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, 2009
DATE OF REPORTING PERIOD: July 31, 2009
 
 


 

 
ITEM 1.  SCHEDULE OF INVESTMENTS JULY 31, 2009 (UNAUDITED)
 
Calamos Strategic Total Return Fund
 
 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  
        Pilgrim’s 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  
 
See accompanying Notes to Schedule of Investments


 

 
Calamos Strategic Total Return Fund


 SCHEDULE OF INVESTMENTS JULY 31, 2009 (UNAUDITED)

 
                 
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  
                 
 
See accompanying Notes to Schedule of Investments


 

 
Calamos Strategic Total Return Fund


 SCHEDULE OF INVESTMENTS JULY 31, 2009 (UNAUDITED)

 
                 
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  
        Pilgrim’s 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  
 
See accompanying Notes to Schedule of Investments


 

 
Calamos Strategic Total Return Fund


 SCHEDULE OF INVESTMENTS JULY 31, 2009 (UNAUDITED)

 
                 
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 Works‡µ
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  
                 
 
See accompanying Notes to Schedule of Investments


 

 
Calamos Strategic Total Return Fund


 SCHEDULE OF INVESTMENTS JULY 31, 2009 (UNAUDITED)

 
                 
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  
 
See accompanying Notes to Schedule of Investments


 

 
Calamos Strategic Total Return Fund


 SCHEDULE OF INVESTMENTS JULY 31, 2009 (UNAUDITED)

 
                 
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 )
                 
 
NOTES TO SCHEDULE OF INVESTMENTS
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. Pilgrim’s 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.
 
FOREIGN CURRENCY ABBREVIATIONS
     
AUD
  Australian Dollar
BRL
  Brazilian Real
CHF
  Swiss Franc
EUR
  European Monetary Unit
GBP
  British Pound Sterling
HKD
  Hong Kong 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 shown on options represents the expiration date on 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


 

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
  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 )
                             


 

 
NOTE 1 – ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
 
Organization. Calamos Strategic Total Return Fund (the “Fund”) was organized as a Delaware statutory trust on December 31, 2003 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on March 26,2004.
 
The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund 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 portfolio 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 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 a Fund determines its NAV.
 
When a most recent 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 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 are generally traded in the over-the-counter market and are valued by independent pricing services or by dealers who make markets in such securities. Valuations of fixed income securities consider yield or price of bonds 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 the 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 July 31, 2009.
 
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 the Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. There were no open forward currency contracts at July 31, 2009.
 
NOTE 2 – INVESTMENTS
 
The following information is presented on a federal income tax basis as of July 31, 2009. 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 July 31, 2009 was as follows:
 
         
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 )
         
 
NOTE 3 – BORROWINGS
 
The Fund has entered into a Committed Facility Agreement (the Agreement) with BNP Paribas Prime Brokerage, Inc. (as successor to Bank of America N.A.) that allows the Fund to borrow up to an initial limit of $1,080,000,000. Borrowings under the Agreement are secured by assets of the Fund. Interest is charged at a quarterly LIBOR (London Inter-bank Offered Rate) plus .95% on the amount borrowed and .85% on the undrawn balance. The Fund also paid a one time Arrangement fee of .25% of the total borrowing limit. For the period ended July 31, 2009, the average borrowings under the Agreement and the average interest rate were $367,961,538 and 2.16%, respectively. As of July 31, 2009, the amount of such outstanding borrowings is $539,000,000. The interest rate applicable to the borrowings on July 31, 2009 was 1.43%.
 
BNP Paribas Prime Brokerage, Inc (“BNP”) has the ability to reregister the collateral in its own name or in another name other than the Fund to pledge, re-pledge, sell, lend or otherwise transfer or use the collateral (“Hypothecated Securities”) with all attendant rights of ownership. The Fund can recall any Hypothecated Securities and BNP shall, to the extent commercially possible, return such security or equivalent security to the fund no later than three business days after such request. If the Fund recalls a Hypothecated Security in connection with a sales transaction and BNP fails to return the Hypothecated Securities or equivalent securities in a timely fashion, BNP shall remain liable to the Fund’s custodian for the ultimate delivery of such Hypothecated Securities or equivalent securities to the executing broker for the sales transaction and for any buy-in costs that the executing broker may impose with respect to the failure to deliver. In such instance, 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 market value of such hypothecated securities against any amounts owed to BNP under the Committed Facility Agreement.
 
NOTE 4 – INTEREST RATE SWAPS
 
The Fund may engage in interest rate swaps primarily to manage duration and yield curve risk, or as alternatives to direct investments. 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, the 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.
 
NOTE 5 – 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 6 – SYNTHETIC CONVERTIBLE INSTRUMENTS
 
The Fund may establish a “synthetic” convertible instrument by combining separate securities that possess the economic characteristics similar to a convertible security, i.e., fixed-income securities (“fixed-income component”), which may be a convertible or non-convertible security and the right to acquire equity securities (“convertible component”). The fixed-income component is achieved by investing in fixed income securities such as bonds, preferred stocks and money market instruments. The convertible component is achieved by investing in warrants or options to buy common stock at a certain exercise price, or options on a stock index. In establishing a synthetic instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or 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 7 – VALUATIONS
 
Effective November 1, 2008, the Fund has adopted the provisions of the Statement of Financial Accounting Standard No. 157, Fair Value Measurements (“SFAS 157”). SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.


 

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 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 Fund’s own judgments about assumptions market participants would use in determining fair value).
 
The following is a summary of the inputs used in valuing the Fund’s holdings at 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 )
                   
 


 

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

 


 

SIGNATURES
     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Strategic Total Return Fund
         
By:
  /s/ John P. Calamos, Sr.
 
   
 
       
Name:
  John P. Calamos, Sr.    
Title:
  Principal Executive Officer    
Date:
  September 24, 2009    
     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Calamos Strategic Total Return Fund
         
By:
  /s/ John P. Calamos, Sr.
 
   
 
       
Name:
  John P. Calamos, Sr.    
Title:
  Principal Executive Officer    
Date:
  September 24, 2009    
         
By:
  /s/ Nimish S. Bhatt
 
   
 
       
Name:
  Nimish S. Bhatt    
Title:
  Principal Financial Officer    
Date:
  September 24, 2009