Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT |
VALUE | |||||||
CORPORATE BONDS (13.3%) |
||||||||
Airlines (0.3%) |
||||||||
8,667 | Air Canada Pass Through Trust Series 2015-2, Class B* |
$ | 8,603 | |||||
44,222 | Alaska Airlines Pass Through Trust Series 2020-1, Class A* |
42,820 | ||||||
25,813 | Alaska Airlines Pass Through Trust Series 2020-1, Class B* |
26,049 | ||||||
50,050 | American Airlines Pass Through Trust Series 2021-1, Class B |
44,163 | ||||||
American Airlines, Inc. / AAdvantage Loyalty IP, Ltd.* |
||||||||
30,250 | 5.500%, 04/20/26 |
29,829 | ||||||
11,000 | 5.750%, 04/20/29 |
10,671 | ||||||
45,184 | British Airways Pass Through Trust Series 2021-1, Class B* |
40,552 | ||||||
48,045 | JetBlue Pass Through Trust Series 2020-1, Class B |
48,439 | ||||||
63,800 | Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.* |
64,564 | ||||||
|
|
| ||||||
315,690 | ||||||||
|
|
| ||||||
Communication Services (1.3%) |
||||||||
55,000 | APi Group DE, Inc.* |
49,017 | ||||||
47,000 | Arrow Bidco, LLC* |
47,128 | ||||||
Audacy Capital Corp.* |
||||||||
57,000 | 6.750%, 03/31/29 |
1,245 | ||||||
27,000 | 6.500%, 05/01/27 |
649 | ||||||
30,000 | Cincinnati Bell Telephone Company, LLC |
24,646 | ||||||
70,000 | Consolidated Communications, Inc.* |
54,717 | ||||||
200,000 | CSC Holdings, LLC* |
171,748 | ||||||
Diamond Sports Group, LLC / Diamond Sports Finance Company*@ |
||||||||
45,000 | 6.625%, 08/15/27& |
1,330 | ||||||
27,000 | 5.375%, 08/15/26 |
861 | ||||||
56,000 | Directv Financing, LLC / Directv Financing Co-Obligor, Inc.* |
50,601 | ||||||
33,000 | Embarq Corp. |
18,761 | ||||||
45,000 | Frontier California, Inc. |
41,578 | ||||||
Frontier Communications Holdings, LLC* |
||||||||
28,000 | 5.000%, 05/01/28 |
23,754 | ||||||
11,000 | 8.750%, 05/15/30 |
10,612 | ||||||
65,000 | Frontier Florida, LLC@ |
61,004 |
PRINCIPAL AMOUNT |
VALUE | |||||||
65,000 | Frontier North, Inc.@ |
$ | 58,763 | |||||
Go Daddy Operating Company, LLC / GD Finance Company, Inc.* |
||||||||
40,000 | 3.500%, 03/01/29 |
34,477 | ||||||
13,000 | 5.250%, 12/01/27 |
12,506 | ||||||
iHeartCommunications, Inc. |
||||||||
15,000 | 8.375%, 05/01/27 |
10,275 | ||||||
15,000 | 5.250%, 08/15/27* |
11,836 | ||||||
Intelsat Jackson Holdings, SA& |
||||||||
30,000 | 9.750%, 07/15/25* |
| ||||||
25,000 | 5.500%, 08/01/23 |
| ||||||
37,759 | Ligado Networks, LLC* |
13,120 | ||||||
Lumen Technologies, Inc. |
||||||||
35,000 | 7.600%, 09/15/39 |
12,866 | ||||||
20,000 | 4.000%, 02/15/27* |
13,160 | ||||||
22,000 | Match Group Holdings II, LLC* |
18,154 | ||||||
30,000 | Paramount Global |
24,783 | ||||||
14,000 | Qwest Corp. |
13,673 | ||||||
Scripps Escrow II, Inc.* |
||||||||
23,000 | 3.875%, 01/15/29 |
19,137 | ||||||
11,000 | 5.375%, 01/15/31 |
8,383 | ||||||
40,000 | Scripps Escrow, Inc.*^ |
33,472 | ||||||
Sirius XM Radio, Inc.* |
||||||||
65,000 | 5.500%, 07/01/29 |
59,475 | ||||||
43,000 | 4.000%, 07/15/28 |
37,460 | ||||||
20,000 | 3.125%, 09/01/26 |
18,041 | ||||||
11,000 | 3.875%, 09/01/31 |
8,623 | ||||||
41,000 | Spanish Broadcasting System, Inc.* |
28,431 | ||||||
110,000 | Sprint, LLC |
111,059 | ||||||
35,000 | Stagwell Global, LLC* |
29,825 | ||||||
49,000 | TEGNA, Inc. |
44,176 | ||||||
35,000 | Telecom Italia Capital, SA |
28,340 | ||||||
42,000 | Telesat Canada / Telesat, LLC* |
25,224 | ||||||
15,000 | Time Warner Cable, LLC |
15,312 | ||||||
75,000 | United States Cellular Corp. |
64,922 | ||||||
15,000 | Univision Communications, Inc.* |
15,128 | ||||||
|
|
| ||||||
1,328,272 | ||||||||
|
|
| ||||||
Consumer Discretionary (2.5%) |
||||||||
53,000 | Abercrombie & Fitch Management Company* |
53,855 | ||||||
55,000 | Adient Global Holdings Company* |
56,558 | ||||||
36,000 | American Axle & Manufacturing, Inc. |
34,296 |
See accompanying Notes to Schedule of Investments | ||
1 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT |
VALUE | |||||||
Ashton Woods USA, LLC / Ashton Woods Finance Company* |
||||||||
39,000 | 6.625%, 01/15/28 |
$ | 37,631 | |||||
38,000 | 4.625%, 08/01/29 |
32,947 | ||||||
53,000 | At Home Group, Inc.* |
30,822 | ||||||
Bath & Body Works, Inc. |
||||||||
57,000 | 6.694%, 01/15/27 |
57,276 | ||||||
55,000 | 6.875%, 11/01/35 |
51,080 | ||||||
Caesars Entertainment Corp.* |
||||||||
28,000 | 4.625%, 10/15/29 |
24,674 | ||||||
21,000 | 8.125%, 07/01/27^ |
21,584 | ||||||
Carnival Corp.* |
||||||||
22,000 | 4.000%, 08/01/28 |
19,581 | ||||||
21,000 | 10.500%, 02/01/26 |
22,143 | ||||||
21,000 | 7.625%, 03/01/26 |
20,745 | ||||||
50,000 | Carriage Services, Inc.* |
43,397 | ||||||
30,000 | Carvana Company* |
18,634 | ||||||
CCO Holdings, LLC / CCO Holdings Capital Corp.* |
||||||||
155,000 | 5.125%, 05/01/27 |
145,565 | ||||||
50,000 | 6.375%, 09/01/29 |
47,845 | ||||||
50,000 | 4.750%, 03/01/30 |
43,353 | ||||||
46,000 | 4.250%, 02/01/31 |
37,818 | ||||||
25,000 | 4.500%, 08/15/30 |
21,173 | ||||||
22,000 | 4.750%, 02/01/32 |
18,242 | ||||||
20,000 | 5.000%, 02/01/28 |
18,511 | ||||||
22,000 | CDI Escrow Issuer, Inc.* |
20,461 | ||||||
39,000 | Cedar Fair, LP^ |
35,057 | ||||||
23,000 | Churchill Downs, Inc.* |
22,510 | ||||||
Dana, Inc. |
||||||||
40,000 | 4.250%, 09/01/30 |
34,361 | ||||||
32,000 | 4.500%, 02/15/32 |
26,884 | ||||||
DISH DBS Corp. |
||||||||
50,000 | 5.250%, 12/01/26* |
41,058 | ||||||
41,000 | 7.750%, 07/01/26 |
26,583 | ||||||
30,000 | 7.375%, 07/01/28 |
16,917 | ||||||
20,000 | 5.125%, 06/01/29 |
10,122 | ||||||
46,000 | DISH Network Corp.* |
46,328 | ||||||
47,000 | Everi Holdings, Inc.* |
41,728 | ||||||
90,000 | Ford Motor Company^ |
87,144 | ||||||
200,000 | Ford Motor Credit Company, LLC |
172,400 | ||||||
Gap, Inc.* |
||||||||
16,000 | 3.875%, 10/01/31 |
11,456 | ||||||
2,000 | 3.625%, 10/01/29 |
1,492 | ||||||
goeasy, Ltd.* |
||||||||
75,000 | 5.375%, 12/01/24 |
73,208 | ||||||
40,000 | 4.375%, 05/01/26 |
36,665 | ||||||
19,000 | Group 1 Automotive, Inc.* |
16,818 | ||||||
45,000 | Guitar Center, Inc.*&^ |
41,456 | ||||||
25,000 | Kohls Corp. |
16,294 | ||||||
45,000 | LCM Investments Holdings II, LLC* |
45,748 |
PRINCIPAL AMOUNT |
VALUE | |||||||
45,000 | Liberty Interactive, LLC |
$ | 16,875 | |||||
Life Time, Inc.* |
||||||||
50,000 | 5.750%, 01/15/26 |
49,091 | ||||||
43,000 | 8.000%, 04/15/26 |
43,079 | ||||||
15,000 | Lindblad Expeditions Holdings, Inc.* |
15,501 | ||||||
28,000 | Lindblad Expeditions, LLC* |
27,142 | ||||||
30,000 | M/I Homes, Inc. |
26,216 | ||||||
Macys Retail Holdings, LLC |
||||||||
73,000 | 6.700%, 07/15/34* |
60,794 | ||||||
25,000 | 4.300%, 02/15/43 |
15,736 | ||||||
55,000 | Midwest Gaming Borrower, LLC / Midwest Gaming Finance Corp.* |
48,973 | ||||||
29,000 | Mohegan Tribal Gaming Authority* 8.000%, 02/01/26 |
26,592 | ||||||
Newell Brands, Inc.^ |
||||||||
10,000 | 6.375%, 09/15/27 |
9,838 | ||||||
6,000 | 6.625%, 09/15/29 |
6,014 | ||||||
Nordstrom, Inc. |
||||||||
23,000 | 4.250%, 08/01/31 |
18,173 | ||||||
20,000 | 5.000%, 01/15/44 |
13,649 | ||||||
50,000 | Penn Entertainment, Inc.*^ |
41,359 | ||||||
60,000 | Premier Entertainment Sub, LLC / Premier Entertainment Finance Corp.* |
45,922 | ||||||
126,000 | Rite Aid Corp.* |
63,135 | ||||||
23,000 | Royal Caribbean Cruises, Ltd.* |
23,337 | ||||||
63,000 | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed* |
52,560 | ||||||
85,000 | Six Flags Entertainment Corp.* |
81,405 | ||||||
50,000 | Sonic Automotive, Inc.*^ |
42,893 | ||||||
36,000 | Speedway Motorsports, LLC / Speedway Funding II, Inc.* |
33,727 | ||||||
90,000 | Station Casinos, LLC* |
81,747 | ||||||
31,000 | Taylor Morrison Communities, Inc.* |
30,284 | ||||||
10,000 | Viking Cruises, Ltd.* |
10,281 | ||||||
50,000 | Vista Outdoor, Inc.* |
42,573 | ||||||
20,000 | Windsor Holdings III, LLC* |
20,127 | ||||||
|
|
| ||||||
2,629,443 | ||||||||
|
|
| ||||||
Consumer Staples (0.6%) |
||||||||
52,000 | 1375209 B.C., Ltd.* |
52,212 | ||||||
51,000 | Central Garden & Pet Company* |
42,753 |
See accompanying Notes to Schedule of Investments | ||
2 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT |
VALUE | |||||||
53,000 | Edgewell Personal Care Company* |
$ | 46,411 | |||||
Energizer Holdings, Inc.* |
||||||||
59,000 | 4.375%, 03/31/29 |
51,346 | ||||||
10,000 | 6.500%, 12/31/27^ |
9,775 | ||||||
JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.* |
||||||||
65,000 | 5.500%, 01/15/30 |
62,927 | ||||||
25,000 | 5.125%, 02/01/28 |
24,320 | ||||||
15,000 | 5.750%, 04/01/33 |
14,409 | ||||||
33,000 | New Albertsons, LP |
34,191 | ||||||
43,000 | Performance Food Group, Inc.* |
38,199 | ||||||
Pilgrims Pride Corp. |
||||||||
45,000 | 5.875%, 09/30/27* |
44,486 | ||||||
35,000 | 4.250%, 04/15/31 |
30,250 | ||||||
21,000 | Post Holdings, Inc.* |
20,601 | ||||||
42,000 | Prestige Brands, Inc.* |
35,410 | ||||||
25,000 | United Natural Foods, Inc.* |
20,865 | ||||||
70,000 | Vector Group, Ltd.* |
61,060 | ||||||
|
|
| ||||||
589,215 | ||||||||
|
|
| ||||||
Energy (1.6%) | ||||||||
44,000 | Antero Resources Corp.* |
41,048 | ||||||
45,000 | Apache Corp. |
38,261 | ||||||
Buckeye Partners, LP |
||||||||
40,000 | 3.950%, 12/01/26 |
36,882 | ||||||
25,000 | 5.850%, 11/15/43 |
19,360 | ||||||
60,000 | Callon Petroleum Company*^ |
58,339 | ||||||
23,000 | Cheniere Energy, Inc. |
21,671 | ||||||
32,000 | Chesapeake Energy Corp.* |
31,886 | ||||||
10,000 | Civitas Resources, Inc.* |
10,356 | ||||||
Continental Resources, Inc.* |
||||||||
35,000 | 2.875%, 04/01/32 |
27,239 | ||||||
25,000 | 5.750%, 01/15/31 |
24,228 | ||||||
32,000 | DT Midstream, Inc.* |
28,409 | ||||||
Earthstone Energy Holdings, LLC* |
||||||||
39,000 | 8.000%, 04/15/27 |
38,839 | ||||||
15,000 | 9.875%, 07/15/31 |
15,520 | ||||||
25,000 | Enbridge, Inc. |
24,799 | ||||||
Energy Transfer, LP |
||||||||
65,000 | 8.317%, 11/01/66 |
52,151 | ||||||
32,000 | 6.500%, 11/15/26 |
29,208 | ||||||
EnLink Midstream Partners, LP |
||||||||
60,000 | 9.618%, 08/31/23 |
51,923 | ||||||
50,000 | 4.850%, 07/15/26 |
48,633 |
PRINCIPAL AMOUNT |
VALUE | |||||||
31,000 | Enlink Midstream, LLC* |
$ | 31,270 | |||||
50,000 | EQM Midstream Partners, LP* |
50,873 | ||||||
Genesis Energy, LP / Genesis Energy Finance Corp. |
||||||||
43,000 | 6.250%, 05/15/26^ |
41,294 | ||||||
11,000 | 8.875%, 04/15/30 |
10,987 | ||||||
Gulfport Energy Corp. |
||||||||
45,000 | 6.375%, 05/15/25& |
| ||||||
40,000 | 8.000%, 05/17/26* |
40,545 | ||||||
13,752 | 8.000%, 05/17/26 |
13,939 | ||||||
60,000 | Hilcorp Energy I, LP / Hilcorp Finance Company* |
55,496 | ||||||
32,000 | Howard Midstream Energy Partners, LLC* |
31,041 | ||||||
44,000 | Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.* |
43,150 | ||||||
Moss Creek Resources Holdings, Inc.* |
||||||||
25,000 | 10.500%, 05/15/27 |
24,444 | ||||||
25,000 | 7.500%, 01/15/26 |
23,428 | ||||||
35,000 | Nabors Industries, Inc.* |
34,273 | ||||||
35,000 | Nabors Industries, Ltd.* |
32,259 | ||||||
New Fortress Energy, Inc.* |
||||||||
40,000 | 6.750%, 09/15/25 |
38,117 | ||||||
22,000 | 6.500%, 09/30/26 |
20,210 | ||||||
45,000 | Parkland Corp.* |
43,799 | ||||||
43,000 | Patterson-UTI Energy, Inc. |
39,901 | ||||||
50,000 | Plains All American Pipeline, LP |
45,425 | ||||||
40,000 | Rockcliff Energy II, LLC* |
36,796 | ||||||
Southwestern Energy Company |
||||||||
21,000 | 4.750%, 02/01/32 |
18,727 | ||||||
20,000 | 5.375%, 02/01/29 |
18,920 | ||||||
11,000 | Sunoco, LP / Sunoco Finance Corp. |
9,794 | ||||||
55,000 | Transocean, Inc.* |
57,117 | ||||||
Venture Global Calcasieu Pass, LLC* |
||||||||
30,000 | 6.250%, 01/15/30 |
29,363 | ||||||
10,000 | 4.125%, 08/15/31 |
8,497 | ||||||
10,000 | 3.875%, 08/15/29 |
8,678 | ||||||
Venture Global LNG, Inc.* |
||||||||
55,000 | 8.375%, 06/01/31 |
55,859 | ||||||
35,000 | 8.125%, 06/01/28 |
35,592 | ||||||
Vital Energy, Inc. |
||||||||
25,000 | 7.750%, 07/31/29* |
21,477 | ||||||
23,000 | 9.500%, 01/15/25^ |
22,983 | ||||||
45,000 | VOC Escrow, Ltd.* |
41,864 | ||||||
40,000 | Weatherford International, Ltd.* |
41,026 | ||||||
|
|
| ||||||
1,625,896 | ||||||||
|
|
|
See accompanying Notes to Schedule of Investments | ||
3 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT |
VALUE | |||||||
Financials (2.1%) |
||||||||
56,000 | Acrisure, LLC / Acrisure Finance, Inc.* |
$ | 54,229 | |||||
67,000 | Aethon United BR, LP / Aethon United Finance Corp.* |
66,873 | ||||||
73,000 | AG Issuer, LLC* |
70,627 | ||||||
75,000 | Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer* |
71,431 | ||||||
Ally Financial, Inc. |
||||||||
49,000 | 4.700%, 05/15/26 |
37,387 | ||||||
20,000 | 8.000%, 11/01/31 |
21,241 | ||||||
20,000 | 4.700%, 05/15/28 |
14,119 | ||||||
86,000 | AmWINS Group, Inc.* |
78,920 | ||||||
48,000 | Aviation Capital Group, LLC* |
43,296 | ||||||
20,000 | Avolon Holdings Funding, Ltd.* |
19,445 | ||||||
88,000 | BroadStreet Partners, Inc.* |
78,652 | ||||||
Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLC* |
||||||||
40,000 | 4.500%, 04/01/27 |
34,633 | ||||||
26,000 | 5.750%, 05/15/26 |
24,419 | ||||||
38,000 | Castlelake Aviation Finance DAC*^ |
35,102 | ||||||
Credit Acceptance Corp. |
||||||||
65,000 | 6.625%, 03/15/26^ |
63,781 | ||||||
52,000 | 5.125%, 12/31/24* |
50,996 | ||||||
58,000 | Enact Holdings, Inc.* |
57,447 | ||||||
64,000 | Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP* |
51,150 | ||||||
84,000 | Greystar Real Estate Partners, LLC* |
82,919 | ||||||
HUB International, Ltd.* |
||||||||
66,000 | 5.625%, 12/01/29 |
59,081 | ||||||
47,000 | 7.000%, 05/01/26 |
46,953 | ||||||
31,000 | Icahn Enterprises, LP / Icahn Enterprises Finance Corp. |
25,174 | ||||||
100,000 | ILFC E-Capital Trust II* |
72,500 | ||||||
Iron Mountain, Inc.* |
||||||||
90,000 | 5.250%, 03/15/28 |
84,697 | ||||||
12,000 | 7.000%, 02/15/29 |
12,057 | ||||||
Ladder Capital Finance Holdings, LLLP / Ladder Capital Finance Corp.* |
||||||||
88,000 | 5.250%, 10/01/25 |
84,383 | ||||||
22,000 | 4.750%, 06/15/29 |
18,560 | ||||||
63,000 | LD Holdings Group, LLC* |
41,424 |
PRINCIPAL AMOUNT |
VALUE | |||||||
Level 3 Financing, Inc.* |
||||||||
57,000 | 3.400%, 03/01/27 |
$ | 50,365 | |||||
45,000 | 4.250%, 07/01/28 |
31,919 | ||||||
20,000 | 4.625%, 09/15/27 |
15,228 | ||||||
30,000 | LPL Holdings, Inc.* |
26,917 | ||||||
100,000 | MetLife, Inc. |
100,705 | ||||||
60,000 | Nationstar Mortgage Holdings, Inc.* |
54,464 | ||||||
Navient Corp. |
||||||||
50,000 | 5.000%, 03/15/27 |
45,311 | ||||||
20,000 | 4.875%, 03/15/28 |
17,494 | ||||||
50,000 | Necessity Retail REIT, Inc. / American Finance Operating Partner, LP* |
39,246 | ||||||
OneMain Finance Corp. |
||||||||
30,000 | 9.000%, 01/15/29 |
30,510 | ||||||
30,000 | 3.875%, 09/15/28 |
24,743 | ||||||
22,000 | 7.125%, 03/15/26 |
21,806 | ||||||
23,000 | Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance Co-Issuer*
|
21,334 | ||||||
73,000 | PHH Mortgage Corp.* |
66,188 | ||||||
10,000 | PNC Financial Services Group, Inc. |
9,280 | ||||||
50,000 | RHP Hotel Properties, LP / RHP Finance Corp.* |
44,601 | ||||||
Rocket Mortgage, LLC / Rocket Mortgage Co-Issuer, Inc.* |
||||||||
20,000 | 3.875%, 03/01/31 |
16,498 | ||||||
20,000 | 3.625%, 03/01/29 |
17,051 | ||||||
10,000 | 2.875%, 10/15/26 |
8,929 | ||||||
43,000 | StoneX Group, Inc.* |
43,597 | ||||||
United Wholesale Mortgage, LLC* |
||||||||
52,000 | 5.500%, 04/15/29 |
45,771 | ||||||
20,000 | 5.750%, 06/15/27 |
18,728 | ||||||
Uniti Group, LP / Uniti Group Finance, Inc. / CSL Capital, LLC* |
||||||||
25,000 | 6.500%, 02/15/29 |
17,432 | ||||||
22,000 | 10.500%, 02/15/28 |
21,885 | ||||||
47,000 | XHR, LP* |
46,389 | ||||||
|
|
| ||||||
2,237,887 | ||||||||
|
|
| ||||||
Health Care (1.3%) |
||||||||
Bausch Health Companies, Inc.* |
||||||||
95,000 | 11.000%, 09/30/28 |
70,462 | ||||||
16,000 | 14.000%, 10/15/30 |
10,213 | ||||||
16,000 | 6.125%, 02/01/27 |
10,568 | ||||||
CHS/Community Health Systems, Inc.* |
||||||||
88,000 | 6.125%, 04/01/30 |
55,614 | ||||||
60,000 | 8.000%, 03/15/26 |
59,011 | ||||||
25,000 | 6.875%, 04/15/29 |
16,656 | ||||||
5,000 | 5.250%, 05/15/30 |
4,004 | ||||||
DaVita, Inc.* |
||||||||
89,000 | 4.625%, 06/01/30 |
76,063 |
See accompanying Notes to Schedule of Investments | ||
4 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT |
VALUE | |||||||
52,000 | 3.750%, 02/15/31 |
$ | 41,616 | |||||
Embecta Corp.* |
||||||||
33,000 | 5.000%, 02/15/30 |
27,258 | ||||||
11,000 | 6.750%, 02/15/30 |
9,712 | ||||||
Encompass Health Corp. |
||||||||
20,000 | 4.750%, 02/01/30 |
18,229 | ||||||
20,000 | 4.500%, 02/01/28 |
18,606 | ||||||
52,000 | HCA, Inc. |
57,419 | ||||||
200,000 | Jazz Securities DAC* |
178,160 | ||||||
18,722 | Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC* |
3,113 | ||||||
Medline Borrower, LP* |
||||||||
55,000 | 3.875%, 04/01/29 |
48,238 | ||||||
53,000 | 5.250%, 10/01/29 |
47,104 | ||||||
200,000 | Organon & Company / Organon Foreign Debt Co-Issuer, BV* |
169,758 | ||||||
62,000 | Team Health Holdings, Inc.* |
32,143 | ||||||
Tenet Healthcare Corp. |
||||||||
120,000 | 6.250%, 02/01/27 |
117,863 | ||||||
70,000 | 6.875%, 11/15/31 |
70,167 | ||||||
190,000 | Teva Pharmaceutical Finance Netherlands III, BV |
172,024 | ||||||
|
|
| ||||||
1,314,001 | ||||||||
|
|
| ||||||
Industrials (2.1%) | ||||||||
50,000 | ACCO Brands Corp.* |
42,985 | ||||||
50,000 | Air Lease Corp. |
36,318 | ||||||
Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC* |
||||||||
75,000 | 4.625%, 01/15/27 |
71,205 | ||||||
48,000 | 3.500%, 03/15/29 |
41,806 | ||||||
30,000 | 5.875%, 02/15/28 |
29,372 | ||||||
50,000 | Allegiant Travel Company* |
49,512 | ||||||
10,000 | American Airlines Group, Inc.*^ |
9,554 | ||||||
25,000 | Arcosa, Inc.* |
22,665 | ||||||
200,000 | ARD Finance, SA* |
162,896 | ||||||
34,000 | Beacon Roofing Supply, Inc.* |
30,087 | ||||||
44,000 | BWX Technologies, Inc.* |
39,965 | ||||||
Cascades, Inc. / Cascades USA, Inc.* |
||||||||
26,000 | 5.375%, 01/15/28 |
24,594 | ||||||
20,000 | 5.125%, 01/15/26 |
19,296 | ||||||
12,000 | Delta Air Lines, Inc. |
12,469 | ||||||
11,000 | Delta Air Lines, Inc. / SkyMiles IP, Ltd.* |
10,659 | ||||||
58,000 | Deluxe Corp.* |
48,746 |
PRINCIPAL AMOUNT |
VALUE | |||||||
33,000 | Eco Material Technologies, Inc.* |
$ | 31,869 | |||||
11,000 | Emerald Debt Merger Sub, LLC* |
10,953 | ||||||
25,000 | EnerSys* |
23,229 | ||||||
25,000 | Graham Packaging Company, Inc.* |
22,012 | ||||||
Graphic Packaging International, LLC* |
||||||||
30,000 | 4.750%, 07/15/27 |
28,930 | ||||||
20,000 | 3.500%, 03/01/29 |
17,506 | ||||||
51,000 | Great Lakes Dredge & Dock Corp.*^ |
43,436 | ||||||
101,000 | H&E Equipment Services, Inc.* |
88,776 | ||||||
69,000 | Hawaiian Brand Intellectual Property, Ltd. / HawaiianMiles Loyalty, Ltd.* |
65,209 | ||||||
65,000 | Herc Holdings, Inc.* |
62,510 | ||||||
50,000 | IEA Energy Services, LLC* |
48,938 | ||||||
62,000 | JELD-WEN, Inc.*^ |
61,051 | ||||||
70,000 | Ken Garff Automotive, LLC* |
61,713 | ||||||
45,000 | Knife River Holding Company* |
46,092 | ||||||
21,000 | MasTec, Inc.* |
19,538 | ||||||
33,000 | Moog, Inc.* |
30,612 | ||||||
55,000 | Newfold Digital Holdings Group, Inc.* |
40,636 | ||||||
52,000 | Novelis Corp.* |
46,802 | ||||||
15,000 | OI European Group, BV* |
13,614 | ||||||
50,000 | Pactiv Evergreen Group Issuer, Inc. / Pactiv Evergreen Group Issuer, LLC* |
45,094 | ||||||
67,000 | Patrick Industries, Inc.* |
58,310 | ||||||
20,000 | QVC, Inc. |
10,138 | ||||||
Sealed Air Corp.* |
||||||||
35,000 | 6.125%, 02/01/28 |
34,966 | ||||||
11,000 | 5.000%, 04/15/29 |
10,282 | ||||||
40,000 | Sensata Technologies, Inc.* |
33,848 | ||||||
Sinclair Television Group, Inc.* |
||||||||
33,000 | 4.125%, 12/01/30 |
21,521 | ||||||
20,000 | 5.500%, 03/01/30 |
10,553 | ||||||
50,000 | Standard Industries, Inc.* |
47,953 | ||||||
35,000 | Stericycle, Inc.* |
30,956 | ||||||
35,000 | STL Holding Company, LLC* |
32,623 | ||||||
TransDigm, Inc. |
||||||||
97,000 | 6.250%, 03/15/26* |
96,656 |
See accompanying Notes to Schedule of Investments | ||
5 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT |
VALUE | |||||||
60,000 | 7.500%, 03/15/27 |
$ | 59,990 | |||||
35,000 | 6.750%, 08/15/28* |
35,216 | ||||||
34,000 | Tronox, Inc.* |
28,215 | ||||||
18,995 | United Airlines Pass Through Trust Series 2019-2, Class B |
17,121 | ||||||
44,000 | Vertiv Group Corp.* |
39,545 | ||||||
46,000 | Wabash National Corp.* |
38,832 | ||||||
35,000 | Waste Pro USA, Inc.* |
33,164 | ||||||
13,000 | WESCO Distribution, Inc.* |
13,289 | ||||||
Williams Scotsman International, Inc.* |
||||||||
43,000 | 6.125%, 06/15/25 |
42,870 | ||||||
11,000 | 4.625%, 08/15/28 |
10,163 | ||||||
|
|
| ||||||
2,166,860 | ||||||||
|
|
| ||||||
Information Technology (0.7%) | ||||||||
21,000 | Booz Allen Hamilton, Inc.* |
19,002 | ||||||
80,000 | Clarivate Science Holdings Corp.* |
71,477 | ||||||
39,000 | Clear Channel Worldwide Holdings, Inc.* |
35,874 | ||||||
23,000 | Coherent Corp.*^ |
20,730 | ||||||
60,000 | CommScope Technologies, LLC*^ |
54,514 | ||||||
40,000 | CommScope, Inc.* |
30,825 | ||||||
29,000 | Dell International, LLC / EMC Corp. |
29,409 | ||||||
22,000 | Dun & Bradstreet Corp.*^ |
19,517 | ||||||
26,000 | Fair Isaac Corp.* |
23,898 | ||||||
50,000 | KBR, Inc.* |
45,817 | ||||||
MPH Acquisition Holdings, LLC* |
||||||||
50,000 | 5.750%, 11/01/28^ |
38,333 | ||||||
20,000 | 5.500%, 09/01/28 |
17,459 | ||||||
22,000 | NCR Corp.* |
19,711 | ||||||
34,000 | ON Semiconductor Corp.* |
30,836 | ||||||
Open Text Corp.* |
||||||||
39,000 | 3.875%, 02/15/28 |
34,776 | ||||||
20,000 | 6.900%, 12/01/27 |
20,465 | ||||||
16,000 | 3.875%, 12/01/29 |
13,546 | ||||||
16,000 | Open Text Holdings, Inc.* |
13,300 | ||||||
22,000 | Playtika Holding Corp.* |
19,437 | ||||||
60,000 | TTM Technologies, Inc.* |
51,200 | ||||||
Twilio, Inc. |
||||||||
30,000 | 3.625%, 03/15/29 |
25,815 | ||||||
11,000 | 3.875%, 03/15/31^ |
9,321 | ||||||
55,000 | Viavi Solutions, Inc.* |
47,428 |
PRINCIPAL AMOUNT |
VALUE | |||||||
50,000 | ZoomInfo Technologies, LLC / ZoomInfo Finance Corp.*^ |
$ | 43,049 | |||||
|
|
| ||||||
735,739 | ||||||||
|
|
| ||||||
Materials (0.5%) | ||||||||
25,000 | ArcelorMittal, SA^ |
25,938 | ||||||
27,000 | ATI, Inc. |
26,381 | ||||||
12,000 | Carpenter Technology Corp. |
12,263 | ||||||
35,000 | Chemours Company*^ |
29,665 | ||||||
65,000 | Clearwater Paper Corp.* |
57,622 | ||||||
34,000 | Cleveland-Cliffs, Inc.* |
33,161 | ||||||
Commercial Metals Company |
||||||||
22,000 | 4.125%, 01/15/30 |
19,802 | ||||||
11,000 | 4.375%, 03/15/32 |
9,615 | ||||||
34,000 | HB Fuller Company |
30,540 | ||||||
40,000 | JW Aluminum Continuous Cast Company* |
39,649 | ||||||
Kaiser Aluminum Corp.* |
||||||||
50,000 | 4.625%, 03/01/28 |
44,963 | ||||||
5,000 | 4.500%, 06/01/31 |
4,104 | ||||||
10,000 | LSF11 A5 HoldCo, LLC* |
8,407 | ||||||
58,000 | Mercer International, Inc. |
47,615 | ||||||
Owens-Brockway Glass Container, Inc.* |
||||||||
35,000 | 7.250%, 05/15/31 |
35,617 | ||||||
35,000 | 6.625%, 05/13/27 |
34,912 | ||||||
56,000 | Silgan Holdings, Inc. |
51,326 | ||||||
21,000 | Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc.* |
12,361 | ||||||
|
|
| ||||||
523,941 | ||||||||
|
|
| ||||||
Other (0.0%) | ||||||||
Gen Digital, Inc.* |
||||||||
25,000 | 7.125%, 09/30/30^ |
25,219 | ||||||
25,000 | 6.750%, 09/30/27 |
25,110 | ||||||
|
|
| ||||||
50,329 | ||||||||
|
|
| ||||||
Real Estate (0.1%) | ||||||||
34,000 | EPR Properties |
27,996 | ||||||
Forestar Group, Inc.* |
||||||||
38,000 | 5.000%, 03/01/28 |
35,400 | ||||||
21,000 | 3.850%, 05/15/26 |
19,571 | ||||||
50,000 | MIWD Holdco II, LLC / MIWD Finance Corp.* |
42,556 | ||||||
20,000 | Service Properties Trust |
18,279 | ||||||
|
|
| ||||||
143,802 | ||||||||
|
|
|
See accompanying Notes to Schedule of Investments | ||
6 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT |
VALUE | |||||||
Special Purpose Acquisition Companies (0.1%) |
| |||||||
Fertitta Entertainment, LLC / Fertitta Entertainment Finance Company, Inc.* |
||||||||
45,000 | 6.750%, 01/15/30 |
$ | 38,705 | |||||
23,000 | 4.625%, 01/15/29 |
20,181 | ||||||
25,000 | W.R. Grace Holding, LLC* |
25,042 | ||||||
|
|
| ||||||
83,928 | ||||||||
|
|
| ||||||
Utilities (0.1%) | ||||||||
16,000 | PPL Capital Funding, Inc. |
14,502 | ||||||
65,000 | TerraForm Power Operating, LLC* |
60,499 | ||||||
Vistra Corp.* |
||||||||
20,000 | 7.000%, 12/15/26 |
18,032 | ||||||
10,000 | 8.000%, 10/15/26 |
9,533 | ||||||
|
|
| ||||||
102,566 | ||||||||
|
|
| ||||||
TOTAL CORPORATE BONDS |
13,847,569 | |||||||
|
|
| ||||||
CONVERTIBLE BONDS (30.6%) |
||||||||
Communication Services (2.5%) | ||||||||
34,000 | Cable One, Inc.µ |
27,998 | ||||||
900,000 | Liberty Media Corp.* |
950,220 | ||||||
1,484,000 | Sea, Ltd. |
1,593,771 | ||||||
|
|
| ||||||
2,571,989 | ||||||||
|
|
| ||||||
Consumer Discretionary (7.4%) | ||||||||
145,000 | Burlington Stores, Inc. |
157,131 | ||||||
DISH Network Corp. |
||||||||
101,000 | 2.375%, 03/15/24µ |
93,113 | ||||||
20,000 | 0.000%, 12/15/25 |
12,214 | ||||||
515,000 | DraftKings Holdings, Inc. |
397,945 | ||||||
800,000 | AUD | Flight Centre Travel Group, Ltd. |
678,562 | |||||
3,160,000 | Ford Motor Company |
3,235,176 | ||||||
730,000 | IMAX Corp. |
685,331 | ||||||
685,000 | Marriott Vacations Worldwide Corp. |
649,209 | ||||||
500,000 | GBP | WH Smith, PLC |
564,642 | |||||
1,134,000 | Wynn Macau, Ltd.* |
1,256,075 | ||||||
|
|
| ||||||
7,729,398 | ||||||||
|
|
| ||||||
Consumer Staples (1.4%) | ||||||||
700,000 | EUR | Fomento Economico Mexicano SAB de CV |
769,373 |
PRINCIPAL AMOUNT |
VALUE | |||||||
915,000 | CAD | Premium Brands Holdings Corp. |
$ | 655,290 | ||||
|
|
| ||||||
1,424,663 | ||||||||
|
|
| ||||||
Energy (0.3%) | ||||||||
400,000 | Nabors Industries, Inc.* |
349,312 | ||||||
|
|
| ||||||
Financials (2.6%) |
||||||||
12,000,000 | HKD | Citigroup Global Markets Funding Luxembourg SCAµ |
1,452,205 | |||||
170,000,000 | JPY | SBI Holdings, Inc. |
1,197,116 | |||||
|
|
| ||||||
2,649,321 | ||||||||
|
|
| ||||||
Health Care (1.4%) | ||||||||
437,000 | BioMarin Pharmaceutical, Inc. |
427,159 | ||||||
562,000 | Dexcom, Inc. |
591,747 | ||||||
355,000 | TransMedics Group, Inc.* |
433,018 | ||||||
|
|
| ||||||
1,451,924 | ||||||||
|
|
| ||||||
Industrials (3.1%) | ||||||||
465,000 | Axon Enterprise, Inc.* |
480,419 | ||||||
534,000 | Parsons Corp. |
625,287 | ||||||
700,000 | EUR | Prysmian S.p.A |
798,866 | |||||
600,000 | EUR | Rheinmetall AG |
696,835 | |||||
500,000 | EUR | SPIE, SA |
563,934 | |||||
|
|
| ||||||
3,165,341 | ||||||||
|
|
| ||||||
Information Technology (7.1%) | ||||||||
400,000 | EUR | Amadeus IT Group, SA |
549,368 | |||||
835,000 | Block, Inc. |
828,437 | ||||||
580,000 | CyberArk Software, Ltd. |
681,401 | ||||||
671,000 | Datadog, Inc. |
924,403 | ||||||
7,000,000 | HKD | Kingsoft Corp, Ltd. |
1,019,855 | |||||
775,000 | ON Semiconductor Corp.* |
949,507 | ||||||
100,000,000 | JPY | Rohm Company, Ltd. |
781,007 | |||||
1,000,000 | SK Hynix, Inc. |
1,314,800 | ||||||
453,000 | Unity Software, Inc.µ |
363,533 | ||||||
|
|
| ||||||
7,412,311 | ||||||||
|
|
| ||||||
Materials (3.0%) | ||||||||
1,600,000 | Glencore Funding, LLC |
1,720,432 | ||||||
270,000 | Ivanhoe Mines, Ltd.* |
411,810 |
See accompanying Notes to Schedule of Investments | ||
7 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT |
VALUE | |||||||
600,000 | LG Chem, Ltd. |
$ | 633,738 | |||||
476,000 | Lithium Americas Corp.µ |
367,424 | ||||||
|
|
| ||||||
3,133,404 | ||||||||
|
|
| ||||||
Other (0.6%) |
||||||||
930,000 | EUR | Edenred |
648,983 | |||||
20,000 | Multiplan Corp.* |
13,645 | ||||||
|
|
| ||||||
662,628 | ||||||||
|
|
| ||||||
Real Estate (0.9%) |
||||||||
800,000 | EUR | ANLLIAN Capital, Ltd. |
945,755 | |||||
|
|
| ||||||
Utilities (0.3%) |
||||||||
350,000 | CMS Energy Corp.* |
349,010 | ||||||
|
|
| ||||||
TOTAL CONVERTIBLE BONDS (Cost $34,478,541) |
31,845,056 | |||||||
|
|
| ||||||
BANK LOANS (9.1%) ¡ |
||||||||
Airlines (0.0%) |
||||||||
36,000 | Mileage Plus Holdings, LLC |
37,598 | ||||||
|
|
| ||||||
Communication Services (1.5%) |
||||||||
250,000 | APi Group DE, Inc.! |
250,849 | ||||||
360,000 | Charter Communications Operating LLC! |
357,932 | ||||||
43,000 | Entercom Media Corp. |
23,681 | ||||||
250,000 | Go Daddy Operating Company, LLC! |
250,661 | ||||||
250,000 | Match Group, Inc.! |
249,375 | ||||||
250,000 | Nexstar Broadcasting, Inc.! |
250,292 | ||||||
250,000 | Virgin Media Bristol, LLC! |
243,860 | ||||||
|
|
| ||||||
1,626,650 | ||||||||
|
|
| ||||||
Consumer Discretionary (1.5%) |
||||||||
250,000 | Adient US LLC! |
250,651 | ||||||
250,000 | Aramark Services, Inc.! |
250,000 | ||||||
300,000 | KFC Holding Company |
299,625 | ||||||
250,000 | Murphy USA, Inc.! |
251,250 | ||||||
250,000 | PENN Entertainment, Inc.! |
250,000 |
PRINCIPAL AMOUNT |
VALUE | |||||||
250,000 | Station Casinos, LLC! |
$ | 249,471 | |||||
|
|
| ||||||
1,550,997 | ||||||||
|
|
| ||||||
Financials (0.8%) | ||||||||
300,000 | Avolon TLB Borrower 1 (US), LLC! |
300,436 | ||||||
250,000 | Castlelake Aviation Ltd.! |
250,250 | ||||||
250,000 | Jazz Financing Lux Sarl! |
250,018 | ||||||
|
|
| ||||||
800,704 | ||||||||
|
|
| ||||||
Health Care (1.9%) | ||||||||
215,530 | Avantor Funding, Inc. |
215,855 | ||||||
300,000 | DaVita, Inc.! |
296,976 | ||||||
250,000 | Elanco Animal Health, Inc.! |
246,623 | ||||||
250,000 | Horizon Therapeutics USA, Inc.! |
249,947 | ||||||
200,100 | ICON Luxembourg Sarl! |
200,520 | ||||||
250,000 | IQVIA, Inc.! |
250,412 | ||||||
250,000 | Organon & Company |
249,641 | ||||||
250,000 | Perrigo Investments, LLC! |
249,063 | ||||||
49,800 | PRA Health Sciences, Inc.! |
49,905 | ||||||
|
|
| ||||||
2,008,942 | ||||||||
|
|
| ||||||
Industrials (2.2%) | ||||||||
250,000 | Beacon Roofing Supply, Inc.! |
250,274 | ||||||
300,000 | Berry Global, Inc.! |
300,129 | ||||||
140,000 | ChampionX Corp. |
140,613 | ||||||
110,000 | ChampionX Corp.! |
110,481 | ||||||
250,000 | Emrld Borrower, LP! |
250,470 | ||||||
250,000 | H.B. Fuller Company! |
251,069 | ||||||
250,000 | Jeld-Wen, Inc.! |
249,356 | ||||||
250,000 | Scientific Games International, Inc.! |
249,980 | ||||||
250,000 | TransDigm, Inc.! |
250,527 | ||||||
200,000 | United Airlines, Inc.! |
200,625 | ||||||
|
|
| ||||||
2,253,524 | ||||||||
|
|
|
See accompanying Notes to Schedule of Investments | ||
8 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
PRINCIPAL AMOUNT |
VALUE | |||||||
Information Technology (0.7%) | ||||||||
45,980 | Banff Merger Sub, Inc. |
$ | 45,923 | |||||
250,000 | II-VI, Inc. |
250,250 | ||||||
150,300 | Open Text Corp.! |
150,723 | ||||||
150,300 | SS&C Technologies, Inc.! |
150,369 | ||||||
99,600 | SS&C Technologies, Inc.! |
99,646 | ||||||
|
|
| ||||||
696,911 | ||||||||
|
|
| ||||||
Materials (0.5%) | ||||||||
300,000 | Axalta Coating Systems U.S. Holdings, Inc.! |
301,171 | ||||||
215,000 | Chemours Company! |
214,911 | ||||||
|
|
| ||||||
516,082 | ||||||||
|
|
| ||||||
TOTAL BANK LOANS (Cost $9,531,048) |
9,491,408 | |||||||
|
|
| ||||||
NUMBER OF SHARES |
VALUE | |||||||
WARRANTS (0.0%) # |
||||||||
Energy (0.0%) | ||||||||
2,607 | Mcdermott International, Ltd.& |
| ||||||
2,347 | Mcdermott International, Ltd. |
| ||||||
|
|
| ||||||
TOTAL WARRANTS (Cost $1,002) |
| |||||||
|
|
| ||||||
COMMON STOCKS (82.1%) |
||||||||
Communication Services (5.5%) | ||||||||
15,735 | Alphabet, Inc. - Class A# |
2,088,349 | ||||||
925 | Altice USA, Inc. - Class Aµ# |
3,136 | ||||||
1,050 | Baidu, Inc. (ADR)# |
163,790 | ||||||
24,150 | HKD | Baidu, Inc. - Class Aµ# |
472,152 | |||||
310 | Cumulus Media, Inc. - Class Aµ# |
1,965 | ||||||
16,800 | EUR | Deutsche Telekom, AG |
366,261 | |||||
27,000 | HKD | Tencent Holdings, Ltd.µ |
1,240,950 | |||||
15,060 | Tencent Holdings, Ltd. (ADR) |
691,856 | ||||||
7,610 | Walt Disney Companyµ#~ |
676,453 | ||||||
|
|
| ||||||
5,704,912 | ||||||||
|
|
| ||||||
Consumer Discretionary (11.7%) | ||||||||
37,500 | HKD | Alibaba Group Holding, Ltd.µ# |
479,227 | |||||
1,745 | Alibaba Group Holding, Ltd. (ADR)^# |
178,269 | ||||||
7,260 | PLN | Allegro.eu, SA*# |
64,008 | |||||
45,850 | MXN | Alsea, SAB de CV# |
159,578 | |||||
25,200 | Amazon.com, Inc.^µ# |
3,368,736 | ||||||
44,000 | AED | Americana Restaurants International, PLC |
46,002 | |||||
9,604 | Aptiv, PLCµ# |
1,051,542 |
NUMBER OF SHARES |
VALUE | |||||||
1,765 | Arcos Dorados Holdings, Inc. - Class A |
$ | 19,945 | |||||
975 | BRL | Arezzo Industria e Comercio, SA |
16,990 | |||||
153,100 | PHP | Bloomberry Resorts Corp.# |
33,060 | |||||
3,400 | CNY | BYD Company, Ltd. - Class A |
129,795 | |||||
5,700 | CNY | China Tourism Group Duty Free Corp., Ltd. - Class A |
100,756 | |||||
175 | Chipotle Mexican Grill, Inc. - Class Aµ# |
343,399 | ||||||
552 | EUR | CIE Automotive, SAµ |
17,300 | |||||
4,400 | Coupang, Inc. - Class A# |
79,860 | ||||||
19,565 | BRL | Cyrela Brazil Realty, SA Empreendimentos e Participacoes |
98,554 | |||||
2,790 | INR | Dixon Technologies India, Ltd. |
139,969 | |||||
22,150 | DraftKings, Inc. - Class A# |
703,927 | ||||||
45,700 | HKD | JD.com, Inc. - Class Aµ |
946,153 | |||||
48,000 | HKD | Jiumaojiu International Holdings, Ltd.*^ |
94,730 | |||||
73,300 | INR | Kalyan Jewellers India, Ltd. |
156,089 | |||||
3,025 | KRW | Kia Corp. |
196,320 | |||||
33,500 | HKD | Li Ning Company, Ltd.µ |
204,230 | |||||
1,280 | EUR | LVMH Moet Hennessy Louis Vuitton, SEµ |
1,188,822 | |||||
10,350 | INR | Mahindra & Mahindra, Ltd. |
185,678 | |||||
4,780 | HKD | Meituan - Class B*µ# |
91,251 | |||||
340 | MercadoLibre, Inc.µ# |
420,937 | ||||||
1,000 | JPY | Nextage Company, Ltd.^ |
26,266 | |||||
11,020 | NIO, Inc.# |
168,606 | ||||||
12,650 | On Holding, AG - Class A^# |
455,400 | ||||||
11,200 | HKD | Prada, S.p.A. |
79,720 | |||||
2,235 | EUR | Prosus, NVµ# |
176,805 | |||||
6,900 | HKD | Samsonite International, SA*µ# |
20,563 | |||||
64,000 | HKD | Sands China, Ltd.µ# |
246,561 | |||||
17,250 | INR | Tata Motors, Ltd. |
135,351 | |||||
1,385 | INR | TVS Motor Company, Ltd. |
23,220 | |||||
4,850 | AUD | Webjet, Ltd.^# |
25,744 | |||||
36,600 | HKD | Wynn Macau, Ltd.µ# |
38,276 | |||||
3,250 | HKD | Yum China Holdings, Inc.µ |
200,136 | |||||
23,000 | HKD | Zhongsheng Group Holdings, Ltd.µ |
80,809 | |||||
|
|
| ||||||
12,192,584 | ||||||||
|
|
| ||||||
Consumer Staples (4.6%) | ||||||||
20,850 | GBP | British American Tobacco, PLC |
701,146 | |||||
9,400 | Coca-Cola Company |
582,142 | ||||||
1,070 | Costco Wholesale Corp.µ |
599,917 | ||||||
1,155 | PLN | Dino Polska, SA*# |
128,621 | |||||
17,130 | MXN | Fomento Economico Mexicano, SAB de CV |
194,082 | |||||
36,700 | INR | ITC, Ltd. |
207,756 | |||||
700 | JPY | Kobe Bussan Company, Ltd. |
18,645 | |||||
700 | CNY | Kweichow Moutai Company, Ltd. - Class A |
184,769 | |||||
5,550 | Molson Coors Brewing Company - Class Bµ |
387,224 | ||||||
5,900 | CHF | Nestle, SAµ |
722,863 | |||||
6,940 | CNY | Proya Cosmetics Company, Ltd. - Class A |
109,736 | |||||
24,592 | BRL | Raia Drogasil, SA |
150,659 | |||||
1,000 | JPY | Rohto Pharmaceutical Company, Ltd. |
21,315 | |||||
18,000 | JPY | Seven & i Holdings Company, Ltd.µ |
746,731 | |||||
26,000 | HKD | Smoore International Holdings, Ltd.*^ |
29,272 |
See accompanying Notes to Schedule of Investments | ||
9 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
NUMBER OF SHARES |
VALUE | |||||||
77,050 | IDR | Sumber Alfaria Trijaya, Tbk PT |
$ | 13,796 | ||||
|
|
| ||||||
4,798,674 | ||||||||
|
|
| ||||||
Energy (5.1%) | ||||||||
1,910 | CAD | ARC Resources, Ltd.^ |
28,853 | |||||
73,850 | GBP | BP, PLC |
458,198 | |||||
21,400 | CAD | Canadian Natural Resources, Ltd. |
1,301,381 | |||||
479 | Chaparral Energy, Inc. - Class A&# |
20,357 | ||||||
131 | Chesapeake Energy Corp.^ |
11,048 | ||||||
8,810 | Chevron Corp.µ |
1,441,845 | ||||||
3,045 | Energy Transfer, LP |
40,468 | ||||||
1,815 | Enterprise Products Partners, LP |
48,116 | ||||||
341 | EP Energy Corp.&# |
2,387 | ||||||
11,400 | Helmerich & Payne, Inc.µ |
510,378 | ||||||
585 | Magellan Midstream Partners, LP |
38,768 | ||||||
37,400 | THB | PTT Exploration & Production, PCL |
174,752 | |||||
7,700 | INR | Reliance Industries, Ltd. |
238,726 | |||||
31,700 | EUR | Shell, PLC |
975,120 | |||||
1,940 | TechnipFMC, PLCµ# |
35,580 | ||||||
|
|
| ||||||
5,325,977 | ||||||||
|
|
| ||||||
Financials (12.5%) | ||||||||
116,000 | HKD | AIA Group, Ltd. |
1,160,549 | |||||
3,000 | Aon, PLC - Class Aµ |
955,500 | ||||||
49,400 | BRL | B3, SA - Brasil Bolsa Balcao |
155,656 | |||||
19,180 | BRL | Banco BTG Pactual, SA |
137,946 | |||||
317,750 | IDR | Bank Central Asia, Tbk PT |
192,440 | |||||
1,920,740 | IDR | Bank Mandiri Persero, Tbk PT |
730,160 | |||||
53,325 | Bank of America Corp.µ~ |
1,706,400 | ||||||
2,848 | EUR | Bank of Ireland Group, PLC |
30,049 | |||||
90,122 | PHP | Bank of the Philippine Islands |
187,918 | |||||
3,100 | Chubb, Ltd.µ |
633,671 | ||||||
3,200 | JPY | Concordia Financial Group, Ltd. |
14,609 | |||||
29,304 | AED | First Abu Dhabi Bank, PJSC |
116,789 | |||||
16,950 | MXN | Grupo Financiero Banorte, SAB de CV - Class O |
160,724 | |||||
5,095 | KRW | Hana Financial Group, Inc. |
157,005 | |||||
85,273 | INR | HDFC Bank, Ltd. |
1,710,704 | |||||
11,210 | ICICI Bank, Ltd. (ADR) |
275,430 | ||||||
35,025 | Itau Unibanco Holding, SA (ADR) |
210,500 | ||||||
7,700 | INR | Jio Financial Services, Ltd. |
24,486 | |||||
3,425 | JPMorgan Chase & Company |
541,013 | ||||||
42,800 | THB | Kasikornbank PCL |
158,332 | |||||
1,170,000 | GBP | Lloyds Banking Group, PLCµ |
675,964 | |||||
11,725 | Morgan Stanleyµ |
1,073,541 | ||||||
20,860 | EUR | National Bank of Greece, SA# |
143,657 | |||||
48,500 | HKD | Ping An Insurance Group Company of China, Ltd. - Class Hµ |
353,407 | |||||
9,190 | AUD | Steadfast Group, Ltd. |
36,055 | |||||
3,910 | Visa, Inc. - Class Aµ |
929,524 | ||||||
10,945 | Wells Fargo & Companyµ |
505,221 | ||||||
|
|
| ||||||
12,977,250 | ||||||||
|
|
| ||||||
Health Care (8.2%) | ||||||||
2,100 | INR | Apollo Hospitals Enterprise, Ltd. |
132,493 | |||||
6,125 | GBP | AstraZeneca, PLC |
880,017 | |||||
3,900 | Danaher Corp.µ |
994,734 | ||||||
1,470 | KRW | Dentium Company, Ltd. |
165,781 | |||||
3,900 | Eli Lilly & Companyµ |
1,772,745 | ||||||
1,955 | GBP | Ergomed, PLC# |
27,156 | |||||
3,315 | EUR | Gerresheimer, AGµ |
392,641 | |||||
1,310 | Humana, Inc.µ |
598,447 | ||||||
4,510 | BRL | Hypera, SA |
41,259 |
NUMBER OF SHARES |
VALUE | |||||||
6,030 | Inmode, Ltd.µ# |
$ | 258,747 | |||||
657 | Mallinckrodt, PLC^# |
1,064 | ||||||
14,050 | Novo Nordisk, A/S (ADR) |
2,263,455 | ||||||
555 | SEK | Surgical Science Sweden, AB# |
12,915 | |||||
1,605 | UnitedHealth Group, Inc.µ |
812,724 | ||||||
29,000 | HKD | Wuxi Biologics Cayman, Inc.*µ# |
167,353 | |||||
|
|
| ||||||
8,521,531 | ||||||||
|
|
| ||||||
Industrials (9.9%) | ||||||||
5,700 | EUR | Airbus, SEµ |
839,610 | |||||
1,000 | JPY | BayCurrent Consulting, Inc.µ |
32,295 | |||||
8,800 | CAD | Canadian Pacific Kansas City, Ltd.^ |
724,074 | |||||
2,340 | CNY | Contemporary Amperex Technology Company, Ltd. - Class A |
78,018 | |||||
6,700 | INR | Cummins India, Ltd. |
160,338 | |||||
520 | EUR | DO & CO, AG |
70,266 | |||||
450 | JPY | Ebara Corp. |
21,266 | |||||
800 | JPY | Harmonic Drive Systems, Inc.^ |
22,033 | |||||
6,110 | INR | Hindustan Aeronautics, Ltd. |
294,647 | |||||
2,800 | JPY | INFRONEER Holdings, Inc. |
27,267 | |||||
24,600 | PHP | International Container Terminal Services, Inc. |
97,219 | |||||
507 | EUR | Interpump Group S.p.A^ |
27,585 | |||||
700 | JPY | Japan Airport Terminal Company, Ltd.µ |
32,620 | |||||
1,100 | JPY | Japan Elevator Service Holdings Company, Ltd.µ |
13,604 | |||||
131 | GBP | Judges Scientific, PLC |
15,904 | |||||
20,400 | JPY | Komatsu, Ltd.µ |
571,494 | |||||
7,590 | INR | Larsen & Toubro, Ltd. |
247,712 | |||||
90,880 | GBP | Melrose Industries, PLC |
618,489 | |||||
4,800 | SEK | Munters Group, AB* |
60,924 | |||||
8,700 | CNY | Ningbo Orient Wires & Cables Company, Ltd. - Class A |
56,643 | |||||
9,050 | Quanta Services, Inc.µ |
1,824,661 | ||||||
57,040 | BRL | Randon, SA Implementos e Participacoes |
150,056 | |||||
314,000 | GBP | Rolls-Royce Holdings, PLC# |
744,537 | |||||
39,510 | BRL | Rumo, SA |
194,177 | |||||
44,100 | CNY | Sany Heavy Industry Company, Ltd. - Class A |
109,716 | |||||
6,850 | EUR | Schneider Electric, SEµ |
1,221,848 | |||||
14,700 | CNY | Shanghai International Airport Company, Ltd. - Class A# |
97,716 | |||||
4,010 | INR | Siemens, Ltd. |
194,128 | |||||
1,590 | JPY | Sojitz Corp.µ |
37,750 | |||||
710 | CAD | Stantec, Inc.^µ |
48,082 | |||||
1,400 | JPY | THK Company, Ltd.µ |
28,067 | |||||
6,900 | EUR | Vinci, SAµ |
810,387 | |||||
4,950 | Waste Management, Inc.µ |
810,761 | ||||||
|
|
| ||||||
10,283,894 | ||||||||
|
|
| ||||||
Information Technology (22.8%) | ||||||||
2,000 | Accenture, PLC - Class Aµ |
632,700 | ||||||
13,710 | TWD | Accton Technology Corp. |
167,267 | |||||
1,300 | JPY | Advantest Corp.µ |
179,803 | |||||
3,875 | TWD | Alchip Technologies, Ltd. |
246,647 | |||||
122 | EUR | Alten, SAµ |
17,572 | |||||
1,600 | JPY | Appier Group, Inc.# |
19,038 | |||||
11,495 | Apple, Inc.µ |
2,258,193 | ||||||
3,710 | ASML Holding, NVµ |
2,657,881 | ||||||
185 | EUR | BE Semiconductor Industries, NVµ |
22,089 | |||||
1,600 | Cadence Design Systems, Inc.µ# |
374,416 |
See accompanying Notes to Schedule of Investments | ||
10 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
NUMBER OF SHARES |
VALUE | |||||||
10,000 | TWD | E Ink Holdings, Inc. |
$ | 71,718 | ||||
|
185 |
EUR |
Elmos Semiconductor SE |
16,478 | ||||
955 | EUR | Exclusive Networks, SA# |
20,382 | |||||
4,150 | SEK | Fortnox, AB |
25,472 | |||||
12,700 | CNY | Foxconn Industrial Internet Company, Ltd. - Class A |
39,775 | |||||
2,885 | TWD | Global Unichip Corp. |
150,899 | |||||
515 | KRW | HPSP Company, Ltd. |
15,050 | |||||
395 | JPY | Ibiden Company, Ltd.µ |
24,008 | |||||
4,100 | CNY | Iflytek Company, Ltd. - Class A |
36,096 | |||||
3,000 | JPY | Keyence Corp.µ |
1,346,226 | |||||
327 | CAD | Kinaxis, Inc.µ# |
44,401 | |||||
73,000 | HKD | Kingdee International Software Group Company, Ltd.µ# |
128,047 | |||||
8,900 | KRW | Koh Young Technology, Inc. |
96,569 | |||||
24,220 | INR | KPIT Technologies, Ltd. |
320,068 | |||||
5,000 | TWD | MediaTek, Inc. |
110,024 | |||||
8,780 | Microsoft Corp.µ |
2,949,378 | ||||||
7,500 | NVIDIA Corp.µ |
3,504,675 | ||||||
13,200 | Oracle Corp.µ |
1,547,436 | ||||||
2,000 | GBP | Sage Group, PLC |
24,057 | |||||
5,480 | KRW | Samsung Electronics Company, Ltd. |
300,044 | |||||
300 | JPY | SCREEN Holdings Company, Ltd. |
32,415 | |||||
2,700 | JPY | SHIFT, Inc.µ# |
638,705 | |||||
3,010 | KRW | SK Hynix, Inc. |
291,503 | |||||
203,000 | TWD | Taiwan Semiconductor Manufacturing Company, Ltd. |
3,665,692 | |||||
6,890 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) |
683,143 | ||||||
18,925 | BRL | TOTVS, SA |
118,342 | |||||
16,000 | TWD | Unimicron Technology Corp. |
94,461 | |||||
15,520 | Unity Software, Inc.µ# |
711,437 | ||||||
24,000 | CNY | Venustech Group, Inc. - Class A |
98,363 | |||||
1,900 | CNY | Zhongji Innolight Company, Ltd. - Class A |
34,083 | |||||
|
|
| ||||||
23,714,553 | ||||||||
|
|
| ||||||
Materials (1.2%) | ||||||||
5,479 | Cemex, SAB de CV# |
41,750 | ||||||
640 | CAD | ERO Copper Corp.µ# |
15,385 | |||||
55,150 | AED | Fertiglobe, PLC |
53,739 | |||||
15,350 | Freeport-McMoRan, Inc. |
685,377 | ||||||
5,575 | ZAR | Sasol, Ltd. |
77,839 | |||||
955 | EUR | SOL S.p.A |
26,966 | |||||
5,250 | Vale, SA (ADR) |
76,808 | ||||||
174,000 | HKD | Zijin Mining Group Company Ltd.- Class Hµ |
300,520 | |||||
|
|
| ||||||
1,278,384 | ||||||||
|
|
| ||||||
Real Estate (0.6%) | ||||||||
179,500 | PHP | Ayala Land, Inc. |
89,634 | |||||
122,460 | MXN | Corp. Inmobiliaria Vesta SAB de CV |
443,986 | |||||
22,080 | INR | DLF, Ltd. |
139,018 | |||||
135 | EUR | VGP, NV |
14,413 | |||||
|
|
| ||||||
687,051 | ||||||||
|
|
| ||||||
Special Purpose Acquisition Company (0.0%) |
| |||||||
518 | Intelsat Emergence, SA&# |
11,914 | ||||||
|
|
| ||||||
TOTAL COMMON STOCKS (Cost $92,809,633) |
85,496,724 | |||||||
|
|
|
NUMBER OF SHARES |
VALUE | |||||||
PREFERRED STOCKS (0.1%) |
||||||||
Consumer Discretionary (0.0%) | ||||||||
305 | Guitar Center, Inc.& |
$ | 38,888 | |||||
|
|
| ||||||
Energy (0.1%) | ||||||||
1,675 | NuStar Energy, LP |
40,669 | ||||||
760 | NuStar Energy, LP |
19,425 | ||||||
2,270 | NuStar Logistics, LP |
59,633 | ||||||
|
|
| ||||||
119,727 | ||||||||
|
|
| ||||||
TOTAL PREFERRED STOCKS (Cost $149,952) |
158,615 | |||||||
|
|
| ||||||
EXCHANGE-TRADED FUNDS (1.2%) |
||||||||
Other (1.2%) | ||||||||
45,865 | Invesco Senior Loan ETF^ |
963,165 | ||||||
6,150 | iShares MSCI Saudi Arabia ETF^ |
258,731 | ||||||
|
|
| ||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,322,412) |
1,221,896 | |||||||
|
|
| ||||||
CONVERTIBLE PREFERRED STOCKS (0.9%) |
||||||||
Energy (0.0%) | ||||||||
1 | Gulfport Energy Corp.& |
7,375 | ||||||
|
|
| ||||||
Utilities (0.9%) | ||||||||
NextEra Energy, Inc. |
||||||||
10,000 | 6.219%, 09/01/23 |
495,000 | ||||||
8,700 | 6.926%, 09/01/25 |
397,851 | ||||||
|
|
| ||||||
892,851 | ||||||||
|
|
| ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $968,140) |
900,226 | |||||||
|
|
| ||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
VALUE | |||||||
PURCHASED OPTIONS (0.6%) # |
||||||||
Communication Services (0.0%) | ||||||||
|
28 436,772 |
|
Baidu, Inc. |
47,740 | ||||
|
|
| ||||||
Consumer Discretionary (0.1%) | ||||||||
|
585 661,050 |
|
Arcos Dorados Holdings, Inc. |
23,400 | ||||
|
100 428,000 |
|
Li Auto, Inc. |
54,250 | ||||
|
|
| ||||||
77,650 | ||||||||
|
|
|
See accompanying Notes to Schedule of Investments | ||
11 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
NUMBER OF NOTIONAL AMOUNT |
VALUE | |||||||
Energy (0.0%) |
||||||||
|
60 350,040 |
|
Schlumberger, NV |
$ | 22,200 | |||
|
|
| ||||||
Information Technology (0.0%) | ||||||||
|
9 420,561 |
|
NVIDIA Corp. |
38,745 | ||||
|
|
| ||||||
Materials (0.1%) | ||||||||
|
870 662,940 |
|
Cemex, Sab De CV |
52,200 | ||||
|
|
| ||||||
Other (0.4%) | ||||||||
|
345 847,665 |
|
ICICI Bank, Ltd. |
64,688 | ||||
|
135 579,285 |
|
Inmode, Ltd. |
41,175 | ||||
|
595 22,828,960 |
|
Invesco QQQ Trust Series 1 |
171,062 | ||||
|
700 5,212,200 |
|
iShares MSCI EAFE ETF |
12,950 | ||||
|
285 1,925,745 |
|
iShares MSCI South Korea ETF |
71,250 | ||||
|
220 10,071,380 |
|
SPDR S&P 500 ETF Trust |
35,530 | ||||
|
|
| ||||||
396,655 | ||||||||
|
|
| ||||||
TOTAL PURCHASED OPTIONS (Cost $1,954,977) |
635,190 | |||||||
|
|
| ||||||
|
TOTAL INVESTMENTS (137.9%) (Cost $155,332,202) |
143,596,684 | ||||||
|
|
| ||||||
|
MANDATORY REDEEMABLE PREFERRED SHARES, AT LIQUIDATION VALUE (-16.3%) |
(17,000,000) | ||||||
|
|
| ||||||
LIABILITIES, LESS OTHER ASSETS (-21.6%) | (22,470,972) | |||||||
|
|
| ||||||
NET ASSETS (100.0%) | $ | 104,125,712 | ||||||
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
* | Securities issued and sold pursuant to a Rule 144A transaction are exempted 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. |
@ | In default status and considered non-income producing. |
& | Illiquid security. |
| Variable rate security. The rate shown is the rate in effect at July 31, 2023. |
^ | Security, or portion of security, is on loan. |
µ | Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $52,513,441. |
¡ | Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown. |
! | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. |
# | Non-income producing security. |
~ | Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options. The aggregate value of such securities is $673,515. |
FOREIGN CURRENCY ABBREVIATIONS
AED |
UAE Dirham | |
AUD |
Australian Dollar | |
BRL |
Brazilian Real | |
CAD |
Canadian Dollar | |
CHF |
Swiss Franc | |
CNY |
Chinese Yuan Renminbi | |
EUR |
European Monetary Unit | |
GBP |
British Pound Sterling | |
HKD |
Hong Kong Dollar | |
IDR |
Indonesian Rupiah | |
INR |
Indian Rupee | |
JPY |
Japanese Yen | |
KRW |
South Korean Won | |
MXN |
Mexican Peso | |
PHP |
Philippine Peso | |
PLN |
Polish Zloty | |
SEK |
Swedish Krona | |
THB |
Thai Baht | |
TWD |
New Taiwan Dollar | |
ZAR |
South African Rand |
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
See accompanying Notes to Schedule of Investments | ||
12 |
Calamos Global Total Return Fund | ||
SCHEDULE OF INVESTMENTS JULY 31, 2023 (UNAUDITED) |
CURRENCY EXPOSURE JULY 31, 2023
|
||||||||
Value | |
% of Total Investments |
| |||||
|
||||||||
US Dollar |
$ | 93,215,815 | 64.9% | |||||
European Monetary Unit |
11,351,365 | 7.9% | ||||||
Hong Kong Dollar |
8,805,966 | 6.1% | ||||||
Japanese Yen |
5,832,280 | 4.1% | ||||||
British Pound Sterling |
4,710,110 | 3.3% | ||||||
New Taiwan Dollar |
4,506,708 | 3.1% | ||||||
Indian Rupee |
4,310,383 | 3.0% | ||||||
Canadian Dollar |
2,817,466 | 2.0% | ||||||
South Korean Won |
1,222,272 | 0.9% | ||||||
Chinese Yuan Renminbi |
1,075,466 | 0.7% | ||||||
Brazilian Real |
1,063,639 | 0.7% | ||||||
Mexican Peso |
958,370 | 0.7% | ||||||
Indonesian Rupiah |
936,396 | 0.7% | ||||||
Australian Dollar |
740,361 | 0.5% | ||||||
Swiss Franc |
722,863 | 0.5% | ||||||
Philippine Peso |
407,831 | 0.3% | ||||||
Thai Baht |
333,084 | 0.2% | ||||||
UAE Dirham |
216,530 | 0.1% | ||||||
Polish Zloty |
192,629 | 0.1% | ||||||
Swedish Krona |
99,311 | 0.1% | ||||||
South African Rand |
77,839 | 0.1% | ||||||
|
|
|||||||
Total Investments |
$ | 143,596,684 | 100.0% |
Currency exposure may vary over time.
See accompanying Notes to Schedule of Investments | ||
13 |
Notes to Schedule of Investments (Unaudited)
Note 1 Organization and Significant Accounting Policies
Organization. Calamos Global Total Return (the Fund, or Trust) was organized as a Delaware statutory trust on March 30, 2004 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 October 27, 2005.
The Funds investment strategy is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest primarily in a portfolio of common and preferred stocks, convertible securities and income producing securities such as investment grade and below investment grade (high yield/high risk) debt securities. Under normal circumstances, the Fund will invest at least 50% of its managed assets in equity securities (including securities that are convertible into equity securities). The Fund may invest up to 100% of its managed assets in securities of foreign issuers, including debt and equity securities of corporate issuers and debt securities of government issuers, in developed and emerging markets. Under normal circumstances, the Fund will invest at least 40% of its managed assets in securities of foreign issuers. Managed assets means the Funds total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).
Significant Accounting Policies. The Schedule of Investments has been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP) and the Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:
Fund Valuation. The Trusts Board of Trustees, including a majority of the Trustees who are not interested persons of the Trust, have designated Calamos Advisors LLC (Calamos Advisors, or the Advisor) to perform fair valuation determinations related to all Fund investments under the oversight of the Board. As valuation designee the Calamos Advisors has adopted procedures to guide the determination of the NAV on any day on which the Funds NAVs are determined. The valuation of the Funds investments is in accordance with these procedures.
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time the 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 on its principal exchange in accordance with guidelines adopted by the Board of Trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the Board of Trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the Board of Trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the Board of Trustees.
Fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (NYSE) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the Board of Trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the 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 Funds NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee.
The Fund also may use fair value pricing, pursuant to guidelines adopted by Calamos Advisors, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Funds pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by Calamos Advisors, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by the Fund to calculate its NAV may differ from market quotations or official closing prices. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Funds net asset value (NAV).
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of
premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
Note 2 Investments
The cost basis of investments for federal income tax purposes at July 31, 2023 was as follows*:
Cost basis of investments |
$155,332,202 | |||
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Gross unrealized appreciation |
4,081,336 | |||
Gross unrealized depreciation |
(15,816,854) | |||
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|
|||
Net unrealized appreciation (depreciation) |
$(11,735,518) | |||
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* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal years federal income tax information, please refer to the Notes to Financial Statements section in the Funds most recent semi-annual or annual report.
Note 3 Mandatory Redeemable Preferred Shares
The Fund has MRPS issued with an aggregate liquidation preference of $17,000,000, divided into four series with different mandatory redemption dates and dividend rates.
The table below summarizes the key terms of each series of the MRPS at July 31, 2023.
Series | Term Redemption Date |
Dividend Rate | Shares (000s) | Liquidation Preference Per Share | Aggregate Liquidation Preference | |||||
Series B |
9/06/24 | 4.00% | 160 | $25 | $4,000,000 | |||||
Series C |
9/06/27 | 4.24% | 160 | $25 | $4,000,000 | |||||
Series D |
8/24/26 | 2.45% | 200 | $25 | $5,000,000 | |||||
Series E |
5/24/27 | 2.68% | 160 | $25 | $4,000,000 | |||||
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Total | $17,000,000 | |||||||||
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On September 6, 2022, $4,000,000 of Series A MRPS were redeemed at $25.01 per share.
The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.
During the period ended July 31, 2023, all MRPS were rated `AA- by Kroll Bond Rating Agency LLC (KBRA). If the ratings of the MRPS are downgraded, the Funds dividend expense may increase, as described below.
Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated AA- by KBRA. If on the first day of a monthly dividend period the MRPS of any class are rated lower than A by KBRA, the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares within the Statement of Operations.
With regard to the Series B and C MRPS, so long as any MRPS are outstanding, the Fund will not declare, pay or set apart for payment any dividend or other distribution (other than non-cash distributions) with respect to Fund shares ranking junior to or on parity with the MRPS, unless (1) the Fund has satisfied the MRPS Overcollateralization Test (as defined below) on at least one valuation date in the preceding 65 calendar days, (2) immediately after such transaction the Fund would satisfy the MRPS Asset Coverage Test (as defined below), (3) full cumulative dividends on the MRPS due on or prior to the date of the transaction have been declared and paid to the holders of MRPS and (4) the Fund has redeemed the full number of MRPS required to be redeemed by any provision for mandatory redemption or deposited sufficient monies with the Funds paying agent for that purpose, subject to certain grace periods and exceptions.
MRPS Asset Coverage Test: Asset coverage with respect to all outstanding senior securities and preferred shares, including the MRPS, determined in accordance with Section 18(h) of the 1940 Act, on the basis of values calculated as of a time within 48 hours (not including Sundays or holidays) next preceding the time of determination, must be greater than or equal to 225%.
MRPS Overcollateralization Test: So long as Fitch or any other NSRSO, such as KBRA, is then rating any class of the outstanding MRPS pursuant to the request of the Fund, satisfaction of only those overcollateralization ratios applicable to closed-end fund issuers with the same rating(s) as the Funds MRPS then-current rating(s) issued by Fitch or such other NSRSO, such as KBRA, by application of the applicable rating agency guidelines.
With regard to Series D and E MRPS, for so long as any MRPS are Outstanding, the Fund will not declare, pay or set apart for payment any dividend or other distribution (other than a dividend or distribution paid in shares of, or options, warrants or rights to subscribe for or purchase, Common Shares or other shares of beneficial interest, if any, ranking junior to the MRPS as to dividends or upon liquidation (collectively non-cash distributions) with respect to Common Shares or any other shares of the Series or Fund ranking junior to or on a parity with the MRPS as to dividends or upon liquidation, or call for redemption, redeem, purchase or otherwise acquire for consideration any Common Shares or any other such junior shares (except by conversion into or exchange for shares of the Fund ranking junior to the MRPS as to dividends and upon liquidation) or any such parity shares (except by conversion into or exchange for shares of the Fund ranking junior to or on a parity with the MRPS as to dividends and upon liquidation), unless (1) immediately after such transaction the Fund would satisfy the MRPS Asset Coverage Test, (2) full cumulative dividends on the MRPS due on or prior to the date of the transaction have been declared and paid to the Holders of MRPS, and (3) the Fund has redeemed the full number of MRPS required to be redeemed by any provision for mandatory redemption contained in Section 3(a) or deposited sufficient monies with the Paying Agent for that purpose (without regard to the provisions of the Special Proviso); provided that the Fund may make any distributions reasonably necessary for the Fund to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and to avoid excise tax under Section 4982
of the Internal Revenue Code (Tax Required Payments). For the avoidance of doubt, any such Tax Required Payments would only be paid to holders of Common Shares after full cumulative dividends due on or prior to the date of the applicable distribution and any mandatory redemptions occurring on or prior to the date of the applicable distribution have been paid to the holders of MRPS.
Except as otherwise required pursuant to the Funds governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.