N-Q 1 c63388nvq.htm FORM N-Q nvq
 
 
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:
   John P. Calamos Sr., President
 
   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, 2011
DATE OF REPORTING PERIOD: January 31, 2011
 
 

 

 
 
 
Calamos Strategic Total Return Fund
 
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		       
AMOUNT       VALUE
 
 
CORPORATE BONDS (26.9%)
        Consumer Discretionary (5.5%)
  14,040,000     DISH Network Corp.
7.125%, 02/01/16 		  $ 14,742,000  
  4,529,000     Exide Technologies*
8.625%, 02/01/18 		    4,795,079  
  13,587,000     General Motors Corp.**
7.200%, 01/15/11 		    4,891,320  
  15,398,000     Hanesbrands, Inc.‡
3.831%, 12/15/14 		    15,494,237  
  6,522,000     Jarden Corp.
7.500%, 05/01/17 		    6,897,015  
  4,529,000     Liberty Media Corp.
8.250%, 02/01/30 		    4,427,097  
  3,170,000     Live Nation Entertainment, Inc.*
8.125%, 05/15/18 		    3,288,875  
  4,425,000     MGM Resorts International
7.500%, 06/01/16 		    4,225,875  
  6,703,000     NetFlix, Inc.
8.500%, 11/15/17 		    7,607,905  
        Royal Caribbean Cruises, Ltd.        
  11,775,000     7.500%, 10/15/27     11,730,844  
  4,167,000     7.250%, 06/15/16     4,521,195  
        Service Corp. International        
  4,529,000     6.750%, 04/01/16     4,749,789  
  3,623,000     7.000%, 05/15/19     3,740,748  
  1,585,000     Wynn Las Vegas, LLC
7.750%, 08/15/20 		    1,688,025  
                 
              92,800,004  
                 
        Consumer Staples (1.9%)
  10,643,000     Chiquita Brands International, Inc.
7.500%, 11/01/14 		    10,776,038  
  5,118,000     Darling International, Inc.*
8.500%, 12/15/18 		    5,553,030  
  1,236,000     Del Monte Foods Company
7.500%, 10/15/19 		    1,526,460  
  13,587,000     Smithfield Foods, Inc.
7.750%, 07/01/17 		    14,470,155  
                 
              32,325,683  
                 
        Energy (4.4%)
  2,296,000     Berry Petroleum Company
8.250%, 11/01/16 		    2,428,020  
  3,623,000     Brigham Exploration Company*
8.750%, 10/01/18 		    3,994,357  
  2,989,000     Complete Production Services, Inc.µ
8.000%, 12/15/16 		    3,160,867  
  7,246,000     Comstock Resources, Inc.
8.375%, 10/15/17 		    7,481,495  
  4,982,000     Concho Resources, Inc.µ
8.625%, 10/01/17 		    5,505,110  
  1,812,000     Dresser-Rand Group, Inc.
7.375%, 11/01/14 		    1,868,625  
        Frontier Oil Corp.        
  4,058,000     6.875%, 11/15/18     4,200,030  
  906,000     8.500%, 09/15/16     983,010  
  2,717,000     GulfMark Offshore, Inc.
7.750%, 07/15/14 		    2,778,133  
  2,301,000     Holly Corp.
9.875%, 06/15/17 		    2,548,358  
  4,529,000     Petrohawk Energy Corp.
7.125%, 04/01/12 		    4,551,645  
  2,717,000     Pride International, Inc.
8.500%, 06/15/19 		    3,233,230  
  4,529,000     Superior Energy Services, Inc.µ
6.875%, 06/01/14 		    4,596,935  
        Swift Energy Company        
  7,246,000     8.875%, 01/15/20     7,970,600  
  5,847,000     7.125%, 06/01/17     6,000,484  
  4,158,000     Trinidad Drilling, Ltd.*
7.875%, 01/15/19 		    4,324,320  
  7,058,000     Williams Companies, Inc.
7.750%, 06/15/31 		    7,916,570  
                 
              73,541,789  
                 
        Financials (2.3%)
  15,072,000     Leucadia National Corp.
8.125%, 09/15/15 		    16,654,560  
  9,058,000     Nuveen Investments, Inc.
10.500%, 11/15/15 		    9,375,030  
  3,170,000     OMEGA Healthcare Investors, Inc.
7.500%, 02/15/20 		    3,360,200  
  9,511,000     Senior Housing Properties Trust 
8.625%, 01/15/12 		    9,976,535  
                 
              39,366,325  
                 
        Health Care (2.6%)
  4,529,000     Community Health Systems, Inc.
8.875%, 07/15/15 		    4,795,079  
  5,435,000     Giant Funding Corp.*
8.250%, 02/01/18 		    5,659,194  
        HealthSouth Corp.        
  2,264,000     7.750%, 09/15/22     2,365,880  
  1,812,000     7.250%, 10/01/18     1,864,095  
        Mylan, Inc.*        
  4,529,000     7.875%, 07/15/20     5,032,851  
  3,773,000     7.625%, 07/15/17     4,131,435  
  3,623,000     Talecris Biotherapeutics Holdings Corp.
7.750%, 11/15/16 		    3,985,300  
        Valeant Pharmaceuticals International, Inc.*        
  8,152,000     7.000%, 10/01/20     8,447,510  
  1,359,000     6.750%, 10/01/17     1,406,565  
  4,982,000     Warner Chilcott Company, LLC*
7.750%, 09/15/18 		    5,206,190  
                 
              42,894,099  
                 
        Industrials (2.5%)
  3,623,000     BE Aerospace, Inc.
8.500%, 07/01/18 		    3,958,128  
  2,038,000     Belden, Inc.µ
7.000%, 03/15/17 		    2,078,760  
  4,529,000     Gardner Denver, Inc.
8.000%, 05/01/13 		    4,579,951  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Strategic Total Return Fund
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		       
AMOUNT       VALUE
 
 
  4,103,000     H&E Equipment Services, Inc.
8.375%, 07/15/16 		  $ 4,287,635  
        Oshkosh Corp.        
  2,174,000     8.500%, 03/01/20     2,440,315  
  1,250,000     8.250%, 03/01/17     1,378,125  
  4,529,000     Spirit AeroSystems Holdings, Inc.
7.500%, 10/01/17 		    4,834,707  
  3,134,000     SPX Corp.
7.625%, 12/15/14 		    3,439,565  
  1,812,000     Terex Corp.
8.000%, 11/15/17 		    1,884,480  
  4,293,000     Triumph Group, Inc.
8.000%, 11/15/17 		    4,572,045  
  3,623,000     Tutor Perini Corp.*
7.625%, 11/01/18 		    3,713,575  
  4,529,000     WESCO Distribution, Inc.
7.500%, 10/15/17 		    4,687,515  
                 
              41,854,801  
                 
        Information Technology (2.7%)
        Advanced Micro Devices, Inc.        
  8,152,000     7.750%, 08/01/20     8,396,560  
  3,904,000     8.125%, 12/15/17     4,108,960  
        Amkor Technology, Inc.        
  14,492,000     9.250%, 06/01/16     15,379,635  
  2,717,000     7.375%, 05/01/18     2,849,454  
  3,804,000     Equinix, Inc.µ
8.125%, 03/01/18 		    4,127,340  
  815,000     Fidelity National Information Services, Inc.
7.875%, 07/15/20 		    886,312  
  1,812,000     Lexmark International, Inc.
6.650%, 06/01/18 		    1,959,066  
  6,703,000     Xerox Corp.
8.000%, 02/01/27 		    6,818,861  
                 
              44,526,188  
                 
        Materials (2.0%)
  1,812,000     Allegheny Ludlum Corp.
6.950%, 12/15/25 		    1,950,821  
  2,448,000     Nalco Holding Company
8.250%, 05/15/17 		    2,701,980  
  2,754,000     Silgan Holdings, Inc.
7.250%, 08/15/16 		    2,960,550  
        Steel Dynamics, Inc.        
  5,589,000     7.750%, 04/15/16     5,973,244  
  1,268,000     7.625%, 03/15/20*     1,363,100  
        Union Carbide Corp.~        
  9,918,000     7.875%, 04/01/23     10,615,106  
  7,835,000     7.500%, 06/01/25     8,188,296  
                 
              33,753,097  
                 
        Telecommunication Services (3.0%)
        Frontier Communications Corp.        
  16,032,000     9.000%, 08/15/31µ     17,074,080  
  3,442,000     8.250%, 04/15/17     3,872,250  
  4,454,000     MetroPCS Wireless, Inc.
7.875%, 09/01/18 		    4,676,700  
  13,161,000     Qwest Communications International, Inc.µ
7.750%, 02/15/31 		    13,588,732  
  4,529,000     Syniverse Technologies, Inc.
7.750%, 08/15/13 		    4,636,564  
        Windstream Corp.        
  3,624,000     7.750%, 10/15/20*     3,759,900  
  2,717,000     8.625% 08/01/16*     2,893,605  
                 
              50,501,831  
                 
        TOTAL CORPORATE BONDS
(Cost $439,562,331) 		    451,563,817  
                 
CONVERTIBLE BONDS (12.6%)
        Consumer Discretionary (2.0%)
  7,000,000     General Motors Corp. - Series C**
6.250%, 07/15/33 		    2,405,900  
        Interpublic Group of Companies, Inc.        
  7,500,000     4.250%, 03/15/23     8,278,125  
  1,795,000     4.750%, 03/15/23     2,097,906  
  15,000,000     Liberty Media Corp. (Time Warner, Inc.)§
3.125%, 03/30/23 		    17,156,250  
  5,680,000     Liberty Media Corp.
(Viacom, CBS Corp. - Class B)§
3.250%, 03/15/31 		    4,110,900  
                 
              34,049,081  
                 
        Energy (0.6%)
  8,290,000     SM Energy Company
3.500%, 04/01/27 		    10,279,600  
                 
        Financials (1.4%)
  20,020,000     Affiliated Managers Group, Inc.
3.950%, 08/15/38 		    23,148,125  
                 
        Industrials (1.1%)
  18,000,000     Trinity Industries, Inc.
3.875%, 06/01/36 		    17,887,500  
                 
        Information Technology (5.4%)
  3,250,000  GBP   Autonomy Corp., PLC
3.250%, 03/04/15 		    5,688,518  
  16,000,000     Euronet Worldwide, Inc.
3.500%, 10/15/25 		    15,920,000  
  31,500,000     Intel Corp.µ
2.950%, 12/15/35 		    32,169,375  
  33,900,000     Linear Technology Corp.
3.000%, 05/01/27 		    36,696,750  
                 
              90,474,643  
                 
        Materials (2.1%)
  12,500,000     Anglo American, PLC
4.000%, 05/07/14 		    23,094,440  
  9,000,000     AngloGold Ashanti, Ltd.
3.500%, 05/22/14 		    10,665,000  
  2,000,000     Newmont Mining Corp.µ
3.000%, 02/15/12 		    2,552,500  
                 
              36,311,940  
                 
        TOTAL CONVERTIBLE BONDS
(Cost $211,154,463) 		    212,150,889  
                 
                 
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Strategic Total Return Fund
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		       
AMOUNT       VALUE
 
 
U.S. GOVERNMENT AND AGENCY SECURITIES (1.4%)
        United States Treasury Note~        
  13,360,000     0.875%, 04/30/11   $ 13,384,529  
  9,284,000     0.875%, 02/28/11     9,289,802  
                 
        TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES
(Cost $22,671,151) 		    22,674,331  
                 
SOVEREIGN BONDS (1.4%)
        Federal Republic of Brazil        
  3,125,000  BRL   10.000%, 01/01/12     18,506,385  
  906,000  BRL   10.000%, 01/01/13     5,224,299  
                 
        TOTAL SOVEREIGN BONDS
(Cost $23,511,584) 		    23,730,684  
                 
SYNTHETIC CONVERTIBLE SECURITIES (3.7%)
Corporate Bonds (2.8%)
        Consumer Discretionary (0.6%)
  1,460,000     DISH Network Corp.
7.125%, 02/01/16 		    1,533,000  
  471,000     Exide Technologies*
8.625%, 02/01/18 		    498,671  
  1,413,000     General Motors Corp.**
7.200%, 01/15/11 		    508,680  
  1,602,000     Hanesbrands, Inc.‡
3.831%, 12/15/14 		    1,612,012  
  678,000     Jarden Corp.
7.500%, 05/01/17 		    716,985  
  471,000     Liberty Media Corp.
8.250%, 02/01/30 		    460,403  
  330,000     Live Nation Entertainment, Inc.*
8.125%, 05/15/18 		    342,375  
  460,000     MGM Resorts International
7.500%, 06/01/16 		    439,300  
  697,000     NetFlix, Inc.
8.500%, 11/15/17 		    791,095  
        Royal Caribbean Cruises, Ltd.        
  1,225,000     7.500%, 10/15/27     1,220,406  
  433,000     7.250%, 06/15/16     469,805  
        Service Corp. International        
  471,000     6.750%, 04/01/16     493,961  
  377,000     7.000%, 05/15/19     389,253  
  165,000     Wynn Las Vegas, LLC
7.750%, 08/15/20 		    175,725  
                 
              9,651,671  
                 
        Consumer Staples (0.2%)
  1,107,000     Chiquita Brands International, Inc.
7.500%, 11/01/14 		    1,120,837  
  532,000     Darling International, Inc.*
8.500%, 12/15/18 		    577,220  
  129,000     Del Monte Foods Company
7.500%, 10/15/19 		    159,315  
  1,413,000     Smithfield Foods, Inc.
7.750%, 07/01/17 		    1,504,845  
                 
              3,362,217  
                 
        Energy (0.4%)
  239,000     Berry Petroleum Company
8.250%, 11/01/16 		    252,743  
  377,000     Brigham Exploration Company*
8.750%, 10/01/18 		    415,642  
  311,000     Complete Production Services, Inc.µ
8.000%, 12/15/16 		    328,882  
  754,000     Comstock Resources, Inc.
8.375%, 10/15/17 		    778,505  
  518,000     Concho Resources, Inc.µ
8.625%, 10/01/17 		    572,390  
  188,000     Dresser-Rand Group, Inc.
7.375%, 11/01/14 		    193,875  
        Frontier Oil Corp.        
  422,000     6.875%, 11/15/18     436,770  
  94,000     8.500%, 09/15/16     101,990  
  283,000     GulfMark Offshore, Inc.
7.750%, 07/15/14 		    289,368  
  239,000     Holly Corp.
9.875%, 06/15/17 		    264,693  
  471,000     Petrohawk Energy Corp.
7.125%, 04/01/12 		    473,355  
  283,000     Pride International, Inc.
8.500%, 06/15/19 		    336,770  
  471,000     Superior Energy Services, Inc.µ
6.875%, 06/01/14 		    478,065  
        Swift Energy Company        
  754,000     8.875%, 01/15/20     829,400  
  608,000     7.125%, 06/01/17     623,960  
  432,000     Trinidad Drilling, Ltd.*
7.875%, 01/15/19 		    449,280  
  734,000     Williams Companies, Inc.
7.750%, 06/15/31 		    823,287  
                 
              7,648,975  
                 
        Financials (0.2%)
  1,568,000     Leucadia National Corp.
8.125%, 09/15/15 		    1,732,640  
  942,000     Nuveen Investments, Inc.
10.500%, 11/15/15 		    974,970  
  330,000     OMEGA Healthcare Investors, Inc.
7.500%, 02/15/20 		    349,800  
  989,000     Senior Housing Properties Trust 
8.625%, 01/15/12 		    1,037,409  
                 
              4,094,819  
                 
        Health Care (0.3%)
  471,000     Community Health Systems, Inc.
8.875%, 07/15/15 		    498,671  
  565,000     Giant Funding Corp.*
8.250%, 02/01/18 		    588,306  
        HealthSouth Corp.        
  236,000     7.750%, 09/15/22     246,620  
  188,000     7.250%, 10/01/18     193,405  
        Mylan, Inc.*        
  471,000     7.875%, 07/15/20     523,399  
  392,000     7.625%, 07/15/17     429,240  
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Strategic Total Return Fund
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
PRINCIPAL
 		       
AMOUNT       VALUE
 
 
  377,000     Talecris Biotherapeutics Holdings Corp.
7.750%, 11/15/16 		  $ 414,700  
        Valeant Pharmaceuticals International, Inc.*        
  848,000     7.000%, 10/01/20     878,740  
  141,000     6.750%, 10/01/17     145,935  
  518,000     Warner Chilcott Company, LLC*
7.750%, 09/15/18 		    541,310  
                 
              4,460,326  
                 
        Industrials (0.3%)
  377,000     BE Aerospace, Inc.
8.500%, 07/01/18 		    411,873  
  212,000     Belden, Inc.µ
7.000%, 03/15/17 		    216,240  
  471,000     Gardner Denver, Inc.
8.000%, 05/01/13 		    476,299  
  427,000     H&E Equipment Services, Inc.
8.375%, 07/15/16 		    446,215  
        Oshkosh Corp.        
  226,000     8.500%, 03/01/20     253,685  
  130,000     8.250%, 03/01/17     143,325  
  471,000     Spirit AeroSystems Holdings, Inc.
7.500%, 10/01/17 		    502,792  
  326,000     SPX Corp.
7.625%, 12/15/14 		    357,785  
  188,000     Terex Corp.
8.000%, 11/15/17 		    195,520  
  447,000     Triumph Group, Inc.
8.000%, 11/15/17 		    476,055  
  377,000     Tutor Perini Corp.*
7.625%, 11/01/18 		    386,425  
  471,000     WESCO Distribution, Inc.
7.500%, 10/15/17 		    487,485  
                 
              4,353,699  
                 
        Information Technology (0.3%)
        Advanced Micro Devices, Inc.        
  848,000     7.750%, 08/01/20     873,440  
  406,000     8.125%, 12/15/17     427,315  
        Amkor Technology, Inc.        
  1,508,000     9.250%, 06/01/16     1,600,365  
  283,000     7.375%, 05/01/18     296,796  
  396,000     Equinix, Inc.µ
8.125%, 03/01/18 		    429,660  
  85,000     Fidelity National Information Services, Inc.
7.875%, 07/15/20 		    92,438  
  188,000     Lexmark International, Inc.
6.650%, 06/01/18 		    203,258  
  697,000     Xerox Corp.
8.000%, 02/01/27 		    709,048  
                 
              4,632,320  
                 
        Materials (0.2%)
  188,000     Allegheny Ludlum Corp.
6.950%, 12/15/25 		    202,403  
  255,000     Nalco Holding Company
8.250%, 05/15/17 		    281,456  
  286,000     Silgan Holdings, Inc.
7.250%, 08/15/16 		    307,450  
        Steel Dynamics, Inc.        
  581,000     7.750%, 04/15/16     620,944  
  132,000     7.625%, 03/15/20*     141,900  
        Union Carbide Corp.~        
  1,032,000     7.875%, 04/01/23     1,104,536  
  815,000     7.500%, 06/01/25     851,750  
                 
              3,510,439  
                 
        Telecommunication Services (0.3%)
        Frontier Communications Corp.        
  1,668,000     9.000%, 08/15/31µ     1,776,420  
  358,000     8.250%, 04/15/17     402,750  
  463,000     MetroPCS Wireless, Inc.
7.875%, 09/01/18 		    486,150  
  1,369,000     Qwest Communications International, Inc.µ
7.750%, 02/15/31 		    1,413,493  
  471,000     Syniverse Technologies, Inc.
7.750%, 08/15/13 		    482,186  
        Windstream Corp.        
  376,000     7.750%, 10/15/20*     390,100  
  283,000     8.625% 08/01/16*     301,395  
                 
              5,252,494  
                 
        TOTAL CORPORATE BONDS     46,966,960  
                 
U.S. Government and Agency Securities (0.1%)
        United States Treasury Note~        
  1,390,000     0.875%, 04/30/11     1,392,552  
  966,000     0.875%, 02/28/11     966,604  
                 
        TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES     2,359,156  
                 
Sovereign Bonds (0.2%)
        Federal Republic of Brazil        
  325,000  BRL   10.000%, 01/01/12     1,924,664  
  94,000  BRL   10.000%, 01/01/13     542,035  
                 
        TOTAL SOVEREIGN BONDS     2,466,699  
                 
NUMBER OF
 		       
CONTRACTS       VALUE
 
 
Purchased Options (0.6%)#
        Information Technology (0.6%)
  315     Apple, Inc.
Call, 01/19/13, Strike $290.00 		    2,855,475  
  5,800     EMC Corp.
Call, 01/19/13, Strike $25.00 		    2,320,000  
  265     Google, Inc.
Call, 01/21/12, Strike $600.00 		    1,697,325  
  3,600     Oracle Corp.
Call, 01/19/13, Strike $30.00 		    2,268,000  
                 
        TOTAL PURCHASED OPTIONS     9,140,800  
                 
        TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $59,534,029) 		    60,933,615  
                 
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Strategic Total Return Fund
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
CONVERTIBLE PREFERRED STOCKS (9.0%)
        Consumer Discretionary (0.6%)
  82,933     Stanley Black & Decker, Inc.
4.750% 		  $ 9,680,769  
                 
        Consumer Staples (1.8%)
  720,000     Archer-Daniels-Midland Companyµ 6.250%     30,038,400  
                 
        Energy (1.5%)
  385,000     Apache Corp.
6.000% 		    25,194,400  
                 
        Financials (2.5%)
  43,000     Bank of America Corp.µ
7.250% 		    42,591,500  
                 
        Materials (2.0%)
  339,400     Vale, SAµ
6.750% 		    33,967,304  
                 
        Utilities (0.6%)
  200,000     NextEra Energy, Inc.
7.000% 		    9,910,000  
                 
        TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $145,483,019) 		    151,382,373  
                 
NUMBER OF
 		       
UNITS       VALUE
 
 
STRUCTURED EQUITY-LINKED SECURITIES (1.9%)+*
        Energy (0.7%)
  485,000     Barclays Capital, Inc.
(Nabors Industries, Ltd.)
12.000%, 06/04/11 		    11,392,650  
                 
        Materials (1.2%)
  212,800     Credit Suisse Group (Barrick Gold Corp.)
11.000%, 05/24/11 		    10,284,624  
  239,000     Goldman Sachs Group, Inc. (Goldcorp, Inc.)
12.000%, 07/20/11 		    9,779,880  
                 
              20,064,504  
                 
        TOTAL STRUCTURED EQUITY-LINKED SECURITIES
(Cost $31,510,101) 		    31,457,154  
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
COMMON STOCKS (74.1%)
        Consumer Discretionary (4.4%)
  100,000     Amazon.com, Inc.µ#     16,964,000  
  800,000     Carnival Corp.µ     35,768,000  
  300,000     CBS Corp.µ     5,949,000  
  400,000     Harley-Davidson, Inc.µ     15,860,000  
                 
              74,541,000  
                 
        Consumer Staples (7.2%)
  1,275,000     Coca-Cola Companyµ     80,133,750  
  600,000  GBP   Diageo, PLC     11,534,680  
  250,000     Kimberly-Clark Corp.µ     16,182,500  
  450,000     Sysco Corp.µ     13,113,000  
                 
              120,963,930  
                 
        Energy (14.4%)
  800,000     BP, PLCµ     37,976,000  
  665,000     Chevron Corp.µ     63,128,450  
  17,000,000  HKD   CNOOC, Ltd.      37,841,134  
  775,000     ConocoPhillipsµ     55,381,500  
  100,000     Diamond Offshore Drilling, Inc.      7,171,000  
  575,000     Marathon Oil Corp.µ     26,277,500  
  50,000  EUR   Technip, SA     4,857,473  
  150,000  EUR   TOTAL, SA     8,777,447  
                 
              241,410,504  
                 
        Financials (3.8%)
  42,000     American International Group, Inc.#     1,694,700  
  500,000     Bank of America Corp.µ     6,865,000  
  1,727,457     Citigroup, Inc.µ#     8,326,343  
  600,000     JPMorgan Chase & Company     26,964,000  
  158,074     Lincoln National Corp.µ     4,558,854  
  271,950     MetLife, Inc.µ     12,447,151  
  71,676     Wells Fargo & Companyµ     2,323,736  
                 
              63,179,784  
                 
        Health Care (14.0%)
  925,000     Bristol-Myers Squibb Companyµ     23,291,500  
  300,000     Eli Lilly and Companyµ     10,431,000  
  945,000     Johnson & Johnsonµ     56,482,650  
  2,559,134     Merck & Company, Inc.µ     84,886,475  
  3,300,000     Pfizer, Inc.µ     60,126,000  
                 
              235,217,625  
                 
        Industrials (10.7%)
  312,192     Avery Dennison Corp.µ     13,140,161  
  230,000     Boeing Companyµ     15,980,400  
  85,000     Eaton Corp.µ     9,176,600  
  3,135,000     General Electric Companyµ     63,138,900  
  480,000     Honeywell International, Inc.µ     26,884,800  
  450,000     Masco Corp.µ     5,994,000  
  135,000  EUR   Siemens, AG     17,306,129  
  335,000     United Technologies Corp.µ     27,235,500  
                 
              178,856,490  
                 
        Information Technology (11.9%)
  1,550,000     Applied Materials, Inc.      24,319,500  
  600,000     eBay, Inc.µ#     18,216,000  
  384,000  TWD   HTC Corp.      12,908,556  
  1,787,000     Intel Corp.µ     38,349,020  
  1,625,000     Microsoft Corp.µ     45,053,125  
  300,000     Nintendo Company, Ltd.µ     10,151,970  
  2,200,000     Nokia Corp.µ     23,540,000  
  510,000     QUALCOMM, Inc.µ     27,606,300  
                 
              200,144,471  
                 
 
See accompanying Notes to Schedule of Investments

 

 
Calamos Strategic Total Return Fund
 SCHEDULE OF INVESTMENTS JANUARY 31, 2011 (UNAUDITED)

 
                 
NUMBER OF
 		       
SHARES       VALUE
 
 
        Materials (3.7%)
  400,000     Dow Chemical Companyµ   $ 14,192,000  
  432,054     Freeport-McMoRan Copper & Gold, Inc.      46,985,872  
                 
              61,177,872  
                 
        Telecommunication Services (4.0%)
  1,225,000     AT&T, Inc.µ     33,712,000  
  450,000  EUR   France Telecom, SA     9,814,564  
  153,385     Frontier Communications Corp.      1,406,541  
  639,000     Verizon Communications, Inc.µ     22,761,180  
                 
              67,694,285  
                 
        TOTAL COMMON STOCKS
(Cost $1,440,169,418) 		    1,243,185,961  
                 
WARRANTS (0.0%)
        Financials (0.0%)
  0     American International Group, Inc.#
0.000%, 01/19/21
(Cost $3) 		    3  
                 
SHORT TERM INVESTMENT (2.4%)
  40,822,154     Fidelity Prime Money Market Fund - Institutional Class
(Cost $40,822,154) 		    40,822,154  
                 
TOTAL INVESTMENTS (133.4%)
(Cost $2,414,418,253)
    2,237,900,981  
         
LIABILITIES, LESS OTHER ASSETS (-33.4)%     (560,084,467 )
         
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0)%   $ 1,677,816,514  
         
 
NOTES TO SCHEDULE OF INVESTMENTS
* Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements. At January 31, 2011, the value of 144A securities that could not be exchanged to the registered form is $60,857,679 or 3.6% of net assets applicable to common shareholders.
** General Motors filed for bankruptcy on June 1, 2009 and the bankruptcy plan transferred the assets and liabilities of the company into one of four trusts. The General Unsecured Creditors Trust will resolve the outstanding claims and distribute common stock and warrants of the new General Motors in lieu of cash proceeds.
‡ Variable rate or step bond security. The rate shown is the rate in effect at January 31, 2011.
µ Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $1,068,797,667. $510,412,416 of the collateral has been re-registered by the counterparty.
~ Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options and swaps. The aggregate value of such securities aggregate a total value of $35,460,339.
§ Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
# Non-income producing security.
+ Structured equity-linked securities are designed to simulate the characteristics of the equity security in the parenthetical.
 
FOREIGN CURRENCY ABBREVIATIONS
     
BRL
  Brazilian Real
EUR
  European Monetary Unit
GBP
  British Pound Sterling
HKD
  Hong Kong Dollar
TWD
  New Taiwanese Dollar
 
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
 
See accompanying Notes to Schedule of Investments

 

Calamos Strategic Total Return Fund
 
 
INTEREST RATE SWAPS
 
                             
                      Unrealized
 		 
    Fixed Rate
 		  Floating Rate
 		  Termination
 		  Notional
 		    Appreciation/
 		 
Counterparty   (Fund Pays)   (Fund Receives)   Date   Amount     (Depreciation)  
   
 
BNP Paribas, SA
  1.8525% quarterly   3 month LIBOR   09/14/12   $ 108,100,000     $ (2,408,017 )
                             
BNP Paribas, SA
  2.5350% quarterly   3 month LIBOR   03/09/14     90,000,000       (3,777,450 )
                             
BNP Paribas, SA
  2.9700% quarterly   3 month LIBOR   07/03/14     75,000,000       (4,063,975 )
                             
BNP Paribas, SA
  2.0200% quarterly   3 month LIBOR   03/09/12     60,000,000       (1,200,503 )
                             
BNP Paribas, SA
  3.3550% quarterly   3 month LIBOR   06/09/14     60,000,000       (4,178,885 )
                             
BNP Paribas, SA
  2.1350% quarterly   3 month LIBOR   07/03/12     52,000,000       (1,258,752 )
                             
BNP Paribas, SA
  2.4700% quarterly   3 month LIBOR   06/11/12     40,000,000       (1,198,129 )
                             
                             
                        $ (18,085,711 )
                             
 
See accompanying Notes to Schedule of Investments

 

 
NOTE 1 – ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
 
Organization. Calamos Strategic Total Return Fund (the “Fund”) was organized as a Delaware statutory trust on December 31, 2003 and is registered under the Investment Company Act of 1940 as amended (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on March 26, 2004. The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund invests primarily in common and preferred stocks and income producing securities such as investment grade and below grade debt securities.
 
Fund Valuation. The valuation of the Fund’s securities is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
 
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the last current reported sales price at the time a Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV.
 
When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
 
Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
 
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.
 
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.
 
The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional

 

traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
 
When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
 
Investment Transactions. Investment transactions are recorded on a trade date basis as of January 31, 2011.
 
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
 
Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
 
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 a Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. There were no open forward foreign currency contracts at January 31, 2011.
 
NOTE 2 – INVESTMENTS
 
The following information is presented on a federal income tax basis as of January 31, 2011. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.
 
The cost basis of investments for federal income tax purposes at January 31, 2011 was as follows:
 
         
Cost basis of Investments
  $ 2,536,308,584  
       
Gross unrealized appreciation
    111,714,503  
Gross unrealized depreciation
    (410,122,106 )
       
Net unrealized appreciation (depreciation)
  $ (298,407,603 )
       
 
NOTE 3 – BORROWINGS
 
The Fund, with the approval of its board of trustees, including its independent trustees, has entered into a financing package that includes a Committed Facility Agreement (the “Agreement”) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) (“BNP”) that allows the Fund to borrow up to an initial limit of $1,080,000,000 and a Lending Agreement, as defined below. Borrowings under the Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account (the “pledged collateral”). Interest is charged at the quarterly LIBOR (London Inter-bank Offered Rate) plus .95% on the amount borrowed and .85% on the undrawn balance. For the period ended January 31, 2011, the average borrowings under the Agreement and the average interest rate were $539,000,000 and 1.28%, respectively. As of January 31, 2011, the amount of such outstanding borrowings is $539,000,000. The interest rate applicable to the borrowings on January 31, 2011 was 1.25%.
 
The Lending Agreement is a separate side-agreement between the Fund and BNP pursuant to which BNP may borrow a portion of the pledged collateral (the “Lent Securities”) in an amount not to exceed the outstanding borrowings owed by the Fund to BNP under the Agreement. The Lending Agreement is intended to permit the Fund to significantly reduce the cost of its borrowings under the Agreement. BNP may re-register the Lent Securities in its own name or in another name other than the Fund, and may pledge, re-pledge, sell, lend or

 

otherwise transfer or use the Lent Securities with all attendant rights of ownership. (It is the Fund’s understanding that BNP will perform due diligence to determine the creditworthiness of any party that borrows Lent Securities from BNP.) The Fund may designate any security within the pledged collateral as ineligible to be a Lent Security, provided there are eligible securities within the pledged collateral in an amount equal to the outstanding borrowing owed by the Fund. During the period in which the Lent Securities are outstanding, BNP must remit payment to the Fund equal to the amount of all dividends, interest or other distributions earned or made by the Lent Securities.
 
Under the terms of the Lending Agreement, the Lent Securities are marked to market daily, and if the value of the Lent Securities exceeds the value of the then-outstanding borrowings owed by the Fund to BNP under the Agreement (the “Current Borrowings”), BNP must, on that day, either (1) return Lent Securities to the Fund’s custodian in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings; or (2) post cash collateral with the Fund’s custodian equal to the difference between the value of the Lent Securities and the value of the Current Borrowings. If BNP fails to perform either of these actions as required, the Fund will recall securities, as discussed below, in an amount sufficient to cause the value of the outstanding Lent Securities to equal the Current Borrowings. The Fund can recall any of the Lent Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the Fund’s custodian no later than three business days after such request. If the Fund recalls a Lent Security pursuant to the Lending Agreement, and BNP fails to return the Lent Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Fund’s custodian for the ultimate delivery of such Lent Securities, or equivalent securities, and for any buy-in costs that the executing broker for the sales transaction may impose with respect to the failure to deliver. The Fund shall also have the right to apply and set-off an amount equal to one hundred percent (100%) of the then-current fair value of such Lent Securities against the Current Borrowings.
 
NOTE 4 – INTEREST RATE SWAPS
 
The Fund engages in interest rate swaps primarily to hedge the interest rate risk on the Fund’s borrowings (see Note 3 – Borrowings). An interest rate swap is a contract that involves the exchange of one type of interest rate for another type of interest rate. Three main types of interest rate swaps are coupon swaps (fixed rate to floating rate in the same currency); basis swaps (one floating rate index to another floating rate index in the same currency); and cross-currency interest rate swaps (fixed rate in one currency to floating rate in another). In the case of a coupon swap, a Fund may agree with a counterparty that the Fund will pay a fixed rate (multiplied by a notional amount) while the counterparty will pay a floating rate multiplied by the same notional amount. If interest rates rise, resulting in a diminution in the value of the Fund’s portfolio, the Fund would receive payments under the swap that would offset, in whole or in part, such diminution in value; if interest rates fall, the Fund would likely lose money on the swap transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective swap contracts in the event of default or bankruptcy of the Fund.
 
NOTE 5 – 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 purchased 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 purchased 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 also 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.
 
NOTE 6 – STRUCTURED EQUITY-LINKED SECURITIES
 
The Fund may also invest in structured equity-linked securities created by third parties, typically investment banks. Structured equity-linked securities created by such parties may be designed to simulate the characteristics of traditional convertible securities or may be designed to alter or emphasize a particular feature. Traditional convertible securities typically offer stable cash flows with the ability to participate in capital appreciation of the underlying common stock. Because traditional convertible securities are exercisable at the option of the holder, the holder is protected against downside risk. Structured equity-linked securities may alter these characteristics by offering enhanced yields in exchange for reduced capital appreciation or less downside protection, or any combination of these features. Structured equity-linked instruments may include structured notes, equity-linked notes, mandatory convertibles and combinations of securities and instruments, such as a debt instrument combined with a forward contract.
 
NOTE 7 – VALUATIONS
 
Various inputs are used to determine the value of the Fund’s investments. These inputs are categorized into three broad levels as follows:
 
  •  Level 1 – Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.
 
  •  Level 2 – Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.
 
  •  Level 3 – Prices reflect unobservable market inputs (including the Fund’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.
 
Debt securities (including U.S. government and government agency obligations) are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Fund’s investments.

 

The following is a summary of the inputs used in valuing the Fund’s holdings at fair value:
 
                                   
      Level 1   Level 2   Level 3   Total
 
Assets:
                                 
Corporate Bonds
    $ —     $ 451,563,817     $           —     $ 451,563,817  
Convertible Bonds
              212,150,889               212,150,889  
U.S. Government and Agency Securities
              22,674,331               22,674,331  
Sovereign Bonds
              23,730,684               23,730,684  
Synthetic Convertible Securities (Corporate Bonds)
              46,966,960               46,966,960  
Synthetic Convertible Securities (U.S. Government and Agency Securities)
              2,359,156               2,359,156  
Synthetic Convertible Securities (Sovereign Bonds)
              2,466,699               2,466,699  
Synthetic Convertible Securities (Purchased Options)
      9,140,800                       9,140,800  
Convertible Preferred Stocks
      126,187,973       25,194,400               151,382,373  
Structured Equity-Linked Securities
              31,457,154               31,457,154  
Common Stocks
      1,140,145,978       103,039,983               1,243,185,961  
Warrants
      3                       3  
Short Term Investment
      40,822,154                       40,822,154  
                                   
      $ 1,316,296,908     $ 921,604,073     $ —     $ 2,237,900,981  
                                   
Liabilities:
                                 
Interest Rate Swaps
              18,085,711               18,085,711  
                                   
Total
    $ —     $ 18,085,711     $ —     $ 18,085,711  
                                   

 

ITEM 2. CONTROLS AND PROCEDURES.
a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.
b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 3. EXHIBITS.
  (a)   Certification of Principal Executive Officer.
 
  (b)   Certification of Principal Financial Officer.

 

 

SIGNATURES
     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Strategic Total Return Fund
         
By:
  /s/ John P. Calamos, Sr.
 
    
 
        
Name:
  John P. Calamos, Sr.    
Title:
  Principal Executive Officer    
Date:
  March 24, 2011    
     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Calamos Strategic Total Return Fund
         
By:
  /s/ John P. Calamos, Sr.
 
    
 
        
Name:
  John P. Calamos, Sr.    
Title:
  Principal Executive Officer    
Date:
  March 24, 2011    
         
By:
  /s/ Nimish S. Bhatt
 
    
 
        
Name:
  Nimish S. Bhatt    
Title:
  Principal Financial Officer    
Date:
  March 24, 2011