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 |
ITEM 1. | SCHEDULE OF INVESTMENTS JULY 31, 2009 (UNAUDITED) |
PRINCIPAL |
||||||||
AMOUNT | VALUE | |||||||
CORPORATE BONDS
(36.4%)
|
||||||||
Consumer Discretionary (7.2%) | ||||||||
4,920,000 |
Asbury Automotive Group, Inc. 8.000%, 03/15/14 |
$ | 4,305,000 | |||||
3,936,000 |
DIRECTV Financing Company, Inc. 8.375%, 03/15/13 |
4,039,320 | ||||||
15,253,000 |
DISH Network Corp.µ 7.125%, 02/01/16 |
14,871,675 | ||||||
17,713,000 |
Expedia,
Inc.~ 7.460%, 08/15/18 |
17,713,000 | ||||||
14,761,000 |
General Motors Corp.** 7.200%, 01/15/11 |
2,214,150 | ||||||
16,729,000 |
Hanesbrands, Inc.µ 4.593%, 12/15/14 |
14,219,650 | ||||||
4,133,000 |
Jarden Corp. 7.500%, 05/01/17 |
3,988,345 | ||||||
3,191,000 |
Kellwood Company 7.625%, 10/15/17 |
1,061,007 | ||||||
4,920,000 |
Liberty Media Corp. 8.250%, 02/01/30 |
3,567,000 | ||||||
6,396,000 |
Mandalay Resort Group 7.625%, 07/15/13 |
3,773,640 | ||||||
4,807,000 |
MGM Mirage 7.500%, 06/01/16 |
3,533,145 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
12,793,000 | 7.500%, 10/15/27µ | 8,891,135 | ||||||
3,936,000 | 7.250%, 06/15/16~ | 3,266,880 | ||||||
8,857,000 |
Service Corp. International 6.750%, 04/01/16 |
8,325,580 | ||||||
2,460,000 | GBP |
Warner Music Group Corp. 8.125%, 04/15/14 |
2,979,248 | |||||
96,748,775 | ||||||||
Consumer Staples (4.0%) | ||||||||
11,563,000 |
Chiquita Brands International, Inc.µ 7.500%, 11/01/14 |
10,609,053 | ||||||
6,396,000 |
Del Monte Foods Company 8.625%, 12/15/12 |
6,555,900 | ||||||
10,825,000 |
NBTY, Inc.µ 7.125%, 10/01/15 |
10,446,125 | ||||||
Pilgrims Pride Corp.** | ||||||||
11,809,000 | 8.375%, 05/01/17 | 9,860,515 | ||||||
5,904,000 | 7.625%, 05/01/15 | 5,475,960 | ||||||
14,761,000 |
Smithfield Foods, Inc.µ 7.750%, 07/01/17 |
11,144,555 | ||||||
54,092,108 | ||||||||
Energy (4.8%) | ||||||||
Chesapeake Energy Corp. | ||||||||
6,888,000 | 6.875%, 01/15/16 | 6,509,160 | ||||||
3,936,000 | 7.500%, 06/15/14 | 3,906,480 | ||||||
1,968,000 |
Dresser-Rand Group, Inc. 7.375%, 11/01/14 |
1,918,800 | ||||||
2,952,000 |
GulfMark Offshore, Inc. 7.750%, 07/15/14 |
2,774,880 | ||||||
Mariner Energy, Inc. | ||||||||
6,888,000 | 8.000%, 05/15/17 | 6,027,000 | ||||||
2,952,000 | 11.750%, 06/30/16 | 3,099,600 | ||||||
4,920,000 |
Petrohawk Energy Corp. 7.125%, 04/01/12 |
4,858,500 | ||||||
2,952,000 |
Pride International, Inc. 8.500%, 06/15/19 |
3,173,400 | ||||||
4,920,000 |
Superior Energy Services, Inc. 6.875%, 06/01/14 |
4,674,000 | ||||||
1,968,000 |
Valero Energy
Corp.~ 7.500%, 06/15/15 |
2,020,772 | ||||||
6,377,000 |
Whiting Petroleum Corp. 7.250%, 05/01/12 |
6,440,770 | ||||||
19,681,000 |
Williams Companies, Inc. 7.750%, 06/15/31 |
20,028,960 | ||||||
65,432,322 | ||||||||
Financials (6.7%) | ||||||||
42,315,000 |
Ford Motor Credit Company, LLCµ 9.875%, 08/10/11 |
41,946,563 | ||||||
Leucadia National Corp. | ||||||||
16,375,000 | 8.125%, 09/15/15~ | 15,842,813 | ||||||
10,825,000 | 7.000%, 08/15/13µ | 10,419,062 | ||||||
17,713,000 |
Nuveen Investments, Inc.* 10.500%, 11/15/15 |
12,664,795 | ||||||
10,333,000 |
Senior Housing Properties
Trust~ 8.625%, 01/15/12 |
10,333,000 | ||||||
91,206,233 | ||||||||
Health Care (0.9%) | ||||||||
2,214,000 |
Bio-Rad Laboratories,
Inc.~ 7.500%, 08/15/13 |
2,258,280 | ||||||
10,825,000 |
Psychiatric Solutions, Inc.µ 7.750%, 07/15/15 |
10,310,812 | ||||||
12,569,092 | ||||||||
Industrials (2.0%) | ||||||||
2,952,000 |
BE Aerospace,
Inc.~ 8.500%, 07/01/18 |
2,944,620 | ||||||
2,214,000 |
Belden, Inc. 7.000%, 03/15/17 |
1,959,390 | ||||||
4,920,000 |
Gardner Denver, Inc. 8.000%, 05/01/13 |
4,489,500 | ||||||
4,458,000 |
H&E Equipment Service, Inc. 8.375%, 07/15/16 |
3,767,010 | ||||||
3,405,000 |
SPX Corp. 7.625%, 12/15/14 |
3,405,000 | ||||||
1,968,000 |
Terex Corp. 8.000%, 11/15/17 |
1,638,360 | ||||||
5,658,000 |
Trinity Industries, Inc. 6.500%, 03/15/14 |
5,120,490 |
PRINCIPAL |
||||||||
AMOUNT | VALUE | |||||||
4,920,000 |
Wesco Distribution, Inc. 7.500%, 10/15/17 |
$ | 3,960,600 | |||||
27,284,970 | ||||||||
Information Technology (3.6%) | ||||||||
12,077,000 |
Advanced Micro Devices, Inc. 7.750%, 11/01/12 |
9,450,252 | ||||||
Amkor Technology, Inc. | ||||||||
15,745,000 | 9.250%, 06/01/16µ | 16,138,625 | ||||||
1,122,000 | 7.750%, 05/15/13 | 1,093,950 | ||||||
6,396,000 |
Freescale Semiconductor, Inc. 8.875%, 12/15/14 |
4,317,300 | ||||||
3,936,000 |
Jabil Circuit, Inc. 8.250%, 03/15/18 |
3,876,960 | ||||||
7,164,000 |
Lender Processing Services, Inc. 8.125%, 07/01/16 |
7,271,460 | ||||||
1,968,000 |
Lexmark International,
Inc.~ 6.650%, 06/01/18 |
1,810,590 | ||||||
4,822,000 |
SunGard Data Systems, Inc. 9.125%, 08/15/13 |
4,942,550 | ||||||
48,901,687 | ||||||||
Materials (2.5%) | ||||||||
1,968,000 |
Allegheny Technologies, Inc. 9.375%, 06/01/19 |
2,159,839 | ||||||
2,952,000 |
Century Aluminum Company 7.500%, 08/15/14 |
2,162,340 | ||||||
2,660,000 |
Nalco Holding Company* 8.250%, 05/15/17 |
2,779,700 | ||||||
2,952,000 |
P.H. Glatfelter Company 7.125%, 05/01/16 |
2,760,120 | ||||||
2,992,000 |
Silgan Holdings, Inc.* 7.250%, 08/15/16 |
3,006,960 | ||||||
Union Carbide Corp.~ | ||||||||
10,775,000 | 7.875%, 04/01/23 | 8,268,250 | ||||||
8,512,000 | 7.500%, 06/01/25 | 6,340,546 | ||||||
7,233,000 |
Westlake Chemical Corp. 6.625%, 01/15/16 |
6,690,525 | ||||||
34,168,280 | ||||||||
Telecommunication Services (3.9%) | ||||||||
17,418,000 |
Frontier Communications Corp.µ 9.000%, 08/15/31 |
16,111,650 | ||||||
17,713,000 |
Leap Wireless International, Inc.µ 9.375%, 11/01/14 |
18,067,260 | ||||||
14,298,000 |
Qwest Communications International, Inc.µ 7.750%, 02/15/31 |
11,080,950 | ||||||
4,920,000 |
Syniverse Technologies, Inc. 7.750%, 08/15/13 |
4,501,800 | ||||||
2,952,000 |
Windstream Corp. 8.625%, 08/01/16 |
3,011,040 | ||||||
52,772,700 | ||||||||
Utilities (0.8%) | ||||||||
13,777,000 |
Energy Future Holdings Corp. 10.250%, 11/01/15 |
10,883,830 | ||||||
TOTAL CORPORATE BONDS (Cost $564,423,940) |
494,059,997 | |||||||
CONVERTIBLE BONDS
(15.2%)
|
||||||||
Consumer Discretionary (5.2%) | ||||||||
40,000,000 |
Ford Motor Companyµ 4.250%, 12/15/36 |
43,050,000 | ||||||
7,000,000 |
General Motors Corp. - Class C** 6.250% 07/15/33 |
857,500 | ||||||
12,000,000 |
Interpublic Group of Companies, Inc.µ 4.750%, 03/15/23 |
10,845,000 | ||||||
15,000,000 |
Liberty Media Corp. (Time Warner, Inc., Time Warner
Cable)µΔ 3.125%, 03/30/23 |
13,181,250 | ||||||
5,680,000 |
Liberty Media Corp. (Viacom and CBS Corp. - Class B)Δ 3.250%, 03/15/31 |
2,385,600 | ||||||
70,319,350 | ||||||||
Energy (0.5%) | ||||||||
8,290,000 |
St. Mary Land & Exploration Company 3.500%, 04/01/27 |
7,347,013 | ||||||
Financials (1.2%) | ||||||||
14,000,000 |
Affiliated Managers Group,
Inc.*~ 3.950%, 08/15/38 |
12,530,000 | ||||||
3,970,000 |
Health Care REIT,
Inc.~ 4.750%, 07/15/27 |
4,094,062 | ||||||
16,624,062 | ||||||||
Industrials (2.7%) | ||||||||
25,597,000 |
L-3 Communications Holdings, Inc.µ 3.000%, 08/01/35 |
25,788,977 | ||||||
18,000,000 |
Trinity Industries, Inc. 3.875%, 06/01/36 |
10,777,500 | ||||||
36,566,477 | ||||||||
Information Technology (5.4%) | ||||||||
16,000,000 |
Euronet Worldwide, Inc.µ 3.500%, 10/15/25 |
14,520,000 | ||||||
31,500,000 |
Intel
Corp.~ 2.950%, 12/15/35 |
27,641,250 | ||||||
33,900,000 |
Linear Technology Corp.µ 3.000%, 05/01/27 |
31,188,000 | ||||||
73,349,250 | ||||||||
Materials (0.2%) | ||||||||
2,000,000 |
Newmont Mining Corp.µ 3.000%, 02/15/12 |
2,322,500 | ||||||
TOTAL CONVERTIBLE BONDS (Cost $247,554,191) |
206,528,652 | |||||||
PRINCIPAL |
||||||||
AMOUNT | VALUE | |||||||
SYNTHETIC CONVERTIBLE SECURITIES
(0.6%)
|
||||||||
Corporate Bonds
(0.6%)
|
||||||||
Consumer Discretionary (0.1%) | ||||||||
80,000 |
Asbury Automotive Group, Inc. 8.000%, 03/15/14 |
$ | 70,000 | |||||
64,000 |
DIRECTV Financing Company, Inc. 8.375%, 03/15/13 |
65,680 | ||||||
247,000 |
DISH Network Corp.µ 7.125%, 02/01/16 |
240,825 | ||||||
287,000 |
Expedia,
Inc.~ 7.460%, 08/15/18 |
287,000 | ||||||
239,000 |
General Motors Corp.** 7.200%, 01/15/11 |
35,850 | ||||||
271,000 |
Hanesbrands, Inc.µ 4.593%, 12/15/14 |
230,350 | ||||||
67,000 |
Jarden Corp. 7.500%, 05/01/17 |
64,655 | ||||||
52,000 |
Kellwood Company 7.625%, 10/15/17 |
17,290 | ||||||
80,000 |
Liberty Media Corp. 8.250%, 02/01/30 |
58,000 | ||||||
104,000 |
Mandalay Resort Group 7.625%, 07/15/13 |
61,360 | ||||||
78,000 |
MGM Mirage 7.500%, 06/01/16 |
57,330 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
207,000 | 7.500%, 10/15/27µ | 143,865 | ||||||
64,000 | 7.250%, 06/15/16~ | 53,120 | ||||||
143,000 |
Service Corp. International 6.750%, 04/01/16 |
134,420 | ||||||
40,000 | GBP |
Warner Music Group Corp. 8.125%, 04/15/14 |
48,443 | |||||
1,568,188 | ||||||||
Consumer Staples (0.1%) | ||||||||
187,000 |
Chiquita Brands International, Inc.µ 7.500%, 11/01/14 |
171,572 | ||||||
104,000 |
Del Monte Foods Company 8.625%, 12/15/12 |
106,600 | ||||||
175,000 |
NBTY, Inc.µ 7.125%, 10/01/15 |
168,875 | ||||||
Pilgrims Pride Corp.** | ||||||||
191,000 | 8.375%, 05/01/17 | 159,485 | ||||||
96,000 | 7.625%, 05/01/15 | 89,040 | ||||||
239,000 |
Smithfield Foods, Inc.µ 7.750%, 07/01/17 |
180,445 | ||||||
876,017 | ||||||||
Energy (0.1%) | ||||||||
Chesapeake Energy Corp. | ||||||||
112,000 | 6.875%, 01/15/16 | 105,840 | ||||||
64,000 | 7.500%, 06/15/14 | 63,520 | ||||||
32,000 |
Dresser-Rand Group, Inc. 7.375%, 11/01/14 |
31,200 | ||||||
48,000 |
GulfMark Offshore, Inc. 7.750%, 07/15/14 |
45,120 | ||||||
Mariner Energy, Inc. | ||||||||
112,000 | 8.000%, 05/15/17 | 98,000 | ||||||
48,000 | 11.750%, 06/30/16 | 50,400 | ||||||
80,000 |
Petrohawk Energy Corp. 7.125%, 04/01/12 |
79,000 | ||||||
48,000 |
Pride International, Inc. 8.500%, 06/15/19 |
51,600 | ||||||
80,000 |
Superior Energy Services, Inc. 6.875%, 06/01/14 |
76,000 | ||||||
32,000 |
Valero Energy
Corp.~ 7.500%, 06/15/15 |
32,858 | ||||||
103,000 |
Whiting Petroleum Corp. 7.250%, 05/01/12 |
104,030 | ||||||
319,000 |
Williams Companies, Inc. 7.750%, 06/15/31 |
324,640 | ||||||
1,062,208 | ||||||||
Financials (0.1%) | ||||||||
685,000 |
Ford Motor Credit Company, LLCµ 9.875%, 08/10/11 |
679,036 | ||||||
Leucadia National Corp. | ||||||||
265,000 | 8.125%, 09/15/15~ | 256,387 | ||||||
175,000 | 7.000%, 08/15/13µ | 168,438 | ||||||
287,000 |
Nuveen Investments, Inc.* 10.500%, 11/15/15 |
205,205 | ||||||
167,000 |
Senior Housing Properties
Trust~ 8.625%, 01/15/12 |
167,000 | ||||||
1,476,066 | ||||||||
Health Care (0.0%) | ||||||||
36,000 |
Bio-Rad Laboratories,
Inc.~ 7.500%, 08/15/13 |
36,720 | ||||||
175,000 |
Psychiatric Solutions, Inc.µ 7.750%, 07/15/15 |
166,688 | ||||||
203,408 | ||||||||
Industrials (0.0%) | ||||||||
48,000 |
BE Aerospace,
Inc.~ 8.500%, 07/01/18 |
47,880 | ||||||
36,000 |
Belden, Inc. 7.000%, 03/15/17 |
31,860 | ||||||
80,000 |
Gardner Denver, Inc. 8.000%, 05/01/13 |
73,000 | ||||||
72,000 |
H&E Equipment Service, Inc. 8.375%, 07/15/16 |
60,840 | ||||||
55,000 |
SPX Corp. 7.625%, 12/15/14 |
55,000 | ||||||
32,000 |
Terex Corp. 8.000%, 11/15/17 |
26,640 | ||||||
92,000 |
Trinity Industries, Inc. 6.500%, 03/15/14 |
83,260 |
PRINCIPAL |
||||||||
AMOUNT | VALUE | |||||||
80,000 |
Wesco Distribution, Inc. 7.500%, 10/15/17 |
$ | 64,400 | |||||
442,880 | ||||||||
Information Technology (0.1%) | ||||||||
196,000 |
Advanced Micro Devices, Inc. 7.750%, 11/01/12 |
153,370 | ||||||
Amkor Technology, Inc. | ||||||||
255,000 | 9.250%, 06/01/16µ | 261,375 | ||||||
18,000 | 7.750%, 05/15/13 | 17,550 | ||||||
104,000 |
Freescale Semiconductor, Inc. 8.875%, 12/15/14 |
70,200 | ||||||
64,000 |
Jabil Circuit, Inc. 8.250%, 03/15/18 |
63,040 | ||||||
116,000 |
Lender Processing Services, Inc. 8.125%, 07/01/16 |
117,740 | ||||||
32,000 |
Lexmark International,
Inc.~ 6.650%, 06/01/18 |
29,440 | ||||||
78,000 |
SunGard Data Systems, Inc. 9.125%, 08/15/13 |
79,950 | ||||||
792,665 | ||||||||
Materials (0.0%) | ||||||||
32,000 |
Allegheny Technologies, Inc. 9.375%, 06/01/19 |
35,119 | ||||||
48,000 |
Century Aluminum Company 7.500%, 08/15/14 |
35,160 | ||||||
43,000 |
Nalco Holding Company* 8.250%, 05/15/17 |
44,935 | ||||||
48,000 |
P.H. Glatfelter Company 7.125%, 05/01/16 |
44,880 | ||||||
48,000 |
Silgan Holdings, Inc.* 7.250%, 08/15/16 |
48,240 | ||||||
Union Carbide Corp.~ | ||||||||
175,000 | 7.875%, 04/01/23 | 134,287 | ||||||
138,000 | 7.500%, 06/01/25 | 102,796 | ||||||
117,000 |
Westlake Chemical Corp. 6.625%, 01/15/16 |
108,225 | ||||||
553,642 | ||||||||
Telecommunication Services (0.1%) | ||||||||
282,000 |
Frontier Communications Corp.µ 9.000%, 08/15/31 |
260,850 | ||||||
287,000 |
Leap Wireless International, Inc.µ 9.375%, 11/01/14 |
292,740 | ||||||
232,000 |
Qwest Communications International, Inc.µ 7.750%, 02/15/31 |
179,800 | ||||||
80,000 |
Syniverse Technologies, Inc. 7.750%, 08/15/13 |
73,200 | ||||||
48,000 |
Windstream Corp. 8.625%, 08/01/16 |
48,960 | ||||||
855,550 | ||||||||
Utilities (0.0%) | ||||||||
223,000 |
Energy Future Holdings Corp. 10.250%, 11/01/15 |
176,170 | ||||||
TOTAL CORPORATE BONDS | 8,006,794 | |||||||
NUMBER OF |
||||||||
CONTRACTS | VALUE | |||||||
Purchased Options
(0.0%)#
|
||||||||
Consumer Discretionary (0.0%) | ||||||||
Nike, Inc. - Class B | ||||||||
1,470 | Call, 01/16/10, Strike $60.00 | 463,050 | ||||||
1,350 | Call, 01/16/10, Strike $70.00 | 108,000 | ||||||
571,050 | ||||||||
Consumer Staples (0.0%) | ||||||||
2,400 |
Walgreen Company Call, 01/16/10, Strike $32.50 |
348,000 | ||||||
Energy (0.0%) | ||||||||
500 |
Transocean, Ltd. Call, 01/16/10, Strike $160.00 |
1,250 | ||||||
Health Care (0.0%) | ||||||||
1,580 |
Gilead Sciences, Inc. Call, 01/16/10, Strike $55.00 |
252,800 | ||||||
Information Technology (0.0%) | ||||||||
190 |
Apple, Inc. Call, 01/16/10, Strike $170.00 |
238,925 | ||||||
TOTAL PURCHASED OPTIONS | 1,412,025 | |||||||
TOTAL SYNTHETIC CONVERTIBLE SECURITIES (Cost $17,584,126) |
9,418,819 | |||||||
NUMBER OF |
||||||||
SHARES | VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS
(13.8%)
|
||||||||
Consumer Discretionary (1.1%) | ||||||||
20,000 |
Stanley Worksµ 5.125% |
14,430,000 | ||||||
Consumer Staples (2.3%) | ||||||||
470,000 |
Archer Daniels Midland Companyµ 6.250% |
18,541,500 | ||||||
18,000 |
Bunge, Ltd. 5.125% |
12,307,500 | ||||||
30,849,000 | ||||||||
Financials (3.4%) | ||||||||
425,000 |
American International Group, Inc. 8.500% |
3,400,000 | ||||||
43,000 |
Bank of America Corp.µ 7.250% |
36,120,000 | ||||||
14,000 |
SLM Corp. 7.250% |
7,070,000 | ||||||
46,590,000 | ||||||||
NUMBER OF |
||||||||
SHARES | VALUE | |||||||
Health Care (3.4%) | ||||||||
195,000 |
Schering-Plough Corp. 6.000% |
$ | 45,481,800 | |||||
Materials (3.6%) | ||||||||
390,000 |
Freeport-McMoRan Copper & Gold, Inc.µ 6.750% |
35,973,600 | ||||||
2,000 | CHF |
Givaudan, SA 5.375% |
12,480,711 | |||||
48,454,311 | ||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $272,994,470) |
185,805,111 | |||||||
NUMBER OF |
||||||||
UNITS | VALUE | |||||||
STRUCTURED EQUITY-LINKED
SECURITIES (3.1%)*
|
||||||||
Energy (2.5%) | ||||||||
237,000 |
Barclays Capital, Inc. (Noble Corp.) 12.000% 01/29/10 |
8,584,140 | ||||||
213,000 |
BNP Paribas (ENSCO International, Inc.)µ 12.000% 01/29/10 |
8,358,120 | ||||||
285,000 |
Goldman Sachs Group, Inc. (Cameron International Corp.) 12.000% 02/16/10 |
8,846,400 | ||||||
356,000 |
Goldman Sachs Group, Inc.(Halliburton Company) 12.000% 12/23/09 |
8,020,680 | ||||||
33,809,340 | ||||||||
Health Care (0.6%) | ||||||||
245,000 |
Deutsche Bank, AG (Medtronic, Inc.) 11.000% 05/27/10 |
8,513,750 | ||||||
TOTAL STRUCTURED EQUITY-LINKED SECURITIES (Cost $42,459,000) |
42,323,090 | |||||||
PRINCIPAL |
||||||||
AMOUNT | VALUE | |||||||
U.S. GOVERNMENT SECURITY
(0.2%)
|
||||||||
3,200,000 |
United States Treasury Noteµ 3.125%, 11/30/09 (Cost $3,230,894) |
3,230,627 | ||||||
NUMBER OF |
||||||||
SHARES | VALUE | |||||||
COMMON STOCKS (71.0%)
|
||||||||
Consumer Discretionary (5.2%) | ||||||||
102,527 | Amazon.com, Inc.#µ | 8,792,716 | ||||||
800,000 | Carnival Corp.µ | 22,392,000 | ||||||
300,000 | CBS Corp.µ | 2,457,000 | ||||||
400,000 | Harley-Davidson, Inc.µ | 9,040,000 | ||||||
1,086,217 | Walt Disney Companyµ | 27,285,771 | ||||||
69,967,487 | ||||||||
Consumer Staples (6.6%) | ||||||||
1,275,000 | Coca-Cola Companyµ | 63,546,000 | ||||||
250,000 | Kimberly-Clark Corp.µ | 14,612,500 | ||||||
450,000 | Sysco Corp.µ | 10,692,000 | ||||||
88,850,500 | ||||||||
Energy (13.0%) | ||||||||
700,000 | BP, PLCµ | 35,028,000 | ||||||
665,000 | Chevron Corp.µ | 46,197,550 | ||||||
6,500,000 | HKD | CNOOC, Ltd. | 8,648,414 | |||||
775,000 | ConocoPhillipsµ | 33,875,250 | ||||||
100,000 | Diamond Offshore Drilling, Inc. | 8,987,000 | ||||||
575,000 | Marathon Oil Corp.µ | 18,543,750 | ||||||
400,000 | BRL | Petróleo Brasileiro, SA | 8,264,773 | |||||
50,000 | EUR | Technip, SA | 3,026,993 | |||||
150,000 | EUR | TOTAL, SA | 8,319,101 | |||||
125,000 | AUD | Woodside Petroleum, Ltd. | 4,790,887 | |||||
175,681,718 | ||||||||
Financials (6.7%) | ||||||||
500,000 | Bank of America Corp.µ | 7,395,000 | ||||||
8,826,907 | Citigroup, Inc.µ | 27,981,295 | ||||||
1,050,000 | JPMorgan Chase & Companyµ | 40,582,500 | ||||||
158,074 | Lincoln National Corp.µ | 3,349,588 | ||||||
271,950 | MetLife, Inc.µ | 9,232,703 | ||||||
71,676 | Wells Fargo & Companyµ | 1,753,195 | ||||||
90,294,281 | ||||||||
Health Care (15.0%) | ||||||||
1,375,000 | Bristol-Myers Squibb Companyµ | 29,892,500 | ||||||
300,000 | Eli Lilly and Companyµ | 10,467,000 | ||||||
945,000 | Johnson & Johnsonµ | 57,541,050 | ||||||
1,755,000 | Merck & Company, Inc.µ | 52,667,550 | ||||||
3,300,000 | Pfizer, Inc.µ | 52,569,000 | ||||||
203,137,100 | ||||||||
Industrials (8.9%) | ||||||||
312,192 | Avery Dennison Corp.µ | 8,344,892 | ||||||
680,000 | Boeing Companyµ | 29,178,800 | ||||||
3,135,000 | General Electric Companyµ | 42,009,000 | ||||||
480,000 | Honeywell International, Inc.µ | 16,656,000 | ||||||
450,000 | Masco Corp.µ | 6,268,500 | ||||||
335,000 | United Technologies Corp.µ | 18,247,450 | ||||||
120,704,642 | ||||||||
Information Technology (10.3%) | ||||||||
600,000 | eBay, Inc.#µ | 12,750,000 | ||||||
1,787,000 | Intel Corp.µ | 34,399,750 | ||||||
1,625,000 | Microsoft Corp.µ | 38,220,000 | ||||||
300,000 | Nintendo Company, Ltd.µ | 10,080,630 |
NUMBER OF |
||||||||
SHARES | VALUE | |||||||
2,200,000 | Nokia Corp.µ | $ | 29,348,000 | |||||
325,000 | QUALCOMM, Inc.µ | 15,018,250 | ||||||
139,816,630 | ||||||||
Materials (0.6%) | ||||||||
400,000 | Dow Chemical Companyµ | 8,468,000 | ||||||
Telecommunication Services (4.7%) | ||||||||
1,225,000 | AT&T Inc.µ | 32,131,750 | ||||||
450,000 | EUR | France Telecom, SA | 11,224,321 | |||||
639,000 | Verizon Communications, Inc.µ | 20,492,730 | ||||||
63,848,801 | ||||||||
TOTAL COMMON STOCKS (Cost $1,388,572,731) |
960,769,159 | |||||||
SHORT-TERM INVESTMENT
(0.8%)
|
||||||||
10,507,686 |
Fidelity Prime Money Market Fund - Institutional Class (Cost $10,507,686) |
10,507,686 | ||||||
TOTAL INVESTMENTS (141.1%)
(Cost $2,547,327,038) |
1,912,643,141 | |||||||
LIABILITIES, LESS OTHER ASSETS (-41.1%) | (556,781,136 | ) | ||||||
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS (100.0%) | $ | 1,355,862,005 | ||||||
NUMBER OF |
||||||||
CONTRACTS | VALUE | |||||||
WRITTEN OPTIONS
(-2.6%)#
|
||||||||
Financials (-2.6%) | ||||||||
2,000 |
MetLife, Inc. Call, 09/19/09, Strike $25.00 |
(1,840,000 | ) | |||||
SPDR Trust Series 1 | ||||||||
11,600 | Call, 09/19/09, Strike $95.00 | (6,583,000 | ) | |||||
8,700 | Call, 12/19/09, Strike $98.00 | (5,459,250 | ) | |||||
5,850 | Call, 09/19/09, Strike $90.00 | (5,616,000 | ) | |||||
5,850 | Call, 09/19/09, Strike $89.00 | (6,127,875 | ) | |||||
4,500 | Call, 12/19/09, Strike $97.00 | (3,071,250 | ) | |||||
4,250 | Call, 12/19/09, Strike $96.00 | (3,155,625 | ) | |||||
3,500 | Call, 12/19/09, Strike $101.00 | (1,653,750 | ) | |||||
2,500 | Call, 09/19/09, Strike $94.00 | (1,593,750 | ) | |||||
TOTAL WRITTEN OPTIONS (Cost $21,505,674) |
(35,100,500 | ) | ||||||
µ | Security, or portion of security, is held in a segregated account as collateral for loans aggregating a total value of $1,352,310,591. $343,209,154 of the collateral has been re-registered by the counterparty. | |
~ | Security, or portion of security, is held in a segregated account as collateral for written options and swaps aggregating a total value of $121,242,808. | |
** | Security is in default. Pilgrims Pride Corp filed for bankruptcy protection on December 1, 2008. | |
| Variable rate or step bond security. The rate shown is the rate in effect at July 31, 2009. | |
* | 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 July 31, 2009, the value of 144A securities that could not be exchanged to the registered form is $42,323,090 or 3.1% of net assets. | |
Δ | 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. |
AUD
|
Australian Dollar | |
BRL
|
Brazilian Real | |
CHF
|
Swiss Franc | |
EUR
|
European Monetary Unit | |
GBP
|
British Pound Sterling | |
HKD
|
Hong Kong Dollar |
Unrealized |
||||||||||||||
Fixed Rate |
Floating Rate |
Termination |
Notional |
Appreciation/ |
||||||||||
Counterparty | (Fund Pays) | (Fund Receives) | Date | Amount | (Depreciation) | |||||||||
BNP Paribas SA
|
3.355% quarterly | 3 month LIBOR | 6/9/2014 | $ | 60,000,000 | $ | (1,680,546 | ) | ||||||
BNP Paribas SA
|
2.020% quarterly | 3 month LIBOR | 3/9/2012 | 60,000,000 | (383,590 | ) | ||||||||
BNP Paribas SA
|
2.535% quarterly | 3 month LIBOR | 3/9/2014 | 90,000,000 | 595,647 | |||||||||
BNP Paribas SA
|
2.470% quarterly | 3 month LIBOR | 6/11/2012 | 40,000,000 | (637,226 | ) | ||||||||
BNP Paribas SA
|
2.135% quarterly | 3 month LIBOR | 7/3/2012 | 52,000,000 | (221,575 | ) | ||||||||
BNP Paribas SA
|
2.970% quarterly | 3 month LIBOR | 7/3/2014 | 75,000,000 | (555,130 | ) | ||||||||
$ | (2,882,420 | ) | ||||||||||||
Cost basis of investments
|
$ | 2,634,331,014 | ||
Gross unrealized appreciation
|
24,337,869 | |||
Gross unrealized depreciation
|
(746,025,742 | ) | ||
Net unrealized appreciation (depreciation)
|
$ | (721,687,873 | ) | |
| Level 1 holdings use inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange). | |
| Level 2 holdings reflect inputs other than quoted prices, but use observable market data (including quoted prices of similar securities, interest rates, credit risk, etc.). | |
| Level 3 holdings are valued using unobservable inputs (including the Funds own judgments about assumptions market participants would use in determining fair value). |
Value of |
Other |
||||||||
Investment |
Financial |
||||||||
Valuation Inputs | Securities | Instruments | |||||||
Level 1 Quoted Prices
|
|||||||||
Common Stocks
|
$ | 924,759,443 | $ | | |||||
Convertible Preferred Stocks
|
139,516,900 | | |||||||
Synthetic Convertible Securities (Purchased Options)
|
1,412,025 | | |||||||
U.S. Government and Agency Securities
|
3,230,627 | | |||||||
Written Options
|
| (35,100,500 | ) | ||||||
Short Term Investments
|
10,507,686 | | |||||||
Level 2 Other significant observable inputs
|
|||||||||
Common Stocks
|
36,009,716 | | |||||||
Convertible Bonds
|
206,528,652 | | |||||||
Corporate Bonds
|
494,059,997 | ||||||||
Convertible Preferred Stocks
|
46,288,211 | | |||||||
Synthetic Convertible Securities (Corporate Bonds)
|
8,006,794 | | |||||||
Structured Equity-Linked Securities
|
42,323,090 | | |||||||
Interest Rate Swaps
|
| (2,882,420 | ) | ||||||
Total
|
$ | 1,912,643,141 | $ | (37,982,920 | ) | ||||
(a) | Certification of Principal Executive Officer. | ||
(b) | Certification of Principal Financial Officer. |
By:
|
/s/ John P. Calamos, Sr.
|
|||
Name:
|
John P. Calamos, Sr. | |||
Title:
|
Principal Executive Officer | |||
Date:
|
September 24, 2009 |
By:
|
/s/ John P. Calamos, Sr.
|
|||
Name:
|
John P. Calamos, Sr. | |||
Title:
|
Principal Executive Officer | |||
Date:
|
September 24, 2009 |
By:
|
/s/ Nimish S. Bhatt
|
|||
Name:
|
Nimish S. Bhatt | |||
Title:
|
Principal Financial Officer | |||
Date:
|
September 24, 2009 |