UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT 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: 1111 East Warrenville Road, Naperville,
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors, LLC
1111 East Warrenville Road
Naperville, Illinois
60563-1493
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2005
DATE OF REPORTING PERIOD: November 1, 2004 through April 30, 2005
ITEM 1. REPORTS TO SHAREHOLDERS
[PHOTO OMITTED]
CALAMOS(R) STRATEGIC TOTAL RETURN FUND
SEMIANNUAL REPORT APRIL 30, 2005
[LOGO](R)
CALAMOS INVESTMENTS(R)
Table of Contents
President's Letter ........................................................ 1
Schedule of Investments ................................................... 3
Statement of Assets and Liabilities ....................................... 11
Statement of Operations ................................................... 12
Statement of Changes In Net Assets ........................................ 13
Notes to Financial Statements ............................................. 14
Financial Highlights ...................................................... 20
Report of Independent Registered Public
Accounting Firm ........................................................ 21
Other Information ......................................................... 22
President's Letter
[PHOTO OMITTED]
Dear Shareholder,
This semi-annual report covers the period of November 1, 2004, to April 30,
2005, a period where the markets demonstrated their propensity to surge--and
decline--in relatively short periods of time. For example, while most of 2004's
return came in the latter two months of that calendar year, the markets gave a
good portion back in the early months of 2005. It is our belief that
historically, the market's upside trend outpaces the downside, an observation
which keeps us fully invested and focused on risk management throughout the full
course of the market cycle.
Your fund, the CALAMOS STRATEGIC TOTAL RETURN FUND (NYSE: CSQ), provides a prime
example of our risk-managed total return focus at work. Designed to provide
total return, through a combination of capital appreciation and current income,
the Fund makes use of equity, convertible and high-yield securities in a
flexible, opportunistic manner to achieve this goal. The Fund typically
allocates a significant portion of assets to equities while allowing for current
income from convertible and high-yield bonds. It's important to note that these
non-equity securities also provide the opportunity for capital appreciation, as
they are more equity sensitive than traditional fixed income allocations.
During the period of this report, as well as since its inception, the Fund's
portfolio has demonstrated its ability to provide ample income and provide a
total return that is in line with that of the equity market. However, the Fund's
market price trailed that of the value of the underlying portfolio (otherwise
known as net asset value or NAV) during the period, meaning that it has traded
at a discount. As a refresher to some of our shareholders, a closed-end fund is
traded on an exchange, where buyers and sellers determine the price of the fund.
The fund thus may trade at a premium (higher than NAV) or at a discount (lower
than NAV). While we are not satisfied that the market has not fully realized the
value of the underlying portfolio's performance to date as well as its
potential, we continue to expand our communication efforts in order to help both
current and prospective investors appreciate the Fund's merits.
Another important development during the period was the Board of Trustees'
ratification of a level-rate distribution policy for the Fund, announced in
April of 2005. We recognize how important stability of income can be,
particularly to closed-end fund investors, and sought to formalize the Fund's
goal of providing such stability. Moreover, in announcing our commitment to a
level-rate policy, we also raised the monthly
CALAMOS STRATEGIC TOTAL RETURN FUND
The views expressed in this report reflect those of Calamos Advisors LLC through
June 20, 2005. The manager's views are subject to change at any time based on
market and other conditions. This report is submitted for general information
for the shareholders of the fund.
Strategic Total Return Fund
President's Letter SEMIANNUAL REPORT 1
President's Letter
dividend rate to 8.75 cents per share or $1.05 per share on an annual basis. The
new distribution rate represented a 16.7% increase compared to the prior monthly
distribution rate, and an annualized rate of 7.74% based on the Fund's market
price of $13.57 on April 30, 2005, or an annualized rate of 7.00% based on the
Fund's offering price of $15.00. We believe that the adoption of a level rate
distribution policy has the potential to serve the long-term interests of you as
a CSQ shareholder, as consistent, dependable distributions can be an important
component of your total return goals. If any distribution exceeds the Fund's net
investment company taxable income, the excess generally will be a tax-free
return of capital.
The Fund seeks total return through a combination of capital appreciation and
current income. While we are currently producing a steady rate of distribution
income, the potential to earn capital gains often comes from market
spikes--which are not so steady. There is no guarantee that the Fund will
realize capital gains in any given year. However, we believe the Fund is well
positioned to participate in the market's upside movements when they occur,
while delivering steady distributions. Over time, this combination has the
potential to produce significant long-term total returns for our shareholders.
Together, the Fund's portfolio management team's risk-managed approach,
communications efforts, and dividend policy are all designed to enhance the
value of your investment. We believe that the Fund's flexible mandate and its
focus on long-term equity participation provides the potential to create long
term wealth for shareholders, while our risk management and dividend commitment
provide downside protection and current, dependable income. As a portfolio
manager--and shareholder--I remain committed to striving to help you meet your
long-term investment goals. Thank you for your confidence in CALAMOS INVESTMENTS
and CSQ.
Sincerely,
/s/ John P. Calamos
JOHN P. CALAMOS, SR.
Chairman, Chief Executive Officer and Co-Chief Investment Officer
Strategic Total Return Fund
2 SEMIANNUAL REPORT President's Letter
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
CORPORATE BONDS (47.8%)
CONSUMER DISCRETIONARY (11.9%)
$ 4,999,000 Accuride Corp.*
8.500%, 02/01/15 $ 4,724,055
4,545,000 Asbury Automotive Group, Inc.^
8.000%, 03/15/14 4,181,400
7,272,000 Aztar Corp.^
7.875%, 06/15/14 7,653,780
10,321,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 10,991,865
4,545,000 Boyd Gaming Corp.^
7.750%, 12/15/12 4,794,975
7,726,000 GBP EMI Group, PLC
8.250%, 05/20/08 15,982,977
18,179,000 Goodyear Tire & Rubber Company^
7.857%, 08/15/11 16,451,995
8,181,000 Hovnanian Enterprises, Inc.^
7.750%, 05/15/13 8,365,072
6,363,000 IMAX Corp.^
9.625%, 12/01/10 6,760,687
8,635,000 Intrawest Corp.^
7.500%, 10/15/13 8,635,000
6,916,000 Jarden Corp.
9.750%, 05/01/12 7,400,120
4,545,000 Kellwood Company
7.625%, 10/15/17 4,847,947
6,817,000 Landry's Restaurants, Inc.*
7.500%, 12/15/14 6,373,895
Mandalay Resort Group^
19,583,000 10.250%, 08/01/07 21,590,257
5,908,000 7.625%, 07/15/13 6,129,550
11,816,000 Meritage Corp.^
7.000%, 05/01/14 11,756,920
5,454,000 NCL Holding, ASA*
10.625%, 07/15/14 5,617,620
4,545,000 Oxford Industries, Inc.
8.875%, 06/01/11 4,726,800
Pinnacle Entertainment, Inc.
8,181,000 8.250%, 03/15/12 8,058,285
4,677,000 8.750%, 10/01/13^ 4,723,770
9,103,000 Reader's Digest Association, Inc.^
6.500%, 03/01/11 9,080,243
9,089,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 7,421,877
5,908,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 4,742,176
11,816,000 Royal Caribbean Cruises, Ltd.^
7.500%, 10/15/27 12,406,800
7,726,000 Spanish Broadcasting Systems, Inc.
9.625%, 11/01/09 8,102,643
4,545,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 4,596,131
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 13,634,000 Standard Pacific Corp.
9.250%, 04/15/12 $ 15,065,570
7,726,000 Stoneridge, Inc.
11.500%, 05/01/12 8,228,190
4,545,000 Vail Resorts, Inc.
6.750%, 02/15/14 4,499,550
Warner Music Group
16,816,000 7.375%, 04/15/14 16,900,080
2,272,000 GBP 8.125%, 04/15/14 4,528,149
---------------
265,338,379
---------------
CONSUMER STAPLES (3.8%)
7,726,000 Central Garden & Pet Company
9.125%, 02/01/13 8,344,080
13,407,000 Chiquita Brands International, Inc.^
7.500%, 11/01/14 12,334,440
10,453,000 Del Monte Foods Company
8.625%, 12/15/12 11,236,975
15,452,000 Jean Coutu Group, Inc.^
8.500%, 08/01/14 14,640,770
Rayovac Corp.^
21,815,000 7.375%, 02/01/15* 21,269,625
5,454,000 8.500%, 10/01/13 5,631,255
5,726,000 Revlon Consumer Products Corp.*^
9.500%, 04/01/11 5,539,905
4,274,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 4,573,180
---------------
83,570,230
---------------
ENERGY (5.8%)
Chesapeake Energy Corp.
6,363,000 6.875%, 01/15/16 6,363,000
3,636,000 7.500%, 06/15/14^ 3,826,890
3,636,000 Comstock Resources, Inc.
6.875%, 03/01/12 3,563,280
13,452,000 Giant Industries, Inc.^
8.000%, 05/15/14 13,586,520
4,545,000 Houston Exploration Company
7.000%, 06/15/13 4,590,450
4,545,000 KCS Energy, Inc.
7.125%, 04/01/12 4,522,275
909,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 958,995
Overseas Shipholding Group, Inc.
7,272,000 7.500%, 02/15/24 7,017,480
2,272,000 8.750%, 12/01/13 2,521,920
Petroleo Brasileiro, SA
14,998,000 9.125%, 07/02/13 16,497,800
14,089,000 8.375%, 12/10/18^ 14,458,836
Premcor Refining Group, Inc.
7,272,000 7.750%, 02/01/12^ 7,853,760
6,363,000 7.500%, 06/15/15 6,872,040
10,294,000 Swift Energy Company
9.375%, 05/01/12 11,066,050
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 3
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 6,863,000 Whiting Petroleum Corp.
7.250%, 05/01/12 $ 6,863,000
18,179,000 Williams Companies, Inc.^
7.750%, 06/15/31 19,269,740
---------------
129,832,036
---------------
FINANCIALS (2.7%)
36,358,000 Dow Jones TRAC-X North America
High Yield Series 4 June 2010 Trust 3*^
8.000%, 06/29/10 35,767,183
13,634,000 Leucadia National Corp.
7.000%, 08/15/13 13,702,170
9,544,000 Senior Housing Properties Trust
8.625%, 01/15/12 10,402,960
---------------
59,872,313
---------------
HEALTH CARE (4.5%)
4,181,000 Alpharma, Inc.^*
8.625%, 05/01/11 4,076,475
4,545,000 Ameripath, Inc.
10.500%, 04/01/13 4,567,725
3,318,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 3,417,540
12,725,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 13,997,500
5,454,000 Leiner Health Products Group, Inc.
11.000%, 06/01/12 5,781,240
9,998,000 MedCath Corp.^
9.875%, 07/15/12 10,947,810
5,453,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 6,052,830
4,545,000 Quintiles Transnational Corp.^
10.000%, 10/01/13 4,931,325
17,270,000 Service Corp. International^
6.750%, 04/01/16 16,536,025
16,088,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 16,168,440
12,271,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 12,853,873
---------------
99,330,783
---------------
INDUSTRIALS (5.7%)
15,452,000 EUR AGCO Corp.
6.875%, 04/15/14 20,878,636
6,045,000 American Airlines, Inc.^
7.250%, 02/05/09 5,742,750
2,727,000 Armor Holdings, Inc.^
8.250%, 08/15/13 2,904,255
CNH Global, NV*
12,271,000 9.250%, 08/01/11 12,577,775
2,727,000 9.250%, 08/01/11 2,795,175
12,271,000 Cummins, Inc.^
9.500%, 12/01/10 13,252,680
3,239,000 Gardner Denver, Inc.*
8.000%, 05/01/13 3,255,195
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 8,635,000 General Cable Corp.
9.500%, 11/15/10 $ 9,196,275
15,452,000 Hutchison Whampoa, Ltd.*^
6.250%, 01/24/14 16,340,196
9,089,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 9,770,675
Manitowoc Company, Inc.
3,413,000 10.500%, 08/01/12 3,814,028
2,954,000 EUR 10.375%, 05/15/11 4,210,002
4,545,000 Monitronics International, Inc.
11.750%, 09/01/10 4,874,513
5,454,000 Navistar International Corp.^
7.500%, 06/15/11 5,181,300
2,727,000 Orbital Sciences Corp.
9.000%, 07/15/11 2,972,430
4,545,000 Sequa Corp.
8.875%, 04/01/08 4,704,075
4,545,000 United Rentals, Inc.^
7.000%, 02/15/14 4,113,225
---------------
126,583,185
---------------
INFORMATION TECHNOLOGY (5.4%)
21,815,000 Advanced Micro Devices, Inc.^
7.750%, 11/01/12 20,560,637
12,725,000 Avnet, Inc.
9.750%, 02/15/08 14,252,000
7,726,000 Celestica, Inc.^
7.875%, 07/01/11 7,726,000
4,545,000 Freescale Semiconductor, Inc.^
7.125%, 07/15/14 4,749,525
Iron Mountain, Inc.
9,998,000 6.625%, 01/01/16 8,948,210
2,272,000 GBP 7.250%, 04/15/14* 3,964,839
Lucent Technologies, Inc.
11,544,000 6.500%, 01/15/28 9,725,820
5,931,000 6.450%, 03/15/29^ 5,033,936
6,363,000 Sanmina-Sci Corp.^
10.375%, 01/15/10 6,999,300
4,545,000 Stratus Technologies, Inc.^
10.375%, 12/01/08 4,454,100
13,634,000 Telcordia Technologies*
10.000%, 03/15/13 13,224,980
Xerox Corp.^
10,907,000 8.000%, 02/01/27 11,070,605
9,089,000 7.625%, 06/15/13 9,747,953
---------------
120,457,905
---------------
MATERIALS (5.3%)
7,726,000 Aleris International, Inc.
10.375%, 10/15/10 8,440,655
10,907,000 Arch Western Finance, LLC
6.750%, 07/01/13 10,988,802
2,727,000 Century Aluminum Company^
7.500%, 08/15/14 2,686,095
14,298,000 Freeport-McMoRan Copper & Gold, Inc.^
10.125%, 02/01/10 15,727,800
Strategic Total Return Fund
4 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 8,635,000 Georgia-Pacific Corp.
7.375%, 12/01/25 $ 8,667,381
1,877,000 Graham Packaging Holdings Company*^
9.875%, 10/15/14 1,801,920
9,089,000 IPSCO, Inc.
8.750%, 06/01/13 10,134,235
7,499,000 Novelis, Inc.*
7.250%, 02/15/15 7,292,777
4,545,000 Polyone Corp.^
10.625%, 05/15/10 5,033,588
7,726,000 Steel Dynamics, Inc.
9.500%, 03/15/09^ 8,305,450
10,907,000 Texas Industries, Inc.
10.250%, 06/15/11 12,297,643
7,272,000 U.S. Concrete, Inc.
8.375%, 04/01/14 7,072,020
Union Carbide Corp.
9,953,000 7.875%, 04/01/23^ 10,916,271
7,862,000 7.500%, 06/01/25 8,436,744
---------------
117,801,381
---------------
TELECOMMUNICATION SERVICES (2.1%)
Alamosa Holdings, Inc.
11,816,000 8.500%, 01/31/12^ 12,288,640
4,545,000 11.000%, 07/31/10 5,096,081
19,997,000 AT&T Corp.
9.750%, 11/15/31 24,996,250
4,090,000 IPCS Escrow Company
11.500%, 05/01/12 4,539,900
---------------
46,920,871
---------------
UTILITIES (0.6%)
5,454,000 Calpine Corp.^
8.500%, 02/15/11 2,713,365
10,907,000 Edison International
7.730%, 06/15/09 11,234,210
---------------
13,947,575
---------------
TOTAL CORPORATE BONDS
(Cost $1,062,905,341) 1,063,654,658
===============
CONVERTIBLE BONDS (4.0%)
CONSUMER DISCRETIONARY (0.9%)
7,000,000 General Motors Corp.+
6.250%, 07/15/33 5,275,200
14,000,000 Walt Disney Company^
2.125%, 04/15/23 14,770,000
---------------
20,045,200
---------------
ENERGY (0.8%)
15,000,000 Repsol Ypf, SA
4.500%, 01/26/11 17,866,691
---------------
FINANCIALS (0.4%)
8,700,000 Host Marriott Corp.*^
3.250%, 04/15/24 9,417,750
---------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
INDUSTRIALS (0.6%)
$ 9,000,000 GATX Corp.
7.500%, 02/01/07 $ 10,451,250
2,778,000 Quanta Services Inc.
4.500%, 10/01/23 2,784,945
---------------
13,236,195
---------------
INFORMATION TECHNOLOGY (0.7%)
16,500,000 Advanced Micro Devices, Inc.^++
4.750%, 02/01/22 15,489,375
---------------
MATERIALS (0.6%)
10,700,000 Freeport-McMoRan Copper & Gold, Inc.
7.000%, 02/11/11 13,629,125
---------------
TOTAL CONVERTIBLE BONDS
(Cost $98,430,469) 89,684,336
===============
SYNTHETIC CONVERTIBLE SECURITIES (5.6%)
CORPORATE BONDS (4.8%)
CONSUMER DISCRETIONARY (1.2%)
501,000 Accuride Corp.*
8.500%, 02/01/15 473,445
455,000 Asbury Automotive Group, Inc.^
8.000%, 03/15/14 418,600
728,000 Aztar Corp.^
7.875%, 06/15/14 766,220
1,034,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 1,101,210
455,000 Boyd Gaming Corp.^
7.750%, 12/15/12 480,025
774,000 GBP EMI Group, PLC
8.250%, 05/20/08 1,601,194
1,821,000 Goodyear Tire & Rubber Company^
7.857%, 08/15/11 1,648,005
819,000 Hovnanian Enterprises, Inc.^
7.750%, 05/15/13 837,427
637,000 IMAX Corp.^
9.625%, 12/01/10 676,813
865,000 Intrawest Corp.^
7.500%, 10/15/13 865,000
693,000 Jarden Corp.
9.750%, 05/01/12 741,510
455,000 Kellwood Company
7.625%, 10/15/17 485,328
683,000 Landry's Restaurants, Inc.*
7.500%, 12/15/14 638,605
Mandalay Resort Group^
1,962,000 10.250%, 08/01/07 2,163,105
592,000 7.625%, 07/15/13 614,200
1,184,000 Meritage Corp.^
7.000%, 05/01/14 1,178,080
546,000 NCL Holding, ASA*
10.625%, 07/15/14 562,380
455,000 Oxford Industries, Inc.
8.875%, 06/01/11 473,200
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 5
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
Pinnacle Entertainment, Inc.
$ 819,000 8.250%, 03/15/12 $ 806,715
468,000 8.750%, 10/01/13^ 472,680
912,000 Reader's Digest Association, Inc.^
6.500%, 03/01/11 909,720
911,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 743,902
592,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 475,181
1,184,000 Royal Caribbean Cruises, Ltd.^
7.500%, 10/15/27 1,243,200
774,000 Spanish Broadcasting Systems, Inc.
9.625%, 11/01/09 811,733
455,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 460,119
1,366,000 Standard Pacific Corp.
9.250%, 04/15/12 1,509,430
774,000 Stoneridge, Inc.
11.500%, 05/01/12 824,310
455,000 Vail Resorts, Inc.
6.750%, 02/15/14 450,450
Warner Music Group
1,684,000 7.375%, 04/15/14 1,692,420
228,000 GBP 8.125%, 04/15/14 454,409
---------------
26,578,616
---------------
CONSUMER STAPLES (0.4%)
774,000 Central Garden & Pet Company
9.125%, 02/01/13 835,920
1,343,000 Chiquita Brands International, Inc.^
7.500%, 11/01/14 1,235,560
1,047,000 Del Monte Foods Company
8.625%, 12/15/12 1,125,525
1,548,000 Jean Coutu Group, Inc.^
8.500%, 08/01/14 1,466,730
Rayovac Corp.^
2,185,000 7.375%, 02/01/15* 2,130,375
546,000 8.500%, 10/01/13 563,745
574,000 Revlon Consumer Products Corp.*^
9.500%, 04/01/11 555,345
428,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 457,960
---------------
8,371,160
---------------
ENERGY (0.6%)
Chesapeake Energy Corp.
637,000 6.875%, 01/15/16 637,000
364,000 7.500%, 06/15/14^ 383,110
364,000 Comstock Resources, Inc.
6.875%, 03/01/12 356,720
1,348,000 Giant Industries, Inc.^
8.000%, 05/15/14 1,361,480
455,000 Houston Exploration Company
7.000%, 06/15/13 459,550
455,000 KCS Energy, Inc.
7.125%, 04/01/12 452,725
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 91,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 $ 96,005
Overseas Shipholding Group, Inc.
728,000 7.500%, 02/15/24 702,520
228,000 8.750%, 12/01/13 253,080
Petroleo Brasileiro, SA
1,502,000 9.125%, 07/02/13 1,652,200
1,411,000 8.375%, 12/10/18^ 1,448,039
Premcor Refining Group, Inc.
728,000 7.750%, 02/01/12^ 786,240
637,000 7.500%, 06/15/15 687,960
1,031,000 Swift Energy Company
9.375%, 05/01/12 1,108,325
687,000 Whiting Petroleum Corp.
7.250%, 05/01/12 687,000
1,821,000 Williams Companies, Inc.^
7.750%, 06/15/31 1,930,260
---------------
13,002,214
---------------
FINANCIALS (0.3%)
3,642,000 Dow Jones TRAC-X North America
High Yield Series 4 June 2010 Trust 3*^
8.000%, 06/29/10 3,582,817
1,366,000 Leucadia National Corp.
7.000%, 08/15/13 1,372,830
956,000 Senior Housing Properties Trust
8.625%, 01/15/12 1,042,040
---------------
5,997,687
---------------
HEALTH CARE (0.4%)
419,000 Alpharma, Inc.*^
8.625%, 05/01/11 408,525
455,000 Ameripath, Inc.
10.500%, 04/01/13 457,275
332,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 341,960
1,275,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 1,402,500
546,000 Leiner Health Products Group, Inc.
11.000%, 06/01/12 578,760
1,002,000 MedCath Corp.^
9.875%, 07/15/12 1,097,190
546,000 Psychiatric Solutions, Inc.
10.625%, 06/15/13 606,060
455,000 Quintiles Transnational Corp.^
10.000%, 10/01/13 493,675
1,730,000 Service Corp. International^
6.750%, 04/01/16 1,656,475
1,612,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 1,620,060
1,229,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 1,287,378
---------------
9,949,858
---------------
Strategic Total Return Fund
6 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
INDUSTRIALS (0.6%)
$ 1,548,000 EUR AGCO Corp.
6.875%, 04/15/14 $ 2,091,647
605,000 American Airlines, Inc.^
7.250%, 02/05/09 574,750
273,000 Armor Holdings, Inc.^
8.250%, 08/15/13 290,745
CNH Global, NV*
1,229,000 9.250%, 08/01/11 1,259,725
273,000 9.250%, 08/01/11 279,825
1,229,000 Cummins, Inc.^
9.500%, 12/01/10 1,327,320
324,000 Gardner Denver, Inc.*
8.000%, 05/01/13 325,620
865,000 General Cable Corp.
9.500%, 11/15/10 921,225
1,548,000 Hutchison Whampoa, Ltd.*^
6.250%, 01/24/14 1,636,981
911,000 Jacuzzi Brands, Inc.
9.625%, 07/01/10 979,325
Manitowoc Company, Inc.
342,000 10.500%, 08/01/12 382,185
296,000 EUR 10.375%, 05/15/11 421,855
455,000 Monitronics International, Inc.
11.750%, 09/01/10 487,987
546,000 Navistar International Corp.^
7.500%, 06/15/11 518,700
273,000 Orbital Sciences Corp.
9.000%, 07/15/11 297,570
455,000 Sequa Corp.
8.875%, 04/01/08 470,925
455,000 United Rentals, Inc.^
7.000%, 02/15/14 411,775
---------------
12,678,160
---------------
INFORMATION TECHNOLOGY (0.5%)
2,185,000 Advanced Micro Devices, Inc.^
7.750%, 11/01/12 2,059,362
1,275,000 Avnet, Inc.
9.750%, 02/15/08 1,428,000
774,000 Celestica, Inc.^
7.875%, 07/01/11 774,000
455,000 Freescale Semiconductor, Inc.^
7.125%, 07/15/14 475,475
Iron Mountain, Inc.
1,002,000 6.625%, 01/01/16 896,790
228,000 GBP 7.250%, 04/15/14* 397,880
Lucent Technologies, Inc.
1,156,000 6.500%, 01/15/28 973,930
594,000 6.450%, 03/15/29^ 504,157
637,000 Sanmina-Sci Corp.^
10.375%, 01/15/10 700,700
455,000 Stratus Technologies, Inc.^
10.375%, 12/01/08 445,900
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
$ 1,366,000 Telcordia Technologies*
10.000%, 03/15/13 $ 1,325,020
Xerox Corp.^
1,093,000 8.000%, 02/01/27 1,109,395
911,000 7.625%, 06/15/13 977,048
---------------
12,067,657
---------------
MATERIALS (0.5%)
774,000 Aleris International, Inc.
10.375%, 10/15/10 845,595
1,093,000 Arch Western Finance, LLC
6.750%, 07/01/13 1,101,197
273,000 Century Aluminum Company^
7.500%, 08/15/14 268,905
1,432,000 Freeport-McMoRan Copper & Gold, Inc.^
10.125%, 02/01/10 1,575,200
865,000 Georgia-Pacific Corp.
7.375%, 12/01/25 868,244
188,000 Graham Packaging Holdings Company*^
9.875%, 10/15/14 180,480
911,000 IPSCO, Inc.
8.750%, 06/01/13 1,015,765
751,000 Novelis, Inc.*
7.250%, 02/15/15 730,347
455,000 Polyone Corp.^
10.625%, 05/15/10 503,912
774,000 Steel Dynamics, Inc.
9.500%, 03/15/09^ 832,050
1,093,000 Texas Industries, Inc.
10.250%, 06/15/11 1,232,358
728,000 U.S. Concrete, Inc.
8.375%, 04/01/14 707,980
Union Carbide Corp.
997,000 7.875%, 04/01/23^ 1,093,492
788,000 7.500%, 06/01/25 845,606
---------------
11,801,131
---------------
TELECOMMUNICATION SERVICES (0.2%)
Alamosa Holdings, Inc.
1,184,000 8.500%, 01/31/12^ 1,231,360
455,000 11.000%, 07/31/10 510,169
2,003,000 AT&T Corp.
9.750%, 11/15/31 2,503,750
410,000 IPCS Escrow Company
11.500%, 05/01/12 455,100
---------------
4,700,379
---------------
UTILITIES (0.1%)
546,000 Calpine Corp.^
8.500%, 02/15/11 271,635
1,093,000 Edison International
7.730%, 06/15/09 1,125,790
---------------
1,397,425
---------------
TOTAL CORPORATE BONDS 106,544,287
===============
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 7
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
NUMBER OF
CONTRACTS VALUE
-------------------------------------------------------------------------------
OPTIONS (0.8%)
CONSUMER DISCRETIONARY (0.2%)
1,600 eBay, Inc.#
Call, 01/20/07, Strike 42.50 $ 544,000
7,450 Home Depot, Inc.#
Call, 01/20/07, Strike 40.00 2,458,500
6,000 YUM! Brands, Inc.#
Call, 01/20/07, Strike 50.00 2,880,000
---------------
5,882,500
---------------
CONSUMER STAPLES (0.1%)
3,000 Altria Group, Inc.#
Call, 01/20/07, Strike 65.00 2,370,000
---------------
ENERGY (0.1%)
750 Amerada Hess Corp.#
Call, 01/20/07, Strike 100.00 941,250
3,800 Chevrontexaco Corp.#
Call, 01/20/07, Strike 60.00 1,368,000
---------------
2,309,250
---------------
FINANCIALS (0.2%)
1,500 Allstate Corp.#
Call, 01/20/07, Strike 55.00 1,005,000
3,600 Citigroup, Inc.#
Call, 01/20/07, Strike 40.00 3,348,000
---------------
4,353,000
---------------
INFORMATION TECHNOLOGY (0.2%)
4,800 Apple Computer, Inc.#
Call, 01/20/07, Strike 37.50 3,888,000
---------------
TOTAL OPTIONS 18,802,750
===============
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES (Cost $131,059,906) 125,347,037
===============
NUMBER OF
SHARES VALUE
-------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (19.1%)
CONSUMER DISCRETIONARY (4.1%)
2,325,000 Ford Motor Company Capital Trust II
6.500% 90,558,750
---------------
CONSUMER STAPLES (1.1%)
1,105,000 Albertson's, Inc.
7.250% 23,713,300
---------------
ENERGY (0.9%)
200,000 Chesapeake Energy Corp.*
5.000% 19,875,000
---------------
FINANCIALS (7.7%)
25,000,000 Assurant, Inc.*
7.750% 25,487,500
925,000 Chubb Corp.
7.000% 27,602,000
650,000 Genworth Financial, Inc.
6.000% 20,832,500
NUMBER OF
SHARES VALUE
-------------------------------------------------------------------------------
515,000 Hartford Financial Services Group, Inc.
7.000% $ 33,990,000
850,000 Lehman Brothers Holdings, Inc.
6.250% 22,499,500
460,000 Merrill Lynch & Company, Inc.
6.750% 15,894,380
470,000 National Australia Bank, Ltd.
7.875% 17,813,000
35,000 State Street Corp.
6.750% 7,301,000
---------------
171,419,880
---------------
HEALTH CARE (2.3%)
635,000 Baxter International, Inc.
7.000% 35,369,500
314,000 Schering-Plough Corp.
6.000% 17,191,500
---------------
52,561,000
---------------
INDUSTRIALS (0.8%)
6,500,000 GBP BAE Systems, PLC
7.750% 16,966,541
---------------
INFORMATION TECHNOLOGY (1.3%)
255,000 Xerox Corp.
6.250% 29,478,000
---------------
UTILITIES (0.9%)
Southern Union Company
200,000 5.000% 10,030,000
150,000 5.750% 10,567,500
---------------
20,597,500
---------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $455,481,603) 425,169,971
===============
COMMON STOCKS (70.1%)
CONSUMER DISCRETIONARY (3.7%)
577,000 General Motors Corp.^ 15,394,360
750,000 Genuine Parts Company^ 32,175,000
731,000 May Department Stores Company^ 25,643,480
490,000 Maytag Corp.^<> 4,748,100
300,000 Reader's Digest Association, Inc. 5,100,000
---------------
83,060,940
---------------
CONSUMER STAPLES (3.1%)
320,000 Altria Group, Inc.^ 20,796,800
420,000 Reynolds American, Inc.^ 32,747,400
696,200 Sara Lee Corp.^ 14,891,718
---------------
68,435,918
---------------
ENERGY (8.0%)
1,040,000 Chevrontexaco Corp.^ 54,080,000
366,000 Conocophillips 38,375,100
455,000 Kerr-Mcgee Corp.^ 35,308,000
325,000 Marathon Oil Corporation 15,135,250
36,000 EUR OMV, AG 11,087,695
Strategic Total Return Fund
8 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE
-------------------------------------------------------------------------------
395,000 PetroChina Company, Ltd.^ $ 23,585,450
---------------
177,571,495
---------------
FINANCIALS (20.0%)
732,900 Allstate Corp. 41,159,664
980,000 Bank of America Corp. 44,139,200
1,372,000 Citigroup, Inc. 64,429,120
477,000 Federal National Mortgage Association<> 25,734,150
220,000 Fidelity National Corp.<> 7,064,200
978,700 General Growth Properties, Inc.^<> 38,276,957
230,000 IndyMac Bancorp, Inc.<> 8,850,400
176,000 Jefferson-Pilot Corp. 8,836,960
559,600 Mills Corp. 31,975,544
1,395,100 New York Community Bancorp, Inc. 24,693,270
118,900 UnionBanCal Corp. 7,319,484
855,000 Wachovia Corp.^ 43,758,900
2,428,000 Washington Mutual, Inc. 100,324,960
---------------
446,562,809
---------------
HEALTH CARE (12.8%)
4,146,000 Bristol-Myers Squibb Company^ 107,796,000
1,300,000 Johnson & Johnson 89,219,000
1,755,000 Merck & Company, Inc.<> 59,494,500
1,082,000 Pfizer, Inc. 29,397,940
---------------
285,907,440
---------------
INDUSTRIALS (7.5%)
315,000 Caterpillar, Inc.<> 27,735,750
410,000 Emerson Electric Company 25,694,700
819,000 General Electric Company 29,647,800
450,000 Masco Corp.^ 14,170,500
350,000 R.R. Donnelley & Sons Company 11,518,500
870,000 Raytheon Company^ 32,720,700
920,000 Waste Management, Inc. 26,210,800
---------------
167,698,750
---------------
INFORMATION TECHNOLOGY (3.3%)
1,382,000 Intel Corp. 32,504,640
650,000 Microsoft Corp. 16,445,000
1,500,000 Nokia Corp. 23,970,000
---------------
72,919,640
---------------
MATERIALS (1.0%)
215,000 Bemis Company, Inc. 5,925,400
280,000 Lubrizol Corp. 10,855,600
270,000 RPM International, Inc.^ 4,657,500
---------------
21,438,500
---------------
TELECOMMUNICATION SERVICES (10.7%)
900,000 CAD BCE Inc. 21,600,572
1,850,000 Bellsouth Corp.^ 49,006,500
NUMBER OF
SHARES VALUE
-------------------------------------------------------------------------------
950,000 MCI, Inc.^ $ 25,203,500
3,071,000 SBC Communications, Inc.^ 73,089,800
1,465,000 Sprint Corp.^ 32,610,900
1,039,000 Verizon Communications, Inc. 37,196,200
---------------
238,707,472
---------------
TOTAL COMMON STOCKS
(Cost $1,543,278,396) 1,562,302,964
===============
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.0% )
$ 1,374,000 Exxon Mobil Corporation
2.600%, 05/02/05 1,373,901
20,000,000 UBS Finance, Inc.
2.600%, 05/02/05 19,998,555
---------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $21,372,456) 21,372,456
===============
NUMBER OF
SHARES VALUE
-------------------------------------------------------------------------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES
ON LOAN (22.7%)
506,063,093 Bank of New York Institutional Cash
Reserve Fund current rate 3.010%
(Cost $506,063,093) 506,063,093
===============
TOTAL INVESTMENTS (170.3%)
(Cost $3,818,591,264) 3,793,594,515
===============
NUMBER OF
CONTRACTS VALUE
-------------------------------------------------------------------------------
WRITTEN OPTIONS (-0.1%)
1,260 Caterpillar, Inc.
Call, 08/20/05, Strike 95.00 (302,400)
1,900 Federal National Mortgage Association
Call, 06/18/05, Strike 60.00 (76,000)
900 Fidelity National Corp.
Call, 07/16/05, Strike 35.00 (40,500)
3,900 General Growth Properties, Inc.
Call, 07/16/05, Strike 35.00 (1,716,000)
900 IndyMac Bancorp, Inc.
Call, 07/16/05, Strike 35.00 (342,000)
2,000 Maytag Corp.
Call, 07/16/05, Strike 17.50 (15,000)
7,000 Merck & Company, Inc.
Call, 07/16/05, Strike 35.00 (595,000)
===============
TOTAL WRITTEN OPTIONS
(Cost $2,215,237) (3,086,900)
===============
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-22.7%) $ (506,063,093)
---------------
OTHER ASSETS, LESS LIABILITIES (1.1%) 23,674,900
---------------
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 9
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2005 (UNAUDITED)
--------------------------------------------------------------------------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING
DIVIDENDS PAYABLE (-48.5%) (1,080,746,441)
---------------
NET ASSETS APPLICABLE TO
COMMON SHAREHOLDERS
(100.0%) $ 2,227,372,981
===============
NOTES TO SCHEDULE OF INVESTMENTS
Note: Values for securities denominated in foreign currencies are shown in U.S.
dollars.
* 144A securities are those that are exempt from registration under Rule
144A of the Securities Act of 1933, as amended. These securities are
generally issued to qualified institutional buyers ("QIBs"), such as the
Fund. Any resale of these securities must generally be effected through a
sale that is exempt from registration (e.g. a sale to another QIB), or the
security must be registered for public sale. At April 30, 2005, the market
value of 144A securities that could not be exchanged to the registered
form was $231,677,735 or 10.4% of net assets applicable to common
shareholders of the Fund.
^ Security, or portion of security, is on loan.
# Non-Income producing security.
+ Security is purchased at a price that takes into account the value, if
any, of accrued but unpaid interest.
++ Variable rate security. The interest rate shown is the rate in effect at
April 30, 2005.
<> Security position is held in a segregated account as collateral for
written options aggregating a total market value of $171,904,057.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
FUND SECTOR ALLOCATION
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
FINANCIALS 21.3%
CONSUMER DISCRETIONARY 15.1%
HEALTH CARE 13.7%
ENERGY 11.1%
INDUSTRIALS 10.3%
TELECOMMUNICATION SERVICES 8.9%
INFORMATION TECHNOLOGY 7.8%
CONSUMER STAPLES 5.7%
MATERIALS 5.0%
UTILITIES 1.1%
Strategic Total Return Fund
10 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Statement of Assets and Liabilities
APRIL 30, 2005 (UNAUDITED)
-----------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value* (cost $3,818,591,264) $ 3,793,594,515
Restricted cash for open options (interest bearing) 150,000
Receivable for investments sold 8,067,706
Accrued interest and dividends receivables 37,341,811
Unrealized appreciation on interest rate swaps 2,454,828
Other assets 10,421
-----------------------------------------------------------------------------------------------------------------------------
Total assets 3,841,619,281
-----------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Due to custodian 5,707,102
Payable for income distribution 3,953,699
Payable for investments purchased 11,581,063
Payable to investment advisor 2,731,771
Payable to financial accountant 31,523
Payable for deferred compensation to Trustees 10,421
Options written, at value (premium $2,215,237) 3,086,900
Other accounts payable and accrued liabilities 334,287
Payable upon return of securities loaned 506,063,093
-----------------------------------------------------------------------------------------------------------------------------
Total liabilities 533,499,859
-----------------------------------------------------------------------------------------------------------------------------
PREFERRED SHARES
$25,000 liquidation value per share applicable to 43,200 shares, including dividends payable 1,080,746,441
-----------------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 2,227,372,981
=============================================================================================================================
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized 154,514,000 shares issued and outstanding $ 2,200,733,859
Undistributed net investment income (loss) (5,910,501)
Accumulated net realized gain (loss) on investments, written options, foreign currency transactions and
interest rate swaps 55,935,590
Net unrealized appreciation (depreciation) on investments, written options, foreign currency translations
and interest rate swaps (23,385,967)
-----------------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 2,227,372,981
=============================================================================================================================
Net asset value per common share based on 154,514,000 shares issued and outstanding $ 14.42
=============================================================================================================================
* Includes $488,767,686 of securities loaned.
Strategic Total Return Fund
Statement of Assets and Liabilities SEMIANNUAL REPORT 11
See accompanying Notes to Financial Statements.
Statement of Operations
SIX MONTHS ENDED APRIL 30, 2005 (UNAUDITED)
-------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 52,316,602
Dividends (net of foreign taxes witheld of $155,902) 39,169,475
Securities lending income 1,014,094
-------------------------------------------------------------------------------------------------------------------------
Total investment income 92,500,171
-------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 16,786,159
Financial accounting fees 191,043
Auction agent and rating agency fees 1,376,512
Printing and mailing fees 324,463
Accounting fees 236,785
Custodian fees 109,365
Registration fees 66,850
Audit and legal fees 66,593
Trustees' fees 13,941
Transfer agent fees 13,785
Other 36,411
-------------------------------------------------------------------------------------------------------------------------
Total expenses 19,221,907
-------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 73,278,264
=========================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, WRITTEN OPTIONS, FOREIGN CURRENCY
AND INTEREST RATE SWAPS
NET REALIZED GAIN (LOSS) FROM:
Investments 74,906,497
Written options 1,600
Foreign currency transactions 53,817
Interest rate swaps (4,620,486)
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments (41,979,264)
Written options (1,137,061)
Foreign currency translations (26,834)
Interest rate swaps 12,904,856
-------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, WRITTEN OPTIONS, FOREIGN CURRENCY AND
INTEREST RATE SWAPS 40,103,125
=========================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 113,381,389
=========================================================================================================================
DIVIDENDS TO PREFERRED SHAREHOLDERS FROM
Net investment income (13,774,895)
-------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS $ 99,606,494
=========================================================================================================================
Strategic Total Return Fund
12 SEMIANNUAL REPORT Statement of Operations
See accompanying Notes to Financial Statements.
Statement of Changes in Net Assets
For the Six
Months Ended For the Period
April 30, 2005 Ended
(unaudited) October 31, 2004*
----------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income (loss) $ 73,278,264 $ 79,377,024
Net realized gain (loss) from investments, written options, foreign currency
transactions and interest rate swaps 70,341,428 (21,276,962)
Change in net unrealized appreciation/depreciation on investments, written
options, foreign currency translations and interest rate swaps (30,238,303) 6,852,336
Dividends to preferred shareholders from
Net investment income (13,774,895) (8,528,292)
----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to common shareholders resulting
from operations 99,606,494 56,424,106
----------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO COMMON SHAREHOLDERS FROM
Net investment income (71,462,728) (57,942,750)
CAPITAL STOCK TRANSACTIONS
Proceeds from initial offering -- $ 2,213,412,630
Offering costs on common shares -- (1,329,771)
Offering costs on preferred shares -- (11,335,000)
Net increase (decrease) in net assets from capital stock transactions -- 2,200,747,859
----------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 28,143,766 2,199,229,215
----------------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Beginning of period 2,199,229,215 --
----------------------------------------------------------------------------------------------------------------------------
End of period $ 2,227,372,981 $ 2,199,229,215
============================================================================================================================
Undistributed net investment income (loss) $ (5,910,501) $ 6,048,858
* The Fund commenced operations on March 26, 2004.
Strategic Total Return Fund
Statement of Changes in Net Assets SEMIANNUAL REPORT 13
See accompanying Notes to Financial Statements.
Notes to Financial Statements (unaudited)
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 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
will invest primarily in common and preferred stocks and income producing
securities such as investment grade and below investment grade debt securities.
PORTFOLIO VALUATION. In computing the net asset value of the Fund, portfolio
securities, except exchange traded option securities, that are traded on a
securities exchange in the United States are valued at the last reported sale
price as of the time of valuation, or lacking any current reported sale at the
time of valuation, at the mean between the most recent bid and asked quotations.
Each security traded in the over-the-counter market and quoted on the NASDAQ
National Market System, is valued at the Nasdaq Official Closing Price ("NOCP"),
as determined by Nasdaq, or lacking an NOCP, the last current reported sale
price as of the time of valuation by Nasdaq, or lacking any current reported
sale on Nasdaq at the time of valuation, at the mean between the most recent bid
and asked quotations. Each option security traded on a securities exchange in
the United States is valued at the last current reported sale price as of the
time of valuation if the last current reported sale price falls within the
consolidated bid/ask quote for the option security. If the last current reported
sale price as of the time of valuation does not fall within the consolidated
bid/ask quote for such option security, such security is valued at the mid-point
of the consolidated bid/ask quote for the option security. Each over-the-counter
option that is not traded through the Options Clearing Corporation is valued by
the counterparty, or if the counterparty's price is not readily available then
by using the Black-Scholes method. Each other security traded over-the-counter
is valued at the mean between the most recent bid and asked quotations.
Short-term securities with maturities of 60 days or less are valued at amortized
cost, which approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of the fair value of the security, the
security is priced at a fair value following procedures and/or guidelines
approved by the Board of Trustees, which may include utilizing a systematic fair
valuation model provided by an independent pricing system. The Fund may also use
fair value pricing, if the value of a security it holds is, pursuant to Board of
Trustees' guidelines, materially affected by events occurring before the Fund's
pricing time but after the close of the primary market or exchange on which the
security is traded. These procedures may utilize valuations furnished by pricing
services approved by the Board of Trustees, which may be based on market
transactions for comparable securities and various relationships between
securities that are generally recognized by institutional traders, a
computerized matrix system, or appraisals derived from information concerning
the securities or similar securities received from recognized dealers in those
securities. When fair value pricing is employed, the value of the portfolio
security used to calculate the Fund's net asset value may differ from quoted or
official closing prices.
Securities that are principally traded in a foreign market are valued at the
last current sale price at the time of valuation or lacking any current or
reported sale at the time of valuation, at the mean between the most recent bid
and asked quotations as of the close of the appropriate exchange or other
designated time. Trading in securities on European and Far Eastern securities
exchanges and over-the-counter markets is normally completed at various times
before the close of business on each day on which the New York Stock Exchange
("NYSE") is open. Trading of these securities may not take place on every NYSE
business day. In addition, trading may take place in various foreign markets on
Saturdays or on other days when the NYSE is not open and on which the Fund's net
asset value is not calculated. As stated above, if the market prices are not
readily available or are not reflective of the fair value of the security, the
security will be priced at a fair value following procedures approved by the
Board of Trustees. In light of the judgment involved in fair value decisions,
there can be no assurance that a fair value assigned to a particular security is
accurate.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. Short-term investment
transactions are recorded on a trade date basis. Long-term investment
transactions are recorded on a trade date plus one basis, except for fiscal
quarter ends, which are recorded on trade
Strategic Total Return Fund
14 SEMIANNUAL REPORT Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
date. Net realized gains and losses from investment transactions are reported on
an identified cost basis. Interest income is recognized using the accrual method
and includes accretion of original issue and market discount and amortization of
premium. Dividend income is recognized on the ex-dividend date, except that
certain dividends from foreign securities are recorded as soon as the
information becomes available.
FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by
a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
selected by the advisor from rates quoted by any major bank or dealer in the
particular currency market, as reported by a recognized quotation dissemination
service.
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of
foreign currency, foreign currency gains or losses realized between the trade
and settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Fund's books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized foreign exchange gains and
losses arise from changes (due to the changes in the exchange rate) in the value
of foreign currency and other assets and liabilities denominated in foreign
currencies held at period end.
OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option among others, is that the Fund pays a premium whether or
not the option is exercised. Additionally, the Fund bears the risk of loss of
premium and change in market value should the counterparty not perform under the
contract. Put and call options purchased are accounted for in the same manner as
portfolio securities. The cost of securities acquired through the exercise of
call options is increased by premiums paid. The proceeds from securities sold
through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from investments. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a written call
option is exercised, the premium is added to the proceeds from the sale of the
underlying security or currency in determining whether the Fund has realized a
gain or loss. If a written put option is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. The Fund as writer of an option
bears the market risk of an unfavorable change in the price of the security
underlying the written option.
USE OF ESTIMATES. The preparation of financial statements in conformity with
U.S. generally accepted accounting principles requires management to make
estimates and assumptions that affect the amounts reported in the financial
statements and accompanying notes. Actual results may differ from those
estimates.
INCOME TAXES. No provision has been made for income taxes because the Fund's
policy is to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute to shareholders substantially all of its
taxable income and gains.
Dividends and distributions paid to shareholders are recorded on the ex-dividend
date. The amount of dividends and distributions from net investment income and
net realized capital gains is determined in accordance with Federal income tax
regulations, which may differ from U.S. generally accepted accounting
principles. To the extent these "book/tax" differences are permanent in nature
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment. These differences are primarily due to differing treatments
for foreign currency transactions, contingent payment debt instruments and
methods of amortizing and accreting on fixed income securities. Financial
records are not adjusted for temporary differences.
Strategic Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 15
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 2 - INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with Calamos Advisors LLC ("Calamos
Advisors"), the Fund pays an annual fee, payable monthly, equal to 1.00% based
on the average weekly managed assets. "Managed Assets" means the total assets of
the Fund (including any assets attributable to any leverage that may be
outstanding) minus total liabilities (other than debt representing financial
leverage).
Effective November1, 2004, Calamos Advisors receives a fee payable monthly at
the annual rate of 0.0175% on the first $1 billion of combined assets; 0.0150%
on the next $1 billion of combined assets; and 0.0110% on combined assets above
$2 billion for financial accounting services (for purposes of this calculation
combined assets means the net assets of Calamos Investment Trust and Calamos
Advisors Trust, and the managed assets of Calamos Convertible Opportunities and
Income Fund, Calamos Convertible and High Income Fund, and Calamos Strategic
Total Return Fund). Financial accounting services include, but are not limited
to, the following: managing expenses and expense payment processing; monitoring
the calculation of expense accrual amounts; calculating, tracking, and reporting
tax adjustments on all assets and monitoring trustee deferred compensation plan
accruals and valuations. The Fund will pay its pro rata share of the financial
accounting services fee payable to Calamos Advisors based on average assets of
the Fund.
Certain officers and trustees of the Trust are also officers and directors of
Calamos Financial Services LLC ("CFS") and Calamos Advisors. All officers and
affiliated trustees serve without direct compensation from the Fund.
The Fund has adopted a deferred compensation plan (the "Plan"). Under the Plan,
a trustee who is not an "interested person" of Calamos Advisors and has elected
to participate in the Plan (a "participating trustee") may defer receipt of all
or a portion of his compensation from the Fund. The deferred compensation
payable to the participating trustee is credited to the trustee's deferral
account as of the business day such compensation would have been paid to the
participating trustee. The value of a participating trustee's deferred
compensation account at any time is equal to what would be the value if the
amounts credited to the account had instead been invested in shares of one or
more of the Funds of the Calamos Investment Trust as designated by the trustee.
Thus, the value of the account increases with contributions to the account or
with increases in the value of the measuring shares, and the value of the
account decreases with withdrawals from the account or with declines in the
value of the measuring shares. If a participating trustee retires, the trustee
may elect to receive payments under the plan in a lump sum or in equal
installments over a period of five years. If a participating trustee dies, any
amount payable under the Plan will be paid to the trustee's beneficiaries.
Deferred compensation investments of $10,421 are included in "Other assets" on
the Statement of Assets and Liabilities at April 30, 2005. The Fund's obligation
to make payments under the Plan is a general obligation of the Fund and is
included in "Payable for deferred compensation to Trustees" on the Statement of
Assets and Liabilities at April 30, 2005.
NOTE 3 - INVESTMENTS
Purchases and sales of investments other than short-term obligations for the six
months ended April 30, 2005 were as follows:
Purchases $1,448,726,121
Proceeds from sales 1,447,328,928
The following information is presented on an income tax basis as of April 30,
2005. Differences between amounts for financial statements and Federal income
tax purposes are primarily due to timing differences.
The cost basis of investments for federal income tax purposes at April 30, 2005
was as follows:
Cost basis of investments $ 3,826,470,288
---------------
Gross unrealized appreciation 157,401,877
Gross unrealized depreciation (190,277,650)
---------------
Net unrealized appreciation (depreciation) $ (32,875,773)
===============
Strategic Total Return Fund
16 SEMIANNUAL REPORT Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 4 - INCOME TAXES
Distributions during the fiscal year ended October 31, 2004 were characterized
for income tax purposes as follows:
Distributions paid from:
Net investment income $62,365,389
Capital gains --
As of October 31, 2004, the components of net assets on a tax basis were as
follows:
Undistributed ordinary income $ 11,360,755
Undistributed capital gains --
---------------
Total undistributed earnings 11,360,755
Accumulated capital and other losses (10,297,008)
Net unrealized gains/(losses) 1,560,175
---------------
Total accumulated earnings/(losses) 2,623,922
Other (4,128,566)
Paid-in capital 2,200,733,859
---------------
$ 2,199,229,215
---------------
NOTE 5 - COMMON STOCK
There are unlimited common shares of beneficial interest authorized and
154,514,000 shares outstanding at April 30, 2005. Calamos Advisors LLC owned
14,883 of the outstanding shares. Transactions in common shares were as follows:
FOR THE SIX MONTHS ENDED FOR THE PERIOD ENDED
APRIL 30, 2005 (UNAUDITED) OCTOBER 31, 2004*
-----------------------------------------------------------------------------------------------------------
Beginning shares 154,514,000 --
Shares sold -- 154,514,000
Shares issued through reinvestment of distributions -- --
-------------------------------------
Ending shares 154,514,000 154,514,000
=====================================
* THE FUND COMMENCED OPERATIONS ON MARCH 26, 2004.
NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes in currency
exchange rates by entering into 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 exchange rates and an unrealized gain or loss is
recorded. The Fund realizes a gain or loss upon settlement of the contracts.
There were no open forward foreign currency contracts at April 30, 2005.
NOTE 7 - SYNTHETIC CONVERTIBLE SECURITIES
The Fund may establish a "synthetic" convertible instrument by combining
separate securities that possess the economic characteristics similar to a
convertible security, i.e., fixed-income securities ("fixed-income component")
and the right to acquire equity securities ("convertible component"). The
fixed-income component is achieved by investing in non-convertible, fixed income
securities such as bonds, preferred stocks and money market instruments. The
convertible component is achieved by investing in warrants or options to buy
common stock at a certain exercise price, or options on a stock index. In
establishing a synthetic instrument, the
Strategic Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 17
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Fund may pool a basket of fixed-income securities and a basket of warrants or
options that produce the economic characteristics similar to a convertible
security. Within each basket of fixed-income securities and warrants or options,
different companies may issue the fixed-income and convertible components, which
may be purchased separately and at different times.
The Fund may purchase synthetic securities created by other parties, typically
investment banks, including convertible structured notes. Convertible structured
notes are fixed-income debentures linked to equity. Convertible structured notes
have the attributes of a convertible security; however, the investment bank that
issued the convertible note assumes the credit risk associated with the
investment, rather than the issuer of the underlying common stock into which the
note is convertible. Purchasing synthetic convertible securities may offer more
flexibility than purchasing a convertible security. Different companies may
issue the fixed-income and convertible components, which may be purchased
separately and at different times.
NOTE 8 - OPTIONS TRANSACTIONS
The Fund may engage in options transactions and in doing so achieve the similar
objectives to what they would achieve through the sale or purchase of individual
securities. Transactions in options written during the six months ended April
30, 2005 were as follows:
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
--------------------------------------------------------------------------------
Options outstanding at October 31, 2004 6,900 $ 1,127,898
Options written 102,510 7,079,389
Options closed (56,952) (4,432,677)
Options expired (34,598) (1,559,373)
-------------------------
Options outstanding at April 30, 2005 17,860 $ 2,215,237
=========================
NOTE 9 - PREFERRED SHARES
There are unlimited shares of Auction Rate Cumulative Preferred Shares
("Preferred Shares") authorized. The Preferred Shares have rights as determined
by the Board of Trustees. The 43,200 shares of Preferred Shares outstanding
consist of seven series, 7,040 shares of M, 7,040 shares of TU, 7,040 shares of
W, 7,040 shares of TH, 7,040 shares of F, 4,000 shares of A, and 4,000 shares of
B. The Preferred Shares have a liquidation value of $25,000 per share plus any
accumulated but unpaid dividends whether or not declared.
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven and twenty-eight days based on the results of an auction. Dividend rates
ranged from 1.81% to 3.61% for the six months ended April 30, 2005. Under the
Investment Company Act of 1940, the Fund may not declare dividends or make other
distributions on shares of common stock or purchase any such shares if, at the
time of the declaration, distribution or purchase, asset coverage with respect
to the outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the option of the Fund, in whole or in
part, on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or the holders of common shares.
Strategic Total Return Fund
18 SEMIANNUAL REPORT Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 10 - INTEREST RATE TRANSACTIONS
The Fund may enter into interest rate swap or cap transactions to attempt to
protect itself from increasing dividend or interest expense on its leverage
resulting from increasing short-term interest rates. A decline in interest rates
may result in a decline in the value of the swap or cap, which may result in a
decline in the net asset value of the Fund. In addition, if the counterparty to
an interest rate swap or cap defaults, the Fund would not be able to use the
anticipated receipts under the swap or cap to offset the dividend or interest
payments on the Fund's leverage. At the time an interest rate swap or cap
reaches its scheduled termination, there is a risk that the Fund would not be
able to obtain a replacement transaction or that the terms of the replacement
would not be as favorable as on the expiring transaction. In addition, if the
Fund is required to terminate any swap or cap early due to the Fund failing to
maintain a required 200% asset coverage of the liquidation value of the
outstanding Preferred Shares or the Fund loses its credit rating on its
Preferred Shares, then the Fund could be required to make a termination payment,
in addition to redeeming all or some of the Preferred Shares. Details of the
swap agreements outstanding as of April 30, 2005 were as follows:
UNREALIZED
TERMINATION NOTIONAL FIXED RATE FLOATING RATE APPRECIATION
COUNTERPARTY DATE AMOUNT (000) (FUND PAYS) (FUND RECEIVES) (DEPRECIATION)
----------------------------------------------------------------------------------------------------
Citibank NA June 4, 2006 $150,000 3.04% 1 month LIBOR $ 972,795
Citibank NA February 4, 2007 150,000 3.68% 1 month LIBOR 419,205
Citibank NA June 4, 2007 150,000 3.61% 1 month LIBOR 999,285
Citibank NA February 4, 2008 150,000 3.88% 1 month LIBOR 582,532
Citibank NA June 4, 2009 200,000 4.34% 1 month LIBOR (1,316,580)
Citibank NA February 4, 2010 200,000 4.14% 1 month LIBOR 797,591
-----------
$ 2,454,828
===========
NOTE 11 - SECURITIES LENDING
During the six months ended April 30, 2005, the Fund lent certain of its
securities to broker-dealers and banks. Any such loan must be continuously
secured by collateral in cash or cash equivalents maintained on a current basis
in an amount at least equal to the market value of the securities loaned by the
Fund. The Fund continues to receive the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receives an additional
return that may be in the form of a fixed fee or a percentage of the collateral.
The Fund may pay reasonable fees to persons unaffiliated with the Fund for
services in arranging these loans. The Fund has the right to call the loan and
obtain the securities loaned at any time on notice of not more than five
business days. The Fund does not have the right to vote the securities during
the existence of the loan but could call the loan in an attempt to permit voting
of the securities in certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
In the event of bankruptcy or other default of the borrower, the Fund could
experience both delays in liquidating the loan collateral or recovering the
loaned securities and losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the period while the
Fund seeks to enforce its rights thereto, (b) possible subnormal levels of
income and lack of access to income during this period, and (c) the expenses of
enforcing its rights. In an effort to reduce these risks, Calamos Advisors LLC
and the security lending agent will monitor the creditworthiness of the firms to
which the Fund lends securities. At April 30, 2005, the Fund had securities
valued at $488,767,686 that were on loan to broker-dealers and banks and
$506,063,093 in cash or cash equivalent collateral.
Strategic Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 19
Financial Highlights
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
For the Six Months March 26, 2004*
Ended April 30, through
(unaudited) October 31, 2004
--------------------------------------
2005 2004
--------------------------------------------------------------------------------------------------------------------
Net asset value, beginnning of period $ 14.23 $ 14.32(a)
--------------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.47 0.51
--------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) from investments, written options,
foreign currency and interest rate swaps 0.27 (0.09)
--------------------------------------------------------------------------------------------------------------------
Dividends to preferred shareholders from:
Net investment income (common share equivalent basis) (0.09) (0.06)
--------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.65 0.36
--------------------------------------------------------------------------------------------------------------------
Less dividends to common shareholders from:
Net investment income (0.46) (0.37)
--------------------------------------------------------------------------------------------------------------------
Capital charge resulting from issuance of common and preferred shares -- (0.08)
--------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 14.42 $ 14.23
--------------------------------------------------------------------------------------------------------------------
Market value, end of period $ 13.57 $ 13.34
--------------------------------------------------------------------------------------------------------------------
Total investment return based on(b):
--------------------------------------------------------------------------------------------------------------------
Net asset value 4.82% 2.10%
--------------------------------------------------------------------------------------------------------------------
Market value 5.22% (8.59)%
--------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data:
--------------------------------------------------------------------------------------------------------------------
Net assets applicable to common shareholders, end of period (000's omitted) $ 2,227,373 $ 2,199,229
--------------------------------------------------------------------------------------------------------------------
Preferred shares, at redemption value ($25,000 per share liquidation preference)
(000's omitted) $ 1,080,000 $ 1,080,000
--------------------------------------------------------------------------------------------------------------------
Ratios to average net assets applicable to common shareholders:
--------------------------------------------------------------------------------------------------------------------
Net expenses(c) 1.68% 1.61%
--------------------------------------------------------------------------------------------------------------------
Net investment income (loss)(c) 6.41% 6.27%
--------------------------------------------------------------------------------------------------------------------
Preferred share dividends(c) 1.21% 0.67%
--------------------------------------------------------------------------------------------------------------------
Net investment income (loss), net of preferred share dividends(c) 5.20% 5.59%
--------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 43% 11%
--------------------------------------------------------------------------------------------------------------------
Average commission rate paid $ 0.0226 $ 0.0197
--------------------------------------------------------------------------------------------------------------------
Asset coverage per preferred share, at end of period(d) $ 76,577 $ 75,916
--------------------------------------------------------------------------------------------------------------------
* Commencement of operations.
(a) Net of sales load of $0.675 on initial shares issued and beginning net
asset value of $14.325.
(b) Total investment return is calculated assuming a purchase of common stock
on the opening of the first day and a sale on the closing of the last day
of the period reported. Dividends and distributions are assumed, for
purposes of this calculation, to be reinvested at prices obtained under
the Fund's dividend reinvestment plan. Total return is not annualized for
periods less than one year. Brokerage commissions are not reflected.
(c) Annualized for periods less than one year.
(d) Calculated by subtracting the Fund's total liabilities (not including
preferred shares) from the Fund's total assets and dividing this by the
number of preferred shares outstanding.
Strategic Total Return Fund
20 SEMIANNUAL REPORT Financial Highlights
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of CALAMOS Strategic Total Return
Fund:
We have reviewed the accompanying statement of assets and liabilities, including
the schedule of investments, of CALAMOS Strategic Total Return Fund (the "Fund")
as of April 30, 2005, and the related statements of operations and changes in
net assets and the financial highlights for the semi-annual period then ended.
These interim financial statements and financial highlights are the
responsibility of the Fund's management.
We conducted our review in accordance with standards of the Public Company
Accounting Oversight Board (United States). A review of interim financial
information consists principally of applying analytical procedures and making
inquiries of persons responsible for financial and accounting matters. It is
substantially less in scope than an audit conducted in accordance with the
standards of the Public Company Accounting Oversight Board (United States), the
objective of which is the expression of an opinion regarding the financial
statements taken as a whole. Accordingly, we do not express such an opinion.
Based on our review, we are not aware of any material modifications that should
be made to such interim financial statements and financial highlights for them
to be in conformity with accounting principles generally accepted in the United
States of America.
We have previously audited, in accordance with standards of the Public Company
Accounting Oversight Board (United States), the statement of changes in net
assets and the financial highlights for the period from March 26, 2004
(commencement of operations) through October 31, 2004; and in our report dated
December 21, 2004, we expressed an unqualified opinion on such statement of
changes in net assets and financial highlights.
/s/ Deloitte & Touche LLP
Chicago, Illinois
June 20, 2005
Strategic Total Return Fund
Report of Independent Registered Public Accounting Firm SEMIANNUAL REPORT 21
OTHER INFORMATION (UNAUDITED)
RESULTS OF SHAREHOLDER MEETING. The Annual Meeting of Shareholders of the Fund
was held on April 6, 2005 where shareholders voted on the elections of trustees.
With regard to the election, each trustee standing for election was elected by
the shareholders as follows:
# OF COMMON
TRUSTEES AND PREFERRED SHARES
--------------------------------------------------------------------------------
FOR WITHHELD
------------------------------------
John P. Calamos, Sr. 145,147,199 1,916,742
Weston W. Marsh 145,147,699 1,916,242
# OF PREFERRED SHARES
------------------------------------
FOR WITHHELD
------------------------------------
William R. Rybak 33,628 25
The other trustees of the Fund whose terms did not expire in 2005 are Nick P.
Calamos, Joe F. Hanauer, John E. Neal and Stephen B. Timbers.
Strategic Total Return Fund
22 SEMIANNUAL REPORT Other Information
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[LOGO](R)
CALAMOS INVESTMENTS(R)
--------------------------------------------------------------------------------
Calamos Investments | 1111 E. Warrenville Road | Naperville, IL 60563-1463 |
800.582.6959 | www.calamos.com
--------------------------------------------------------------------------------
A description of the Calamos Proxy Voting Policies and Procedures is available
free of charge upon request by calling (800) 582-6959, by visiting the Calamos
website at www.calamos.com, or by writing Calamos at: Calamos Investments, Attn:
Client Services, 1111 E. Warrenville Road, Naperville, IL 60563. The Fund's
proxy voting record for the twelve month period ended June 30, 2004, is also
available upon request by calling or writing Calamos Investments and by visiting
the SEC Web site at www.sec.gov.
The Fund files a complete list of its portfolio holdings with the SEC for the
first and third quarters each fiscal year on Form N-Q. The Form N-Q is available
free of charge, upon request, by calling or writing Calamos Investments or by
visiting the SEC website. You may also review or, for a fee, copy the forms at
the SEC's Public Reference Room in Washington, D.C. (202) 942-8090.
FOR 24 HOUR SHAREHOLDER ASSISTANCE
800.432.8224
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB SITE
www.calamos.com
INVESTMENT ADVISOR
Calamos Advisors LLC
1111 E. Warrenville Road
Naperville, IL 60563-1463
FUND ACCOUNTING AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02111
CUSTODIAN AND TRANSFER AGENT
The Bank of New York
P.O. Box 11258
Church Street Station
New York, NY 10286
800.524.4458
INDEPENDENT ACCOUNTANTS
Deloitte and Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
AS OF JULY 15, 2005, CALAMOS INVESTMENTS
WILL BE LOCATED AT:
2020 CALAMOS COURT
NAPERVILLE, IL 60563
(C) 2005 Calamos Holdings LLC. All Rights Reserved.
Calamos(R), CALAMOS INVESTMENTS(R), STRATEGIES FOR SERIOUS MONEY(R)
and the Calamos(R) logo are registered trademarks of Calamos Holdings LLC.
CSQSAN 1946 2005
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in the Report to Shareholders in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
-------------------- ----------------- -------------- --------------------- ----------------------------
(C) TOTAL NUMBER (D) MAXIMUM NUMBER
(A) TOTAL OF SHARES (OR (OR APPROXIMATE DOLLAR
NUMBER OF (B) AVERAGE UNITS) PURCHASED VALUE) OF SHARES (OR
SHARES (OR PRICE PAID AS PART OF PUBLICLY UNITS) THAT MAY YET BE
UNITS) PER SHARE ANNOUNCED PLANS PURCHASED UNDER THE
PERIOD PURCHASED (OR UNIT) OR PROGRAMS PLANS OR PROGRAMS
-------------------- ----------------- -------------- --------------------- ----------------------------
November 1 to 0 0 0 0
November 30
-------------------- ----------------- -------------- --------------------- ----------------------------
December 1 to 151,390 $13.74 0 0
December 31
-------------------- ----------------- -------------- --------------------- ----------------------------
January 1 to 0 0 0 0
January 31
-------------------- ----------------- -------------- --------------------- ----------------------------
February 1 to 0 0 0 0
February 28
-------------------- ----------------- -------------- --------------------- ----------------------------
March 1 to 0 0 0 0
March 31
-------------------- ----------------- -------------- --------------------- ----------------------------
April 1 to April 0 0 0 0
30
-------------------- ----------------- -------------- --------------------- ----------------------------
Total 0 0 0 0
-------------------- ----------------- -------------- --------------------- ----------------------------
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
No material changes.
ITEM 11. 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-CSR 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 second fiscal quarter of the period covered by this
report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics -- Not applicable.
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) 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: June 29, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: June 29, 2005
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: June 29, 2005
By: /s/ Patrick H. Dudasik
-----------------------------------------------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: June 29, 2005