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
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors LLC,
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2006
DATE OF REPORTING PERIOD: July 31, 2006
CALAMOS STRATEGIC TOTAL RETURN FUND
ITEM 1. SCHEDULE OF INVESTMENTS July 31, 2006 (UNAUDITED)
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ---------------
CORPORATE BONDS (41.5%)
CONSUMER DISCRETIONARY (11.8%)
$ 4,470,000 Asbury Automotive Group, Inc.
8.000%, 03/15/14 $ 4,386,188
7,152,000 Aztar Corp.@
7.875%, 06/15/14 7,634,760
10,151,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 9,998,735
4,470,000 Boyd Gaming Corp.
7.750%, 12/15/12 4,470,000
3,799,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 3,998,448
13,856,000 EchoStar Communications Corp.*@
7.125%, 02/01/16 13,682,800
1,967,000 EchoStar DBS Corporation
6.625%, 10/01/14 1,903,073
5,811,000 GBP EMI Group, PLC
8.250%, 05/20/08 11,614,792
8,046,000 GameStop Corp.@
8.000%, 10/01/12 8,206,920
13,409,000 General Motors Corp.
7.200%, 01/15/11 11,967,532
17,879,000 Goodyear Tire & Rubber Company@
7.857%, 08/15/11 16,627,470
7,599,000 Group 1 Automotive, Inc.
8.250%, 08/15/13 7,693,987
8,046,000 Hovnanian Enterprises, Inc.@
7.750%, 05/15/13 7,261,515
6,258,000 IMAX Corp.@
9.625%, 12/01/10 6,570,900
8,493,000 Intrawest Corp.
7.500%, 10/15/13 8,503,616
6,802,000 Jarden Corp.@
9.750%, 05/01/12 7,108,090
2,899,000 Kellwood Company
7.625%, 10/15/17 2,662,053
6,705,000 Landry's Restaurants, Inc.@
7.500%, 12/15/14 6,252,412
15,421,000 Linens 'n Things, Inc.*@++
11.132%, 01/15/14 14,380,082
Mandalay Resort Group@
13,002,000 10.250%, 08/01/07 13,489,575
5,811,000 7.625%, 07/15/13 5,752,890
11,621,000 Meritage Corp.@
7.000%, 05/01/14 10,168,375
5,364,000 NCL Holding, ASA
10.625%, 07/15/14 5,256,720
4,470,000 Oxford Industries, Inc.
8.875%, 06/01/11 4,514,700
Pinnacle Entertainment, Inc.
8,046,000 8.250%, 03/15/12 8,066,115
4,599,000 8.750%, 10/01/13@ 4,863,442
8,953,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 8,717,984
5,811,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 5,317,448
PRINCIPAL
AMOUNT VALUE
----------- ---------------
$11,621,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 $ 11,225,549
13,409,000 Standard Pacific Corp.@
9.250%, 04/15/12 12,805,595
1,967,000 Station Casinos, Inc.
6.875%, 03/01/16 1,819,475
4,470,000 Vail Resorts, Inc.
6.750%, 02/15/14 4,268,850
Warner Music Group
16,538,000 7.375%, 04/15/14 16,041,860
2,235,000 GBP 8.125%, 04/15/14 4,300,229
894,000 William Lyon Homes, Inc.
10.750%, 04/01/13 826,950
1,967,000 Wynn Las Vegas, LLC
6.625%, 12/01/14 1,863,733
---------------
274,222,863
---------------
CONSUMER STAPLES (3.2%)
1,788,000 Alimentation Couche-Tard Inc.
7.500%, 12/15/13 1,792,470
7,599,000 Central Garden & Pet Company
9.125%, 02/01/13 7,845,968
13,186,000 Chiquita Brands International, Inc.@
7.500%, 11/01/14 11,274,030
10,280,000 Del Monte Foods Company
8.625%, 12/15/12 10,716,900
15,197,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 14,266,184
9,833,000 NBTY, Inc.
7.125%, 10/01/15 9,292,185
Spectrum Brands, Inc.@
12,515,000 7.375%, 02/01/15 9,480,112
5,364,000 8.500%, 10/01/13 4,304,610
4,203,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 4,618,046
---------------
73,590,505
---------------
ENERGY (5.3%)
10,727,000 Arch Western Finance, LLC
6.750%, 07/01/13 10,271,102
Chesapeake Energy Corp.
6,258,000 6.875%, 01/15/16 6,070,260
3,576,000 7.500%, 06/15/14 3,611,760
4,814,000 Comstock Resources, Inc.
6.875%, 03/01/12 4,549,230
1,967,000 Energy Partners, Ltd.
8.750%, 08/01/10 1,922,743
13,230,000 Giant Industries, Inc.@
8.000%, 05/15/14 13,230,000
4,470,000 Houston Exploration Company
7.000%, 06/15/13 4,402,950
4,470,000 KCS Energy, Inc.
7.125%, 04/01/12 4,291,200
Petroleo Brasileiro, SA
14,750,000 9.125%, 07/02/13 17,110,000
13,856,000 8.375%, 12/10/18 15,709,240
1,788,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 1,859,919
See accompanying notes to Schedule of Investments
1
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ---------------
$ 4,470,000 Superior Energy Services, Inc.*@
6.875%, 06/01/14 $ 4,358,250
10,124,000 Swift Energy Company@
9.375%, 05/01/12 10,731,440
6,749,000 Whiting Petroleum Corp.
7.250%, 05/01/12 6,732,128
17,879,000 Williams Companies, Inc.
7.750%, 06/15/31 17,655,512
---------------
122,505,734
---------------
FINANCIALS (3.9%)
35,913,000 Dow Jones TRAC-X North America High
Yield Series
6 June 2011 Trust 3*@
8.125%, 06/29/11 35,329,414
E*TRADE Financial Corporation
17,307,000 7.375%, 09/15/13 17,436,802
11,934,000 7.875%, 12/01/15 12,381,525
3,039,000 8.000%, 06/15/11 3,137,768
13,409,000 Leucadia National Corp.
7.000%, 08/15/13 13,207,865
9,386,000 Senior Housing Properties Trust
8.625%, 01/15/12 9,902,230
---------------
91,395,604
---------------
HEALTH CARE (3.7%)
4,470,000 Ameripath, Inc.
10.500%, 04/01/13 4,727,025
2,682,000 Angiotech Pharmaceuticals, Inc.*
7.750%, 04/01/14 2,608,245
3,263,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 3,354,805
4,470,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 4,514,700
5,140,000 Biovail Corp.
7.875%, 04/01/10 5,242,800
1,967,000 DaVita, Inc.@
7.250%, 03/15/15 1,890,779
1,430,000 Omnicare, Inc.@
6.875%, 12/15/15 1,387,100
9,833,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 9,587,175
16,985,000 Service Corp. International
6.750%, 04/01/16 15,923,437
15,823,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 14,636,275
11,621,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 11,098,055
12,068,000 Vanguard Health Systems, Inc.@
9.000%, 10/01/14 11,736,130
---------------
86,706,526
---------------
INDUSTRIALS (4.5%)
4,917,000 Accuride Corp.
8.500%, 02/01/15 4,597,395
5,945,000 American Airlines, Inc.
7.250%, 02/05/09 5,997,019
2,682,000 Armor Holdings, Inc.
8.250%, 08/15/13 2,816,100
PRINCIPAL
AMOUNT VALUE
----------- ---------------
$14,750,000 CNH Global, NV
9.250%, 08/01/11 $ 15,616,562
3,129,000 Columbus McKinnon Corp.@
8.875%, 11/01/13 3,207,225
12,068,000 Cummins, Inc.
9.500%, 12/01/10 12,755,659
1,788,000 FTI Consulting, Inc.
7.625%, 06/15/13 1,814,820
4,470,000 Gardner Denver, Inc.
8.000%, 05/01/13 4,693,500
8,493,000 General Cable Corp.
9.500%, 11/15/10 9,087,510
4,470,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 4,564,988
4,050,000 H&E Equipment Service, Inc.* Y
5.375%, 07/15/16 4,095,563
1,484,000 Hexcel Corporation@
6.750%, 02/01/15 1,428,350
3,357,000 Manitowoc Company, Inc.
10.500%, 08/01/12 3,642,345
4,470,000 Monitronics International, Inc.
11.750%, 09/01/10 4,419,713
2,682,000 Orbital Sciences Corp.@
9.000%, 07/15/11 2,842,920
4,470,000 Sequa Corp.
8.875%, 04/01/08 4,676,737
5,140,000 Trinity Industries, Inc.
6.500%, 03/15/14 5,011,500
4,470,000 Wesco Distribution, Inc.
7.500%, 10/15/17 4,458,825
4,470,000 Westinghouse Air Brake Technologies
Corporation
6.875%, 07/31/13 4,425,300
4,917,000 Williams Scotsman International, Inc.
8.500%, 10/01/15 4,953,877
---------------
105,105,908
---------------
INFORMATION TECHNOLOGY (2.5%)
16,335,000 Advanced Micro Devices, Inc.@
7.750%, 11/01/12 16,437,094
1,989,000 Anixter International, Inc.
5.950%, 03/01/15 1,844,798
1,967,000 Avago Technologies*@
11.875%, 12/01/15 2,134,195
7,599,000 Celestica, Inc.@
7.875%, 07/01/11 7,561,005
4,470,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 4,581,750
4,470,000 Liberty Media Corporation@
8.250%, 02/01/30 4,410,580
983,000 Sanmina-SCI Corporation@
8.125%, 03/01/16 963,340
9,386,000 SunGuard Data Systems, Inc.@
9.125%, 08/15/13 9,632,382
11,630,000 Telcordia Technologies*
10.000%, 03/15/13 9,362,150
---------------
56,927,294
---------------
See accompanying notes to Schedule of Investments
2
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ---------------
MATERIALS (3.9%)
$ 2,235,000 Agrium, Inc.
7.125%, 05/23/36 $ 2,268,042
Aleris International, Inc.
11,174,000 10.375%, 10/15/10 12,263,465
1,788,000 9.000%, 11/15/14 2,020,440
2,682,000 Century Aluminum Company
7.500%, 08/15/14 2,682,000
7,804,000 Freeport-McMoRan Copper & Gold, Inc.@
10.125%, 02/01/10 8,350,280
1,967,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 1,967,000
Ineos Group Holdings, PLC*
12,068,000 EUR 7.875%, 02/15/16 14,452,187
2,235,000 8.500%, 02/15/16@ 2,106,488
8,939,000 IPSCO, Inc.
8.750%, 06/01/13 9,587,077
2,682,000 P.H. Glatfelter Company*@
7.125%, 05/01/16 2,628,360
7,152,000 U.S. Concrete, Inc.@
8.375%, 04/01/14 7,116,240
Union Carbide Corp.
9,789,000 7.875%, 04/01/23@ 10,511,232
7,733,000 7.500%, 06/01/25 8,007,653
6,571,000 Westlake Chemical Corporation@
6.625%, 01/15/16 6,143,885
---------------
90,104,349
---------------
TELECOMMUNICATION SERVICES (1.6%)
Alamosa Holdings, Inc.
11,621,000 8.500%, 01/31/12 12,376,365
4,470,000 11.000%, 07/31/10 4,905,825
1,520,000 Citizens Communications Company
9.000%, 08/15/31 1,565,600
4,023,000 IPCS Escrow Company
11.500%, 05/01/12 4,525,875
4,470,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 4,369,425
8,046,000 Windstream Corp.*
8.625%, 08/01/16 8,408,070
---------------
36,151,160
---------------
UTILITIES (1.1%)
10,727,000 Edison International
7.730%, 06/15/09 10,941,540
16,091,000 TXU Corp.
6.500%, 11/15/24 14,641,088
---------------
25,582,628
---------------
TOTAL CORPORATE BONDS
(Cost $983,360,892) 962,292,571
---------------
CONVERTIBLE BONDS (16.1%)
CONSUMER DISCRETIONARY (3.4%)
280,000 General Motors Corp.
6.250%, 07/15/33 6,022,800
PRINCIPAL
AMOUNT VALUE
----------- ---------------
$ 9,500,000 GBP Punch Taverns Redwood Jersey Co. Ltd.
5.000%, 12/14/10 $ 18,948,965
United Auto Group, Inc.
10,151,000 3.500%, 04/01/26* 11,001,146
5,849,000 3.500%, 04/01/26@ 6,338,854
32,000,000 Walt Disney Company@
2.125%, 04/15/23 35,560,000
---------------
77,871,765
---------------
ENERGY (0.7%)
10,500,000 Cal Dive International, Inc.*
3.250%, 12/15/25 15,500,625
---------------
FINANCIALS (1.6%)
13,500,000 Deutsche Bank Luxembourg S.A. (USA
Interactive) *@++[ ]
5.349%, 05/01/12 14,952,600
4,350,000 Host Marriott Corp.*
3.250%, 04/15/24 5,660,437
18,750,000 Travelers Property Casualty Corp.
4.500%, 04/15/32 18,337,500
---------------
38,950,537
---------------
HEALTH CARE (1.6%)
15,000,000 Advanced Medical Optics, Inc.*
3.250%, 08/01/26 15,956,250
20,000,000 Wyeth@++
5.109%, 01/15/24 21,360,000
---------------
37,316,250
---------------
INDUSTRIALS (2.4%)
20,000,000 Allied Waste Industries, Inc.@
4.250%, 04/15/34 17,975,000
9,000,000 GATX Corp.
7.500%, 02/01/07 10,732,500
16,000,000 Lockheed Martin Corp.++
4.920%, 08/15/33 19,244,800
7,500,000 Quanta Services, Inc.*
3.750%, 04/30/26 7,603,125
---------------
55,555,425
---------------
INFORMATION TECHNOLOGY (3.5%)
14,500,000 DST Systems, Inc.
4.125%, 08/15/23 18,487,500
17,000,000 Electronic Data Systems Corp.
3.875%, 07/15/23 17,106,250
8,000,000 Mentor Graphics Corp.*
6.250%, 03/01/26 9,170,000
36,500,000 Vishay Intertechnology, Inc.
3.625%, 08/01/23 36,545,625
---------------
81,309,375
---------------
MATERIALS (0.9%)
10,700,000 Freeport-McMoRan Copper & Gold, Inc.@
7.000%, 02/11/11 19,554,250
---------------
UTILITIES (2.0%)
20,000,000 CenterPoint Energy, Inc.@
3.750%, 05/15/23 24,425,000
See accompanying notes to Schedule of Investments
3
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ---------------
$ 8,750,000 GBP Scottish & Southern Energy, PLC
3.750%, 10/29/09 $ 22,328,470
---------------
46,753,470
---------------
TOTAL CONVERTIBLE BONDS
(Cost $357,919,773) 372,811,697
---------------
SYNTHETIC CONVERTIBLE SECURITIES (5.8%)
CORPORATE BONDS (4.8%)
CONSUMER DISCRETIONARY (1.4%)
530,000 Asbury Automotive Group, Inc.
8.000%, 03/15/14 520,063
848,000 Aztar Corp.@
7.875%, 06/15/14 905,240
1,204,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 1,185,940
530,000 Boyd Gaming Corp.
7.750%, 12/15/12 530,000
451,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 474,678
1,644,000 EchoStar Communications Corp.*@
7.125%, 02/01/16 1,623,450
233,000 EchoStar DBS Corporation
6.625%, 10/01/14 225,428
689,000 GBP EMI Group, PLC
8.250%, 05/20/08 1,377,145
954,000 GameStop Corp.@
8.000%, 10/01/12 973,080
1,591,000 General Motors Corp.
7.200%, 01/15/11 1,419,967
2,121,000 Goodyear Tire & Rubber Company@
7.857%, 08/15/11 1,972,530
901,000 Group 1 Automotive, Inc.
8.250%, 08/15/13 912,262
954,000 Hovnanian Enterprises, Inc.@
7.750%, 05/15/13 860,985
742,000 IMAX Corp.@
9.625%, 12/01/10 779,100
1,007,000 Intrawest Corp.
7.500%, 10/15/13 1,008,259
807,000 Jarden Corp.@
9.750%, 05/01/12 843,315
344,000 Kellwood Company
7.625%, 10/15/17 315,884
795,000 Landry's Restaurants, Inc.@
7.500%, 12/15/14 741,338
1,829,000 Linens 'n Things, Inc. *@++
11.132%, 01/15/14 1,705,542
Mandalay Resort Group@
1,543,000 10.250%, 08/01/07 1,600,862
689,000 7.625%, 07/15/13 682,110
1,379,000 Meritage Corp.@
7.000%, 05/01/14 1,206,625
636,000 NCL Holding, ASA
10.625%, 07/15/14 623,280
PRINCIPAL
AMOUNT VALUE
----------- ---------------
$ 530,000 Oxford Industries, Inc.
8.875%, 06/01/11 $ 535,300
Pinnacle Entertainment, Inc.
954,000 8.250%, 03/15/12 956,385
546,000 8.750%, 10/01/13@ 577,395
1,062,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 1,034,122
689,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 630,480
1,379,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 1,332,074
1,591,000 Standard Pacific Corp.@
9.250%, 04/15/12 1,519,405
233,000 Station Casinos, Inc.
6.875%, 03/01/16 215,525
530,000 Vail Resorts, Inc.
6.750%, 02/15/14 506,150
Warner Music Group
1,962,000 7.375%, 04/15/14 1,903,140
265,000 GBP 8.125%, 04/15/14 509,871
106,000 William Lyon Homes, Inc.
10.750%, 04/01/13 98,050
233,000 Wynn Las Vegas, LLC
6.625%, 12/01/14 220,768
---------------
32,525,748
---------------
CONSUMER STAPLES (0.4%)
212,000 Alimentation Couche-Tard Inc.
7.500%, 12/15/13 212,530
901,000 Central Garden & Pet Company
9.125%, 02/01/13 930,283
1,564,000 Chiquita Brands International, Inc.@
7.500%, 11/01/14 1,337,220
1,220,000 Del Monte Foods Company
8.625%, 12/15/12 1,271,850
1,803,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 1,692,566
1,167,000 NBTY, Inc.
7.125%, 10/01/15 1,102,815
Spectrum Brands, Inc.@
1,485,000 7.375%, 02/01/15 1,124,887
636,000 8.500%, 10/01/13 510,390
499,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 548,276
---------------
8,730,817
---------------
ENERGY (0.6%)
1,273,000 Arch Western Finance, LLC
6.750%, 07/01/13 1,218,897
Chesapeake Energy Corp.
742,000 6.875%, 01/15/16 719,740
424,000 7.500%, 06/15/14 428,240
571,000 Comstock Resources, Inc.
6.875%, 03/01/12 539,595
233,000 Energy Partners, Ltd.
8.750%, 08/01/10 227,758
1,570,000 Giant Industries, Inc.@
8.000%, 05/15/14 1,570,000
See accompanying notes to Schedule of Investments
4
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ---------------
$ 530,000 Houston Exploration Company
7.000%, 06/15/13 $ 522,050
530,000 KCS Energy, Inc.
7.125%, 04/01/12 508,800
Petroleo Brasileiro, SA
1,750,000 9.125%, 07/02/13 2,030,000
1,644,000 8.375%, 12/10/18 1,863,885
212,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 220,527
530,000 Superior Energy Services, Inc.*@
6.875%, 06/01/14 516,750
1,201,000 Swift Energy Company@
9.375%, 05/01/12 1,273,060
801,000 Whiting Petroleum Corp.
7.250%, 05/01/12 798,998
2,121,000 Williams Companies, Inc.
7.750%, 06/15/31 2,094,487
---------------
14,532,787
---------------
FINANCIALS (0.4%)
4,087,000 Dow Jones TRAC-X North
America High Yield Series
6 June 2011 Trust 3*@
8.125%, 06/29/11 4,020,586
E*TRADE Financial Corporation
2,053,000 7.375%, 09/15/13 2,068,397
1,416,000 7.875%, 12/01/15 1,469,100
361,000 8.000%, 06/15/11 372,733
1,591,000 Leucadia National Corp.
7.000%, 08/15/13 1,567,135
1,114,000 Senior Housing Properties Trust
8.625%, 01/15/12 1,175,270
---------------
10,673,221
---------------
HEALTH CARE (0.4%)
530,000 Ameripath, Inc.
10.500%, 04/01/13 560,475
318,000 Angiotech Pharmaceuticals, Inc.*
7.750%, 04/01/14 309,255
387,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 397,888
530,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 535,300
610,000 Biovail Corp.
7.875%, 04/01/10 622,200
233,000 DaVita, Inc.@
7.250%, 03/15/15 223,971
170,000 Omnicare, Inc.@
6.875%, 12/15/15 164,900
1,167,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 1,137,825
2,015,000 Service Corp. International
6.750%, 04/01/16 1,889,063
1,877,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 1,736,225
1,379,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 1,316,945
PRINCIPAL
AMOUNT VALUE
----------- ---------------
$ 1,432,000 Vanguard Health Systems, Inc.@
9.000%, 10/01/14 $ 1,392,620
---------------
10,286,667
---------------
INDUSTRIALS (0.5%)
583,000 Accuride Corp.
8.500%, 02/01/15 545,105
705,000 American Airlines, Inc.
7.250%, 02/05/09 711,169
318,000 Armor Holdings, Inc.
8.250%, 08/15/13 333,900
1,750,000 CNH Global, NV
9.250%, 08/01/11 1,852,812
371,000 Columbus McKinnon Corp.@
8.875%, 11/01/13 380,275
1,432,000 Cummins, Inc.
9.500%, 12/01/10 1,513,598
212,000 FTI Consulting, Inc.
7.625%, 06/15/13 215,180
530,000 Gardner Denver, Inc.
8.000%, 05/01/13 556,500
1,007,000 General Cable Corp.
9.500%, 11/15/10 1,077,490
530,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 541,263
480,000 H&E Equipment Service, Inc.* Y
5.375%, 07/15/16 485,400
176,000 Hexcel Corporation@
6.750%, 02/01/15 169,400
398,000 Manitowoc Company, Inc.
10.500%, 08/01/12 431,830
530,000 Monitronics International, Inc.
11.750%, 09/01/10 524,038
318,000 Orbital Sciences Corp.@
9.000%, 07/15/11 337,080
530,000 Sequa Corp.
8.875%, 04/01/08 554,512
610,000 Trinity Industries, Inc.
6.500%, 03/15/14 594,750
530,000 Wesco Distribution, Inc.
7.500%, 10/15/17 528,675
530,000 Westinghouse Air Brake Technologies
Corporation
6.875%, 07/31/13 524,700
583,000 Williams Scotsman
International, Inc.
8.500%, 10/01/15 587,372
---------------
12,465,049
---------------
INFORMATION TECHNOLOGY (0.3%)
1,938,000 Advanced Micro Devices, Inc.@
7.750%, 11/01/12 1,950,112
236,000 Anixter International, Inc.
5.950%, 03/01/15 218,890
233,000 Avago Technologies*@
11.875%, 12/01/15 252,805
901,000 Celestica, Inc.@
7.875%, 07/01/11 896,495
530,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 543,250
See accompanying notes to Schedule of Investments
5
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ---------------
$ 530,000 Liberty Media Corporation@
8.250%, 02/01/30 $ 522,955
117,000 Sanmina-SCI Corporation@
8.125%, 03/01/16 114,660
1,114,000 SunGuard Data Systems, Inc.@
9.125%, 08/15/13 1,143,243
1,380,000 Telcordia Technologies*
10.000%, 03/15/13 1,110,900
---------------
6,753,310
---------------
MATERIALS (0.5%)
265,000 Agrium, Inc.
7.125%, 05/23/36 268,918
Aleris International, Inc.
1,326,000 10.375%, 10/15/10 1,455,285
212,000 9.000%, 11/15/14 239,560
318,000 Century Aluminum Company
7.500%, 08/15/14 318,000
926,000 Freeport-McMoRan Copper & Gold, Inc.@
10.125%, 02/01/10 990,820
233,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 233,000
Ineos Group Holdings, PLC*
1,432,000 EUR 7.875%, 02/15/16 1,714,910
265,000 8.500%, 02/15/16@ 249,762
1,061,000 IPSCO, Inc.
8.750%, 06/01/13 1,137,922
318,000 P.H. Glatfelter Company*@
7.125%, 05/01/16 311,640
848,000 U.S. Concrete, Inc.@
8.375%, 04/01/14 843,760
Union Carbide Corp.
1,161,000 7.875%, 04/01/23@ 1,246,659
917,000 7.500%, 06/01/25 949,569
779,000 Westlake Chemical Corporation@
6.625%, 01/15/16 728,365
---------------
10,688,170
---------------
TELECOMMUNICATION SERVICES (0.2%)
Alamosa Holdings, Inc.
1,379,000 8.500%, 01/31/12 1,468,635
530,000 11.000%, 07/31/10 581,675
180,000 Citizens Communications Company
9.000%, 08/15/31 185,400
477,000 IPCS Escrow Company
11.500%, 05/01/12 536,625
530,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 518,075
954,000 Windstream Corp.*
8.625%, 08/01/16 996,930
---------------
4,287,340
---------------
UTILITIES (0.1%)
1,273,000 Edison International
7.730%, 06/15/09 1,298,460
PRINCIPAL
AMOUNT VALUE
----------- ---------------
$ 1,909,000 TXU Corp.
6.500%, 11/15/24 $ 1,736,986
---------------
3,035,446
---------------
TOTAL CORPORATE BONDS 113,978,555
---------------
NUMBER OF
CONTRACTS VALUE
----------- ---------------
OPTIONS (0.8%)
CONSUMER DISCRETIONARY (0.2%)
300 Garmin, Ltd.#
Call, 01/19/08, Strike 100.00 517,500
6,100 Home Depot, Inc.#
Call, 01/19/08, Strike 35.00 3,050,000
740 Lowe's Companies, Inc.#
Call, 01/19/08, Strike 35.00 151,700
760 Office Depot, Inc.#
Call, 01/19/08, Strike 40.00 376,200
---------------
4,095,400
---------------
CONSUMER STAPLES (0.1%)
1,500 Kroger Company#
Call, 01/19/08, Strike 20.00 750,000
635 PepsiCo, Inc.#
Call, 01/19/08, Strike 60.00 520,700
---------------
1,270,700
---------------
ENERGY (0.1%)
460 Anadarko Petroleum Corp.#
Call, 01/19/08, Strike 47.50 338,100
315 BJ Services Company#
Call, 01/19/08, Strike 40.00 184,275
240 Diamond Offshore Drilling, Inc.#
Call, 01/19/08, Strike 85.00 331,200
500 Nabors Industries Ltd.#
Call, 01/19/08, Strike 37.50 282,500
215 Petroleo Brasileiro, SA#
Call, 01/19/08, Strike 90.00 405,275
360 Schlumberger, Ltd.#
Call, 01/19/08, Strike 65.00 487,800
330 Weatherford International, Ltd.#
Call, 01/19/08, Strike 55.00 189,750
---------------
2,218,900
---------------
FINANCIALS (0.1%)
575 Aon Corp.#
Call, 01/19/08, Strike 35.00 261,625
1,150 Charles Schwab Corp.#
Call, 01/19/08, Strike 17.50 244,375
50 Chicago Mercantile Exchange Holdings,
Inc.#
Call, 01/19/08, Strike 420.00 554,250
420 CIT Group, Inc.#
Call, 01/19/08, Strike 50.00 203,700
650 E*TRADE Financial Corporation#
Call, 01/19/08, Strike 25.00 263,250
170 Goldman Sachs Group, Inc.#
Call, 01/19/08, Strike 160.00 342,550
See accompanying notes to Schedule of Investments
6
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
----------- ---------------
360 Lehman Brothers
Holdings, Inc.#
Call, 01/19/08, Strike 75.00 $ 243,000
430 Merrill Lynch & Company, Inc.#
Call, 01/19/08, Strike 70.00 475,150
320 Prudential Financial, Inc.#
Call, 01/19/08, Strike 75.00 388,800
550 State Street Corp.#
Call, 01/19/08, Strike 60.00 431,750
---------------
3,408,450
---------------
HEALTH CARE (0.0%)
215 Allergan, Inc.#
Call, 01/19/08, Strike 110.00 339,700
590 AmerisourceBergen Corp.#
Call, 01/19/08, Strike 47.50 256,650
---------------
596,350
---------------
INDUSTRIALS (0.0%)
310 Burlington Northern Santa Fe Corp.#
Call, 01/19/08, Strike 80.00 229,400
---------------
INFORMATION TECHNOLOGY (0.2%)
550 Agilent Technologies, Inc.#
Call, 01/19/08, Strike 35.00 154,000
1,750 Apple Computer, Inc.#
Call, 01/19/08, Strike 75.00 2,170,000
1,225 Electronic Data Systems Corp.#
Call, 01/19/08, Strike 25.00 376,688
820 Hewlett-Packard Company#
Call, 01/19/08, Strike 30.00 553,500
950 Intuit, Inc.#
Call, 01/19/08, Strike 27.50 698,250
600 Marvell Technology Group, Ltd.#
Call, 01/19/08, Strike 32.50 103,500
800 Motorola, Inc.#
Call, 01/19/08, Strike 22.50 316,000
570 National Semiconductor Corp.#
Call, 01/19/08, Strike 25.00 239,400
580 NVIDIA Corp.#
Call, 01/19/08, Strike 30.00 166,750
740 Paychex, Inc.#
Call, 01/19/08, Strike 40.00 199,800
230 Sandisk Corp.#
Call, 01/19/08, Strike 65.00 155,250
---------------
5,133,138
---------------
MATERIALS (0.1%)
320 Alcan, Inc.#
Call, 01/19/08, Strike 55.00 163,200
625 Goldcorp, Inc.#
Call, 01/19/08, Strike 27.50 518,750
849 Harmony Gold Mining Co, Ltd.#
Call, 01/19/08, Strike 15.00 297,150
260 Phelps Dodge Corp.#
Call, 01/19/08, Strike 72.50 644,800
230 United States Steel Corp.#
Call, 01/19/08, Strike 70.00 261,050
---------------
1,884,950
---------------
NUMBER OF
CONTRACTS VALUE
----------- ---------------
TELECOMMUNICATION SERVICES (0.0%)
500 America Movil, S.A. de C.V.#
Call, 01/19/08, Strike 40.00 $ 262,500
300 NII Holdings, Inc.#
Call, 01/19/08, Strike 55.00 306,000
---------------
568,500
---------------
TOTAL OPTIONS 19,405,788
---------------
TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
(Cost $142,281,310) 133,384,343
---------------
NUMBER OF
SHARES VALUE
----------- ---------------
CONVERTIBLE PREFERRED STOCKS (18.0%)
CONSUMER DISCRETIONARY (3.3%)
2,652,400 Ford Motor Company Capital Trust II
6.500% 75,858,640
---------------
CONSUMER STAPLES (1.6%)
1,500,000 Albertson's, Inc.
7.250% 37,485,000
---------------
ENERGY (1.9%)
110,000 Chesapeake Energy Corp.
6.250% 30,802,200
110,000 Hess Corp.
7.000% 14,606,900
---------------
45,409,100
---------------
FINANCIALS (8.4%)
27,600 Fortis Insurance, N.V.
(Assurant, Inc.)*[ ]
7.750% 35,245,200
650,000 Genworth Financial, Inc.
6.000% 23,985,000
725,000 Lazard, Ltd.
6.625% 25,273,500
1,950,000 Lehman Brothers
Holdings, Inc. (General Mills, Inc.)[ ]
6.250% 50,836,500
460,000 Merrill Lynch & Co., Inc.
(Nuveen Investments, Inc.)[ ]
6.750% 19,347,600
675,000 Metlife, Inc.
6.375% 18,535,500
470,000 National Australia Bank, Ltd.
7.875% 20,680,000
---------------
193,903,300
---------------
HEALTH CARE (1.5%)
639,000 Schering-Plough Corp.
6.000% 33,905,340
---------------
INDUSTRIALS (0.9%)
6,500,000 GBP BAE Systems, PLC
7.750% 20,599,859
---------------
See accompanying notes to Schedule of Investments
7
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
----------- ---------------
UTILITIES (0.4%)
200,000 Southern Union Company
5.000% $ 10,596,000
---------------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $420,597,203) 417,757,239
---------------
COMMON STOCKS (63.2%)
CONSUMER DISCRETIONARY (1.8%)
880,000 Grupo Televisa, S.A. 16,297,600
550,000 Home Depot, Inc.@ 19,090,500
375,000 Tupperware Corporation@ 6,472,500
---------------
41,860,600
---------------
CONSUMER STAPLES (4.6%)
320,000 Altria Group, Inc.@ 25,590,400
700,000 Conagra Foods, Inc. 15,050,000
420,000 Reynolds American, Inc.@ 53,247,600
696,200 Sara Lee Corp.@ 11,765,780
---------------
105,653,780
---------------
ENERGY (7.2%)
775,000 Chevron Corp. 50,979,500
550,000 ConocoPhillips 37,752,000
250,000 Marathon Oil Corp. 22,660,000
360,000 EUR OMV, AG 22,144,889
295,000 PetroChina Company, Ltd.@ 33,748,000
---------------
167,284,389
---------------
FINANCIALS (12.9%)
1,372,000 Citigroup, Inc. 66,281,320
250,000 Federal Home Loan Mortgage Corp. 14,465,000
777,000 Federal National Mortgage Association 37,226,070
568,700 General Growth Properties, Inc.@ 25,955,468
400,000 J.P. Morgan Chase & Company 18,248,000
158,074 Lincoln National Corp. 8,959,635
360,000 Wachovia Corp.@ 19,306,800
2,428,000 Washington Mutual, Inc. 108,531,600
---------------
298,973,893
---------------
HEALTH CARE (13.4%)
4,146,000 Bristol-Myers Squibb Company@ 99,379,620
300,000 Eli Lilly & Company 17,031,000
1,300,000 Johnson & Johnson 81,315,000
1,755,000 Merck & Company, Inc.@ 70,673,850
1,575,000 Pfizer, Inc. 40,934,250
---------------
309,333,720
---------------
INDUSTRIALS (7.2%)
630,000 Caterpillar, Inc. 44,648,100
819,000 General Electric Company 26,773,110
450,000 Masco Corp.@ 12,028,500
350,000 R.R. Donnelley & Sons Company 10,216,500
435,000 Raytheon Company 19,605,450
375,000 Tyco International, Ltd.@ 9,783,750
1,250,000 Waste Management, Inc. 42,975,000
---------------
166,030,410
---------------
INFORMATION TECHNOLOGY (8.4%)
1,000,000 Dell, Inc.#@ 21,680,000
615,000 Electronic Data Systems Corp.@ 14,698,500
850,000 Hewlett-Packard Company@ 27,123,500
NUMBER OF
SHARES VALUE
----------- ---------------
570,000 Infosys Technologies, Ltd.@ $ 23,421,300
1,382,000 Intel Corp. 24,876,000
1,225,000 Microsoft Corp. 29,436,750
2,725,000 Nokia Corp. 54,091,250
---------------
195,327,300
---------------
MATERIALS (0.2%)
270,000 RPM International, Inc.@ 5,059,800
---------------
TELECOMMUNICATION SERVICES (7.5%)
3,071,000 AT&T Inc.@ 92,099,290
823,500 CAD BCE Inc. 18,781,068
735,000 Bellsouth Corp. 28,789,950
1,039,000 Verizon Communications, Inc. 35,138,980
---------------
174,809,288
---------------
TOTAL COMMON STOCKS
(Cost $1,388,473,429) 1,464,333,180
---------------
PRINCIPAL
AMOUNT VALUE
----------- ---------------
SHORT-TERM INVESTMENT (0.3%)
COMMERCIAL PAPER (0.3%)
$ 6,689,000 Citigroup, Inc
5.230%, 08/01/06
(Cost $6,689,000) 6,689,000
---------------
NUMBER OF
SHARES VALUE
----------- ---------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (23.4%)
542,972,944 Bank of New York
Institutional Cash Reserve Fund
current rate 5.400%
(Cost $542,972,944) 542,972,944
---------------
TOTAL INVESTMENTS (168.3%)
(Cost $3,842,294,551) 3,900,240,974
---------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-23.4%) (542,972,944)
OTHER ASSETS, LESS LIABILITIES (1.7%) 41,293,209
---------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS
PAYABLE (-46.6%) (1,080,697,197)
---------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) $ 2,317,864,042
---------------
NOTES TO SCHEDULE OF INVESTMENTS
Note: Value for securities denominated in foreign currencies are shown in U.S.
dollars. The principal amount for such securities is shown in the respective
foreign currency. The date shown on options represents the expiration date of
the option contracts. The option contracts may be exercised at any date on or
before the date shown.
See accompanying notes to Schedule of Investments
8
STRATEGIC TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS JULY 31, 2006 (UNAUDITED)
* 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 July 31, 2006, the market value of
144A securities that that were not subject to mandatory issuer registration
obligations is $224,833,846 or 9.7% of net assets.
Y Security purchased on when issued basis.
@ Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate security. The interest rate shown is the rate in effect at
July 31, 2006.
[ ] Securities exchangeable or convertible into securities of an entity
different than the issuer. Such entity is identified in the parenthetical.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying notes to Schedule of Investments
9
NOTES TO SCHEDULES OF INVESTMENTS
(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 (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
will invest primarily in common and preferred stocks and income producing
securities such as investment grade and below investment grade debt securities.
PORTFOLIO VALUATION. Calamos Advisors LLC values the Fund's portfolio securities
in accordance with policies and procedures on the valuation of securities
adopted by the Board of Trustees and under the ultimate supervision of the Board
of Trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option
securities, are valued at the last current reported sales price at the time as
of which the Fund determines its NAV. Securities traded in the over-the-counter
("OTC") market and quoted on The Nasdaq Stock Market are valued at the Nasdaq
Official Closing Price ("NOCP"), as determined by Nasdaq, or lacking a NOCP, the
last current reported sale price on Nasdaq at the time as of which the Fund
determines its NAV.
When a most recent last sale or closing price is not available, portfolio
securities, other than option securities, that are traded on a U.S. securities
exchange and other securities traded in the OTC market are valued at the mean
between the most recent bid and asked quotations 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 OTC option that is not traded through the Options Clearing
Corporation is valued by the counterparty to such option. 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, including any thinly-traded security, junk bond or synthetic
convertible instrument, 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, which may include
utilizing a systematic fair valuation model provided by an independent pricing
service.
Securities that are principally traded in a foreign market are valued as of the
last current sale price at the time as of which 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, in accordance with guidelines
adopted by the Board of Trustees. Trading in securities on European and Far
Eastern securities exchanges and OTC markets is normally completed
10
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
at various times before the close of business on each day on which the 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 NAV is not
calculated. As stated above, if the market prices are not readily available or
are not reflective of a security's fair value, 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 Board of Trustees
guidelines and under the ultimate supervision of the Board of Trustees if the
value of a foreign security it holds is materially affected by events occurring
before their pricing time but after the close of the primary market or exchange
on which the security is traded. Those procedures may utilize valuations
furnished by pricing services approved by the Board of Trustees, which may be
based on market transactions for comparable securities and various relationships
between securities that are generally recognized by institutional traders, a
computerized matrix system, or appraisals derived from information concerning
the securities or similar securities received from recognized dealers in those
securities.
When fair value pricing of securities is employed, the prices of securities used
by the Fund to calculate its NAV may differ from market quotations or official
closing prices.
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 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. 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.
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, the difference in the foreign exchange rates 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
ex-date or accrual date and the
11
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
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 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 purchased
call options is increased by premiums paid. The proceeds from securities sold
through the exercise of purchased 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 written options. 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.
NOTE 2 - INVESTMENTS
The following information is presented on an income tax basis as of July 31,
2006. 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 July 31, 2006
was as follows:
Cost basis of investments $3,855,094,063
--------------
Gross unrealized appreciation 238,525,992
Gross unrealized depreciation (193,379,081)
--------------
Net unrealized appreciation (depreciation) $ 45,146,911
--------------
12
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
NOTE 3 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. A forward foreign currency contract is a commitment to
purchase or sell a foreign currency at a future date at a negotiated forward
rate. Risks associated with such contracts include, among other things, movement
in the value of the foreign currency relative to the U.S. dollar and the ability
of the counterparty to perform. The net unrealized gain, if any, represents the
credit risk to the Fund on a forward foreign currency contract. The contracts
are valued daily at forward exchange rates, and an unrealized gain or loss is
recorded. The Fund realizes a gain or loss when a position is closed or upon
settlement of the contracts. There were no open forward foreign currency
contracts at July 31, 2006.
NOTE 4 - 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",
which may be a convertible or non-convertible security) and the right to acquire
equity securities ("convertible component"). The fixed-income component is
achieved by investing in 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 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 convertible instruments 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 5 - 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
13
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
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 or twenty-eight days based on the results of an auction. Dividend rates
ranged from 3.75% to 5.34% for the nine-month period ended July 31, 2006. Under
the 1940 Act, 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 Fund's option, 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 only the holders of common stock, when the respective
classes vote alone.
NOTE 6 - 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 Fund's net asset value. 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 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. Net unrealized
gains are reported as an asset and net unrealized losses are reported as a
liability on the Statement of Assets and Liabilities. The change in the value of
the swaps, including periodic amounts of interest to be paid or received on
swaps is reported as unrealized gains or losses in the Statement of Operations.
A realized gain or loss is recorded upon payment or termination of swap
agreements. Details of the swap agreements outstanding as of July 31, 2006 were
as follows:
14
NOTES TO SCHEDULES OF INVESTMENTS
(unaudited)
Unrealized
Termination Notional Fixed Rate Floating Rate Appreciation
Counterparty Date Amount (000) (Fund Pays) (Fund Receives) (Depreciation)
------------ ------------ ------------ ----------- --------------- --------------
Citibank NA June 4, 2007 $150,000 3.61% 1month LIBOR $2,441,539
Citibank NA June 4, 2009 200,000 4.34% 1month LIBOR 5,020,331
----------
$7,461,870
==========
NOTE 7 - SECURITIES LENDING
During the nine-month period ended July 31, 2006, the Fund loaned 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 July 31, 2006, the Fund had securities
valued at $528,243,535 that were on loan to broker-dealers and banks and
$542,972,944 in cash or cash equivalent collateral.
15
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: September 22, 2006
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: September 22, 2006
By: /s/ Patrick H. Dudasik
---------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: September 22, 2006