $ 2,562,146   
  2,483,000        9.125%, 10/15/17     2,545,075   
     

 

 

  
        28,374,352   
     

 

 

  
    Health Care (2.1%)   
    Community Health Systems, Inc.  
  9,254,000        7.125%, 07/15/20µ     9,895,996   
  903,000        6.875%, 02/01/22*     928,397   
  4,138,000       

Endo Health Solutions, Inc.

7.000%, 07/15/19

     4,425,074   
  5,959,000       

Hologic, Inc.µ

6.250%, 08/01/20

     6,238,328   
  1,625,000       

Salix Pharmaceuticals, Ltd.µ*

6.000%, 01/15/21

     1,699,141   
    Valeant Pharmaceuticals International, Inc.µ*  
  6,771,000        7.000%, 10/01/20     7,321,144   
  2,784,000        7.250%, 07/15/22     3,036,300   
  2,310,000        7.500%, 07/15/21     2,578,537   
  1,354,000       

VPII Escrow Corp.µ*

6.750%, 08/15/18

     1,487,708   
     

 

 

  
        37,610,625   
     

 

 

  
    Industrials (2.9%)   
  4,567,000       

ACCO Brands Corp.^

6.750%, 04/30/20

     4,544,165   
  8,276,000       

Belden, Inc.µ*

5.500%, 09/01/22

     8,125,997   
  3,822,000       

Deluxe Corp.µ

6.000%, 11/15/20

     3,958,159   
  1,584,000       

Garda World Security Corp.*

7.250%, 11/15/21

     1,634,490   
  3,465,000       

H&E Equipment Services, Inc.µ

7.000%, 09/01/22

     3,774,684   
  4,424,000       

Navistar International Corp.µ

8.250%, 11/01/21

     4,570,545   
  5,868,000       

Rexel, SAµ*

6.125%, 12/15/19

     6,143,063   
    Terex Corp.µ  
  6,019,000        6.500%, 04/01/20     6,477,949   
  1,038,000        6.000%, 05/15/21     1,078,871   
  1,050,000       

TransDigm, Inc.µ

7.750%, 12/15/18

     1,124,813   
  1,730,000       

United Continental Holdings, Inc.^

6.375%, 06/01/18

     1,817,581   
  8,652,000       

United Rentals North America, Inc.µ

7.625%, 04/15/22

     9,760,537   
     

 

 

  
        53,010,854   
     

 

 

  
    Information Technology (1.6%)   
  737,000       

ACI Worldwide, Inc.µ*

6.375%, 08/15/20

     760,953   
  2,257,000       

Activision Blizzard, Inc.µ*

5.625%, 09/15/21

     2,338,816   
    Amkor Technology, Inc.µ  
  3,386,000        6.625%, 06/01/21^     3,542,602   
  2,317,000        6.375%, 10/01/22     2,379,269   
  1,273,000       

ConvaTec Finance International, SA^*

8.250%, 01/15/19

     1,315,168   
  3,423,000       

iGATE Corp.^

9.000%, 05/01/16

     3,630,519   
  4,890,000       

Nuance Communications, Inc.µ*

5.375%, 08/15/20

     4,792,200   

PRINCIPAL

AMOUNT

                 VALUE  
     
  602,000       

NXP Semiconductors, NV*

5.750%, 03/15/23

   $ 604,258   
  1,688,000       

Sanmina Corp.µ*

7.000%, 05/15/19

     1,796,665   
  2,648,000       

Sungard Data Systems, Inc.µ

6.625%, 11/01/19

     2,780,400   
  5,267,000       

ViaSat, Inc.^µ

6.875%, 06/15/20

     5,563,269   
     

 

 

  
        29,504,119   
     

 

 

  
    Materials (2.3%)   
  926,000       

Chemtura Corp.µ

5.750%, 07/15/21

     947,992   
  9,405,000       

FMG Resources^*

8.250%, 11/01/19

     10,392,525   
  4,138,000       

FQM (Akubra), Inc.µ*

8.750%, 06/01/20

     4,719,906   
  2,408,000       

INEOS Group Holdings, SA^*

6.125%, 08/15/18

     2,475,725   
    New Gold, Inc.µ*  
  6,019,000        7.000%, 04/15/20     6,150,666   
  1,580,000        6.250%, 11/15/22     1,522,725   
    Sealed Air Corp.µ*  
  3,935,000        8.125%, 09/15/19     4,407,200   
  1,256,000        5.250%, 04/01/23     1,242,655   
  1,204,000       

Steel Dynamics, Inc.^

5.250%, 04/15/23

     1,222,060   
  4,356,000       

Trinseo Op/ Trinseo Finance, Inc.*

8.750%, 02/01/19

     4,470,345   
  4,097,000       

United States Steel Corp.^

6.875%, 04/01/21

     4,324,896   
     

 

 

  
        41,876,695   
     

 

 

  
    Telecommunication Services (1.4%)   
  1,472,000       

CenturyLink, Inc.µ

6.750%, 12/01/23

     1,503,140   
  2,543,000       

Frontier Communications Corp.µ

7.625%, 04/15/24

     2,527,106   
    Intelsat, SA*  
  8,276,000        7.750%, 06/01/21     8,901,872   
  602,000        8.125%, 06/01/23     653,923   
  3,348,000       

MetroPCS Wireless, Inc.*

6.625%, 04/01/23

     3,473,550   
    Sprint Corp.*  
  4,800,000        7.875%, 09/15/23µ     5,130,000   
  2,227,000        7.125%, 06/15/24     2,250,662   
  1,516,000        7.250%, 09/15/21µ     1,635,385   
     

 

 

  
        26,075,638   
     

 

 

  
    Utilities (1.1%)   
  2,182,000       

AES Corp.µ

7.375%, 07/01/21

     2,419,293   
  6,132,000       

AmeriGas Finance Corp.µ

7.000%, 05/20/22

     6,668,550   
    Calpine Corp.*  
  7,817,000        7.875%, 01/15/23µ     8,632,899   
  1,642,000        7.500%, 02/15/21     1,799,016   
     

 

 

  
        19,519,758   
     

 

 

  
   

TOTAL CORPORATE BONDS

(Cost $410,101,071)

     426,241,697   
     

 

 

  
 

 

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  CONVERTIBLE BONDS (25.4%)   
    Consumer Discretionary (4.6%)   
  6,000,000       

Iconix Brand Group, Inc.

2.500%, 06/01/16

   $ 7,854,780   
    Jarden Corp.  
  8,300,000        1.500%, 06/15/19µ*     10,089,937   
  8,175,000        1.875%, 09/15/18^     11,455,668   
  25,000,000       

Liberty Interactive, LLC (Time Warner

Cable, Inc., Time Warner, Inc.)µ*§

0.750%, 03/30/43

     30,343,500   
  10,050,000       

Liberty Media Corp.*

1.375%, 10/15/23

     9,350,470   
  10,400,000       

MGM Resorts International^µ

4.250%, 04/15/15

     14,640,756   
     

 

 

  
        83,735,111   
     

 

 

  
    Financials (1.9%)   
    Ares Capital Corp.  
  7,676,000        4.750%, 01/15/18     8,234,275   
  3,458,000        5.750%, 02/01/16µ     3,746,881   
  3,400,000       

IAS Operating Partnership, LP*

5.000%, 03/15/18

     3,241,169   
    MGIC Investment Corp.  
  5,600,000        5.000%, 05/01/17     6,422,556   
  4,500,000        2.000%, 04/01/20     6,296,153   
  2,944,000       

Portfolio Recovery Associates, Inc.µ*

3.000%, 08/01/20

     3,188,220   
  3,500,000       

Starwood Property Trust, Inc.

4.550%, 03/01/18

     4,011,560   
     

 

 

  
        35,140,814   
     

 

 

  
    Health Care (4.6%)   
    BioMarin Pharmaceutical, Inc.  
  7,082,000        0.750%, 10/15/18     7,589,425   
  5,815,000        1.500%, 10/15/20     6,313,026   
  24,200,000       

Cubist Pharmaceuticals, Inc.^*

1.875%, 09/01/20

     28,685,228   
  4,700,000       

Hologic, Inc.^µ‡

2.000%, 12/15/37

     5,380,184   
  2,182,000       

Illumina, Inc.*

0.250%, 03/15/16

     4,017,018   
  8,416,000       

Medidata Solutions, Inc.*

1.000%, 08/01/18

     11,092,877   
  2,138,000       

Molina Healthcare, Inc.*

1.125%, 01/15/20

     2,314,471   
  15,000,000       

WellPoint, Inc.µ

2.750%, 10/15/42

     19,502,100   
     

 

 

  
        84,894,329   
     

 

 

  
    Industrials (1.5%)   
  2,569,000       

Air Lease Corp.^

3.875%, 12/01/18

     3,534,610   
  2,000,000       

Alliant Techsystems, Inc.µ

3.000%, 08/15/24

     3,757,200   
  15,300,000       

Trinity Industries, Inc.^µ

3.875%, 06/01/36

     20,914,105   
     

 

 

  
        28,205,915   
     

 

 

  
    Information Technology (11.2%)   
  12,500,000       

Concur Technologies, Inc.*

0.500%, 06/15/18

     16,111,312   
PRINCIPAL
AMOUNT		                 VALUE  
     
  6,700,000       

Cornerstone OnDemand, Inc.µ*

1.500%, 07/01/18

   $ 8,459,286   
  2,528,000       

Electronic Arts, Inc.

0.750%, 07/15/16

     2,812,362   
  5,900,000       

Finisar Corp.*

0.500%, 12/15/33

     6,301,377   
  5,350,000       

Infinera Corp.*

1.750%, 06/01/18

     5,506,060   
  11,500,000       

JDS Uniphase Corp.^*

0.625%, 08/15/33

     11,786,408   
  9,900,000       

Linear Technology Corp.^µ

3.000%, 05/01/27

     10,888,812   
  9,900,000       

Micron Technology, Inc.µ

1.875%, 06/01/14

     15,965,977   
  12,500,000       

Netsuite, Inc.^*

0.250%, 06/01/18

     14,022,437   
  23,500,000       

Salesforce.com, Inc.^µ*

0.250%, 04/01/18

     27,127,695   
  38,000,000       

SanDisk Corp.^µ*

0.500%, 10/15/20

     37,891,700   
  19,100,000       

ServiceNow, Inc.*

0.000%, 11/01/18

     20,698,001   
  12,800,000       

SINA Corp.*

1.000%, 12/01/18

     11,892,480   
    Workday, Inc.*  
  6,700,000        1.500%, 07/15/20     8,560,155   
  6,700,000        0.750%, 07/15/18µ     8,337,011   
     

 

 

  
        206,361,073   
     

 

 

  
    Materials (1.6%)   
  10,300,000       

Cemex SAB de CV

4.875%, 03/15/15

     12,456,923   
  10,500,000       

Glencore Finance Europe, SAµ

5.000%, 12/31/14

     11,704,443   
  4,000,000       

RTI International Metals, Inc.µ

1.625%, 10/15/19

     4,065,480   
     

 

 

  
        28,226,846   
     

 

 

  
   

TOTAL CONVERTIBLE BONDS

(Cost $425,374,701)

     466,564,088   
     

 

 

  
 
 		 U.S. GOVERNMENT AND AGENCY
SECURITY (0.1%)		   
  
  1,768,000       

United States Treasury Note~

0.125%, 12/31/14

(Cost $1,768,000)

     1,768,069   
     

 

 

  
  SYNTHETIC CONVERTIBLE SECURITIES (9.0%) ¤   
  Corporate Bonds (7.6%)  
    Consumer Discretionary (1.2%)  
  296,000       

Bon-Ton Department Stores, Inc.^µ

8.000%, 06/15/21

     287,120   
    DISH DBS Corp.µ  
  3,028,000        5.875%, 07/15/22     3,037,462   
  2,105,000        5.125%, 05/01/20     2,108,947   
  817,000       

Dufry Finance, SCAµ*

5.500%, 10/15/20

     843,553   
  680,000       

Golden Nugget Escrow, Inc.*

8.500%, 12/01/21

     695,300   
    Goodyear Tire & Rubber Company  
  1,114,000        7.000%, 05/15/22µ     1,215,652   
  281,000        8.250%, 08/15/20     312,788   
 

 

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
    Icahn Enterprises, LP*  
  1,189,000        6.000%, 08/01/20   $ 1,221,697   
  616,000        5.875%, 02/01/22     612,150   
  66,000        4.875%, 03/15/19     65,918   
  2,476,000       

Jaguar Land Rover Automotive, PLCµ*

8.125%, 05/15/21

     2,819,545   
  603,000       

Liberty Interactive, LLCµ

8.250%, 02/01/30

     641,818   
    Meritage Homes Corp.µ  
  812,000        7.000%, 04/01/22     870,870   
  619,000        7.150%, 04/15/20     676,258   
    Neiman Marcus Group LTD, LLC*  
  142,000        8.750%, 10/15/21^     149,455   
  113,000        8.000%, 10/15/21     118,579   
  1,114,000       

Outerwall, Inc.

6.000%, 03/15/19

     1,148,813   
  2,132,000       

Royal Caribbean Cruises, Ltd.µ

7.500%, 10/15/27

     2,279,907   
  1,475,000       

Ryland Group, Inc.µ

5.375%, 10/01/22

     1,422,453   
    Sally Holdings, LLC / Sally Capital, Inc.  
  525,000        5.750%, 06/01/22µ     534,516   
  228,000        5.500%, 11/01/23     225,435   
  713,000       

Service Corp. Internationalµ*

5.375%, 01/15/22

     724,141   
     

 

 

  
        22,012,377   
     

 

 

  
    Consumer Staples (0.2%)  
  233,000       

Alphabet Holding Company, Inc.*

7.750%, 11/01/17

     241,446   
    Post Holdings, Inc.µ  
  2,231,000        7.375%, 02/15/22     2,376,015   
  210,000        7.375%, 02/15/22*     223,781   
     

 

 

  
        2,841,242   
     

 

 

  
    Energy (2.1%)  
  1,528,000       

Atwood Oceanics, Inc.µ

6.500%, 02/01/20

     1,636,870   
  1,362,000       

Berry Petroleum Company

6.375%, 09/15/22

     1,387,538   
  579,000       

Bonanza Creek Energy, Inc.µ

6.750%, 04/15/21

     606,503   
  411,000       

BreitBurn Energy Partners, LP /

BreitBurn Finance Corp.

7.875%, 04/15/22

     438,999   
  1,225,000       

Bristow Group, Inc.µ

6.250%, 10/15/22

     1,299,266   
  1,548,000       

Calfrac Holdings, LPµ*

7.500%, 12/01/20

     1,610,888   
    Calumet Specialty Products Partners, LP  
  743,000        9.625%, 08/01/20µ     844,698   
  641,000        9.375%, 05/01/19µ     712,311   
  594,000        7.625%, 01/15/22     628,526   
    Carrizo Oil & Gas, Inc.µ  
  752,000        7.500%, 09/15/20     823,440   
  693,000        8.625%, 10/15/18     750,173   
  2,724,000       

Cimarex Energy Companyµ

5.875%, 05/01/22

     2,919,787   
  1,758,000       

Drill Rigs Holdings, Inc.µ*

6.500%, 10/01/17

     1,883,257   
  693,000       

Energy Transfer Equity, LP

5.875%, 01/15/24

     693,866   
PRINCIPAL
AMOUNT		                 VALUE  
     
  223,000       

Forum Energy Technologies, Inc.µ*

6.250%, 10/01/21

   $ 234,986   
  2,724,000       

Gulfmark Offshore, Inc.µ

6.375%, 03/15/22

     2,754,645   
  1,981,000       

Holly Energy Partners, LPµ

6.500%, 03/01/20

     2,077,574   
  3,219,000       

Linn Energy, LLCµ*

7.000%, 11/01/19

     3,273,321   
  619,000       

Midstates Petroleum Company, Inc. /

Midstates Petroleum Company, LLCµ

10.750%, 10/01/20

     673,936   
    Oasis Petroleum, Inc.µ  
  1,229,000        6.500%, 11/01/21^     1,314,262   
  371,000        6.875%, 01/15/23     399,289   
  612,000       

Pioneer Energy Services Corp.µ

9.875%, 03/15/18

     647,573   
  1,610,000       

SEACOR Holdings, Inc.µ

7.375%, 10/01/19

     1,772,006   
  991,000       

SESI, LLCµ

7.125%, 12/15/21

     1,098,771   
  743,000       

SM Energy Companyµ

6.500%, 11/15/21

     792,688   
  1,610,000       

Swift Energy Companyµ

8.875%, 01/15/20

     1,711,631   
  827,000       

Trinidad Drilling, Ltd.µ*

7.875%, 01/15/19

     887,474   
  3,133,000       

W&T Offshore, Inc.µ

8.500%, 06/15/19

     3,352,310   
  532,000       

Western Refining, Inc.µ

6.250%, 04/01/21

     542,640   
     

 

 

  
        37,769,228   
     

 

 

  
    Financials (0.5%)  
  1,263,000       

AON Corp.µ

8.205%, 01/01/27

     1,544,131   
  272,000       

DuPont Fabros Technology, LP

5.875%, 09/15/21

     282,200   
  2,154,000       

Jefferies Finance, LLCµ*

7.375%, 04/01/20

     2,263,046   
  669,000       

Michael Baker International, LLC /

CDL Acquisition Company, Inc.µ*

8.250%, 10/15/18

     694,506   
  2,724,000       

Neuberger Berman Group LLCµ*

5.875%, 03/15/22

     2,873,820   
    Nuveen Investments, Inc.*  
  817,000        9.500%, 10/15/20^     843,042   
  817,000        9.125%, 10/15/17     837,425   
     

 

 

  
        9,338,170   
     

 

 

  
    Health Care (0.7%)  
    Community Health Systems, Inc.  
  3,046,000        7.125%, 07/15/20µ     3,257,316   
  297,000        6.875%, 02/01/22*     305,353   
  1,362,000       

Endo Health Solutions, Inc.

7.000%, 07/15/19

     1,456,489   
  1,961,000       

Hologic, Inc.µ

6.250%, 08/01/20

     2,052,922   
  535,000       

Salix Pharmaceuticals, Ltd.µ*

6.000%, 01/15/21

     559,409   
    Valeant Pharmaceuticals International, Inc.µ*  
  2,229,000        7.000%, 10/01/20     2,410,106   
  916,000        7.250%, 07/15/22     999,013   
  760,000        7.500%, 07/15/21     848,350   
 

 

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

PRINCIPAL
AMOUNT		                 VALUE  
     
  446,000       

VPII Escrow Corp.µ*

6.750%, 08/15/18

   $ 490,043   
     

 

 

  
        12,379,001   
     

 

 

  
    Industrials (0.9%)   
  1,503,000       

ACCO Brands Corp.^

6.750%, 04/30/20

     1,495,485   
  2,724,000       

Belden, Inc.µ*

5.500%, 09/01/22

     2,674,628   
  1,258,000       

Deluxe Corp.µ

6.000%, 11/15/20

     1,302,816   
  521,000       

Garda World Security Corp.*

7.250%, 11/15/21

     537,607   
  1,140,000       

H&E Equipment Services, Inc.µ

7.000%, 09/01/22

     1,241,888   
  1,456,000       

Navistar International Corp.µ

8.250%, 11/01/21

     1,504,230   
  1,932,000       

Rexel, SAµ*

6.125%, 12/15/19

     2,022,563   
    Terex Corp.µ  
  1,981,000        6.500%, 04/01/20     2,132,051   
  342,000        6.000%, 05/15/21     355,466   
  345,000       

TransDigm, Inc.µ

7.750%, 12/15/18

     369,581   
  570,000       

United Continental Holdings, Inc.^

6.375%, 06/01/18

     598,856   
  2,848,000       

United Rentals North America, Inc.µ

7.625%, 04/15/22

     3,212,900   
     

 

 

  
        17,448,071   
     

 

 

  
    Information Technology (0.5%)   
  243,000       

ACI Worldwide, Inc.µ*

6.375%, 08/15/20

     250,898   
  743,000       

Activision Blizzard, Inc.µ*

5.625%, 09/15/21

     769,934   
    Amkor Technology, Inc.µ  
  1,114,000        6.625%, 06/01/21^     1,165,522   
  763,000        6.375%, 10/01/22     783,506   
  419,000       

ConvaTec Finance International, SA^*

8.250%, 01/15/19

     432,879   
  1,127,000       

iGATE Corp.^

9.000%, 05/01/16

     1,195,324   
  1,610,000       

Nuance Communications, Inc.µ*

5.375%, 08/15/20

     1,577,800   
  198,000       

NXP Semiconductors, NV*

5.750%, 03/15/23

     198,743   
  555,000       

Sanmina Corp.µ*

7.000%, 05/15/19

     590,728   
  872,000       

Sungard Data Systems, Inc.µ

6.625%, 11/01/19

     915,600   
  1,733,000       

ViaSat, Inc.^µ

6.875%, 06/15/20

     1,830,481   
     

 

 

  
        9,711,415   
     

 

 

  
    Materials (0.7%)   
  305,000       

Chemtura Corp.µ

5.750%, 07/15/21

     312,244   
  3,095,000       

FMG Resources^*

8.250%, 11/01/19

     3,419,975   
  1,362,000       

FQM (Akubra), Inc.µ*

8.750%, 06/01/20

     1,553,531   
  792,000       

INEOS Group Holdings, SA^*

6.125%, 08/15/18

     814,275   
PRINCIPAL
AMOUNT		                 VALUE  
     
    New Gold, Inc.µ*  
  1,981,000        7.000%, 04/15/20   $ 2,024,334   
  520,000        6.250%, 11/15/22     501,150   
    Sealed Air Corp.µ*  
  1,295,000        8.125%, 09/15/19     1,450,400   
  414,000        5.250%, 04/01/23     409,601   
  396,000       

Steel Dynamics, Inc.^

5.250%, 04/15/23

     401,940   
  1,434,000       

Trinseo Op/ Trinseo Finance, Inc.*

8.750%, 02/01/19

     1,471,643   
  1,348,000       

United States Steel Corp.^

6.875%, 04/01/21

     1,422,983   
     

 

 

  
        13,782,076   
     

 

 

  
    Telecommunication Services (0.5%)   
  484,000       

CenturyLink, Inc.µ

6.750%, 12/01/23

     494,239   
  837,000       

Frontier Communications Corp.µ

7.625%, 04/15/24

     831,769   
    Intelsat, SA*  
  2,724,000        7.750%, 06/01/21     2,930,002   
  198,000        8.125%, 06/01/23     215,078   
  1,102,000       

MetroPCS Wireless, Inc.*

6.625%, 04/01/23

     1,143,325   
    Sprint Corp.*  
  1,580,000        7.875%, 09/15/23µ     1,688,625   
  733,000        7.125%, 06/15/24     740,788   
  499,000        7.250%, 09/15/21µ     538,296   
     

 

 

  
        8,582,122   
     

 

 

  
    Utilities (0.3%)   
  718,000       

AES Corp.µ

7.375%, 07/01/21

     796,082   
  2,018,000       

AmeriGas Finance Corp.µ

7.000%, 05/20/22

     2,194,575   
    Calpine Corp.*  
  2,573,000        7.875%, 01/15/23µ     2,841,557   
  541,000        7.500%, 02/15/21     592,733   
     

 

 

  
        6,424,947   
     

 

 

  
    TOTAL CORPORATE BONDS     140,288,649   
     

 

 

  
 
 		 U.S. GOVERNMENT AND AGENCY
SECURITY (0.0%)		   
  
  582,000       

United States Treasury Note~

0.125%, 12/31/14

     582,023   
     

 

 

  
NUMBER OF
CONTRACTS		                 VALUE  
  PURCHASED OPTIONS (1.4%) #  
    Consumer Discretionary (0.1%)   
  1,050       

Michael Kors Holdings, Ltd.

Call, 01/17/15, Strike $ 82.50

     1,086,750   
     

 

 

  
    Health Care (1.2%)   
  1,110       

Celgene Corp.

Call, 01/17/15, Strike $ 135.00

     3,524,250   
  6,500       

Gilead Sciences, Inc.

Call, 01/17/15, Strike $ 60.00

     16,071,250   
  380       

Regeneron Pharmaceuticals, Inc.

Call, 01/17/15, Strike $ 250.00

     2,667,600   
     

 

 

  
        22,263,100   
     

 

 

  
 

 

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

NUMBER OF
CONTRACTS		                 VALUE  
     
    Information Technology (0.1%)   
  550       

Linkedin Corp.

Call, 01/17/15, Strike $240.00

   $ 1,509,750   
     

 

 

  
    TOTAL PURCHASED OPTIONS     24,859,600   
     

 

 

  
   

TOTAL SYNTHETIC CONVERTIBLE SECURITIES

(Cost $151,378,957)

     165,730,272   
     

 

 

  
NUMBER OF
SHARES		                 VALUE  
  CONVERTIBLE PREFERRED STOCKS (8.6%)   
    Consumer Staples (0.6%)   
  111,900       

Bunge, Ltd.

4.875%

     11,553,675   
     

 

 

  
    Energy (2.4%)   
    Chesapeake Energy Corp.*  
  33,074        5.750%     37,601,004   
  6,440        5.750%µ     7,418,075   
     

 

 

  
        45,019,079   
     

 

 

  
    Financials (1.3%)   
  515,000       

MetLife, Inc.µ

5.000%

     15,012,250   
  156,667       

Weyerhaeuser Company^

6.375%

     8,397,351   
     

 

 

  
        23,409,601   
     

 

 

  
    Industrials (2.7%)   
  70,000       

Stanley Black & Decker, Inc.^

6.250%

     7,122,500   
  650,000       

United Technologies Corp.^

7.500%

     41,879,500   
     

 

 

  
        49,002,000   
     

 

 

  
    Telecommunication Services (1.0%)   
  127,000       

Crown Castle International Corp.

4.500%

     12,457,430   
  100,000       

Intelsat, SA

5.750%

     5,252,500   
     

 

 

  
        17,709,930   
     

 

 

  
    Utilities (0.6%)   
  230,000       

NextEra Energy, Inc.

5.799%

     12,190,000   
     

 

 

  
   

TOTAL CONVERTIBLE PREFERRED STOCKS

(Cost $154,166,856)

     158,884,285   
     

 

 

  
  COMMON STOCKS (71.0%)   
    Consumer Discretionary (10.1%)   
  45,000        Amazon.com, Inc.^µ#     16,141,050   
  400,000        Carnival Corp.^µ     15,676,000   
  300,000        Comcast Corp. - Class Aµ     16,335,000   
  650,000        Ford Motor Company^     9,724,000   
  94,686        General Motors Company^µ#     3,416,271   
  245,000        Home Depot, Inc.µ     18,828,250   
  180,000        Las Vegas Sands Corp.^µ     13,773,600   
  123,000        McDonald’s Corp.µ     11,582,910   
NUMBER OF
SHARES		                 VALUE  
     
  22,573        Motors Liquidation Company#   $ 702,020   
  239,000        Nike, Inc. - Class B^µ     17,411,150   
  237,000        Starbucks Corp.µ     16,855,440   
  10,000     

CHF

   Swatch Group, AG     5,943,258   
  153,000        TJX Companies, Inc.^µ     8,776,080   
  320,000        Walt Disney Companyµ     23,235,200   
  60,000        Whirlpool Corp.~     7,998,000   
     

 

 

  
        186,398,229   
     

 

 

  
    Consumer Staples (4.9%)   
  905,000        Coca-Cola Companyµ     34,227,100   
  165,000        Costco Wholesale Corp.µ     18,539,400   
  145,000        Lorillard, Inc.     7,136,900   
  400,000        Mondelez International, Inc.~     13,100,000   
  120,000        Philip Morris International, Inc.^µ     9,376,800   
  125,000        Walgreen Company~     7,168,750   
     

 

 

  
        89,548,950   
     

 

 

  
    Energy (8.2%)   
  800,000        BP, PLC^µ     37,512,000   
  325,000        Chevron Corp.µ     36,279,750   
  185,000        Continental Resources, Inc.^#     20,387,000   
  60,000        Diamond Offshore Drilling, Inc.^µ     2,912,400   
  82,000        EOG Resources, Inc.^µ     13,549,680   
  365,000        Schlumberger, Ltd.     31,963,050   
  150,000     

EUR

   TOTAL, SAµ     8,557,750   
     

 

 

  
        151,161,630   
     

 

 

  
    Financials (16.7%)   
  345,000        Allstate Corp.^µ     17,664,000   
  165,000        American Express Company^µ     14,028,300   
  367,000        American International Group, Inc.µ     17,601,320   
  500,000        Bank of America Corp.^µ     8,375,000   
  943,000        Blackstone Group, LPµ     30,883,250   
  945,000        Citigroup, Inc.^µ     44,821,350   
  125,000        Discover Financial Servicesµ     6,706,250   
  125,000        First Republic Bank     6,066,250   
  180,000        Franklin Resources, Inc.^µ     9,361,800   
  75,000        Goldman Sachs Group, Inc.     12,309,000   
  985,000        JPMorgan Chase & Company     54,529,600   
  1,415,000       

Och-Ziff Capital Management

Group, LLC - Class A

     19,781,700   
  185,000        T. Rowe Price Group, Inc.^µ     14,511,400   
  1,131,676        Wells Fargo & Company^µ     51,310,190   
     

 

 

  
        307,949,410   
     

 

 

  
    Health Care (5.2%)   
  300,000        Eli Lilly and Company^µ     16,203,000   
  275,000        Johnson & Johnson^µ     24,329,250   
  275,000        Merck & Company, Inc.^µ~     14,566,750   
  1,079,500        Pfizer, Inc.~     32,816,800   
  83,000        Zimmer Holdings, Inc.^     7,799,510   
     

 

 

  
        95,715,310   
     

 

 

  
    Industrials (9.4%)   
  440,000        Eaton Corp., PLC^µ     32,159,600   
  176,000        Fortune Brands Home & Security, Inc.^     7,930,560   
  2,600,000        General Electric Company^µ     65,338,000   
  450,000        Masco Corp.^µ     9,522,000   
  135,000     

EUR

   Siemens, AG^     17,079,387   
  157,000        Union Pacific Corp.^     27,355,680   
 

 

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

 

SCHEDULE OF INVESTMENTS JANUARY 31, 2014 (UNAUDITED)

 

NUMBER OF
SHARES		                 VALUE  
     
  135,000        United Parcel Service, Inc.   $ 12,856,050   
     

 

 

  
        172,241,277   
     

 

 

  
    Information Technology (12.3%)   
  200,000        Accenture, PLC - Class A^     15,976,000   
  161,000        Apple, Inc.µ     80,596,600   
  190,000        eBay, Inc.^µ#     10,108,000   
  12,500        Google, Inc.#     14,762,125   
  89,000        MasterCard, Inc. - Class A^µ     6,735,520   
  835,000        Microsoft Corp.~     31,604,750   
  300,000        Nintendo Company, Ltd.µ     4,467,570   
  2,200,000        Nokia Corp.^#     15,224,000   
  535,000        Oracle Corp.^~     19,741,500   
  195,000        QUALCOMM, Inc.^     14,472,900   
  135,000        VMware, Inc. - Class A^#     12,168,900   
     

 

 

  
        225,857,865   
     

 

 

  
    Materials (1.6%)   
  400,000        Dow Chemical Company^µ     18,204,000   
  210,000        Rio Tinto, PLC^µ     11,161,500   
     

 

 

  
        29,365,500   
     

 

 

  
    Telecommunication Services (2.6%)   
  890,000        AT&T, Inc.^µ     29,654,800   
  450,000     

EUR

   Orange, SAµ     5,570,655   
  261,000        Verizon Communications, Inc.^µ     12,533,220   
     

 

 

  
        47,758,675   
     

 

 

  
   

TOTAL COMMON STOCKS

(Cost $1,359,736,583)

     1,305,996,846   
     

 

 

  
  WARRANTS (0.2%) #   
    Consumer Discretionary (0.2%)   
  86,079       

General Motors Company

07/10/16, Strike $10.00

     2,294,005   
  86,079       

General Motors Company

07/10/19, Strike $18.33

     1,625,172   
     

 

 

  
   

TOTAL WARRANTS

(Cost $12,751,492)

     3,919,177   
     

 

 

  
  SHORT TERM INVESTMENT (0.8%)   
  14,292,958       

Fidelity Prime Money Market Fund

- Institutional Class

(Cost $14,292,958)

     14,292,958   
     

 

 

  
NUMBER OF
SHARES		               VALUE  
     
      TOTAL INVESTMENTS (138.3%)
      (Cost $2,529,570,618)		   $ 2,543,397,392   
     

 

 

  
LIABILITIES, LESS OTHER ASSETS (-38.3%)     (703,978,720 ) 
     

 

 

  
NET ASSETS (100.0%)   $ 1,839,418,672   
     

 

 

  

NOTES TO SCHEDULE OF INVESTMENTS

^   Security, or portion of security, is on loan.
µ   Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $1,208,881,974. $322,200,981 of the collateral has been re-registered by the counterparty, BNP (see Note 3 - Borrowings).
*   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.
‡   Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2014.
~   Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for swaps. The aggregate value of such securities is $5,226,324.
¤   The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security.
#   Non-income producing security.

FOREIGN CURRENCY ABBREVIATIONS

CHF    Swiss Franc
EUR    European Monetary Unit

Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.

 

 

See accompanying Notes to Schedule of Investments

Calamos Strategic Total Return Fund

 

INTEREST RATE SWAPS

 

Counterparty    Fixed  Rate
(Fund Pays)		      Floating Rate
(Fund Receives)		      Termination
Date 		     Notional
Amount		        Unrealized
Appreciation/
(Depreciation)		  
BNP Paribas, SA    2.535% quarterly      3 month LIBOR      03/09/14      $ 90,000,000         $ (527,355 ) 
BNP Paribas, SA    2.970% quarterly      3 month LIBOR      07/03/14        75,000,000           (1,031,037 ) 
BNP Paribas, SA    3.355% quarterly      3 month LIBOR      06/09/14        60,000,000           (948,450 ) 
BNP Paribas, SA    0.934% quarterly      3 month LIBOR      07/05/17        52,000,000           40,510   
BNP Paribas, SA    1.009% quarterly      3 month LIBOR      06/12/17        47,000,000           (126,902 ) 
                      

 

 

  
     $ (2,593,234 ) 
                      

 

 

  

 

See accompanying Notes to Schedule of Investments

NOTE 1 — ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization. CALAMOS STRATEGIC TOTAL RETURN FUND (the “Fund”) was organized as a Delaware statutory trust on December 31, 2003 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on March 26, 2004. The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund invests primarily in common and preferred stocks and income producing securities such as investment grade and below investment grade debt securities.

Fund Valuation. The valuation of the Fund’s 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 principle 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 principle 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 based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.

If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

The 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 Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.

When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.

Investment Transactions. Investment transactions are recorded on a trade date basis as of January 31, 2014.

Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.

Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.

NOTE 2 — INVESTMENTS

The following information is presented on a federal income tax basis as of January 31, 2014. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.

The cost basis of investments for federal income tax purposes at January 31, 2014 was as follows:

 

Cost basis of investments

    $ 2,626,301,671   
  

 

 

  

Gross unrealized appreciation

      213,070,424   

Gross unrealized depreciation

      (295,974,703 ) 
  

 

 

  

Net unrealized appreciation (depreciation)

    $ (82,904,279 ) 
  

 

 

  

NOTE 3 — BORROWINGS

The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “BNP Agreement”) with BNP Paribas Prime Brokerage International Ltd. (“BNP”) that allows the Fund to borrow up to $367.5 million and a lending agreement, as defined below. In addition, the financing package also includes a Credit Agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”) that allows the Fund to borrow up to an initial limit of $367.5 million, and a related securities lending authorization agreement (“Authorized Agreement”). Borrowings under the BNP Agreement and the SSB Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). BNP and SSB share an equal claim on the pledged collateral, subject to any adjustment that may be agreed upon between the lenders. Interest on the BNP agreement is charged at the three month LIBOR (London Inter-bank Offered Rate) plus .65% on the amount borrowed and .55% on the undrawn balance. Interest on the SSB agreement is charged on the drawn amount at the rate of Overnight LIBOR plus .80% and .10% on the undrawn balance (if the undrawn amount is more than 75% of the borrowing limit, the commitment fee is .20%). For the period ended January 31, 2014, the average borrowings under the Agreements were $700.0 million. For the period ended January 31, 2014, the average interest rate was 0.65%. As of January 31, 2014, the amount of total outstanding borrowings was $700.0 million, which approximates fair value. The interest rate applicable to the borrowings on January 31, 2014 was 0.89%.

The Lending Agreement with BNP is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the BNP Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.

Under the terms of the Lending Agreement with BNP, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Fund’s custodian for the ultimate delivery of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair market value of such Lent Securities against the Current Borrowings.

Under the terms of the Authorized Agreement with SSB, all securities lent through SSB must be secured continuously by collateral received in cash, cash equivalents, or U.S. Treasury bills and maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral held by SSB on behalf of the Fund may be credited against the amounts borrowed under the SSB Agreement. Any amounts credited against the SSB Agreement would count against the Fund’s leverage limitations under the 1940 Act, unless otherwise covered in accordance with SEC release IC-10666. Under the terms of the Authorized Agreement with SSB, SSB will return the value of the collateral to the borrower upon the return of the lent securities, which will eliminate the credit against the SSB Agreement and will cause the amount drawn under the SSB Agreement to increase in an amount equal to the returned collateral. Under the terms of the securities Authorized Agreement with SSB, the Fund will make a variable “net income” payment related to any collateral credited against the SSB Agreement which will be paid to the securities borrower, less any payments due to the Fund or SSB under the terms of the Authorized Agreement. As of January 31, 2014, the Fund used approximately $240.1 million of its cash collateral to offset the SSB Agreement, representing 9.5% of managed assets, and was required to pay a “net income” payment equal to an annualized interest rate of 0.22%, which can fluctuate depending on interest rates.

NOTE 4 — INTEREST RATE SWAPS

The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 — Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.

NOTE 5 — FAIR VALUE MEASUREMENTS

Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:

 

  •  

Level 1 — Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

 

  •  

Level 2 — Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

 

  •  

Level 3 — Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Funds’ investments. Transfers between the levels for investment securities or other financial instruments are measured at the end of the reporting period.

The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:

 

     Level 1      Level 2      Level 3      Total  

Assets:

            

Corporate Bonds

    $ —       $ 426,241,697       $ —       $ 426,241,697   

Convertible Bonds

      —         466,564,088         —         466,564,088   

U.S. Government and Agency Security

      —         1,768,069         —         1,768,069   

Synthetic Convertible Securities (Corporate Bonds)

      —         140,288,649         —         140,288,649   

Synthetic Convertible Securities (U.S. Government and Agency Security)

      —         582,023         —         582,023   

Synthetic Convertible Securities (Purchased Options)

      24,859,600         —         —         24,859,600   

Convertible Preferred Stocks

      102,311,531         56,572,754         —         158,884,285   

Common Stocks

      1,264,378,226         41,618,620         —         1,305,996,846   

Warrants

      3,919,177         —         —         3,919,177   

Short Term Investment

      14,292,958         —         —         14,292,958   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 1,409,761,492       $ 1,133,635,900       $ —       $ 2,543,397,392   
  

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities:

            

Interest Rate Swaps

    $ —       $ 2,593,234       $ —       $ 2,593,234   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ —       $ 2,593,234       $ —       $ 2,593,234   
  

 

 

     

 

 

     

 

 

     

 

 

  

ITEM 2. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.

b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

(a) Certification of Principal Executive Officer.

(b) Certification of Principal Financial Officer.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

CALAMOS STRATEGIC TOTAL RETURN FUND
By:   /S/     JOHN P. CALAMOS, SR.
NAME:   John P. Calamos, Sr.
TITLE:   Principal Executive Officer
DATE:   March 24, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

CALAMOS STRATEGIC TOTAL RETURN FUND
By:   /S/     JOHN P. CALAMOS, SR.
NAME:   John P. Calamos, Sr.
TITLE:   Principal Executive Officer
DATE:  

March 24, 2014

By:   /S/     NIMISH S. BHATT
NAME:   Nimish S. Bhatt
TITLE:   Principal Financial Officer
DATE:  

March 24, 2014